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PrefLetter Server Problems

Monday, January 15th, 2024

Delivery of the current edition of PrefLetter will be delayed; it seems I have server problems.

I regret the inconvenience.

Posted in PrefLetter | 1 Comment »

January 12, 2024

Friday, January 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 0.4900 % 2,179.9
FixedFloater 0.00 % 0.00 % 0 0.00 0 0.4900 % 4,181.0
Floater 11.17 % 11.35 % 51,639 8.57 2 0.4900 % 2,409.5
OpRet 0.00 % 0.00 % 0 0.00 0 -0.1569 % 3,396.8
SplitShare 4.96 % 7.49 % 47,536 1.99 7 -0.1569 % 4,056.5
Interest-Bearing 0.00 % 0.00 % 0 0.00 0 -0.1569 % 3,165.1
Perpetual-Premium 0.00 % 0.00 % 0 0.00 0 0.5964 % 2,673.5
Perpetual-Discount 6.42 % 6.52 % 54,338 13.20 34 0.5964 % 2,915.3
FixedReset Disc 5.71 % 7.47 % 110,952 12.26 59 0.1725 % 2,297.3
Insurance Straight 6.33 % 6.46 % 71,180 13.26 20 0.8450 % 2,862.2
FloatingReset 10.50 % 10.85 % 35,301 8.91 5 1.1365 % 2,583.1
FixedReset Prem 5.90 % 6.47 % 150,482 3.37 2 0.4995 % 2,524.2
FixedReset Bank Non 0.00 % 0.00 % 0 0.00 0 0.1725 % 2,348.3
FixedReset Ins Non 5.51 % 7.02 % 90,566 12.65 14 0.3418 % 2,578.3
Performance Highlights
Issue Index Change Notes
BN.PF.H FixedReset Disc -1.81 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-01-12
Maturity Price : 21.16
Evaluated at bid price : 21.16
Bid-YTW : 8.52 %
FFH.PR.K FixedReset Disc -1.77 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-01-12
Maturity Price : 19.40
Evaluated at bid price : 19.40
Bid-YTW : 8.35 %
TD.PF.D FixedReset Disc -1.51 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-01-12
Maturity Price : 19.52
Evaluated at bid price : 19.52
Bid-YTW : 7.48 %
BN.PF.I FixedReset Disc -1.48 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-01-12
Maturity Price : 20.00
Evaluated at bid price : 20.00
Bid-YTW : 8.53 %
PVS.PR.K SplitShare -1.33 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2029-05-31
Maturity Price : 25.00
Evaluated at bid price : 22.25
Bid-YTW : 7.08 %
IFC.PR.G FixedReset Ins Non -1.28 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-01-12
Maturity Price : 21.35
Evaluated at bid price : 21.65
Bid-YTW : 6.88 %
RY.PR.M FixedReset Disc -1.16 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-01-12
Maturity Price : 18.73
Evaluated at bid price : 18.73
Bid-YTW : 7.53 %
SLF.PR.D Insurance Straight 1.08 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-01-12
Maturity Price : 18.80
Evaluated at bid price : 18.80
Bid-YTW : 5.98 %
BMO.PR.Y FixedReset Disc 1.11 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-01-12
Maturity Price : 19.20
Evaluated at bid price : 19.20
Bid-YTW : 7.53 %
BIP.PR.B FixedReset Disc 1.11 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-01-12
Maturity Price : 22.43
Evaluated at bid price : 22.75
Bid-YTW : 8.34 %
BIK.PR.A FixedReset Disc 1.12 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-01-12
Maturity Price : 21.97
Evaluated at bid price : 22.50
Bid-YTW : 8.16 %
GWO.PR.I Insurance Straight 1.12 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-01-12
Maturity Price : 18.00
Evaluated at bid price : 18.00
Bid-YTW : 6.31 %
PWF.PR.Z Perpetual-Discount 1.13 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-01-12
Maturity Price : 19.75
Evaluated at bid price : 19.75
Bid-YTW : 6.55 %
PWF.PF.A Perpetual-Discount 1.21 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-01-12
Maturity Price : 17.61
Evaluated at bid price : 17.61
Bid-YTW : 6.41 %
TD.PF.C FixedReset Disc 1.34 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-01-12
Maturity Price : 18.86
Evaluated at bid price : 18.86
Bid-YTW : 7.27 %
PWF.PR.G Perpetual-Discount 1.42 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-01-12
Maturity Price : 22.55
Evaluated at bid price : 22.80
Bid-YTW : 6.48 %
BN.PR.Z FixedReset Disc 1.50 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-01-12
Maturity Price : 18.90
Evaluated at bid price : 18.90
Bid-YTW : 8.33 %
BMO.PR.T FixedReset Disc 1.54 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-01-12
Maturity Price : 19.15
Evaluated at bid price : 19.15
Bid-YTW : 7.28 %
MIC.PR.A Perpetual-Discount 1.63 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-01-12
Maturity Price : 18.66
Evaluated at bid price : 18.66
Bid-YTW : 7.32 %
CU.PR.C FixedReset Disc 1.73 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-01-12
Maturity Price : 19.43
Evaluated at bid price : 19.43
Bid-YTW : 7.32 %
FTS.PR.I FloatingReset 1.76 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-01-12
Maturity Price : 15.60
Evaluated at bid price : 15.60
Bid-YTW : 10.90 %
PWF.PR.T FixedReset Disc 1.77 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-01-12
Maturity Price : 20.15
Evaluated at bid price : 20.15
Bid-YTW : 7.08 %
CIU.PR.A Perpetual-Discount 1.78 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-01-12
Maturity Price : 17.75
Evaluated at bid price : 17.75
Bid-YTW : 6.59 %
MFC.PR.F FixedReset Ins Non 1.82 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-01-12
Maturity Price : 14.56
Evaluated at bid price : 14.56
Bid-YTW : 7.51 %
MFC.PR.C Insurance Straight 1.97 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-01-12
Maturity Price : 18.66
Evaluated at bid price : 18.66
Bid-YTW : 6.10 %
POW.PR.C Perpetual-Discount 2.00 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-01-12
Maturity Price : 22.71
Evaluated at bid price : 23.00
Bid-YTW : 6.34 %
SLF.PR.J FloatingReset 2.00 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-01-12
Maturity Price : 15.81
Evaluated at bid price : 15.81
Bid-YTW : 10.59 %
TD.PF.E FixedReset Disc 2.07 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-01-12
Maturity Price : 19.70
Evaluated at bid price : 19.70
Bid-YTW : 7.44 %
SLF.PR.E Insurance Straight 2.11 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-01-12
Maturity Price : 18.90
Evaluated at bid price : 18.90
Bid-YTW : 6.01 %
FFH.PR.F FloatingReset 2.38 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-01-12
Maturity Price : 17.20
Evaluated at bid price : 17.20
Bid-YTW : 10.85 %
CCS.PR.C Insurance Straight 2.62 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-01-12
Maturity Price : 19.20
Evaluated at bid price : 19.20
Bid-YTW : 6.58 %
IFC.PR.I Insurance Straight 2.62 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-01-12
Maturity Price : 21.55
Evaluated at bid price : 21.55
Bid-YTW : 6.33 %
RY.PR.N Perpetual-Discount 2.79 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-01-12
Maturity Price : 22.58
Evaluated at bid price : 22.87
Bid-YTW : 5.42 %
SLF.PR.C Insurance Straight 2.84 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-01-12
Maturity Price : 18.80
Evaluated at bid price : 18.80
Bid-YTW : 5.98 %
GWO.PR.N FixedReset Ins Non 3.65 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-01-12
Maturity Price : 14.20
Evaluated at bid price : 14.20
Bid-YTW : 7.52 %
NA.PR.W FixedReset Disc 5.63 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-01-12
Maturity Price : 18.38
Evaluated at bid price : 18.38
Bid-YTW : 7.43 %
Volume Highlights
Issue Index Shares
Traded		 Notes
TD.PF.B FixedReset Disc 273,047 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-01-12
Maturity Price : 20.23
Evaluated at bid price : 20.23
Bid-YTW : 6.88 %
BMO.PR.T FixedReset Disc 102,800 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-01-12
Maturity Price : 19.15
Evaluated at bid price : 19.15
Bid-YTW : 7.28 %
GWO.PR.G Insurance Straight 50,025 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-01-12
Maturity Price : 20.03
Evaluated at bid price : 20.03
Bid-YTW : 6.56 %
RY.PR.H FixedReset Disc 43,872 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-01-12
Maturity Price : 19.06
Evaluated at bid price : 19.06
Bid-YTW : 7.35 %
GWO.PR.H Insurance Straight 36,300 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-01-12
Maturity Price : 18.89
Evaluated at bid price : 18.89
Bid-YTW : 6.49 %
MFC.PR.F FixedReset Ins Non 32,200 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-01-12
Maturity Price : 14.56
Evaluated at bid price : 14.56
Bid-YTW : 7.51 %
There were 13 other index-included issues trading in excess of 10,000 shares.
Wide Spread Highlights
Issue Index Quote Data and Yield Notes
MFC.PR.F FixedReset Ins Non Quote: 14.56 – 19.38
Spot Rate : 4.8200
Average : 3.8585

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-01-12
Maturity Price : 14.56
Evaluated at bid price : 14.56
Bid-YTW : 7.51 %
CU.PR.D Perpetual-Discount Quote: 19.67 – 20.95
Spot Rate : 1.2800
Average : 0.7969

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-01-12
Maturity Price : 19.67
Evaluated at bid price : 19.67
Bid-YTW : 6.33 %
CU.PR.I FixedReset Disc Quote: 21.75 – 23.75
Spot Rate : 2.0000
Average : 1.5606

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-01-12
Maturity Price : 21.42
Evaluated at bid price : 21.75
Bid-YTW : 7.78 %
MFC.PR.M FixedReset Ins Non Quote: 18.96 – 19.96
Spot Rate : 1.0000
Average : 0.6056

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-01-12
Maturity Price : 18.96
Evaluated at bid price : 18.96
Bid-YTW : 7.43 %
IFC.PR.F Insurance Straight Quote: 18.96 – 20.75
Spot Rate : 1.7900
Average : 1.5481

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-01-12
Maturity Price : 18.96
Evaluated at bid price : 18.96
Bid-YTW : 7.07 %
BIK.PR.A FixedReset Disc Quote: 22.50 – 23.15
Spot Rate : 0.6500
Average : 0.4756

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-01-12
Maturity Price : 21.97
Evaluated at bid price : 22.50
Bid-YTW : 8.16 %

Posted in Market Action | No Comments »

