Archive for September, 2021
Friday, September 3rd, 2021
HIMIPref™ Preferred Indices
These values reflect the December 2008 revision of the HIMIPref™ Indices
Values are provisional and are finalized monthly |
| Index |
Mean
Current
Yield
(at bid) |
Median
YTW |
Median
Average
Trading
Value |
Median
Mod Dur
(YTW) |
Issues |
Day’s Perf. |
Index Value |
| Ratchet |
0.00 % |
0.00 % |
0 |
0.00 |
0 |
-1.5385 % |
2,549.1 |
| FixedFloater |
0.00 % |
0.00 % |
0 |
0.00 |
0 |
-1.5385 % |
4,677.4 |
| Floater |
3.41 % |
3.41 % |
62,903 |
18.65 |
3 |
-1.5385 % |
2,695.6 |
| OpRet |
0.00 % |
0.00 % |
0 |
0.00 |
0 |
0.2274 % |
3,693.9 |
| SplitShare |
4.59 % |
3.67 % |
27,201 |
3.25 |
7 |
0.2274 % |
4,411.3 |
| Interest-Bearing |
0.00 % |
0.00 % |
0 |
0.00 |
0 |
0.2274 % |
3,441.9 |
| Perpetual-Premium |
5.11 % |
-20.14 % |
56,342 |
0.09 |
25 |
0.0337 % |
3,333.7 |
| Perpetual-Discount |
4.64 % |
3.26 % |
73,875 |
0.15 |
8 |
0.1038 % |
4,014.4 |
| FixedReset Disc |
3.94 % |
3.34 % |
116,586 |
18.07 |
40 |
-0.0131 % |
2,848.7 |
| Insurance Straight |
4.87 % |
-8.58 % |
81,460 |
0.08 |
22 |
0.3506 % |
3,737.7 |
| FloatingReset |
2.89 % |
3.20 % |
31,209 |
19.26 |
2 |
0.1576 % |
2,559.9 |
| FixedReset Prem |
4.74 % |
2.55 % |
131,869 |
1.58 |
30 |
-0.0616 % |
2,772.0 |
| FixedReset Bank Non |
0.00 % |
0.00 % |
0 |
0.00 |
0 |
-0.0131 % |
2,911.9 |
| FixedReset Ins Non |
4.05 % |
3.28 % |
102,567 |
18.31 |
20 |
-0.0925 % |
2,942.1 |
| Performance Highlights |
| Issue |
Index |
Change |
Notes |
| BAM.PR.K |
Floater |
-3.91 % |
YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-09-03
Maturity Price : 12.30
Evaluated at bid price : 12.30
Bid-YTW : 3.52 % |
| TRP.PR.G |
FixedReset Disc |
-2.94 % |
YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-09-03
Maturity Price : 22.38
Evaluated at bid price : 23.10
Bid-YTW : 3.95 % |
| BIP.PR.A |
FixedReset Disc |
-2.17 % |
YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-09-03
Maturity Price : 22.80
Evaluated at bid price : 23.85
Bid-YTW : 4.43 % |
| PWF.PR.P |
FixedReset Disc |
-1.60 % |
YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-09-03
Maturity Price : 16.60
Evaluated at bid price : 16.60
Bid-YTW : 3.53 % |
| CM.PR.T |
FixedReset Prem |
-1.53 % |
YTW SCENARIO
Maturity Type : Call
Maturity Date : 2024-04-30
Maturity Price : 25.00
Evaluated at bid price : 26.40
Bid-YTW : 3.21 % |
| BMO.PR.E |
FixedReset Prem |
-1.36 % |
YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-09-03
Maturity Price : 23.65
Evaluated at bid price : 25.35
Bid-YTW : 3.47 % |
| CM.PR.O |
FixedReset Disc |
-1.12 % |
YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-09-03
Maturity Price : 22.93
Evaluated at bid price : 23.88
Bid-YTW : 3.32 % |
| MFC.PR.Q |
FixedReset Ins Non |
-1.03 % |
YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-09-03
Maturity Price : 23.62
Evaluated at bid price : 24.94
Bid-YTW : 3.38 % |
| CM.PR.Q |
FixedReset Disc |
1.01 % |
YTW SCENARIO
Maturity Type : Call
Maturity Date : 2025-07-31
Maturity Price : 25.00
Evaluated at bid price : 25.00
Bid-YTW : 3.24 % |
| TRP.PR.D |
FixedReset Disc |
1.21 % |
YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-09-03
Maturity Price : 20.90
Evaluated at bid price : 20.90
Bid-YTW : 3.97 % |
| PVS.PR.G |
SplitShare |
1.36 % |
YTW SCENARIO
Maturity Type : Call
Maturity Date : 2021-10-03
Maturity Price : 26.00
Evaluated at bid price : 26.05
Bid-YTW : 1.75 % |
| TRP.PR.C |
FixedReset Disc |
1.79 % |
YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-09-03
Maturity Price : 14.76
Evaluated at bid price : 14.76
Bid-YTW : 3.87 % |
| IFC.PR.E |
Insurance Straight |
1.85 % |
YTW SCENARIO
Maturity Type : Call
Maturity Date : 2022-06-30
Maturity Price : 26.00
Evaluated at bid price : 27.00
Bid-YTW : 1.39 % |
| BAM.PR.R |
FixedReset Disc |
2.03 % |
YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-09-03
Maturity Price : 20.61
Evaluated at bid price : 20.61
Bid-YTW : 3.87 % |
| IAF.PR.B |
Insurance Straight |
5.27 % |
YTW SCENARIO
Maturity Type : Call
Maturity Date : 2021-10-03
Maturity Price : 25.00
Evaluated at bid price : 25.16
Bid-YTW : -7.18 % |
| Volume Highlights |
| Issue |
Index |
Shares
Traded |
Notes |
| BAM.PR.K |
Floater |
124,400 |
YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-09-03
Maturity Price : 12.30
Evaluated at bid price : 12.30
Bid-YTW : 3.52 % |
| BMO.PR.Y |
FixedReset Disc |
56,000 |
YTW SCENARIO
Maturity Type : Call
Maturity Date : 2025-08-25
Maturity Price : 25.00
Evaluated at bid price : 25.01
Bid-YTW : 3.08 % |
| TRP.PR.A |
FixedReset Disc |
36,204 |
YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-09-03
Maturity Price : 18.40
Evaluated at bid price : 18.40
Bid-YTW : 3.89 % |
| TRP.PR.K |
FixedReset Prem |
28,765 |
YTW SCENARIO
Maturity Type : Call
Maturity Date : 2022-05-31
Maturity Price : 25.00
Evaluated at bid price : 25.66
Bid-YTW : 1.43 % |
| BIP.PR.E |
FixedReset Prem |
24,700 |
YTW SCENARIO
Maturity Type : Call
Maturity Date : 2023-03-31
Maturity Price : 25.00
Evaluated at bid price : 25.40
Bid-YTW : 3.74 % |
| BAM.PR.M |
Perpetual-Discount |
17,600 |
YTW SCENARIO
Maturity Type : Call
Maturity Date : 2021-10-03
Maturity Price : 25.00
Evaluated at bid price : 25.45
Bid-YTW : -6.77 % |
| There were 6 other index-included issues trading in excess of 10,000 shares. |
| Wide Spread Highlights |
| Issue |
Index |
Quote Data and Yield Notes |
| TRP.PR.G |
FixedReset Disc |
Quote: 23.10 – 24.05
Spot Rate : 0.9500
Average : 0.6399
YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-09-03
Maturity Price : 22.38
Evaluated at bid price : 23.10
Bid-YTW : 3.95 % |
| POW.PR.C |
Perpetual-Premium |
Quote: 26.16 – 26.82
Spot Rate : 0.6600
Average : 0.3906
YTW SCENARIO
Maturity Type : Call
Maturity Date : 2021-10-03
Maturity Price : 25.00
Evaluated at bid price : 26.16
Bid-YTW : -36.13 % |
| MFC.PR.N |
FixedReset Ins Non |
Quote: 23.41 – 24.45
Spot Rate : 1.0400
Average : 0.8844
YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-09-03
Maturity Price : 22.61
Evaluated at bid price : 23.41
Bid-YTW : 3.36 % |
| BMO.PR.E |
FixedReset Prem |
Quote: 25.35 – 25.90
Spot Rate : 0.5500
Average : 0.3979
YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-09-03
Maturity Price : 23.65
Evaluated at bid price : 25.35
Bid-YTW : 3.47 % |
