SBN.PR.A & TXT.PR.A Merge Into PGIC, PGIC.PR.A

September 14th, 2024

Mulvihill Capital Management Inc. announced (on 2024-8-30):

that holders of Class A Shares and Preferred Shares of SBN and holders Capital Units and Preferred Securities of TXT have approved a proposal to merge both SBN and TXT into Premium Global Income Split Corp. (“Premium Global”), all as more particularly described in the joint management information circular dated July 24, 2024 (the “Circular”), at a special meeting of the securityholders held earlier today.

The merger of TXT into Premium Global is expected to become effective on or about September 9, 2024 and the merger of SBN into Premium Global is expected to become effective on or about September 13, 2024.

Under the mergers, (a) holders of Class A Shares of SBN will become holders of Class A Shares of Premium Global, (b) holders of Preferred Shares of SBN will become holders of Class A Shares and a lesser number of Preferred Shares of Premium Global, (c) holders of Capital Units of TXT will become holders of Class A Shares of Premium Global, and (d) holders of Preferred Securities of TXT will become holders of Class A Shares and a lesser number of Preferred Shares of Premium Global. The number of shares of Premium Global to be issued to SBN and TXT securityholders will be announced once the exchange ratios have been determined, prior to implementation of the mergers.

For further information, please contact Investor Relations at 416.681.3966, toll free at 1-800-725-7172 or visit www.mulvihill.com

They further announced (on 2024-9-9):

that, following approval by holders of Capital Units and Preferred Securities of TXT at a special meeting of securityholders on August 30, 2024 of the proposal (the “Merger Proposal”) to merge TXT into Premium Global Income Split Corp. (“Premium Global”), the holders of Capital Units of TXT will receive 0.453607 Class A Shares of Premium Global for each Capital Unit held and holders of Preferred Securities of TXT will receive 0.948049 Preferred Shares of Premium Global and 0.415545 Class A Shares of Premium Global for each Preferred Security held.

The Exchange Ratios have been calculated based on the relative NAV of the Capital Units and Preferred Securities of TXT and Class A Shares and Preferred Shares of Premium Global. Fractional Class A Shares or Preferred Shares of Premium Global or cash in lieu thereof will not be issued or paid under the Merger Proposal. The Merger is expected to be completed on September 9, 2024 and holders of Capital Units and Preferred Securities of TXT need not take any action to receive the Class A Shares and Preferred Shares to which they will be entitled under the transaction.

For further information, please contact Investor Relations at 416.681.3966, toll free at 1-800-725-7172 or visit www.mulvihill.com

… and have further announced:

that, following approval by holders of Class A Shares and Preferred Shares of SBN at a special meeting of securityholders on August 30, 2024 of the proposal (the “Merger Proposal”) to merge SBN into Premium Global Income Split Corp. (“Premium Global”), the holders of Class A Shares of SBN will receive 0.373815 Class A Shares of Premium Global for each Class A Share held and holders of Preferred Shares of SBN will receive 0.743873 Preferred Shares and 0.330689 Class A Shares for each Preferred Share held.

The Exchange Ratios have been calculated based on the relative NAV of the Class A Shares and Preferred Shares of SBN and Class A Shares and Preferred Shares of Premium Global. Fractional Class A Shares or Preferred Shares of Premium Global or cash in lieu thereof will not be issued or paid under the Merger Proposal. The Merger is expected to be completed on September 13, 2024 and holders of Class A Shares and Preferred Shares of SBN need not take any action to receive the Class A Shares and Preferred Shares to which they will be entitled under the transaction.

For further information, please contact Investor Relations at 416.681.3966, toll free at 1-800-725-7172 or visit www.mulvihill.com

I can’t say I’m very impressed. As I noted when WFS.PR.A became PGIC.PR.A:

But anyway, with such a small float, no credit rating (discontinued in 2010) and no NAV test for Capital Unit distributions … I’m finally dropping this issue from HIMIPref™ coverage.

… and then I followed up in the comments with:

For example, the fact that there is a small float and no credit rating is not a deal breaker for me.

If any single issue should be a dealbreaker, it should be the lack of an NAV test on Capital Unit distributions – see here and here. The Capital Units have a Current Yield slightly in excess of 14% p.a. … at that rate, together with a 7.5% preferred share yield, the 40% downside protection you cite has a pretty short life expectancy.

The lack of a credit rating means that if bad times come, there will be less pressure on management and the board to batten down the hatches.

I will note that at the time I last calculated it (as of 2024-8-8, when preparing the August PrefLetter), SBN / SBN.PR.A had Investment Coverage (NAVPU divided by preferred share bid price) of only 1.28; I haven’t bothered tracking TXT.PR.A for a long time.

Update, 2024-9-17: There will be no September dividend declared for SBN.PR.A. New and extant holders of PGIC / PGIC.PR.A as of September 16 will receive a distribution from the continuing company, with record date 2024-9-16.

Posted in Issue Comments | 1 Comment »

September 13, 2024

September 13th, 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 -1.6738 % 2,184.7
FixedFloater 0.00 % 0.00 % 0 0.00 0 -1.6738 % 4,190.2
Floater 9.85 % 9.92 % 40,399 9.68 2 -1.6738 % 2,414.8
OpRet 0.00 % 0.00 % 0 0.00 0 -0.0305 % 3,550.5
SplitShare 4.68 % 5.60 % 33,375 1.09 4 -0.0305 % 4,240.0
Interest-Bearing 0.00 % 0.00 % 0 0.00 0 -0.0305 % 3,308.3
Perpetual-Premium 0.00 % 0.00 % 0 0.00 0 -0.1538 % 2,922.9
Perpetual-Discount 5.89 % 6.01 % 57,634 13.84 31 -0.1538 % 3,187.3
FixedReset Disc 5.46 % 6.54 % 110,705 13.02 58 0.1795 % 2,674.5
Insurance Straight 5.77 % 5.84 % 66,113 14.21 20 -0.2703 % 3,134.4
FloatingReset 8.24 % 8.18 % 32,147 11.24 2 -0.3604 % 2,775.6
FixedReset Prem 6.45 % 5.52 % 217,035 13.60 7 0.0390 % 2,568.7
FixedReset Bank Non 0.00 % 0.00 % 0 0.00 0 0.1795 % 2,733.8
FixedReset Ins Non 5.17 % 5.89 % 96,553 14.11 14 -0.0781 % 2,840.0
Performance Highlights
Issue Index Change Notes
CU.PR.D Perpetual-Discount -2.61 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-09-13
Maturity Price : 20.50
Evaluated at bid price : 20.50
Bid-YTW : 6.03 %
GWO.PR.Q Insurance Straight -1.83 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-09-13
Maturity Price : 21.45
Evaluated at bid price : 21.45
Bid-YTW : 6.03 %
GWO.PR.G Insurance Straight -1.12 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-09-13
Maturity Price : 21.81
Evaluated at bid price : 22.05
Bid-YTW : 5.91 %
ENB.PR.A Perpetual-Discount -1.09 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-09-13
Maturity Price : 22.40
Evaluated at bid price : 22.66
Bid-YTW : 6.12 %
BN.PR.M Perpetual-Discount -1.03 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-09-13
Maturity Price : 19.20
Evaluated at bid price : 19.20
Bid-YTW : 6.21 %
BN.PR.K Floater 1.16 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-09-13
Maturity Price : 11.46
Evaluated at bid price : 11.46
Bid-YTW : 9.92 %
FFH.PR.I FixedReset Disc 1.22 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-09-13
Maturity Price : 18.72
Evaluated at bid price : 18.72
Bid-YTW : 7.22 %
IFC.PR.I Insurance Straight 1.22 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-09-13
Maturity Price : 23.04
Evaluated at bid price : 23.50
Bid-YTW : 5.74 %
BN.PF.J FixedReset Disc 1.27 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-09-13
Maturity Price : 22.70
Evaluated at bid price : 23.52
Bid-YTW : 6.29 %
FFH.PR.C FixedReset Disc 1.28 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-09-13
Maturity Price : 21.79
Evaluated at bid price : 22.24
Bid-YTW : 6.62 %
PWF.PR.K Perpetual-Discount 1.44 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-09-13
Maturity Price : 21.10
Evaluated at bid price : 21.10
Bid-YTW : 5.96 %
IFC.PR.A FixedReset Ins Non 1.62 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-09-13
Maturity Price : 19.26
Evaluated at bid price : 19.26
Bid-YTW : 5.93 %
FFH.PR.D FloatingReset 2.31 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-09-13
Maturity Price : 22.00
Evaluated at bid price : 22.26
Bid-YTW : 8.18 %
BN.PF.B FixedReset Disc 6.40 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-09-13
Maturity Price : 21.35
Evaluated at bid price : 21.64
Bid-YTW : 6.49 %
ENB.PF.G FixedReset Disc 8.27 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-09-13
Maturity Price : 17.68
Evaluated at bid price : 17.68
Bid-YTW : 7.49 %
BN.PF.G FixedReset Disc 20.27 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-09-13
Maturity Price : 18.80
Evaluated at bid price : 18.80
Bid-YTW : 7.29 %
Volume Highlights
Issue Index Shares
Traded		 Notes
POW.PR.D Perpetual-Discount 133,040 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-09-13
Maturity Price : 21.25
Evaluated at bid price : 21.25
Bid-YTW : 6.00 %
TD.PF.C FixedReset Disc 101,000 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-09-13
Maturity Price : 23.16
Evaluated at bid price : 24.01
Bid-YTW : 5.19 %
BMO.PR.E FixedReset Prem 99,400 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-09-13
Maturity Price : 23.49
Evaluated at bid price : 25.85
Bid-YTW : 5.53 %
NA.PR.W FixedReset Disc 93,025 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-09-13
Maturity Price : 22.26
Evaluated at bid price : 23.01
Bid-YTW : 5.41 %
RY.PR.S FixedReset Prem 62,766 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-09-13
Maturity Price : 23.30
Evaluated at bid price : 25.30
Bid-YTW : 5.21 %
GWO.PR.M Insurance Straight 57,317 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-09-13
Maturity Price : 23.91
Evaluated at bid price : 24.15
Bid-YTW : 6.02 %
There were 14 other index-included issues trading in excess of 10,000 shares.
Wide Spread Highlights
Issue Index Quote Data and Yield Notes
IFC.PR.C FixedReset Ins Non Quote: 21.00 – 22.50
Spot Rate : 1.5000
Average : 1.0005

