Archive for March, 2024

CWB.PR.B and CWB.PR.D To Be Extended

Thursday, March 21st, 2024

Canadian Western Bank has announced:

that it does not intend to exercise its right to redeem all or any of its currently outstanding 5,000,000 non-cumulative 5-year rate reset First Preferred Shares Series 5 (the “Series 5 Preferred Shares”) (TSX: CWB.PR.B) on April 30, 2024. As a result, subject to certain conditions described in the prospectus supplement dated February 3, 2014 relating to the issuance of the Series 5 Preferred Shares (the “Series 5 Preferred Share Prospectus”), the holders of the Series 5 Preferred Shares have the right, at their option, to convert any or all of their Series 5 Preferred Shares into an equal number of CWB’s non-cumulative floating rate First Preferred Shares Series 6 (the “Series 6 Preferred Shares”), subject to certain conditions, on April 30, 2024. In accordance with the share conditions, a formal notice of the right to convert Series 5 Preferred Shares into Series 6 Preferred Shares will be sent to the registered holders of the Series 5 Preferred Shares. Holders of Series 5 Preferred Shares are not required to elect to convert all or any part of their Series 5 Preferred Shares into Series 6 Preferred Shares. Holders who do not exercise their right to convert their Series 5 Preferred Shares into Series 6 Preferred Shares on April 30, 2024 will retain their Series 5 Preferred Shares, unless automatically converted in accordance with the conditions below.

The foregoing conversion right with respect to the Series 5 Preferred Shares is subject to the conditions that: (i) if, after April 15, 2024, CWB determines that there would be less than 500,000 Series 6 Preferred Shares outstanding on April 30, 2024, then no Series 5 Preferred Shares will be converted into Series 6 Preferred Shares, and (ii) alternatively, if, after April 15, 2024, CWB determines that there would be less than 500,000 Series 5 Preferred Shares outstanding on April 30, 2024, then all remaining Series 5 Preferred Shares will automatically be converted into an equal number of Series 6 Preferred Shares on April 30, 2024. In either case, CWB will give written notice to that effect to any registered holders of Series 5 Preferred Shares affected by the preceding minimums on or before April 23, 2024.

CWB today also announced that it does not intend to exercise its right to redeem all or any of its currently outstanding 5,000,000 non-cumulative 5-year rate reset First Preferred Shares Series 9 (Non-Viability Contingent Capital (NVCC)) (the “Series 9 Preferred Shares”) (TSX: CWB.PR.D) on April 30, 2024. As a result, subject to certain conditions described in the prospectus supplement dated January 22, 2019 relating to the issuance of the Series 9 Preferred Shares (the “Series 9 Preferred Share Prospectus”), the holders of the Series 9 Preferred Shares have the right, at their option, to convert any or all of their Series 9 Preferred Shares into an equal number of CWB’s non-cumulative floating rate First Preferred Shares Series 10 (Non-Viability Contingent Capital (NVCC)) (the “Series 10 Preferred Shares”), subject to certain conditions, on April 30, 2024. In accordance with the share conditions, a formal notice of the right to convert Series 9 Preferred Shares into Series 10 Preferred Shares will be sent to the registered holders of the Series 9 Preferred Shares. Holders of Series 9 Preferred Shares are not required to elect to convert all or any part of their Series 9 Preferred Shares into Series 10 Preferred Shares. Holders who do not exercise their right to convert their Series 9 Preferred Shares into Series 10 Preferred Shares on April 30, 2024 will retain their Series 9 Preferred Shares, unless automatically converted in accordance with the conditions below.

The foregoing conversion right with respect to the Series 9 Preferred Shares is subject to the conditions that: (i) if, after April 15, 2024, CWB determines that there would be less than 500,000 Series 10 Preferred Shares outstanding on April 30, 2024, then no Series 9 Preferred Shares will be converted into Series 10 Preferred Shares, and (ii) alternatively, if, after April 15, 2024, CWB determines that there would be less than 500,000 Series 9 Preferred Shares outstanding on April 30, 2024, then all remaining Series 9 Preferred Shares will automatically be converted into an equal number of Series 10 Preferred Shares on April 30, 2024. In either case, CWB will give written notice to that effect to any registered holders of Series 9 Preferred Shares affected by the preceding minimums on or before April 23, 2024.

The dividend rate applicable to the Series 5 Preferred Shares and the Series 9 Preferred Shares for the 5-year period commencing on May 1, 2024, and ending on and including April 30, 2029, and the dividend rate applicable to the Series 6 Preferred Shares and the Series 10 Preferred Shares for the 3-month period commencing on May 1, 2024, and ending on and including July 31, 2024, will be determined and announced by way of a news release on April 1, 2024. CWB will also give written notice of these dividend rates to the registered holders of Series 5 Preferred Shares and the Series 9 Preferred Shares, as applicable.

Beneficial owners of Series 5 Preferred Shares and Series 9 Preferred Shares who wish to exercise their right of conversion should instruct their broker or other nominee to exercise such right before 5:00 p.m. (EDT) on April 15, 2024. Conversion inquiries should be directed to CWB’s Registrar and Transfer Agent, Computershare, at 1-800-564-6253.

Subject to certain conditions described in the Series 5 Preferred Share Prospectus and the Series 9 Preferred Share Prospectus, CWB may redeem the Series 5 Preferred Shares and the Series 9 Preferred Shares, as applicable, in whole or in part, on April 30, 2029 and on April 30 every five years thereafter and may redeem the Series 6 Preferred Shares and the Series 10 Preferred Shares, as applicable, in whole or in part, after April 30, 2024.

The Toronto Stock Exchange (“TSX”) has conditionally approved the listing of the Series 6 Preferred Shares and the Series 10 Preferred Shares effective upon conversion. Listing of the Series 6 Preferred Shares is subject to CWB fulfilling all the listing requirements of the TSX and, upon approval, the Series 6 Preferred Shares will be listed on the TSX under the trading symbol “CWB.PR.E”. Listing of the Series 10 Preferred Shares is subject to CWB fulfilling all the listing requirements of the TSX and, upon approval, the Series 10 Preferred Shares will be listed on the TSX under the trading symbol “CWB.PR.F”.

The Series 5 Preferred Shares, Series 6 Preferred Shares, Series 9 Preferred Shares and Series 10 Preferred Shares have not been and will not be registered in the United States under the United States Securities Act of 1933, as amended (the “Securities Act”), or the securities laws of any state of the United States and may not be offered, sold or delivered, directly or indirectly in the United States or to, or for the account or benefit of, a “U.S. person” (as defined in Regulation S under the Securities Act) absent registration or an applicable exemption from such registration requirements. This press release does not constitute an offer to sell or a solicitation to buy securities in the United States and any public offering of the securities in the United States must be made by means of a prospectus.

CWB.PR.B was issued as a FixedReset, 4.40%+276, that commenced trading 2014-2-10 after being announced 2014-1-31. The extension was announced 2019-3-11. Itreset at 4.301% effective 2019-5-1. I recommended against conversion and there was no conversion. The issue is tracked by HIMIPref™ but relegated to the Scraps – FixedReset (Discount) index on credit concerns.