January 11, 2024

Thursday, January 11th, 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 0.4025 % 2,169.3
FixedFloater 0.00 % 0.00 % 0 0.00 0 0.4025 % 4,160.6
Floater 11.22 % 11.38 % 53,463 8.56 2 0.4025 % 2,397.8
OpRet 0.00 % 0.00 % 0 0.00 0 0.2541 % 3,402.2
SplitShare 4.95 % 7.65 % 49,389 1.99 7 0.2541 % 4,062.9
Interest-Bearing 0.00 % 0.00 % 0 0.00 0 0.2541 % 3,170.0
Perpetual-Premium 0.00 % 0.00 % 0 0.00 0 -0.1025 % 2,657.6
Perpetual-Discount 6.46 % 6.56 % 56,218 13.15 34 -0.1025 % 2,898.0
FixedReset Disc 5.72 % 7.49 % 113,214 12.21 59 -0.0333 % 2,293.3
Insurance Straight 6.38 % 6.50 % 74,022 13.22 20 -0.8606 % 2,838.2
FloatingReset 10.52 % 10.89 % 35,699 8.89 5 -1.0557 % 2,554.0
FixedReset Prem 5.93 % 6.73 % 150,491 12.73 2 -0.3584 % 2,511.6
FixedReset Bank Non 0.00 % 0.00 % 0 0.00 0 -0.0333 % 2,344.2
FixedReset Ins Non 5.53 % 7.06 % 88,684 12.68 14 0.0902 % 2,569.6
Performance Highlights
Issue Index Change Notes
IFC.PR.F Insurance Straight -6.37 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-01-11
Maturity Price : 18.96
Evaluated at bid price : 18.96
Bid-YTW : 7.07 %
CU.PR.I FixedReset Disc -4.94 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-01-11
Maturity Price : 21.42
Evaluated at bid price : 21.75
Bid-YTW : 7.80 %
SLF.PR.J FloatingReset -4.02 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-01-11
Maturity Price : 15.50
Evaluated at bid price : 15.50
Bid-YTW : 10.69 %
SLF.PR.C Insurance Straight -3.02 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-01-11
Maturity Price : 18.28
Evaluated at bid price : 18.28
Bid-YTW : 6.15 %
PWF.PR.G Perpetual-Discount -2.26 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-01-11
Maturity Price : 22.21
Evaluated at bid price : 22.48
Bid-YTW : 6.57 %
BN.PR.R FixedReset Disc -2.18 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-01-11
Maturity Price : 14.35
Evaluated at bid price : 14.35
Bid-YTW : 9.12 %
BN.PR.Z FixedReset Disc -2.00 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-01-11
Maturity Price : 18.62
Evaluated at bid price : 18.62
Bid-YTW : 8.48 %
POW.PR.C Perpetual-Discount -1.96 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-01-11
Maturity Price : 22.28
Evaluated at bid price : 22.55
Bid-YTW : 6.46 %
MFC.PR.F FixedReset Ins Non -1.92 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-01-11
Maturity Price : 14.30
Evaluated at bid price : 14.30
Bid-YTW : 7.67 %
MFC.PR.C Insurance Straight -1.88 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-01-11
Maturity Price : 18.30
Evaluated at bid price : 18.30
Bid-YTW : 6.22 %
GWO.PR.N FixedReset Ins Non -1.79 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-01-11
Maturity Price : 13.70
Evaluated at bid price : 13.70
Bid-YTW : 7.81 %
BN.PR.M Perpetual-Discount -1.62 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-01-11
Maturity Price : 17.57
Evaluated at bid price : 17.57
Bid-YTW : 6.83 %
BN.PF.E FixedReset Disc -1.45 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-01-11
Maturity Price : 15.68
Evaluated at bid price : 15.68
Bid-YTW : 9.16 %
SLF.PR.E Insurance Straight -1.33 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-01-11
Maturity Price : 18.51
Evaluated at bid price : 18.51
Bid-YTW : 6.14 %
SLF.PR.H FixedReset Ins Non -1.29 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-01-11
Maturity Price : 18.40
Evaluated at bid price : 18.40
Bid-YTW : 6.93 %
CU.PR.J Perpetual-Discount -1.28 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-01-11
Maturity Price : 18.50
Evaluated at bid price : 18.50
Bid-YTW : 6.53 %
TD.PF.C FixedReset Disc -1.27 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-01-11
Maturity Price : 18.61
Evaluated at bid price : 18.61
Bid-YTW : 7.39 %
BMO.PR.T FixedReset Disc -1.26 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-01-11
Maturity Price : 18.86
Evaluated at bid price : 18.86
Bid-YTW : 7.42 %
FFH.PR.F FloatingReset -1.23 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-01-11
Maturity Price : 16.80
Evaluated at bid price : 16.80
Bid-YTW : 11.00 %
FTS.PR.J Perpetual-Discount -1.19 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-01-11
Maturity Price : 19.05
Evaluated at bid price : 19.05
Bid-YTW : 6.34 %
FTS.PR.I FloatingReset -1.16 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-01-11
Maturity Price : 15.33
Evaluated at bid price : 15.33
Bid-YTW : 10.97 %
SLF.PR.D Insurance Straight -1.01 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-01-11
Maturity Price : 18.60
Evaluated at bid price : 18.60
Bid-YTW : 6.04 %
FFH.PR.K FixedReset Disc 1.02 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-01-11
Maturity Price : 19.75
Evaluated at bid price : 19.75
Bid-YTW : 8.23 %
RY.PR.N Perpetual-Discount 1.14 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-01-11
Maturity Price : 21.94
Evaluated at bid price : 22.25
Bid-YTW : 5.57 %
IFC.PR.E Insurance Straight 1.14 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-01-11
Maturity Price : 20.45
Evaluated at bid price : 20.45
Bid-YTW : 6.42 %
FFH.PR.I FixedReset Disc 1.25 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-01-11
Maturity Price : 17.01
Evaluated at bid price : 17.01
Bid-YTW : 8.57 %
PVS.PR.J SplitShare 1.35 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2028-02-29
Maturity Price : 25.00
Evaluated at bid price : 22.60
Bid-YTW : 7.29 %
BN.PF.I FixedReset Disc 1.40 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-01-11
Maturity Price : 20.30
Evaluated at bid price : 20.30
Bid-YTW : 8.42 %
MFC.PR.J FixedReset Ins Non 1.51 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-01-11
Maturity Price : 22.24
Evaluated at bid price : 22.85
Bid-YTW : 6.62 %
RY.PR.O Perpetual-Discount 1.55 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-01-11
Maturity Price : 21.94
Evaluated at bid price : 22.25
Bid-YTW : 5.57 %
TD.PF.E FixedReset Disc 1.58 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-01-11
Maturity Price : 19.30
Evaluated at bid price : 19.30
Bid-YTW : 7.61 %
BN.PF.H FixedReset Disc 1.89 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-01-11
Maturity Price : 21.27
Evaluated at bid price : 21.55
Bid-YTW : 8.37 %
IFC.PR.G FixedReset Ins Non 2.00 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-01-11
Maturity Price : 21.61
Evaluated at bid price : 21.93
Bid-YTW : 6.80 %
BMO.PR.W FixedReset Disc 2.22 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-01-11
Maturity Price : 18.40
Evaluated at bid price : 18.40
Bid-YTW : 7.55 %
BN.PR.X FixedReset Disc 3.60 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-01-11
Maturity Price : 15.25
Evaluated at bid price : 15.25
Bid-YTW : 8.30 %
Volume Highlights
Issue Index Shares
Traded		 Notes
MFC.PR.F FixedReset Ins Non 57,902 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-01-11
Maturity Price : 14.30
Evaluated at bid price : 14.30
Bid-YTW : 7.67 %
BMO.PR.S FixedReset Disc 51,762 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-01-11
Maturity Price : 20.10
Evaluated at bid price : 20.10
Bid-YTW : 7.13 %
SLF.PR.H FixedReset Ins Non 29,118 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-01-11
Maturity Price : 18.40
Evaluated at bid price : 18.40
Bid-YTW : 6.93 %
IFC.PR.C FixedReset Ins Non 25,902 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-01-11
Maturity Price : 18.74
Evaluated at bid price : 18.74
Bid-YTW : 7.44 %
TD.PF.E FixedReset Disc 25,400 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-01-11
Maturity Price : 19.30
Evaluated at bid price : 19.30
Bid-YTW : 7.61 %
BNS.PR.I FixedReset Prem 18,300 YTW SCENARIO
Maturity Type : Call
Maturity Date : 2024-02-26
Maturity Price : 25.00
Evaluated at bid price : 24.94
Bid-YTW : 5.13 %
There were 7 other index-included issues trading in excess of 10,000 shares.
Wide Spread Highlights
Issue Index Quote Data and Yield Notes
MFC.PR.F FixedReset Ins Non Quote: 14.30 – 19.38
Spot Rate : 5.0800
Average : 2.8043

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-01-11
Maturity Price : 14.30
Evaluated at bid price : 14.30
Bid-YTW : 7.67 %
BN.PF.E FixedReset Disc Quote: 15.68 – 19.49
Spot Rate : 3.8100
Average : 2.6170

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-01-11
Maturity Price : 15.68
Evaluated at bid price : 15.68
Bid-YTW : 9.16 %
IFC.PR.F Insurance Straight Quote: 18.96 – 20.86
Spot Rate : 1.9000
Average : 1.2829

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-01-11
Maturity Price : 18.96
Evaluated at bid price : 18.96
Bid-YTW : 7.07 %
SLF.PR.J FloatingReset Quote: 15.50 – 16.60
Spot Rate : 1.1000
Average : 0.6594

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-01-11
Maturity Price : 15.50
Evaluated at bid price : 15.50
Bid-YTW : 10.69 %
GWO.PR.S Insurance Straight Quote: 20.45 – 21.48
Spot Rate : 1.0300
Average : 0.5987

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-01-11
Maturity Price : 20.45
Evaluated at bid price : 20.45
Bid-YTW : 6.48 %
BN.PR.X FixedReset Disc Quote: 15.25 – 16.30
Spot Rate : 1.0500
Average : 0.7067

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-01-11
Maturity Price : 15.25
Evaluated at bid price : 15.25
Bid-YTW : 8.30 %

Posted in Market Action | No Comments »

January 10, 2024

Wednesday, January 10th, 2024

PerpetualDiscounts now yield 6.56%, equivalent to 8.53% interest at the standard equivalency factor of 1.3x. Long corporates yielded 4.99% on 2024-1-5 and since then the closing price has changed from 15.23 to 15.18, a decline of 33bp in price, with a Duration (BMO doesn’t specify Modified or Macaulay – I will assume the former) of 12.38 implying an increase of 3bp in yield to 5.02%, so the pre-tax interest-equivalent spread (in this context, the “Seniority Spread”) has narrowed sharply (for the second successive week) to 350bp from the 374bp reported January 3.

