Archive for January, 2024

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PPL.PR.C To Reset To 6.019%

Wednesday, January 31st, 2024

Pembina Pipeline Corporation has announced:

that it does not intend to exercise its right to redeem the currently outstanding Cumulative Redeemable Rate Reset Class A Preferred Shares, Series 3 (“Series 3 Shares”) (TSX: PPL.PR.C) on March 1, 2024.

As a result of the decision not to redeem the Series 3 Shares, and subject to certain terms of the Series 3 Shares, the holders of the Series 3 Shares will have the right to elect to convert all or part of their Series 3 Shares on a one-for-one basis into Cumulative Redeemable Floating Rate Class A Preferred Shares, Series 4 of Pembina (“Series 4 Shares”) on March 1, 2024 (the “Conversion Date”). Holders who do not exercise their right to convert their Series 3 Shares into Series 4 Shares will retain their Series 3 Shares.

As provided in the terms of the Series 3 Shares: (i) if Pembina determines that there would remain outstanding immediately following the conversion less than 1,000,000 Series 3 Shares, then all remaining Series 3 Shares will be automatically converted into Series 4 Shares on a one-for-one basis effective as of the Conversion Date; or (ii) if Pembina determines that there would be less than 1,000,000 Series 4 Shares outstanding immediately following the conversion, no Series 3 Shares will be converted into Series 4 Shares on the Conversion Date. There are currently 6,000,000 Series 3 Shares outstanding.

With respect to any Series 3 Shares that remain outstanding after the Conversion Date, holders thereof will be entitled to receive quarterly fixed cumulative preferential cash dividends, if, as and when declared by the Board of Directors of Pembina. The annual dividend rate for the Series 3 Shares for the five-year period from and including March 1, 2024, to, but excluding, March 1, 2029, will be 6.019 percent, being equal to the five-year Government of Canada bond yield of 3.419 percent determined as of today plus 2.60 percent, in accordance with the terms of the Series 3 Shares.

With respect to any Series 4 Shares that may be issued on the Conversion Date, holders thereof will be entitled to receive quarterly floating rate cumulative preferential cash dividends, if, as and when declared by the Board of Directors of Pembina. The annual dividend rate applicable to the Series 4 Shares for the three-month floating rate period from and including March 1, 2024, to, but excluding, June 1, 2024, will be 7.631 percent, being equal to the annual rate of interest for the most recent auction of 90-day Government of Canada treasury bills of 5.031 percent plus 2.60 percent, in accordance with the terms of the Series 4 Shares (the “Floating Quarterly Dividend Rate”). The Floating Quarterly Dividend Rate will be reset on the first day of March, June, September and December in each year.

Beneficial holders of Series 3 Shares who wish to exercise their right of conversion during the conversion period, which runs from January 31, 2024, until 3:00 pm (MT) / 5:00 pm (ET) on February 15, 2024, should communicate as soon as possible with their broker or other intermediary for more information. It is recommended that this be done well in advance of the deadline in order to provide the broker or other intermediary with the time to complete the necessary steps. Any notices received after this deadline will not be valid.

As previously announced, the dividend payable on March 1, 2024, to holders of the Series 3 Shares of record on February 1, 2024, will be $0.279875 per Series 3 Share. For more information on the terms of the Series 3 Shares and the Series 4 Shares, please see the prospectus supplement dated September 25, 2013, which can be found on SEDAR+ at www.sedarplus.ca.

PPL.PR.C was issued as a FixedReset, 4.70%+260, that commenced trading 2013-10-2 after being announced 2013-9-23. Notice of the reset to 4.478% was given 2019-1-30. I recommended against conversion and there was no conversion. The issue is tracked by HIMIPref™ but is relegated to the Scraps – FixedReset (Discount) subindex on credit concerns.

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

Update, 2024-2-21: No conversion:

Pembina Pipeline Corporation (“Pembina”) (TSX: PPL; NYSE: PBA) announced today that none of Pembina’s Cumulative Redeemable Rate Reset Class A Preferred Shares, Series 3 (“Series 3 Shares”) (TSX: PPL.PR.C) will be converted into Cumulative Redeemable Floating Rate Class A Preferred Shares, Series 4 of Pembina (“Series 4 Shares”) on March 1, 2024.

After taking into account all the conversion notices received from holders of its outstanding Series 3 Shares by the February 15, 2024 deadline for the conversion of the Series 3 Shares into Series 4 Shares, less than the 1,000,000 Series 3 Shares required to give effect to conversions into Series 4 Shares were tendered for conversion.

Posted in Issue Comments | 1 Comment »

ENB.PR.P To Reset To 5.918%

Wednesday, January 31st, 2024

Enbridge Inc. has announced:

that it does not intend to exercise its right to redeem its currently outstanding Cumulative Redeemable Preference Shares, Series P (Series P Shares) (TSX: ENB.PR.P) on March 1, 2024. As a result, subject to certain conditions, the holders of the Series P Shares have the right to convert all or part of their Series P Shares on a one-for-one basis into Cumulative Redeemable Preference Shares, Series Q of Enbridge (Series Q Shares) on March 1, 2024. Holders who do not exercise their right to convert their Series P Shares into Series Q Shares will retain their Series P Shares.

The foregoing conversion right is subject to the conditions that: (i) if Enbridge determines that there would be less than 1,000,000 Series P Shares outstanding after March 1, 2024, then all remaining Series P Shares will automatically be converted into Series Q Shares on a one-for-one basis on March 1, 2024; and (ii) alternatively, if Enbridge determines that there would be less than 1,000,000 Series Q Shares outstanding after March 1, 2024, no Series P Shares will be converted into Series Q Shares. There are currently 16,000,000 Series P Shares outstanding.

With respect to any Series P Shares that remain outstanding after March 1, 2024, holders thereof will be entitled to receive quarterly fixed cumulative preferential cash dividends, as and when declared by the Board of Directors of Enbridge. The new annual dividend rate applicable to the Series P Shares for the five-year period commencing on March 1, 2024 to, but excluding, March 1, 2029 will be 5.918 percent, being equal to the five-year Government of Canada bond yield of 3.418 percent determined as of today plus 2.50 percent in accordance with the terms of the Series P Shares.

With respect to any Series Q Shares that may be issued on March 1, 2024, holders thereof will be entitled to receive quarterly floating rate cumulative preferential cash dividends, as and when declared by the Board of Directors of Enbridge. The dividend rate applicable to the Series Q Shares for the three-month floating rate period commencing on March 1, 2024 to, but excluding, June 1, 2024 will be 1.89279 percent, based on the annual rate on three month Government of Canada treasury bills for the most recent treasury bills auction of 5.03 percent plus 2.50 percent in accordance with the terms of the Series Q Shares (the Floating Quarterly Dividend Rate). The Floating Quarterly Dividend Rate will be reset every quarter.

Beneficial holders of Series P Shares who wish to exercise their right of conversion during the conversion period, which runs from January 31, 2024 until 5:00 p.m. (EST) on February 15, 2024, should communicate as soon as possible with their broker or other intermediary for more information. It is recommended that this be done well in advance of the deadline in order to provide the broker or other intermediary time to complete the necessary steps. Any notices received after this deadline will not be valid.

ENB.PR.P was issued as a FixedReset, 4.00%+250, that commenced trading 2012-9-14 after being announced 2012-9-4. Notice of the reset to 4.379% was published 2019-1-30. I recommended against conversion and there was no conversion. It is tracked by HIMIPref™ but is relegated to the Scraps FixedReset Discount index on credit concerns.

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

Update, 2024-2-28: No conversion:

Enbridge Inc. (TSX: ENB) (NYSE: ENB) (Enbridge) announced today that none of its outstanding Cumulative Redeemable Preference Shares, Series P (Series P Shares) will be converted into Cumulative Redeemable Preference Shares, Series Q (Series Q Shares) on March 1, 2024.

After taking into account all conversion notices received from holders of its outstanding Series P Shares by the February 15, 2024 deadline for the conversion of the Series P Shares into Series Q Shares, less than the 1,000,000 Series P Shares required to give effect to conversions into Series Q Shares were tendered for conversion.