CWB.PR.D was issued as a FixedReset, 6.00%+404, NVCC-Compliant, that commenced trading 2019-1-29 after being announced 2019-01-21. It is tracked by HIMIPref™ but is relegated to the Scraps FixedReset-Discount subindex on credit concerns.

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

CM.PR.T To Be Redeemed

Thursday, March 21st, 2024

Canadian Imperial Bank of Commerce has announced:

its intention to redeem all of its issued and outstanding Non-cumulative Rate Reset Class A Preferred Shares Series 49 (Non-viability contingent capital (NVCC)) (Series 49 shares) (TSX: CM.PR.T), for cash. The redemption will occur on April 30, 2024. The redemption price is $25.00 per Series 49 share.

The $0.325000 quarterly dividend announced on February 29, 2024 will be the final dividend on the Series 49 shares and will be paid on April 29, 2024, covering the period to April 30, 2024, to shareholders of record on March 28, 2024.

Holders of the Series 49 shares should contact the financial institution, broker or other intermediary through which they hold the shares to confirm how they will receive their redemption proceeds.

CM.PR.T was issued as a FixedReset, 5.20%+331, NVCC-compliant, that commenced trading 2019-1-22 after being announced 2019-1-14. It has been tracked by HIMIPref™ and is assigned to the FixedReset (discount) subindex.

Thanks to Assiduous Readers niagara and PS for bringing this to my attention!

March 20, 2024

Wednesday, March 20th, 2024

No surprises from the Fed:

Recent indicators suggest that economic activity has been expanding at a solid pace. Job gains have remained 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.

But there was much excitement about projections:

Fed officials also released a fresh set of economic projections Wednesday. They show that central bank officials now expect fewer rate cuts in the coming years than they estimated in December. A majority of Fed policymakers continue to expect three rate cuts this year, but they now see fewer in 2025 and 2026. They expect interest rates in the longer run to be slightly higher than they projected in December.

Which, claim some pundits, was considered to be good news:

Stocks added to gains after Fed Chair Jerome Powell said in a press conference that despite recent inflation data coming in hotter than expected, the numbers “haven’t really changed the overall story, which is that of inflation moving down gradually, on a somewhat bumpy road.”

Strategists said Wall Street was reassured by Powell’s comments on inflation and the labor market and his signal that the Fed will slow the pace of its drawdown of bond holdings.

The Dow Jones Industrial Average rose 401.37 points, or 1.03%, to 39,512.13, the S&P 500 gained 46.11 points, or 0.89%, to 5,224.62 and the Nasdaq Composite gained 202.62 points, or 1.25%, to 16,369.41.

The Toronto Stock Exchange’s S&P/TSX composite index ended up 185.13 points, or 0.9%, at 22,045.71, stopping just short of the record closing high it posted in March 2022 at 22,087.22.

The Fed’s dotplot suggests that many of those who have expectations of the GOC-5 being below 2% in the immediate future are going to be disappointed.

PerpetualDiscounts now yield 6.66%, equivalent to 8.66% interest at the standard equivalency factor of 1.3x. Long corporates yielded 5.12% on 2024-3-15 and since then the closing price of ZLC has changed from 14.95 to 14.99, an increase of 27bp in price, implying a decline of yields of 2bp (BMO reports a duration of 12.38, but don’t disclose whether this is Macaulay or Modified; I will assume Modified) to 5.10%. Therefore, the pre-tax interest-equivalent spread (in this context, the “Seniority Spread”) has narrowed to 355bp from the 365bp reported March 13.

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 -0.6531 % 2,324.2
FixedFloater 0.00 % 0.00 % 0 0.00 0 -0.6531 % 4,457.7
Floater 10.35 % 10.44 % 40,741 9.25 1 -0.6531 % 2,569.0
OpRet 0.00 % 0.00 % 0 0.00 0 0.1379 % 3,429.7
SplitShare 4.91 % 7.05 % 40,272 1.83 7 0.1379 % 4,095.7
Interest-Bearing 0.00 % 0.00 % 0 0.00 0 0.1379 % 3,195.7
Perpetual-Premium 0.00 % 0.00 % 0 0.00 0 0.0946 % 2,663.0
Perpetual-Discount 6.45 % 6.66 % 46,310 12.91 31 0.0946 % 2,903.8
FixedReset Disc 5.38 % 7.30 % 106,679 12.06 59 0.2645 % 2,456.0
Insurance Straight 6.33 % 6.49 % 50,895 13.27 22 -0.1016 % 2,840.1
FloatingReset 9.96 % 10.16 % 32,314 9.45 3 0.1134 % 2,595.0
FixedReset Prem 6.93 % 6.85 % 160,876 3.18 1 0.0000 % 2,520.3
FixedReset Bank Non 0.00 % 0.00 % 0 0.00 0 0.2645 % 2,510.5
FixedReset Ins Non 5.43 % 7.19 % 73,726 12.49 14 1.0627 % 2,616.2
Performance Highlights
Issue Index Change Notes
SLF.PR.C Insurance Straight -3.70 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-03-20
Maturity Price : 17.72
Evaluated at bid price : 17.72
Bid-YTW : 6.31 %
GWO.PR.G Insurance Straight -2.75 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-03-20
Maturity Price : 19.45
Evaluated at bid price : 19.45
Bid-YTW : 6.72 %
BIP.PR.A FixedReset Disc -2.72 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-03-20
Maturity Price : 18.25
Evaluated at bid price : 18.25
Bid-YTW : 9.58 %
RY.PR.N Perpetual-Discount -2.65 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-03-20
Maturity Price : 21.72
Evaluated at bid price : 22.00
Bid-YTW : 5.62 %
PWF.PR.P FixedReset Disc -1.03 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-03-20
Maturity Price : 14.40
Evaluated at bid price : 14.40
Bid-YTW : 8.52 %
PWF.PR.G Perpetual-Discount 1.07 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-03-20
Maturity Price : 22.33
Evaluated at bid price : 22.60
Bid-YTW : 6.63 %
POW.PR.C Perpetual-Discount 1.11 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-03-20
Maturity Price : 22.49
Evaluated at bid price : 22.75
Bid-YTW : 6.50 %
BN.PR.X FixedReset Disc 1.12 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-03-20
Maturity Price : 15.40
Evaluated at bid price : 15.40
Bid-YTW : 8.63 %
FTS.PR.G FixedReset Disc 1.15 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-03-20
Maturity Price : 21.10
Evaluated at bid price : 21.10
Bid-YTW : 7.09 %
FTS.PR.H FixedReset Disc 1.23 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-03-20
Maturity Price : 14.84
Evaluated at bid price : 14.84
Bid-YTW : 8.30 %
IFC.PR.E Insurance Straight 1.24 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-03-20
Maturity Price : 20.35
Evaluated at bid price : 20.35
Bid-YTW : 6.42 %
FTS.PR.F Perpetual-Discount 1.28 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-03-20
Maturity Price : 19.85
Evaluated at bid price : 19.85
Bid-YTW : 6.24 %
MFC.PR.F FixedReset Ins Non 1.28 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-03-20
Maturity Price : 15.01
Evaluated at bid price : 15.01
Bid-YTW : 7.84 %
CM.PR.O FixedReset Disc 1.30 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-03-20
Maturity Price : 22.42
Evaluated at bid price : 23.30
Bid-YTW : 6.43 %
CU.PR.I FixedReset Disc 1.35 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-03-20
Maturity Price : 22.17
Evaluated at bid price : 22.50
Bid-YTW : 7.91 %
NA.PR.S FixedReset Disc 1.36 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-03-20
Maturity Price : 21.87
Evaluated at bid price : 22.35
Bid-YTW : 6.90 %
BMO.PR.W FixedReset Disc 1.36 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-03-20
Maturity Price : 21.82
Evaluated at bid price : 22.30
Bid-YTW : 6.60 %
MFC.PR.J FixedReset Ins Non 1.57 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-03-20
Maturity Price : 22.16
Evaluated at bid price : 22.70
Bid-YTW : 6.93 %
BN.PF.I FixedReset Disc 1.73 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-03-20
Maturity Price : 20.00
Evaluated at bid price : 20.00
Bid-YTW : 8.87 %
FFH.PR.G FixedReset Disc 1.78 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-03-20
Maturity Price : 17.20
Evaluated at bid price : 17.20
Bid-YTW : 8.62 %
SLF.PR.H FixedReset Ins Non 1.90 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-03-20
Maturity Price : 18.80
Evaluated at bid price : 18.80
Bid-YTW : 7.19 %
GWO.PR.N FixedReset Ins Non 2.06 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-03-20
Maturity Price : 13.84
Evaluated at bid price : 13.84
Bid-YTW : 8.33 %
BN.PR.Z FixedReset Disc 2.83 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-03-20
Maturity Price : 19.65
Evaluated at bid price : 19.65
Bid-YTW : 8.33 %
IFC.PR.A FixedReset Ins Non 6.88 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-03-20
Maturity Price : 18.80
Evaluated at bid price : 18.80
Bid-YTW : 7.05 %
Volume Highlights
Issue Index Shares
Traded
Notes
RY.PR.H FixedReset Disc 170,097 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-03-20
Maturity Price : 21.60
Evaluated at bid price : 21.60
Bid-YTW : 6.93 %
CM.PR.O FixedReset Disc 65,263 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-03-20
Maturity Price : 22.42
Evaluated at bid price : 23.30
Bid-YTW : 6.43 %
TD.PF.L FixedReset Disc 61,800 YTW SCENARIO
Maturity Type : Call
Maturity Date : 2024-04-30
Maturity Price : 25.00
Evaluated at bid price : 25.17
Bid-YTW : 5.25 %
SLF.PR.G FixedReset Ins Non 60,700 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-03-20
Maturity Price : 15.00
Evaluated at bid price : 15.00
Bid-YTW : 8.09 %
MFC.PR.F FixedReset Ins Non 56,000 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-03-20
Maturity Price : 15.01
Evaluated at bid price : 15.01
Bid-YTW : 7.84 %
SLF.PR.J FloatingReset 50,800 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-03-20
Maturity Price : 15.97
Evaluated at bid price : 15.97
Bid-YTW : 10.16 %
There were 18 other index-included issues trading in excess of 10,000 shares.
Wide Spread Highlights
Issue Index Quote Data and Yield Notes
BN.PF.G FixedReset Disc Quote: 17.05 – 17.95
Spot Rate : 0.9000
Average : 0.5720