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-09-13
Maturity Price : 21.00
Evaluated at bid price : 21.00
Bid-YTW : 6.15 %
GWO.PR.H Insurance Straight Quote: 20.66 – 21.99
Spot Rate : 1.3300
Average : 0.9295

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-09-13
Maturity Price : 20.66
Evaluated at bid price : 20.66
Bid-YTW : 5.89 %
BN.PF.D Perpetual-Discount Quote: 19.77 – 20.69
Spot Rate : 0.9200
Average : 0.5769

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-09-13
Maturity Price : 19.77
Evaluated at bid price : 19.77
Bid-YTW : 6.22 %
ENB.PR.J FixedReset Disc Quote: 20.20 – 21.00
Spot Rate : 0.8000
Average : 0.4578

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-09-13
Maturity Price : 20.20
Evaluated at bid price : 20.20
Bid-YTW : 6.91 %
CCS.PR.C Insurance Straight Quote: 21.50 – 22.75
Spot Rate : 1.2500
Average : 0.9427

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-09-13
Maturity Price : 21.50
Evaluated at bid price : 21.50
Bid-YTW : 5.84 %
IFC.PR.F Insurance Straight Quote: 22.64 – 23.49
Spot Rate : 0.8500
Average : 0.6139

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-09-13
Maturity Price : 22.35
Evaluated at bid price : 22.64
Bid-YTW : 5.86 %

Posted in Market Action | No Comments »

September 12, 2024

September 12th, 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 0.1720 % 2,221.9
FixedFloater 0.00 % 0.00 % 0 0.00 0 0.1720 % 4,261.5
Floater 9.69 % 10.01 % 81,690 9.41 2 0.1720 % 2,455.9
OpRet 0.00 % 0.00 % 0 0.00 0 0.3987 % 3,551.6
SplitShare 4.68 % 5.55 % 37,463 1.09 4 0.3987 % 4,241.3
Interest-Bearing 0.00 % 0.00 % 0 0.00 0 0.3987 % 3,309.3
Perpetual-Premium 0.00 % 0.00 % 0 0.00 0 0.3651 % 2,927.4
Perpetual-Discount 5.88 % 6.05 % 57,786 13.79 31 0.3651 % 3,192.2
FixedReset Disc 5.47 % 6.63 % 111,847 12.92 58 0.2323 % 2,669.7
Insurance Straight 5.76 % 5.84 % 65,372 14.18 20 0.4968 % 3,142.9
FloatingReset 8.25 % 8.41 % 31,049 10.83 2 0.2581 % 2,785.7
FixedReset Prem 6.45 % 5.54 % 204,260 13.56 7 0.0725 % 2,567.7
FixedReset Bank Non 0.00 % 0.00 % 0 0.00 0 0.2323 % 2,728.9
FixedReset Ins Non 5.17 % 5.94 % 97,514 14.03 14 0.5532 % 2,842.2
Performance Highlights
Issue Index Change Notes
BN.PF.B FixedReset Disc -5.95 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-09-12
Maturity Price : 20.70
Evaluated at bid price : 20.70
Bid-YTW : 7.00 %
BN.PF.I FixedReset Disc -3.03 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-09-12
Maturity Price : 22.09
Evaluated at bid price : 22.40
Bid-YTW : 7.31 %
FTS.PR.J Perpetual-Discount -1.36 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-09-12
Maturity Price : 20.96
Evaluated at bid price : 20.96
Bid-YTW : 5.72 %
SLF.PR.C Insurance Straight 1.08 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-09-12
Maturity Price : 20.62
Evaluated at bid price : 20.62
Bid-YTW : 5.41 %
SLF.PR.E Insurance Straight 1.21 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-09-12
Maturity Price : 20.85
Evaluated at bid price : 20.85
Bid-YTW : 5.41 %
POW.PR.A Perpetual-Discount 1.28 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-09-12
Maturity Price : 23.36
Evaluated at bid price : 23.65
Bid-YTW : 6.02 %
PVS.PR.K SplitShare 1.42 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2029-05-31
Maturity Price : 25.00
Evaluated at bid price : 24.35
Bid-YTW : 5.12 %
PWF.PR.L Perpetual-Discount 1.71 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-09-12
Maturity Price : 21.36
Evaluated at bid price : 21.36
Bid-YTW : 6.06 %
BN.PR.X FixedReset Disc 3.80 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-09-12
Maturity Price : 16.92
Evaluated at bid price : 16.92
Bid-YTW : 6.97 %
PWF.PR.R Perpetual-Discount 5.09 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-09-12
Maturity Price : 22.67
Evaluated at bid price : 22.91
Bid-YTW : 6.08 %
MFC.PR.B Insurance Straight 6.03 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-09-12
Maturity Price : 20.57
Evaluated at bid price : 20.57
Bid-YTW : 5.68 %
BN.PF.E FixedReset Disc 6.07 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-09-12
Maturity Price : 18.35
Evaluated at bid price : 18.35
Bid-YTW : 7.33 %
SLF.PR.H FixedReset Ins Non 8.61 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-09-12
Maturity Price : 19.55
Evaluated at bid price : 19.55
Bid-YTW : 6.03 %
BIP.PR.A FixedReset Disc 12.11 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-09-12
Maturity Price : 21.30
Evaluated at bid price : 21.30
Bid-YTW : 7.34 %
Volume Highlights
Issue Index Shares
Traded		 Notes
NA.PR.W FixedReset Disc 98,600 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-09-12
Maturity Price : 22.23
Evaluated at bid price : 22.96
Bid-YTW : 5.48 %
PWF.PR.O Perpetual-Discount 46,500 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-09-12
Maturity Price : 23.73
Evaluated at bid price : 24.04
Bid-YTW : 6.11 %
TD.PF.D FixedReset Disc 34,500 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-09-12
Maturity Price : 23.38
Evaluated at bid price : 23.97
Bid-YTW : 5.72 %
IFC.PR.C FixedReset Ins Non 26,300 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-09-12
Maturity Price : 21.22
Evaluated at bid price : 21.22
Bid-YTW : 6.21 %
RY.PR.M FixedReset Disc 24,200 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-09-12
Maturity Price : 23.20
Evaluated at bid price : 23.70
Bid-YTW : 5.54 %
BN.PF.F FixedReset Disc 22,600 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-09-12
Maturity Price : 20.81
Evaluated at bid price : 20.81
Bid-YTW : 6.93 %
There were 11 other index-included issues trading in excess of 10,000 shares.
Wide Spread Highlights
Issue Index Quote Data and Yield Notes
BN.PF.B FixedReset Disc Quote: 20.70 – 22.22
Spot Rate : 1.5200
Average : 0.9019

