Month: December 2024

Market Action

December 31, 2024

TXPR closed at 635.41, up 0.86% on the day after setting a new 52-week high. Volume today was 1.29-million, near the median of the past 21 trading days.

CPD closed at 12.57, up 0.48% on the day after setting a new 52-week high. Volume was 56,850, below the median of the past 21 trading days.

ZPR closed at 10.95, up 0.74% on the day after setting a new 52-week high. Volume was 71,010, a little below the median of the past 21 trading days.

Five-year Canada yields were steady at 2.99%.

And that’s it for another year!

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 -0.7194 % 2,270.9
FixedFloater 0.00 % 0.00 % 0 0.00 0 -0.7194 % 4,355.5
Floater 7.68 % 7.94 % 38,089 11.49 4 -0.7194 % 2,510.1
OpRet 0.00 % 0.00 % 0 0.00 0 -0.0340 % 3,637.2
SplitShare 4.75 % 4.43 % 56,334 1.12 7 -0.0340 % 4,343.6
Interest-Bearing 0.00 % 0.00 % 0 0.00 0 -0.0340 % 3,389.1
Perpetual-Premium 0.00 % 0.00 % 0 0.00 0 0.0175 % 2,877.0
Perpetual-Discount 5.97 % 6.11 % 54,369 13.71 32 0.0175 % 3,137.2
FixedReset Disc 5.34 % 6.53 % 103,997 12.84 53 0.4097 % 2,812.7
Insurance Straight 5.93 % 6.02 % 64,599 13.86 21 0.6484 % 3,052.7
FloatingReset 6.45 % 6.40 % 44,370 13.34 4 -0.1519 % 3,332.0
FixedReset Prem 6.02 % 5.56 % 187,338 13.70 9 0.0606 % 2,604.1
FixedReset Bank Non 0.00 % 0.00 % 0 0.00 0 0.4097 % 2,875.1
FixedReset Ins Non 5.21 % 6.00 % 78,025 13.88 14 0.5354 % 2,899.9
Performance Highlights
Issue Index Change Notes
CU.PR.H Perpetual-Discount -4.02 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-12-31
Maturity Price : 21.50
Evaluated at bid price : 21.50
Bid-YTW : 6.19 %
RY.PR.O Perpetual-Discount -2.08 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-12-31
Maturity Price : 23.69
Evaluated at bid price : 24.00
Bid-YTW : 5.15 %
ENB.PR.D FixedReset Disc -2.07 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-12-31
Maturity Price : 18.45
Evaluated at bid price : 18.45
Bid-YTW : 7.43 %
MFC.PR.N FixedReset Ins Non -1.64 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-12-31
Maturity Price : 21.00
Evaluated at bid price : 21.00
Bid-YTW : 6.36 %
FFH.PR.F FloatingReset -1.12 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-12-31
Maturity Price : 21.72
Evaluated at bid price : 22.00
Bid-YTW : 6.11 %
BN.PR.C Floater -1.06 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-12-31
Maturity Price : 12.12
Evaluated at bid price : 12.12
Bid-YTW : 7.95 %
ENB.PR.P FixedReset Disc 1.00 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-12-31
Maturity Price : 20.19
Evaluated at bid price : 20.19
Bid-YTW : 7.09 %
MFC.PR.B Insurance Straight 1.01 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-12-31
Maturity Price : 20.10
Evaluated at bid price : 20.10
Bid-YTW : 5.84 %
PWF.PR.E Perpetual-Discount 1.01 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-12-31
Maturity Price : 22.67
Evaluated at bid price : 22.91
Bid-YTW : 6.11 %
GWO.PR.Q Insurance Straight 1.04 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-12-31
Maturity Price : 21.45
Evaluated at bid price : 21.45
Bid-YTW : 6.05 %
FFH.PR.G FixedReset Disc 1.10 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-12-31
Maturity Price : 21.62
Evaluated at bid price : 22.00
Bid-YTW : 6.21 %
ENB.PR.J FixedReset Disc 1.13 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-12-31
Maturity Price : 20.50
Evaluated at bid price : 20.50
Bid-YTW : 7.07 %
ENB.PR.T FixedReset Disc 1.15 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-12-31
Maturity Price : 21.14
Evaluated at bid price : 21.14
Bid-YTW : 6.92 %
BN.PR.T FixedReset Disc 1.18 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-12-31
Maturity Price : 18.08
Evaluated at bid price : 18.08
Bid-YTW : 7.09 %
BN.PR.R FixedReset Disc 1.18 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-12-31
Maturity Price : 18.01
Evaluated at bid price : 18.01
Bid-YTW : 7.12 %
GWO.PR.R Insurance Straight 1.27 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-12-31
Maturity Price : 19.90
Evaluated at bid price : 19.90
Bid-YTW : 6.08 %
ENB.PR.H FixedReset Disc 1.28 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-12-31
Maturity Price : 20.61
Evaluated at bid price : 20.61
Bid-YTW : 6.63 %
ENB.PR.B FixedReset Disc 1.29 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-12-31
Maturity Price : 18.80
Evaluated at bid price : 18.80
Bid-YTW : 7.27 %
ENB.PF.K FixedReset Disc 1.33 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-12-31
Maturity Price : 22.33
Evaluated at bid price : 22.86
Bid-YTW : 6.85 %
BN.PF.J FixedReset Disc 1.38 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-12-31
Maturity Price : 22.77
Evaluated at bid price : 23.58
Bid-YTW : 6.53 %
IFC.PR.C FixedReset Ins Non 1.41 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-12-31
Maturity Price : 21.76
Evaluated at bid price : 22.24
Bid-YTW : 6.11 %
ENB.PR.Y FixedReset Disc 1.46 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-12-31
Maturity Price : 18.80
Evaluated at bid price : 18.80
Bid-YTW : 7.25 %
SLF.PR.D Insurance Straight 1.56 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-12-31
Maturity Price : 20.12
Evaluated at bid price : 20.12
Bid-YTW : 5.57 %
FTS.PR.H FixedReset Disc 1.63 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-12-31
Maturity Price : 16.23
Evaluated at bid price : 16.23
Bid-YTW : 6.83 %
GWO.PR.P Insurance Straight 1.67 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-12-31
Maturity Price : 22.26
Evaluated at bid price : 22.53
Bid-YTW : 6.02 %
FFH.PR.E FixedReset Disc 1.67 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-12-31
Maturity Price : 21.95
Evaluated at bid price : 22.48
Bid-YTW : 5.73 %
Volume Highlights
Issue Index Shares
Traded		 Notes
BN.PF.B FixedReset Disc 60,433 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-12-31
Maturity Price : 21.86
Evaluated at bid price : 22.27
Bid-YTW : 6.53 %
TD.PF.J FixedReset Prem 49,686 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-12-31
Maturity Price : 23.38
Evaluated at bid price : 25.13
Bid-YTW : 5.71 %
FFH.PR.K FixedReset Disc 37,696 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-12-31
Maturity Price : 23.05
Evaluated at bid price : 23.90
Bid-YTW : 6.60 %
ENB.PR.B FixedReset Disc 37,203 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-12-31
Maturity Price : 18.80
Evaluated at bid price : 18.80
Bid-YTW : 7.27 %
CM.PR.Q FixedReset Disc 30,867 YTW SCENARIO
Maturity Type : Call
Maturity Date : 2025-07-31
Maturity Price : 25.00
Evaluated at bid price : 24.65
Bid-YTW : 5.20 %
NA.PR.G FixedReset Prem 22,605 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-12-31
Maturity Price : 23.62
Evaluated at bid price : 26.23
Bid-YTW : 5.78 %
There were 13 other index-included issues trading in excess of 10,000 shares.
Wide Spread Highlights
Issue Index Quote Data and Yield Notes
IFC.PR.F Insurance Straight Quote: 22.14 – 24.99
Spot Rate : 2.8500
Average : 1.5936

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-12-31
Maturity Price : 21.69
Evaluated at bid price : 22.14
Bid-YTW : 6.01 %
CU.PR.F Perpetual-Discount Quote: 19.46 – 20.70
Spot Rate : 1.2400
Average : 0.7231

