January 31, 2025

A nice pop in the market at the end of the day, presumably caused by reinvestment of CM.PR.P and TD.PF.C redemption money.

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 0.1964 % 2,332.1
FixedFloater 0.00 % 0.00 % 0 0.00 0 0.1964 % 4,473.0
Floater 7.13 % 7.39 % 36,882 12.04 4 0.1964 % 2,577.8
OpRet 0.00 % 0.00 % 0 0.00 0 -0.2581 % 3,633.4
SplitShare 4.76 % 4.70 % 44,691 0.16 8 -0.2581 % 4,339.0
Interest-Bearing 0.00 % 0.00 % 0 0.00 0 -0.2581 % 3,385.5
Perpetual-Premium 0.00 % 0.00 % 0 0.00 0 0.1650 % 2,922.1
Perpetual-Discount 5.88 % 6.02 % 58,425 13.86 32 0.1650 % 3,186.4
FixedReset Disc 5.31 % 6.48 % 111,419 13.06 50 0.4436 % 2,864.9
Insurance Straight 5.85 % 5.93 % 69,124 13.98 21 -0.3287 % 3,096.4
FloatingReset 6.03 % 6.10 % 40,060 13.70 3 -0.1290 % 3,406.9
FixedReset Prem 5.69 % 5.39 % 174,902 3.37 12 0.2268 % 2,589.5
FixedReset Bank Non 0.00 % 0.00 % 0 0.00 0 0.4436 % 2,928.5
FixedReset Ins Non 5.09 % 5.78 % 73,765 13.92 14 0.6115 % 2,970.1
Performance Highlights
Issue Index Change Notes
GWO.PR.T Insurance Straight -19.21 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2055-01-31
Maturity Price : 17.50
Evaluated at bid price : 17.50
Bid-YTW : 7.48 %
BN.PF.E FixedReset Disc -4.59 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2055-01-31
Maturity Price : 19.76
Evaluated at bid price : 19.76
Bid-YTW : 7.01 %
FTS.PR.H FixedReset Disc -1.74 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2055-01-31
Maturity Price : 16.91
Evaluated at bid price : 16.91
Bid-YTW : 6.48 %
PVS.PR.J SplitShare -1.59 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2028-02-29
Maturity Price : 25.00
Evaluated at bid price : 24.75
Bid-YTW : 5.02 %
CU.PR.E Perpetual-Discount -1.38 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2055-01-31
Maturity Price : 20.72
Evaluated at bid price : 20.72
Bid-YTW : 6.03 %
GWO.PR.H Insurance Straight -1.07 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2055-01-31
Maturity Price : 20.25
Evaluated at bid price : 20.25
Bid-YTW : 6.07 %
BN.PF.D Perpetual-Discount 1.01 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2055-01-31
Maturity Price : 20.05
Evaluated at bid price : 20.05
Bid-YTW : 6.20 %
FTS.PR.K FixedReset Disc 1.05 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2055-01-31
Maturity Price : 21.15
Evaluated at bid price : 21.15
Bid-YTW : 6.17 %
CU.PR.C FixedReset Disc 1.12 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2055-01-31
Maturity Price : 21.38
Evaluated at bid price : 21.70
Bid-YTW : 6.23 %
GWO.PR.I Insurance Straight 1.18 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2055-01-31
Maturity Price : 19.67
Evaluated at bid price : 19.67
Bid-YTW : 5.80 %
SLF.PR.D Insurance Straight 1.23 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2055-01-31
Maturity Price : 20.54
Evaluated at bid price : 20.54
Bid-YTW : 5.49 %
GWO.PR.R Insurance Straight 1.23 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2055-01-31
Maturity Price : 20.50
Evaluated at bid price : 20.50
Bid-YTW : 5.93 %
PWF.PR.F Perpetual-Discount 1.25 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2055-01-31
Maturity Price : 21.70
Evaluated at bid price : 21.95
Bid-YTW : 6.01 %
CCS.PR.C Insurance Straight 1.97 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2055-01-31
Maturity Price : 21.51
Evaluated at bid price : 21.77
Bid-YTW : 5.80 %
SLF.PR.G FixedReset Ins Non 2.49 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2055-01-31
Maturity Price : 17.73
Evaluated at bid price : 17.73
Bid-YTW : 6.09 %
ENB.PF.E FixedReset Disc 3.04 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2055-01-31
Maturity Price : 19.65
Evaluated at bid price : 19.65
Bid-YTW : 7.16 %
GWO.PR.L Insurance Straight 3.62 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2055-01-31
Maturity Price : 23.74
Evaluated at bid price : 24.05
Bid-YTW : 5.94 %
IFC.PR.G FixedReset Ins Non 3.70 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2055-01-31
Maturity Price : 23.08
Evaluated at bid price : 24.38
Bid-YTW : 5.76 %
FFH.PR.E FixedReset Disc 20.00 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2055-01-31
Maturity Price : 21.60
Evaluated at bid price : 21.60
Bid-YTW : 5.94 %
Volume Highlights
Issue Index Shares
Traded
Notes
ENB.PF.A FixedReset Disc 55,732 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2055-01-31
Maturity Price : 20.38
Evaluated at bid price : 20.38
Bid-YTW : 7.05 %
FFH.PR.H FloatingReset 55,000 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2055-01-31
Maturity Price : 22.51
Evaluated at bid price : 22.80
Bid-YTW : 6.10 %
ENB.PR.P FixedReset Disc 34,688 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2055-01-31
Maturity Price : 20.65
Evaluated at bid price : 20.65
Bid-YTW : 6.90 %
FTS.PR.G FixedReset Disc 32,122 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2055-01-31
Maturity Price : 22.14
Evaluated at bid price : 22.62
Bid-YTW : 5.97 %
RY.PR.J FixedReset Disc 28,524 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2055-01-31
Maturity Price : 23.97
Evaluated at bid price : 24.74
Bid-YTW : 5.67 %
GWO.PR.H Insurance Straight 28,285 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2055-01-31
Maturity Price : 20.25
Evaluated at bid price : 20.25
Bid-YTW : 6.07 %
There were 39 other index-included issues trading in excess of 10,000 shares.
Wide Spread Highlights
See TMX DataLinx: ‘Last’ != ‘Close’ and the posts linked therein for an idea of why these quotes are so horrible.
Issue Index Quote Data and Yield Notes
GWO.PR.T Insurance Straight Quote: 17.50 – 22.00
Spot Rate : 4.5000
Average : 3.0222

