May 14, 2024

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 0.0811 % 2,356.6
FixedFloater 0.00 % 0.00 % 0 0.00 0 0.0811 % 4,520.0
Floater 10.21 % 10.47 % 61,831 9.11 1 0.0811 % 2,604.9
OpRet 0.00 % 0.00 % 0 0.00 0 0.1237 % 3,476.7
SplitShare 4.84 % 6.82 % 33,946 1.39 8 0.1237 % 4,151.9
Interest-Bearing 0.00 % 0.00 % 0 0.00 0 0.1237 % 3,239.5
Perpetual-Premium 0.00 % 0.00 % 0 0.00 0 0.0037 % 2,688.4
Perpetual-Discount 6.38 % 6.55 % 53,789 13.13 27 0.0037 % 2,931.6
FixedReset Disc 5.17 % 7.01 % 126,056 11.83 57 0.1371 % 2,583.6
Insurance Straight 6.28 % 6.44 % 55,975 13.23 21 0.2545 % 2,888.0
FloatingReset 9.09 % 9.18 % 27,440 10.14 2 -0.4981 % 2,809.4
FixedReset Prem 6.93 % 6.26 % 207,920 3.09 2 0.1774 % 2,530.7
FixedReset Bank Non 0.00 % 0.00 % 0 0.00 0 0.1371 % 2,641.0
FixedReset Ins Non 5.02 % 6.95 % 84,287 12.82 14 0.0341 % 2,830.9
Performance Highlights
Issue Index Change Notes
SLF.PR.C Insurance Straight -3.99 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-05-14
Maturity Price : 18.05
Evaluated at bid price : 18.05
Bid-YTW : 6.27 %
SLF.PR.J FloatingReset -1.70 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-05-14
Maturity Price : 17.35
Evaluated at bid price : 17.35
Bid-YTW : 9.42 %
NA.PR.W FixedReset Disc -1.35 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-05-14
Maturity Price : 21.51
Evaluated at bid price : 21.85
Bid-YTW : 6.87 %
MFC.PR.L FixedReset Ins Non -1.35 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-05-14
Maturity Price : 21.53
Evaluated at bid price : 21.85
Bid-YTW : 6.95 %
CM.PR.P FixedReset Disc -1.24 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-05-14
Maturity Price : 22.29
Evaluated at bid price : 23.08
Bid-YTW : 6.46 %
TD.PF.J FixedReset Disc -1.07 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-05-14
Maturity Price : 22.86
Evaluated at bid price : 24.01
Bid-YTW : 6.60 %
PVS.PR.H SplitShare 1.04 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2027-02-28
Maturity Price : 25.00
Evaluated at bid price : 24.25
Bid-YTW : 6.27 %
SLF.PR.H FixedReset Ins Non 1.11 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-05-14
Maturity Price : 20.12
Evaluated at bid price : 20.12
Bid-YTW : 6.94 %
BN.PF.J FixedReset Disc 1.12 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-05-14
Maturity Price : 22.12
Evaluated at bid price : 22.60
Bid-YTW : 7.58 %
BN.PF.E FixedReset Disc 1.18 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-05-14
Maturity Price : 18.01
Evaluated at bid price : 18.01
Bid-YTW : 8.75 %
IFC.PR.F Insurance Straight 1.50 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-05-14
Maturity Price : 20.91
Evaluated at bid price : 20.91
Bid-YTW : 6.44 %
CCS.PR.C Insurance Straight 1.60 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-05-14
Maturity Price : 19.70
Evaluated at bid price : 19.70
Bid-YTW : 6.45 %
BIP.PR.F FixedReset Disc 1.61 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-05-14
Maturity Price : 20.88
Evaluated at bid price : 20.88
Bid-YTW : 8.11 %
BN.PR.Z FixedReset Disc 3.64 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-05-14
Maturity Price : 20.78
Evaluated at bid price : 20.78
Bid-YTW : 8.09 %
IFC.PR.I Insurance Straight 3.80 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-05-14
Maturity Price : 21.59
Evaluated at bid price : 21.59
Bid-YTW : 6.36 %
Volume Highlights
Issue Index Shares
Traded		 Notes
NA.PR.C FixedReset Prem 186,404 YTW SCENARIO
Maturity Type : Call
Maturity Date : 2027-11-15
Maturity Price : 25.00
Evaluated at bid price : 25.63
Bid-YTW : 6.26 %
TD.PF.B FixedReset Disc 145,715 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-05-14
Maturity Price : 23.03
Evaluated at bid price : 24.04
Bid-YTW : 6.29 %
NA.PR.S FixedReset Disc 142,600 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-05-14
Maturity Price : 22.51
Evaluated at bid price : 23.43
Bid-YTW : 6.63 %
NA.PR.G FixedReset Prem 98,000 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-05-14
Maturity Price : 23.26
Evaluated at bid price : 25.20
Bid-YTW : 6.64 %
SLF.PR.G FixedReset Ins Non 80,200 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-05-14
Maturity Price : 17.16
Evaluated at bid price : 17.16
Bid-YTW : 7.35 %
FTS.PR.K FixedReset Disc 76,000 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-05-14
Maturity Price : 19.26
Evaluated at bid price : 19.26
Bid-YTW : 7.63 %
There were 16 other index-included issues trading in excess of 10,000 shares.
Wide Spread Highlights
Issue Index Quote Data and Yield Notes
SLF.PR.C Insurance Straight Quote: 18.05 – 19.10
Spot Rate : 1.0500
Average : 0.6316

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-05-14
Maturity Price : 18.05
Evaluated at bid price : 18.05
Bid-YTW : 6.27 %
MFC.PR.M FixedReset Ins Non Quote: 21.64 – 22.64
Spot Rate : 1.0000
Average : 0.6366

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-05-14
Maturity Price : 21.36
Evaluated at bid price : 21.64
Bid-YTW : 7.15 %
TD.PF.E FixedReset Disc Quote: 22.90 – 23.70
Spot Rate : 0.8000
Average : 0.4827

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-05-14
Maturity Price : 22.49
Evaluated at bid price : 22.90
Bid-YTW : 6.93 %
BIP.PR.E FixedReset Disc Quote: 21.56 – 22.53
Spot Rate : 0.9700
Average : 0.6962

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-05-14
Maturity Price : 21.28
Evaluated at bid price : 21.56
Bid-YTW : 7.99 %
BN.PR.M Perpetual-Discount Quote: 17.40 – 18.50
Spot Rate : 1.1000
Average : 0.8409

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-05-14
Maturity Price : 17.40
Evaluated at bid price : 17.40
Bid-YTW : 6.95 %
IFC.PR.A FixedReset Ins Non Quote: 18.60 – 19.80
Spot Rate : 1.2000
Average : 0.9515

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-05-14
Maturity Price : 18.60
Evaluated at bid price : 18.60
Bid-YTW : 7.33 %

This entry was posted on Tuesday, May 14th, 2024 at 9:42 pm and is filed under Market Action. You can follow any responses to this entry through the RSS 2.0 feed. You can leave a response, or trackback from your own site.

2 Responses to “May 14, 2024”

  1. Le_bib says:
    May 16, 2024 at 2:22 pm

    LB.PR.H reset at 6.196% or $1.549/share:

    https://www.laurentianbank.ca/pdf/May_16_PR_Draft_Series_13.pdf

  2. LB.PR.H To Reset To 6.196% « PrefBlog says:
    May 16, 2024 at 8:57 pm

    […] Thanks to Assiduous Reader Le_bib for bringing this to my attention! […]

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