Posted in Issue Comments | No Comments »

ENB.PF.V To Reset To 6.683%

Wednesday, January 31st, 2024

Enbridge Inc. has announced:

that it does not intend to exercise its right to redeem its currently outstanding Cumulative Redeemable Preference Shares, Series 5 (Series 5 Shares) (TSX: ENB.PF.V) on March 1, 2024. As a result, subject to certain conditions, the holders of the Series 5 Shares have the right to convert all or part of their Series 5 Shares on a one-for-one basis into Cumulative Redeemable Preference Shares, Series 6 of Enbridge (Series 6 Shares) on March 1, 2024. Holders who do not exercise their right to convert their Series 5 Shares into Series 6 Shares will retain their Series 5 Shares.

The foregoing conversion right is subject to the conditions that: (i) if Enbridge determines that there would be less than 1,000,000 Series 5 Shares outstanding after March 1, 2024, then all remaining Series 5 Shares will automatically be converted into Series 6 Shares on a one-for-one basis on March 1, 2024; and (ii) alternatively, if Enbridge determines that there would be less than 1,000,000 Series 6 Shares outstanding after March 1, 2024, no Series 5 Shares will be converted into Series 6 Shares. There are currently 8,000,000 Series 5 Shares outstanding.

With respect to any Series 5 Shares that remain outstanding after March 1, 2024, holders thereof will be entitled to receive quarterly fixed cumulative preferential cash dividends, as and when declared by the Board of Directors of Enbridge. The new annual dividend rate applicable to the Series 5 Shares for the five-year period commencing on March 1, 2024 to, but excluding, March 1, 2029 will be 6.683 percent, being equal to the five-year United States Treasury bond yield of 3.863 percent determined as of today plus 2.82 percent in accordance with the terms of the Series 5 Shares.

With respect to any Series 6 Shares that may be issued on March 1, 2024, holders thereof will be entitled to receive quarterly floating rate cumulative preferential cash dividends, as and when declared by the Board of Directors of Enbridge. The dividend rate applicable to the Series 6 Shares for the three-month floating rate period commencing on March 1, 2024 to, but excluding, June 1, 2024 will be 2.05869 percent, based on the annual rate on three month United States Government treasury bills for the most recent treasury bills auction of 5.37 percent plus 2.82 percent in accordance with the terms of the Series 6 Shares (the Floating Quarterly Dividend Rate). The Floating Quarterly Dividend Rate will be reset every quarter.

Beneficial holders of Series 5 Shares who wish to exercise their right of conversion during the conversion period, which runs from January 31, 2024 until 5:00 p.m. (EST) on February 15, 2024, should communicate as soon as possible with their broker or other intermediary for more information. It is recommended that this be done well in advance of the deadline in order to provide the broker or other intermediary time to complete the necessary steps. Any notices received after this deadline will not be valid.

ENB.PF.V was issued as a US-Pay FixedReset, 4.40%+282, that commenced trading 2013-9-27 after being announced 2013-9-19. It reset to 5.3753% effective 2019-3-1. There was no conversion in 2019. The issue is not tracked by HIMIPref™.

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

Update, 2024-2-18: No conversion:

Enbridge Inc. (TSX: ENB) (NYSE: ENB) (Enbridge) announced today that none of its outstanding Cumulative Redeemable Preference Shares, Series 5 (Series 5 Shares) will be converted into Cumulative Redeemable Preference Shares, Series 6 (Series 6 Shares) on March 1, 2024.

After taking into account all conversion notices received from holders of its outstanding Series 5 Shares by the February 15, 2024 deadline for the conversion of the Series 5 Shares into Series 6 Shares, less than the 1,000,000 Series 5 Shares required to give effect to conversions into Series 6 Shares were tendered for conversion.

Posted in Issue Comments, US Pay | 2 Comments »

ENB.PR.J To Reset At 5.988%

Wednesday, January 31st, 2024

Enbridge Inc. has announced:

that it does not intend to exercise its right to redeem its currently outstanding Cumulative Redeemable Preference Shares, Series 7 (Series 7 Shares) (TSX: ENB.PR.J) on March 1, 2024. As a result, subject to certain conditions, the holders of the Series 7 Shares have the right to convert all or part of their Series 7 Shares on a one-for-one basis into Cumulative Redeemable Preference Shares, Series 8 of Enbridge (Series 8 Shares) on March 1, 2024. Holders who do not exercise their right to convert their Series 7 Shares into Series 8 Shares will retain their Series 7 Shares.

The foregoing conversion right is subject to the conditions that: (i) if Enbridge determines that there would be less than 1,000,000 Series 7 Shares outstanding after March 1, 2024, then all remaining Series 7 Shares will automatically be converted into Series 8 Shares on a one-for-one basis on March 1, 2024; and (ii) alternatively, if Enbridge determines that there would be less than 1,000,000 Series 8 Shares outstanding after March 1, 2024, no Series 7 Shares will be converted into Series 8 Shares. There are currently 10,000,000 Series 7 Shares outstanding.

With respect to any Series 7 Shares that remain outstanding after March 1, 2024, holders thereof will be entitled to receive quarterly fixed cumulative preferential cash dividends, as and when declared by the Board of Directors of Enbridge. The new annual dividend rate applicable to the Series 7 Shares for the five-year period commencing on March 1, 2024 to, but excluding, March 1, 2029 will be 5.988 percent, being equal to the five-year Government of Canada bond yield of 3.418 percent determined as of today plus 2.57 percent in accordance with the terms of the Series 7 Shares.

With respect to any Series 8 Shares that may be issued on March 1, 2024, holders thereof will be entitled to receive quarterly floating rate cumulative preferential cash dividends, as and when declared by the Board of Directors of Enbridge. The dividend rate applicable to the Series 8 Shares for the three-month floating rate period commencing on March 1, 2024 to, but excluding, June 1, 2024 will be 1.91038 percent, based on the annual rate on three month Government of Canada treasury bills for the most recent treasury bills auction of 5.03 percent plus 2.57 percent in accordance with the terms of the Series 8 Shares (the Floating Quarterly Dividend Rate). The Floating Quarterly Dividend Rate will be reset every quarter.

Beneficial holders of Series 7 Shares who wish to exercise their right of conversion during the conversion period, which runs from January 31, 2024 until 5:00 p.m. (EST) on February 15, 2024, should communicate as soon as possible with their broker or other intermediary for more information. It is recommended that this be done well in advance of the deadline in order to provide the broker or other intermediary time to complete the necessary steps. Any notices received after this deadline will not be valid.

ENB.PR.J was issued as a FixedReset, 4.40%+257, that commenced trading 2013-12-12 after being announced 2013-12-3. Notice of the reset to 4.449% was published 2019-1-30. I recommended against conversion and there was no conversion. The issue is tracked by HIMIPref™ but relegated to the Scraps – FixedResets (Discount) subindex on credit concerns.

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

Update, 2024-2-18: No conversion.

Enbridge Inc. (TSX: ENB) (NYSE: ENB) (Enbridge) announced today that none of its outstanding Cumulative Redeemable Preference Shares, Series 7 (Series 7 Shares) will be converted into Cumulative Redeemable Preference Shares, Series 8 (Series 8 Shares) on March 1, 2024.

After taking into account all conversion notices received from holders of its outstanding Series 7 Shares by the February 15, 2024 deadline for the conversion of the Series 7 Shares into Series 8 Shares, less than the 1,000,000 Series 7 Shares required to give effect to conversions into Series 8 Shares were tendered for conversion.

Posted in Issue Comments | No Comments »

January 31, 2024

Wednesday, January 31st, 2024

There were no surprises from the Fed:

Recent indicators suggest that economic activity has been expanding at a solid pace. Job gains have moderated since early last year but remain strong, and the unemployment rate has remained low. Inflation has eased over the past year but remains elevated.

The Committee seeks to achieve maximum employment and inflation at the rate of 2 percent over the longer run. The Committee judges that the risks to achieving its employment and inflation goals are moving into better balance. The economic outlook is uncertain, and the Committee remains highly attentive to inflation risks.