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-12-31
Maturity Price : 19.46
Evaluated at bid price : 19.46
Bid-YTW : 5.86 %
GWO.PR.I Insurance Straight Quote: 18.70 – 19.99
Spot Rate : 1.2900
Average : 0.8771

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-12-31
Maturity Price : 18.70
Evaluated at bid price : 18.70
Bid-YTW : 6.06 %
CU.PR.H Perpetual-Discount Quote: 21.50 – 22.48
Spot Rate : 0.9800
Average : 0.6148

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-12-31
Maturity Price : 21.50
Evaluated at bid price : 21.50
Bid-YTW : 6.19 %
ENB.PF.G FixedReset Disc Quote: 18.80 – 19.55
Spot Rate : 0.7500
Average : 0.4432

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-12-31
Maturity Price : 18.80
Evaluated at bid price : 18.80
Bid-YTW : 7.48 %
FFH.PR.F FloatingReset Quote: 22.00 – 22.80
Spot Rate : 0.8000
Average : 0.4968

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-12-31
Maturity Price : 21.72
Evaluated at bid price : 22.00
Bid-YTW : 6.11 %
Market Action

December 30, 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 0.5021 % 2,287.3
FixedFloater 0.00 % 0.00 % 0 0.00 0 0.5021 % 4,387.1
Floater 7.62 % 7.86 % 38,455 11.57 4 0.5021 % 2,528.3
OpRet 0.00 % 0.00 % 0 0.00 0 0.4675 % 3,638.5
SplitShare 4.75 % 4.42 % 56,909 1.12 7 0.4675 % 4,345.1
Interest-Bearing 0.00 % 0.00 % 0 0.00 0 0.4675 % 3,390.2
Perpetual-Premium 0.00 % 0.00 % 0 0.00 0 0.4356 % 2,876.5
Perpetual-Discount 5.97 % 6.12 % 54,031 13.68 32 0.4356 % 3,136.6
FixedReset Disc 5.37 % 6.57 % 98,112 12.72 53 0.4123 % 2,801.2
Insurance Straight 5.97 % 6.05 % 64,267 13.82 21 -0.0568 % 3,033.0
FloatingReset 6.44 % 6.38 % 42,986 13.36 4 0.3517 % 3,337.1
FixedReset Prem 6.02 % 5.57 % 187,167 13.56 9 0.0954 % 2,602.5
FixedReset Bank Non 0.00 % 0.00 % 0 0.00 0 0.4123 % 2,863.4
FixedReset Ins Non 5.24 % 5.99 % 77,918 13.82 14 0.5316 % 2,884.4
Performance Highlights
Issue Index Change Notes
BIP.PR.A FixedReset Disc -1.40 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-12-30
Maturity Price : 23.09
Evaluated at bid price : 23.86
Bid-YTW : 6.81 %
IFC.PR.I Insurance Straight -1.11 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-12-30
Maturity Price : 21.97
Evaluated at bid price : 22.25
Bid-YTW : 6.10 %
ENB.PR.A Perpetual-Discount -1.08 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-12-30
Maturity Price : 22.71
Evaluated at bid price : 23.00
Bid-YTW : 6.04 %
BIP.PR.E FixedReset Disc 1.02 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-12-30
Maturity Price : 22.82
Evaluated at bid price : 23.75
Bid-YTW : 6.49 %
SLF.PR.G FixedReset Ins Non 1.03 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-12-30
Maturity Price : 16.62
Evaluated at bid price : 16.62
Bid-YTW : 6.57 %
IFC.PR.C FixedReset Ins Non 1.06 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-12-30
Maturity Price : 21.55
Evaluated at bid price : 21.93
Bid-YTW : 6.20 %
FTS.PR.J Perpetual-Discount 1.09 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-12-30
Maturity Price : 20.39
Evaluated at bid price : 20.39
Bid-YTW : 5.90 %
FTS.PR.G FixedReset Disc 1.10 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-12-30
Maturity Price : 21.81
Evaluated at bid price : 22.14
Bid-YTW : 6.15 %
GWO.PR.N FixedReset Ins Non 1.10 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-12-30
Maturity Price : 15.57
Evaluated at bid price : 15.57
Bid-YTW : 6.69 %
GWO.PR.M Insurance Straight 1.22 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-12-30
Maturity Price : 23.82
Evaluated at bid price : 24.07
Bid-YTW : 6.06 %
PWF.PR.T FixedReset Disc 1.24 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-12-30
Maturity Price : 22.29
Evaluated at bid price : 22.93
Bid-YTW : 6.02 %
BN.PR.T FixedReset Disc 1.25 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-12-30
Maturity Price : 17.87
Evaluated at bid price : 17.87
Bid-YTW : 7.17 %
FTS.PR.F Perpetual-Discount 1.28 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-12-30
Maturity Price : 21.32
Evaluated at bid price : 21.32
Bid-YTW : 5.82 %
PWF.PR.Z Perpetual-Discount 1.38 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-12-30
Maturity Price : 21.37
Evaluated at bid price : 21.37
Bid-YTW : 6.14 %
CU.PR.H Perpetual-Discount 1.59 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-12-30
Maturity Price : 22.12
Evaluated at bid price : 22.40
Bid-YTW : 5.92 %
ENB.PF.A FixedReset Disc 1.60 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-12-30
Maturity Price : 20.32
Evaluated at bid price : 20.32
Bid-YTW : 7.09 %
BN.PF.I FixedReset Disc 1.62 % YTW SCENARIO
Maturity Type : Call
Maturity Date : 2027-03-31
Maturity Price : 25.00
Evaluated at bid price : 24.44
Bid-YTW : 6.52 %
BIP.PR.B FixedReset Disc 1.79 % YTW SCENARIO
Maturity Type : Call
Maturity Date : 2025-12-31
Maturity Price : 25.00
Evaluated at bid price : 25.06
Bid-YTW : 5.28 %
POW.PR.C Perpetual-Discount 1.92 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-12-30
Maturity Price : 23.61
Evaluated at bid price : 23.88
Bid-YTW : 6.09 %
BN.PF.E FixedReset Disc 2.27 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-12-30
Maturity Price : 20.30
Evaluated at bid price : 20.30
Bid-YTW : 6.87 %
IFC.PR.A FixedReset Ins Non 2.69 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-12-30
Maturity Price : 21.00
Evaluated at bid price : 21.00
Bid-YTW : 5.71 %
Volume Highlights
Issue Index Shares
Traded		 Notes
CM.PR.P FixedReset Disc 47,050 YTW SCENARIO
Maturity Type : Call
Maturity Date : 2025-01-31
Maturity Price : 25.00
Evaluated at bid price : 24.92
Bid-YTW : 3.69 %
NA.PR.W FixedReset Disc 38,881 YTW SCENARIO
Maturity Type : Call
Maturity Date : 2025-02-15
Maturity Price : 25.00
Evaluated at bid price : 25.11
Bid-YTW : 4.05 %
PWF.PR.P FixedReset Disc 26,979 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-12-30
Maturity Price : 15.88
Evaluated at bid price : 15.88
Bid-YTW : 7.03 %
TD.PF.C FixedReset Disc 18,650 YTW SCENARIO
Maturity Type : Call
Maturity Date : 2025-01-31
Maturity Price : 25.00
Evaluated at bid price : 25.15
Bid-YTW : 4.22 %
FFH.PR.E FixedReset Disc 16,765 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-12-30
Maturity Price : 21.71
Evaluated at bid price : 22.11
Bid-YTW : 5.84 %
PWF.PF.A Perpetual-Discount 14,211 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-12-30
Maturity Price : 18.82
Evaluated at bid price : 18.82
Bid-YTW : 6.09 %
There were 3 other index-included issues trading in excess of 10,000 shares.
Wide Spread Highlights
Issue Index Quote Data and Yield Notes
ENB.PR.H FixedReset Disc Quote: 20.35 – 22.22
Spot Rate : 1.8700
Average : 1.0354

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-12-30
Maturity Price : 20.35
Evaluated at bid price : 20.35
Bid-YTW : 6.72 %
BN.PF.B FixedReset Disc Quote: 22.15 – 23.85
Spot Rate : 1.7000
Average : 0.9825