| BAM.PR.K |
Floater |
Quote: 12.30 – 12.99
Spot Rate : 0.6900
Average : 0.5483
YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-09-03
Maturity Price : 12.30
Evaluated at bid price : 12.30
Bid-YTW : 3.52 % |
| CM.PR.T |
FixedReset Prem |
Quote: 26.40 – 26.80
Spot Rate : 0.4000
Average : 0.2705
YTW SCENARIO
Maturity Type : Call
Maturity Date : 2024-04-30
Maturity Price : 25.00
Evaluated at bid price : 26.40
Bid-YTW : 3.21 % |
Posted in Market Action | No Comments »
Thursday, September 2nd, 2021
HIMIPref™ Preferred Indices
These values reflect the December 2008 revision of the HIMIPref™ Indices
Values are provisional and are finalized monthly |
| Index |
Mean
Current
Yield
(at bid) |
Median
YTW |
Median
Average
Trading
Value |
Median
Mod Dur
(YTW) |
Issues |
Day’s Perf. |
Index Value |
| Ratchet |
0.00 % |
0.00 % |
0 |
0.00 |
0 |
1.5356 % |
2,588.9 |
| FixedFloater |
0.00 % |
0.00 % |
0 |
0.00 |
0 |
1.5356 % |
4,750.5 |
| Floater |
3.35 % |
3.38 % |
58,308 |
18.72 |
3 |
1.5356 % |
2,737.8 |
| OpRet |
0.00 % |
0.00 % |
0 |
0.00 |
0 |
-0.2048 % |
3,685.5 |
| SplitShare |
4.60 % |
3.92 % |
26,082 |
3.77 |
7 |
-0.2048 % |
4,401.3 |
| Interest-Bearing |
0.00 % |
0.00 % |
0 |
0.00 |
0 |
-0.2048 % |
3,434.1 |
| Perpetual-Premium |
5.12 % |
-19.46 % |
56,988 |
0.09 |
25 |
-0.0628 % |
3,332.5 |
| Perpetual-Discount |
4.65 % |
2.33 % |
72,139 |
0.08 |
8 |
-0.1037 % |
4,010.3 |
| FixedReset Disc |
3.94 % |
3.35 % |
116,740 |
18.14 |
40 |
-0.0371 % |
2,849.0 |
| Insurance Straight |
4.89 % |
-8.26 % |
80,663 |
0.09 |
22 |
0.0463 % |
3,724.6 |
| FloatingReset |
2.89 % |
3.20 % |
32,503 |
19.26 |
2 |
-1.1834 % |
2,555.8 |
| FixedReset Prem |
4.74 % |
2.54 % |
133,154 |
2.19 |
30 |
-0.1333 % |
2,773.7 |
| FixedReset Bank Non |
0.00 % |
0.00 % |
0 |
0.00 |
0 |
-0.0371 % |
2,912.3 |
| FixedReset Ins Non |
4.05 % |
3.28 % |
103,115 |
18.38 |
20 |
0.0065 % |
2,944.8 |
| Performance Highlights |
| Issue |
Index |
Change |
Notes |
| TRP.PR.F |
FloatingReset |
-2.28 % |
YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-09-02
Maturity Price : 16.27
Evaluated at bid price : 16.27
Bid-YTW : 3.20 % |
| BAM.PR.R |
FixedReset Disc |
-1.94 % |
YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-09-02
Maturity Price : 20.20
Evaluated at bid price : 20.20
Bid-YTW : 3.95 % |
| BAM.PF.G |
FixedReset Disc |
-1.78 % |
YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-09-02
Maturity Price : 22.43
Evaluated at bid price : 23.13
Bid-YTW : 3.86 % |
| BAM.PF.F |
FixedReset Disc |
-1.43 % |
YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-09-02
Maturity Price : 23.03
Evaluated at bid price : 24.15
Bid-YTW : 3.83 % |
| PVS.PR.G |
SplitShare |
-1.15 % |
YTW SCENARIO
Maturity Type : Option Certainty
Maturity Date : 2026-02-28
Maturity Price : 25.00
Evaluated at bid price : 25.70
Bid-YTW : 4.22 % |
| BIP.PR.F |
FixedReset Prem |
-1.05 % |
YTW SCENARIO
Maturity Type : Call
Maturity Date : 2023-12-31
Maturity Price : 25.00
Evaluated at bid price : 25.35
Bid-YTW : 4.32 % |
| BAM.PR.B |
Floater |
1.03 % |
YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-09-02
Maturity Price : 12.80
