NVCC: “Minimum Reset Guarantee” = “Incentive to Redeem”?

August 29th, 2023

I have long accepted that banks cannot offer minimum reset guarantees on their FixedResets because this is considered to be an incentive to redeem by the regulators. I’m almost certain that I saw an authoritative statement to this effect at one point and reported it here, but when I tried to find it my search was fruitless.

The OSFI Definition of Capital is quite emphatic about incentives:

The following is the minimum set of criteria for an instrument issued by the institution to meet or exceed in order for it to be included in Additional Tier 1 capital:
…
Is perpetual, i.e. there is no maturity date and there are no step-ups [Footnote15] or other incentives to redeem [Footnote16]

The footnotes read:

Footnote 15
A step-up is defined as a call option combined with a pre-set increase in the initial credit spread of the instrument at a future date over the initial dividend (or distribution) rate after taking into account any swap spread between the original reference index and the new reference index. Conversion from a fixed rate to a floating rate (or vice versa) in combination with a call option without any increase in credit spread would not constitute a step-up. [Basel Framework, CAP 10.11 FAQ4]

Footnote 16
Other incentives to redeem include a call option combined with a requirement or an investor option to convert the instrument into common shares if the call is not exercised. [Basel Framework, CAP 10.11 FAQ4]

… but I couldn’t find anything from (or attributed to) OSFI that stated that a Minimum Reset Guarantee constituted a step-up.

I did, however, find a notice from the European Banking Authority:

Question:
Article 489 of Regulation (EU) No 575/2013 (CRR) provides for the grandfathering treatment of hybrid instruments with a call and an incentive to redeem. A bank has issued a bond with a fixed coupon before the first call date and a floating rate coupon after the first call date. The credit spread of the fixed coupon as of the issuance date is the same as the margin of the floating rate coupon after the first call date, so there is no immediate step-up there. However, the floating rate coupon is floored at the level of the fixed rate coupon. Does this constitute an incentive to redeem ?
…
Final Answer:
Pursuant to Article 20(1) of Commission Delegated Regulation (EU) No 241/2014 an incentive to redeem shall mean all features that provide, at the date of issuance, an expectation that the capital instrument is likely to be redeemed. A floating rate coupon floored at the level of the initial fixed rate coupon, such as in the case described by the submitter, constitutes an incentive to redeem, as the new coupon after the first call date will always be equal or higher than the initial coupon.

So to some extent, this post is my bookmark for this little fact. But it is also a request that perhaps somebody with a better memory than mine find the reference I’m thinking of!

Posted in Contingent Capital, Regulation | No Comments »

August 29, 2023

August 29th, 2023

TXPR closed at 508.28, down 0.55% on the day and setting a new 52-week low. Volume today was 2.74-million, third-highest of the past 21 trading days.

CPD closed at 10.12, unchanged on the day but setting a new 52-week low of 10.11 anyway. Volume was 48,710, near the median of the past 21 trading days.

ZPR closed at 8.48, down 1.17% on the day, equalling its 52-week low. Volume was 150,805, fourth-highest of the past 21 trading days.

Five-year Canada yields were down to 3.97%.

All this may be related to hints of a slowing US job market:

The sharp gains [in equities] came after the Labor Department’s Job Openings and Labor Turnover Survey (JOLTS) showed the number of job openings stood at 8.827 million in July, falling for the third straight month and signaling easing labor market pressures.

Investors also parsed a report from the Conference Board showing consumer confidence in the United States fell to 106.1 in August, compared with expectations of 116.

Interest rate futures signaled an 87% chance the Fed will keep rates steady at its September meeting and a 54% chance it will keep rates on hold through November, according the CME Group’s FedWatch tool.

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 0.0000 % 2,194.4
FixedFloater 0.00 % 0.00 % 0 0.00 0 0.0000 % 4,208.8
Floater 11.10 % 11.44 % 42,777 8.39 2 0.0000 % 2,425.6
OpRet 0.00 % 0.00 % 0 0.00 0 0.2085 % 3,359.5
SplitShare 5.02 % 7.18 % 43,842 2.04 8 0.2085 % 4,012.0
Interest-Bearing 0.00 % 0.00 % 0 0.00 0 0.2085 % 3,130.3
Perpetual-Premium 0.00 % 0.00 % 0 0.00 0 0.0087 % 2,469.5
Perpetual-Discount 6.95 % 7.14 % 47,644 12.33 31 0.0087 % 2,692.8
FixedReset Disc 6.08 % 9.17 % 103,541 10.56 56 -0.7189 % 2,058.4
Insurance Straight 6.86 % 7.00 % 55,231 12.47 18 0.3332 % 2,620.7
FloatingReset 11.35 % 11.39 % 37,005 8.64 1 -3.1085 % 2,356.3
FixedReset Prem 7.07 % 7.32 % 218,140 3.61 1 0.0000 % 2,287.0
FixedReset Bank Non 0.00 % 0.00 % 0 0.00 0 -0.7189 % 2,104.1
FixedReset Ins Non 6.59 % 8.51 % 97,161 10.99 10 -0.0853 % 2,242.7
Performance Highlights
Issue Index Change Notes
TD.PF.E FixedReset Disc -5.39 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2053-08-29
Maturity Price : 17.04
Evaluated at bid price : 17.04
Bid-YTW : 9.40 %
BN.PF.J FixedReset Disc -2.49 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2053-08-29
Maturity Price : 18.00
Evaluated at bid price : 18.00
Bid-YTW : 9.76 %
BN.PF.G FixedReset Disc -2.49 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2053-08-29
Maturity Price : 14.09
Evaluated at bid price : 14.09
Bid-YTW : 11.45 %
NA.PR.G FixedReset Disc -2.29 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2053-08-29
Maturity Price : 21.30
Evaluated at bid price : 21.30
Bid-YTW : 8.15 %
NA.PR.S FixedReset Disc -2.26 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2053-08-29
Maturity Price : 17.30
Evaluated at bid price : 17.30
Bid-YTW : 9.33 %
TD.PF.D FixedReset Disc -1.85 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2053-08-29
Maturity Price : 17.00
Evaluated at bid price : 17.00
Bid-YTW : 9.42 %
BN.PF.A FixedReset Disc -1.75 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2053-08-29
Maturity Price : 19.06
Evaluated at bid price : 19.06
Bid-YTW : 9.41 %
BN.PR.M Perpetual-Discount -1.70 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2053-08-29
Maturity Price : 16.21
Evaluated at bid price : 16.21
Bid-YTW : 7.49 %
RY.PR.H FixedReset Disc -1.68 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2053-08-29
Maturity Price : 16.96
Evaluated at bid price : 16.96
Bid-YTW : 9.18 %
CM.PR.P FixedReset Disc -1.52 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2053-08-29
Maturity Price : 16.15
Evaluated at bid price : 16.15
Bid-YTW : 9.45 %
BN.PF.I FixedReset Disc -1.49 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2053-08-29
Maturity Price : 17.80
Evaluated at bid price : 17.80
Bid-YTW : 10.26 %
BNS.PR.I FixedReset Disc -1.46 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2053-08-29
Maturity Price : 20.25
Evaluated at bid price : 20.25
Bid-YTW : 8.13 %
RY.PR.Z FixedReset Disc -1.45 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2053-08-29
Maturity Price : 17.00
Evaluated at bid price : 17.00
Bid-YTW : 9.18 %
TD.PF.K FixedReset Disc -1.23 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2053-08-29
Maturity Price : 21.44
Evaluated at bid price : 21.73
Bid-YTW : 7.79 %
BMO.PR.S FixedReset Disc -1.19 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2053-08-29
Maturity Price : 17.44
Evaluated at bid price : 17.44
Bid-YTW : 9.13 %
FTS.PR.H FixedReset Disc -1.05 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2053-08-29
Maturity Price : 12.27
Evaluated at bid price : 12.27
Bid-YTW : 10.27 %
BN.PF.C Perpetual-Discount -1.03 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2053-08-29
Maturity Price : 16.40
Evaluated at bid price : 16.40
Bid-YTW : 7.56 %
CM.PR.T FixedReset Disc -1.02 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2053-08-29
Maturity Price : 21.83
Evaluated at bid price : 22.32
Bid-YTW : 8.25 %
FTS.PR.G FixedReset Disc -1.02 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2053-08-29
Maturity Price : 18.50
Evaluated at bid price : 18.50
Bid-YTW : 8.47 %
BN.PF.E FixedReset Disc -1.00 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2053-08-29
Maturity Price : 13.86
Evaluated at bid price : 13.86
Bid-YTW : 11.31 %
FTS.PR.F Perpetual-Discount 1.03 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2053-08-29
Maturity Price : 19.70
Evaluated at bid price : 19.70
Bid-YTW : 6.26 %
GWO.PR.M Insurance Straight 1.19 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2053-08-29
Maturity Price : 21.25
Evaluated at bid price : 21.25
Bid-YTW : 6.97 %
CIU.PR.A Perpetual-Discount 1.71 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2053-08-29
Maturity Price : 16.70
Evaluated at bid price : 16.70
Bid-YTW : 6.94 %
GWO.PR.Y Insurance Straight 1.75 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2053-08-29
Maturity Price : 16.31
Evaluated at bid price : 16.31
Bid-YTW : 7.05 %
IFC.PR.E Insurance Straight 1.76 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2053-08-29
Maturity Price : 19.10
Evaluated at bid price : 19.10
Bid-YTW : 6.95 %
GWO.PR.H Insurance Straight 1.78 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2053-08-29
Maturity Price : 17.75
Evaluated at bid price : 17.75
Bid-YTW : 6.98 %
BN.PF.H FixedReset Disc 2.17 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2053-08-29
Maturity Price : 18.40
Evaluated at bid price : 18.40
Bid-YTW : 10.47 %
GWO.PR.I Insurance Straight 2.48 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2053-08-29
Maturity Price : 16.50
Evaluated at bid price : 16.50
Bid-YTW : 6.97 %
Volume Highlights
Issue Index Shares
Traded		 Notes
RY.PR.H FixedReset Disc 179,275 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2053-08-29
Maturity Price : 16.96
Evaluated at bid price : 16.96
Bid-YTW : 9.18 %
CM.PR.O FixedReset Disc 148,777 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2053-08-29
Maturity Price : 17.10
Evaluated at bid price : 17.10
Bid-YTW : 9.17 %
BMO.PR.S FixedReset Disc 121,262 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2053-08-29
Maturity Price : 17.44
Evaluated at bid price : 17.44
Bid-YTW : 9.13 %
NA.PR.W FixedReset Disc 82,000 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2053-08-29
Maturity Price : 15.86
Evaluated at bid price : 15.86
Bid-YTW : 9.66 %
TD.PF.C FixedReset Disc 74,580 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2053-08-29
Maturity Price : 16.45
Evaluated at bid price : 16.45
Bid-YTW : 9.36 %
RY.PR.Z FixedReset Disc 65,888 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2053-08-29
Maturity Price : 17.00
Evaluated at bid price : 17.00
Bid-YTW : 9.18 %
There were 29 other index-included issues trading in excess of 10,000 shares.
Wide Spread Highlights
Issue Index Quote Data and Yield Notes
MFC.PR.Q FixedReset Ins Non Quote: 19.45 – 22.22
Spot Rate : 2.7700
Average : 1.8082