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-12-30
Maturity Price : 21.78
Evaluated at bid price : 22.15
Bid-YTW : 6.57 %
PWF.PR.L Perpetual-Discount Quote: 21.00 – 22.65
Spot Rate : 1.6500
Average : 1.0325

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-12-30
Maturity Price : 21.00
Evaluated at bid price : 21.00
Bid-YTW : 6.19 %
GWO.PR.L Insurance Straight Quote: 23.65 – 25.00
Spot Rate : 1.3500
Average : 0.8016

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-12-30
Maturity Price : 23.36
Evaluated at bid price : 23.65
Bid-YTW : 6.00 %
BN.PF.D Perpetual-Discount Quote: 19.12 – 20.40
Spot Rate : 1.2800
Average : 0.8177

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-12-30
Maturity Price : 19.12
Evaluated at bid price : 19.12
Bid-YTW : 6.46 %
PVS.PR.K SplitShare Quote: 24.87 – 25.88
Spot Rate : 1.0100
Average : 0.6967

YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2029-05-31
Maturity Price : 25.00
Evaluated at bid price : 24.87
Bid-YTW : 4.68 %
Market Action

December 27, 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 % 2,275.9
FixedFloater 0.00 % 0.00 % 0 0.00 0 0.0000 % 4,365.1
Floater 7.66 % 7.92 % 38,531 11.51 4 0.0000 % 2,515.7
OpRet 0.00 % 0.00 % 0 0.00 0 -0.2502 % 3,621.5
SplitShare 4.77 % 4.81 % 58,179 2.05 7 -0.2502 % 4,324.9
Interest-Bearing 0.00 % 0.00 % 0 0.00 0 -0.2502 % 3,374.5
Perpetual-Premium 0.00 % 0.00 % 0 0.00 0 0.0951 % 2,864.0
Perpetual-Discount 6.00 % 6.15 % 55,991 13.66 32 0.0951 % 3,123.0
FixedReset Disc 5.39 % 6.67 % 99,466 12.65 53 -0.0485 % 2,789.7
Insurance Straight 5.97 % 6.05 % 64,355 13.85 21 -0.1884 % 3,034.8
FloatingReset 6.45 % 6.09 % 39,673 13.08 4 -0.3272 % 3,325.4
FixedReset Prem 6.03 % 5.62 % 189,750 13.40 9 0.1172 % 2,600.1
FixedReset Bank Non 0.00 % 0.00 % 0 0.00 0 -0.0485 % 2,851.6
FixedReset Ins Non 5.27 % 6.05 % 79,018 13.74 14 0.6399 % 2,869.2
Performance Highlights
Issue Index Change Notes
POW.PR.C Perpetual-Discount -2.21 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-12-27
Maturity Price : 23.17
Evaluated at bid price : 23.43
Bid-YTW : 6.20 %
BIP.PR.B FixedReset Disc -2.15 % YTW SCENARIO
Maturity Type : Call
Maturity Date : 2025-12-31
Maturity Price : 25.00
Evaluated at bid price : 24.62
Bid-YTW : 7.08 %
ENB.PR.D FixedReset Disc -1.74 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-12-27
Maturity Price : 18.67
Evaluated at bid price : 18.67
Bid-YTW : 7.39 %
BN.PF.J FixedReset Disc -1.62 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-12-27
Maturity Price : 22.47
Evaluated at bid price : 23.05
Bid-YTW : 6.73 %
FTS.PR.J Perpetual-Discount -1.61 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-12-27
Maturity Price : 20.17
Evaluated at bid price : 20.17
Bid-YTW : 5.96 %
PVS.PR.K SplitShare -1.55 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2029-05-31
Maturity Price : 25.00
Evaluated at bid price : 24.74
Bid-YTW : 4.81 %
BN.PF.I FixedReset Disc -1.35 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-12-27
Maturity Price : 23.13
Evaluated at bid price : 24.05
Bid-YTW : 6.95 %
FFH.PR.F FloatingReset -1.34 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-12-27
Maturity Price : 21.83
Evaluated at bid price : 22.10
Bid-YTW : 6.07 %
GWO.PR.M Insurance Straight -1.16 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-12-27
Maturity Price : 23.51
Evaluated at bid price : 23.78
Bid-YTW : 6.13 %
POW.PR.A Perpetual-Discount -1.09 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-12-27
Maturity Price : 22.49
Evaluated at bid price : 22.75
Bid-YTW : 6.17 %
ENB.PR.J FixedReset Disc 1.05 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-12-27
Maturity Price : 20.25
Evaluated at bid price : 20.25
Bid-YTW : 7.20 %
ENB.PR.N FixedReset Disc 1.06 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-12-27
Maturity Price : 22.25
Evaluated at bid price : 22.84
Bid-YTW : 6.61 %
PWF.PR.H Perpetual-Discount 1.07 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-12-27
Maturity Price : 23.25
Evaluated at bid price : 23.55
Bid-YTW : 6.21 %
ENB.PR.A Perpetual-Discount 1.09 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-12-27
Maturity Price : 22.98
Evaluated at bid price : 23.25
Bid-YTW : 5.98 %
PWF.PR.G Perpetual-Discount 1.16 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-12-27
Maturity Price : 24.09
Evaluated at bid price : 24.35
Bid-YTW : 6.16 %
FTS.PR.M FixedReset Disc 1.20 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-12-27
Maturity Price : 21.01
Evaluated at bid price : 21.01
Bid-YTW : 6.67 %
GWO.PR.N FixedReset Ins Non 1.32 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-12-27
Maturity Price : 15.40
Evaluated at bid price : 15.40
Bid-YTW : 6.83 %
BN.PF.G FixedReset Disc 1.35 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-12-27
Maturity Price : 20.98
Evaluated at bid price : 20.98
Bid-YTW : 6.98 %
POW.PR.D Perpetual-Discount 1.43 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-12-27
Maturity Price : 20.60
Evaluated at bid price : 20.60
Bid-YTW : 6.09 %
MFC.PR.M FixedReset Ins Non 1.45 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-12-27
Maturity Price : 21.94
Evaluated at bid price : 22.44
Bid-YTW : 6.12 %
MFC.PR.J FixedReset Ins Non 1.64 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-12-27
Maturity Price : 23.26
Evaluated at bid price : 24.75
Bid-YTW : 5.81 %
FTS.PR.H FixedReset Disc 1.72 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-12-27
Maturity Price : 15.97
Evaluated at bid price : 15.97
Bid-YTW : 7.01 %
CU.PR.D Perpetual-Discount 1.84 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-12-27
Maturity Price : 21.05
Evaluated at bid price : 21.05
Bid-YTW : 5.89 %
ENB.PF.E FixedReset Disc 2.05 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-12-27
Maturity Price : 18.90
Evaluated at bid price : 18.90
Bid-YTW : 7.55 %
SLF.PR.G FixedReset Ins Non 4.44 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-12-27
Maturity Price : 16.45
Evaluated at bid price : 16.45
Bid-YTW : 6.71 %
Volume Highlights
Issue Index Shares
Traded		 Notes
TD.PF.C FixedReset Disc 42,450 YTW SCENARIO
Maturity Type : Call
Maturity Date : 2025-01-31
Maturity Price : 25.00
Evaluated at bid price : 25.15
Bid-YTW : 3.86 %
ENB.PF.C FixedReset Disc 30,000 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-12-27
Maturity Price : 19.40
Evaluated at bid price : 19.40
Bid-YTW : 7.42 %
FFH.PR.F FloatingReset 25,146 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-12-27
Maturity Price : 21.83
Evaluated at bid price : 22.10
Bid-YTW : 6.07 %
NA.PR.W FixedReset Disc 24,500 YTW SCENARIO
Maturity Type : Call
Maturity Date : 2025-02-15
Maturity Price : 25.00
Evaluated at bid price : 25.10
Bid-YTW : 4.10 %
FTS.PR.H FixedReset Disc 20,638 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-12-27
Maturity Price : 15.97
Evaluated at bid price : 15.97
Bid-YTW : 7.01 %
PWF.PF.A Perpetual-Discount 17,098 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-12-27
Maturity Price : 18.75
Evaluated at bid price : 18.75
Bid-YTW : 6.11 %
There were 1 other index-included issues trading in excess of 10,000 shares.
Wide Spread Highlights
Issue Index Quote Data and Yield Notes
BN.PR.X FixedReset Disc Quote: 16.50 – 17.95
Spot Rate : 1.4500
Average : 0.9573