In support of its goals, the Committee decided to maintain the target range for the federal funds rate at 5-1/4 to 5-1/2 percent. In considering any adjustments to the target range for the federal funds rate, the Committee will carefully assess incoming data, the evolving outlook, and the balance of risks. The Committee does not expect it will be appropriate to reduce the target range until it has gained greater confidence that inflation is moving sustainably toward 2 percent. In addition, the Committee will continue reducing its holdings of Treasury securities and agency debt and agency mortgage-backed securities, as described in its previously announced plans. The Committee is strongly committed to returning inflation to its 2 percent objective.

In assessing the appropriate stance of monetary policy, the Committee will continue to monitor the implications of incoming information for the economic outlook. The Committee would be prepared to adjust the stance of monetary policy as appropriate if risks emerge that could impede the attainment of the Committee’s goals. The Committee’s assessments will take into account a wide range of information, including readings on labor market conditions, inflation pressures and inflation expectations, and financial and international developments.

Voting for the monetary policy action were Jerome H. Powell, Chair; John C. Williams, Vice Chair; Thomas I. Barkin; Michael S. Barr; Raphael W. Bostic; Michelle W. Bowman; Lisa D. Cook; Mary C. Daly; Philip N. Jefferson; Adriana D. Kugler; Loretta J. Mester; and Christopher J. Waller.

PerpetualDiscounts now yield 6.56%, equivalent to 8.53% interest at the standard equivalency factor of 1.3x. Long corporates yielded 5.21% on 2024-1-30 and since then the closing price has changed from 14.97 to 15.10, an increase of 87bp in price, with a Duration (BMO doesn’t specify Modified or Macaulay – I will assume the former) of 12.24 implying a decrease of 7bp in yield to 5.14%, so the pre-tax interest-equivalent spread (in this context, the “Seniority Spread”) has narrowed to 340bp from the 350bp reported January 24.

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 0.2580 % 2,253.3
FixedFloater 0.00 % 0.00 % 0 0.00 0 0.2580 % 4,321.9
Floater 10.81 % 11.05 % 34,367 8.73 2 0.2580 % 2,490.7
OpRet 0.00 % 0.00 % 0 0.00 0 0.1022 % 3,417.8
SplitShare 4.93 % 7.25 % 50,888 1.94 7 0.1022 % 4,081.5
Interest-Bearing 0.00 % 0.00 % 0 0.00 0 0.1022 % 3,184.6
Perpetual-Premium 0.00 % 0.00 % 0 0.00 0 -0.0560 % 2,678.9
Perpetual-Discount 6.41 % 6.56 % 50,496 13.14 34 -0.0560 % 2,921.3
FixedReset Disc 5.59 % 7.51 % 120,807 12.23 59 -0.2712 % 2,362.2
Insurance Straight 6.24 % 6.42 % 68,690 13.29 20 0.3113 % 2,903.9
FloatingReset 10.08 % 10.43 % 29,307 9.17 5 0.0334 % 2,664.8
FixedReset Prem 6.88 % 6.35 % 174,281 3.32 1 0.1569 % 2,538.2
FixedReset Bank Non 0.00 % 0.00 % 0 0.00 0 -0.2712 % 2,414.7
FixedReset Ins Non 5.42 % 7.34 % 100,613 12.51 14 -0.3228 % 2,623.3
Performance Highlights
Issue Index Change Notes
BMO.PR.W FixedReset Disc -8.03 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-01-31
Maturity Price : 17.75
Evaluated at bid price : 17.75
Bid-YTW : 8.07 %
IFC.PR.A FixedReset Ins Non -5.49 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-01-31
Maturity Price : 17.90
Evaluated at bid price : 17.90
Bid-YTW : 7.34 %
NA.PR.W FixedReset Disc -4.21 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-01-31
Maturity Price : 18.20
Evaluated at bid price : 18.20
Bid-YTW : 7.87 %
CU.PR.H Perpetual-Discount -3.28 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-01-31
Maturity Price : 20.40
Evaluated at bid price : 20.40
Bid-YTW : 6.44 %
TD.PF.A FixedReset Disc -1.71 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-01-31
Maturity Price : 20.10
Evaluated at bid price : 20.10
Bid-YTW : 7.18 %
SLF.PR.J FloatingReset -1.48 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-01-31
Maturity Price : 15.97
Evaluated at bid price : 15.97
Bid-YTW : 10.43 %
BMO.PR.T FixedReset Disc -1.40 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-01-31
Maturity Price : 19.72
Evaluated at bid price : 19.72
Bid-YTW : 7.33 %
BN.PF.I FixedReset Disc -1.20 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-01-31
Maturity Price : 20.50
Evaluated at bid price : 20.50
Bid-YTW : 8.60 %
BN.PF.H FixedReset Disc -1.11 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-01-31
Maturity Price : 22.06
Evaluated at bid price : 22.35
Bid-YTW : 8.35 %
CU.PR.G Perpetual-Discount 1.06 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-01-31
Maturity Price : 17.96
Evaluated at bid price : 17.96
Bid-YTW : 6.27 %
SLF.PR.C Insurance Straight 1.22 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-01-31
Maturity Price : 19.15
Evaluated at bid price : 19.15
Bid-YTW : 5.89 %
BMO.PR.E FixedReset Disc 1.46 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-01-31
Maturity Price : 23.16
Evaluated at bid price : 24.96
Bid-YTW : 6.36 %
CU.PR.F Perpetual-Discount 1.56 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-01-31
Maturity Price : 18.00
Evaluated at bid price : 18.00
Bid-YTW : 6.26 %
FTS.PR.I FloatingReset 2.51 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-01-31
Maturity Price : 16.35
Evaluated at bid price : 16.35
Bid-YTW : 10.33 %
IFC.PR.I Insurance Straight 2.86 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-01-31
Maturity Price : 21.60
Evaluated at bid price : 21.60
Bid-YTW : 6.34 %
CU.PR.D Perpetual-Discount 3.45 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-01-31
Maturity Price : 19.37
Evaluated at bid price : 19.37
Bid-YTW : 6.33 %
BN.PR.X FixedReset Disc 3.62 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-01-31
Maturity Price : 15.45
Evaluated at bid price : 15.45
Bid-YTW : 8.52 %
Volume Highlights
Issue Index Shares
Traded		 Notes
NA.PR.C FixedReset Prem 319,588 YTW SCENARIO
Maturity Type : Call
Maturity Date : 2027-11-15
Maturity Price : 25.00
Evaluated at bid price : 25.54
Bid-YTW : 6.35 %
TD.PF.I FixedReset Disc 171,600 YTW SCENARIO
Maturity Type : Call
Maturity Date : 2027-10-31
Maturity Price : 25.00
Evaluated at bid price : 24.92
Bid-YTW : 6.45 %
TD.PF.C FixedReset Disc 169,530 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-01-31
Maturity Price : 19.85
Evaluated at bid price : 19.85
Bid-YTW : 7.24 %
TD.PF.J FixedReset Disc 163,181 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-01-31
Maturity Price : 21.64
Evaluated at bid price : 21.95
Bid-YTW : 7.02 %
CM.PR.S FixedReset Disc 159,225 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-01-31
Maturity Price : 21.75
Evaluated at bid price : 21.75
Bid-YTW : 6.94 %
TD.PF.B FixedReset Disc 151,288 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-01-31
Maturity Price : 21.45
Evaluated at bid price : 21.45
Bid-YTW : 6.81 %
TD.PF.M FixedReset Disc 130,025 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-01-31
Maturity Price : 24.01
Evaluated at bid price : 24.66
Bid-YTW : 7.22 %
NA.PR.S FixedReset Disc 106,881 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-01-31
Maturity Price : 20.55
Evaluated at bid price : 20.55
Bid-YTW : 7.30 %
There were 21 other index-included issues trading in excess of 10,000 shares.
Wide Spread Highlights
Issue Index Quote Data and Yield Notes
TD.PF.A FixedReset Disc Quote: 20.10 – 23.45
Spot Rate : 3.3500
Average : 2.4753