Evaluated at bid price : 12.80
Bid-YTW : 3.38 % |
| TD.PF.C |
FixedReset Disc |
1.04 % |
YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-09-02
Maturity Price : 23.05
Evaluated at bid price : 24.30
Bid-YTW : 3.21 % |
| TRP.PR.A |
FixedReset Disc |
1.89 % |
YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-09-02
Maturity Price : 18.36
Evaluated at bid price : 18.36
Bid-YTW : 3.90 % |
| BIP.PR.A |
FixedReset Disc |
2.22 % |
YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-09-02
Maturity Price : 23.04
Evaluated at bid price : 24.38
Bid-YTW : 4.31 % |
| BAM.PR.K |
Floater |
4.07 % |
YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-09-02
Maturity Price : 12.80
Evaluated at bid price : 12.80
Bid-YTW : 3.38 % |
| Volume Highlights |
| Issue |
Index |
Shares
Traded |
Notes |
| RY.PR.J |
FixedReset Disc |
204,850 |
YTW SCENARIO
Maturity Type : Call
Maturity Date : 2025-05-24
Maturity Price : 25.00
Evaluated at bid price : 24.90
Bid-YTW : 3.35 % |
| TD.PF.A |
FixedReset Disc |
201,750 |
YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-09-02
Maturity Price : 22.96
Evaluated at bid price : 24.01
Bid-YTW : 3.21 % |
| SLF.PR.H |
FixedReset Ins Non |
113,109 |
YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-09-02
Maturity Price : 22.30
Evaluated at bid price : 23.05
Bid-YTW : 3.17 % |
| GWO.PR.I |
Insurance Straight |
59,500 |
YTW SCENARIO
Maturity Type : Call
Maturity Date : 2021-10-02
Maturity Price : 25.00
Evaluated at bid price : 25.14
Bid-YTW : -6.39 % |
| TD.PF.C |
FixedReset Disc |
53,500 |
YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-09-02
Maturity Price : 23.05
Evaluated at bid price : 24.30
Bid-YTW : 3.21 % |
| TD.PF.M |
FixedReset Prem |
46,740 |
YTW SCENARIO
Maturity Type : Call
Maturity Date : 2024-07-31
Maturity Price : 25.00
Evaluated at bid price : 26.91
Bid-YTW : 2.54 % |
| There were 16 other index-included issues trading in excess of 10,000 shares. |
| Wide Spread Highlights |
| Issue |
Index |
Quote Data and Yield Notes |
| MFC.PR.F |
FixedReset Ins Non |
Quote: 16.30 – 17.75
Spot Rate : 1.4500
Average : 1.2474
YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-09-02
Maturity Price : 16.30
Evaluated at bid price : 16.30
Bid-YTW : 3.46 % |
| BAM.PR.R |
FixedReset Disc |
Quote: 20.20 – 20.73
Spot Rate : 0.5300
Average : 0.3791
YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-09-02
Maturity Price : 20.20
Evaluated at bid price : 20.20
Bid-YTW : 3.95 % |
| PVS.PR.G |
SplitShare |
Quote: 25.70 – 26.20
Spot Rate : 0.5000
Average : 0.3584
YTW SCENARIO
Maturity Type : Option Certainty
Maturity Date : 2026-02-28
Maturity Price : 25.00
Evaluated at bid price : 25.70
Bid-YTW : 4.22 % |
| IFC.PR.F |
Insurance Straight |
Quote: 26.52 – 27.20
Spot Rate : 0.6800
Average : 0.5676
YTW SCENARIO
Maturity Type : Call
Maturity Date : 2022-09-30
Maturity Price : 26.00
Evaluated at bid price : 26.52
Bid-YTW : 4.06 % |
| BAM.PF.G |
FixedReset Disc |
Quote: 23.13 – 23.55
Spot Rate : 0.4200
Average : 0.3092
YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-09-02
Maturity Price : 22.43
Evaluated at bid price : 23.13
Bid-YTW : 3.86 % |
| BAM.PR.X |