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 0.7207 % 2,160.6
FixedFloater 0.00 % 0.00 % 0 0.00 0 0.7207 % 4,144.0
Floater 11.27 % 11.44 % 51,923 8.52 2 0.7207 % 2,388.2
OpRet 0.00 % 0.00 % 0 0.00 0 -0.0846 % 3,393.5
SplitShare 4.96 % 7.65 % 49,893 1.99 7 -0.0846 % 4,052.6
Interest-Bearing 0.00 % 0.00 % 0 0.00 0 -0.0846 % 3,162.0
Perpetual-Premium 0.00 % 0.00 % 0 0.00 0 0.3669 % 2,660.4
Perpetual-Discount 6.46 % 6.56 % 53,697 13.19 34 0.3669 % 2,901.0
FixedReset Disc 5.72 % 7.54 % 115,591 12.21 59 0.1205 % 2,294.1
Insurance Straight 6.33 % 6.48 % 74,808 13.24 20 -0.0102 % 2,862.8
FloatingReset 10.41 % 10.84 % 36,957 8.91 5 0.9148 % 2,581.3
FixedReset Prem 5.91 % 6.53 % 151,163 3.38 2 0.1595 % 2,520.7
FixedReset Bank Non 0.00 % 0.00 % 0 0.00 0 0.1205 % 2,345.0
FixedReset Ins Non 5.54 % 7.10 % 91,467 12.63 14 -0.0188 % 2,567.2
Performance Highlights
Issue Index Change Notes
TD.PF.E FixedReset Disc -3.16 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-01-10
Maturity Price : 19.00
Evaluated at bid price : 19.00
Bid-YTW : 7.72 %
BN.PR.X FixedReset Disc -3.16 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-01-10
Maturity Price : 14.72
Evaluated at bid price : 14.72
Bid-YTW : 8.59 %
NA.PR.W FixedReset Disc -3.12 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-01-10
Maturity Price : 17.40
Evaluated at bid price : 17.40
Bid-YTW : 7.87 %
PWF.PR.P FixedReset Disc -2.89 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-01-10
Maturity Price : 13.80
Evaluated at bid price : 13.80
Bid-YTW : 8.20 %
CCS.PR.C Insurance Straight -2.60 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-01-10
Maturity Price : 18.70
Evaluated at bid price : 18.70
Bid-YTW : 6.75 %
BN.PF.F FixedReset Disc -2.53 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-01-10
Maturity Price : 17.35
Evaluated at bid price : 17.35
Bid-YTW : 8.90 %
CIU.PR.A Perpetual-Discount -1.25 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-01-10
Maturity Price : 17.40
Evaluated at bid price : 17.40
Bid-YTW : 6.72 %
MFC.PR.L FixedReset Ins Non -1.20 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-01-10
Maturity Price : 18.86
Evaluated at bid price : 18.86
Bid-YTW : 7.33 %
IFC.PR.G FixedReset Ins Non -1.15 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-01-10
Maturity Price : 21.50
Evaluated at bid price : 21.50
Bid-YTW : 6.96 %
SLF.PR.G FixedReset Ins Non 1.11 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-01-10
Maturity Price : 14.51
Evaluated at bid price : 14.51
Bid-YTW : 7.75 %
FFH.PR.D FloatingReset 1.13 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-01-10
Maturity Price : 20.53
Evaluated at bid price : 20.53
Bid-YTW : 10.21 %
CU.PR.J Perpetual-Discount 1.19 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-01-10
Maturity Price : 18.74
Evaluated at bid price : 18.74
Bid-YTW : 6.44 %
TD.PF.D FixedReset Disc 1.27 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-01-10
Maturity Price : 19.95
Evaluated at bid price : 19.95
Bid-YTW : 7.34 %
CM.PR.O FixedReset Disc 1.28 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-01-10
Maturity Price : 19.05
Evaluated at bid price : 19.05
Bid-YTW : 7.35 %
GWO.PR.N FixedReset Ins Non 1.38 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-01-10
Maturity Price : 13.95
Evaluated at bid price : 13.95
Bid-YTW : 7.67 %
BN.PR.M Perpetual-Discount 1.48 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-01-10
Maturity Price : 17.86
Evaluated at bid price : 17.86
Bid-YTW : 6.72 %
BN.PF.J FixedReset Disc 1.65 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-01-10
Maturity Price : 20.30
Evaluated at bid price : 20.30
Bid-YTW : 7.95 %
BN.PF.I FixedReset Disc 1.88 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-01-10
Maturity Price : 20.02
Evaluated at bid price : 20.02
Bid-YTW : 8.54 %
BN.PF.E FixedReset Disc 1.92 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-01-10
Maturity Price : 15.91
Evaluated at bid price : 15.91
Bid-YTW : 9.03 %
BN.PF.B FixedReset Disc 1.99 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-01-10
Maturity Price : 17.96
Evaluated at bid price : 17.96
Bid-YTW : 8.40 %
SLF.PR.J FloatingReset 4.87 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-01-10
Maturity Price : 16.15
Evaluated at bid price : 16.15
Bid-YTW : 10.25 %
Volume Highlights
Issue Index Shares
Traded		 Notes
TD.PF.L FixedReset Disc 106,491 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-01-10
Maturity Price : 23.77
Evaluated at bid price : 24.60
Bid-YTW : 6.69 %
GWO.PR.G Insurance Straight 88,300 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-01-10
Maturity Price : 20.20
Evaluated at bid price : 20.20
Bid-YTW : 6.50 %
BMO.PR.S FixedReset Disc 55,558 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-01-10
Maturity Price : 20.08
Evaluated at bid price : 20.08
Bid-YTW : 7.13 %
BN.PR.Z FixedReset Disc 54,572 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-01-10
Maturity Price : 19.00
Evaluated at bid price : 19.00
Bid-YTW : 8.30 %
IFC.PR.C FixedReset Ins Non 49,246 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-01-10
Maturity Price : 18.70
Evaluated at bid price : 18.70
Bid-YTW : 7.46 %
RY.PR.Z FixedReset Disc 35,335 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-01-10
Maturity Price : 19.95
Evaluated at bid price : 19.95
Bid-YTW : 7.02 %
There were 12 other index-included issues trading in excess of 10,000 shares.
Wide Spread Highlights
Issue Index Quote Data and Yield Notes
IFC.PR.G FixedReset Ins Non Quote: 21.50 – 23.50
Spot Rate : 2.0000
Average : 1.2876

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-01-10
Maturity Price : 21.50
Evaluated at bid price : 21.50
Bid-YTW : 6.96 %
TD.PF.J FixedReset Disc Quote: 22.10 – 23.72
Spot Rate : 1.6200
Average : 0.9568

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-01-10
Maturity Price : 21.74
Evaluated at bid price : 22.10
Bid-YTW : 6.74 %
SLF.PR.H FixedReset Ins Non Quote: 18.64 – 20.00
Spot Rate : 1.3600
Average : 0.8966

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-01-10
Maturity Price : 18.64
Evaluated at bid price : 18.64
Bid-YTW : 6.84 %
IFC.PR.C FixedReset Ins Non Quote: 18.70 – 19.70
Spot Rate : 1.0000
Average : 0.6253

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-01-10
Maturity Price : 18.70
Evaluated at bid price : 18.70
Bid-YTW : 7.46 %
TD.PF.B FixedReset Disc Quote: 20.20 – 21.10
Spot Rate : 0.9000
Average : 0.6222

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-01-10
Maturity Price : 20.20
Evaluated at bid price : 20.20
Bid-YTW : 6.91 %
BN.PF.I FixedReset Disc Quote: 20.02 – 20.90
Spot Rate : 0.8800
Average : 0.6250

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-01-10
Maturity Price : 20.02
Evaluated at bid price : 20.02
Bid-YTW : 8.54 %

Posted in Market Action | No Comments »