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-01-31
Maturity Price : 20.10
Evaluated at bid price : 20.10
Bid-YTW : 7.18 %
BMO.PR.W FixedReset Disc Quote: 17.75 – 19.45
Spot Rate : 1.7000
Average : 1.0554

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-01-31
Maturity Price : 17.75
Evaluated at bid price : 17.75
Bid-YTW : 8.07 %
IFC.PR.A FixedReset Ins Non Quote: 17.90 – 19.40
Spot Rate : 1.5000
Average : 1.0220

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-01-31
Maturity Price : 17.90
Evaluated at bid price : 17.90
Bid-YTW : 7.34 %
BIP.PR.E FixedReset Disc Quote: 21.20 – 22.01
Spot Rate : 0.8100
Average : 0.4993

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-01-31
Maturity Price : 21.20
Evaluated at bid price : 21.20
Bid-YTW : 7.91 %
MIC.PR.A Perpetual-Discount Quote: 19.01 – 19.80
Spot Rate : 0.7900
Average : 0.5099

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-01-31
Maturity Price : 19.01
Evaluated at bid price : 19.01
Bid-YTW : 7.21 %
GWO.PR.Y Insurance Straight Quote: 18.11 – 19.00
Spot Rate : 0.8900
Average : 0.6360

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-01-31
Maturity Price : 18.11
Evaluated at bid price : 18.11
Bid-YTW : 6.30 %

Posted in Market Action | 3 Comments »

January 30, 2024

Tuesday, January 30th, 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 0.1291 % 2,247.5
FixedFloater 0.00 % 0.00 % 0 0.00 0 0.1291 % 4,310.7
Floater 10.83 % 11.05 % 34,104 8.73 2 0.1291 % 2,484.3
OpRet 0.00 % 0.00 % 0 0.00 0 -0.0180 % 3,414.3
SplitShare 4.93 % 7.27 % 50,935 1.94 7 -0.0180 % 4,077.4
Interest-Bearing 0.00 % 0.00 % 0 0.00 0 -0.0180 % 3,181.3
Perpetual-Premium 0.00 % 0.00 % 0 0.00 0 0.2676 % 2,680.4
Perpetual-Discount 6.41 % 6.57 % 50,353 13.11 34 0.2676 % 2,922.9
FixedReset Disc 5.54 % 7.46 % 119,103 12.13 59 0.5780 % 2,368.6
Insurance Straight 6.26 % 6.44 % 76,031 13.25 20 0.7003 % 2,894.9
FloatingReset 10.08 % 10.55 % 29,244 9.08 5 -0.0222 % 2,663.9
FixedReset Prem 6.89 % 6.40 % 161,286 3.32 1 0.1190 % 2,534.2
FixedReset Bank Non 0.00 % 0.00 % 0 0.00 0 0.5780 % 2,421.2
FixedReset Ins Non 5.40 % 7.05 % 100,600 12.53 14 0.4976 % 2,631.8
Performance Highlights
Issue Index Change Notes
CU.PR.D Perpetual-Discount -2.71 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-01-30
Maturity Price : 19.02
Evaluated at bid price : 19.02
Bid-YTW : 6.57 %
PVS.PR.K SplitShare -1.67 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2029-05-31
Maturity Price : 25.00
Evaluated at bid price : 22.32
Bid-YTW : 7.09 %
CCS.PR.C Insurance Straight -1.23 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-01-30
Maturity Price : 19.31
Evaluated at bid price : 19.31
Bid-YTW : 6.57 %
GWO.PR.H Insurance Straight 1.11 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-01-30
Maturity Price : 19.11
Evaluated at bid price : 19.11
Bid-YTW : 6.43 %
GWO.PR.Y Insurance Straight 1.11 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-01-30
Maturity Price : 18.15
Evaluated at bid price : 18.15
Bid-YTW : 6.28 %
GWO.PR.I Insurance Straight 1.12 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-01-30
Maturity Price : 18.00
Evaluated at bid price : 18.00
Bid-YTW : 6.34 %
NA.PR.S FixedReset Disc 1.14 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-01-30
Maturity Price : 20.48
Evaluated at bid price : 20.48
Bid-YTW : 7.32 %
PWF.PF.A Perpetual-Discount 1.14 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-01-30
Maturity Price : 17.80
Evaluated at bid price : 17.80
Bid-YTW : 6.37 %
CU.PR.J Perpetual-Discount 1.23 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-01-30
Maturity Price : 18.93
Evaluated at bid price : 18.93
Bid-YTW : 6.40 %
PVS.PR.J SplitShare 1.29 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2028-02-29
Maturity Price : 25.00
Evaluated at bid price : 22.70
Bid-YTW : 7.27 %
BN.PF.H FixedReset Disc 1.35 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-01-30
Maturity Price : 22.29
Evaluated at bid price : 22.60
Bid-YTW : 8.25 %
TD.PF.B FixedReset Disc 1.42 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-01-30
Maturity Price : 21.45
Evaluated at bid price : 21.45
Bid-YTW : 6.81 %
RY.PR.N Perpetual-Discount 1.46 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-01-30
Maturity Price : 21.50
Evaluated at bid price : 21.50
Bid-YTW : 5.71 %
BMO.PR.S FixedReset Disc 1.47 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-01-30
Maturity Price : 21.38
Evaluated at bid price : 21.38
Bid-YTW : 6.92 %
SLF.PR.D Insurance Straight 1.70 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-01-30
Maturity Price : 19.09
Evaluated at bid price : 19.09
Bid-YTW : 5.90 %
BN.PF.F FixedReset Disc 1.72 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-01-30
Maturity Price : 18.31
Evaluated at bid price : 18.31
Bid-YTW : 8.79 %
BN.PF.B FixedReset Disc 1.73 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-01-30
Maturity Price : 19.41
Evaluated at bid price : 19.41
Bid-YTW : 8.12 %
FFH.PR.K FixedReset Disc 1.78 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-01-30
Maturity Price : 20.05
Evaluated at bid price : 20.05
Bid-YTW : 8.37 %
CM.PR.O FixedReset Disc 1.84 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-01-30
Maturity Price : 19.91
Evaluated at bid price : 19.91
Bid-YTW : 7.36 %
BMO.PR.W FixedReset Disc 1.85 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-01-30
Maturity Price : 19.30
Evaluated at bid price : 19.30
Bid-YTW : 7.42 %
MFC.PR.C Insurance Straight 1.88 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-01-30
Maturity Price : 19.00
Evaluated at bid price : 19.00
Bid-YTW : 6.01 %
GWO.PR.G Insurance Straight 2.08 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-01-30
Maturity Price : 20.60
Evaluated at bid price : 20.60
Bid-YTW : 6.40 %
BMO.PR.T FixedReset Disc 2.25 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-01-30
Maturity Price : 20.00
Evaluated at bid price : 20.00
Bid-YTW : 7.23 %
IFC.PR.A FixedReset Ins Non 3.50 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-01-30
Maturity Price : 18.94
Evaluated at bid price : 18.94
Bid-YTW : 6.93 %
NA.PR.W FixedReset Disc 4.40 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-01-30
Maturity Price : 19.00
Evaluated at bid price : 19.00
Bid-YTW : 7.54 %
SLF.PR.C Insurance Straight 5.52 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-01-30
Maturity Price : 18.92
Evaluated at bid price : 18.92
Bid-YTW : 5.96 %
Volume Highlights
Issue Index Shares
Traded		 Notes
TD.PF.J FixedReset Disc 213,600 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-01-30
Maturity Price : 21.65
Evaluated at bid price : 21.97
Bid-YTW : 7.01 %
CM.PR.P FixedReset Disc 101,901 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-01-30
Maturity Price : 18.55
Evaluated at bid price : 18.55
Bid-YTW : 7.70 %
SLF.PR.H FixedReset Ins Non 100,600 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-01-30
Maturity Price : 19.00
Evaluated at bid price : 19.00
Bid-YTW : 7.00 %
CM.PR.O FixedReset Disc 96,580 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-01-30
Maturity Price : 19.91
Evaluated at bid price : 19.91
Bid-YTW : 7.36 %
BMO.PR.W FixedReset Disc 91,900 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-01-30
Maturity Price : 19.30
Evaluated at bid price : 19.30
Bid-YTW : 7.42 %
RY.PR.Z FixedReset Disc 83,466 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-01-30
Maturity Price : 20.35
Evaluated at bid price : 20.35
Bid-YTW : 7.12 %
There were 22 other index-included issues trading in excess of 10,000 shares.
Wide Spread Highlights
Issue Index Quote Data and Yield Notes
TD.PF.J FixedReset Disc Quote: 21.97 – 23.72
Spot Rate : 1.7500
Average : 0.9937