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2053-08-29
Maturity Price : 19.45
Evaluated at bid price : 19.45
Bid-YTW : 8.27 %
TD.PF.L FixedReset Disc Quote: 22.91 – 23.96
Spot Rate : 1.0500
Average : 0.6459

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2053-08-29
Maturity Price : 22.20
Evaluated at bid price : 22.91
Bid-YTW : 8.03 %
BN.PF.D Perpetual-Discount Quote: 16.64 – 17.50
Spot Rate : 0.8600
Average : 0.5069

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2053-08-29
Maturity Price : 16.64
Evaluated at bid price : 16.64
Bid-YTW : 7.53 %
NA.PR.W FixedReset Disc Quote: 15.86 – 16.69
Spot Rate : 0.8300
Average : 0.5825

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2053-08-29
Maturity Price : 15.86
Evaluated at bid price : 15.86
Bid-YTW : 9.66 %
TD.PF.E FixedReset Disc Quote: 17.04 – 17.81
Spot Rate : 0.7700
Average : 0.5228

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2053-08-29
Maturity Price : 17.04
Evaluated at bid price : 17.04
Bid-YTW : 9.40 %
CU.PR.I FixedReset Disc Quote: 19.90 – 21.99
Spot Rate : 2.0900
Average : 1.9179

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2053-08-29
Maturity Price : 19.90
Evaluated at bid price : 19.90
Bid-YTW : 9.13 %

Posted in Market Action | No Comments »

August 28, 2023

August 28th, 2023
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 -0.4820 % 2,194.4
FixedFloater 0.00 % 0.00 % 0 0.00 0 -0.4820 % 4,208.8
Floater 11.10 % 11.44 % 43,304 8.40 2 -0.4820 % 2,425.6
OpRet 0.00 % 0.00 % 0 0.00 0 0.0428 % 3,352.6
SplitShare 5.03 % 7.25 % 43,277 2.04 8 0.0428 % 4,003.7
Interest-Bearing 0.00 % 0.00 % 0 0.00 0 0.0428 % 3,123.8
Perpetual-Premium 0.00 % 0.00 % 0 0.00 0 0.3332 % 2,469.3
Perpetual-Discount 6.95 % 7.16 % 47,984 12.33 31 0.3332 % 2,692.6
FixedReset Disc 6.04 % 9.06 % 98,322 10.64 56 -0.0644 % 2,073.3
Insurance Straight 6.89 % 7.08 % 53,706 12.37 18 0.2815 % 2,612.0
FloatingReset 11.00 % 11.35 % 35,647 8.46 1 0.0000 % 2,431.9
FixedReset Prem 7.07 % 7.32 % 217,645 3.61 1 -0.2408 % 2,287.0
FixedReset Bank Non 0.00 % 0.00 % 0 0.00 0 -0.0644 % 2,119.3
FixedReset Ins Non 6.59 % 8.53 % 95,781 10.98 10 -0.4246 % 2,244.6
Performance Highlights
Issue Index Change Notes
BN.PF.H FixedReset Disc -3.69 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2053-08-28
Maturity Price : 18.01
Evaluated at bid price : 18.01
Bid-YTW : 10.69 %
RY.PR.J FixedReset Disc -2.19 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2053-08-28
Maturity Price : 17.41
Evaluated at bid price : 17.41
Bid-YTW : 9.20 %
GWO.PR.M Insurance Straight -1.64 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2053-08-28
Maturity Price : 21.00
Evaluated at bid price : 21.00
Bid-YTW : 7.05 %
MFC.PR.J FixedReset Ins Non -1.49 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2053-08-28
Maturity Price : 19.82
Evaluated at bid price : 19.82
Bid-YTW : 8.26 %
GWO.PR.Y Insurance Straight -1.41 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2053-08-28
Maturity Price : 16.03
Evaluated at bid price : 16.03
Bid-YTW : 7.17 %
IFC.PR.G FixedReset Ins Non -1.28 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2053-08-28
Maturity Price : 19.25
Evaluated at bid price : 19.25
Bid-YTW : 8.53 %
RY.PR.Z FixedReset Disc -1.15 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2053-08-28
Maturity Price : 17.25
Evaluated at bid price : 17.25
Bid-YTW : 9.05 %
IFC.PR.A FixedReset Ins Non -1.10 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2053-08-28
Maturity Price : 16.12
Evaluated at bid price : 16.12
Bid-YTW : 8.70 %
MFC.PR.I FixedReset Ins Non -1.09 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2053-08-28
Maturity Price : 20.05
Evaluated at bid price : 20.05
Bid-YTW : 8.35 %
BMO.PR.E FixedReset Disc -1.05 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2053-08-28
Maturity Price : 21.45
Evaluated at bid price : 21.75
Bid-YTW : 7.84 %
BN.PR.X FixedReset Disc -1.04 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2053-08-28
Maturity Price : 13.27
Evaluated at bid price : 13.27
Bid-YTW : 10.59 %
CU.PR.I FixedReset Disc 1.01 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2053-08-28
Maturity Price : 20.05
Evaluated at bid price : 20.05
Bid-YTW : 9.06 %
BN.PF.E FixedReset Disc 1.08 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2053-08-28
Maturity Price : 14.00
Evaluated at bid price : 14.00
Bid-YTW : 11.20 %
FTS.PR.K FixedReset Disc 1.16 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2053-08-28
Maturity Price : 16.54
Evaluated at bid price : 16.54
Bid-YTW : 9.28 %
FTS.PR.H FixedReset Disc 1.22 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2053-08-28
Maturity Price : 12.40
Evaluated at bid price : 12.40
Bid-YTW : 10.17 %
MFC.PR.C Insurance Straight 1.29 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2053-08-28
Maturity Price : 16.46
Evaluated at bid price : 16.46
Bid-YTW : 6.86 %
CU.PR.G Perpetual-Discount 1.54 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2053-08-28
Maturity Price : 16.50
Evaluated at bid price : 16.50
Bid-YTW : 6.87 %
FTS.PR.F Perpetual-Discount 1.56 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2053-08-28
Maturity Price : 19.50
Evaluated at bid price : 19.50
Bid-YTW : 6.33 %
SLF.PR.E Insurance Straight 1.67 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2053-08-28
Maturity Price : 17.08
Evaluated at bid price : 17.08
Bid-YTW : 6.72 %
FTS.PR.J Perpetual-Discount 1.71 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2053-08-28
Maturity Price : 18.45
Evaluated at bid price : 18.45
Bid-YTW : 6.48 %
MFC.PR.L FixedReset Ins Non 2.17 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2053-08-28
Maturity Price : 16.50
Evaluated at bid price : 16.50
Bid-YTW : 9.33 %
POW.PR.C Perpetual-Discount 3.96 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2053-08-28
Maturity Price : 21.25
Evaluated at bid price : 21.52
Bid-YTW : 6.84 %
SLF.PR.C Insurance Straight 6.18 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2053-08-28
Maturity Price : 17.00
Evaluated at bid price : 17.00
Bid-YTW : 6.68 %
Volume Highlights
Issue Index Shares
Traded		 Notes
RY.PR.Z FixedReset Disc 117,000 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2053-08-28
Maturity Price : 17.25
Evaluated at bid price : 17.25
Bid-YTW : 9.05 %
BN.PR.K Floater 114,000 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2053-08-28
Maturity Price : 11.37
Evaluated at bid price : 11.37
Bid-YTW : 11.44 %
TD.PF.B FixedReset Disc 107,000 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2053-08-28
Maturity Price : 17.01
Evaluated at bid price : 17.01
Bid-YTW : 9.23 %
BN.PF.G FixedReset Disc 104,000 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2053-08-28
Maturity Price : 14.45
Evaluated at bid price : 14.45
Bid-YTW : 11.17 %
CU.PR.C FixedReset Disc 57,400 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2053-08-28
Maturity Price : 17.07
Evaluated at bid price : 17.07
Bid-YTW : 9.04 %
BN.PF.B FixedReset Disc 49,200 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2053-08-28
Maturity Price : 16.02
Evaluated at bid price : 16.02
Bid-YTW : 10.50 %
There were 37 other index-included issues trading in excess of 10,000 shares.
Wide Spread Highlights
Issue Index Quote Data and Yield Notes
BN.PF.A FixedReset Disc Quote: 19.40 – 20.50
Spot Rate : 1.1000
Average : 0.7021

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2053-08-28
Maturity Price : 19.40
Evaluated at bid price : 19.40
Bid-YTW : 9.24 %
RY.PR.J FixedReset Disc Quote: 17.41 – 18.50
Spot Rate : 1.0900
Average : 0.8228

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2053-08-28
Maturity Price : 17.41
Evaluated at bid price : 17.41
Bid-YTW : 9.20 %
FTS.PR.M FixedReset Disc Quote: 16.40 – 16.99
Spot Rate : 0.5900
Average : 0.3475

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2053-08-28
Maturity Price : 16.40
Evaluated at bid price : 16.40
Bid-YTW : 9.71 %
BIP.PR.B FixedReset Disc Quote: 21.12 – 21.95
Spot Rate : 0.8300
Average : 0.5977

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2053-08-28
Maturity Price : 21.12
Evaluated at bid price : 21.12
Bid-YTW : 9.63 %
CM.PR.T FixedReset Disc Quote: 22.55 – 23.40
Spot Rate : 0.8500
Average : 0.6277