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-03-20
Maturity Price : 17.05
Evaluated at bid price : 17.05
Bid-YTW : 9.20 %

BN.PF.F FixedReset Disc Quote: 19.00 – 20.00
Spot Rate : 1.0000
Average : 0.6779

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-03-20
Maturity Price : 19.00
Evaluated at bid price : 19.00
Bid-YTW : 8.60 %

CU.PR.E Perpetual-Discount Quote: 18.96 – 19.78
Spot Rate : 0.8200
Average : 0.5162

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-03-20
Maturity Price : 18.96
Evaluated at bid price : 18.96
Bid-YTW : 6.54 %

GWO.PR.G Insurance Straight Quote: 19.45 – 20.21
Spot Rate : 0.7600
Average : 0.4806

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-03-20
Maturity Price : 19.45
Evaluated at bid price : 19.45
Bid-YTW : 6.72 %

BIP.PR.A FixedReset Disc Quote: 18.25 – 18.95
Spot Rate : 0.7000
Average : 0.4394

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-03-20
Maturity Price : 18.25
Evaluated at bid price : 18.25
Bid-YTW : 9.58 %

SLF.PR.C Insurance Straight Quote: 17.72 – 19.10
Spot Rate : 1.3800
Average : 1.1422

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-03-20
Maturity Price : 17.72
Evaluated at bid price : 17.72
Bid-YTW : 6.31 %

March 19, 2024

Tuesday, March 19th, 2024
HIMIPref™ Preferred Indices
These values reflect the December 2008 revision of the HIMIPref™ Indices

