September 24, 2024

A day enlivened by the mostly unexpected extension of TD.PF.A, and the consequently horrible performance of both it and TD.PF.C.

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 0.0875 % 2,182.8
FixedFloater 0.00 % 0.00 % 0 0.00 0 0.0875 % 4,186.5
Floater 9.86 % 9.96 % 84,593 9.62 2 0.0875 % 2,412.7
OpRet 0.00 % 0.00 % 0 0.00 0 -0.0305 % 3,553.0
SplitShare 4.68 % 5.31 % 40,488 1.06 4 -0.0305 % 4,243.1
Interest-Bearing 0.00 % 0.00 % 0 0.00 0 -0.0305 % 3,310.6
Perpetual-Premium 0.00 % 0.00 % 0 0.00 0 0.0444 % 2,925.7
Perpetual-Discount 5.88 % 5.98 % 54,752 13.89 31 0.0444 % 3,190.3
FixedReset Disc 5.50 % 6.62 % 116,283 12.94 58 -0.1900 % 2,655.6
Insurance Straight 5.76 % 5.83 % 64,750 14.18 20 -0.0416 % 3,139.7
FloatingReset 8.35 % 8.42 % 31,995 11.00 2 -0.0522 % 2,744.1
FixedReset Prem 6.45 % 5.55 % 212,695 13.54 7 0.0780 % 2,568.7
FixedReset Bank Non 0.00 % 0.00 % 0 0.00 0 -0.1900 % 2,714.6
FixedReset Ins Non 5.20 % 5.95 % 99,931 14.04 14 0.8539 % 2,827.3
Performance Highlights
Issue Index Change Notes
TD.PF.A FixedReset Disc -7.34 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-09-24
Maturity Price : 22.11
Evaluated at bid price : 22.72
Bid-YTW : 5.53 %
TD.PF.C FixedReset Disc -5.02 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-09-24
Maturity Price : 22.09
Evaluated at bid price : 22.70
Bid-YTW : 5.53 %
SLF.PR.C Insurance Straight -4.73 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-09-24
Maturity Price : 19.72
Evaluated at bid price : 19.72
Bid-YTW : 5.68 %
TD.PF.D FixedReset Disc -4.05 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-09-24
Maturity Price : 22.24
Evaluated at bid price : 23.00
Bid-YTW : 5.92 %
RY.PR.M FixedReset Disc -3.11 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-09-24
Maturity Price : 22.58
Evaluated at bid price : 23.06
Bid-YTW : 5.66 %
MFC.PR.B Insurance Straight -2.91 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-09-24
Maturity Price : 20.00
Evaluated at bid price : 20.00
Bid-YTW : 5.86 %
MFC.PR.M FixedReset Ins Non -2.35 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-09-24
Maturity Price : 21.20
Evaluated at bid price : 21.20
Bid-YTW : 6.06 %
MFC.PR.N FixedReset Ins Non -1.78 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-09-24
Maturity Price : 20.93
Evaluated at bid price : 20.93
Bid-YTW : 6.04 %
BN.PR.N Perpetual-Discount -1.63 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-09-24
Maturity Price : 19.32
Evaluated at bid price : 19.32
Bid-YTW : 6.19 %
FFH.PR.K FixedReset Disc -1.57 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-09-24
Maturity Price : 21.59
Evaluated at bid price : 22.00
Bid-YTW : 6.91 %
RY.PR.J FixedReset Disc -1.36 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-09-24
Maturity Price : 23.17
Evaluated at bid price : 23.85
Bid-YTW : 5.68 %
TD.PF.E FixedReset Disc -1.35 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-09-24
Maturity Price : 22.88
Evaluated at bid price : 23.40
Bid-YTW : 5.87 %
PWF.PR.S Perpetual-Discount -1.34 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-09-24
Maturity Price : 20.57
Evaluated at bid price : 20.57
Bid-YTW : 5.94 %
BMO.PR.W FixedReset Disc -1.30 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-09-24
Maturity Price : 23.22
Evaluated at bid price : 24.30
Bid-YTW : 5.10 %
CM.PR.P FixedReset Disc -1.28 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-09-24
Maturity Price : 23.03
Evaluated at bid price : 23.90
Bid-YTW : 5.23 %
RY.PR.O Perpetual-Discount -1.12 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-09-24
Maturity Price : 23.60
Evaluated at bid price : 23.89
Bid-YTW : 5.17 %
SLF.PR.D Insurance Straight -1.03 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-09-24
Maturity Price : 20.20
Evaluated at bid price : 20.20
Bid-YTW : 5.54 %
GWO.PR.S Insurance Straight 1.04 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-09-24
Maturity Price : 22.12
Evaluated at bid price : 22.40
Bid-YTW : 5.88 %
BN.PF.B FixedReset Disc 1.05 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-09-24
Maturity Price : 21.22
Evaluated at bid price : 21.22
Bid-YTW : 6.66 %
ENB.PF.C FixedReset Disc 1.11 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-09-24
Maturity Price : 18.25
Evaluated at bid price : 18.25
Bid-YTW : 7.42 %
GWO.PR.Y Insurance Straight 1.28 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-09-24
Maturity Price : 19.75
Evaluated at bid price : 19.75
Bid-YTW : 5.73 %
TD.PF.I FixedReset Prem 1.49 % YTW SCENARIO
Maturity Type : Call
Maturity Date : 2027-10-31
Maturity Price : 25.00
Evaluated at bid price : 25.90
Bid-YTW : 5.40 %
BN.PR.Z FixedReset Disc 2.12 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-09-24
Maturity Price : 21.34
Evaluated at bid price : 21.65
Bid-YTW : 6.73 %
GWO.PR.Q Insurance Straight 2.18 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-09-24
Maturity Price : 21.78
Evaluated at bid price : 22.02
Bid-YTW : 5.87 %
PWF.PR.P FixedReset Disc 3.45 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-09-24
Maturity Price : 15.00
Evaluated at bid price : 15.00
Bid-YTW : 6.97 %
CCS.PR.C Insurance Straight 3.66 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-09-24
Maturity Price : 21.25
Evaluated at bid price : 21.25
Bid-YTW : 5.92 %
SLF.PR.H FixedReset Ins Non 5.00 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-09-24
Maturity Price : 18.90
Evaluated at bid price : 18.90
Bid-YTW : 6.21 %
BIP.PR.A FixedReset Disc 12.37 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-09-24
Maturity Price : 21.35
Evaluated at bid price : 21.35
Bid-YTW : 7.29 %
CU.PR.G Perpetual-Discount 12.50 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-09-24
Maturity Price : 18.00
Evaluated at bid price : 18.00
Bid-YTW : 6.33 %
IFC.PR.C FixedReset Ins Non 17.24 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-09-24
Maturity Price : 20.95
Evaluated at bid price : 20.95
Bid-YTW : 6.19 %
Volume Highlights
Issue Index Shares
Traded
Notes
NA.PR.W FixedReset Disc 210,142 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-09-24
Maturity Price : 22.23
Evaluated at bid price : 22.95
Bid-YTW : 5.45 %
TD.PF.A FixedReset Disc 173,620 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-09-24
Maturity Price : 22.11
Evaluated at bid price : 22.72
Bid-YTW : 5.53 %
MFC.PR.B Insurance Straight 106,321 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-09-24
Maturity Price : 20.00
Evaluated at bid price : 20.00
Bid-YTW : 5.86 %
MFC.PR.M FixedReset Ins Non 83,000 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-09-24
Maturity Price : 21.20
Evaluated at bid price : 21.20
Bid-YTW : 6.06 %
NA.PR.E FixedReset Disc 65,515 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-09-24
Maturity Price : 23.25
Evaluated at bid price : 24.90
Bid-YTW : 5.46 %
RY.PR.M FixedReset Disc 53,455 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-09-24
Maturity Price : 22.58
Evaluated at bid price : 23.06
Bid-YTW : 5.66 %
There were 19 other index-included issues trading in excess of 10,000 shares.
Wide Spread Highlights
Issue Index Quote Data and Yield Notes
TD.PF.D FixedReset Disc Quote: 23.00 – 24.11
Spot Rate : 1.1100
Average : 0.6694