FixedReset Disc |
Quote: 17.83 – 18.20
Spot Rate : 0.3700
Average : 0.2632
YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-09-02
Maturity Price : 17.83
Evaluated at bid price : 17.83
Bid-YTW : 3.72 % |
Posted in Market Action | No Comments »
Wednesday, September 1st, 2021
HIMIPref™ Preferred Indices
These values reflect the December 2008 revision of the HIMIPref™ Indices
Values are provisional and are finalized monthly |
| Index |
Mean
Current
Yield
(at bid) |
Median
YTW |
Median
Average
Trading
Value |
Median
Mod Dur
(YTW) |
Issues |
Day’s Perf. |
Index Value |
| Ratchet |
0.00 % |
0.00 % |
0 |
0.00 |
0 |
-2.0233 % |
2,549.8 |
| FixedFloater |
0.00 % |
0.00 % |
0 |
0.00 |
0 |
-2.0233 % |
4,678.7 |
| Floater |
3.41 % |
3.42 % |
60,714 |
18.64 |
3 |
-2.0233 % |
2,696.3 |
| OpRet |
0.00 % |
0.00 % |
0 |
0.00 |
0 |
0.3388 % |
3,693.1 |
| SplitShare |
4.59 % |
3.80 % |
26,194 |
3.25 |
7 |
0.3388 % |
4,410.3 |
| Interest-Bearing |
0.00 % |
0.00 % |
0 |
0.00 |
0 |
0.3388 % |
3,441.1 |
| Perpetual-Premium |
5.11 % |
-19.87 % |
56,882 |
0.09 |
25 |
-0.0414 % |
3,334.6 |
| Perpetual-Discount |
4.64 % |
2.05 % |
71,255 |
0.08 |
8 |
0.0395 % |
4,014.4 |
| FixedReset Disc |
3.94 % |
3.33 % |
121,072 |
18.16 |
40 |
-0.2038 % |
2,850.1 |
| Insurance Straight |
4.89 % |
-7.08 % |
75,303 |
0.09 |
22 |
-0.6158 % |
3,722.9 |
| FloatingReset |
2.86 % |
3.13 % |
33,006 |
19.44 |
2 |
-0.5266 % |
2,586.4 |
| FixedReset Prem |
4.73 % |
2.48 % |
134,549 |
1.59 |
30 |
-0.0768 % |
2,777.4 |
| FixedReset Bank Non |
0.00 % |
0.00 % |
0 |
0.00 |
0 |
-0.2038 % |
2,913.4 |
| FixedReset Ins Non |
4.05 % |
3.27 % |
99,917 |
18.34 |
20 |
-0.5709 % |
2,944.7 |
| Performance Highlights |
| Issue |
Index |
Change |
Notes |
| MFC.PR.F |
FixedReset Ins Non |
-6.70 % |
YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-09-01
Maturity Price : 16.30
Evaluated at bid price : 16.30
Bid-YTW : 3.46 % |
| BIP.PR.A |
FixedReset Disc |
-4.60 % |
YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-09-01
Maturity Price : 22.80
Evaluated at bid price : 23.85
Bid-YTW : 4.43 % |
| BAM.PR.K |
Floater |
-4.28 % |
YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-09-01
Maturity Price : 12.30
Evaluated at bid price : 12.30
Bid-YTW : 3.52 % |
| TRP.PR.A |
FixedReset Disc |
-2.59 % |
YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-09-01
Maturity Price : 18.02
Evaluated at bid price : 18.02
Bid-YTW : 3.97 % |
| MFC.PR.N |
FixedReset Ins Non |
-2.46 % |
YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-09-01
Maturity Price : 22.61
Evaluated at bid price : 23.41
Bid-YTW : 3.36 % |
| BAM.PR.B |
Floater |
-1.71 % |
YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-09-01
Maturity Price : 12.67
Evaluated at bid price : 12.67
Bid-YTW : 3.42 % |
| BAM.PR.T |
FixedReset Disc |
-1.59 % |
YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-09-01
Maturity Price : 20.47
Evaluated at bid price : 20.47
Bid-YTW : 3.89 % |
| IFC.PR.F |
Insurance Straight |
-1.52 % |
YTW SCENARIO
Maturity Type : Call
Maturity Date : 2022-09-30
Maturity Price : 26.00
Evaluated at bid price : 26.59
Bid-YTW : 3.79 % |
| IAF.PR.G |