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-09-12
Maturity Price : 20.70
Evaluated at bid price : 20.70
Bid-YTW : 7.00 %
BN.PF.I FixedReset Disc Quote: 22.40 – 24.00
Spot Rate : 1.6000
Average : 1.2528

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-09-12
Maturity Price : 22.09
Evaluated at bid price : 22.40
Bid-YTW : 7.31 %
BN.PF.G FixedReset Disc Quote: 15.80 – 19.00
Spot Rate : 3.2000
Average : 2.8947

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-09-12
Maturity Price : 15.80
Evaluated at bid price : 15.80
Bid-YTW : 8.84 %
POW.PR.D Perpetual-Discount Quote: 21.06 – 21.80
Spot Rate : 0.7400
Average : 0.4795

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-09-12
Maturity Price : 21.06
Evaluated at bid price : 21.06
Bid-YTW : 6.05 %
ENB.PR.A Perpetual-Discount Quote: 22.91 – 23.69
Spot Rate : 0.7800
Average : 0.5414

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-09-12
Maturity Price : 22.67
Evaluated at bid price : 22.91
Bid-YTW : 6.05 %
MFC.PR.J FixedReset Ins Non Quote: 24.44 – 24.85
Spot Rate : 0.4100
Average : 0.2618

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-09-12
Maturity Price : 23.10
Evaluated at bid price : 24.44
Bid-YTW : 5.66 %

Posted in Market Action | No Comments »

September 11, 2024

September 11th, 2024

PerpetualDiscounts now yield 6.04%, equivalent to 7.85% interest at the standard equivalency factor of 1.3x. Long corporates yielded 4.96% on 2024-8-31 (I assume they meant to write 2024-8-30) and since then the closing price of ZLC has changed from 15.15 to 15.51, an increase of 238bp in price, implying a decrease of yields of 19bp (BMO reports a duration of 12.35, but don’t disclose whether this is Macaulay or Modified; I will assume Modified) to 4.77%. Therefore, the pre-tax interest-equivalent spread (in this context, the “Seniority Spread”) has widened slightly (and perhaps spuriously) to 310bp from the 305bp reported September 4.

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 -0.1717 % 2,218.0
FixedFloater 0.00 % 0.00 % 0 0.00 0 -0.1717 % 4,254.2
Floater 9.71 % 9.97 % 80,981 9.44 2 -0.1717 % 2,451.7
OpRet 0.00 % 0.00 % 0 0.00 0 -0.1531 % 3,537.5
SplitShare 4.70 % 5.72 % 33,968 1.10 4 -0.1531 % 4,224.5
Interest-Bearing 0.00 % 0.00 % 0 0.00 0 -0.1531 % 3,296.1
Perpetual-Premium 0.00 % 0.00 % 0 0.00 0 -0.2177 % 2,916.7
Perpetual-Discount 5.90 % 6.04 % 58,602 13.78 31 -0.2177 % 3,180.6
FixedReset Disc 5.48 % 6.60 % 111,708 12.90 58 -0.4487 % 2,663.5
Insurance Straight 5.79 % 5.84 % 65,765 14.08 20 0.1116 % 3,127.4
FloatingReset 8.27 % 8.38 % 32,324 10.85 2 0.2587 % 2,778.5
FixedReset Prem 6.45 % 5.55 % 212,614 13.54 7 -0.0223 % 2,565.9
FixedReset Bank Non 0.00 % 0.00 % 0 0.00 0 -0.4487 % 2,722.6
FixedReset Ins Non 5.20 % 5.95 % 100,866 13.97 14 -0.8734 % 2,826.6
Performance Highlights
Issue Index Change Notes
BIP.PR.A FixedReset Disc -12.08 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-09-11
Maturity Price : 19.00
Evaluated at bid price : 19.00
Bid-YTW : 8.21 %
ENB.PF.G FixedReset Disc -6.84 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-09-11
Maturity Price : 16.21
Evaluated at bid price : 16.21
Bid-YTW : 8.23 %
SLF.PR.H FixedReset Ins Non -6.78 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-09-11
Maturity Price : 18.00
Evaluated at bid price : 18.00
Bid-YTW : 6.54 %
MFC.PR.B Insurance Straight -5.60 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-09-11
Maturity Price : 19.40
Evaluated at bid price : 19.40
Bid-YTW : 6.03 %
PWF.PR.R Perpetual-Discount -5.01 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-09-11
Maturity Price : 21.54
Evaluated at bid price : 21.80
Bid-YTW : 6.40 %
BN.PF.E FixedReset Disc -4.95 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-09-11
Maturity Price : 17.30
Evaluated at bid price : 17.30
Bid-YTW : 7.77 %
MFC.PR.F FixedReset Ins Non -4.48 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-09-11
Maturity Price : 16.00
Evaluated at bid price : 16.00
Bid-YTW : 6.26 %
BN.PR.X FixedReset Disc -4.12 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-09-11
Maturity Price : 16.30
Evaluated at bid price : 16.30
Bid-YTW : 7.24 %
PWF.PR.L Perpetual-Discount -1.59 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-09-11
Maturity Price : 21.00
Evaluated at bid price : 21.00
Bid-YTW : 6.17 %
MFC.PR.M FixedReset Ins Non -1.52 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-09-11
Maturity Price : 21.35
Evaluated at bid price : 21.35
Bid-YTW : 6.05 %
MFC.PR.N FixedReset Ins Non -1.39 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-09-11
Maturity Price : 21.35
Evaluated at bid price : 21.35
Bid-YTW : 5.95 %
ENB.PF.K FixedReset Disc -1.21 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-09-11
Maturity Price : 22.77
Evaluated at bid price : 23.71
Bid-YTW : 6.37 %
FFH.PR.G FixedReset Disc -1.17 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-09-11
Maturity Price : 17.70
Evaluated at bid price : 17.70
Bid-YTW : 7.43 %
GWO.PR.Q Insurance Straight 1.11 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-09-11
Maturity Price : 21.59
Evaluated at bid price : 21.85
Bid-YTW : 5.90 %
SLF.PR.D Insurance Straight 1.83 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-09-11
Maturity Price : 20.62
Evaluated at bid price : 20.62
Bid-YTW : 5.41 %
CU.PR.D Perpetual-Discount 1.85 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-09-11
Maturity Price : 20.88
Evaluated at bid price : 20.88
Bid-YTW : 5.92 %
GWO.PR.T Insurance Straight 2.12 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-09-11
Maturity Price : 21.70
Evaluated at bid price : 21.70
Bid-YTW : 5.96 %
Volume Highlights
Issue Index Shares
Traded		 Notes
TD.PF.A FixedReset Disc 69,972 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-09-11
Maturity Price : 23.40
Evaluated at bid price : 24.52
Bid-YTW : 5.12 %
IFC.PR.C FixedReset Ins Non 62,487 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-09-11
Maturity Price : 21.12
Evaluated at bid price : 21.12
Bid-YTW : 6.24 %
CM.PR.S FixedReset Disc 61,446 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-09-11
Maturity Price : 24.83
Evaluated at bid price : 24.83
Bid-YTW : 5.50 %
POW.PR.D Perpetual-Discount 58,616 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-09-11
Maturity Price : 21.10
Evaluated at bid price : 21.10
Bid-YTW : 6.04 %
ENB.PR.T FixedReset Disc 38,960 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-09-11
Maturity Price : 20.48
Evaluated at bid price : 20.48
Bid-YTW : 6.94 %
MFC.PR.Q FixedReset Ins Non 32,732 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-09-11
Maturity Price : 23.07
Evaluated at bid price : 24.45
Bid-YTW : 5.57 %
There were 11 other index-included issues trading in excess of 10,000 shares.
Wide Spread Highlights
Issue Index Quote Data and Yield Notes
BIP.PR.A FixedReset Disc Quote: 19.00 – 21.95
Spot Rate : 2.9500
Average : 1.7637

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-09-11
Maturity Price : 19.00
Evaluated at bid price : 19.00
Bid-YTW : 8.21 %
BN.PF.G FixedReset Disc Quote: 15.80 – 19.05
Spot Rate : 3.2500
Average : 2.5599

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-09-11
Maturity Price : 15.80
Evaluated at bid price : 15.80
Bid-YTW : 8.84 %
PWF.PR.R Perpetual-Discount Quote: 21.80 – 23.20
Spot Rate : 1.4000
Average : 0.8423

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-09-11
Maturity Price : 21.54
Evaluated at bid price : 21.80
Bid-YTW : 6.40 %
GWO.PR.H Insurance Straight Quote: 20.67 – 22.00
Spot Rate : 1.3300
Average : 0.7757

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-09-11
Maturity Price : 20.67
Evaluated at bid price : 20.67
Bid-YTW : 5.89 %
MFC.PR.B Insurance Straight Quote: 19.40 – 20.69
Spot Rate : 1.2900
Average : 0.7636

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-09-11
Maturity Price : 19.40
Evaluated at bid price : 19.40
Bid-YTW : 6.03 %
ENB.PF.G FixedReset Disc Quote: 16.21 – 18.00
Spot Rate : 1.7900
Average : 1.3432

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-09-11
Maturity Price : 16.21
Evaluated at bid price : 16.21
Bid-YTW : 8.23 %

Posted in Market Action | 1 Comment »

September 10, 2024

September 10th, 2024

I have updated the post ALA.PR.G To Reset To 6.017% for what I hope will be the last time.