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-01-30
Maturity Price : 21.65
Evaluated at bid price : 21.97
Bid-YTW : 7.01 %
BN.PR.Z FixedReset Disc Quote: 19.75 – 20.84
Spot Rate : 1.0900
Average : 0.6945

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-01-30
Maturity Price : 19.75
Evaluated at bid price : 19.75
Bid-YTW : 8.25 %
MFC.PR.L FixedReset Ins Non Quote: 19.51 – 21.00
Spot Rate : 1.4900
Average : 1.1651

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-01-30
Maturity Price : 19.51
Evaluated at bid price : 19.51
Bid-YTW : 7.43 %
GWO.PR.Q Insurance Straight Quote: 20.10 – 21.28
Spot Rate : 1.1800
Average : 0.9476

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-01-30
Maturity Price : 20.10
Evaluated at bid price : 20.10
Bid-YTW : 6.50 %
CU.PR.D Perpetual-Discount Quote: 19.02 – 19.72
Spot Rate : 0.7000
Average : 0.5208

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-01-30
Maturity Price : 19.02
Evaluated at bid price : 19.02
Bid-YTW : 6.57 %
MFC.PR.Q FixedReset Ins Non Quote: 22.50 – 23.00
Spot Rate : 0.5000
Average : 0.3562

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-01-30
Maturity Price : 22.01
Evaluated at bid price : 22.50
Bid-YTW : 6.84 %

Posted in Market Action | 10 Comments »

January 29, 2024

Monday, January 29th, 2024

TXPR closed at 569.54, up 0.51% on the day. Volume today was 1.69-million, above the median of the past 21 trading days.

CPD closed at 11.25, unchanged on the day. Volume was 84,000, above the median of the past 21 trading days.

ZPR closed at 9.64, down 0.31% on the day. Volume was 113,450, near the median of the past 21 trading days.

Five-year Canada yields were down to 3.54%.

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 -1.4007 % 2,244.6
FixedFloater 0.00 % 0.00 % 0 0.00 0 -1.4007 % 4,305.2
Floater 10.85 % 11.08 % 35,244 8.71 2 -1.4007 % 2,481.1
OpRet 0.00 % 0.00 % 0 0.00 0 0.0060 % 3,414.9
SplitShare 4.93 % 7.31 % 53,029 1.94 7 0.0060 % 4,078.1
Interest-Bearing 0.00 % 0.00 % 0 0.00 0 0.0060 % 3,181.9
Perpetual-Premium 0.00 % 0.00 % 0 0.00 0 -0.1226 % 2,673.3
Perpetual-Discount 6.42 % 6.55 % 51,882 13.11 34 -0.1226 % 2,915.1
FixedReset Disc 5.57 % 7.52 % 120,075 12.11 59 0.0582 % 2,355.0
Insurance Straight 6.30 % 6.48 % 69,996 13.21 20 -0.3502 % 2,874.7
FloatingReset 10.08 % 10.49 % 29,144 9.13 5 0.0890 % 2,664.5
FixedReset Prem 6.46 % 6.39 % 163,112 3.33 2 -0.0198 % 2,531.2
FixedReset Bank Non 0.00 % 0.00 % 0 0.00 0 0.0582 % 2,407.3
FixedReset Ins Non 5.43 % 7.17 % 96,362 12.51 14 0.0664 % 2,618.8
Performance Highlights
Issue Index Change Notes
SLF.PR.C Insurance Straight -6.13 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-01-29
Maturity Price : 17.93
Evaluated at bid price : 17.93
Bid-YTW : 6.29 %
BN.PR.X FixedReset Disc -3.81 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-01-29
Maturity Price : 14.91
Evaluated at bid price : 14.91
Bid-YTW : 8.82 %
RY.PR.N Perpetual-Discount -2.93 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-01-29
Maturity Price : 21.19
Evaluated at bid price : 21.19
Bid-YTW : 5.80 %
PWF.PR.P FixedReset Disc -2.02 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-01-29
Maturity Price : 14.06
Evaluated at bid price : 14.06
Bid-YTW : 8.44 %
IFC.PR.A FixedReset Ins Non -1.88 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-01-29
Maturity Price : 18.30
Evaluated at bid price : 18.30
Bid-YTW : 7.17 %
NA.PR.W FixedReset Disc -1.62 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-01-29
Maturity Price : 18.20
Evaluated at bid price : 18.20
Bid-YTW : 7.87 %
BIP.PR.B FixedReset Disc -1.62 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-01-29
Maturity Price : 22.77
Evaluated at bid price : 23.12
Bid-YTW : 8.48 %
BN.PR.K Floater -1.44 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-01-29
Maturity Price : 11.63
Evaluated at bid price : 11.63
Bid-YTW : 11.08 %
BN.PR.B Floater -1.36 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-01-29
Maturity Price : 11.60
Evaluated at bid price : 11.60
Bid-YTW : 11.11 %
GWO.PR.G Insurance Straight -1.32 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-01-29
Maturity Price : 20.18
Evaluated at bid price : 20.18
Bid-YTW : 6.53 %
GWO.PR.I Insurance Straight -1.11 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-01-29
Maturity Price : 17.80
Evaluated at bid price : 17.80
Bid-YTW : 6.41 %
RY.PR.O Perpetual-Discount -1.10 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-01-29
Maturity Price : 21.31
Evaluated at bid price : 21.60
Bid-YTW : 5.67 %
CCS.PR.C Insurance Straight -1.01 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-01-29
Maturity Price : 19.55
Evaluated at bid price : 19.55
Bid-YTW : 6.48 %
RY.PR.H FixedReset Disc -1.01 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-01-29
Maturity Price : 19.70
Evaluated at bid price : 19.70
Bid-YTW : 7.36 %
BMO.PR.F FixedReset Disc 1.09 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-01-29
Maturity Price : 23.85
Evaluated at bid price : 24.65
Bid-YTW : 7.17 %
BN.PF.H FixedReset Disc 1.13 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-01-29
Maturity Price : 21.80
Evaluated at bid price : 22.30
Bid-YTW : 8.35 %
BMO.PR.S FixedReset Disc 1.24 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-01-29
Maturity Price : 21.07
Evaluated at bid price : 21.07
Bid-YTW : 7.02 %
BMO.PR.E FixedReset Disc 1.31 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-01-29
Maturity Price : 23.09
Evaluated at bid price : 24.75
Bid-YTW : 6.42 %
CU.PR.C FixedReset Disc 1.32 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-01-29
Maturity Price : 20.00
Evaluated at bid price : 20.00
Bid-YTW : 7.40 %
MFC.PR.B Insurance Straight 1.47 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-01-29
Maturity Price : 19.30
Evaluated at bid price : 19.30
Bid-YTW : 6.12 %
SLF.PR.J FloatingReset 1.56 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-01-29
Maturity Price : 16.26
Evaluated at bid price : 16.26
Bid-YTW : 10.23 %
CM.PR.Q FixedReset Disc 1.57 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-01-29
Maturity Price : 19.45
Evaluated at bid price : 19.45
Bid-YTW : 7.75 %
BMO.PR.Y FixedReset Disc 1.74 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-01-29
Maturity Price : 19.70
Evaluated at bid price : 19.70
Bid-YTW : 7.58 %
BN.PF.J FixedReset Disc 1.98 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-01-29
Maturity Price : 20.60
Evaluated at bid price : 20.60
Bid-YTW : 8.08 %
SLF.PR.H FixedReset Ins Non 2.15 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-01-29
Maturity Price : 19.00
Evaluated at bid price : 19.00
Bid-YTW : 6.99 %
Volume Highlights
Issue Index Shares
Traded		 Notes
MFC.PR.N FixedReset Ins Non 43,200 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-01-29
Maturity Price : 18.90
Evaluated at bid price : 18.90
Bid-YTW : 7.67 %
BMO.PR.S FixedReset Disc 36,300 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-01-29
Maturity Price : 21.07
Evaluated at bid price : 21.07
Bid-YTW : 7.02 %
BMO.PR.Y FixedReset Disc 28,800 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-01-29
Maturity Price : 19.70
Evaluated at bid price : 19.70
Bid-YTW : 7.58 %
RY.PR.Z FixedReset Disc 25,400 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-01-29
Maturity Price : 20.15
Evaluated at bid price : 20.15
Bid-YTW : 7.19 %
FTS.PR.G FixedReset Disc 23,300 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-01-29
Maturity Price : 21.15
Evaluated at bid price : 21.15
Bid-YTW : 7.04 %
PWF.PR.T FixedReset Disc 21,600 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-01-29
Maturity Price : 20.08
Evaluated at bid price : 20.08
Bid-YTW : 7.46 %
There were 13 other index-included issues trading in excess of 10,000 shares.
Wide Spread Highlights
Issue Index Quote Data and Yield Notes
TD.PF.B FixedReset Disc Quote: 21.15 – 24.10
Spot Rate : 2.9500
Average : 1.6049