January 9, 2024

Tuesday, January 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 0.4525 % 2,145.1
FixedFloater 0.00 % 0.00 % 0 0.00 0 0.4525 % 4,114.3
Floater 11.35 % 11.55 % 45,203 8.45 2 0.4525 % 2,371.1
OpRet 0.00 % 0.00 % 0 0.00 0 0.0000 % 3,396.4
SplitShare 4.96 % 7.65 % 51,743 1.99 7 0.0000 % 4,056.0
Interest-Bearing 0.00 % 0.00 % 0 0.00 0 0.0000 % 3,164.7
Perpetual-Premium 0.00 % 0.00 % 0 0.00 0 0.0507 % 2,650.6
Perpetual-Discount 6.48 % 6.58 % 54,408 13.14 34 0.0507 % 2,890.4
FixedReset Disc 5.73 % 7.50 % 116,234 12.19 59 0.0539 % 2,291.3
Insurance Straight 6.33 % 6.49 % 75,731 13.22 20 0.4565 % 2,863.1
FloatingReset 10.50 % 10.75 % 36,084 8.94 5 0.2089 % 2,557.9
FixedReset Prem 5.92 % 6.62 % 150,556 3.38 2 -0.1791 % 2,516.7
FixedReset Bank Non 0.00 % 0.00 % 0 0.00 0 0.0539 % 2,342.2
FixedReset Ins Non 5.53 % 7.09 % 92,714 12.62 14 0.2941 % 2,567.7
Performance Highlights
Issue Index Change Notes
MFC.PR.J FixedReset Ins Non -2.97 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-01-09
Maturity Price : 22.03
Evaluated at bid price : 22.51
Bid-YTW : 6.73 %
FTS.PR.G FixedReset Disc -2.31 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-01-09
Maturity Price : 20.69
Evaluated at bid price : 20.69
Bid-YTW : 6.96 %
PVS.PR.H SplitShare -1.91 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2027-02-28
Maturity Price : 25.00
Evaluated at bid price : 23.10
Bid-YTW : 7.67 %
TD.PF.E FixedReset Disc -1.67 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-01-09
Maturity Price : 19.62
Evaluated at bid price : 19.62
Bid-YTW : 7.48 %
BN.PF.I FixedReset Disc -1.26 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-01-09
Maturity Price : 19.65
Evaluated at bid price : 19.65
Bid-YTW : 8.69 %
FFH.PR.F FloatingReset -1.10 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-01-09
Maturity Price : 17.01
Evaluated at bid price : 17.01
Bid-YTW : 10.86 %
CM.PR.O FixedReset Disc -1.00 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-01-09
Maturity Price : 18.81
Evaluated at bid price : 18.81
Bid-YTW : 7.44 %
PWF.PF.A Perpetual-Discount 1.04 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-01-09
Maturity Price : 17.38
Evaluated at bid price : 17.38
Bid-YTW : 6.50 %
TD.PF.B FixedReset Disc 1.04 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-01-09
Maturity Price : 20.09
Evaluated at bid price : 20.09
Bid-YTW : 6.94 %
MFC.PR.M FixedReset Ins Non 1.07 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-01-09
Maturity Price : 18.85
Evaluated at bid price : 18.85
Bid-YTW : 7.50 %
FTS.PR.M FixedReset Disc 1.08 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-01-09
Maturity Price : 17.86
Evaluated at bid price : 17.86
Bid-YTW : 8.12 %
BN.PR.N Perpetual-Discount 1.10 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-01-09
Maturity Price : 17.54
Evaluated at bid price : 17.54
Bid-YTW : 6.84 %
SLF.PR.D Insurance Straight 1.13 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-01-09
Maturity Price : 18.76
Evaluated at bid price : 18.76
Bid-YTW : 5.98 %
MIC.PR.A Perpetual-Discount 1.15 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-01-09
Maturity Price : 18.47
Evaluated at bid price : 18.47
Bid-YTW : 7.39 %
GWO.PR.N FixedReset Ins Non 1.18 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-01-09
Maturity Price : 13.76
Evaluated at bid price : 13.76
Bid-YTW : 7.77 %
MFC.PR.F FixedReset Ins Non 1.18 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-01-09
Maturity Price : 14.55
Evaluated at bid price : 14.55
Bid-YTW : 7.54 %
CU.PR.H Perpetual-Discount 1.22 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-01-09
Maturity Price : 20.80
Evaluated at bid price : 20.80
Bid-YTW : 6.41 %
PWF.PR.Z Perpetual-Discount 1.23 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-01-09
Maturity Price : 19.54
Evaluated at bid price : 19.54
Bid-YTW : 6.61 %
PWF.PR.P FixedReset Disc 1.23 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-01-09
Maturity Price : 14.21
Evaluated at bid price : 14.21
Bid-YTW : 7.97 %
TD.PF.A FixedReset Disc 1.33 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-01-09
Maturity Price : 19.55
Evaluated at bid price : 19.55
Bid-YTW : 7.05 %
BN.PR.X FixedReset Disc 1.33 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-01-09
Maturity Price : 15.20
Evaluated at bid price : 15.20
Bid-YTW : 8.32 %
ELF.PR.H Perpetual-Discount 1.35 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-01-09
Maturity Price : 21.03
Evaluated at bid price : 21.03
Bid-YTW : 6.58 %
MFC.PR.N FixedReset Ins Non 1.38 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-01-09
Maturity Price : 18.37
Evaluated at bid price : 18.37
Bid-YTW : 7.55 %
CU.PR.E Perpetual-Discount 1.40 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-01-09
Maturity Price : 19.50
Evaluated at bid price : 19.50
Bid-YTW : 6.38 %
IFC.PR.A FixedReset Ins Non 1.42 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-01-09
Maturity Price : 17.80
Evaluated at bid price : 17.80
Bid-YTW : 7.09 %
BIP.PR.E FixedReset Disc 1.43 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-01-09
Maturity Price : 20.60
Evaluated at bid price : 20.60
Bid-YTW : 7.89 %
BN.PR.M Perpetual-Discount 1.50 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-01-09
Maturity Price : 17.60
Evaluated at bid price : 17.60
Bid-YTW : 6.82 %
GWO.PR.P Insurance Straight 1.61 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-01-09
Maturity Price : 20.83
Evaluated at bid price : 20.83
Bid-YTW : 6.55 %
RY.PR.M FixedReset Disc 1.67 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-01-09
Maturity Price : 18.91
Evaluated at bid price : 18.91
Bid-YTW : 7.48 %
FFH.PR.H FloatingReset 1.69 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-01-09
Maturity Price : 18.00
Evaluated at bid price : 18.00
Bid-YTW : 10.82 %
PVS.PR.K SplitShare 1.80 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2029-05-31
Maturity Price : 25.00
Evaluated at bid price : 22.65
Bid-YTW : 6.68 %
CU.PR.D Perpetual-Discount 1.84 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-01-09
Maturity Price : 19.36
Evaluated at bid price : 19.36
Bid-YTW : 6.43 %
SLF.PR.H FixedReset Ins Non 1.92 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-01-09
Maturity Price : 18.60
Evaluated at bid price : 18.60
Bid-YTW : 6.85 %
CU.PR.C FixedReset Disc 2.09 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-01-09
Maturity Price : 19.01
Evaluated at bid price : 19.01
Bid-YTW : 7.50 %
SLF.PR.C Insurance Straight 2.57 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-01-09
Maturity Price : 18.75
Evaluated at bid price : 18.75
Bid-YTW : 5.99 %
SLF.PR.G FixedReset Ins Non 3.61 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-01-09
Maturity Price : 14.35
Evaluated at bid price : 14.35
Bid-YTW : 7.83 %
CU.PR.I FixedReset Disc 4.31 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-01-09
Maturity Price : 22.42
Evaluated at bid price : 22.75
Bid-YTW : 7.46 %
Volume Highlights
Issue Index Shares
Traded		 Notes
PWF.PR.P FixedReset Disc 165,742 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-01-09
Maturity Price : 14.21
Evaluated at bid price : 14.21
Bid-YTW : 7.97 %
EIT.PR.A SplitShare 111,351 YTW SCENARIO
Maturity Type : Soft Maturity
Maturity Date : 2024-03-14
Maturity Price : 25.00
Evaluated at bid price : 24.96
Bid-YTW : 7.65 %
BMO.PR.F FixedReset Disc 36,450 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-01-09
Maturity Price : 23.91
Evaluated at bid price : 24.65
Bid-YTW : 7.00 %
GWO.PR.N FixedReset Ins Non 35,440 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-01-09
Maturity Price : 13.76
Evaluated at bid price : 13.76
Bid-YTW : 7.77 %
MFC.PR.M FixedReset Ins Non 26,400 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-01-09
Maturity Price : 18.85
Evaluated at bid price : 18.85
Bid-YTW : 7.50 %
RY.PR.Z FixedReset Disc 23,400 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-01-09
Maturity Price : 19.99
Evaluated at bid price : 19.99
Bid-YTW : 7.01 %
There were 12 other index-included issues trading in excess of 10,000 shares.
Wide Spread Highlights
Issue Index Quote Data and Yield Notes
BN.PF.F FixedReset Disc Quote: 17.80 – 24.00
Spot Rate : 6.2000
Average : 3.4459

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-01-09
Maturity Price : 17.80
Evaluated at bid price : 17.80
Bid-YTW : 8.67 %
BN.PF.E FixedReset Disc Quote: 15.61 – 19.49
Spot Rate : 3.8800
Average : 2.3167

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-01-09
Maturity Price : 15.61
Evaluated at bid price : 15.61
Bid-YTW : 9.20 %
BN.PF.H FixedReset Disc Quote: 21.15 – 22.60
Spot Rate : 1.4500
Average : 0.8488

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-01-09
Maturity Price : 21.15
Evaluated at bid price : 21.15
Bid-YTW : 8.54 %
CU.PR.E Perpetual-Discount Quote: 19.50 – 20.85
Spot Rate : 1.3500
Average : 0.7994

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-01-09
Maturity Price : 19.50
Evaluated at bid price : 19.50
Bid-YTW : 6.38 %
MFC.PR.L FixedReset Ins Non Quote: 19.09 – 20.50
Spot Rate : 1.4100
Average : 0.9930

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-01-09
Maturity Price : 19.09
Evaluated at bid price : 19.09
Bid-YTW : 7.24 %
MFC.PR.J FixedReset Ins Non Quote: 22.51 – 23.55
Spot Rate : 1.0400
Average : 0.7170

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-01-09
Maturity Price : 22.03
Evaluated at bid price : 22.51
Bid-YTW : 6.73 %

Posted in Market Action | No Comments »

DC.PR.D SIB Successful, but Undersubscribed

Monday, January 8th, 2024

Dundee Corporation has announced (on 2023-12-28):

the results of its substantial issuer bid (the “Offer”) to purchase for cancellation from the holders thereof who chose to participate up to 975,610 of its issued and outstanding Cumulative Floating Rate First Preference Shares, Series 3 in the capital of the Corporation (the “Series 3 Shares”) at a purchase price of C$20.50 per Series 3 Share, for a maximum aggregate purchase price of C$20,000,005. The Offer expired at 11:59 p.m. (Toronto time) on December 27, 2023.

Based on the report of Computershare Investor Services Inc., as depositary for the Offer (the “Depositary”), 914,040 Series 3 Shares were tendered to the Offer. In accordance with the terms and conditions of the Offer and based on the Depositary’s report, the Corporation has taken up and will pay for 914,040 Series 3 Shares at a purchase price of C$20.50 per Series 3 Share for an aggregate purchase price of C$18,737,820. All Series 3 Shares purchased by the Corporation under the Offer will be cancelled in due course. The Series 3 Shares purchased under the Offer represent approximately 55.8% of the Series 3 Shares issued and outstanding before giving effect to the Offer. After giving effect to the cancellation of the Series 3 Shares purchased by the Corporation under the Offer, 724,982 Series 3 Shares will be issued and outstanding.

The Corporation has made payment for the Series 3 Shares tendered and accepted for purchase by tendering to the Depositary the aggregate purchase price payable on the Series 3 Shares validly tendered, taken up and paid for under the Offer, all in accordance with the Offer and applicable laws. Payment to shareholders for the Series 3 Shares will be made in cash, without interest, and will be completed by the Depositary as soon as practicable. Any Series 3 Shares invalidly tendered will be returned to the tendering shareholder promptly by the Depositary.

“This Offer represents a critical step towards optimizing our capital structure to support the successful execution of our strategic business plan with a focus on capital allocation in the junior mining space. By reducing the demands on our capital from the payment of preferred share dividends, we can deploy more resources to fund our core strategy,” said Jonathan Goodman, President and Chief Executive Officer.

“We believe this is an effective way of simplifying our balance sheet, reducing our cost of capital, and lowering our recurring cash needs to unlock value for all of our shareholders. By partially funding the purchase of the Series 3 Shares tendered with cash from treasury, we minimize debt obligations and run-rate cash outflows,” said Lila Murphy, Executive Vice President and Chief Financial Officer.

The full details of the Offer are described in the Corporation’s offer to purchase and issuer bid circular dated November 22, 2023, as well as the related letter of transmittal and notice of guaranteed delivery, copies of which were filed and are available under Dundee’s profile on SEDAR+ at www.sedarplus.ca and are posted on Dundee’s website at www.dundeecorporation.com.

Dundee retained Cassels Brock & Blackwell LLP to act as its external legal advisor and appointed Computershare Investor Services Inc. to act as depositary for the Offer.

The Board of Directors of the Corporation will continue to review various options for the allocation of capital. Beginning in early 2018, the Corporation has focused on the implementation of its strategy of rationalizing its portfolio of investments and monetizing non-core assets as it exits business lines which are no longer deemed to be aligned with its longer-term mining-focused strategy. As part of this process, the Corporation has taken significant steps to streamline its capital structure and strengthen its balance sheet.

This news release is for informational purposes only and does not constitute an offer to buy or the solicitation of an offer to sell any Series 3 Shares.

Update Regarding the Loan

As previously announced by the Corporation on November 20, 2023, in connection with the Offer, the Corporation entered into a loan agreement dated November 17, 2023 (the “Loan Agreement”) among the Corporation, as borrower, Dundee Resources Limited, as guarantor, and Earlston Investments Corp. (the “Lender”), as lender, pursuant to which the Lender agreed to make a loan in a principal amount of up to C$20,000,000 upon satisfaction of certain customary conditions precedent. Pursuant to the Loan Agreement and in connection with the completion of the Offer, the Lender has advanced to the Corporation a loan in the principal amount of C$14,000,000 for purposes of funding the purchase of the Series 3 Shares tendered, taken up and paid for under the Offer. For further details relating to the Loan and the Loan Agreement, including certain material terms and conditions thereof, please see the Corporation’s news release dated November 20, 2023.

The SIB was previously discussed on PrefBlog.