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 0.0859 % 2,221.9
FixedFloater 0.00 % 0.00 % 0 0.00 0 0.0859 % 4,261.5
Floater 9.69 % 9.99 % 37,730 9.43 2 0.0859 % 2,455.9
OpRet 0.00 % 0.00 % 0 0.00 0 0.1840 % 3,542.9
SplitShare 4.69 % 5.71 % 32,912 1.10 4 0.1840 % 4,231.0
Interest-Bearing 0.00 % 0.00 % 0 0.00 0 0.1840 % 3,301.2
Perpetual-Premium 0.00 % 0.00 % 0 0.00 0 0.2911 % 2,923.1
Perpetual-Discount 5.89 % 6.05 % 59,123 13.77 31 0.2911 % 3,187.5
FixedReset Disc 5.46 % 6.63 % 113,145 12.88 58 -0.2259 % 2,675.5
Insurance Straight 5.79 % 5.83 % 67,844 14.14 20 -0.4005 % 3,123.9
FloatingReset 8.29 % 8.40 % 33,381 10.84 2 0.0000 % 2,771.3
FixedReset Prem 6.45 % 5.54 % 215,933 13.55 7 0.3356 % 2,566.4
FixedReset Bank Non 0.00 % 0.00 % 0 0.00 0 -0.2259 % 2,734.9
FixedReset Ins Non 5.15 % 5.89 % 101,405 14.08 14 1.6028 % 2,851.5
Performance Highlights
Issue Index Change Notes
BN.PF.G FixedReset Disc -16.84 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-09-10
Maturity Price : 15.80
Evaluated at bid price : 15.80
Bid-YTW : 8.84 %
GWO.PR.T Insurance Straight -2.30 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-09-10
Maturity Price : 21.25
Evaluated at bid price : 21.25
Bid-YTW : 6.08 %
CU.PR.D Perpetual-Discount -2.29 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-09-10
Maturity Price : 20.50
Evaluated at bid price : 20.50
Bid-YTW : 6.03 %
BN.PF.J FixedReset Disc -2.08 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-09-10
Maturity Price : 22.69
Evaluated at bid price : 23.51
Bid-YTW : 6.46 %
SLF.PR.C Insurance Straight -1.66 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-09-10
Maturity Price : 20.20
Evaluated at bid price : 20.20
Bid-YTW : 5.53 %
SLF.PR.E Insurance Straight -1.44 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-09-10
Maturity Price : 20.50
Evaluated at bid price : 20.50
Bid-YTW : 5.51 %
BN.PF.F FixedReset Disc -1.39 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-09-10
Maturity Price : 20.63
Evaluated at bid price : 20.63
Bid-YTW : 6.99 %
TD.PF.I FixedReset Prem 1.10 % YTW SCENARIO
Maturity Type : Call
Maturity Date : 2027-10-31
Maturity Price : 25.00
Evaluated at bid price : 25.80
Bid-YTW : 5.47 %
PWF.PR.F Perpetual-Discount 1.15 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-09-10
Maturity Price : 21.75
Evaluated at bid price : 22.00
Bid-YTW : 6.04 %
FFH.PR.G FixedReset Disc 1.19 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-09-10
Maturity Price : 17.91
Evaluated at bid price : 17.91
Bid-YTW : 7.34 %
SLF.PR.D Insurance Straight 1.55 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-09-10
Maturity Price : 20.25
Evaluated at bid price : 20.25
Bid-YTW : 5.51 %
PWF.PR.K Perpetual-Discount 2.59 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-09-10
Maturity Price : 20.98
Evaluated at bid price : 20.98
Bid-YTW : 5.99 %
CU.PR.F Perpetual-Discount 4.65 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-09-10
Maturity Price : 19.57
Evaluated at bid price : 19.57
Bid-YTW : 5.80 %
ENB.PF.G FixedReset Disc 7.34 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-09-10
Maturity Price : 17.40
Evaluated at bid price : 17.40
Bid-YTW : 7.67 %
SLF.PR.H FixedReset Ins Non 33.36 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-09-10
Maturity Price : 19.31
Evaluated at bid price : 19.31
Bid-YTW : 6.11 %
Volume Highlights
Issue Index Shares
Traded		 Notes
SLF.PR.D Insurance Straight 90,740 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-09-10
Maturity Price : 20.25
Evaluated at bid price : 20.25
Bid-YTW : 5.51 %
RY.PR.J FixedReset Disc 84,745 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-09-10
Maturity Price : 23.39
Evaluated at bid price : 24.05
Bid-YTW : 5.66 %
IFC.PR.G FixedReset Ins Non 58,345 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-09-10
Maturity Price : 22.73
Evaluated at bid price : 23.70
Bid-YTW : 5.89 %
MFC.PR.Q FixedReset Ins Non 56,658 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-09-10
Maturity Price : 23.08
Evaluated at bid price : 24.48
Bid-YTW : 5.56 %
MFC.PR.M FixedReset Ins Non 53,800 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-09-10
Maturity Price : 21.40
Evaluated at bid price : 21.68
Bid-YTW : 5.94 %
CU.PR.I FixedReset Disc 35,500 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-09-10
Maturity Price : 23.75
Evaluated at bid price : 24.20
Bid-YTW : 6.56 %
There were 18 other index-included issues trading in excess of 10,000 shares.
Wide Spread Highlights
Issue Index Quote Data and Yield Notes
BN.PF.G FixedReset Disc Quote: 15.80 – 19.02
Spot Rate : 3.2200
Average : 1.8032

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-09-10
Maturity Price : 15.80
Evaluated at bid price : 15.80
Bid-YTW : 8.84 %
CCS.PR.C Insurance Straight Quote: 21.50 – 22.75
Spot Rate : 1.2500
Average : 0.8087

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-09-10
Maturity Price : 21.50
Evaluated at bid price : 21.50
Bid-YTW : 5.83 %
POW.PR.A Perpetual-Discount Quote: 23.45 – 24.30
Spot Rate : 0.8500
Average : 0.5597

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-09-10
Maturity Price : 23.15
Evaluated at bid price : 23.45
Bid-YTW : 6.07 %
BN.PF.B FixedReset Disc Quote: 21.80 – 22.40
Spot Rate : 0.6000
Average : 0.3493

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-09-10
Maturity Price : 21.51
Evaluated at bid price : 21.80
Bid-YTW : 6.62 %
GWO.PR.T Insurance Straight Quote: 21.25 – 21.95
Spot Rate : 0.7000
Average : 0.4740

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-09-10
Maturity Price : 21.25
Evaluated at bid price : 21.25
Bid-YTW : 6.08 %
CU.PR.D Perpetual-Discount Quote: 20.50 – 21.25
Spot Rate : 0.7500
Average : 0.5344

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-09-10
Maturity Price : 20.50
Evaluated at bid price : 20.50
Bid-YTW : 6.03 %

Posted in Market Action | No Comments »