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-01-29
Maturity Price : 21.15
Evaluated at bid price : 21.15
Bid-YTW : 6.90 %
GWO.PR.Q Insurance Straight Quote: 20.05 – 21.28
Spot Rate : 1.2300
Average : 0.6927

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-01-29
Maturity Price : 20.05
Evaluated at bid price : 20.05
Bid-YTW : 6.51 %
SLF.PR.C Insurance Straight Quote: 17.93 – 19.32
Spot Rate : 1.3900
Average : 0.8615

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-01-29
Maturity Price : 17.93
Evaluated at bid price : 17.93
Bid-YTW : 6.29 %
BN.PF.F FixedReset Disc Quote: 18.00 – 19.30
Spot Rate : 1.3000
Average : 0.8368

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-01-29
Maturity Price : 18.00
Evaluated at bid price : 18.00
Bid-YTW : 8.94 %
BN.PF.B FixedReset Disc Quote: 19.08 – 20.00
Spot Rate : 0.9200
Average : 0.5571

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-01-29
Maturity Price : 19.08
Evaluated at bid price : 19.08
Bid-YTW : 8.26 %
CM.PR.Q FixedReset Disc Quote: 19.45 – 20.50
Spot Rate : 1.0500
Average : 0.7134

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-01-29
Maturity Price : 19.45
Evaluated at bid price : 19.45
Bid-YTW : 7.75 %

Posted in Market Action | 3 Comments »

January 26, 2024

Friday, January 26th, 2024

TXPR closed at 566.66, up 0.52% on the day. Volume today was 1.32-million, below the median of the past 21 trading days.

CPD closed at 11.25, up 0.36% on the day. Volume was 41,910, fourth-lowest of the past 21 trading days.

ZPR closed at 9.67, up 0.52% on the day. Volume was 116,710, near the median of the past 21 trading days.

Five-year Canada yields were up to 3.60%.

The Globe comments:

Despite the fresh data showing progress on the inflation front, U.S. Treasury yields rose on Friday on concerns about the growing supply of government debt.

The U.S. Treasury Department is likely to announce next week one more round of increases in auction sizes when it details the government’s borrowing needs for the coming quarter.

The Treasury faces higher spending needs due in part to higher social security and interest rate costs.

By late afternoon, the U.S. two-year yield was up 4 basis points and the Canadian equivalent bond yield was up about 8 basis points.

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 -0.5068 % 2,276.5
FixedFloater 0.00 % 0.00 % 0 0.00 0 -0.5068 % 4,366.3
Floater 10.70 % 10.90 % 36,430 8.84 2 -0.5068 % 2,516.3
OpRet 0.00 % 0.00 % 0 0.00 0 -0.4429 % 3,414.7
SplitShare 4.93 % 7.17 % 53,399 1.95 7 -0.4429 % 4,077.9
Interest-Bearing 0.00 % 0.00 % 0 0.00 0 -0.4429 % 3,181.7
Perpetual-Premium 0.00 % 0.00 % 0 0.00 0 0.1272 % 2,676.6
Perpetual-Discount 6.42 % 6.55 % 52,022 13.11 34 0.1272 % 2,918.7
FixedReset Disc 5.58 % 7.51 % 119,490 12.09 59 0.0475 % 2,353.7
Insurance Straight 6.28 % 6.44 % 69,967 13.24 20 0.2678 % 2,884.8
FloatingReset 10.09 % 10.45 % 30,298 9.17 5 -0.1000 % 2,662.2
FixedReset Prem 5.89 % 6.42 % 160,617 3.33 2 0.1191 % 2,531.7
FixedReset Bank Non 0.00 % 0.00 % 0 0.00 0 0.0475 % 2,405.9
FixedReset Ins Non 5.43 % 7.11 % 97,733 12.54 14 -0.0590 % 2,617.0
Performance Highlights
Issue Index Change Notes
PVS.PR.J SplitShare -2.57 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2028-02-29
Maturity Price : 25.00
Evaluated at bid price : 22.41
Bid-YTW : 7.61 %
CM.PR.Q FixedReset Disc -1.90 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-01-26
Maturity Price : 19.15
Evaluated at bid price : 19.15
Bid-YTW : 7.84 %
FFH.PR.G FixedReset Disc -1.56 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-01-26
Maturity Price : 17.00
Evaluated at bid price : 17.00
Bid-YTW : 8.53 %
MFC.PR.M FixedReset Ins Non -1.28 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-01-26
Maturity Price : 19.25
Evaluated at bid price : 19.25
Bid-YTW : 7.64 %
FFH.PR.K FixedReset Disc -1.25 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-01-26
Maturity Price : 19.75
Evaluated at bid price : 19.75
Bid-YTW : 8.46 %
BN.PR.B Floater -1.18 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-01-26
Maturity Price : 11.76
Evaluated at bid price : 11.76
Bid-YTW : 10.94 %
BN.PR.R FixedReset Disc -1.12 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-01-26
Maturity Price : 15.00
Evaluated at bid price : 15.00
Bid-YTW : 9.06 %
TD.PF.E FixedReset Disc -1.11 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-01-26
Maturity Price : 20.41
Evaluated at bid price : 20.41
Bid-YTW : 7.46 %
PVS.PR.H SplitShare -1.06 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2027-02-28
Maturity Price : 25.00
Evaluated at bid price : 23.25
Bid-YTW : 7.56 %
CU.PR.C FixedReset Disc -1.05 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-01-26
Maturity Price : 19.74
Evaluated at bid price : 19.74
Bid-YTW : 7.47 %
TD.PF.C FixedReset Disc 1.03 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-01-26
Maturity Price : 19.65
Evaluated at bid price : 19.65
Bid-YTW : 7.29 %
FTS.PR.I FloatingReset 1.08 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-01-26
Maturity Price : 15.92
Evaluated at bid price : 15.92
Bid-YTW : 10.60 %
CCS.PR.C Insurance Straight 1.13 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-01-26
Maturity Price : 19.75
Evaluated at bid price : 19.75
Bid-YTW : 6.41 %
TD.PF.A FixedReset Disc 1.24 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-01-26
Maturity Price : 20.35
Evaluated at bid price : 20.35
Bid-YTW : 7.06 %
CU.PR.F Perpetual-Discount 1.41 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-01-26
Maturity Price : 18.00
Evaluated at bid price : 18.00
Bid-YTW : 6.37 %
SLF.PR.C Insurance Straight 1.60 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-01-26
Maturity Price : 19.10
Evaluated at bid price : 19.10
Bid-YTW : 5.90 %
FTS.PR.G FixedReset Disc 1.67 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-01-26
Maturity Price : 21.26
Evaluated at bid price : 21.26
Bid-YTW : 6.98 %
GWO.PR.Y Insurance Straight 1.99 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-01-26
Maturity Price : 17.95
Evaluated at bid price : 17.95
Bid-YTW : 6.35 %
FTS.PR.F Perpetual-Discount 2.12 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-01-26
Maturity Price : 20.22
Evaluated at bid price : 20.22
Bid-YTW : 6.17 %
FTS.PR.K FixedReset Disc 3.18 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-01-26
Maturity Price : 19.13
Evaluated at bid price : 19.13
Bid-YTW : 7.48 %
Volume Highlights
Issue Index Shares
Traded		 Notes
BMO.PR.T FixedReset Disc 175,500 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-01-26
Maturity Price : 19.75
Evaluated at bid price : 19.75
Bid-YTW : 7.38 %
FFH.PR.G FixedReset Disc 81,000 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-01-26
Maturity Price : 17.00
Evaluated at bid price : 17.00
Bid-YTW : 8.53 %
RY.PR.J FixedReset Disc 66,200 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-01-26
Maturity Price : 20.07
Evaluated at bid price : 20.07
Bid-YTW : 7.54 %
CM.PR.P FixedReset Disc 50,870 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-01-26
Maturity Price : 18.52
Evaluated at bid price : 18.52
Bid-YTW : 7.67 %
RY.PR.M FixedReset Disc 47,472 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-01-26
Maturity Price : 19.35
Evaluated at bid price : 19.35
Bid-YTW : 7.51 %
RY.PR.Z FixedReset Disc 41,371 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-01-26
Maturity Price : 20.30
Evaluated at bid price : 20.30
Bid-YTW : 7.11 %
There were 11 other index-included issues trading in excess of 10,000 shares.
Wide Spread Highlights
Issue Index Quote Data and Yield Notes
GWO.PR.S Insurance Straight Quote: 20.54 – 21.92
Spot Rate : 1.3800
Average : 0.8225