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2053-08-28
Maturity Price : 21.98
Evaluated at bid price : 22.55
Bid-YTW : 8.16 %
CU.PR.I FixedReset Disc Quote: 20.05 – 21.99
Spot Rate : 1.9400
Average : 1.7291

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2053-08-28
Maturity Price : 20.05
Evaluated at bid price : 20.05
Bid-YTW : 9.06 %

Posted in Market Action | 5 Comments »

August 25, 2023

August 25th, 2023
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 0.7506 % 2,205.0
FixedFloater 0.00 % 0.00 % 0 0.00 0 0.7506 % 4,229.2
Floater 11.04 % 11.38 % 40,122 8.45 2 0.7506 % 2,437.3
OpRet 0.00 % 0.00 % 0 0.00 0 0.3220 % 3,351.1
SplitShare 5.03 % 7.28 % 43,138 2.05 8 0.3220 % 4,001.9
Interest-Bearing 0.00 % 0.00 % 0 0.00 0 0.3220 % 3,122.5
Perpetual-Premium 0.00 % 0.00 % 0 0.00 0 -0.2519 % 2,461.1
Perpetual-Discount 6.97 % 7.15 % 48,213 12.32 31 -0.2519 % 2,683.7
FixedReset Disc 6.03 % 9.17 % 91,139 10.57 56 -0.0936 % 2,074.6
Insurance Straight 6.91 % 7.07 % 54,794 12.39 18 -0.8861 % 2,604.7
FloatingReset 11.00 % 11.34 % 35,696 8.47 1 -0.5917 % 2,431.9
FixedReset Prem 7.05 % 7.23 % 219,804 3.62 1 0.0401 % 2,292.5
FixedReset Bank Non 0.00 % 0.00 % 0 0.00 0 -0.0936 % 2,120.7
FixedReset Ins Non 6.56 % 8.50 % 88,600 11.04 10 0.1020 % 2,254.1
Performance Highlights
Issue Index Change Notes
SLF.PR.C Insurance Straight -5.93 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2053-08-25
Maturity Price : 16.01
Evaluated at bid price : 16.01
Bid-YTW : 7.09 %
POW.PR.C Perpetual-Discount -2.82 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2053-08-25
Maturity Price : 20.70
Evaluated at bid price : 20.70
Bid-YTW : 7.13 %
CU.PR.I FixedReset Disc -2.26 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2053-08-25
Maturity Price : 19.85
Evaluated at bid price : 19.85
Bid-YTW : 9.24 %
MFC.PR.C Insurance Straight -2.11 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2053-08-25
Maturity Price : 16.25
Evaluated at bid price : 16.25
Bid-YTW : 6.95 %
IFC.PR.E Insurance Straight -2.05 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2053-08-25
Maturity Price : 18.61
Evaluated at bid price : 18.61
Bid-YTW : 7.13 %
FTS.PR.H FixedReset Disc -2.00 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2053-08-25
Maturity Price : 12.25
Evaluated at bid price : 12.25
Bid-YTW : 10.44 %
BN.PR.Z FixedReset Disc -1.71 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2053-08-25
Maturity Price : 17.25
Evaluated at bid price : 17.25
Bid-YTW : 10.05 %
GWO.PR.I Insurance Straight -1.69 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2053-08-25
Maturity Price : 16.26
Evaluated at bid price : 16.26
Bid-YTW : 7.06 %
BN.PF.B FixedReset Disc -1.54 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2053-08-25
Maturity Price : 15.95
Evaluated at bid price : 15.95
Bid-YTW : 10.69 %
BN.PR.X FixedReset Disc -1.54 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2053-08-25
Maturity Price : 13.41
Evaluated at bid price : 13.41
Bid-YTW : 10.59 %
SLF.PR.E Insurance Straight -1.52 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2053-08-25
Maturity Price : 16.80
Evaluated at bid price : 16.80
Bid-YTW : 6.83 %
TD.PF.D FixedReset Disc -1.49 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2053-08-25
Maturity Price : 17.24
Evaluated at bid price : 17.24
Bid-YTW : 9.41 %
GWO.PR.Y Insurance Straight -1.39 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2053-08-25
Maturity Price : 16.26
Evaluated at bid price : 16.26
Bid-YTW : 7.06 %
IFC.PR.K Perpetual-Discount -1.27 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2053-08-25
Maturity Price : 18.72
Evaluated at bid price : 18.72
Bid-YTW : 7.16 %
BMO.PR.W FixedReset Disc -1.16 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2053-08-25
Maturity Price : 16.25
Evaluated at bid price : 16.25
Bid-YTW : 9.58 %
BN.PF.J FixedReset Disc -1.07 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2053-08-25
Maturity Price : 18.50
Evaluated at bid price : 18.50
Bid-YTW : 9.57 %
PWF.PF.A Perpetual-Discount -1.06 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2053-08-25
Maturity Price : 15.88
Evaluated at bid price : 15.88
Bid-YTW : 7.19 %
IFC.PR.F Insurance Straight -1.04 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2053-08-25
Maturity Price : 19.08
Evaluated at bid price : 19.08
Bid-YTW : 7.09 %
BN.PF.E FixedReset Disc 1.09 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2053-08-25
Maturity Price : 13.85
Evaluated at bid price : 13.85
Bid-YTW : 11.45 %
BN.PF.F FixedReset Disc 1.10 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2053-08-25
Maturity Price : 15.65
Evaluated at bid price : 15.65
Bid-YTW : 11.06 %
RY.PR.H FixedReset Disc 1.29 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2053-08-25
Maturity Price : 17.32
Evaluated at bid price : 17.32
Bid-YTW : 9.12 %
GWO.PR.M Insurance Straight 1.43 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2053-08-25
Maturity Price : 21.35
Evaluated at bid price : 21.35
Bid-YTW : 6.93 %
BN.PR.K Floater 1.51 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2053-08-25
Maturity Price : 11.42
Evaluated at bid price : 11.42
Bid-YTW : 11.38 %
MFC.PR.I FixedReset Ins Non 1.55 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2053-08-25
Maturity Price : 20.27
Evaluated at bid price : 20.27
Bid-YTW : 8.34 %
PVS.PR.J SplitShare 1.83 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2028-02-29
Maturity Price : 25.00
Evaluated at bid price : 22.20
Bid-YTW : 7.36 %
BN.PF.I FixedReset Disc 2.09 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2053-08-25
Maturity Price : 18.06
Evaluated at bid price : 18.06
Bid-YTW : 10.20 %
BN.PF.H FixedReset Disc 3.83 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2053-08-25
Maturity Price : 18.70
Evaluated at bid price : 18.70
Bid-YTW : 10.40 %
Volume Highlights
Issue Index Shares
Traded		 Notes
BN.PF.F FixedReset Disc 48,100 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2053-08-25
Maturity Price : 15.65
Evaluated at bid price : 15.65
Bid-YTW : 11.06 %
MFC.PR.J FixedReset Ins Non 28,500 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2053-08-25
Maturity Price : 20.12
Evaluated at bid price : 20.12
Bid-YTW : 8.22 %
BN.PF.A FixedReset Disc 23,182 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2053-08-25
Maturity Price : 19.45
Evaluated at bid price : 19.45
Bid-YTW : 9.34 %
CM.PR.P FixedReset Disc 20,300 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2053-08-25
Maturity Price : 16.40
Evaluated at bid price : 16.40
Bid-YTW : 9.43 %
POW.PR.G Perpetual-Discount 16,800 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2053-08-25
Maturity Price : 19.90
Evaluated at bid price : 19.90
Bid-YTW : 7.16 %
BIP.PR.F FixedReset Disc 12,300 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2053-08-25
Maturity Price : 20.00
Evaluated at bid price : 20.00
Bid-YTW : 8.98 %
There were 5 other index-included issues trading in excess of 10,000 shares.
Wide Spread Highlights
Issue Index Quote Data and Yield Notes
POW.PR.B Perpetual-Discount Quote: 18.95 – 20.73
Spot Rate : 1.7800
Average : 0.9610

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2053-08-25
Maturity Price : 18.95
Evaluated at bid price : 18.95
Bid-YTW : 7.18 %
CU.PR.I FixedReset Disc Quote: 19.85 – 21.99
Spot Rate : 2.1400
Average : 1.4979

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2053-08-25
Maturity Price : 19.85
Evaluated at bid price : 19.85
Bid-YTW : 9.24 %
SLF.PR.C Insurance Straight Quote: 16.01 – 17.09
Spot Rate : 1.0800
Average : 0.6518

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2053-08-25
Maturity Price : 16.01
Evaluated at bid price : 16.01
Bid-YTW : 7.09 %
GWO.PR.T Insurance Straight Quote: 18.80 – 20.19
Spot Rate : 1.3900
Average : 1.0657

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2053-08-25
Maturity Price : 18.80
Evaluated at bid price : 18.80
Bid-YTW : 6.99 %
IFC.PR.E Insurance Straight Quote: 18.61 – 19.39
Spot Rate : 0.7800
Average : 0.5103

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2053-08-25
Maturity Price : 18.61
Evaluated at bid price : 18.61
Bid-YTW : 7.13 %
POW.PR.C Perpetual-Discount Quote: 20.70 – 21.35
Spot Rate : 0.6500
Average : 0.4548

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2053-08-25
Maturity Price : 20.70
Evaluated at bid price : 20.70
Bid-YTW : 7.13 %

Posted in Market Action | No Comments »