September 9, 2024

September 9th, 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 0.2152 % 2,220.0
FixedFloater 0.00 % 0.00 % 0 0.00 0 0.2152 % 4,257.9
Floater 9.70 % 10.01 % 80,468 9.42 2 0.2152 % 2,453.8
OpRet 0.00 % 0.00 % 0 0.00 0 -0.3160 % 3,536.4
SplitShare 4.70 % 5.73 % 32,721 1.10 4 -0.3160 % 4,223.2
Interest-Bearing 0.00 % 0.00 % 0 0.00 0 -0.3160 % 3,295.1
Perpetual-Premium 0.00 % 0.00 % 0 0.00 0 0.0223 % 2,914.6
Perpetual-Discount 5.91 % 6.07 % 59,490 13.77 31 0.0223 % 3,178.2
FixedReset Disc 5.45 % 6.63 % 115,120 12.93 58 -0.2415 % 2,681.5
Insurance Straight 5.77 % 5.85 % 68,291 14.17 20 -0.0139 % 3,136.5
FloatingReset 8.29 % 8.42 % 34,751 10.82 2 0.1295 % 2,771.3
FixedReset Prem 6.48 % 5.60 % 212,674 13.79 7 -0.4953 % 2,557.8
FixedReset Bank Non 0.00 % 0.00 % 0 0.00 0 -0.2415 % 2,741.1
FixedReset Ins Non 5.23 % 5.86 % 98,752 14.09 14 -1.2666 % 2,806.5
Performance Highlights
Issue Index Change Notes
SLF.PR.H FixedReset Ins Non -19.56 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-09-09
Maturity Price : 14.48
Evaluated at bid price : 14.48
Bid-YTW : 8.06 %
ENB.PF.G FixedReset Disc -8.93 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-09-09
Maturity Price : 16.21
Evaluated at bid price : 16.21
Bid-YTW : 8.22 %
CU.PR.F Perpetual-Discount -4.35 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-09-09
Maturity Price : 18.70
Evaluated at bid price : 18.70
Bid-YTW : 6.07 %
SLF.PR.D Insurance Straight -2.83 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-09-09
Maturity Price : 19.94
Evaluated at bid price : 19.94
Bid-YTW : 5.60 %
BIK.PR.A FixedReset Prem -1.93 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-09-09
Maturity Price : 23.31
Evaluated at bid price : 25.35
Bid-YTW : 6.82 %
BN.PR.X FixedReset Disc -1.73 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-09-09
Maturity Price : 17.00
Evaluated at bid price : 17.00
Bid-YTW : 6.93 %
BIP.PR.E FixedReset Disc -1.70 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-09-09
Maturity Price : 22.44
Evaluated at bid price : 23.10
Bid-YTW : 6.48 %
IFC.PR.C FixedReset Ins Non -1.41 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-09-09
Maturity Price : 21.00
Evaluated at bid price : 21.00
Bid-YTW : 6.27 %
FFH.PR.G FixedReset Disc -1.39 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-09-09
Maturity Price : 17.70
Evaluated at bid price : 17.70
Bid-YTW : 7.42 %
PWF.PR.F Perpetual-Discount -1.36 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-09-09
Maturity Price : 21.49
Evaluated at bid price : 21.75
Bid-YTW : 6.11 %
TD.PF.I FixedReset Prem -1.09 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-09-09
Maturity Price : 23.53
Evaluated at bid price : 25.52
Bid-YTW : 5.78 %
SLF.PR.C Insurance Straight -1.01 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-09-09
Maturity Price : 20.54
Evaluated at bid price : 20.54
Bid-YTW : 5.43 %
IFC.PR.E Insurance Straight -1.00 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-09-09
Maturity Price : 22.47
Evaluated at bid price : 22.75
Bid-YTW : 5.82 %
BN.PF.C Perpetual-Discount 1.01 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-09-09
Maturity Price : 19.95
Evaluated at bid price : 19.95
Bid-YTW : 6.21 %
PWF.PF.A Perpetual-Discount 1.10 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-09-09
Maturity Price : 19.31
Evaluated at bid price : 19.31
Bid-YTW : 5.91 %
GWO.PR.G Insurance Straight 1.18 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-09-09
Maturity Price : 22.01
Evaluated at bid price : 22.25
Bid-YTW : 5.85 %
CCS.PR.C Insurance Straight 1.40 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-09-09
Maturity Price : 21.44
Evaluated at bid price : 21.70
Bid-YTW : 5.76 %
CU.PR.D Perpetual-Discount 2.34 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-09-09
Maturity Price : 20.98
Evaluated at bid price : 20.98
Bid-YTW : 5.89 %
Volume Highlights
Issue Index Shares
Traded		 Notes
MFC.PR.K FixedReset Ins Non 43,700 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-09-09
Maturity Price : 23.01
Evaluated at bid price : 24.36
Bid-YTW : 5.43 %
IFC.PR.G FixedReset Ins Non 30,660 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-09-09
Maturity Price : 22.78
Evaluated at bid price : 23.79
Bid-YTW : 5.86 %
ENB.PR.J FixedReset Disc 29,501 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-09-09
Maturity Price : 19.97
Evaluated at bid price : 19.97
Bid-YTW : 7.03 %
ENB.PR.D FixedReset Disc 28,900 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-09-09
Maturity Price : 18.22
Evaluated at bid price : 18.22
Bid-YTW : 7.25 %
MFC.PR.M FixedReset Ins Non 28,700 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-09-09
Maturity Price : 21.48
Evaluated at bid price : 21.79
Bid-YTW : 5.91 %
GWO.PR.R Insurance Straight 27,300 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-09-09
Maturity Price : 20.85
Evaluated at bid price : 20.85
Bid-YTW : 5.77 %
There were 13 other index-included issues trading in excess of 10,000 shares.
Wide Spread Highlights
Issue Index Quote Data and Yield Notes
SLF.PR.H FixedReset Ins Non Quote: 14.48 – 19.64
Spot Rate : 5.1600
Average : 3.7985

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-09-09
Maturity Price : 14.48
Evaluated at bid price : 14.48
Bid-YTW : 8.06 %
ENB.PF.G FixedReset Disc Quote: 16.21 – 17.98
Spot Rate : 1.7700
Average : 1.0542

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-09-09
Maturity Price : 16.21
Evaluated at bid price : 16.21
Bid-YTW : 8.22 %
MFC.PR.F FixedReset Ins Non Quote: 16.75 – 17.93
Spot Rate : 1.1800
Average : 0.7868

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-09-09
Maturity Price : 16.75
Evaluated at bid price : 16.75
Bid-YTW : 5.99 %
CU.PR.F Perpetual-Discount Quote: 18.70 – 19.68
Spot Rate : 0.9800
Average : 0.6400

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-09-09
Maturity Price : 18.70
Evaluated at bid price : 18.70
Bid-YTW : 6.07 %
BIP.PR.E FixedReset Disc Quote: 23.10 – 24.00
Spot Rate : 0.9000
Average : 0.6898

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-09-09
Maturity Price : 22.44
Evaluated at bid price : 23.10
Bid-YTW : 6.48 %
BN.PF.D Perpetual-Discount Quote: 19.96 – 20.57
Spot Rate : 0.6100
Average : 0.4327

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-09-09
Maturity Price : 19.96
Evaluated at bid price : 19.96
Bid-YTW : 6.27 %