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-01-26
Maturity Price : 20.54
Evaluated at bid price : 20.54
Bid-YTW : 6.48 %
MFC.PR.L FixedReset Ins Non Quote: 19.35 – 21.00
Spot Rate : 1.6500
Average : 1.3229

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-01-26
Maturity Price : 19.35
Evaluated at bid price : 19.35
Bid-YTW : 7.46 %
PVS.PR.J SplitShare Quote: 22.41 – 23.45
Spot Rate : 1.0400
Average : 0.8064

YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2028-02-29
Maturity Price : 25.00
Evaluated at bid price : 22.41
Bid-YTW : 7.61 %
TD.PF.A FixedReset Disc Quote: 20.35 – 23.45
Spot Rate : 3.1000
Average : 2.9254

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-01-26
Maturity Price : 20.35
Evaluated at bid price : 20.35
Bid-YTW : 7.06 %
CU.PR.E Perpetual-Discount Quote: 19.50 – 22.12
Spot Rate : 2.6200
Average : 2.4669

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-01-26
Maturity Price : 19.50
Evaluated at bid price : 19.50
Bid-YTW : 6.40 %
MFC.PR.M FixedReset Ins Non Quote: 19.25 – 20.25
Spot Rate : 1.0000
Average : 0.8623

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-01-26
Maturity Price : 19.25
Evaluated at bid price : 19.25
Bid-YTW : 7.64 %

Posted in Market Action | No Comments »

RY.PR.S To Reset To 5.885%

Thursday, January 25th, 2024

Royal Bank of Canada has announced:

the applicable dividend rates for its Non-Viability Contingent Capital (NVCC) Non-Cumulative 5-Year Rate Reset First Preferred Shares, Series BO (the “Series BO shares”) and NVCC Non-Cumulative Floating Rate First Preferred Shares, Series BP (the “Series BP shares”).

With respect to any Series BO shares that remain outstanding after February 24, 2024, holders will be entitled to receive quarterly fixed rate non-cumulative preferential cash dividends, as and when declared by the Board of Directors of Royal Bank of Canada, subject to the provisions of the Bank Act (Canada).

The dividend rate for the 5-year period from and including February 24, 2024 to, but excluding, February 24, 2029 will be 5.885% for the Series BO shares, being equal to the 5-Year Government of Canada bond yield determined as of January 25, 2024 plus 2.38%, as determined in accordance with the terms of the Series BO shares.

With respect to any Series BP shares that may be issued on February 24, 2024, holders will be entitled to receive quarterly floating rate non-cumulative preferential cash dividends, calculated on the basis of the actual number of days elapsed in such quarterly period divided by 365, as and when declared by the Board of Directors of Royal Bank of Canada, subject to the provisions of the Bank Act (Canada).

The dividend rate for the floating rate period from and including February 24, 2024 to, but excluding, May 24, 2024 will be 7.421% for the Series BP shares, being equal to the 3-month Government of Canada Treasury Bill yield determined as of January 25, 2024 plus 2.38%, as determined in accordance with the terms of the Series BP shares.

Beneficial owners of Series BO shares who wish to exercise their conversion rights should instruct their broker or other nominee to exercise such rights on or prior to the deadline for notice of intention to convert, which is 5:00 p.m. (EST) on February 9, 2024.

RY.PR.S was issued as a FixedReset, 4.80+238, that commenced trading 2018-11-2 after being announced 2018-10-25. Notice of extension was reported previously. The issue is tracked by HIMIPref™ and is assigned to the Fixed-Resets (Discount) subindex.

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

Posted in Issue Comments | 2 Comments »

January 25, 2024

Thursday, January 25th, 2024

TXPR closed at 563.74, down 0.58% on the day. Volume today was 2.73-million, third-highest of the past 21 trading days.

CPD closed at 11.21, down 0.44% on the day. Volume was 54,110, well below the median of the past 21 trading days.

ZPR closed at 9.62, up 0.10% on the day. Volume was 111,100, near the median of the past 21 trading days.

Five-year Canada yields were down to 3.55%.

News of the day was that the US economy isn’t quite dead yet:

Real gross domestic product (GDP) increased at an annual rate of 3.3 percent in the fourth quarter of 2023 (table 1), according to the “advance” estimate released by the Bureau of Economic Analysis. In the third quarter, real GDP increased 4.9 percent.

The GDP estimate released today is based on source data that are incomplete or subject to further revision by the source agency (refer to “Source Data for the Advance Estimate” on page 3). The “second” estimate for the fourth quarter, based on more complete data, will be released on February 28, 2024.

The increase in real GDP reflected increases in consumer spending, exports, state and local government spending, nonresidential fixed investment, federal government spending, private inventory investment, and residential fixed investment (table 2). Imports, which are a subtraction in the calculation of GDP, increased.
…
Current‑dollar GDP increased 4.8 percent at an annual rate, or $328.7 billion, in the fourth quarter to a level of $27.94 trillion. In the third quarter, GDP increased 8.3 percent, or $547.1 billion (tables 1 and 3).

The price index for gross domestic purchases increased 1.9 percent in the fourth quarter, compared with an increase of 2.9 percent in the third quarter (table 4). The personal consumption expenditures (PCE) price index increased 1.7 percent, compared with an increase of 2.6 percent. Excluding food and energy prices, the PCE price index increased 2.0 percent, the same change as the third quarter.
Current-dollar personal income increased $224.8 billion in the fourth quarter, compared with an increase of $196.2 billion in the third quarter. The increase primarily reflected increases in compensation, personal income receipts on assets, and proprietors’ income that were partly offset by a decrease in personal current transfer receipts (table 8).

Disposable personal income increased $211.7 billion, or 4.2 percent, in the fourth quarter, compared with an increase of $143.5 billion, or 2.9 percent, in the third quarter. Real disposable personal income increased 2.5 percent, compared with an increase of 0.3 percent.

Personal saving was $818.9 billion in the fourth quarter, compared with $851.2 billion in the third quarter. The personal saving rate—personal saving as a percentage of disposable personal income—was 4.0 percent in the fourth quarter, compared with 4.2 percent in the third quarter.