August 24, 2023

August 24th, 2023
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 -1.1349 % 2,188.6
FixedFloater 0.00 % 0.00 % 0 0.00 0 -1.1349 % 4,197.7
Floater 11.13 % 11.39 % 55,133 8.44 2 -1.1349 % 2,419.2
OpRet 0.00 % 0.00 % 0 0.00 0 -0.2783 % 3,340.4
SplitShare 5.04 % 7.31 % 43,333 2.05 8 -0.2783 % 3,989.1
Interest-Bearing 0.00 % 0.00 % 0 0.00 0 -0.2783 % 3,112.5
Perpetual-Premium 0.00 % 0.00 % 0 0.00 0 0.0437 % 2,467.3
Perpetual-Discount 6.95 % 7.13 % 47,838 12.38 31 0.0437 % 2,690.4
FixedReset Disc 6.03 % 9.15 % 94,351 10.56 56 -0.4659 % 2,076.6
Insurance Straight 6.85 % 7.01 % 54,893 12.46 18 -0.0674 % 2,628.0
FloatingReset 10.93 % 11.26 % 35,915 8.52 1 0.0658 % 2,446.4
FixedReset Prem 7.05 % 7.24 % 223,375 3.62 1 0.4435 % 2,291.6
FixedReset Bank Non 0.00 % 0.00 % 0 0.00 0 -0.4659 % 2,122.7
FixedReset Ins Non 6.57 % 8.52 % 89,866 11.06 10 -0.0793 % 2,251.9
Performance Highlights
Issue Index Change Notes
BN.PF.H FixedReset Disc -4.81 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2053-08-24
Maturity Price : 18.01
Evaluated at bid price : 18.01
Bid-YTW : 10.78 %
BN.PF.E FixedReset Disc -3.18 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2053-08-24
Maturity Price : 13.70
Evaluated at bid price : 13.70
Bid-YTW : 11.57 %
BN.PF.I FixedReset Disc -2.53 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2053-08-24
Maturity Price : 17.69
Evaluated at bid price : 17.69
Bid-YTW : 10.40 %
PVS.PR.J SplitShare -1.80 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2028-02-29
Maturity Price : 25.00
Evaluated at bid price : 21.80
Bid-YTW : 7.82 %
CM.PR.Y FixedReset Disc -1.69 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2053-08-24
Maturity Price : 22.69
Evaluated at bid price : 23.25
Bid-YTW : 8.26 %
TD.PF.E FixedReset Disc -1.48 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2053-08-24
Maturity Price : 18.01
Evaluated at bid price : 18.01
Bid-YTW : 9.02 %
SLF.PR.D Insurance Straight -1.46 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2053-08-24
Maturity Price : 16.85
Evaluated at bid price : 16.85
Bid-YTW : 6.73 %
BN.PR.K Floater -1.40 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2053-08-24
Maturity Price : 11.25
Evaluated at bid price : 11.25
Bid-YTW : 11.55 %
BN.PR.R FixedReset Disc -1.24 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2053-08-24
Maturity Price : 12.77
Evaluated at bid price : 12.77
Bid-YTW : 11.31 %
BIP.PR.F FixedReset Disc -1.23 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2053-08-24
Maturity Price : 20.00
Evaluated at bid price : 20.00
Bid-YTW : 8.98 %
MFC.PR.M FixedReset Ins Non -1.20 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2053-08-24
Maturity Price : 16.51
Evaluated at bid price : 16.51
Bid-YTW : 9.55 %
RY.PR.J FixedReset Disc -1.11 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2053-08-24
Maturity Price : 17.80
Evaluated at bid price : 17.80
Bid-YTW : 9.11 %
RY.PR.M FixedReset Disc -1.09 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2053-08-24
Maturity Price : 17.27
Evaluated at bid price : 17.27
Bid-YTW : 8.98 %
CIU.PR.A Perpetual-Discount 1.05 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2053-08-24
Maturity Price : 16.42
Evaluated at bid price : 16.42
Bid-YTW : 7.05 %
POW.PR.A Perpetual-Discount 1.05 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2053-08-24
Maturity Price : 20.25
Evaluated at bid price : 20.25
Bid-YTW : 7.03 %
ELF.PR.F Perpetual-Discount 1.05 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2053-08-24
Maturity Price : 19.20
Evaluated at bid price : 19.20
Bid-YTW : 7.02 %
MFC.PR.N FixedReset Ins Non 1.25 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2053-08-24
Maturity Price : 16.25
Evaluated at bid price : 16.25
Bid-YTW : 9.50 %
Volume Highlights
Issue Index Shares
Traded		 Notes
BN.PF.F FixedReset Disc 255,900 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2053-08-24
Maturity Price : 15.48
Evaluated at bid price : 15.48
Bid-YTW : 11.18 %
CM.PR.O FixedReset Disc 69,870 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2053-08-24
Maturity Price : 17.10
Evaluated at bid price : 17.10
Bid-YTW : 9.29 %
RY.PR.Z FixedReset Disc 63,351 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2053-08-24
Maturity Price : 17.34
Evaluated at bid price : 17.34
Bid-YTW : 9.12 %
TD.PF.B FixedReset Disc 48,502 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2053-08-24
Maturity Price : 17.27
Evaluated at bid price : 17.27
Bid-YTW : 9.21 %
NA.PR.W FixedReset Disc 46,700 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2053-08-24
Maturity Price : 16.06
Evaluated at bid price : 16.06
Bid-YTW : 9.67 %
GWO.PR.H Insurance Straight 26,340 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2053-08-24
Maturity Price : 17.64
Evaluated at bid price : 17.64
Bid-YTW : 7.02 %
There were 9 other index-included issues trading in excess of 10,000 shares.
Wide Spread Highlights
Issue Index Quote Data and Yield Notes
NA.PR.W FixedReset Disc Quote: 16.06 – 17.49
Spot Rate : 1.4300
Average : 0.8987

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2053-08-24
Maturity Price : 16.06
Evaluated at bid price : 16.06
Bid-YTW : 9.67 %
BN.PF.H FixedReset Disc Quote: 18.01 – 19.20
Spot Rate : 1.1900
Average : 0.7664

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2053-08-24
Maturity Price : 18.01
Evaluated at bid price : 18.01
Bid-YTW : 10.78 %
TD.PF.M FixedReset Disc Quote: 23.65 – 24.56
Spot Rate : 0.9100
Average : 0.6145

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2053-08-24
Maturity Price : 23.07
Evaluated at bid price : 23.65
Bid-YTW : 8.11 %
BN.PF.I FixedReset Disc Quote: 17.69 – 18.69
Spot Rate : 1.0000
Average : 0.7201

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2053-08-24
Maturity Price : 17.69
Evaluated at bid price : 17.69
Bid-YTW : 10.40 %
BMO.PR.T FixedReset Disc Quote: 16.66 – 17.39
Spot Rate : 0.7300
Average : 0.5226

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2053-08-24
Maturity Price : 16.66
Evaluated at bid price : 16.66
Bid-YTW : 9.43 %
MFC.PR.M FixedReset Ins Non Quote: 16.51 – 18.00
Spot Rate : 1.4900
Average : 1.3004

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2053-08-24
Maturity Price : 16.51
Evaluated at bid price : 16.51
Bid-YTW : 9.55 %

Posted in Market Action | 5 Comments »

August 23, 2023

August 23rd, 2023

PerpetualDiscounts now yield 7.13%, equivalent to 9.27% interest at the standard equivalency factor of 1.3x. Long corporates yielded 5.43% on 2023-8-18 and since then the closing price has changed from 14.45 to 14.57, an increase of 83bp in price, with a Duration of 12.05 (BMO doesn’t specify whether this is Macaulay or Modified Duration; I will assume Modified) which implies a decrease in yield of about 7bp since 8/18 to 5.36%, so the pre-tax interest-equivalent spread (in this context, the “Seniority Spread”) has roared up to 390bp from the 350bp reported August 16.