FixedReset Ins Non |
-1.39 % |
YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-09-01
Maturity Price : 24.49
Evaluated at bid price : 24.90
Bid-YTW : 3.65 % |
| IFC.PR.A |
FixedReset Ins Non |
-1.33 % |
YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-09-01
Maturity Price : 20.72
Evaluated at bid price : 20.72
Bid-YTW : 3.18 % |
| GWO.PR.F |
Insurance Straight |
1.35 % |
YTW SCENARIO
Maturity Type : Call
Maturity Date : 2021-10-01
Maturity Price : 25.00
Evaluated at bid price : 26.55
Bid-YTW : -61.19 % |
| TRP.PR.D |
FixedReset Disc |
1.42 % |
YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-09-01
Maturity Price : 20.66
Evaluated at bid price : 20.66
Bid-YTW : 4.02 % |
| BAM.PF.F |
FixedReset Disc |
6.06 % |
YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-09-01
Maturity Price : 23.18
Evaluated at bid price : 24.50
Bid-YTW : 3.76 % |
| Volume Highlights |
| Issue |
Index |
Shares
Traded |
Notes |
| PWF.PR.P |
FixedReset Disc |
155,000 |
YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-09-01
Maturity Price : 16.95
Evaluated at bid price : 16.95
Bid-YTW : 3.46 % |
| GWO.PR.R |
Insurance Straight |
110,725 |
YTW SCENARIO
Maturity Type : Call
Maturity Date : 2021-10-01
Maturity Price : 25.25
Evaluated at bid price : 25.46
Bid-YTW : -9.68 % |
| SLF.PR.A |
Insurance Straight |
46,500 |
YTW SCENARIO
Maturity Type : Call
Maturity Date : 2021-10-01
Maturity Price : 25.00
Evaluated at bid price : 24.97
Bid-YTW : 1.63 % |
| RY.PR.P |
Perpetual-Premium |
44,136 |
YTW SCENARIO
Maturity Type : Call
Maturity Date : 2021-10-01
Maturity Price : 26.00
Evaluated at bid price : 27.02
Bid-YTW : -36.64 % |
| SLF.PR.B |
Insurance Straight |
28,700 |
YTW SCENARIO
Maturity Type : Call
Maturity Date : 2021-10-01
Maturity Price : 25.00
Evaluated at bid price : 24.97
Bid-YTW : 1.63 % |
| RY.PR.J |
FixedReset Disc |
18,900 |
YTW SCENARIO
Maturity Type : Call
Maturity Date : 2025-05-24
Maturity Price : 25.00
Evaluated at bid price : 24.97
Bid-YTW : 3.26 % |
| There were 6 other index-included issues trading in excess of 10,000 shares. |
| Wide Spread Highlights |
| Issue |
Index |
Quote Data and Yield Notes |
| MFC.PR.F |
FixedReset Ins Non |
Quote: 16.30 – 17.88
Spot Rate : 1.5800
Average : 1.0252
YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-09-01
Maturity Price : 16.30
Evaluated at bid price : 16.30
Bid-YTW : 3.46 % |
| BIP.PR.A |
FixedReset Disc |
Quote: 23.85 – 24.90
Spot Rate : 1.0500
Average : 0.6622
YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-09-01
Maturity Price : 22.80
Evaluated at bid price : 23.85
Bid-YTW : 4.43 % |
| MFC.PR.N |
FixedReset Ins Non |
Quote: 23.41 – 24.38
Spot Rate : 0.9700
Average : 0.6304
YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-09-01
Maturity Price : 22.61
Evaluated at bid price : 23.41
Bid-YTW : 3.36 % |
| TRP.PR.C |
FixedReset Disc |
Quote: 14.53 – 15.31
Spot Rate : 0.7800
Average : 0.5371
YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-09-01
Maturity Price : 14.53
Evaluated at bid price : 14.53
Bid-YTW : 3.93 % |
| IAF.PR.G |
FixedReset Ins Non |
Quote: 24.90 – 25.50
Spot Rate : 0.6000
Average : 0.4046
YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-09-01
Maturity Price : 24.49
Evaluated at bid price : 24.90
Bid-YTW : 3.65 % |
| IAF.PR.B |
Insurance Straight |
Quote: 23.90 – 25.30
Spot Rate : 1.4000
Average : 1.2104
YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-09-01
Maturity Price : 23.63
Evaluated at bid price : 23.90
Bid-YTW : 4.80 % |
Posted in Market Action | No Comments »
Wednesday, September 1st, 2021
HIMIPref™ Preferred Indices
These values reflect the December 2008 revision of the HIMIPref™ Indices
Values are provisional and are finalized monthly |
| Index |
Mean
Current
Yield
(at bid) |
Median
YTW |
Median
Average
Trading
Value |
Median
Mod Dur
(YTW) |
Issues |
Day’s Perf. |
Index Value |
| Ratchet |
0.00 % |
0.00 % |
0 |
0.00 |
0 |
0.7053 % |
2,602.4 |
| FixedFloater |
0.00 % |
0.00 % |
0 |
0.00 |
0 |
0.7053 % |
4,775.3 |
| Floater |
3.34 % |
3.37 % |
63,000 |
18.76 |
3 |
0.7053 % |
2,752.0 |
| OpRet |
0.00 % |
0.00 % |
0 |
0.00 |
0 |
-0.4038 % |
3,680.6 |
| SplitShare |
4.60 % |
3.95 % |
27,266 |
3.78 |
7 |
-0.4038 % |
4,395.4 |
| Interest-Bearing |
0.00 % |
0.00 % |
0 |
0.00 |
0 |
-0.4038 % |
3,429.5 |
| Perpetual-Premium |
5.11 % |
-22.56 % |
53,955 |
0.09 |
25 |
0.2396 % |
3,336.0 |
| Perpetual-Discount |
4.64 % |
1.40 % |
70,914 |
0.08 |
8 |
0.1881 % |
4,012.8 |
| FixedReset Disc |
3.93 % |
3.33 % |
125,963 |
18.16 |
40 |
0.0851 % |
2,855.9 |
| Insurance Straight |
4.86 % |
-7.89 % |
75,627 |
0.09 |
22 |
-0.1361 % |
3,746.0 |
| FloatingReset |
2.84 % |
3.10 % |
34,353 |
19.50 |
2 |
0.6862 % |
2,600.1 |
| FixedReset Prem |
4.73 % |
2.27 % |
133,170 |
1.59 |
30 |
-0.0793 % |
2,779.5 |
| FixedReset Bank Non |
0.00 % |
0.00 % |
0 |
0.00 |
0 |
0.0851 % |
2,919.3 |
| FixedReset Ins Non |
4.02 % |
3.22 % |
99,868 |
18.35 |
20 |
0.0449 % |
2,961.6 |
| Performance Highlights |
| Issue |
Index |
Change |
Notes |
| BAM.PF.F |
FixedReset Disc |
-6.10 % |
YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-08-31
Maturity Price : 22.49
Evaluated at bid price : 23.10
Bid-YTW : 4.05 % |
| IAF.PR.B |
Insurance Straight |
-5.35 % |
YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-08-31
Maturity Price : 23.63
Evaluated at bid price : 23.90
Bid-YTW : 4.80 % |
| TRP.PR.D |
FixedReset Disc |
-3.78 % |
YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-08-31
Maturity Price : 20.37
Evaluated at bid price : 20.37
Bid-YTW : 4.08 % |
| MFC.PR.F |
FixedReset Ins Non |
-1.58 % |
YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-08-31
Maturity Price : 17.47
Evaluated at bid price : 17.47
Bid-YTW : 3.22 % |
| TRP.PR.C |
FixedReset Disc |
-1.42 % |
YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-08-31
Maturity Price : 14.57
Evaluated at bid price : 14.57
Bid-YTW : 3.92 % |
| BAM.PF.B |
FixedReset Disc |
1.38 % |
YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-08-31
Maturity Price : 22.83
Evaluated at bid price : 23.59
Bid-YTW : 3.80 % |
| BAM.PR.K |
Floater |
1.90 % |
YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-08-31
Maturity Price : 12.85
Evaluated at bid price : 12.85
Bid-YTW : 3.37 % |
| IFC.PR.I |
Perpetual-Premium |