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 1.1534 % 2,288.1
FixedFloater 0.00 % 0.00 % 0 0.00 0 1.1534 % 4,388.6
Floater 10.64 % 10.81 % 47,684 8.91 2 1.1534 % 2,529.2
OpRet 0.00 % 0.00 % 0 0.00 0 -0.1136 % 3,429.9
SplitShare 4.91 % 7.17 % 49,436 1.95 7 -0.1136 % 4,096.0
Interest-Bearing 0.00 % 0.00 % 0 0.00 0 -0.1136 % 3,195.9
Perpetual-Premium 0.00 % 0.00 % 0 0.00 0 -0.0827 % 2,673.2
Perpetual-Discount 6.42 % 6.55 % 52,816 13.11 34 -0.0827 % 2,915.0
FixedReset Disc 5.58 % 7.54 % 120,318 12.05 59 0.1442 % 2,352.5
Insurance Straight 6.30 % 6.48 % 72,737 13.22 20 -0.1664 % 2,877.1
FloatingReset 10.08 % 10.40 % 31,479 9.20 5 0.2786 % 2,664.8
FixedReset Prem 5.89 % 6.48 % 162,620 3.34 2 -0.1189 % 2,528.7
FixedReset Bank Non 0.00 % 0.00 % 0 0.00 0 0.1442 % 2,404.8
FixedReset Ins Non 5.43 % 7.14 % 101,082 12.51 14 0.2995 % 2,618.6
Performance Highlights
Issue Index Change Notes
SLF.PR.C Insurance Straight -3.09 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-01-25
Maturity Price : 18.80
Evaluated at bid price : 18.80
Bid-YTW : 5.99 %
MFC.PR.L FixedReset Ins Non -2.54 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-01-25
Maturity Price : 19.20
Evaluated at bid price : 19.20
Bid-YTW : 7.51 %
NA.PR.W FixedReset Disc -1.66 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-01-25
Maturity Price : 18.36
Evaluated at bid price : 18.36
Bid-YTW : 7.77 %
BMO.PR.W FixedReset Disc -1.29 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-01-25
Maturity Price : 19.10
Evaluated at bid price : 19.10
Bid-YTW : 7.57 %
MFC.PR.C Insurance Straight -1.23 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-01-25
Maturity Price : 18.50
Evaluated at bid price : 18.50
Bid-YTW : 6.17 %
SLF.PR.D Insurance Straight -1.20 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-01-25
Maturity Price : 18.92
Evaluated at bid price : 18.92
Bid-YTW : 5.95 %
PWF.PR.T FixedReset Disc -1.18 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-01-25
Maturity Price : 20.03
Evaluated at bid price : 20.03
Bid-YTW : 7.44 %
CU.PR.E Perpetual-Discount -1.07 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-01-25
Maturity Price : 19.48
Evaluated at bid price : 19.48
Bid-YTW : 6.41 %
TD.PF.C FixedReset Disc -1.02 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-01-25
Maturity Price : 19.45
Evaluated at bid price : 19.45
Bid-YTW : 7.36 %
IFC.PR.E Insurance Straight 1.07 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-01-25
Maturity Price : 20.81
Evaluated at bid price : 20.81
Bid-YTW : 6.33 %
CCS.PR.C Insurance Straight 1.09 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-01-25
Maturity Price : 19.53
Evaluated at bid price : 19.53
Bid-YTW : 6.49 %
CM.PR.P FixedReset Disc 1.15 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-01-25
Maturity Price : 18.41
Evaluated at bid price : 18.41
Bid-YTW : 7.72 %
BN.PR.K Floater 1.38 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-01-25
Maturity Price : 11.78
Evaluated at bid price : 11.78
Bid-YTW : 10.92 %
GWO.PR.N FixedReset Ins Non 1.40 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-01-25
Maturity Price : 14.45
Evaluated at bid price : 14.45
Bid-YTW : 7.76 %
PWF.PR.P FixedReset Disc 1.42 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-01-25
Maturity Price : 14.30
Evaluated at bid price : 14.30
Bid-YTW : 8.27 %
FTS.PR.M FixedReset Disc 1.52 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-01-25
Maturity Price : 18.70
Evaluated at bid price : 18.70
Bid-YTW : 8.06 %
FFH.PR.K FixedReset Disc 1.52 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-01-25
Maturity Price : 20.00
Evaluated at bid price : 20.00
Bid-YTW : 8.36 %
FFH.PR.G FixedReset Disc 1.59 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-01-25
Maturity Price : 17.27
Evaluated at bid price : 17.27
Bid-YTW : 8.40 %
IFC.PR.G FixedReset Ins Non 1.81 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-01-25
Maturity Price : 21.59
Evaluated at bid price : 21.90
Bid-YTW : 7.02 %
MFC.PR.N FixedReset Ins Non 2.13 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-01-25
Maturity Price : 19.15
Evaluated at bid price : 19.15
Bid-YTW : 7.54 %
FFH.PR.I FixedReset Disc 2.59 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-01-25
Maturity Price : 17.80
Evaluated at bid price : 17.80
Bid-YTW : 8.49 %
GWO.PR.Y Insurance Straight 2.62 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-01-25
Maturity Price : 17.60
Evaluated at bid price : 17.60
Bid-YTW : 6.48 %
BN.PR.R FixedReset Disc 2.85 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-01-25
Maturity Price : 15.17
Evaluated at bid price : 15.17
Bid-YTW : 8.96 %
Volume Highlights
Issue Index Shares
Traded		 Notes
TD.PF.B FixedReset Disc 350,832 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-01-25
Maturity Price : 21.24
Evaluated at bid price : 21.24
Bid-YTW : 6.84 %
TD.PF.A FixedReset Disc 250,730 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-01-25
Maturity Price : 20.10
Evaluated at bid price : 20.10
Bid-YTW : 7.15 %
CU.PR.C FixedReset Disc 186,599 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-01-25
Maturity Price : 19.95
Evaluated at bid price : 19.95
Bid-YTW : 7.39 %
TD.PF.I FixedReset Disc 148,996 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-01-25
Maturity Price : 23.09
Evaluated at bid price : 24.50
Bid-YTW : 6.61 %
FTS.PR.M FixedReset Disc 101,980 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-01-25
Maturity Price : 18.70
Evaluated at bid price : 18.70
Bid-YTW : 8.06 %
TD.PF.J FixedReset Disc 56,146 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-01-25
Maturity Price : 21.56
Evaluated at bid price : 21.85
Bid-YTW : 7.03 %
There were 17 other index-included issues trading in excess of 10,000 shares.
Wide Spread Highlights
Issue Index Quote Data and Yield Notes
TD.PF.A FixedReset Disc Quote: 20.10 – 23.45
Spot Rate : 3.3500
Average : 2.7340

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-01-25
Maturity Price : 20.10
Evaluated at bid price : 20.10
Bid-YTW : 7.15 %
CU.PR.E Perpetual-Discount Quote: 19.48 – 22.12
Spot Rate : 2.6400
Average : 2.2989

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-01-25
Maturity Price : 19.48
Evaluated at bid price : 19.48
Bid-YTW : 6.41 %
MFC.PR.L FixedReset Ins Non Quote: 19.20 – 20.50
Spot Rate : 1.3000
Average : 0.9643

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-01-25
Maturity Price : 19.20
Evaluated at bid price : 19.20
Bid-YTW : 7.51 %
PVS.PR.J SplitShare Quote: 23.00 – 23.77
Spot Rate : 0.7700
Average : 0.5504

YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2028-02-29
Maturity Price : 25.00
Evaluated at bid price : 23.00
Bid-YTW : 6.88 %
POW.PR.C Perpetual-Discount Quote: 23.00 – 23.65
Spot Rate : 0.6500
Average : 0.4693

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-01-25
Maturity Price : 22.71
Evaluated at bid price : 23.00
Bid-YTW : 6.35 %
SLF.PR.C Insurance Straight Quote: 18.80 – 19.33
Spot Rate : 0.5300
Average : 0.3499

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-01-25
Maturity Price : 18.80
Evaluated at bid price : 18.80
Bid-YTW : 5.99 %

Posted in Market Action | No Comments »

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