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

Posted in Issue Comments | No Comments »

January 8, 2024

Monday, January 8th, 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 0.0000 % 2,135.4
FixedFloater 0.00 % 0.00 % 0 0.00 0 0.0000 % 4,095.8
Floater 11.40 % 11.60 % 45,464 8.43 2 0.0000 % 2,360.4
OpRet 0.00 % 0.00 % 0 0.00 0 0.0000 % 3,396.4
SplitShare 4.96 % 7.64 % 51,800 2.00 7 0.0000 % 4,056.0
Interest-Bearing 0.00 % 0.00 % 0 0.00 0 0.0000 % 3,164.7
Perpetual-Premium 0.00 % 0.00 % 0 0.00 0 0.1390 % 2,649.3
Perpetual-Discount 6.48 % 6.64 % 55,172 13.03 34 0.1390 % 2,888.9
FixedReset Disc 5.73 % 7.60 % 117,428 12.15 59 0.6525 % 2,290.1
Insurance Straight 6.36 % 6.49 % 75,890 13.22 20 0.6752 % 2,850.1
FloatingReset 10.52 % 10.73 % 35,899 9.01 5 -0.2777 % 2,552.6
FixedReset Prem 5.91 % 6.50 % 152,783 3.38 2 0.4197 % 2,521.2
FixedReset Bank Non 0.00 % 0.00 % 0 0.00 0 0.6525 % 2,340.9
FixedReset Ins Non 5.55 % 7.18 % 85,664 12.59 14 0.5116 % 2,560.2
Performance Highlights
Issue Index Change Notes
FFH.PR.H FloatingReset -3.28 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-01-08
Maturity Price : 17.70
Evaluated at bid price : 17.70
Bid-YTW : 11.01 %
BN.PF.B FixedReset Disc -2.50 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-01-08
Maturity Price : 17.55
Evaluated at bid price : 17.55
Bid-YTW : 8.60 %
BN.PF.A FixedReset Disc -1.21 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-01-08
Maturity Price : 20.40
Evaluated at bid price : 20.40
Bid-YTW : 7.93 %
SLF.PR.C Insurance Straight -1.19 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-01-08
Maturity Price : 18.28
Evaluated at bid price : 18.28
Bid-YTW : 6.14 %
BMO.PR.W FixedReset Disc -1.09 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-01-08
Maturity Price : 18.10
Evaluated at bid price : 18.10
Bid-YTW : 7.67 %
PWF.PR.S Perpetual-Discount -1.07 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-01-08
Maturity Price : 18.46
Evaluated at bid price : 18.46
Bid-YTW : 6.65 %
SLF.PR.G FixedReset Ins Non -1.07 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-01-08
Maturity Price : 13.85
Evaluated at bid price : 13.85
Bid-YTW : 8.10 %
CU.PR.C FixedReset Disc 1.09 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-01-08
Maturity Price : 18.62
Evaluated at bid price : 18.62
Bid-YTW : 7.66 %
RY.PR.M FixedReset Disc 1.09 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-01-08
Maturity Price : 18.60
Evaluated at bid price : 18.60
Bid-YTW : 7.60 %
GWO.PR.N FixedReset Ins Non 1.12 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-01-08
Maturity Price : 13.60
Evaluated at bid price : 13.60
Bid-YTW : 7.86 %
FFH.PR.F FloatingReset 1.12 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-01-08
Maturity Price : 17.20
Evaluated at bid price : 17.20
Bid-YTW : 10.73 %
MFC.PR.K FixedReset Ins Non 1.24 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-01-08
Maturity Price : 22.22
Evaluated at bid price : 22.88
Bid-YTW : 6.36 %
BN.PF.I FixedReset Disc 1.27 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-01-08
Maturity Price : 19.90
Evaluated at bid price : 19.90
Bid-YTW : 8.58 %
FFH.PR.D FloatingReset 1.30 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-01-08
Maturity Price : 20.27
Evaluated at bid price : 20.27
Bid-YTW : 10.34 %
SLF.PR.D Insurance Straight 1.31 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-01-08
Maturity Price : 18.55
Evaluated at bid price : 18.55
Bid-YTW : 6.05 %
IFC.PR.E Insurance Straight 1.41 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-01-08
Maturity Price : 20.15
Evaluated at bid price : 20.15
Bid-YTW : 6.51 %
SLF.PR.E Insurance Straight 1.53 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-01-08
Maturity Price : 18.63
Evaluated at bid price : 18.63
Bid-YTW : 6.09 %
RY.PR.H FixedReset Disc 1.54 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-01-08
Maturity Price : 19.10
Evaluated at bid price : 19.10
Bid-YTW : 7.35 %
BIP.PR.B FixedReset Disc 1.60 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-01-08
Maturity Price : 21.73
Evaluated at bid price : 22.20
Bid-YTW : 8.55 %
TD.PF.C FixedReset Disc 1.62 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-01-08
Maturity Price : 18.84
Evaluated at bid price : 18.84
Bid-YTW : 7.40 %
MFC.PR.C Insurance Straight 1.64 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-01-08
Maturity Price : 18.60
Evaluated at bid price : 18.60
Bid-YTW : 6.12 %
BN.PR.R FixedReset Disc 1.68 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-01-08
Maturity Price : 14.50
Evaluated at bid price : 14.50
Bid-YTW : 9.03 %
BN.PR.X FixedReset Disc 1.69 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-01-08
Maturity Price : 15.00
Evaluated at bid price : 15.00
Bid-YTW : 8.43 %
BMO.PR.Y FixedReset Disc 1.81 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-01-08
Maturity Price : 19.14
Evaluated at bid price : 19.14
Bid-YTW : 7.57 %
PWF.PR.G Perpetual-Discount 1.84 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-01-08
Maturity Price : 22.96
Evaluated at bid price : 23.23
Bid-YTW : 6.48 %
SLF.PR.H FixedReset Ins Non 2.13 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-01-08
Maturity Price : 18.25
Evaluated at bid price : 18.25
Bid-YTW : 6.98 %
FFH.PR.G FixedReset Disc 2.25 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-01-08
Maturity Price : 16.36
Evaluated at bid price : 16.36
Bid-YTW : 8.53 %
TD.PF.E FixedReset Disc 3.28 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-01-08
Maturity Price : 20.16
Evaluated at bid price : 20.16
Bid-YTW : 7.37 %
IFC.PR.F Insurance Straight 3.95 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-01-08
Maturity Price : 20.25
Evaluated at bid price : 20.25
Bid-YTW : 6.61 %
PWF.PR.P FixedReset Disc 5.59 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-01-08
Maturity Price : 14.16
Evaluated at bid price : 14.16
Bid-YTW : 8.07 %
NA.PR.W FixedReset Disc 5.88 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-01-08
Maturity Price : 18.00
Evaluated at bid price : 18.00
Bid-YTW : 7.61 %
Volume Highlights
Issue Index Shares
Traded		 Notes
CM.PR.P FixedReset Disc 164,896 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-01-08
Maturity Price : 17.92
Evaluated at bid price : 17.92
Bid-YTW : 7.62 %
BMO.PR.Y FixedReset Disc 70,000 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-01-08
Maturity Price : 19.14
Evaluated at bid price : 19.14
Bid-YTW : 7.57 %
TD.PF.C FixedReset Disc 30,846 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-01-08
Maturity Price : 18.84
Evaluated at bid price : 18.84
Bid-YTW : 7.40 %
TD.PF.B FixedReset Disc 27,425 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-01-08
Maturity Price : 20.11
Evaluated at bid price : 20.11
Bid-YTW : 7.03 %
BNS.PR.I FixedReset Prem 26,052 YTW SCENARIO
Maturity Type : Call
Maturity Date : 2024-02-26
Maturity Price : 25.00
Evaluated at bid price : 24.92
Bid-YTW : 5.42 %
PWF.PR.H Perpetual-Discount 25,053 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-01-08
Maturity Price : 21.63
Evaluated at bid price : 21.88
Bid-YTW : 6.71 %
There were 11 other index-included issues trading in excess of 10,000 shares.
Wide Spread Highlights
Issue Index Quote Data and Yield Notes
BMO.PR.W FixedReset Disc Quote: 18.10 – 24.50
Spot Rate : 6.4000
Average : 3.5360

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-01-08
Maturity Price : 18.10
Evaluated at bid price : 18.10
Bid-YTW : 7.67 %
TD.PF.C FixedReset Disc Quote: 18.84 – 23.33
Spot Rate : 4.4900
Average : 2.4674

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-01-08
Maturity Price : 18.84
Evaluated at bid price : 18.84
Bid-YTW : 7.40 %
CIU.PR.A Perpetual-Discount Quote: 17.50 – 20.00
Spot Rate : 2.5000
Average : 1.3442

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-01-08
Maturity Price : 17.50
Evaluated at bid price : 17.50
Bid-YTW : 6.68 %
TD.PF.B FixedReset Disc Quote: 20.11 – 21.10
Spot Rate : 0.9900
Average : 0.6110

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-01-08
Maturity Price : 20.11
Evaluated at bid price : 20.11
Bid-YTW : 7.03 %
FFH.PR.H FloatingReset Quote: 17.70 – 18.45
Spot Rate : 0.7500
Average : 0.4990

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-01-08
Maturity Price : 17.70
Evaluated at bid price : 17.70
Bid-YTW : 11.01 %
TD.PF.E FixedReset Disc Quote: 20.16 – 21.45
Spot Rate : 1.2900
Average : 1.0410

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-01-08
Maturity Price : 20.16
Evaluated at bid price : 20.16
Bid-YTW : 7.37 %

Posted in Market Action | No Comments »

January 5, 2023

Friday, January 5th, 2024

This rally seems to have legs – the TXPR price index was up another 0.48% today to 549.53, making a gain of 3.07% from the 533.17 close on 2023-12-27, the last day of tax-loss selling. Geez, if we annualize that …