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September 6, 2024

September 6th, 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 0.7372 % 2,215.2
FixedFloater 0.00 % 0.00 % 0 0.00 0 0.7372 % 4,248.7
Floater 9.72 % 10.01 % 79,384 9.42 2 0.7372 % 2,448.6
OpRet 0.00 % 0.00 % 0 0.00 0 -0.4060 % 3,547.6
SplitShare 4.69 % 5.28 % 32,939 1.11 4 -0.4060 % 4,236.6
Interest-Bearing 0.00 % 0.00 % 0 0.00 0 -0.4060 % 3,305.6
Perpetual-Premium 0.00 % 0.00 % 0 0.00 0 0.0847 % 2,914.0
Perpetual-Discount 5.91 % 6.05 % 58,681 13.78 31 0.0847 % 3,177.5
FixedReset Disc 5.43 % 6.79 % 114,099 12.68 58 -0.0024 % 2,688.0
Insurance Straight 5.77 % 5.86 % 68,312 14.15 20 0.3857 % 3,136.9
FloatingReset 8.37 % 8.47 % 35,059 10.77 2 0.4162 % 2,767.8
FixedReset Prem 6.44 % 5.72 % 210,042 13.39 7 -0.1556 % 2,570.6
FixedReset Bank Non 0.00 % 0.00 % 0 0.00 0 -0.0024 % 2,747.7
FixedReset Ins Non 5.17 % 6.04 % 102,691 13.83 14 0.5085 % 2,842.5
Performance Highlights
Issue Index Change Notes
GWO.PR.N FixedReset Ins Non -2.32 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-09-06
Maturity Price : 14.31
Evaluated at bid price : 14.31
Bid-YTW : 7.10 %
CU.PR.D Perpetual-Discount -1.68 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-09-06
Maturity Price : 20.50
Evaluated at bid price : 20.50
Bid-YTW : 6.03 %
BN.PR.R FixedReset Disc -1.65 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-09-06
Maturity Price : 16.71
Evaluated at bid price : 16.71
Bid-YTW : 7.62 %
BN.PR.T FixedReset Disc -1.49 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-09-06
Maturity Price : 16.55
Evaluated at bid price : 16.55
Bid-YTW : 7.74 %
GWO.PR.M Insurance Straight -1.41 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-09-06
Maturity Price : 23.58
Evaluated at bid price : 23.85
Bid-YTW : 6.08 %
FTS.PR.H FixedReset Disc -1.30 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-09-06
Maturity Price : 15.15
Evaluated at bid price : 15.15
Bid-YTW : 7.15 %
MFC.PR.N FixedReset Ins Non -1.23 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-09-06
Maturity Price : 21.41
Evaluated at bid price : 21.71
Bid-YTW : 6.04 %
PWF.PR.K Perpetual-Discount -1.21 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-09-06
Maturity Price : 20.45
Evaluated at bid price : 20.45
Bid-YTW : 6.14 %
PVS.PR.K SplitShare -1.19 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2029-05-31
Maturity Price : 25.00
Evaluated at bid price : 24.01
Bid-YTW : 5.44 %
FFH.PR.E FixedReset Disc -1.14 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-09-06
Maturity Price : 17.30
Evaluated at bid price : 17.30
Bid-YTW : 7.45 %
FTS.PR.K FixedReset Disc 1.02 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-09-06
Maturity Price : 20.75
Evaluated at bid price : 20.75
Bid-YTW : 6.28 %
BN.PR.B Floater 1.13 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-09-06
Maturity Price : 11.63
Evaluated at bid price : 11.63
Bid-YTW : 10.01 %
POW.PR.C Perpetual-Discount 1.29 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-09-06
Maturity Price : 24.16
Evaluated at bid price : 24.41
Bid-YTW : 6.03 %
PWF.PR.E Perpetual-Discount 1.33 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-09-06
Maturity Price : 22.66
Evaluated at bid price : 22.90
Bid-YTW : 6.08 %
GWO.PR.Q Insurance Straight 1.49 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-09-06
Maturity Price : 21.48
Evaluated at bid price : 21.74
Bid-YTW : 5.92 %
BN.PR.X FixedReset Disc 1.65 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-09-06
Maturity Price : 17.30
Evaluated at bid price : 17.30
Bid-YTW : 7.03 %
SLF.PR.E Insurance Straight 1.71 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-09-06
Maturity Price : 20.80
Evaluated at bid price : 20.80
Bid-YTW : 5.42 %
IFC.PR.E Insurance Straight 2.13 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-09-06
Maturity Price : 22.70
Evaluated at bid price : 22.98
Bid-YTW : 5.76 %
SLF.PR.C Insurance Straight 2.22 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-09-06
Maturity Price : 20.75
Evaluated at bid price : 20.75
Bid-YTW : 5.37 %
GWO.PR.T Insurance Straight 2.30 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-09-06
Maturity Price : 21.75
Evaluated at bid price : 21.75
Bid-YTW : 5.94 %
BN.PF.E FixedReset Disc 6.07 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-09-06
Maturity Price : 18.35
Evaluated at bid price : 18.35
Bid-YTW : 7.57 %
SLF.PR.H FixedReset Ins Non 12.50 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-09-06
Maturity Price : 18.00
Evaluated at bid price : 18.00
Bid-YTW : 6.75 %
Volume Highlights
Issue Index Shares
Traded		 Notes
GWO.PR.M Insurance Straight 127,200 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-09-06
Maturity Price : 23.58
Evaluated at bid price : 23.85
Bid-YTW : 6.08 %
BMO.PR.E FixedReset Prem 116,830 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-09-06
Maturity Price : 23.48
Evaluated at bid price : 25.82
Bid-YTW : 5.72 %
BN.PR.R FixedReset Disc 94,689 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-09-06
Maturity Price : 16.71
Evaluated at bid price : 16.71
Bid-YTW : 7.62 %
ENB.PR.Y FixedReset Disc 58,216 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-09-06
Maturity Price : 18.09
Evaluated at bid price : 18.09
Bid-YTW : 7.46 %
NA.PR.S FixedReset Disc 58,200 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-09-06
Maturity Price : 23.19
Evaluated at bid price : 25.03
Bid-YTW : 5.58 %
IFC.PR.C FixedReset Ins Non 57,332 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-09-06
Maturity Price : 21.30
Evaluated at bid price : 21.30
Bid-YTW : 6.37 %
There were 20 other index-included issues trading in excess of 10,000 shares.
Wide Spread Highlights
Issue Index Quote Data and Yield Notes
BN.PF.I FixedReset Disc Quote: 23.10 – 24.00
Spot Rate : 0.9000
Average : 0.6441

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-09-06
Maturity Price : 22.56
Evaluated at bid price : 23.10
Bid-YTW : 7.23 %
CU.PR.D Perpetual-Discount Quote: 20.50 – 21.19
Spot Rate : 0.6900
Average : 0.4384

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-09-06
Maturity Price : 20.50
Evaluated at bid price : 20.50
Bid-YTW : 6.03 %
GWO.PR.N FixedReset Ins Non Quote: 14.31 – 14.93
Spot Rate : 0.6200
Average : 0.4083

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-09-06
Maturity Price : 14.31
Evaluated at bid price : 14.31
Bid-YTW : 7.10 %
BN.PF.A FixedReset Disc Quote: 24.20 – 24.78
Spot Rate : 0.5800
Average : 0.3793

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-09-06
Maturity Price : 22.94
Evaluated at bid price : 24.20
Bid-YTW : 6.41 %
CU.PR.E Perpetual-Discount Quote: 21.05 – 22.05
Spot Rate : 1.0000
Average : 0.7996

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-09-06
Maturity Price : 21.05
Evaluated at bid price : 21.05
Bid-YTW : 5.87 %
GWO.PR.M Insurance Straight Quote: 23.85 – 24.44
Spot Rate : 0.5900
Average : 0.3898

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-09-06
Maturity Price : 23.58
Evaluated at bid price : 23.85
Bid-YTW : 6.08 %