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-12-27
Maturity Price : 16.50
Evaluated at bid price : 16.50
Bid-YTW : 7.37 %
CU.PR.G Perpetual-Discount Quote: 19.25 – 20.93
Spot Rate : 1.6800
Average : 1.3456

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-12-27
Maturity Price : 19.25
Evaluated at bid price : 19.25
Bid-YTW : 5.92 %
GWO.PR.M Insurance Straight Quote: 23.78 – 24.50
Spot Rate : 0.7200
Average : 0.4599

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-12-27
Maturity Price : 23.51
Evaluated at bid price : 23.78
Bid-YTW : 6.13 %
BN.PF.J FixedReset Disc Quote: 23.05 – 24.00
Spot Rate : 0.9500
Average : 0.7337

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-12-27
Maturity Price : 22.47
Evaluated at bid price : 23.05
Bid-YTW : 6.73 %
BIP.PR.B FixedReset Disc Quote: 24.62 – 25.40
Spot Rate : 0.7800
Average : 0.5685

YTW SCENARIO
Maturity Type : Call
Maturity Date : 2025-12-31
Maturity Price : 25.00
Evaluated at bid price : 24.62
Bid-YTW : 7.08 %
ENB.PF.E FixedReset Disc Quote: 18.90 – 19.95
Spot Rate : 1.0500
Average : 0.9071

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-12-27
Maturity Price : 18.90
Evaluated at bid price : 18.90
Bid-YTW : 7.55 %
Market Action

December 24, 2024

Merry Christmas, everybody!

PerpetualDiscounts now yield 6.13%, equivalent to 7.97% interest at the standard equivalency factor of 1.3x. Long corporates yielded 4.61% on 2024-12-24. Therefore, the pre-tax interest-equivalent spread (in this context, the “Seniority Spread”) has widened slightly (and perhaps spuriously) to 335bp from the 330bp reported December 11.

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 -0.1604 % 2,275.9
FixedFloater 0.00 % 0.00 % 0 0.00 0 -0.1604 % 4,365.1
Floater 7.66 % 7.90 % 40,099 11.54 4 -0.1604 % 2,515.7
OpRet 0.00 % 0.00 % 0 0.00 0 0.2223 % 3,630.6
SplitShare 4.76 % 4.41 % 60,161 2.05 7 0.2223 % 4,335.7
Interest-Bearing 0.00 % 0.00 % 0 0.00 0 0.2223 % 3,382.9
Perpetual-Premium 0.00 % 0.00 % 0 0.00 0 -0.2511 % 2,861.3
Perpetual-Discount 6.00 % 6.13 % 55,945 13.70 32 -0.2511 % 3,120.1
FixedReset Disc 5.39 % 6.62 % 100,213 12.57 53 0.1431 % 2,791.0
Insurance Straight 5.95 % 6.03 % 65,298 13.86 21 0.0386 % 3,040.5
FloatingReset 6.43 % 6.37 % 37,750 13.39 4 -0.1167 % 3,336.3
FixedReset Prem 6.03 % 5.65 % 191,638 13.68 9 -0.0521 % 2,597.0
FixedReset Bank Non 0.00 % 0.00 % 0 0.00 0 0.1431 % 2,853.0
FixedReset Ins Non 5.30 % 6.08 % 80,009 13.71 14 0.0576 % 2,850.9
Performance Highlights
Issue Index Change Notes
IFC.PR.E Insurance Straight -4.01 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-12-24
Maturity Price : 21.05
Evaluated at bid price : 21.05
Bid-YTW : 6.22 %
ENB.PF.E FixedReset Disc -2.27 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-12-24
Maturity Price : 18.52
Evaluated at bid price : 18.52
Bid-YTW : 7.70 %
CU.PR.D Perpetual-Discount -1.67 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-12-24
Maturity Price : 20.67
Evaluated at bid price : 20.67
Bid-YTW : 6.00 %
BN.PF.G FixedReset Disc -1.48 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-12-24
Maturity Price : 20.70
Evaluated at bid price : 20.70
Bid-YTW : 7.07 %
PWF.PR.Z Perpetual-Discount -1.45 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-12-24
Maturity Price : 21.00
Evaluated at bid price : 21.00
Bid-YTW : 6.24 %
TD.PF.J FixedReset Prem -1.39 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-12-24
Maturity Price : 23.29
Evaluated at bid price : 24.90
Bid-YTW : 5.81 %
BN.PF.A FixedReset Disc -1.28 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-12-24
Maturity Price : 22.85
Evaluated at bid price : 23.94
Bid-YTW : 6.43 %
FTS.PR.M FixedReset Disc -1.14 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-12-24
Maturity Price : 20.76
Evaluated at bid price : 20.76
Bid-YTW : 6.75 %
PWF.PR.H Perpetual-Discount -1.06 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-12-24
Maturity Price : 23.03
Evaluated at bid price : 23.30
Bid-YTW : 6.27 %
FFH.PR.G FixedReset Disc 1.16 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-12-24
Maturity Price : 21.44
Evaluated at bid price : 21.75
Bid-YTW : 6.33 %
FFH.PR.I FixedReset Disc 1.34 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-12-24
Maturity Price : 22.09
Evaluated at bid price : 22.75
Bid-YTW : 6.31 %
POW.PR.A Perpetual-Discount 1.52 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-12-24
Maturity Price : 22.71
Evaluated at bid price : 23.00
Bid-YTW : 6.09 %
PWF.PR.L Perpetual-Discount 1.55 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-12-24
Maturity Price : 21.02
Evaluated at bid price : 21.02
Bid-YTW : 6.18 %
TD.PF.C FixedReset Disc 1.99 % YTW SCENARIO
Maturity Type : Call
Maturity Date : 2025-01-31
Maturity Price : 25.00
Evaluated at bid price : 25.14
Bid-YTW : 3.94 %
BIP.PR.B FixedReset Disc 2.19 % YTW SCENARIO
Maturity Type : Call
Maturity Date : 2025-12-31
Maturity Price : 25.00
Evaluated at bid price : 25.16
Bid-YTW : 4.78 %
Volume Highlights
Issue Index Shares
Traded		 Notes
PWF.PR.A Floater 102,500 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-12-24
Maturity Price : 13.35
Evaluated at bid price : 13.35
Bid-YTW : 7.27 %
TD.PF.C FixedReset Disc 32,850 YTW SCENARIO
Maturity Type : Call
Maturity Date : 2025-01-31
Maturity Price : 25.00
Evaluated at bid price : 25.14
Bid-YTW : 3.94 %
NA.PR.W FixedReset Disc 14,800 YTW SCENARIO
Maturity Type : Call
Maturity Date : 2025-02-15
Maturity Price : 25.00
Evaluated at bid price : 25.09
Bid-YTW : 4.15 %
There were 0 other index-included issues trading in excess of 10,000 shares.
Wide Spread Highlights
Issue Index Quote Data and Yield Notes
CU.PR.G Perpetual-Discount Quote: 19.25 – 20.93
Spot Rate : 1.6800
Average : 0.9790

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-12-24
Maturity Price : 19.25
Evaluated at bid price : 19.25
Bid-YTW : 5.91 %
CU.PR.D Perpetual-Discount Quote: 20.67 – 22.00
Spot Rate : 1.3300
Average : 0.9325

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-12-24
Maturity Price : 20.67
Evaluated at bid price : 20.67
Bid-YTW : 6.00 %
SLF.PR.G FixedReset Ins Non Quote: 15.75 – 17.10
Spot Rate : 1.3500
Average : 1.0176

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-12-24
Maturity Price : 15.75
Evaluated at bid price : 15.75
Bid-YTW : 7.00 %
BN.PR.R FixedReset Disc Quote: 17.75 – 18.80
Spot Rate : 1.0500
Average : 0.7635

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-12-24
Maturity Price : 17.75
Evaluated at bid price : 17.75
Bid-YTW : 7.27 %
BN.PF.G FixedReset Disc Quote: 20.70 – 21.50
Spot Rate : 0.8000
Average : 0.5346