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-09-24
Maturity Price : 22.24
Evaluated at bid price : 23.00
Bid-YTW : 5.92 %

MFC.PR.B Insurance Straight Quote: 20.00 – 20.94
Spot Rate : 0.9400
Average : 0.5343

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-09-24
Maturity Price : 20.00
Evaluated at bid price : 20.00
Bid-YTW : 5.86 %

RY.PR.M FixedReset Disc Quote: 23.06 – 23.95
Spot Rate : 0.8900
Average : 0.5259

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-09-24
Maturity Price : 22.58
Evaluated at bid price : 23.06
Bid-YTW : 5.66 %

SLF.PR.C Insurance Straight Quote: 19.72 – 20.55
Spot Rate : 0.8300
Average : 0.4880

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-09-24
Maturity Price : 19.72
Evaluated at bid price : 19.72
Bid-YTW : 5.68 %

CU.PR.H Perpetual-Discount Quote: 22.56 – 23.34
Spot Rate : 0.7800
Average : 0.5007

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-09-24
Maturity Price : 22.29
Evaluated at bid price : 22.56
Bid-YTW : 5.87 %

MFC.PR.N FixedReset Ins Non Quote: 20.93 – 21.65
Spot Rate : 0.7200
Average : 0.4594

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-09-24
Maturity Price : 20.93
Evaluated at bid price : 20.93
Bid-YTW : 6.04 %

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