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 0.0000 % 2,213.7
FixedFloater 0.00 % 0.00 % 0 0.00 0 0.0000 % 4,245.9
Floater 11.00 % 11.29 % 55,757 8.51 2 0.0000 % 2,446.9
OpRet 0.00 % 0.00 % 0 0.00 0 0.8202 % 3,349.7
SplitShare 5.03 % 7.23 % 42,574 2.06 8 0.8202 % 4,000.2
Interest-Bearing 0.00 % 0.00 % 0 0.00 0 0.8202 % 3,121.1
Perpetual-Premium 0.00 % 0.00 % 0 0.00 0 0.2385 % 2,466.2
Perpetual-Discount 6.96 % 7.13 % 47,247 12.38 31 0.2385 % 2,689.3
FixedReset Disc 6.00 % 9.14 % 95,963 10.59 56 0.1059 % 2,086.3
Insurance Straight 6.84 % 7.02 % 55,472 12.45 18 0.2150 % 2,629.8
FloatingReset 10.94 % 11.27 % 36,481 8.52 1 0.5956 % 2,444.8
FixedReset Prem 7.08 % 7.36 % 225,228 3.62 1 1.5561 % 2,281.4
FixedReset Bank Non 0.00 % 0.00 % 0 0.00 0 0.1059 % 2,132.6
FixedReset Ins Non 6.56 % 8.53 % 89,239 11.12 10 0.0737 % 2,253.6
Performance Highlights
Issue Index Change Notes
BMO.PR.Y FixedReset Disc -2.42 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2053-08-23
Maturity Price : 17.32
Evaluated at bid price : 17.32
Bid-YTW : 9.17 %
MFC.PR.N FixedReset Ins Non -2.07 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2053-08-23
Maturity Price : 16.05
Evaluated at bid price : 16.05
Bid-YTW : 9.62 %
IFC.PR.E Insurance Straight -1.50 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2053-08-23
Maturity Price : 19.01
Evaluated at bid price : 19.01
Bid-YTW : 6.98 %
BN.PF.G FixedReset Disc -1.37 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2053-08-23
Maturity Price : 14.35
Evaluated at bid price : 14.35
Bid-YTW : 11.37 %
MFC.PR.C Insurance Straight -1.19 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2053-08-23
Maturity Price : 16.55
Evaluated at bid price : 16.55
Bid-YTW : 6.82 %
RY.PR.Z FixedReset Disc -1.14 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2053-08-23
Maturity Price : 17.30
Evaluated at bid price : 17.30
Bid-YTW : 9.14 %
SLF.PR.C Insurance Straight -1.10 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2053-08-23
Maturity Price : 17.01
Evaluated at bid price : 17.01
Bid-YTW : 6.67 %
CIU.PR.A Perpetual-Discount -1.04 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2053-08-23
Maturity Price : 16.25
Evaluated at bid price : 16.25
Bid-YTW : 7.13 %
PWF.PR.H Perpetual-Discount 1.10 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2053-08-23
Maturity Price : 20.26
Evaluated at bid price : 20.26
Bid-YTW : 7.19 %
BMO.PR.E FixedReset Disc 1.10 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2053-08-23
Maturity Price : 21.62
Evaluated at bid price : 21.98
Bid-YTW : 7.85 %
PWF.PR.O Perpetual-Discount 1.13 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2053-08-23
Maturity Price : 20.50
Evaluated at bid price : 20.50
Bid-YTW : 7.17 %
CU.PR.D Perpetual-Discount 1.14 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2053-08-23
Maturity Price : 17.80
Evaluated at bid price : 17.80
Bid-YTW : 6.93 %
CU.PR.E Perpetual-Discount 1.14 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2053-08-23
Maturity Price : 17.70
Evaluated at bid price : 17.70
Bid-YTW : 6.97 %
POW.PR.C Perpetual-Discount 1.48 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2053-08-23
Maturity Price : 21.30
Evaluated at bid price : 21.30
Bid-YTW : 6.92 %
TD.PF.E FixedReset Disc 1.50 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2053-08-23
Maturity Price : 18.28
Evaluated at bid price : 18.28
Bid-YTW : 8.89 %
NA.PR.C FixedReset Prem 1.56 % YTW SCENARIO
Maturity Type : Call
Maturity Date : 2027-11-15
Maturity Price : 25.00
Evaluated at bid price : 24.80
Bid-YTW : 7.36 %
TD.PF.A FixedReset Disc 1.65 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2053-08-23
Maturity Price : 17.30
Evaluated at bid price : 17.30
Bid-YTW : 9.06 %
BN.PF.J FixedReset Disc 1.75 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2053-08-23
Maturity Price : 18.65
Evaluated at bid price : 18.65
Bid-YTW : 9.49 %
PVS.PR.J SplitShare 1.83 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2028-02-29
Maturity Price : 25.00
Evaluated at bid price : 22.20
Bid-YTW : 7.35 %
PVS.PR.K SplitShare 2.01 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2029-05-31
Maturity Price : 25.00
Evaluated at bid price : 20.81
Bid-YTW : 8.16 %
MFC.PR.L FixedReset Ins Non 2.41 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2053-08-23
Maturity Price : 16.15
Evaluated at bid price : 16.15
Bid-YTW : 9.66 %
BN.PF.E FixedReset Disc 3.28 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2053-08-23
Maturity Price : 14.15
Evaluated at bid price : 14.15
Bid-YTW : 11.21 %
TD.PF.I FixedReset Disc 4.55 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2053-08-23
Maturity Price : 22.33
Evaluated at bid price : 23.00
Bid-YTW : 7.62 %
GWO.PR.I Insurance Straight 7.78 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2053-08-23
Maturity Price : 16.49
Evaluated at bid price : 16.49
Bid-YTW : 6.96 %
Volume Highlights
Issue Index Shares
Traded		 Notes
POW.PR.G Perpetual-Discount 111,500 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2053-08-23
Maturity Price : 19.85
Evaluated at bid price : 19.85
Bid-YTW : 7.18 %
TD.PF.C FixedReset Disc 65,000 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2053-08-23
Maturity Price : 16.70
Evaluated at bid price : 16.70
Bid-YTW : 9.34 %
NA.PR.W FixedReset Disc 51,700 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2053-08-23
Maturity Price : 16.16
Evaluated at bid price : 16.16
Bid-YTW : 9.61 %
RY.PR.Z FixedReset Disc 49,831 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2053-08-23
Maturity Price : 17.30
Evaluated at bid price : 17.30
Bid-YTW : 9.14 %
CM.PR.Q FixedReset Disc 38,200 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2053-08-23
Maturity Price : 17.25
Evaluated at bid price : 17.25
Bid-YTW : 9.28 %
POW.PR.D Perpetual-Discount 37,505 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2053-08-23
Maturity Price : 17.81
Evaluated at bid price : 17.81
Bid-YTW : 7.14 %
There were 24 other index-included issues trading in excess of 10,000 shares.
Wide Spread Highlights
Issue Index Quote Data and Yield Notes
CU.PR.E Perpetual-Discount Quote: 17.70 – 22.12
Spot Rate : 4.4200
Average : 2.4221

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2053-08-23
Maturity Price : 17.70
Evaluated at bid price : 17.70
Bid-YTW : 6.97 %
POW.PR.A Perpetual-Discount Quote: 20.04 – 21.50
Spot Rate : 1.4600
Average : 0.8448

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2053-08-23
Maturity Price : 20.04
Evaluated at bid price : 20.04
Bid-YTW : 7.11 %
GWO.PR.P Insurance Straight Quote: 19.44 – 20.47
Spot Rate : 1.0300
Average : 0.6544

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2053-08-23
Maturity Price : 19.44
Evaluated at bid price : 19.44
Bid-YTW : 7.09 %
PWF.PR.F Perpetual-Discount Quote: 18.63 – 19.50
Spot Rate : 0.8700
Average : 0.5459

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2053-08-23
Maturity Price : 18.63
Evaluated at bid price : 18.63
Bid-YTW : 7.14 %
BIP.PR.B FixedReset Disc Quote: 21.10 – 21.95
Spot Rate : 0.8500
Average : 0.5389

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2053-08-23
Maturity Price : 21.10
Evaluated at bid price : 21.10
Bid-YTW : 9.72 %
MFC.PR.Q FixedReset Ins Non Quote: 19.45 – 22.22
Spot Rate : 2.7700
Average : 2.4756

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2053-08-23
Maturity Price : 19.45
Evaluated at bid price : 19.45
Bid-YTW : 8.34 %

Posted in Market Action | 16 Comments »

August 23, 2023

August 22nd, 2023

TXPR closed at 513.17, down 1.18% on the day and setting a new 52-week low. Volume today was 2.05-million, third-highest of the past 21 trading days.

CPD closed at 10.25, down 0.77% on the day and setting a new 52-week low. Volume was 78,390, second-highest of the past 21 trading days.

ZPR closed at 8.60, down 1.15% on the day, but staying above its 52-week low of 8.48. Volume was 116,720, above the median of the past 21 trading days.

Five-year Canada yields were up to 4.23%.

At this rate, yields on preferreds shares are gonna be calculated as undefined over nuthin’!