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 0.0000 % 2,135.4
FixedFloater 0.00 % 0.00 % 0 0.00 0 0.0000 % 4,095.8
Floater 11.40 % 11.58 % 45,470 8.44 2 0.0000 % 2,360.4
OpRet 0.00 % 0.00 % 0 0.00 0 0.7061 % 3,396.4
SplitShare 4.96 % 7.40 % 52,055 2.01 7 0.7061 % 4,056.0
Interest-Bearing 0.00 % 0.00 % 0 0.00 0 0.7061 % 3,164.7
Perpetual-Premium 0.00 % 0.00 % 0 0.00 0 0.6481 % 2,645.6
Perpetual-Discount 6.49 % 6.61 % 56,594 13.02 34 0.6481 % 2,884.9
FixedReset Disc 5.76 % 7.59 % 120,658 12.13 59 0.4557 % 2,275.2
Insurance Straight 6.40 % 6.53 % 76,117 13.18 20 0.5966 % 2,831.0
FloatingReset 10.50 % 10.64 % 36,080 9.08 5 1.1825 % 2,559.7
FixedReset Prem 5.94 % 6.68 % 154,730 12.79 2 -0.9111 % 2,510.6
FixedReset Bank Non 0.00 % 0.00 % 0 0.00 0 0.4557 % 2,325.7
FixedReset Ins Non 5.58 % 7.15 % 86,317 12.63 14 0.2660 % 2,547.2
Performance Highlights
Issue Index Change Notes
IFC.PR.E Insurance Straight -1.63 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-01-05
Maturity Price : 19.87
Evaluated at bid price : 19.87
Bid-YTW : 6.60 %
MIC.PR.A Perpetual-Discount -1.03 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-01-05
Maturity Price : 18.26
Evaluated at bid price : 18.26
Bid-YTW : 7.47 %
BMO.PR.E FixedReset Disc -1.02 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-01-05
Maturity Price : 22.89
Evaluated at bid price : 24.25
Bid-YTW : 6.46 %
SLF.PR.D Insurance Straight 1.05 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-01-05
Maturity Price : 18.31
Evaluated at bid price : 18.31
Bid-YTW : 6.13 %
CU.PR.E Perpetual-Discount 1.05 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-01-05
Maturity Price : 19.22
Evaluated at bid price : 19.22
Bid-YTW : 6.47 %
BMO.PR.S FixedReset Disc 1.06 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-01-05
Maturity Price : 19.97
Evaluated at bid price : 19.97
Bid-YTW : 7.10 %
CM.PR.P FixedReset Disc 1.08 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-01-05
Maturity Price : 17.81
Evaluated at bid price : 17.81
Bid-YTW : 7.59 %
BMO.PR.W FixedReset Disc 1.10 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-01-05
Maturity Price : 18.30
Evaluated at bid price : 18.30
Bid-YTW : 7.51 %
BMO.PR.T FixedReset Disc 1.18 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-01-05
Maturity Price : 18.82
Evaluated at bid price : 18.82
Bid-YTW : 7.36 %
CU.PR.G Perpetual-Discount 1.21 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-01-05
Maturity Price : 17.50
Evaluated at bid price : 17.50
Bid-YTW : 6.53 %
BN.PF.G FixedReset Disc 1.23 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-01-05
Maturity Price : 16.48
Evaluated at bid price : 16.48
Bid-YTW : 8.91 %
GWO.PR.G Insurance Straight 1.26 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-01-05
Maturity Price : 20.05
Evaluated at bid price : 20.05
Bid-YTW : 6.54 %
FFH.PR.I FixedReset Disc 1.27 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-01-05
Maturity Price : 16.75
Evaluated at bid price : 16.75
Bid-YTW : 8.63 %
SLF.PR.G FixedReset Ins Non 1.30 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-01-05
Maturity Price : 14.00
Evaluated at bid price : 14.00
Bid-YTW : 7.94 %
SLF.PR.C Insurance Straight 1.37 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-01-05
Maturity Price : 18.50
Evaluated at bid price : 18.50
Bid-YTW : 6.06 %
NA.PR.W FixedReset Disc 1.41 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-01-05
Maturity Price : 17.00
Evaluated at bid price : 17.00
Bid-YTW : 7.98 %
GWO.PR.I Insurance Straight 1.42 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-01-05
Maturity Price : 17.80
Evaluated at bid price : 17.80
Bid-YTW : 6.38 %
RY.PR.Z FixedReset Disc 1.53 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-01-05
Maturity Price : 19.85
Evaluated at bid price : 19.85
Bid-YTW : 6.99 %
TD.PF.A FixedReset Disc 1.68 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-01-05
Maturity Price : 19.42
Evaluated at bid price : 19.42
Bid-YTW : 7.12 %
CU.PR.J Perpetual-Discount 1.70 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-01-05
Maturity Price : 18.55
Evaluated at bid price : 18.55
Bid-YTW : 6.50 %
GWO.PR.S Insurance Straight 1.70 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-01-05
Maturity Price : 20.30
Evaluated at bid price : 20.30
Bid-YTW : 6.52 %
PVS.PR.H SplitShare 1.73 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2027-02-28
Maturity Price : 25.00
Evaluated at bid price : 23.50
Bid-YTW : 7.03 %
GWO.PR.H Insurance Straight 1.74 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-01-05
Maturity Price : 18.76
Evaluated at bid price : 18.76
Bid-YTW : 6.52 %
POW.PR.C Perpetual-Discount 1.77 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-01-05
Maturity Price : 22.71
Evaluated at bid price : 23.00
Bid-YTW : 6.33 %
GWO.PR.M Insurance Straight 1.79 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-01-05
Maturity Price : 22.44
Evaluated at bid price : 22.70
Bid-YTW : 6.43 %
FTS.PR.K FixedReset Disc 1.88 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-01-05
Maturity Price : 17.85
Evaluated at bid price : 17.85
Bid-YTW : 7.59 %
FTS.PR.I FloatingReset 1.90 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-01-05
Maturity Price : 15.55
Evaluated at bid price : 15.55
Bid-YTW : 10.80 %
PWF.PR.K Perpetual-Discount 1.92 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-01-05
Maturity Price : 19.15
Evaluated at bid price : 19.15
Bid-YTW : 6.60 %
PWF.PR.S Perpetual-Discount 1.97 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-01-05
Maturity Price : 18.66
Evaluated at bid price : 18.66
Bid-YTW : 6.57 %
MFC.PR.F FixedReset Ins Non 2.05 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-01-05
Maturity Price : 14.43
Evaluated at bid price : 14.43
Bid-YTW : 7.53 %
NA.PR.S FixedReset Disc 2.06 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-01-05
Maturity Price : 19.60
Evaluated at bid price : 19.60
Bid-YTW : 7.24 %
PVS.PR.K SplitShare 2.16 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2029-05-31
Maturity Price : 25.00
Evaluated at bid price : 22.25
Bid-YTW : 7.05 %
FTS.PR.G FixedReset Disc 2.26 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-01-05
Maturity Price : 21.25
Evaluated at bid price : 21.25
Bid-YTW : 6.72 %
BN.PR.Z FixedReset Disc 2.62 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-01-05
Maturity Price : 18.80
Evaluated at bid price : 18.80
Bid-YTW : 8.34 %
GWO.PR.T Insurance Straight 2.68 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-01-05
Maturity Price : 19.90
Evaluated at bid price : 19.90
Bid-YTW : 6.53 %
FFH.PR.H FloatingReset 2.81 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-01-05
Maturity Price : 18.30
Evaluated at bid price : 18.30
Bid-YTW : 10.63 %
BN.PF.B FixedReset Disc 2.86 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-01-05
Maturity Price : 18.00
Evaluated at bid price : 18.00
Bid-YTW : 8.30 %
Volume Highlights
Issue Index Shares
Traded		 Notes
TD.PF.I FixedReset Disc 140,600 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-01-05
Maturity Price : 23.10
Evaluated at bid price : 24.55
Bid-YTW : 6.48 %
BNS.PR.I FixedReset Prem 97,300 YTW SCENARIO
Maturity Type : Call
Maturity Date : 2024-02-26
Maturity Price : 25.00
Evaluated at bid price : 24.92
Bid-YTW : 5.11 %
CM.PR.O FixedReset Disc 96,700 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-01-05
Maturity Price : 18.88
Evaluated at bid price : 18.88
Bid-YTW : 7.34 %
IFC.PR.C FixedReset Ins Non 93,840 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-01-05
Maturity Price : 18.38
Evaluated at bid price : 18.38
Bid-YTW : 7.52 %
TD.PF.B FixedReset Disc 88,032 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-01-05
Maturity Price : 19.92
Evaluated at bid price : 19.92
Bid-YTW : 7.03 %
BN.PF.F FixedReset Disc 82,700 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-01-05
Maturity Price : 17.70
Evaluated at bid price : 17.70
Bid-YTW : 8.64 %
There were 13 other index-included issues trading in excess of 10,000 shares.
Wide Spread Highlights
Issue Index Quote Data and Yield Notes
CU.PR.I FixedReset Disc Quote: 21.75 – 24.50
Spot Rate : 2.7500
Average : 1.5559

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-01-05
Maturity Price : 21.42
Evaluated at bid price : 21.75
Bid-YTW : 7.74 %
BN.PR.N Perpetual-Discount Quote: 17.25 – 18.29
Spot Rate : 1.0400
Average : 0.6168

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-01-05
Maturity Price : 17.25
Evaluated at bid price : 17.25
Bid-YTW : 6.95 %
POW.PR.B Perpetual-Discount Quote: 20.28 – 21.50
Spot Rate : 1.2200
Average : 0.8209

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-01-05
Maturity Price : 20.28
Evaluated at bid price : 20.28
Bid-YTW : 6.64 %
MFC.PR.M FixedReset Ins Non Quote: 18.52 – 19.52
Spot Rate : 1.0000
Average : 0.6460

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-01-05
Maturity Price : 18.52
Evaluated at bid price : 18.52
Bid-YTW : 7.56 %
PWF.PR.K Perpetual-Discount Quote: 19.15 – 19.97
Spot Rate : 0.8200
Average : 0.5380

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-01-05
Maturity Price : 19.15
Evaluated at bid price : 19.15
Bid-YTW : 6.60 %
IFC.PR.E Insurance Straight Quote: 19.87 – 20.70
Spot Rate : 0.8300
Average : 0.5757

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-01-05
Maturity Price : 19.87
Evaluated at bid price : 19.87
Bid-YTW : 6.60 %

Posted in Market Action | 2 Comments »