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-12-24
Maturity Price : 20.70
Evaluated at bid price : 20.70
Bid-YTW : 7.07 %
FTS.PR.K FixedReset Disc Quote: 20.42 – 21.10
Spot Rate : 0.6800
Average : 0.4435

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-12-24
Maturity Price : 20.42
Evaluated at bid price : 20.42
Bid-YTW : 6.47 %
Market Action

December 23, 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 0.2412 % 2,279.5
FixedFloater 0.00 % 0.00 % 0 0.00 0 0.2412 % 4,372.2
Floater 7.65 % 7.88 % 37,111 11.56 4 0.2412 % 2,519.7
OpRet 0.00 % 0.00 % 0 0.00 0 0.1999 % 3,622.6
SplitShare 4.77 % 5.03 % 62,527 2.06 7 0.1999 % 4,326.1
Interest-Bearing 0.00 % 0.00 % 0 0.00 0 0.1999 % 3,375.4
Perpetual-Premium 0.00 % 0.00 % 0 0.00 0 0.2194 % 2,868.5
Perpetual-Discount 5.99 % 6.17 % 56,375 13.59 32 0.2194 % 3,127.9
FixedReset Disc 5.39 % 6.66 % 103,378 12.64 53 0.0408 % 2,787.1
Insurance Straight 5.96 % 6.03 % 67,754 13.88 21 0.0682 % 3,039.3
FloatingReset 6.42 % 6.23 % 37,359 13.15 4 0.1286 % 3,340.2
FixedReset Prem 6.03 % 5.62 % 197,004 13.68 9 -0.0607 % 2,598.4
FixedReset Bank Non 0.00 % 0.00 % 0 0.00 0 0.0408 % 2,848.9
FixedReset Ins Non 5.30 % 6.09 % 82,858 13.75 14 -0.1792 % 2,849.3
Performance Highlights
Issue Index Change Notes
SLF.PR.G FixedReset Ins Non -4.55 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-12-23
Maturity Price : 15.75
Evaluated at bid price : 15.75
Bid-YTW : 7.00 %
FTS.PR.H FixedReset Disc -1.43 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-12-23
Maturity Price : 15.80
Evaluated at bid price : 15.80
Bid-YTW : 7.08 %
BN.PF.E FixedReset Disc -1.35 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-12-23
Maturity Price : 19.80
Evaluated at bid price : 19.80
Bid-YTW : 7.10 %
PWF.PR.L Perpetual-Discount -1.33 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-12-23
Maturity Price : 20.70
Evaluated at bid price : 20.70
Bid-YTW : 6.27 %
BN.PF.D Perpetual-Discount -1.25 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-12-23
Maturity Price : 18.96
Evaluated at bid price : 18.96
Bid-YTW : 6.50 %
GWO.PR.N FixedReset Ins Non -1.24 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-12-23
Maturity Price : 15.10
Evaluated at bid price : 15.10
Bid-YTW : 6.96 %
BN.PR.M Perpetual-Discount -1.17 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-12-23
Maturity Price : 18.58
Evaluated at bid price : 18.58
Bid-YTW : 6.43 %
FFH.PR.G FixedReset Disc -1.15 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-12-23
Maturity Price : 21.50
Evaluated at bid price : 21.50
Bid-YTW : 6.42 %
GWO.PR.G Insurance Straight -1.08 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-12-23
Maturity Price : 21.10
Evaluated at bid price : 21.10
Bid-YTW : 6.20 %
GWO.PR.R Insurance Straight -1.05 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-12-23
Maturity Price : 19.74
Evaluated at bid price : 19.74
Bid-YTW : 6.12 %
POW.PR.G Perpetual-Discount 1.01 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-12-23
Maturity Price : 22.78
Evaluated at bid price : 23.06
Bid-YTW : 6.19 %
BN.PF.G FixedReset Disc 1.01 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-12-23
Maturity Price : 21.01
Evaluated at bid price : 21.01
Bid-YTW : 6.96 %
BIP.PR.A FixedReset Disc 1.01 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-12-23
Maturity Price : 23.24
Evaluated at bid price : 24.00
Bid-YTW : 6.82 %
PWF.PR.G Perpetual-Discount 1.42 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-12-23
Maturity Price : 24.05
Evaluated at bid price : 24.30
Bid-YTW : 6.17 %
CCS.PR.C Insurance Straight 1.45 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-12-23
Maturity Price : 21.05
Evaluated at bid price : 21.05
Bid-YTW : 5.97 %
CU.PR.J Perpetual-Discount 1.54 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-12-23
Maturity Price : 19.80
Evaluated at bid price : 19.80
Bid-YTW : 6.07 %
BN.PF.H FixedReset Disc 1.58 % YTW SCENARIO
Maturity Type : Call
Maturity Date : 2025-12-31
Maturity Price : 25.00
Evaluated at bid price : 25.00
Bid-YTW : 4.92 %
PWF.PR.A Floater 1.67 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-12-23
Maturity Price : 13.37
Evaluated at bid price : 13.37
Bid-YTW : 7.26 %
BN.PF.I FixedReset Disc 1.97 % YTW SCENARIO
Maturity Type : Call
Maturity Date : 2027-03-31
Maturity Price : 25.00
Evaluated at bid price : 24.32
Bid-YTW : 6.70 %
IFC.PR.E Insurance Straight 3.20 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-12-23
Maturity Price : 21.55
Evaluated at bid price : 21.93
Bid-YTW : 5.94 %
BN.PR.N Perpetual-Discount 7.64 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-12-23
Maturity Price : 18.46
Evaluated at bid price : 18.46
Bid-YTW : 6.48 %
Volume Highlights
Issue Index Shares
Traded		 Notes
BMO.PR.Y FixedReset Disc 50,900 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-12-23
Maturity Price : 24.03
Evaluated at bid price : 24.60
Bid-YTW : 5.77 %
TD.PF.J FixedReset Prem 26,400 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-12-23
Maturity Price : 23.41
Evaluated at bid price : 25.25
Bid-YTW : 5.71 %
FTS.PR.M FixedReset Disc 25,200 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-12-23
Maturity Price : 21.00
Evaluated at bid price : 21.00
Bid-YTW : 6.67 %
RY.PR.N Perpetual-Discount 13,200 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-12-23
Maturity Price : 23.95
Evaluated at bid price : 24.20
Bid-YTW : 5.10 %
ENB.PR.Y FixedReset Disc 12,300 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-12-23
Maturity Price : 18.51
Evaluated at bid price : 18.51
Bid-YTW : 7.39 %
ENB.PF.K FixedReset Disc 12,000 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-12-23
Maturity Price : 22.06
Evaluated at bid price : 22.45
Bid-YTW : 7.02 %
There were 5 other index-included issues trading in excess of 10,000 shares.
Wide Spread Highlights
Issue Index Quote Data and Yield Notes
ENB.PF.E FixedReset Disc Quote: 18.95 – 19.95
Spot Rate : 1.0000
Average : 0.6633

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-12-23
Maturity Price : 18.95
Evaluated at bid price : 18.95
Bid-YTW : 7.52 %
GWO.PR.Y Insurance Straight Quote: 18.73 – 19.75
Spot Rate : 1.0200
Average : 0.6966

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-12-23
Maturity Price : 18.73
Evaluated at bid price : 18.73
Bid-YTW : 6.04 %
MFC.PR.B Insurance Straight Quote: 20.00 – 20.99
Spot Rate : 0.9900
Average : 0.7319

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-12-23
Maturity Price : 20.00
Evaluated at bid price : 20.00
Bid-YTW : 5.86 %
BIP.PR.F FixedReset Disc Quote: 23.00 – 23.72
Spot Rate : 0.7200
Average : 0.4793

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-12-23
Maturity Price : 22.34
Evaluated at bid price : 23.00
Bid-YTW : 6.66 %
BN.PF.C Perpetual-Discount Quote: 18.85 – 19.62
Spot Rate : 0.7700
Average : 0.5382

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-12-23
Maturity Price : 18.85
Evaluated at bid price : 18.85
Bid-YTW : 6.47 %
BN.PF.J FixedReset Disc Quote: 23.37 – 24.30
Spot Rate : 0.9300
Average : 0.7228

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-12-23
Maturity Price : 22.65
Evaluated at bid price : 23.37
Bid-YTW : 6.62 %
Issue Comments

TRP.PR.A / TRP.PR.F: 17% Net Conversion To FixedReset

TC Energy Corporation has announced:

that 42,200 of its 14,577,184 fixed rate Cumulative Redeemable First Preferred Shares, Series 1 (Series 1 Shares) have been elected for conversion on Dec. 31, 2024, on a one-for-one basis, into floating rate Cumulative Redeemable First Preferred Shares, Series 2 (Series 2 Shares); and 3,889,020 of its 7,422,816 Series 2 Shares have been elected for conversion, on a one-for-one basis, into Series 1 Shares.