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<
br>Value		 Median
Mod Dur
(YTW)		 Issues Day’s Perf. Index Value
Ratchet 0.00 % 0.00 % 0 0.0
0		 0 -0.4346 % 2,213.7
FixedFloater 0.00 % 0.00 % 0 0.00 0 -0.4346 % 4,245.9
Floater 11.00 % 11.28 % 54,166 8.51 2 -0.4346 % 2,446.9
OpRet 0.00 % 0.
00 %		 0 0.00 0 0.2000 % 3,322.4
SplitShare 5.07 % 7.46 % 44,028 2.05 8 0.2000 % 3,967.7
Interest-Bearing 0.00 % 0.00 % 0 0.00 0 0.2000 % 3,095.8
Perpetual-Premium 0.00 % 0.00 % 0 0.00 0 -0.6586 % 2,460.3
Perpetual-Discount 6.97 % 7.13
%		 47,862 12.36 31 -0.6586 % 2,682.9
FixedReset Disc 6.00 % 9.06 % 98,793 10.59 56 -1.0984 % 2,084.1
Insurance Straight 6.86 % 7.00 % 52,321 12.48 18 -0.8495 % 2,624.1
FloatingReset 11.00 % 11.33 % 36,962 8.48 1 0.0662 % 2,430.3
FixedReset Prem 7.19 % 7.65 % 228,532 11.83 1 -2.3200 % 2,246.5
FixedReset Bank Non 0.00 % 0.00 % 0 0.00 0 -1.0984 % 2,130.4
FixedReset Ins Non 6.57 % 8.52 % 86,741 11.12 10 -1
.3362 %		 2,252.0
Performance Highlights
Issue Index Change Notes
TD.PF.I FixedReset Disc -5.58 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2053-08-22
Maturity Price : 21.67
Evaluated at bid price : 22.00
Bid-YTW : 7.98 %
RY.PR.M FixedReset Disc -3.94 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2053-08-22
Maturity Price : 17.30
Evaluated at bid price : 17.30
Bid-YTW : 8.96 %
BN.PF.E FixedReset Disc -3.93 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2053-08-22
Maturity Price : 13.70
Evaluated at bid price : 13.70
Bid-YTW : 11.56 %
BN.PR.Z FixedReset Disc -2.71 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2053-08-22
Maturity Price : 17.56
Evaluated at bid price : 17.56
Bid-YTW : 9.87 %
NA.PR.C FixedReset Prem -2.32 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2053-08-22
Maturity Price : 23.01
Evaluated at bid price : 24.42
Bid-YTW : 7.65 %
BIK.PR.A FixedReset Disc -2.31 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2053-08-22
Maturity Price : 21.10
Evaluated at bid price : 21.10
Bid-YTW : 9.70 %
BMO.PR.T FixedReset Disc -2.29 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2053-08-22
Maturity Price : 16.62
Evaluated at bid price : 16.62
Bid-YTW : 9.45 %
IFC.PR.F Insurance Straight -2.28 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2053-08-22
Maturity Price : 19.30
Evaluated at bid price : 19.30
Bid-YTW : 7.00 %
BN.PR.R FixedReset Disc -2.26 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2053-08-22
Maturity Price : 12.95
Evaluated at bid price : 12.95
Bid-YTW : 11.15 %
NA.PR.E FixedReset Disc -2.20 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2053-08-22
Maturity Price : 20.05
Evaluated at bid price : 20.05
Bid-YTW : 8.13 %
BN.PF.G FixedReset Disc -2.15 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2053-08-22
Maturity Price : 14.55
Evaluated at bid price : 14.55
Bid-YTW : 11.22 %
TD.PF.E FixedReset Disc -2.12 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2053-08-22
Maturity Price : 18.01
Evaluated at bid price : 18.01
Bid-YTW : 9.01 %
GWO.PR.Y Insurance Straight -2.11 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2053-08-22
Maturity Price : 16.25
Evaluated at bid price : 16.25
Bid-YTW : 7.06 %
ELF.PR.F Perpetual-Discount -1.86 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2053-08-22
Maturity Price : 18.99
Evaluated at bid price : 18.99
Bid-YTW : 7.09 %
TD.PF.A FixedReset Disc -1.85 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2053-08-22
Maturity Price : 17.02
Evaluated at bid price : 17.02
Bid-YTW : 9.21 %
CM.PR.O FixedReset Disc -1.84 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2053-08-22
Maturity Price : 17.11
Evaluated at bid price : 17.11
Bid-YTW : 9.28 %
CU.PR.I FixedReset Disc -1.75 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2053-08-22
Maturity Price : 20.25
Evaluated at bid price : 20.25
Bid-YTW : 9.06 %
PWF.PR.O Perpetual-Discount -1.65 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2053-08-22
Maturity Price : 20.27
Evaluated at bid price : 20.27
Bid-YTW : 7.25 %
RY.PR.N Perpetual-Discount -1.63 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2053-08-22
Maturity Price : 20.51
Evaluated at bid price : 20.51
Bid-YTW : 6.01 %
NA.PR.S FixedReset Disc -1.62 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2053-08-22
Maturity Price : 17.61
Evaluated at bid price : 17.61
Bid-YTW : 9.29 %
BN.PF.B FixedReset Disc -1.55 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2053-08-22
Maturity Price : 16.50
Evaluated at bid price : 16.50
Bid-YTW : 10.32 %
BN.PR.T FixedReset Disc -1.48 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2053-08-22
Maturity Price : 13.30
Evaluated at bid price : 13.30
Bid-YTW : 10.81 %
PWF.PR.L Perpetual-Discount -1.48 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2053-08-22
Maturity Price : 17.98
Evaluated at bid price : 17.98
Bid-YTW : 7.19 %
CU.PR.C FixedReset Disc -1.45 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2053-08-22
Maturity Price : 17.00
Evaluated at bid price : 17.00
Bid-YTW : 9.16 %
CM.PR.P FixedReset Disc -1.45 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2053-08-22
Maturity Price : 16.36
Evaluated at bid price : 16.36
Bid-YTW : 9.45 %
BN.PR.N Perpetual-Discount -1.43 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2053-08-22
Maturity Price : 16.50
Evaluated at bid price : 16.50
Bid-YTW : 7.35 %
NA.PR.W FixedReset Disc -1.40 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2053-08-22
Maturity Price : 16.22
Evaluated at bid price : 16.22
Bid-YTW : 9.57 %
SLF.PR.E Insurance Straight -1.38 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2053-08-22
Maturity Price : 17.16
Evaluated at bid price : 17.16
Bid-YTW : 6.68 %
RY.PR.J FixedReset Disc -1.37 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2053-08-22
Maturity Price : 18.05
Evaluated at bid price : 18.05
Bid-YTW : 8.98 %
TD.PF.C FixedReset Disc -1.35 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2053-08-22
Maturity Price : 16.82
Evaluated at bid price : 16.82
Bid-YTW : 9.28 %
BN.PF.H FixedReset Disc -1.31 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2053-08-22
Maturity Price : 18.85
Evaluated at bid price : 18.85
Bid-YTW : 10.32 %
RY.PR.S FixedReset Disc -1.29 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2053-08-22
Maturity Price : 19.86
Evaluated at bid price : 19.86
Bid-YTW : 8.28 %
BMO.PR.W FixedReset Disc -1.25 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2053-08-22
Maturity Price : 16.63
Evaluated at bid price : 16.63
Bid-YTW : 9.36 %
PWF.PF.A Perpetual-Discount -1.23 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2053-08-22
Maturity Price : 16.05
Evaluated at bid price : 16.05
Bid-YTW : 7.10 %
BN.PF.F FixedReset Disc -1.20 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2053-08-22
Maturity Price : 15.68
Evaluated at bid price : 15.68
Bid-YTW : 11.03 %
MFC.PR.Q FixedReset Ins Non -1.19 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2053-08-22
Maturity Price : 19.45
Evaluated at bid price : 19.45
Bid-YTW : 8.34 %
BN.PF.J FixedReset Disc -1.19 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2053-08-22
Maturity Price : 18.33
Evaluated at bid price : 18.33
Bid-YTW : 9.65 %
PWF.PR.H Perpetual-Discount -1.18 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2053-08-22
Maturity Price : 20.04
Evaluated at bid price : 20.04
Bid-YTW : 7.27 %
GWO.PR.M Insurance Straight -1.17 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2053-08-22
Maturity Price : 21.15
Evaluated at bid price : 21.15
Bid-YTW : 6.99 %
GWO.PR.P Insurance Straight -1.13 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2053-08-22
Maturity Price : 19.25
Evaluated at bid price : 19.25
Bid-YTW : 7.16 %
BMO.PR.E FixedReset Disc -1.09 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2053-08-22
Maturity Price : 21.44
Evaluated at bid price : 21.74
Bid-YTW : 7.94 %
BN.PR.X FixedReset Disc -1.08 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2053-08-22
Maturity Price : 13.80
Evaluated at bid price : 13.80
Bid-YTW : 10.29 %
BN.PF.C Perpetual-Discount -1.07 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2053-08-22
Maturity Price : 16.63
Evaluated at bid price : 16.63
Bid-YTW : 7.45 %
GWO.PR.G Insurance Straight -1.07 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2053-08-22
Maturity Price : 18.55
Evaluated at bid price : 18.55
Bid-YTW : 7.15 %
POW.PR.D Perpetual-Discount -1.05 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2053-08-22
Maturity Price : 17.83
Evaluated at bid price : 17.83
Bid-YTW : 7.13 %
PWF.PR.S Perpetual-Discount -1.04 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2053-08-22
Maturity Price : 17.07
Evaluated at bid price : 17.07
Bid-YTW : 7.12 %
RY.PR.H FixedReset Disc -1.03 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2053-08-22
Maturity Price : 17.30
Evaluated at bid price : 17.30
Bid-YTW : 9.12 %
PVS.PR.J SplitShare 2.73 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2028-02-29
Maturity Price : 25.00
Evaluated at bid price : 21.80
Bid-YTW : 7.81 %
CU.PR.D Perpetual-Discount 3.53 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2053-08-22
Maturity Price : 17.60
Evaluated at bid price : 17.60
Bid-YTW : 7.01 %
Volume Highlights
Issue Index Shares
Traded		 Notes
MFC.PR.N FixedReset Ins Non 204,436 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2053-08-22
Maturity Price : 16.39
Evaluated at bid price : 16.39
Bid-YTW : 9.42 %
CM.PR.P FixedReset Disc 71,458 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2053-08-22
Maturity Price : 16.36
Evaluated at bid price : 16.36
Bid-YTW : 9.45 %
CM.PR.O FixedReset Disc 65,900 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2053-08-22
Maturity Price : 17.11
Evaluated at bid price : 17.11
Bid-YTW : 9.28 %
TD.PF.A FixedReset Disc 53,973 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2053-08-22
Maturity Price : 17.02
Evaluated at bid price : 17.02
Bid-YTW : 9.21 %
BN.PF.F FixedReset Disc 53,810 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2053-08-22
Maturity Price : 15.68
Evaluated at bid price : 15.68
Bid-YTW : 11.03 %
TD.PF.E FixedReset Disc 48,325 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2053-08-22
Maturity Price : 18.01
Evaluated at bid price : 18.01
Bid-YTW : 9.01 %
There were 18 other index-included issues trading in excess of 10,000 shares.
Wide Spread Highlights
Issue Index Quote Data and Yield Notes
MFC.PR.I FixedReset Ins Non Quote: 19.96 – 24.24
Spot Rate : 4.2800
Average : 3.2538


YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2053-08-22
Maturity Price : 19.96
Evaluated at bid price : 19.96
Bid-YTW : 8.46 %
BN.PF.J FixedReset Disc Quote: 18.33 – 20.19
Spot Rate : 1.8600
Average : 1.0312


YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2053-08-22
Maturity Price : 18.33
Evaluated at bid price : 18.33
Bid-YTW : 9.65 %
MFC.PR.Q FixedReset Ins Non Quote: 19.45 – 22.22
Spot Rate : 2.7700
Average : 2.1528


YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2053-08-22
Maturity Price : 19.45
Evaluated at bid price : 19.45
Bid-YTW : 8.34 %
CU.PR.I FixedReset Disc Quote: 20.25 – 22.00
Spot Rate : 1.7500
Average : 1.1447


YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2053-08-22
Maturity Price : 20.25
Evaluated at bid price : 20.25
Bid-YTW : 9.06 %
CU.PR.C FixedReset Disc Quote: 17.00 – 18.49
Spot Rate : 1.4900
Average : 0.9342


YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2053-08-22
Maturity Price : 17.00
Evaluated at bid price : 17.00
Bid-YTW : 9.16 %
TD.PF.I FixedReset Disc Quote: 22.00 – 23.13
Spot Rate : 1.1300
Average : 0.6650


YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2053-08-22
Maturity Price : 21.67
Evaluated at bid price : 22.00
Bid-YTW : 7.98 %

Posted in Market Action | No Comments »