Values are provisional and are finalized monthly
Index Mean
Current
Yield
(at bid)
Median
YTW
Median
Average
Trading
Value
Median
Mod Dur
(YTW)
Issues Day’s Perf. Index Value
Ratchet 0.00 % 0.00 % 0 0.00 0 1.6598 % 2,339.4
FixedFloater 0.00 % 0.00 % 0 0.00 0 1.6598 % 4,487.0
Floater 10.29 % 10.37 % 39,708 9.30 1 1.6598 % 2,585.9
OpRet 0.00 % 0.00 % 0 0.00 0 0.2223 % 3,424.9
SplitShare 4.92 % 7.07 % 39,991 1.83 7 0.2223 % 4,090.1
Interest-Bearing 0.00 % 0.00 % 0 0.00 0 0.2223 % 3,191.3
Perpetual-Premium 0.00 % 0.00 % 0 0.00 0 0.1945 % 2,660.5
Perpetual-Discount 6.46 % 6.67 % 48,116 12.91 31 0.1945 % 2,901.1
FixedReset Disc 5.39 % 7.30 % 99,119 12.07 59 0.2466 % 2,449.5
Insurance Straight 6.32 % 6.49 % 50,772 13.27 22 0.2895 % 2,843.0
FloatingReset 9.97 % 10.16 % 29,910 9.45 3 0.6276 % 2,592.1
FixedReset Prem 6.93 % 6.84 % 163,123 3.18 1 0.0000 % 2,520.3
FixedReset Bank Non 0.00 % 0.00 % 0 0.00 0 0.2466 % 2,503.9
FixedReset Ins Non 5.49 % 7.48 % 68,766 12.42 14 -0.3493 % 2,588.7
Performance Highlights
Issue Index Change Notes
IFC.PR.A FixedReset Ins Non -6.09 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-03-19
Maturity Price : 17.59
Evaluated at bid price : 17.59
Bid-YTW : 7.53 %
FTS.PR.F Perpetual-Discount -1.26 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-03-19
Maturity Price : 19.60
Evaluated at bid price : 19.60
Bid-YTW : 6.32 %
GWO.PR.N FixedReset Ins Non -1.02 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-03-19
Maturity Price : 13.56
Evaluated at bid price : 13.56
Bid-YTW : 8.49 %
BIP.PR.F FixedReset Disc 1.02 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-03-19
Maturity Price : 20.82
Evaluated at bid price : 20.82
Bid-YTW : 7.93 %
MFC.PR.M FixedReset Ins Non 1.02 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-03-19
Maturity Price : 19.80
Evaluated at bid price : 19.80
Bid-YTW : 7.59 %
FTS.PR.H FixedReset Disc 1.03 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-03-19
Maturity Price : 14.66
Evaluated at bid price : 14.66
Bid-YTW : 8.40 %
PWF.PR.P FixedReset Disc 1.04 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-03-19
Maturity Price : 14.55
Evaluated at bid price : 14.55
Bid-YTW : 8.44 %
FTS.PR.I FloatingReset 1.19 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-03-19
Maturity Price : 16.22
Evaluated at bid price : 16.22
Bid-YTW : 10.16 %
BMO.PR.W FixedReset Disc 1.38 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-03-19
Maturity Price : 21.62
Evaluated at bid price : 22.00
Bid-YTW : 6.70 %
GWO.PR.Y Insurance Straight 1.45 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-03-19
Maturity Price : 17.55
Evaluated at bid price : 17.55
Bid-YTW : 6.44 %
BMO.PR.Y FixedReset Disc 1.61 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-03-19
Maturity Price : 21.67
Evaluated at bid price : 22.10
Bid-YTW : 6.96 %
NA.PR.G FixedReset Disc 1.65 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-03-19
Maturity Price : 23.26
Evaluated at bid price : 25.21
Bid-YTW : 6.61 %
BN.PR.B Floater 1.66 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-03-19
Maturity Price : 12.25
Evaluated at bid price : 12.25
Bid-YTW : 10.37 %
BN.PF.J FixedReset Disc 1.67 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-03-19
Maturity Price : 21.25
Evaluated at bid price : 21.25
Bid-YTW : 7.87 %
BMO.PR.T FixedReset Disc 2.03 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-03-19
Maturity Price : 22.05
Evaluated at bid price : 22.65
Bid-YTW : 6.55 %
SLF.PR.C Insurance Straight 3.84 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-03-19
Maturity Price : 18.40
Evaluated at bid price : 18.40
Bid-YTW : 6.08 %
Volume Highlights
Issue Index Shares
Traded
Notes
TD.PF.L FixedReset Disc 193,130 YTW SCENARIO
Maturity Type : Call
Maturity Date : 2024-04-30
Maturity Price : 25.00
Evaluated at bid price : 25.17
Bid-YTW : 5.12 %
CM.PR.O FixedReset Disc 117,500 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-03-19
Maturity Price : 22.26
Evaluated at bid price : 23.00
Bid-YTW : 6.52 %
CM.PR.T FixedReset Disc 91,368 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-03-19
Maturity Price : 23.92
Evaluated at bid price : 24.93
Bid-YTW : 7.08 %
TD.PF.B FixedReset Disc 70,400 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-03-19
Maturity Price : 22.53
Evaluated at bid price : 23.51
Bid-YTW : 6.35 %
RY.PR.M FixedReset Disc 56,900 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-03-19
Maturity Price : 21.31
Evaluated at bid price : 21.60
Bid-YTW : 6.96 %
SLF.PR.H FixedReset Ins Non 50,000 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-03-19
Maturity Price : 18.45
Evaluated at bid price : 18.45
Bid-YTW : 7.32 %
There were 12 other index-included issues trading in excess of 10,000 shares.
Wide Spread Highlights
Issue Index Quote Data and Yield Notes
BMO.PR.Y FixedReset Disc Quote: 22.10 – 25.08
Spot Rate : 2.9800
Average : 2.4412

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-03-19
Maturity Price : 21.67
Evaluated at bid price : 22.10
Bid-YTW : 6.96 %

IFC.PR.A FixedReset Ins Non Quote: 17.59 – 18.85
Spot Rate : 1.2600
Average : 0.7994

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-03-19
Maturity Price : 17.59
Evaluated at bid price : 17.59
Bid-YTW : 7.53 %

BN.PR.X FixedReset Disc Quote: 15.23 – 16.15
Spot Rate : 0.9200
Average : 0.7349

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-03-19
Maturity Price : 15.23
Evaluated at bid price : 15.23
Bid-YTW : 8.72 %

POW.PR.B Perpetual-Discount Quote: 20.55 – 21.00
Spot Rate : 0.4500
Average : 0.2740

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-03-19
Maturity Price : 20.55
Evaluated at bid price : 20.55
Bid-YTW : 6.65 %

FFH.PR.G FixedReset Disc Quote: 16.90 – 17.40
Spot Rate : 0.5000
Average : 0.3296

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-03-19
Maturity Price : 16.90
Evaluated at bid price : 16.90
Bid-YTW : 8.77 %

BN.PF.I FixedReset Disc Quote: 19.66 – 20.45
Spot Rate : 0.7900
Average : 0.6243

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-03-19
Maturity Price : 19.66
Evaluated at bid price : 19.66
Bid-YTW : 9.02 %

March 18, 2024

Monday, March 18th, 2024
HIMIPref™ Preferred Indices
These values reflect the December 2008 revision of the HIMIPref™ Indices