As a result of the conversions, TC Energy will have 18,424,004 Series 1 Shares and 3,575,996 Series 2 Shares issued and outstanding. The Series 1 Shares and Series 2 Shares will continue to be listed on the Toronto Stock Exchange (TSX) under the symbols TRP.PR.A and TRP.PR.F, respectively.

The Series 1 Shares will pay on a quarterly basis for the five-year period beginning on Dec. 31, 2024, as and when declared by the Board of Directors of TC Energy, a fixed dividend at an annualized rate of 4.939 per cent.

The Series 2 Shares will pay a floating rate quarterly dividend for the five-year period beginning on Dec. 31, 2024, as and when declared by the Board of Directors of TC Energy. The dividend rate for the Series 2 Shares for the first quarterly floating rate period commencing Dec. 31, 2024 to but excluding Mar. 31, 2025 is 5.401 per cent and will be reset every quarter.

Holders of Series 1 Shares and Series 2 Shares will have the opportunity to convert their shares again on Dec. 31, 2029 and in every fifth year thereafter as long as the shares remain outstanding. For more information on the terms of, and risks associated with an investment in the Series 1 Shares and the Series 2 Shares, please see the prospectus supplement dated Sept. 22, 2009 which is available on sedarplus.ca or on our website.

So this was a net conversion of 17% from TRP.PR.F to TRP.PR.A. The pair is now 84% FixedReset, TRP.PR.A.

TRP.PR.A commenced trading 2009-9-30 after being announced 2009-9-22. It commenced life as a FixedReset, 4.60%+192, that reset to 3.266% effective 2014-12-31. Assiduous Readers may recall that I have blamed the 2014 reset of TRP.PR.A for what we might now call ‘the first half’ of the current bear market. I recommended conversion to TRP.PR.F in 2014 and there was a conversion rate of about 62%. The company announced the extension to 2024 on 2019-11-21. TRP.PR.A reset at 3.479% effective 2019-12-31. I recommended holding, or converting to, TRP.PR.A and there was a 23% net conversion to that issue. TRP.PR.A reset to 4.939% in 2024.

TRP.PR.F commenced trading 2014-12-31 after a partial conversion from TRP.PR.A.

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

Issue Comments

TD.PF.C To Be Redeemed

The Toronto-Dominion Bank has announced:

that it will exercise its right to redeem all of its 20,000,000 outstanding Non-Cumulative 5-Year Rate Reset Class A First Preferred Shares, Series 5 (Non-Viability Contingent Capital) (the “Series 5 Shares”) on January 31, 2025 at the price of $25.00 per Series 5 Share for an aggregate total of approximately $500 million. The redemption has been approved by the Office of the Superintendent of Financial Institutions.

On December 5, 2024, TD announced that dividends of $0.24225 per Series 5 Share had been declared. These will be the final dividends on the Series 5 Shares, and will be paid in the usual manner on January 31, 2025 to shareholders of record on January 10, 2025, as previously announced. After January 31, 2025, the Series 5 Shares will cease to be entitled to dividends and the only remaining rights of holders of such shares will be to receive payment of the redemption amount.

Beneficial holders who are not directly the registered holder of Series 5 Shares should contact the financial institution, broker or other intermediary through which they hold these shares to confirm how they will receive their redemption proceeds. Inquiries should be directed to our Registrar and Transfer Agent, TSX Trust Company, at 1-800-387-0825 (or in Toronto 416-682-3860).

TD.PF.C is a FixedReset, 3.75%+225, that commenced trading 2014-12-16 after being announced 2014-12-5. Notice of extension was reported in December, 2019. TD.PF.C will reset at 3.876% effective January 31, 2020. I recommended against conversion and there was no conversion. TD.PF.C is tracked by HIMIPref™ and is assigned to the FixedReset-Discount subindex.

Market Action

December 20, 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 0.1006 % 2,274.1
FixedFloater 0.00 % 0.00 % 0 0.00 0 0.1006 % 4,361.6
Floater 7.67 % 7.84 % 34,847 11.61 4 0.1006 % 2,513.6
OpRet 0.00 % 0.00 % 0 0.00 0 -0.1369 % 3,615.4
SplitShare 4.78 % 4.80 % 62,123 2.07 7 -0.1369 % 4,317.5
Interest-Bearing 0.00 % 0.00 % 0 0.00 0 -0.1369 % 3,368.7
Perpetual-Premium 0.00 % 0.00 % 0 0.00 0 -0.0336 % 2,862.2
Perpetual-Discount 6.00 % 6.16 % 56,056 13.58 32 -0.0336 % 3,121.1
FixedReset Disc 5.40 % 6.58 % 104,854 12.87 53 0.2130 % 2,785.9
Insurance Straight 5.96 % 6.06 % 65,963 13.87 21 0.3351 % 3,037.2
FloatingReset 6.44 % 6.14 % 36,308 13.11 4 0.0351 % 3,335.9
FixedReset Prem 6.03 % 5.56 % 198,951 13.76 9 -0.0433 % 2,599.9
FixedReset Bank Non 0.00 % 0.00 % 0 0.00 0 0.2130 % 2,847.8
FixedReset Ins Non 5.15 % 6.03 % 87,973 13.81 14 0.2985 % 2,854.4
Performance Highlights
Issue Index Change Notes
BN.PR.N Perpetual-Discount -8.19 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-12-20
Maturity Price : 17.15
Evaluated at bid price : 17.15
Bid-YTW : 6.97 %
ENB.PF.E FixedReset Disc -1.30 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-12-20
Maturity Price : 18.95
Evaluated at bid price : 18.95
Bid-YTW : 7.43 %
BIP.PR.A FixedReset Disc -1.25 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-12-20
Maturity Price : 23.01
Evaluated at bid price : 23.76
Bid-YTW : 6.81 %
RY.PR.N Perpetual-Discount -1.22 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-12-20
Maturity Price : 23.95
Evaluated at bid price : 24.20
Bid-YTW : 5.10 %
PWF.PR.T FixedReset Disc -1.10 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-12-20
Maturity Price : 22.02
Evaluated at bid price : 22.50
Bid-YTW : 6.11 %
MFC.PR.L FixedReset Ins Non -1.01 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-12-20
Maturity Price : 22.03
Evaluated at bid price : 22.55
Bid-YTW : 5.93 %
ENB.PR.B FixedReset Disc 1.14 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-12-20
Maturity Price : 18.61
Evaluated at bid price : 18.61
Bid-YTW : 7.30 %
CCS.PR.C Insurance Straight 1.22 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-12-20
Maturity Price : 20.75
Evaluated at bid price : 20.75
Bid-YTW : 6.06 %
GWO.PR.N FixedReset Ins Non 1.26 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-12-20
Maturity Price : 15.29
Evaluated at bid price : 15.29
Bid-YTW : 6.76 %
IFC.PR.C FixedReset Ins Non 1.35 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-12-20
Maturity Price : 21.46
Evaluated at bid price : 21.80
Bid-YTW : 6.20 %
CU.PR.F Perpetual-Discount 1.36 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-12-20
Maturity Price : 19.40
Evaluated at bid price : 19.40
Bid-YTW : 5.86 %
MFC.PR.I FixedReset Ins Non 1.68 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-12-20
Maturity Price : 23.11
Evaluated at bid price : 24.20
Bid-YTW : 6.07 %
CU.PR.D Perpetual-Discount 1.73 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-12-20
Maturity Price : 21.11
Evaluated at bid price : 21.11
Bid-YTW : 5.87 %
PWF.PR.F Perpetual-Discount 1.78 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-12-20
Maturity Price : 21.42
Evaluated at bid price : 21.68
Bid-YTW : 6.15 %
FFH.PR.K FixedReset Disc 1.92 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-12-20
Maturity Price : 23.02
Evaluated at bid price : 23.85
Bid-YTW : 6.58 %
CU.PR.H Perpetual-Discount 2.51 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-12-20
Maturity Price : 21.80
Evaluated at bid price : 22.04
Bid-YTW : 6.01 %
FFH.PR.G FixedReset Disc 2.59 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-12-20
Maturity Price : 21.44
Evaluated at bid price : 21.75
Bid-YTW : 6.25 %
CU.PR.C FixedReset Disc 2.70 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-12-20
Maturity Price : 20.95
Evaluated at bid price : 20.95
Bid-YTW : 6.48 %
IFC.PR.E Insurance Straight 5.51 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-12-20
Maturity Price : 21.25
Evaluated at bid price : 21.25
Bid-YTW : 6.15 %
Volume Highlights
Issue Index Shares
Traded		 Notes
CM.PR.P FixedReset Disc 840,500 YTW SCENARIO
Maturity Type : Call
Maturity Date : 2025-01-31
Maturity Price : 25.00
Evaluated at bid price : 25.13
Bid-YTW : 3.99 %
NA.PR.W FixedReset Disc 115,085 YTW SCENARIO
Maturity Type : Call
Maturity Date : 2025-02-15
Maturity Price : 25.00
Evaluated at bid price : 25.08
Bid-YTW : 4.12 %
PWF.PR.A Floater 30,150 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-12-20
Maturity Price : 13.15
Evaluated at bid price : 13.15
Bid-YTW : 7.38 %
BN.PR.R FixedReset Disc 28,700 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-12-20
Maturity Price : 17.75
Evaluated at bid price : 17.75
Bid-YTW : 7.18 %
TD.PF.J FixedReset Prem 23,080 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-12-20
Maturity Price : 23.40
Evaluated at bid price : 25.22
Bid-YTW : 5.66 %
CM.PR.S FixedReset Prem 21,800 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-12-20
Maturity Price : 25.49
Evaluated at bid price : 25.49
Bid-YTW : 5.52 %
There were 10 other index-included issues trading in excess of 10,000 shares.
Wide Spread Highlights
Issue Index Quote Data and Yield Notes
BN.PR.N Perpetual-Discount Quote: 17.15 – 18.70
Spot Rate : 1.5500
Average : 0.9088