August 21, 2023

August 21st, 2023
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 -0.8617 % 2,223.4
FixedFloater 0.00 % 0.00 % 0 0.00 0 -0.8617 % 4,264.4
Floater 10.95 % 11.27 % 53,359 8.53 2 -0.8617 % 2,457.6
OpRet 0.00 % 0.00 % 0 0.00 0 -0.9638 % 3,315.8
SplitShare 5.08 % 6.97 % 43,347 2.05 8 -0.9638 % 3,959.8
Interest-Bearing 0.00 % 0.00 % 0 0.00 0 -0.9638 % 3,089.6
Perpetual-Premium 0.00 % 0.00 % 0 0.00 0 -1.0636 % 2,476.6
Perpetual-Discount 6.93 % 7.08 % 46,608 12.44 31 -1.0636 % 2,700.6
FixedReset Disc 5.94 % 8.98 % 91,221 10.65 56 -0.3314 % 2,107.2
Insurance Straight 6.80 % 6.98 % 51,966 12.50 18 -1.0455 % 2,646.6
FloatingReset 11.01 % 11.34 % 37,137 8.48 1 -2.8314 % 2,428.7
FixedReset Prem 7.03 % 7.12 % 217,503 3.63 1 0.0000 % 2,299.8
FixedReset Bank Non 0.00 % 0.00 % 0 0.00 0 -0.3314 % 2,154.0
FixedReset Ins Non 6.48 % 8.47 % 85,067 11.12 10 -0.5394 % 2,282.5
Performance Highlights
Issue Index Change Notes
GWO.PR.I Insurance Straight -8.82 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2053-08-21
Maturity Price : 15.30
Evaluated at bid price : 15.30
Bid-YTW : 7.51 %
CU.PR.D Perpetual-Discount -5.03 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2053-08-21
Maturity Price : 17.00
Evaluated at bid price : 17.00
Bid-YTW : 7.25 %
SLF.PR.J FloatingReset -2.83 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2053-08-21
Maturity Price : 15.10
Evaluated at bid price : 15.10
Bid-YTW : 11.34 %
BN.PR.M Perpetual-Discount -2.82 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2053-08-21
Maturity Price : 16.57
Evaluated at bid price : 16.57
Bid-YTW : 7.31 %
MFC.PR.I FixedReset Ins Non -2.68 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2053-08-21
Maturity Price : 20.34
Evaluated at bid price : 20.34
Bid-YTW : 8.47 %
POW.PR.C Perpetual-Discount -2.60 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2053-08-21
Maturity Price : 20.99
Evaluated at bid price : 20.99
Bid-YTW : 7.02 %
BN.PF.E FixedReset Disc -2.33 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2053-08-21
Maturity Price : 14.26
Evaluated at bid price : 14.26
Bid-YTW : 11.12 %
BN.PF.H FixedReset Disc -2.30 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2053-08-21
Maturity Price : 19.10
Evaluated at bid price : 19.10
Bid-YTW : 10.18 %
IFC.PR.K Perpetual-Discount -2.05 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2053-08-21
Maturity Price : 19.15
Evaluated at bid price : 19.15
Bid-YTW : 6.99 %
CU.PR.J Perpetual-Discount -2.02 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2053-08-21
Maturity Price : 16.95
Evaluated at bid price : 16.95
Bid-YTW : 7.05 %
BN.PF.C Perpetual-Discount -1.98 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2053-08-21
Maturity Price : 16.81
Evaluated at bid price : 16.81
Bid-YTW : 7.36 %
CIU.PR.A Perpetual-Discount -1.97 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2053-08-21
Maturity Price : 16.42
Evaluated at bid price : 16.42
Bid-YTW : 7.05 %
GWO.PR.G Insurance Straight -1.68 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2053-08-21
Maturity Price : 18.75
Evaluated at bid price : 18.75
Bid-YTW : 7.07 %
TD.PF.D FixedReset Disc -1.67 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2053-08-21
Maturity Price : 17.70
Evaluated at bid price : 17.70
Bid-YTW : 9.16 %
GWO.PR.T Insurance Straight -1.57 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2053-08-21
Maturity Price : 18.80
Evaluated at bid price : 18.80
Bid-YTW : 6.98 %
PWF.PR.H Perpetual-Discount -1.55 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2053-08-21
Maturity Price : 20.28
Evaluated at bid price : 20.28
Bid-YTW : 7.18 %
BN.PF.D Perpetual-Discount -1.52 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2053-08-21
Maturity Price : 16.90
Evaluated at bid price : 16.90
Bid-YTW : 7.40 %
BN.PF.I FixedReset Disc -1.37 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2053-08-21
Maturity Price : 18.05
Evaluated at bid price : 18.05
Bid-YTW : 10.19 %
CU.PR.E Perpetual-Discount -1.35 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2053-08-21
Maturity Price : 17.55
Evaluated at bid price : 17.55
Bid-YTW : 7.02 %
CU.PR.G Perpetual-Discount -1.34 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2053-08-21
Maturity Price : 16.22
Evaluated at bid price : 16.22
Bid-YTW : 6.98 %
MFC.PR.J FixedReset Ins Non -1.31 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2053-08-21
Maturity Price : 20.34
Evaluated at bid price : 20.34
Bid-YTW : 8.29 %
BN.PR.N Perpetual-Discount -1.24 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2053-08-21
Maturity Price : 16.74
Evaluated at bid price : 16.74
Bid-YTW : 7.24 %
CM.PR.Q FixedReset Disc -1.20 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2053-08-21
Maturity Price : 17.35
Evaluated at bid price : 17.35
Bid-YTW : 9.23 %
GWO.PR.Y Insurance Straight -1.19 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2053-08-21
Maturity Price : 16.60
Evaluated at bid price : 16.60
Bid-YTW : 6.91 %
TD.PF.B FixedReset Disc -1.19 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2053-08-21
Maturity Price : 17.50
Evaluated at bid price : 17.50
Bid-YTW : 9.09 %
GWO.PR.Q Insurance Straight -1.18 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2053-08-21
Maturity Price : 18.41
Evaluated at bid price : 18.41
Bid-YTW : 7.13 %
MFC.PR.B Insurance Straight -1.14 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2053-08-21
Maturity Price : 17.35
Evaluated at bid price : 17.35
Bid-YTW : 6.85 %
BN.PR.X FixedReset Disc -1.13 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2053-08-21
Maturity Price : 13.95
Evaluated at bid price : 13.95
Bid-YTW : 10.18 %
BN.PF.J FixedReset Disc -1.07 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2053-08-21
Maturity Price : 18.55
Evaluated at bid price : 18.55
Bid-YTW : 9.54 %
IFC.PR.E Insurance Straight -1.03 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2053-08-21
Maturity Price : 19.30
Evaluated at bid price : 19.30
Bid-YTW : 6.87 %
RY.PR.M FixedReset Disc 1.01 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2053-08-21
Maturity Price : 18.01
Evaluated at bid price : 18.01
Bid-YTW : 8.62 %
PVS.PR.K SplitShare 1.01 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2029-05-31
Maturity Price : 25.00
Evaluated at bid price : 20.45
Bid-YTW : 8.51 %
BMO.PR.E FixedReset Disc 1.10 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2053-08-21
Maturity Price : 21.62
Evaluated at bid price : 21.98
Bid-YTW : 7.85 %
PVS.PR.F SplitShare 1.43 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2024-09-30
Maturity Price : 25.00
Evaluated at bid price : 24.50
Bid-YTW : 6.52 %
Volume Highlights
Issue Index Shares
Traded		 Notes
BMO.PR.S FixedReset Disc 93,600 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2053-08-21
Maturity Price : 18.00
Evaluated at bid price : 18.00
Bid-YTW : 8.95 %
TD.PF.A FixedReset Disc 87,200 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2053-08-21
Maturity Price : 17.34
Evaluated at bid price : 17.34
Bid-YTW : 9.04 %
RY.PR.H FixedReset Disc 68,900 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2053-08-21
Maturity Price : 17.48
Evaluated at bid price : 17.48
Bid-YTW : 9.02 %
BN.PF.H FixedReset Disc 50,100 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2053-08-21
Maturity Price : 19.10
Evaluated at bid price : 19.10
Bid-YTW : 10.18 %
NA.PR.S FixedReset Disc 39,700 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2053-08-21
Maturity Price : 17.90
Evaluated at bid price : 17.90
Bid-YTW : 9.14 %
TD.PF.B FixedReset Disc 35,200 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2053-08-21
Maturity Price : 17.50
Evaluated at bid price : 17.50
Bid-YTW : 9.09 %
There were 17 other index-included issues trading in excess of 10,000 shares.
Wide Spread Highlights
Issue Index Quote Data and Yield Notes
MFC.PR.I FixedReset Ins Non Quote: 20.34 – 24.24
Spot Rate : 3.9000
Average : 2.1286

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2053-08-21
Maturity Price : 20.34
Evaluated at bid price : 20.34
Bid-YTW : 8.47 %
MFC.PR.Q FixedReset Ins Non Quote: 20.06 – 22.22
Spot Rate : 2.1600
Average : 1.4761

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2053-08-21
Maturity Price : 20.06
Evaluated at bid price : 20.06
Bid-YTW : 8.25 %
GWO.PR.I Insurance Straight Quote: 15.30 – 17.15
Spot Rate : 1.8500
Average : 1.3062

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2053-08-21
Maturity Price : 15.30
Evaluated at bid price : 15.30
Bid-YTW : 7.51 %
CU.PR.D Perpetual-Discount Quote: 17.00 – 17.84
Spot Rate : 0.8400
Average : 0.5829

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2053-08-21
Maturity Price : 17.00
Evaluated at bid price : 17.00
Bid-YTW : 7.25 %
MFC.PR.L FixedReset Ins Non Quote: 16.01 – 17.50
Spot Rate : 1.4900
Average : 1.3126

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2053-08-21
Maturity Price : 16.01
Evaluated at bid price : 16.01
Bid-YTW : 9.89 %
PVS.PR.I SplitShare Quote: 23.20 – 24.00
Spot Rate : 0.8000
Average : 0.6320

YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-10-31
Maturity Price : 25.00
Evaluated at bid price : 23.20
Bid-YTW : 8.34 %

Posted in Market Action | 23 Comments »

MFC.PR.K To Reset To 6.35%

August 21st, 2023

Manulife Financial Corporation has announced (but not yet on their website because, well, it’s Manulife):

the applicable dividend rates for its Non-cumulative Rate Reset Class 1 Shares Series 13 (the “Series 13 Preferred Shares”) (TSX: MFC.PR.K) and Non-cumulative Floating Rate Class 1 Shares Series 14 (the “Series 14 Preferred Shares”).

With respect to any Series 13 Preferred Shares that remain outstanding after September 19, 2023, holders thereof will be entitled to receive fixed rate non-cumulative preferential cash dividends on a quarterly basis, as and when declared by the Board of Directors of Manulife and subject to the provisions of the Insurance Companies Act (Canada). The dividend rate for the five-year period commencing on September 20, 2023, and ending on September 19, 2028, will be 6.35000% per annum or $0.396875 per share per quarter, being equal to the sum of the five-year Government of Canada bond yield as at August 21, 2023, plus 2.22%, as determined in accordance with the terms of the Series 13 Preferred Shares.

With respect to any Series 14 Preferred Shares that may be issued in connection with the conversion of the Series 13 Preferred Shares into the Series 14 Preferred Shares, holders thereof will be entitled to receive floating rate non-cumulative preferential cash dividends on a quarterly basis, calculated on the basis of the actual number of days elapsed in each quarterly floating rate period divided by 365, as and when declared by the Board of Directors of Manulife and subject to the provisions of the Insurance Companies Act (Canada). The dividend rate for the three-month period commencing on September 20, 2023, and ending on December 19, 2023, will be 1.83022% (7.34100% on an annualized basis) or $0.457555 per share, being equal to the sum of the three-month Government of Canada Treasury bill yield as at August 21, 2023, plus 2.22%, as determined in accordance with the terms of the Series 14 Preferred Shares.

Beneficial owners of Series 13 Preferred Shares who wish to exercise their right of conversion should instruct their broker or other nominee to exercise such right before 5:00 p.m. (Toronto time) on September 5, 2023. Such date of September 5, 2023 represents a change from the date of September 4, 2023 referred to in the news release issued by Manulife on July 26, 2023 announcing such conversion right, which news release can be viewed on SEDAR+ or Manulife’s website. Conversion inquiries should be directed to Manulife’s Registrar and Transfer Agent, TSX Trust Company, at 1‑800‑783‑9495.