Values are provisional and are finalized monthly
Index Mean
Current
Yield
(at bid)
Median
YTW
Median
Average
Trading
Value
Median
Mod Dur
(YTW)
Issues Day’s Perf. Index Value
Ratchet 0.00 % 0.00 % 0 0.00 0 -1.3104 % 2,301.2
FixedFloater 0.00 % 0.00 % 0 0.00 0 -1.3104 % 4,413.8
Floater 10.46 % 10.54 % 40,114 9.18 1 -1.3104 % 2,543.7
OpRet 0.00 % 0.00 % 0 0.00 0 0.1685 % 3,417.3
SplitShare 4.93 % 7.14 % 40,262 1.83 7 0.1685 % 4,081.0
Interest-Bearing 0.00 % 0.00 % 0 0.00 0 0.1685 % 3,184.2
Perpetual-Premium 0.00 % 0.00 % 0 0.00 0 0.0638 % 2,655.3
Perpetual-Discount 6.47 % 6.70 % 48,553 12.89 31 0.0638 % 2,895.5
FixedReset Disc 5.41 % 7.31 % 100,971 12.07 59 0.0653 % 2,443.5
Insurance Straight 6.34 % 6.50 % 50,322 13.25 22 -0.2610 % 2,834.8
FloatingReset 10.03 % 10.17 % 31,132 9.45 3 -0.7737 % 2,575.9
FixedReset Prem 6.93 % 6.84 % 162,645 3.19 1 0.0394 % 2,520.3
FixedReset Bank Non 0.00 % 0.00 % 0 0.00 0 0.0653 % 2,497.8
FixedReset Ins Non 5.47 % 7.31 % 70,547 12.43 14 -0.1039 % 2,597.7
Performance Highlights
Issue Index Change Notes
BN.PR.X FixedReset Disc -3.30 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-03-18
Maturity Price : 15.23
Evaluated at bid price : 15.23
Bid-YTW : 8.72 %
BN.PR.Z FixedReset Disc -3.24 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-03-18
Maturity Price : 19.11
Evaluated at bid price : 19.11
Bid-YTW : 8.56 %
GWO.PR.Y Insurance Straight -2.54 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-03-18
Maturity Price : 17.30
Evaluated at bid price : 17.30
Bid-YTW : 6.54 %
SLF.PR.H FixedReset Ins Non -1.86 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-03-18
Maturity Price : 18.45
Evaluated at bid price : 18.45
Bid-YTW : 7.31 %
GWO.PR.I Insurance Straight -1.46 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-03-18
Maturity Price : 17.49
Evaluated at bid price : 17.49
Bid-YTW : 6.47 %
FFH.PR.D FloatingReset -1.44 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-03-18
Maturity Price : 20.60
Evaluated at bid price : 20.60
Bid-YTW : 10.00 %
BN.PR.B Floater -1.31 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-03-18
Maturity Price : 12.05
Evaluated at bid price : 12.05
Bid-YTW : 10.54 %
CCS.PR.C Insurance Straight -1.07 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-03-18
Maturity Price : 18.55
Evaluated at bid price : 18.55
Bid-YTW : 6.78 %
FFH.PR.C FixedReset Disc -1.02 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-03-18
Maturity Price : 20.30
Evaluated at bid price : 20.30
Bid-YTW : 8.36 %
BN.PR.R FixedReset Disc 1.08 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-03-18
Maturity Price : 14.95
Evaluated at bid price : 14.95
Bid-YTW : 9.26 %
FFH.PR.I FixedReset Disc 1.14 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-03-18
Maturity Price : 17.70
Evaluated at bid price : 17.70
Bid-YTW : 8.70 %
RY.PR.O Perpetual-Discount 1.16 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-03-18
Maturity Price : 22.48
Evaluated at bid price : 22.76
Bid-YTW : 5.43 %
TD.PF.E FixedReset Disc 1.36 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-03-18
Maturity Price : 21.87
Evaluated at bid price : 22.40
Bid-YTW : 7.01 %
GWO.PR.T Insurance Straight 1.54 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-03-18
Maturity Price : 19.80
Evaluated at bid price : 19.80
Bid-YTW : 6.54 %
CM.PR.Q FixedReset Disc 1.98 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-03-18
Maturity Price : 21.69
Evaluated at bid price : 22.13
Bid-YTW : 7.01 %
Volume Highlights
Issue Index Shares
Traded
Notes
TD.PF.I FixedReset Disc 140,000 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-03-18
Maturity Price : 23.09
Evaluated at bid price : 24.45
Bid-YTW : 6.82 %
SLF.PR.G FixedReset Ins Non 128,000 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-03-18
Maturity Price : 14.76
Evaluated at bid price : 14.76
Bid-YTW : 8.21 %
RY.PR.H FixedReset Disc 104,000 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-03-18
Maturity Price : 21.37
Evaluated at bid price : 21.65
Bid-YTW : 6.90 %
TD.PF.B FixedReset Disc 102,000 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-03-18
Maturity Price : 22.57
Evaluated at bid price : 23.60
Bid-YTW : 6.33 %
MFC.PR.J FixedReset Ins Non 82,800 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-03-18
Maturity Price : 21.90
Evaluated at bid price : 22.30
Bid-YTW : 7.06 %
BMO.PR.T FixedReset Disc 38,500 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-03-18
Maturity Price : 21.76
Evaluated at bid price : 22.20
Bid-YTW : 6.69 %
There were 10 other index-included issues trading in excess of 10,000 shares.
Wide Spread Highlights
Issue Index Quote Data and Yield Notes
BMO.PR.Y FixedReset Disc Quote: 21.75 – 25.08
Spot Rate : 3.3300
Average : 1.8505

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-03-18
Maturity Price : 21.42
Evaluated at bid price : 21.75
Bid-YTW : 7.07 %

GWO.PR.Y Insurance Straight Quote: 17.30 – 18.15
Spot Rate : 0.8500
Average : 0.6216

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-03-18
Maturity Price : 17.30
Evaluated at bid price : 17.30
Bid-YTW : 6.54 %

GWO.PR.I Insurance Straight Quote: 17.49 – 18.10
Spot Rate : 0.6100
Average : 0.3845

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-03-18
Maturity Price : 17.49
Evaluated at bid price : 17.49
Bid-YTW : 6.47 %

BMO.PR.T FixedReset Disc Quote: 22.20 – 22.80
Spot Rate : 0.6000
Average : 0.3748

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-03-18
Maturity Price : 21.76
Evaluated at bid price : 22.20
Bid-YTW : 6.69 %

BN.PR.X FixedReset Disc Quote: 15.23 – 15.98
Spot Rate : 0.7500
Average : 0.5319

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-03-18
Maturity Price : 15.23
Evaluated at bid price : 15.23
Bid-YTW : 8.72 %

BN.PR.Z FixedReset Disc Quote: 19.11 – 19.76
Spot Rate : 0.6500
Average : 0.4638

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-03-18
Maturity Price : 19.11
Evaluated at bid price : 19.11
Bid-YTW : 8.56 %