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-12-20
Maturity Price : 17.15
Evaluated at bid price : 17.15
Bid-YTW : 6.97 %
PVS.PR.K SplitShare Quote: 24.92 – 25.88
Spot Rate : 0.9600
Average : 0.6760

YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2029-05-31
Maturity Price : 25.00
Evaluated at bid price : 24.92
Bid-YTW : 4.60 %
POW.PR.G Perpetual-Discount Quote: 22.83 – 23.45
Spot Rate : 0.6200
Average : 0.3573

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-12-20
Maturity Price : 22.58
Evaluated at bid price : 22.83
Bid-YTW : 6.25 %
IFC.PR.A FixedReset Ins Non Quote: 20.22 – 21.13
Spot Rate : 0.9100
Average : 0.7366

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-12-20
Maturity Price : 20.22
Evaluated at bid price : 20.22
Bid-YTW : 5.90 %
RY.PR.N Perpetual-Discount Quote: 24.20 – 24.80
Spot Rate : 0.6000
Average : 0.4368

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-12-20
Maturity Price : 23.95
Evaluated at bid price : 24.20
Bid-YTW : 5.10 %
CU.PR.J Perpetual-Discount Quote: 19.50 – 20.21
Spot Rate : 0.7100
Average : 0.5724

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-12-20
Maturity Price : 19.50
Evaluated at bid price : 19.50
Bid-YTW : 6.16 %
Market Action

December 19, 2024

Whoosh! Bonds got hammered today:

Economic data Thursday was in sync with the Fed’s view, with weekly initial jobless claims falling more than expected while gross domestic product for the third quarter was revised to show a 3.1% increase from the previously reported 2.8% pace.
…
Traders now see just one quarter-point rate reduction by mid-2025, and see less than two cuts in total by the end of the year, compared with last week’s expectations of three rate cuts.

Longer-dated Treasury yields were higher after the economic data, with the benchmark U.S. 10-year note reaching a near 7-month high of 4.594%. Canadian bond yields also moved higher across a steeper curve. The 10-year by late day was up 15 basis points at 3.373%, its highest since late November.