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September 5, 2024

September 5th, 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 -0.7745 % 2,199.0
FixedFloater 0.00 % 0.00 % 0 0.00 0 -0.7745 % 4,217.6
Floater 9.79 % 10.07 % 36,977 9.37 2 -0.7745 % 2,430.6
OpRet 0.00 % 0.00 % 0 0.00 0 0.0406 % 3,562.1
SplitShare 4.67 % 5.34 % 30,615 1.11 4 0.0406 % 4,253.9
Interest-Bearing 0.00 % 0.00 % 0 0.00 0 0.0406 % 3,319.0
Perpetual-Premium 0.00 % 0.00 % 0 0.00 0 0.5020 % 2,911.5
Perpetual-Discount 5.91 % 6.07 % 60,331 13.78 31 0.5020 % 3,174.8
FixedReset Disc 5.43 % 6.78 % 115,214 12.71 58 -0.1044 % 2,688.1
Insurance Straight 5.79 % 5.86 % 68,027 14.12 20 0.4575 % 3,124.9
FloatingReset 8.40 % 8.47 % 36,229 10.78 2 -0.7231 % 2,756.3
FixedReset Prem 6.43 % 5.68 % 212,896 13.40 7 -0.0167 % 2,574.6
FixedReset Bank Non 0.00 % 0.00 % 0 0.00 0 -0.1044 % 2,747.8
FixedReset Ins Non 5.19 % 6.02 % 103,097 13.85 14 -0.4992 % 2,828.2
Performance Highlights
Issue Index Change Notes
BN.PF.E FixedReset Disc -6.23 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-09-05
Maturity Price : 17.30
Evaluated at bid price : 17.30
Bid-YTW : 8.03 %
SLF.PR.H FixedReset Ins Non -5.88 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-09-05
Maturity Price : 16.00
Evaluated at bid price : 16.00
Bid-YTW : 7.56 %
GWO.PR.T Insurance Straight -2.25 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-09-05
Maturity Price : 21.26
Evaluated at bid price : 21.26
Bid-YTW : 6.07 %
MFC.PR.K FixedReset Ins Non -1.72 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-09-05
Maturity Price : 22.88
Evaluated at bid price : 24.06
Bid-YTW : 5.67 %
NA.PR.E FixedReset Disc -1.69 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-09-05
Maturity Price : 23.08
Evaluated at bid price : 24.46
Bid-YTW : 5.74 %
MFC.PR.M FixedReset Ins Non -1.49 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-09-05
Maturity Price : 21.45
Evaluated at bid price : 21.75
Bid-YTW : 6.13 %
POW.PR.C Perpetual-Discount -1.23 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-09-05
Maturity Price : 23.85
Evaluated at bid price : 24.10
Bid-YTW : 6.11 %
FFH.PR.G FixedReset Disc -1.10 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-09-05
Maturity Price : 17.90
Evaluated at bid price : 17.90
Bid-YTW : 7.58 %
BN.PR.B Floater -1.03 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-09-05
Maturity Price : 11.50
Evaluated at bid price : 11.50
Bid-YTW : 10.13 %
PWF.PR.Z Perpetual-Discount 1.08 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-09-05
Maturity Price : 21.58
Evaluated at bid price : 21.58
Bid-YTW : 6.05 %
IFC.PR.F Insurance Straight 1.32 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-09-05
Maturity Price : 22.71
Evaluated at bid price : 23.00
Bid-YTW : 5.86 %
PWF.PR.F Perpetual-Discount 1.38 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-09-05
Maturity Price : 21.81
Evaluated at bid price : 22.05
Bid-YTW : 6.02 %
ENB.PR.N FixedReset Disc 1.38 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-09-05
Maturity Price : 21.71
Evaluated at bid price : 22.05
Bid-YTW : 6.78 %
SLF.PR.C Insurance Straight 1.50 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-09-05
Maturity Price : 20.30
Evaluated at bid price : 20.30
Bid-YTW : 5.49 %
SLF.PR.D Insurance Straight 1.75 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-09-05
Maturity Price : 20.35
Evaluated at bid price : 20.35
Bid-YTW : 5.48 %
BN.PF.J FixedReset Disc 1.95 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-09-05
Maturity Price : 22.94
Evaluated at bid price : 24.01
Bid-YTW : 6.46 %
SLF.PR.E Insurance Straight 2.25 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-09-05
Maturity Price : 20.45
Evaluated at bid price : 20.45
Bid-YTW : 5.51 %
PWF.PR.R Perpetual-Discount 4.04 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-09-05
Maturity Price : 22.66
Evaluated at bid price : 22.90
Bid-YTW : 6.08 %
PWF.PR.L Perpetual-Discount 10.04 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-09-05
Maturity Price : 21.26
Evaluated at bid price : 21.26
Bid-YTW : 6.08 %
Volume Highlights
Issue Index Shares
Traded		 Notes
GWO.PR.N FixedReset Ins Non 104,400 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-09-05
Maturity Price : 14.65
Evaluated at bid price : 14.65
Bid-YTW : 6.94 %
ENB.PR.B FixedReset Disc 56,512 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-09-05
Maturity Price : 17.90
Evaluated at bid price : 17.90
Bid-YTW : 7.55 %
FTS.PR.M FixedReset Disc 54,400 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-09-05
Maturity Price : 20.51
Evaluated at bid price : 20.51
Bid-YTW : 6.69 %
CU.PR.J Perpetual-Discount 46,550 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-09-05
Maturity Price : 20.38
Evaluated at bid price : 20.38
Bid-YTW : 5.87 %
ENB.PR.T FixedReset Disc 42,703 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-09-05
Maturity Price : 20.47
Evaluated at bid price : 20.47
Bid-YTW : 7.10 %
SLF.PR.D Insurance Straight 38,847 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-09-05
Maturity Price : 20.35
Evaluated at bid price : 20.35
Bid-YTW : 5.48 %
There were 24 other index-included issues trading in excess of 10,000 shares.
Wide Spread Highlights
Issue Index Quote Data and Yield Notes
SLF.PR.H FixedReset Ins Non Quote: 16.00 – 19.64
Spot Rate : 3.6400
Average : 3.0355

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-09-05
Maturity Price : 16.00
Evaluated at bid price : 16.00
Bid-YTW : 7.56 %
IFC.PR.E Insurance Straight Quote: 22.50 – 24.76
Spot Rate : 2.2600
Average : 1.6578

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-09-05
Maturity Price : 22.22
Evaluated at bid price : 22.50
Bid-YTW : 5.88 %
BN.PF.E FixedReset Disc Quote: 17.30 – 18.50
Spot Rate : 1.2000
Average : 0.7220

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-09-05
Maturity Price : 17.30
Evaluated at bid price : 17.30
Bid-YTW : 8.03 %
CU.PR.E Perpetual-Discount Quote: 21.05 – 22.05
Spot Rate : 1.0000
Average : 0.5799

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-09-05
Maturity Price : 21.05
Evaluated at bid price : 21.05
Bid-YTW : 5.87 %
PWF.PR.S Perpetual-Discount Quote: 20.34 – 21.98
Spot Rate : 1.6400
Average : 1.3077

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-09-05
Maturity Price : 20.34
Evaluated at bid price : 20.34
Bid-YTW : 5.98 %
GWO.PR.T Insurance Straight Quote: 21.26 – 21.90
Spot Rate : 0.6400
Average : 0.3696

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-09-05
Maturity Price : 21.26
Evaluated at bid price : 21.26
Bid-YTW : 6.07 %

Posted in Market Action | No Comments »

September 4, 2024

September 4th, 2024

PerpetualDiscounts now yield 6.09%, equivalent to 7.92% interest at the standard equivalency factor of 1.3x. Long corporates yielded 4.83% on 2024-8-23 and since then the closing price of ZLC has changed from 15.45 to 15.38, a decrease of 45bp in price, implying an increase of yields of 4bp (BMO reports a duration of 12.44, but don’t disclose whether this is Macaulay or Modified; I will assume Modified) to 4.87%. Therefore, the pre-tax interest-equivalent spread (in this context, the “Seniority Spread”) has remained steady at the 305bp reported August 28.