March 15, 2024

Friday, March 15th, 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 2.7778 % 2,331.8
FixedFloater 0.00 % 0.00 % 0 0.00 0 2.7778 % 4,472.4
Floater 10.32 % 10.39 % 41,676 9.29 1 2.7778 % 2,577.5
OpRet 0.00 % 0.00 % 0 0.00 0 0.1567 % 3,411.6
SplitShare 4.93 % 7.11 % 40,593 1.84 7 0.1567 % 4,074.2
Interest-Bearing 0.00 % 0.00 % 0 0.00 0 0.1567 % 3,178.8
Perpetual-Premium 0.00 % 0.00 % 0 0.00 0 0.7961 % 2,653.6
Perpetual-Discount 6.48 % 6.70 % 47,778 12.89 31 0.7961 % 2,893.6
FixedReset Disc 5.41 % 7.28 % 101,496 12.12 59 0.4878 % 2,441.9
Insurance Straight 6.33 % 6.49 % 51,969 13.27 22 0.3198 % 2,842.2
FloatingReset 9.94 % 10.07 % 30,740 9.54 3 0.2080 % 2,596.0
FixedReset Prem 6.93 % 6.83 % 163,321 3.20 1 0.1976 % 2,519.3
FixedReset Bank Non 0.00 % 0.00 % 0 0.00 0 0.4878 % 2,496.1
FixedReset Ins Non 5.46 % 7.19 % 71,121 12.47 14 0.3913 % 2,600.4
Performance Highlights
Issue Index Change Notes
NA.PR.G FixedReset Disc -1.78 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-03-15
Maturity Price : 23.12
Evaluated at bid price : 24.80
Bid-YTW : 6.70 %
BN.PR.T FixedReset Disc -1.58 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-03-15
Maturity Price : 14.96
Evaluated at bid price : 14.96
Bid-YTW : 9.19 %
BIP.PR.F FixedReset Disc -1.58 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-03-15
Maturity Price : 20.57
Evaluated at bid price : 20.57
Bid-YTW : 7.98 %
POW.PR.C Perpetual-Discount -1.54 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-03-15
Maturity Price : 22.17
Evaluated at bid price : 22.45
Bid-YTW : 6.58 %
BN.PF.E FixedReset Disc -1.45 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-03-15
Maturity Price : 16.36
Evaluated at bid price : 16.36
Bid-YTW : 9.25 %
FFH.PR.K FixedReset Disc 1.05 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-03-15
Maturity Price : 20.27
Evaluated at bid price : 20.27
Bid-YTW : 8.30 %
BN.PF.D Perpetual-Discount 1.18 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-03-15
Maturity Price : 18.06
Evaluated at bid price : 18.06
Bid-YTW : 6.82 %
GWO.PR.H Insurance Straight 1.24 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-03-15
Maturity Price : 18.75
Evaluated at bid price : 18.75
Bid-YTW : 6.50 %
RY.PR.M FixedReset Disc 1.37 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-03-15
Maturity Price : 21.44
Evaluated at bid price : 21.44
Bid-YTW : 6.97 %
TD.PF.E FixedReset Disc 1.38 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-03-15
Maturity Price : 21.67
Evaluated at bid price : 22.10
Bid-YTW : 7.06 %
RY.PR.J FixedReset Disc 1.42 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-03-15
Maturity Price : 21.68
Evaluated at bid price : 22.11
Bid-YTW : 7.02 %
BN.PF.C Perpetual-Discount 1.58 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-03-15
Maturity Price : 17.98
Evaluated at bid price : 17.98
Bid-YTW : 6.78 %
RY.PR.O Perpetual-Discount 1.63 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-03-15
Maturity Price : 22.20
Evaluated at bid price : 22.50
Bid-YTW : 5.48 %
SLF.PR.G FixedReset Ins Non 1.64 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-03-15
Maturity Price : 14.88
Evaluated at bid price : 14.88
Bid-YTW : 8.08 %
SLF.PR.H FixedReset Ins Non 1.90 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-03-15
Maturity Price : 18.80
Evaluated at bid price : 18.80
Bid-YTW : 7.14 %
BIP.PR.A FixedReset Disc 2.20 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-03-15
Maturity Price : 18.55
Evaluated at bid price : 18.55
Bid-YTW : 9.37 %
BN.PR.B Floater 2.78 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-03-15
Maturity Price : 12.21
Evaluated at bid price : 12.21
Bid-YTW : 10.39 %
BN.PR.Z FixedReset Disc 3.35 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-03-15
Maturity Price : 19.75
Evaluated at bid price : 19.75
Bid-YTW : 8.24 %
BN.PF.J FixedReset Disc 3.36 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-03-15
Maturity Price : 20.90
Evaluated at bid price : 20.90
Bid-YTW : 7.95 %
TD.PF.A FixedReset Disc 11.22 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-03-15
Maturity Price : 22.13
Evaluated at bid price : 22.80
Bid-YTW : 6.44 %
RY.PR.N Perpetual-Discount 20.47 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-03-15
Maturity Price : 22.31
Evaluated at bid price : 22.60
Bid-YTW : 5.46 %
Volume Highlights
Issue Index Shares
Traded
Notes
TD.PF.L FixedReset Disc 581,291 YTW SCENARIO
Maturity Type : Call
Maturity Date : 2024-04-30
Maturity Price : 25.00
Evaluated at bid price : 25.16
Bid-YTW : 4.99 %
CM.PR.O FixedReset Disc 90,700 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-03-15
Maturity Price : 22.11
Evaluated at bid price : 22.75
Bid-YTW : 6.55 %
IFC.PR.A FixedReset Ins Non 66,481 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-03-15
Maturity Price : 18.65
Evaluated at bid price : 18.65
Bid-YTW : 7.06 %
RY.PR.J FixedReset Disc 49,497 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-03-15
Maturity Price : 21.68
Evaluated at bid price : 22.11
Bid-YTW : 7.02 %
SLF.PR.G FixedReset Ins Non 15,200 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-03-15
Maturity Price : 14.88
Evaluated at bid price : 14.88
Bid-YTW : 8.08 %
MFC.PR.N FixedReset Ins Non 12,300 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-03-15
Maturity Price : 19.30
Evaluated at bid price : 19.30
Bid-YTW : 7.58 %
There were 3 other index-included issues trading in excess of 10,000 shares.
Wide Spread Highlights
Issue Index Quote Data and Yield Notes
NA.PR.E FixedReset Disc Quote: 22.50 – 23.75
Spot Rate : 1.2500
Average : 0.7896

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-03-15
Maturity Price : 22.02
Evaluated at bid price : 22.50
Bid-YTW : 6.88 %

SLF.PR.C Insurance Straight Quote: 17.72 – 19.10
Spot Rate : 1.3800
Average : 1.0917

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-03-15
Maturity Price : 17.72
Evaluated at bid price : 17.72
Bid-YTW : 6.31 %

NA.PR.G FixedReset Disc Quote: 24.80 – 25.36
Spot Rate : 0.5600
Average : 0.3438

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-03-15
Maturity Price : 23.12
Evaluated at bid price : 24.80
Bid-YTW : 6.70 %

GWO.PR.T Insurance Straight Quote: 19.50 – 20.59
Spot Rate : 1.0900
Average : 0.8753

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-03-15
Maturity Price : 19.50
Evaluated at bid price : 19.50
Bid-YTW : 6.63 %

CM.PR.Q FixedReset Disc Quote: 21.70 – 22.40
Spot Rate : 0.7000
Average : 0.5254

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-03-15
Maturity Price : 21.39
Evaluated at bid price : 21.70
Bid-YTW : 7.10 %

BIP.PR.F FixedReset Disc Quote: 20.57 – 21.35
Spot Rate : 0.7800
Average : 0.6063

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-03-15
Maturity Price : 20.57
Evaluated at bid price : 20.57
Bid-YTW : 7.98 %