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 -0.0804 % 2,271.8
FixedFloater 0.00 % 0.00 % 0 0.00 0 -0.0804 % 4,357.3
Floater 7.68 % 7.87 % 33,862 11.58 4 -0.0804 % 2,511.1
OpRet 0.00 % 0.00 % 0 0.00 0 -0.2446 % 3,620.3
SplitShare 4.78 % 4.72 % 64,576 2.07 7 -0.2446 % 4,323.4
Interest-Bearing 0.00 % 0.00 % 0 0.00 0 -0.2446 % 3,373.3
Perpetual-Premium 0.00 % 0.00 % 0 0.00 0 -0.7158 % 2,863.1
Perpetual-Discount 6.00 % 6.17 % 55,508 13.60 32 -0.7158 % 3,122.1
FixedReset Disc 5.41 % 6.65 % 105,143 12.87 53 0.0391 % 2,780.0
Insurance Straight 5.98 % 6.08 % 66,306 13.82 21 -1.3137 % 3,027.1
FloatingReset 6.44 % 5.99 % 36,127 13.10 4 0.1992 % 3,334.7
FixedReset Prem 6.02 % 5.56 % 200,338 13.62 9 0.0130 % 2,601.1
FixedReset Bank Non 0.00 % 0.00 % 0 0.00 0 0.0391 % 2,841.7
FixedReset Ins Non 5.16 % 6.03 % 90,691 13.81 14 -0.3380 % 2,845.9
Performance Highlights
Issue Index Change Notes
IFC.PR.E Insurance Straight -8.45 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-12-19
Maturity Price : 20.14
Evaluated at bid price : 20.14
Bid-YTW : 6.49 %
IFC.PR.A FixedReset Ins Non -3.39 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-12-19
Maturity Price : 20.22
Evaluated at bid price : 20.22
Bid-YTW : 5.90 %
GWO.PR.L Insurance Straight -2.73 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-12-19
Maturity Price : 22.93
Evaluated at bid price : 23.20
Bid-YTW : 6.11 %
PWF.PR.F Perpetual-Discount -2.65 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-12-19
Maturity Price : 21.30
Evaluated at bid price : 21.30
Bid-YTW : 6.27 %
CU.PR.C FixedReset Disc -2.63 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-12-19
Maturity Price : 20.40
Evaluated at bid price : 20.40
Bid-YTW : 6.65 %
GWO.PR.Y Insurance Straight -2.53 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-12-19
Maturity Price : 18.85
Evaluated at bid price : 18.85
Bid-YTW : 6.00 %
IFC.PR.K Insurance Straight -2.19 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-12-19
Maturity Price : 21.42
Evaluated at bid price : 21.42
Bid-YTW : 6.16 %
CU.PR.D Perpetual-Discount -2.12 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-12-19
Maturity Price : 20.75
Evaluated at bid price : 20.75
Bid-YTW : 5.97 %
BN.PR.M Perpetual-Discount -2.00 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-12-19
Maturity Price : 18.63
Evaluated at bid price : 18.63
Bid-YTW : 6.41 %
FTS.PR.F Perpetual-Discount -1.76 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-12-19
Maturity Price : 21.15
Evaluated at bid price : 21.15
Bid-YTW : 5.86 %
FFH.PR.K FixedReset Disc -1.68 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-12-19
Maturity Price : 22.78
Evaluated at bid price : 23.40
Bid-YTW : 6.72 %
BN.PR.N Perpetual-Discount -1.63 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-12-19
Maturity Price : 18.68
Evaluated at bid price : 18.68
Bid-YTW : 6.39 %
FTS.PR.J Perpetual-Discount -1.41 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-12-19
Maturity Price : 20.26
Evaluated at bid price : 20.26
Bid-YTW : 5.93 %
BN.PR.Z FixedReset Disc -1.40 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-12-19
Maturity Price : 21.44
Evaluated at bid price : 21.79
Bid-YTW : 6.90 %
GWO.PR.S Insurance Straight -1.37 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-12-19
Maturity Price : 21.33
Evaluated at bid price : 21.60
Bid-YTW : 6.09 %
GWO.PR.P Insurance Straight -1.34 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-12-19
Maturity Price : 21.91
Evaluated at bid price : 22.15
Bid-YTW : 6.12 %
BN.PF.J FixedReset Disc -1.33 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-12-19
Maturity Price : 22.43
Evaluated at bid price : 23.00
Bid-YTW : 6.67 %
GWO.PR.H Insurance Straight -1.23 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-12-19
Maturity Price : 20.00
Evaluated at bid price : 20.00
Bid-YTW : 6.10 %
BN.PR.K Floater -1.21 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-12-19
Maturity Price : 12.20
Evaluated at bid price : 12.20
Bid-YTW : 7.87 %
GWO.PR.T Insurance Straight -1.17 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-12-19
Maturity Price : 21.20
Evaluated at bid price : 21.20
Bid-YTW : 6.11 %
POW.PR.A Perpetual-Discount -1.16 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-12-19
Maturity Price : 22.71
Evaluated at bid price : 23.00
Bid-YTW : 6.20 %
GWO.PR.M Insurance Straight -1.16 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-12-19
Maturity Price : 23.65
Evaluated at bid price : 23.92
Bid-YTW : 6.08 %
CU.PR.F Perpetual-Discount -1.14 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-12-19
Maturity Price : 19.14
Evaluated at bid price : 19.14
Bid-YTW : 5.94 %
POW.PR.B Perpetual-Discount -1.12 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-12-19
Maturity Price : 21.78
Evaluated at bid price : 22.03
Bid-YTW : 6.18 %
ENB.PR.B FixedReset Disc -1.08 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-12-19
Maturity Price : 18.40
Evaluated at bid price : 18.40
Bid-YTW : 7.39 %
GWO.PR.G Insurance Straight -1.06 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-12-19
Maturity Price : 21.42
Evaluated at bid price : 21.42
Bid-YTW : 6.10 %
GWO.PR.I Insurance Straight -1.04 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-12-19
Maturity Price : 19.00
Evaluated at bid price : 19.00
Bid-YTW : 5.95 %
MFC.PR.C Insurance Straight -1.01 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-12-19
Maturity Price : 19.65
Evaluated at bid price : 19.65
Bid-YTW : 5.77 %
CCS.PR.C Insurance Straight 1.23 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-12-19
Maturity Price : 20.50
Evaluated at bid price : 20.50
Bid-YTW : 6.13 %
PWF.PR.A Floater 1.39 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-12-19
Maturity Price : 13.10
Evaluated at bid price : 13.10
Bid-YTW : 7.40 %
BN.PF.E FixedReset Disc 1.86 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-12-19
Maturity Price : 20.25
Evaluated at bid price : 20.25
Bid-YTW : 6.85 %
ENB.PF.E FixedReset Disc 1.91 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-12-19
Maturity Price : 19.20
Evaluated at bid price : 19.20
Bid-YTW : 7.33 %
NA.PR.W FixedReset Disc 4.28 % YTW SCENARIO
Maturity Type : Call
Maturity Date : 2025-02-15
Maturity Price : 25.00
Evaluated at bid price : 25.08
Bid-YTW : 4.04 %
Volume Highlights
Issue Index Shares
Traded		 Notes
ENB.PR.T FixedReset Disc 157,600 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-12-19
Maturity Price : 20.76
Evaluated at bid price : 20.76
Bid-YTW : 7.01 %
NA.PR.W FixedReset Disc 84,075 YTW SCENARIO
Maturity Type : Call
Maturity Date : 2025-02-15
Maturity Price : 25.00
Evaluated at bid price : 25.08
Bid-YTW : 4.04 %
CM.PR.P FixedReset Disc 65,700 YTW SCENARIO
Maturity Type : Call
Maturity Date : 2025-01-31
Maturity Price : 25.00
Evaluated at bid price : 25.12
Bid-YTW : 4.24 %
CM.PR.Q FixedReset Disc 53,800 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-12-19
Maturity Price : 24.07
Evaluated at bid price : 24.65
Bid-YTW : 5.80 %
MFC.PR.M FixedReset Ins Non 52,600 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-12-19
Maturity Price : 21.85
Evaluated at bid price : 22.30
Bid-YTW : 6.03 %
MFC.PR.N FixedReset Ins Non 50,000 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-12-19
Maturity Price : 21.01
Evaluated at bid price : 21.01
Bid-YTW : 6.32 %
There were 18 other index-included issues trading in excess of 10,000 shares.
Wide Spread Highlights
Issue Index Quote Data and Yield Notes
IFC.PR.E Insurance Straight Quote: 20.14 – 23.25
Spot Rate : 3.1100
Average : 1.7254

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-12-19
Maturity Price : 20.14
Evaluated at bid price : 20.14
Bid-YTW : 6.49 %
CU.PR.C FixedReset Disc Quote: 20.40 – 21.25
Spot Rate : 0.8500
Average : 0.6271

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-12-19
Maturity Price : 20.40
Evaluated at bid price : 20.40
Bid-YTW : 6.65 %
PVS.PR.H SplitShare Quote: 25.00 – 25.50
Spot Rate : 0.5000
Average : 0.3037

YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2027-02-28
Maturity Price : 25.00
Evaluated at bid price : 25.00
Bid-YTW : 4.81 %
CU.PR.D Perpetual-Discount Quote: 20.75 – 21.59
Spot Rate : 0.8400
Average : 0.6519

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-12-19
Maturity Price : 20.75
Evaluated at bid price : 20.75
Bid-YTW : 5.97 %
FFH.PR.K FixedReset Disc Quote: 23.40 – 23.90
Spot Rate : 0.5000
Average : 0.3322

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-12-19
Maturity Price : 22.78
Evaluated at bid price : 23.40
Bid-YTW : 6.72 %
IFC.PR.A FixedReset Ins Non Quote: 20.22 – 20.93
Spot Rate : 0.7100
Average : 0.5465

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-12-19
Maturity Price : 20.22
Evaluated at bid price : 20.22
Bid-YTW : 5.90 %
Issue Comments

BCE.PR.F To Reset at 170% of GOC-5; Interconvertible with BCE.PR.E

BCE Inc. published their conversion notice for BCE.PR.F on 2024-12-16:

As of February 1, 2025, the Series AF Preferred Shares will, should they remain outstanding, pay, on a quarterly basis, as and when declared by the Board of Directors of BCE Inc., a fixed cash dividend for the following five years that will be based on a fixed rate equal to the product of: (a) the yield to maturity compounded semiannually (the “Government of Canada Yield”), computed on January 13, 2025 by two registered Canadian investment dealers appointed by BCE Inc., that would be carried by a non-callable Government of Canada bond with a 5-year maturity, multiplied by (b) the “Selected Percentage Rate”. The “Selected Percentage Rate” determined by BCE Inc. is 170%. The annual dividend rate applicable to the Series AF Preferred Shares will be published on January 16, 2025 in the national edition of The Globe and Mail, the Montreal Gazette and Le Devoir and will be posted on the BCE Inc. website at www.bce.ca.

There is a similar conversion notice for BCE.PR.E.

The Five-Year Canada rate is now 3.15%, if that is the case on the determination date of 2025-1-13, the dividend rate of BCE.PR.F will be 5.355%, or $1.33875 p.a.

BCE.PR.F is a FixedFloater which was added to the HIMIPref™ database in December 2008, when it was paying 4.40%. It reset in 2010 to 4.541% and after a net conversion to BCE.PR.F the issue pair was about 90% FixedFloater. It reset in 2015 to 3.110% and after a massive conversion the issue pair was about 60% RatchetRate. In 2020 the issue reset to 3.865% (which was 239% of the GOC-5 rate) and there was a net 17% conversion to FixedFloaters, which thus comprised about 59% of the combined issue size.

BCE.PR.E is a RatchetRate preferred, interconvertible every five years with BCE.PR.F. It was added to the HIMIPref™ database in May, 2012.

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