2.58 % |
YTW SCENARIO
Maturity Type : Call
Maturity Date : 2025-03-31
Maturity Price : 26.00
Evaluated at bid price : 27.80
Bid-YTW : 3.41 % |
| TRP.PR.G |
FixedReset Disc |
3.25 % |
YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-08-31
Maturity Price : 22.76
Evaluated at bid price : 23.85
Bid-YTW : 3.79 % |
| PWF.PR.P |
FixedReset Disc |
11.40 % |
YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-08-31
Maturity Price : 17.10
Evaluated at bid price : 17.10
Bid-YTW : 3.43 % |
| Volume Highlights |
| Issue |
Index |
Shares
Traded |
Notes |
| ELF.PR.H |
Perpetual-Premium |
108,550 |
YTW SCENARIO
Maturity Type : Call
Maturity Date : 2021-09-30
Maturity Price : 25.00
Evaluated at bid price : 25.70
Bid-YTW : -18.99 % |
| PWF.PR.P |
FixedReset Disc |
58,800 |
YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-08-31
Maturity Price : 17.10
Evaluated at bid price : 17.10
Bid-YTW : 3.43 % |
| RY.PR.M |
FixedReset Disc |
42,900 |
YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-08-31
Maturity Price : 23.12
Evaluated at bid price : 24.70
Bid-YTW : 3.28 % |
| TRP.PR.A |
FixedReset Disc |
31,450 |
YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-08-31
Maturity Price : 18.50
Evaluated at bid price : 18.50
Bid-YTW : 3.87 % |
| TRP.PR.F |
FloatingReset |
29,300 |
YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-08-31
Maturity Price : 16.78
Evaluated at bid price : 16.78
Bid-YTW : 3.10 % |
| BAM.PF.H |
FixedReset Prem |
24,895 |
YTW SCENARIO
Maturity Type : Call
Maturity Date : 2025-12-31
Maturity Price : 25.00
Evaluated at bid price : 27.70
Bid-YTW : 2.57 % |
| There were 9 other index-included issues trading in excess of 10,000 shares. |
| Wide Spread Highlights |
| Issue |
Index |
Quote Data and Yield Notes |
| BAM.PF.F |
FixedReset Disc |
Quote: 23.10 – 24.70
Spot Rate : 1.6000
Average : 1.0344
YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-08-31
Maturity Price : 22.49
Evaluated at bid price : 23.10
Bid-YTW : 4.05 % |
| GWO.PR.L |
Insurance Straight |
Quote: 26.10 – 27.10
Spot Rate : 1.0000
Average : 0.5687
YTW SCENARIO
Maturity Type : Call
Maturity Date : 2021-09-30
Maturity Price : 25.00
Evaluated at bid price : 26.10
Bid-YTW : -32.29 % |
| IAF.PR.B |
Insurance Straight |
Quote: 23.90 – 25.30
Spot Rate : 1.4000
Average : 1.0025
YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-08-31
Maturity Price : 23.63
Evaluated at bid price : 23.90
Bid-YTW : 4.80 % |
| TRP.PR.D |
FixedReset Disc |
Quote: 20.37 – 21.57
Spot Rate : 1.2000
Average : 0.9975
YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-08-31
Maturity Price : 20.37
Evaluated at bid price : 20.37
Bid-YTW : 4.08 % |
| PVS.PR.I |
SplitShare |
Quote: 25.76 – 26.34
Spot Rate : 0.5800
Average : 0.4676
YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-10-31
Maturity Price : 25.00
Evaluated at bid price : 25.76
Bid-YTW : 3.95 % |
| TRP.PR.C |
FixedReset Disc |
Quote: 14.57 – 14.95
Spot Rate : 0.3800
Average : 0.2708
YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-08-31
Maturity Price : 14.57
Evaluated at bid price : 14.57
Bid-YTW : 3.92 % |
Posted in Market Action | 2 Comments »