March 14, 2024

Thursday, March 14th, 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 -4.1935 % 2,268.8
FixedFloater 0.00 % 0.00 % 0 0.00 0 -4.1935 % 4,351.5
Floater 10.61 % 10.68 % 42,211 9.09 1 -4.1935 % 2,507.8
OpRet 0.00 % 0.00 % 0 0.00 0 0.0000 % 3,406.3
SplitShare 4.94 % 7.29 % 42,253 1.84 7 0.0000 % 4,067.8
Interest-Bearing 0.00 % 0.00 % 0 0.00 0 0.0000 % 3,173.9
Perpetual-Premium 0.00 % 0.00 % 0 0.00 0 -0.8903 % 2,632.6
Perpetual-Discount 6.53 % 6.71 % 47,317 12.89 31 -0.8903 % 2,870.8
FixedReset Disc 5.44 % 7.06 % 103,300 12.38 59 -0.4469 % 2,430.1
Insurance Straight 6.35 % 6.50 % 52,557 13.26 22 -0.8775 % 2,833.2
FloatingReset 9.96 % 10.14 % 31,989 9.49 3 -0.3956 % 2,590.6
FixedReset Prem 6.94 % 6.86 % 164,542 12.47 1 0.4766 % 2,514.4
FixedReset Bank Non 0.00 % 0.00 % 0 0.00 0 -0.4469 % 2,484.0
FixedReset Ins Non 5.49 % 7.05 % 72,279 12.63 14 0.0783 % 2,590.3
Performance Highlights
Issue Index Change Notes
RY.PR.N Perpetual-Discount -15.50 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-03-14
Maturity Price : 18.76
Evaluated at bid price : 18.76
Bid-YTW : 6.61 %
SLF.PR.C Insurance Straight -7.13 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-03-14
Maturity Price : 17.72
Evaluated at bid price : 17.72
Bid-YTW : 6.30 %
BN.PR.B Floater -4.19 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-03-14
Maturity Price : 11.88
Evaluated at bid price : 11.88
Bid-YTW : 10.68 %
GWO.PR.T Insurance Straight -2.50 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-03-14
Maturity Price : 19.50
Evaluated at bid price : 19.50
Bid-YTW : 6.63 %
BN.PR.Z FixedReset Disc -2.30 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-03-14
Maturity Price : 19.11
Evaluated at bid price : 19.11
Bid-YTW : 8.32 %
RY.PR.O Perpetual-Discount -2.04 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-03-14
Maturity Price : 21.86
Evaluated at bid price : 22.14
Bid-YTW : 5.58 %
BN.PF.I FixedReset Disc -2.03 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-03-14
Maturity Price : 19.66
Evaluated at bid price : 19.66
Bid-YTW : 8.78 %
CM.PR.Q FixedReset Disc -1.59 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-03-14
Maturity Price : 21.39
Evaluated at bid price : 21.70
Bid-YTW : 6.90 %
CU.PR.C FixedReset Disc -1.58 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-03-14
Maturity Price : 19.33
Evaluated at bid price : 19.33
Bid-YTW : 7.47 %
CU.PR.I FixedReset Disc -1.56 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-03-14
Maturity Price : 21.70
Evaluated at bid price : 22.15
Bid-YTW : 7.78 %
RY.PR.Z FixedReset Disc -1.50 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-03-14
Maturity Price : 21.36
Evaluated at bid price : 21.63
Bid-YTW : 6.61 %
GWO.PR.H Insurance Straight -1.49 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-03-14
Maturity Price : 18.52
Evaluated at bid price : 18.52
Bid-YTW : 6.58 %
MFC.PR.C Insurance Straight -1.49 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-03-14
Maturity Price : 18.52
Evaluated at bid price : 18.52
Bid-YTW : 6.11 %
SLF.PR.D Insurance Straight -1.43 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-03-14
Maturity Price : 18.58
Evaluated at bid price : 18.58
Bid-YTW : 6.01 %
CCS.PR.C Insurance Straight -1.38 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-03-14
Maturity Price : 18.59
Evaluated at bid price : 18.59
Bid-YTW : 6.75 %
SLF.PR.J FloatingReset -1.30 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-03-14
Maturity Price : 15.95
Evaluated at bid price : 15.95
Bid-YTW : 10.14 %
CU.PR.E Perpetual-Discount -1.16 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-03-14
Maturity Price : 18.79
Evaluated at bid price : 18.79
Bid-YTW : 6.59 %
BN.PF.J FixedReset Disc -1.15 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-03-14
Maturity Price : 20.22
Evaluated at bid price : 20.22
Bid-YTW : 8.04 %
BIP.PR.E FixedReset Disc -1.04 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-03-14
Maturity Price : 20.92
Evaluated at bid price : 20.92
Bid-YTW : 7.81 %
CM.PR.O FixedReset Disc -1.01 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-03-14
Maturity Price : 22.02
Evaluated at bid price : 22.60
Bid-YTW : 6.38 %
NA.PR.G FixedReset Disc 1.00 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-03-14
Maturity Price : 23.27
Evaluated at bid price : 25.25
Bid-YTW : 6.41 %
BN.PF.E FixedReset Disc 1.16 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-03-14
Maturity Price : 16.60
Evaluated at bid price : 16.60
Bid-YTW : 8.84 %
FFH.PR.C FixedReset Disc 1.19 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-03-14
Maturity Price : 20.45
Evaluated at bid price : 20.45
Bid-YTW : 8.01 %
FFH.PR.D FloatingReset 1.21 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-03-14
Maturity Price : 20.90
Evaluated at bid price : 20.90
Bid-YTW : 9.83 %
IFC.PR.G FixedReset Ins Non 1.41 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-03-14
Maturity Price : 21.35
Evaluated at bid price : 21.65
Bid-YTW : 6.95 %
IFC.PR.I Insurance Straight 1.62 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-03-14
Maturity Price : 20.86
Evaluated at bid price : 20.86
Bid-YTW : 6.50 %
FFH.PR.G FixedReset Disc 1.64 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-03-14
Maturity Price : 16.84
Evaluated at bid price : 16.84
Bid-YTW : 8.48 %
TD.PF.C FixedReset Disc 1.67 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-03-14
Maturity Price : 21.35
Evaluated at bid price : 21.35
Bid-YTW : 6.67 %
BN.PR.X FixedReset Disc 1.83 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-03-14
Maturity Price : 15.70
Evaluated at bid price : 15.70
Bid-YTW : 8.16 %
POW.PR.C Perpetual-Discount 2.47 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-03-14
Maturity Price : 22.55
Evaluated at bid price : 22.80
Bid-YTW : 6.48 %
MFC.PR.Q FixedReset Ins Non 4.05 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-03-14
Maturity Price : 21.56
Evaluated at bid price : 21.85
Bid-YTW : 6.88 %
BN.PF.F FixedReset Disc 4.44 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-03-14
Maturity Price : 18.86
Evaluated at bid price : 18.86
Bid-YTW : 8.34 %
Volume Highlights
Issue Index Shares
Traded
Notes
BMO.PR.T FixedReset Disc 340,234 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-03-14
Maturity Price : 21.84
Evaluated at bid price : 22.31
Bid-YTW : 6.38 %
BMO.PR.S FixedReset Disc 183,093 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-03-14
Maturity Price : 22.63
Evaluated at bid price : 23.70
Bid-YTW : 6.11 %
TD.PF.A FixedReset Disc 154,512 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-03-14
Maturity Price : 20.50
Evaluated at bid price : 20.50
Bid-YTW : 6.96 %
BN.PR.M Perpetual-Discount 101,500 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-03-14
Maturity Price : 17.75
Evaluated at bid price : 17.75
Bid-YTW : 6.72 %
TD.PF.B FixedReset Disc 82,480 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-03-14
Maturity Price : 22.52
Evaluated at bid price : 23.50
Bid-YTW : 6.09 %
POW.PR.D Perpetual-Discount 61,632 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-03-14
Maturity Price : 19.55
Evaluated at bid price : 19.55
Bid-YTW : 6.52 %
There were 17 other index-included issues trading in excess of 10,000 shares.
Wide Spread Highlights
Issue Index Quote Data and Yield Notes
RY.PR.N Perpetual-Discount Quote: 18.76 – 22.95
Spot Rate : 4.1900
Average : 2.5117