January 4, 2024

Friday, January 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 -0.2708 % 2,135.4
FixedFloater 0.00 % 0.00 % 0 0.00 0 -0.2708 % 4,095.8
Floater 11.40 % 11.58 % 45,785 8.45 2 -0.2708 % 2,360.4
OpRet 0.00 % 0.00 % 0 0.00 0 -0.1580 % 3,372.6
SplitShare 4.99 % 7.71 % 51,420 2.01 7 -0.1580 % 4,027.6
Interest-Bearing 0.00 % 0.00 % 0 0.00 0 -0.1580 % 3,142.5
Perpetual-Premium 0.00 % 0.00 % 0 0.00 0 0.7408 % 2,628.6
Perpetual-Discount 6.53 % 6.66 % 56,737 12.97 34 0.7408 % 2,866.3
FixedReset Disc 5.79 % 7.65 % 120,998 12.04 59 0.4194 % 2,264.9
Insurance Straight 6.44 % 6.58 % 77,107 13.11 20 0.4071 % 2,814.2
FloatingReset 10.62 % 10.91 % 35,733 8.89 5 0.2936 % 2,529.8
FixedReset Prem 5.88 % 6.67 % 153,656 12.60 2 0.3378 % 2,533.7
FixedReset Bank Non 0.00 % 0.00 % 0 0.00 0 0.4194 % 2,315.2
FixedReset Ins Non 5.59 % 7.15 % 86,955 12.54 14 0.5963 % 2,540.4
Performance Highlights
Issue Index Change Notes
NA.PR.W FixedReset Disc -2.86 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-01-04
Maturity Price : 17.00
Evaluated at bid price : 17.00
Bid-YTW : 8.10 %
IFC.PR.F Insurance Straight -1.86 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-01-04
Maturity Price : 19.48
Evaluated at bid price : 19.48
Bid-YTW : 6.87 %
SLF.PR.D Insurance Straight -1.52 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-01-04
Maturity Price : 18.12
Evaluated at bid price : 18.12
Bid-YTW : 6.19 %
PVS.PR.H SplitShare -1.49 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2027-02-28
Maturity Price : 25.00
Evaluated at bid price : 23.10
Bid-YTW : 7.63 %
SLF.PR.E Insurance Straight -1.35 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-01-04
Maturity Price : 18.29
Evaluated at bid price : 18.29
Bid-YTW : 6.20 %
SLF.PR.C Insurance Straight -1.24 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-01-04
Maturity Price : 18.25
Evaluated at bid price : 18.25
Bid-YTW : 6.15 %
CU.PR.G Perpetual-Discount -1.20 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-01-04
Maturity Price : 17.29
Evaluated at bid price : 17.29
Bid-YTW : 6.61 %
PVS.PR.K SplitShare -1.04 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2029-05-31
Maturity Price : 25.00
Evaluated at bid price : 21.78
Bid-YTW : 7.51 %
IFC.PR.K Perpetual-Discount 1.01 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-01-04
Maturity Price : 20.01
Evaluated at bid price : 20.01
Bid-YTW : 6.62 %
FFH.PR.C FixedReset Disc 1.02 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-01-04
Maturity Price : 19.85
Evaluated at bid price : 19.85
Bid-YTW : 8.05 %
CM.PR.P FixedReset Disc 1.03 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-01-04
Maturity Price : 17.62
Evaluated at bid price : 17.62
Bid-YTW : 7.67 %
PVS.PR.G SplitShare 1.06 % YTW SCENARIO
Maturity Type : Option Certainty
Maturity Date : 2026-02-28
Maturity Price : 25.00
Evaluated at bid price : 23.90
Bid-YTW : 7.38 %
PWF.PR.E Perpetual-Discount 1.06 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-01-04
Maturity Price : 20.92
Evaluated at bid price : 20.92
Bid-YTW : 6.72 %
GWO.PR.P Insurance Straight 1.12 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-01-04
Maturity Price : 20.70
Evaluated at bid price : 20.70
Bid-YTW : 6.58 %
GWO.PR.N FixedReset Ins Non 1.14 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-01-04
Maturity Price : 13.36
Evaluated at bid price : 13.36
Bid-YTW : 7.91 %
BN.PR.T FixedReset Disc 1.25 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-01-04
Maturity Price : 14.55
Evaluated at bid price : 14.55
Bid-YTW : 8.97 %
BIP.PR.B FixedReset Disc 1.26 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-01-04
Maturity Price : 21.40
Evaluated at bid price : 21.72
Bid-YTW : 8.68 %
FTS.PR.K FixedReset Disc 1.27 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-01-04
Maturity Price : 17.52
Evaluated at bid price : 17.52
Bid-YTW : 7.74 %
BIP.PR.E FixedReset Disc 1.30 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-01-04
Maturity Price : 20.31
Evaluated at bid price : 20.31
Bid-YTW : 7.95 %
TD.PF.A FixedReset Disc 1.33 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-01-04
Maturity Price : 19.10
Evaluated at bid price : 19.10
Bid-YTW : 7.24 %
IFC.PR.C FixedReset Ins Non 1.39 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-01-04
Maturity Price : 18.25
Evaluated at bid price : 18.25
Bid-YTW : 7.57 %
BN.PR.N Perpetual-Discount 1.41 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-01-04
Maturity Price : 17.31
Evaluated at bid price : 17.31
Bid-YTW : 6.93 %
CU.PR.C FixedReset Disc 1.49 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-01-04
Maturity Price : 18.36
Evaluated at bid price : 18.36
Bid-YTW : 7.71 %
CU.PR.E Perpetual-Discount 1.55 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-01-04
Maturity Price : 19.02
Evaluated at bid price : 19.02
Bid-YTW : 6.54 %
TD.PF.D FixedReset Disc 1.55 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-01-04
Maturity Price : 19.60
Evaluated at bid price : 19.60
Bid-YTW : 7.48 %
RY.PR.Z FixedReset Disc 1.56 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-01-04
Maturity Price : 19.55
Evaluated at bid price : 19.55
Bid-YTW : 7.10 %
MFC.PR.L FixedReset Ins Non 1.65 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-01-04
Maturity Price : 19.10
Evaluated at bid price : 19.10
Bid-YTW : 7.16 %
POW.PR.A Perpetual-Discount 1.67 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-01-04
Maturity Price : 21.25
Evaluated at bid price : 21.25
Bid-YTW : 6.63 %
RY.PR.N Perpetual-Discount 1.73 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-01-04
Maturity Price : 21.47
Evaluated at bid price : 21.77
Bid-YTW : 5.69 %
FTS.PR.I FloatingReset 1.73 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-01-04
Maturity Price : 15.26
Evaluated at bid price : 15.26
Bid-YTW : 11.00 %
CU.PR.D Perpetual-Discount 1.77 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-01-04
Maturity Price : 18.99
Evaluated at bid price : 18.99
Bid-YTW : 6.55 %
BIK.PR.A FixedReset Disc 1.99 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-01-04
Maturity Price : 21.67
Evaluated at bid price : 22.05
Bid-YTW : 8.29 %
POW.PR.D Perpetual-Discount 2.08 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-01-04
Maturity Price : 19.16
Evaluated at bid price : 19.16
Bid-YTW : 6.56 %
MIC.PR.A Perpetual-Discount 2.16 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-01-04
Maturity Price : 18.45
Evaluated at bid price : 18.45
Bid-YTW : 7.39 %
MFC.PR.J FixedReset Ins Non 2.20 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-01-04
Maturity Price : 22.44
Evaluated at bid price : 23.20
Bid-YTW : 6.46 %
CCS.PR.C Insurance Straight 2.59 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-01-04
Maturity Price : 19.01
Evaluated at bid price : 19.01
Bid-YTW : 6.64 %
BIP.PR.A FixedReset Disc 2.91 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-01-04
Maturity Price : 17.31
Evaluated at bid price : 17.31
Bid-YTW : 9.52 %
BMO.PR.W FixedReset Disc 3.25 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-01-04
Maturity Price : 18.10
Evaluated at bid price : 18.10
Bid-YTW : 7.59 %
IFC.PR.E Insurance Straight 3.27 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-01-04
Maturity Price : 20.20
Evaluated at bid price : 20.20
Bid-YTW : 6.49 %
IFC.PR.I Insurance Straight 3.70 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-01-04
Maturity Price : 21.00
Evaluated at bid price : 21.00
Bid-YTW : 6.49 %
Volume Highlights
Issue Index Shares
Traded		 Notes
TD.PF.A FixedReset Disc 109,300 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-01-04
Maturity Price : 19.10
Evaluated at bid price : 19.10
Bid-YTW : 7.24 %
BNS.PR.I FixedReset Prem 84,200 YTW SCENARIO
Maturity Type : Call
Maturity Date : 2024-02-26
Maturity Price : 25.00
Evaluated at bid price : 24.91
Bid-YTW : 5.29 %
MFC.PR.I FixedReset Ins Non 59,500 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-01-04
Maturity Price : 22.11
Evaluated at bid price : 22.59
Bid-YTW : 6.81 %
TD.PF.B FixedReset Disc 52,425 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-01-04
Maturity Price : 19.91
Evaluated at bid price : 19.91
Bid-YTW : 7.03 %
CU.PR.C FixedReset Disc 51,150 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-01-04
Maturity Price : 18.36
Evaluated at bid price : 18.36
Bid-YTW : 7.71 %
CU.PR.I FixedReset Disc 50,400 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-01-04
Maturity Price : 21.34
Evaluated at bid price : 21.65
Bid-YTW : 7.77 %
There were 10 other index-included issues trading in excess of 10,000 shares.
Wide Spread Highlights
Issue Index Quote Data and Yield Notes
MFC.PR.F FixedReset Ins Non Quote: 14.14 – 19.38
Spot Rate : 5.2400
Average : 3.6831

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-01-04
Maturity Price : 14.14
Evaluated at bid price : 14.14
Bid-YTW : 7.67 %
CU.PR.F Perpetual-Discount Quote: 17.27 – 20.00
Spot Rate : 2.7300
Average : 2.2483

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-01-04
Maturity Price : 17.27
Evaluated at bid price : 17.27
Bid-YTW : 6.61 %
TD.PF.D FixedReset Disc Quote: 19.60 – 20.90
Spot Rate : 1.3000
Average : 0.8350

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-01-04
Maturity Price : 19.60
Evaluated at bid price : 19.60
Bid-YTW : 7.48 %
NA.PR.W FixedReset Disc Quote: 17.00 – 18.11
Spot Rate : 1.1100
Average : 0.7019

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-01-04
Maturity Price : 17.00
Evaluated at bid price : 17.00
Bid-YTW : 8.10 %
TD.PF.E FixedReset Disc Quote: 19.52 – 20.50
Spot Rate : 0.9800
Average : 0.6998

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-01-04
Maturity Price : 19.52
Evaluated at bid price : 19.52
Bid-YTW : 7.54 %
PVS.PR.H SplitShare Quote: 23.10 – 24.00
Spot Rate : 0.9000
Average : 0.6345

YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2027-02-28
Maturity Price : 25.00
Evaluated at bid price : 23.10
Bid-YTW : 7.63 %

Posted in Market Action | No Comments »

January 3, 2024

Wednesday, January 3rd, 2024

TXPR closed at 544.96, up 0.64% on the day. Volume today was 1.26-million, third-lowest of the past 21 trading days.

CPD closed at 10.84, up 0.84% on the day. Volume was 119,330, slightly below the median of the past 21 trading days.

ZPR closed at 9.17, up 0.66% on the day. Volume was 54,700, lowest of the past 21 trading days.

Five-year Canada yields were up to 3.28%.

The pundits have a pat answer for today’s action in major markets:

U.S. and Canadian stock indexes ended the second session of the year down again in extended profit-taking on Wednesday after a strong finish to 2023, with minutes from the Federal Reserve’s December meeting failing to shake off the funk hanging over markets.

It was the first time the benchmark S&P 500 index has started the year with two straight declines since it kicked off 2015 with a three-session skid. It is also its worst two-day performance, on a percentage basis, since late-October.

The decline contrasts with the blistering run for all three major Wall Street benchmarks in the final two months of the year. The S&P 500 came within striking distance of its all-time closing high last week as signs of cooling inflation spurred investors to bet on an aggressive rate-cutting schedule.
…
As of Wednesday, implied probabilities in interest rate swaps markets suggest the Bank of Canada will start cutting interest rates in April, with 125 basis points of cuts priced in by the end of this year.

Definitely, “profit taking” is my favourite rationale for market movement!

PerpetualDiscounts now yield 6.72%, equivalent to 8.74% interest at the standard equivalency factor of 1.3x. Long corporates yielded 4.72% on 2023-12-15 and since then the closing price has changed from 15.88 to 15.33, a decline of 346bp in price, with a Duration (BMO doesn’t specify Modified or Macaulay – I will assume the former) of 12.60 implying an increase of 27bp in yield to 4.99%, so the pre-tax interest-equivalent spread (in this context, the “Seniority Spread”) has narrowed sharply to 374bp from the 430bp reported December 27.