The Toronto Stock Exchange (“TSX”) has conditionally approved the listing of the Series 14 Preferred Shares effective upon conversion. Listing of the Series 14 Preferred Shares is subject to Manulife fulfilling all the listing requirements of the TSX and, upon approval, the Series 14 Preferred Shares will be listed on the TSX under the trading symbol “MFC.PR.S”.

MFC.PR.K is a FixedReset, 3.80%+222, that commenced trading 2013-6-21 after being announced 2013-6-17. A announcement of extension was given in 2018 and the issue reset to 4.414%. There was no conversion. The issue is tracked by HIMIPref™ and is assigned to the FixedReset – Insurance subindex.

Thanks to Assiduous Reader Fuzzybear for bringing this to my attention!

Posted in Issue Comments | No Comments »

August 18, 2023

August 18th, 2023
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 0.0431 % 2,242.7
FixedFloater 0.00 % 0.00 % 0 0.00 0 0.0431 % 4,301.5
Floater 10.86 % 11.16 % 40,887 8.61 2 0.0431 % 2,479.0
OpRet 0.00 % 0.00 % 0 0.00 0 -0.7810 % 3,348.1
SplitShare 5.03 % 7.82 % 43,667 2.04 8 -0.7810 % 3,998.3
Interest-Bearing 0.00 % 0.00 % 0 0.00 0 -0.7810 % 3,119.6
Perpetual-Premium 0.00 % 0.00 % 0 0.00 0 -0.3008 % 2,503.3
Perpetual-Discount 6.85 % 7.05 % 46,409 12.48 31 -0.3008 % 2,729.7
FixedReset Disc 5.92 % 8.79 % 92,408 10.85 56 -0.5515 % 2,114.3
Insurance Straight 6.73 % 6.84 % 50,335 12.66 18 0.3174 % 2,674.6
FloatingReset 10.60 % 10.90 % 38,477 8.79 1 1.5686 % 2,499.5
FixedReset Prem 7.03 % 7.10 % 225,169 3.64 1 0.0000 % 2,299.8
FixedReset Bank Non 0.00 % 0.00 % 0 0.00 0 -0.5515 % 2,161.2
FixedReset Ins Non 6.44 % 8.28 % 82,797 11.27 10 -1.2140 % 2,294.9
Performance Highlights
Issue Index Change Notes
MFC.PR.L FixedReset Ins Non -7.99 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2053-08-18
Maturity Price : 16.01
Evaluated at bid price : 16.01
Bid-YTW : 9.67 %
PVS.PR.K SplitShare -4.20 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2029-05-31
Maturity Price : 25.00
Evaluated at bid price : 20.52
Bid-YTW : 8.70 %
PVS.PR.J SplitShare -3.59 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2028-02-29
Maturity Price : 25.00
Evaluated at bid price : 21.50
Bid-YTW : 8.46 %
PWF.PR.G Perpetual-Discount -2.63 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2053-08-18
Maturity Price : 20.75
Evaluated at bid price : 20.75
Bid-YTW : 7.20 %
BIP.PR.E FixedReset Disc -2.34 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2053-08-18
Maturity Price : 20.02
Evaluated at bid price : 20.02
Bid-YTW : 8.81 %
BN.PF.I FixedReset Disc -2.14 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2053-08-18
Maturity Price : 18.30
Evaluated at bid price : 18.30
Bid-YTW : 9.93 %
GWO.PR.Q Insurance Straight -1.95 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2053-08-18
Maturity Price : 18.63
Evaluated at bid price : 18.63
Bid-YTW : 7.04 %
BN.PF.H FixedReset Disc -1.76 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2053-08-18
Maturity Price : 19.55
Evaluated at bid price : 19.55
Bid-YTW : 9.82 %
RY.PR.N Perpetual-Discount -1.61 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2053-08-18
Maturity Price : 20.76
Evaluated at bid price : 20.76
Bid-YTW : 5.94 %
BN.PF.J FixedReset Disc -1.57 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2053-08-18
Maturity Price : 18.75
Evaluated at bid price : 18.75
Bid-YTW : 9.31 %
BN.PF.B FixedReset Disc -1.41 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2053-08-18
Maturity Price : 16.76
Evaluated at bid price : 16.76
Bid-YTW : 9.95 %
BN.PF.F FixedReset Disc -1.36 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2053-08-18
Maturity Price : 15.93
Evaluated at bid price : 15.93
Bid-YTW : 10.65 %
RY.PR.J FixedReset Disc -1.35 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2053-08-18
Maturity Price : 18.25
Evaluated at bid price : 18.25
Bid-YTW : 8.72 %
CM.PR.O FixedReset Disc -1.29 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2053-08-18
Maturity Price : 17.60
Evaluated at bid price : 17.60
Bid-YTW : 8.84 %
GWO.PR.H Insurance Straight -1.23 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2053-08-18
Maturity Price : 17.63
Evaluated at bid price : 17.63
Bid-YTW : 7.01 %
FTS.PR.M FixedReset Disc -1.21 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2053-08-18
Maturity Price : 16.55
Evaluated at bid price : 16.55
Bid-YTW : 9.55 %
TD.PF.M FixedReset Disc -1.16 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2053-08-18
Maturity Price : 23.20
Evaluated at bid price : 23.77
Bid-YTW : 7.92 %
IFC.PR.G FixedReset Ins Non -1.15 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2053-08-18
Maturity Price : 19.72
Evaluated at bid price : 19.72
Bid-YTW : 8.28 %
BMO.PR.E FixedReset Disc -1.09 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2053-08-18
Maturity Price : 21.44
Evaluated at bid price : 21.74
Bid-YTW : 7.77 %
FTS.PR.H FixedReset Disc -1.06 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2053-08-18
Maturity Price : 12.55
Evaluated at bid price : 12.55
Bid-YTW : 9.97 %
CM.PR.Y FixedReset Disc -1.05 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2053-08-18
Maturity Price : 22.93
Evaluated at bid price : 23.50
Bid-YTW : 8.02 %
PWF.PF.A Perpetual-Discount -1.04 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2053-08-18
Maturity Price : 16.13
Evaluated at bid price : 16.13
Bid-YTW : 7.06 %
PVS.PR.F SplitShare -1.01 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2024-09-30
Maturity Price : 25.00
Evaluated at bid price : 24.45
Bid-YTW : 7.82 %
BNS.PR.I FixedReset Disc 1.23 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2053-08-18
Maturity Price : 20.60
Evaluated at bid price : 20.60
Bid-YTW : 7.93 %
PVS.PR.G SplitShare 1.47 % YTW SCENARIO
Maturity Type : Option Certainty
Maturity Date : 2026-02-28
Maturity Price : 25.00
Evaluated at bid price : 24.10
Bid-YTW : 6.93 %
SLF.PR.J FloatingReset 1.57 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2053-08-18
Maturity Price : 15.54
Evaluated at bid price : 15.54
Bid-YTW : 10.90 %
FTS.PR.F Perpetual-Discount 1.69 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2053-08-18
Maturity Price : 19.38
Evaluated at bid price : 19.38
Bid-YTW : 6.35 %
TD.PF.E FixedReset Disc 2.17 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2053-08-18
Maturity Price : 18.40
Evaluated at bid price : 18.40
Bid-YTW : 8.67 %
GWO.PR.I Insurance Straight 9.67 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2053-08-18
Maturity Price : 16.78
Evaluated at bid price : 16.78
Bid-YTW : 6.83 %
Volume Highlights
Issue Index Shares
Traded		 Notes
NA.PR.S FixedReset Disc 59,678 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2053-08-18
Maturity Price : 18.01
Evaluated at bid price : 18.01
Bid-YTW : 8.89 %
IFC.PR.C FixedReset Disc 33,585 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2053-08-18
Maturity Price : 17.60
Evaluated at bid price : 17.60
Bid-YTW : 8.59 %
RY.PR.J FixedReset Disc 26,883 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2053-08-18
Maturity Price : 18.25
Evaluated at bid price : 18.25
Bid-YTW : 8.72 %
BMO.PR.T FixedReset Disc 25,700 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2053-08-18
Maturity Price : 17.10
Evaluated at bid price : 17.10
Bid-YTW : 8.99 %
PWF.PF.A Perpetual-Discount 25,524 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2053-08-18
Maturity Price : 16.13
Evaluated at bid price : 16.13
Bid-YTW : 7.06 %
BN.PR.Z FixedReset Disc 22,839 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2053-08-18
Maturity Price : 18.20
Evaluated at bid price : 18.20
Bid-YTW : 9.39 %
There were 10 other index-included issues trading in excess of 10,000 shares.
Wide Spread Highlights
Issue Index Quote Data and Yield Notes
MFC.PR.L FixedReset Ins Non Quote: 16.01 – 17.80
Spot Rate : 1.7900
Average : 1.1180

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2053-08-18
Maturity Price : 16.01
Evaluated at bid price : 16.01
Bid-YTW : 9.67 %
CU.PR.I FixedReset Disc Quote: 20.80 – 22.00
Spot Rate : 1.2000
Average : 0.8109

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2053-08-18
Maturity Price : 20.80
Evaluated at bid price : 20.80
Bid-YTW : 8.69 %
PVS.PR.K SplitShare Quote: 20.52 – 21.40
Spot Rate : 0.8800
Average : 0.5752

YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2029-05-31
Maturity Price : 25.00
Evaluated at bid price : 20.52
Bid-YTW : 8.70 %
TD.PF.L FixedReset Disc Quote: 23.04 – 23.96
Spot Rate : 0.9200
Average : 0.6235

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2053-08-18
Maturity Price : 22.27
Evaluated at bid price : 23.04
Bid-YTW : 7.91 %
RY.PR.J FixedReset Disc Quote: 18.25 – 19.45
Spot Rate : 1.2000
Average : 0.9427

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2053-08-18
Maturity Price : 18.25
Evaluated at bid price : 18.25
Bid-YTW : 8.72 %
IFC.PR.F Insurance Straight Quote: 19.75 – 20.50
Spot Rate : 0.7500
Average : 0.5308

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2053-08-18
Maturity Price : 19.75
Evaluated at bid price : 19.75
Bid-YTW : 6.84 %

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