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-03-14
Maturity Price : 18.76
Evaluated at bid price : 18.76
Bid-YTW : 6.61 %

IFC.PR.E Insurance Straight Quote: 20.06 – 23.72
Spot Rate : 3.6600
Average : 2.0804

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-03-14
Maturity Price : 20.06
Evaluated at bid price : 20.06
Bid-YTW : 6.51 %

SLF.PR.C Insurance Straight Quote: 17.72 – 19.10
Spot Rate : 1.3800
Average : 0.7755

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-03-14
Maturity Price : 17.72
Evaluated at bid price : 17.72
Bid-YTW : 6.30 %

EIT.PR.A SplitShare Quote: 24.91 – 26.00
Spot Rate : 1.0900
Average : 0.6078

YTW SCENARIO
Maturity Type : Option Certainty
Maturity Date : 2024-04-13
Maturity Price : 25.00
Evaluated at bid price : 24.91
Bid-YTW : 9.23 %

BN.PF.D Perpetual-Discount Quote: 17.85 – 18.89
Spot Rate : 1.0400
Average : 0.6319

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-03-14
Maturity Price : 17.85
Evaluated at bid price : 17.85
Bid-YTW : 6.90 %

CM.PR.P FixedReset Disc Quote: 21.15 – 22.00
Spot Rate : 0.8500
Average : 0.5403

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-03-14
Maturity Price : 21.15
Evaluated at bid price : 21.15
Bid-YTW : 6.69 %

XTD.PR.A To Be Extended

Wednesday, March 13th, 2024

Quadravest has announced:

TDb Split Corp. (the “Company”) is pleased to announce it will extend the termination date of the Company a further five year period from December 1, 2024 to December 1, 2029.

The term extension allows holders of XTD Class A Shares (“Class A Shares”) to continue to receive ongoing leveraged exposure to a portfolio consisting of common stock of Toronto-Dominion Bank, as well as receiving targeted monthly distributions. Holders of the XTD.PR.A Priority Equity Shares (“Priority Equity Shares”) are expected to continue to benefit from cumulative preferential monthly distributions.

The extension of the term of the Company is not expected to be a taxable event and should enable shareholders to defer potential tax liability that would have otherwise been realized on the redemption of the Class A Shares or Priority Equity Shares at the end of the term, until such time as such shares are disposed of by shareholders.

In connection with the extension, the Company will have the right to amend the rate of cumulative preferential monthly dividends to be paid to the Priority Equity Shares for the five year renewal period, commencing December 1, 2024. Any change to the Priority Equity Share dividend rate for the extended term will be based on market yields for preferred shares with similar terms at such time and will be announced no later than September 30, 2024

In connection with the term extension, the Company will offer a non-concurrent Special Retraction Right which will allow existing shareholders to tender one or both classes of Shares and receive a retraction price based on the November 29, 2024 net asset value per unit.

The Company invests in common shares of Toronto-Dominion Bank, a leading Canadian Financial institution.

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

FFN.PR.A To Be Extended

Wednesday, March 13th, 2024

Quadravest has announced:

North American Financial 15 Split Corp. (the “Company”) is pleased to announce it will extend the termination date of the Company a further five year period from December 1, 2024 to December 1, 2029.

The term extension allows holders of FFN Class A Shares (“Class A Shares”) to continue to receive ongoing leveraged exposure to a portfolio consisting of high-quality financial services companies made up of Canadian and U.S. issuers, as well as receiving targeted monthly distributions. Since inception of the Company Class A shareholders have received monthly distributions totaling $16.16 per share.

Holders of the FFN.PR.A Preferred Shares (“Preferred Shares”) are expected to continue to benefit from cumulative preferential monthly distributions. The Preferred shareholders have received a total of $10.90 per share since inception.

The extension of the term of the Company is not expected to be a taxable event and should enable shareholders to defer potential capital gains tax liability that would have otherwise been realized on the redemption of the Class A Shares or Preferred Shares at the end of the term, until such time as such shares are disposed of by shareholders.

In connection with the extension, the Company will have the right to amend the minimum rate of cumulative preferential monthly dividends to be paid to the Preferred Shares for the five year renewal period, commencing December 1, 2024. Any change to the Preferred Share minimum dividend rate for the extended term will be based on market yields for preferred shares with similar terms at such time and will be announced no later than September 30, 2024. The Company has the right to establish the rate of cumulative preferential monthly dividends to be paid to the Preferred Shares on an annual basis.

In connection with the term extension, the Company will offer a non-concurrent Special Retraction Right which will allow existing shareholders to tender one or both classes of Shares and receive a retraction price based on the November 29, 2024 net asset value per unit.

The Company invests in a high quality portfolio consisting of 15 financial services companies made up of Canadian and U.S. issuers as follows: Bank of Montreal, The Bank of Nova Scotia, Canadian Imperial Bank of Commerce, Royal Bank of Canada, Toronto-Dominion Bank, National Bank of Canada, Manulife Financial Corporation, Sun Life Financial, Great-West Lifeco, CI Financial Corp, Bank of America, Citigroup Inc., Goldman Sachs Group, JP Morgan Chase & Co. and Wells Fargo & Co.

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

DF.PR.A To Be Extended

Wednesday, March 13th, 2024

Quadravest has announced:

Dividend 15 Split Corp. II (the “Company”) is pleased to announce it will extend the termination date of the Company a further five year period from December 1, 2024 to December 1, 2029.

The term extension allows holders of DF Class A Shares (“Class A Shares”) to continue to receive ongoing leveraged exposure to a portfolio consisting of high-quality Canadian dividend yielding stocks as well as receiving targeted monthly distributions. Since inception of the Company Class A shareholders have received monthly distributions totaling $14.70 per share.

Holders of the DF.PR.A Preferred Shares (“Preferred Shares”) are expected to continue to benefit from cumulative preferential monthly distributions. The Preferred shareholders have received a total of $9.29 per share since inception.

The extension of the term of the Company is not expected to be a taxable event and should enable shareholders to defer potential capital gains tax liability that would have otherwise been realized on the redemption of the Class A Shares or Preferred Shares at the end of the term, until such time as such shares are disposed of by shareholders.

In connection with the extension, the Company will have the right to amend the rate of cumulative preferential monthly dividends to be paid to the Preferred Shares for the five year renewal period, commencing December 1, 2024. Any change to the Preferred Share dividend rate for the extended term will be based on market yields for preferred shares with similar terms at such time and will be announced no later than September 30, 2024

In connection with the term extension, the Company will offer a non-concurrent Special Retraction Right which will allow existing shareholders to tender one or both classes of Shares and receive a retraction price based on the November 29, 2024 net asset value per unit.

The Company invests in a high quality portfolio of leading Canadian dividend-yielding stocks as follows: Bank of Montreal, Bank of Nova Scotia, Canadian Imperial Bank of Commerce, Royal Bank of Canada, TorontoDominion Bank, National Bank of Canada, CI Financial Corp., BCE Inc., Manulife Financial, Enbridge, Sun Life Financial, TELUS Corporation, Thomson Reuters Corporation, TransAlta Corporation, TC Energy Corp.

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