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 0.4989 % 2,141.2
FixedFloater 0.00 % 0.00 % 0 0.00 0 0.4989 % 4,106.9
Floater 11.37 % 11.51 % 53,146 8.49 2 0.4989 % 2,366.8
OpRet 0.00 % 0.00 % 0 0.00 0 -0.1153 % 3,377.9
SplitShare 4.98 % 7.80 % 51,172 2.01 7 -0.1153 % 4,034.0
Interest-Bearing 0.00 % 0.00 % 0 0.00 0 -0.1153 % 3,147.5
Perpetual-Premium 0.00 % 0.00 % 0 0.00 0 0.8972 % 2,609.3
Perpetual-Discount 6.58 % 6.72 % 57,673 12.90 34 0.8972 % 2,845.3
FixedReset Disc 5.82 % 7.73 % 115,882 12.00 59 0.3818 % 2,255.4
Insurance Straight 6.46 % 6.63 % 76,163 13.05 20 0.6630 % 2,802.8
FloatingReset 10.65 % 10.87 % 37,177 8.92 5 0.3299 % 2,522.4
FixedReset Prem 5.90 % 6.72 % 158,677 12.55 2 -0.6711 % 2,525.2
FixedReset Bank Non 0.00 % 0.00 % 0 0.00 0 0.3818 % 2,305.5
FixedReset Ins Non 5.63 % 7.17 % 80,448 12.54 14 0.5612 % 2,525.3
Performance Highlights
Issue Index Change Notes
CU.PR.C FixedReset Disc -2.27 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-01-03
Maturity Price : 18.09
Evaluated at bid price : 18.09
Bid-YTW : 7.82 %
IFC.PR.I Insurance Straight -2.17 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-01-03
Maturity Price : 20.25
Evaluated at bid price : 20.25
Bid-YTW : 6.73 %
PVS.PR.J SplitShare -1.99 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2028-02-29
Maturity Price : 25.00
Evaluated at bid price : 22.15
Bid-YTW : 7.80 %
BN.PF.G FixedReset Disc -1.98 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-01-03
Maturity Price : 16.37
Evaluated at bid price : 16.37
Bid-YTW : 8.96 %
RY.PR.N Perpetual-Discount -1.61 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-01-03
Maturity Price : 21.40
Evaluated at bid price : 21.40
Bid-YTW : 5.81 %
BN.PF.B FixedReset Disc -1.42 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-01-03
Maturity Price : 17.33
Evaluated at bid price : 17.33
Bid-YTW : 8.62 %
CM.PR.P FixedReset Disc -1.41 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-01-03
Maturity Price : 17.44
Evaluated at bid price : 17.44
Bid-YTW : 7.75 %
NA.PR.C FixedReset Prem -1.32 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-01-03
Maturity Price : 23.40
Evaluated at bid price : 25.41
Bid-YTW : 6.72 %
BN.PR.Z FixedReset Disc -1.24 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-01-03
Maturity Price : 18.28
Evaluated at bid price : 18.28
Bid-YTW : 8.57 %
BN.PR.B Floater 1.00 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-01-03
Maturity Price : 11.11
Evaluated at bid price : 11.11
Bid-YTW : 11.51 %
BN.PR.N Perpetual-Discount 1.01 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-01-03
Maturity Price : 17.07
Evaluated at bid price : 17.07
Bid-YTW : 7.02 %
SLF.PR.E Insurance Straight 1.04 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-01-03
Maturity Price : 18.54
Evaluated at bid price : 18.54
Bid-YTW : 6.12 %
GWO.PR.H Insurance Straight 1.04 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-01-03
Maturity Price : 18.46
Evaluated at bid price : 18.46
Bid-YTW : 6.63 %
FFH.PR.M FixedReset Disc 1.06 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-01-03
Maturity Price : 21.56
Evaluated at bid price : 21.93
Bid-YTW : 8.13 %
BN.PR.R FixedReset Disc 1.07 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-01-03
Maturity Price : 14.20
Evaluated at bid price : 14.20
Bid-YTW : 9.13 %
POW.PR.G Perpetual-Discount 1.07 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-01-03
Maturity Price : 20.82
Evaluated at bid price : 20.82
Bid-YTW : 6.76 %
FFH.PR.G FixedReset Disc 1.09 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-01-03
Maturity Price : 15.77
Evaluated at bid price : 15.77
Bid-YTW : 8.76 %
PWF.PR.S Perpetual-Discount 1.11 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-01-03
Maturity Price : 18.20
Evaluated at bid price : 18.20
Bid-YTW : 6.74 %
FFH.PR.F FloatingReset 1.14 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-01-03
Maturity Price : 16.90
Evaluated at bid price : 16.90
Bid-YTW : 10.91 %
CM.PR.O FixedReset Disc 1.14 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-01-03
Maturity Price : 18.57
Evaluated at bid price : 18.57
Bid-YTW : 7.46 %
CU.PR.G Perpetual-Discount 1.16 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-01-03
Maturity Price : 17.50
Evaluated at bid price : 17.50
Bid-YTW : 6.53 %
PWF.PR.E Perpetual-Discount 1.17 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-01-03
Maturity Price : 20.70
Evaluated at bid price : 20.70
Bid-YTW : 6.79 %
GWO.PR.L Insurance Straight 1.18 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-01-03
Maturity Price : 21.50
Evaluated at bid price : 21.50
Bid-YTW : 6.63 %
SLF.PR.D Insurance Straight 1.21 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-01-03
Maturity Price : 18.40
Evaluated at bid price : 18.40
Bid-YTW : 6.10 %
POW.PR.A Perpetual-Discount 1.21 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-01-03
Maturity Price : 20.90
Evaluated at bid price : 20.90
Bid-YTW : 6.74 %
FTS.PR.I FloatingReset 1.21 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-01-03
Maturity Price : 15.00
Evaluated at bid price : 15.00
Bid-YTW : 11.19 %
SLF.PR.H FixedReset Ins Non 1.29 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-01-03
Maturity Price : 18.08
Evaluated at bid price : 18.08
Bid-YTW : 6.98 %
PVS.PR.K SplitShare 1.29 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2029-05-31
Maturity Price : 25.00
Evaluated at bid price : 22.01
Bid-YTW : 7.28 %
POW.PR.D Perpetual-Discount 1.30 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-01-03
Maturity Price : 18.77
Evaluated at bid price : 18.77
Bid-YTW : 6.70 %
PWF.PR.F Perpetual-Discount 1.33 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-01-03
Maturity Price : 19.81
Evaluated at bid price : 19.81
Bid-YTW : 6.77 %
MFC.PR.L FixedReset Ins Non 1.35 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-01-03
Maturity Price : 18.79
Evaluated at bid price : 18.79
Bid-YTW : 7.28 %
BN.PR.X FixedReset Disc 1.38 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-01-03
Maturity Price : 14.70
Evaluated at bid price : 14.70
Bid-YTW : 8.53 %
PWF.PR.L Perpetual-Discount 1.42 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-01-03
Maturity Price : 19.30
Evaluated at bid price : 19.30
Bid-YTW : 6.75 %
BN.PF.F FixedReset Disc 1.68 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-01-03
Maturity Price : 17.60
Evaluated at bid price : 17.60
Bid-YTW : 8.69 %
PWF.PF.A Perpetual-Discount 1.71 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-01-03
Maturity Price : 17.20
Evaluated at bid price : 17.20
Bid-YTW : 6.68 %
BN.PF.C Perpetual-Discount 1.76 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-01-03
Maturity Price : 17.30
Evaluated at bid price : 17.30
Bid-YTW : 7.07 %
POW.PR.C Perpetual-Discount 1.80 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-01-03
Maturity Price : 22.33
Evaluated at bid price : 22.60
Bid-YTW : 6.44 %
IFC.PR.F Insurance Straight 1.90 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-01-03
Maturity Price : 19.85
Evaluated at bid price : 19.85
Bid-YTW : 6.74 %
BN.PF.D Perpetual-Discount 1.99 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-01-03
Maturity Price : 17.40
Evaluated at bid price : 17.40
Bid-YTW : 7.11 %
MFC.PR.F FixedReset Ins Non 2.00 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-01-03
Maturity Price : 14.26
Evaluated at bid price : 14.26
Bid-YTW : 7.61 %
FFH.PR.K FixedReset Disc 2.03 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-01-03
Maturity Price : 19.09
Evaluated at bid price : 19.09
Bid-YTW : 8.44 %
CU.PR.I FixedReset Disc 2.24 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-01-03
Maturity Price : 21.47
Evaluated at bid price : 21.47
Bid-YTW : 7.85 %
BN.PR.M Perpetual-Discount 2.37 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-01-03
Maturity Price : 17.25
Evaluated at bid price : 17.25
Bid-YTW : 6.95 %
PWF.PR.Z Perpetual-Discount 2.46 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-01-03
Maturity Price : 19.55
Evaluated at bid price : 19.55
Bid-YTW : 6.73 %
PWF.PR.P FixedReset Disc 2.61 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-01-03
Maturity Price : 13.39
Evaluated at bid price : 13.39
Bid-YTW : 8.43 %
BN.PF.I FixedReset Disc 2.63 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-01-03
Maturity Price : 19.50
Evaluated at bid price : 19.50
Bid-YTW : 8.69 %
CU.PR.H Perpetual-Discount 2.64 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-01-03
Maturity Price : 20.20
Evaluated at bid price : 20.20
Bid-YTW : 6.60 %
GWO.PR.M Insurance Straight 3.22 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-01-03
Maturity Price : 22.17
Evaluated at bid price : 22.45
Bid-YTW : 6.50 %
CCS.PR.C Insurance Straight 3.52 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-01-03
Maturity Price : 18.53
Evaluated at bid price : 18.53
Bid-YTW : 6.81 %
Volume Highlights
Issue Index Shares
Traded		 Notes
BNS.PR.I FixedReset Prem 56,809 YTW SCENARIO
Maturity Type : Call
Maturity Date : 2024-02-26
Maturity Price : 25.00
Evaluated at bid price : 24.91
Bid-YTW : 5.19 %
RY.PR.Z FixedReset Disc 41,000 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-01-03
Maturity Price : 19.25
Evaluated at bid price : 19.25
Bid-YTW : 7.21 %
BN.PF.G FixedReset Disc 34,200 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-01-03
Maturity Price : 16.37
Evaluated at bid price : 16.37
Bid-YTW : 8.96 %
MFC.PR.K FixedReset Ins Non 25,635 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-01-03
Maturity Price : 21.92
Evaluated at bid price : 22.40
Bid-YTW : 6.46 %
GWO.PR.N FixedReset Ins Non 21,300 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-01-03
Maturity Price : 13.21
Evaluated at bid price : 13.21
Bid-YTW : 7.99 %
SLF.PR.H FixedReset Ins Non 20,700 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-01-03
Maturity Price : 18.08
Evaluated at bid price : 18.08
Bid-YTW : 6.98 %
There were 9 other index-included issues trading in excess of 10,000 shares.
Wide Spread Highlights
Issue Index Quote Data and Yield Notes
CU.PR.F Perpetual-Discount Quote: 17.27 – 20.00
Spot Rate : 2.7300
Average : 1.7201

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-01-03
Maturity Price : 17.27
Evaluated at bid price : 17.27
Bid-YTW : 6.61 %
BN.PR.Z FixedReset Disc Quote: 18.28 – 19.55
Spot Rate : 1.2700
Average : 0.7859

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-01-03
Maturity Price : 18.28
Evaluated at bid price : 18.28
Bid-YTW : 8.57 %
POW.PR.B Perpetual-Discount Quote: 20.02 – 21.02
Spot Rate : 1.0000
Average : 0.5841

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-01-03
Maturity Price : 20.02
Evaluated at bid price : 20.02
Bid-YTW : 6.72 %
BIK.PR.A FixedReset Disc Quote: 21.62 – 22.50
Spot Rate : 0.8800
Average : 0.5334

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-01-03
Maturity Price : 21.35
Evaluated at bid price : 21.62
Bid-YTW : 8.46 %
GWO.PR.I Insurance Straight Quote: 17.45 – 18.25
Spot Rate : 0.8000
Average : 0.4810

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-01-03
Maturity Price : 17.45
Evaluated at bid price : 17.45
Bid-YTW : 6.50 %
BN.PF.F FixedReset Disc Quote: 17.60 – 19.00
Spot Rate : 1.4000
Average : 1.1232

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-01-03
Maturity Price : 17.60
Evaluated at bid price : 17.60
Bid-YTW : 8.69 %

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