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2055-01-31
Maturity Price : 17.50
Evaluated at bid price : 17.50
Bid-YTW : 7.48 %

BN.PR.T FixedReset Disc Quote: 19.26 – 20.40
Spot Rate : 1.1400
Average : 0.6942

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2055-01-31
Maturity Price : 19.26
Evaluated at bid price : 19.26
Bid-YTW : 6.62 %

BN.PF.E FixedReset Disc Quote: 19.76 – 21.10
Spot Rate : 1.3400
Average : 0.9229

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2055-01-31
Maturity Price : 19.76
Evaluated at bid price : 19.76
Bid-YTW : 7.01 %

IFC.PR.I Insurance Straight Quote: 23.00 – 23.85
Spot Rate : 0.8500
Average : 0.5169

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2055-01-31
Maturity Price : 22.62
Evaluated at bid price : 23.00
Bid-YTW : 5.93 %

BN.PR.B Floater Quote: 12.47 – 12.97
Spot Rate : 0.5000
Average : 0.2828

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2055-01-31
Maturity Price : 12.47
Evaluated at bid price : 12.47
Bid-YTW : 7.42 %

BN.PF.I FixedReset Disc Quote: 24.55 – 25.09
Spot Rate : 0.5400
Average : 0.3412

YTW SCENARIO
Maturity Type : Call
Maturity Date : 2027-03-31
Maturity Price : 25.00
Evaluated at bid price : 24.55
Bid-YTW : 6.58 %

One Response to “January 31, 2025”

  1. […] general, than PerpetualDiscounts although the spread has narrowed considerably in the past year; on January 31, I reported median YTWs of 6.48% and 6.02%, respectively, for these two indices; compare with mean […]

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