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 0.5625 % 2,216.1
FixedFloater 0.00 % 0.00 % 0 0.00 0 0.5625 % 4,250.5
Floater 10.09 % 10.42 % 35,206 9.11 2 0.5625 % 2,449.6
OpRet 0.00 % 0.00 % 0 0.00 0 0.3669 % 3,560.6
SplitShare 4.67 % 5.15 % 30,822 1.12 4 0.3669 % 4,252.1
Interest-Bearing 0.00 % 0.00 % 0 0.00 0 0.3669 % 3,317.7
Perpetual-Premium 0.00 % 0.00 % 0 0.00 0 0.1676 % 2,897.0
Perpetual-Discount 5.94 % 6.09 % 57,882 13.71 31 0.1676 % 3,159.0
FixedReset Disc 5.43 % 6.81 % 116,540 12.64 58 0.1354 % 2,690.9
Insurance Straight 5.82 % 5.88 % 68,849 14.08 20 0.2598 % 3,110.6
FloatingReset 8.34 % 8.41 % 33,538 10.84 2 0.3369 % 2,776.4
FixedReset Prem 6.43 % 5.59 % 210,517 3.88 7 0.0389 % 2,575.0
FixedReset Bank Non 0.00 % 0.00 % 0 0.00 0 0.1354 % 2,750.7
FixedReset Ins Non 5.17 % 6.03 % 95,381 13.91 14 0.5601 % 2,842.3
Performance Highlights
Issue Index Change Notes
PWF.PR.L Perpetual-Discount -8.44 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-09-04
Maturity Price : 19.32
Evaluated at bid price : 19.32
Bid-YTW : 6.70 %
PWF.PR.R Perpetual-Discount -3.30 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-09-04
Maturity Price : 21.76
Evaluated at bid price : 22.01
Bid-YTW : 6.33 %
SLF.PR.E Insurance Straight -3.24 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-09-04
Maturity Price : 20.00
Evaluated at bid price : 20.00
Bid-YTW : 5.64 %
BN.PF.J FixedReset Disc -1.88 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-09-04
Maturity Price : 22.71
Evaluated at bid price : 23.55
Bid-YTW : 6.60 %
ENB.PR.N FixedReset Disc -1.14 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-09-04
Maturity Price : 21.49
Evaluated at bid price : 21.75
Bid-YTW : 6.88 %
BN.PF.C Perpetual-Discount 1.01 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-09-04
Maturity Price : 19.95
Evaluated at bid price : 19.95
Bid-YTW : 6.20 %
PWF.PR.E Perpetual-Discount 1.07 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-09-04
Maturity Price : 22.43
Evaluated at bid price : 22.69
Bid-YTW : 6.13 %
FFH.PR.G FixedReset Disc 1.12 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-09-04
Maturity Price : 18.10
Evaluated at bid price : 18.10
Bid-YTW : 7.49 %
POW.PR.C Perpetual-Discount 1.24 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-09-04
Maturity Price : 24.15
Evaluated at bid price : 24.40
Bid-YTW : 6.03 %
GWO.PR.M Insurance Straight 1.34 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-09-04
Maturity Price : 23.95
Evaluated at bid price : 24.20
Bid-YTW : 5.99 %
SLF.PR.C Insurance Straight 1.42 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-09-04
Maturity Price : 20.00
Evaluated at bid price : 20.00
Bid-YTW : 5.57 %
GWO.PR.R Insurance Straight 1.42 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-09-04
Maturity Price : 20.65
Evaluated at bid price : 20.65
Bid-YTW : 5.82 %
FFH.PR.K FixedReset Disc 1.59 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-09-04
Maturity Price : 22.01
Evaluated at bid price : 22.30
Bid-YTW : 7.11 %
IFC.PR.I Insurance Straight 1.61 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-09-04
Maturity Price : 22.96
Evaluated at bid price : 23.40
Bid-YTW : 5.86 %
BN.PF.F FixedReset Disc 1.61 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-09-04
Maturity Price : 20.85
Evaluated at bid price : 20.85
Bid-YTW : 7.13 %
MIC.PR.A Perpetual-Discount 1.94 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-09-04
Maturity Price : 21.00
Evaluated at bid price : 21.00
Bid-YTW : 6.57 %
BN.PR.M Perpetual-Discount 6.76 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-09-04
Maturity Price : 19.59
Evaluated at bid price : 19.59
Bid-YTW : 6.19 %
MFC.PR.N FixedReset Ins Non 7.75 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-09-04
Maturity Price : 21.61
Evaluated at bid price : 21.98
Bid-YTW : 5.96 %
Volume Highlights
Issue Index Shares
Traded		 Notes
ENB.PR.B FixedReset Disc 58,264 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-09-04
Maturity Price : 18.06
Evaluated at bid price : 18.06
Bid-YTW : 7.48 %
ENB.PR.P FixedReset Disc 50,165 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-09-04
Maturity Price : 19.75
Evaluated at bid price : 19.75
Bid-YTW : 7.19 %
ENB.PR.Y FixedReset Disc 45,261 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-09-04
Maturity Price : 18.01
Evaluated at bid price : 18.01
Bid-YTW : 7.49 %
ENB.PR.T FixedReset Disc 43,265 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-09-04
Maturity Price : 20.56
Evaluated at bid price : 20.56
Bid-YTW : 7.06 %
ENB.PR.D FixedReset Disc 42,760 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-09-04
Maturity Price : 18.38
Evaluated at bid price : 18.38
Bid-YTW : 7.38 %
BN.PR.K Floater 42,600 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-09-04
Maturity Price : 11.62
Evaluated at bid price : 11.62
Bid-YTW : 10.42 %
There were 10 other index-included issues trading in excess of 10,000 shares.
Wide Spread Highlights
Issue Index Quote Data and Yield Notes
PWF.PR.L Perpetual-Discount Quote: 19.32 – 21.30
Spot Rate : 1.9800
Average : 1.0946

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-09-04
Maturity Price : 19.32
Evaluated at bid price : 19.32
Bid-YTW : 6.70 %
PWF.PR.S Perpetual-Discount Quote: 20.28 – 21.98
Spot Rate : 1.7000
Average : 0.9434

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-09-04
Maturity Price : 20.28
Evaluated at bid price : 20.28
Bid-YTW : 6.00 %
BN.PR.X FixedReset Disc Quote: 17.05 – 18.70
Spot Rate : 1.6500
Average : 0.9807

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-09-04
Maturity Price : 17.05
Evaluated at bid price : 17.05
Bid-YTW : 7.13 %
SLF.PR.E Insurance Straight Quote: 20.00 – 21.19
Spot Rate : 1.1900
Average : 0.7131

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-09-04
Maturity Price : 20.00
Evaluated at bid price : 20.00
Bid-YTW : 5.64 %
PWF.PR.R Perpetual-Discount Quote: 22.01 – 22.93
Spot Rate : 0.9200
Average : 0.6229

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-09-04
Maturity Price : 21.76
Evaluated at bid price : 22.01
Bid-YTW : 6.33 %
SLF.PR.D Insurance Straight Quote: 20.00 – 20.96
Spot Rate : 0.9600
Average : 0.6641

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-09-04
Maturity Price : 20.00
Evaluated at bid price : 20.00
Bid-YTW : 5.57 %

Posted in Market Action | 1 Comment »

BoC Cuts Policy Rate to 4.25%; Prime Follows

September 4th, 2024

The Bank of Canada has announced it has:

reduced its target for the overnight rate to 4¼%, with the Bank Rate at 4½% and the deposit rate at 4¼%. The Bank is continuing its policy of balance sheet normalization.

The global economy expanded by about 2½% in the second quarter, consistent with projections in the Bank’s July Monetary Policy Report (MPR). In the United States, economic growth was stronger than expected, led by consumption, but the labour market has slowed. Euro-area growth has been boosted by tourism and other services, while manufacturing has been soft. Inflation in both regions continues to moderate. In China, weak domestic demand weighed on economic growth. Global financial conditions have eased further since July, with declines in bond yields. The Canadian dollar has appreciated modestly, largely reflecting a lower US dollar. Oil prices are lower than assumed in the July MPR.

In Canada, the economy grew by 2.1% in the second quarter, led by government spending and business investment. This was slightly stronger than forecast in July, but preliminary indicators suggest that economic activity was soft through June and July. The labour market continues to slow, with little change in employment in recent months. Wage growth, however, remains elevated relative to productivity.

As expected, inflation slowed further to 2.5% in July. The Bank’s preferred measures of core inflation averaged around 2 ½% and the share of components of the consumer price index growing above 3% is roughly at its historical norm. High shelter price inflation is still the biggest contributor to total inflation but is starting to slow. Inflation also remains elevated in some other services.

With continued easing in broad inflationary pressures, Governing Council decided to reduce the policy interest rate by a further 25 basis points. Excess supply in the economy continues to put downward pressure on inflation, while price increases in shelter and some other services are holding inflation up. Governing Council is carefully assessing these opposing forces on inflation. Monetary policy decisions will be guided by incoming information and our assessment of their implications for the inflation outlook. The Bank remains resolute in its commitment to restoring price stability for Canadians.

Darcy Keith in the Globe reports:

The Bank of Canada on Wednesday cut its key policy rate by 25 basis points to 4.25% as expected, while expressing concern that weaker-than-anticipated growth might mean inflation falls too quickly.

Still, some economists said the tone of the bank’s statement was not quite as dovish as it could have been given recent weakness in the economy. And that sentiment is making money markets reluctant to price in rate cuts of more than 25 basis points at any future policy meeting.

The 25 basis point cut on Wednesday itself was well telegraphed ahead of time, and the market reaction reflected that. The Canadian dollar barely budged and Canada’s two-year bond yield was down about 3 basis points – about where it started the North American trading day and in line with the move in the equivalent U.S. Treasury.
…
Here’s how implied probabilities of future interest rate moves stand in swaps markets, according to data from LSEG as of 1013 am ET. The overnight rate now resides at 4.25%. While the bank moves in quarter point increments, credit market implied rates fluctuate more fluidly and are constantly changing. Columns to the right are percentage probabilities of future rate moves.


Pre-announcement

Post-announcement

Prime followed:

Well, Rob Carrick and Ryan Siever will be mad – nothing on the way up and precious few hopes for the way down:

There’s a case to be made for banks giving borrowers a break when what is expected to be the biggest interest rate hike in 22 years is announced on Wednesday.

A brief flashback to 2015 is required to get the sense of this story. The economy back then was in the opposite shape of what it is now – weak enough to prompt the Bank of Canada to cut its trendsetting overnight rate by 0.25 of a percentage point in January and again in July.

The big banks hijacked part of that rate cut. While the overnight rate fell by a total 0.5 of a point, the banks cut their prime rate by cumulative 0.3 of a point. They held back the rest of the rate cut to build their revenues and profit.

There was a delay in reducing the prime when the Canada Overnight rate dropped 25bp to 0.75% in January 2015 and again when Canada Overnight dropped a further 25bp to 0.50% in July of that year.

Posted in Canada Prime | No Comments »

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