February 15, 2024

February 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 -1.0526 % 2,270.7
FixedFloater 0.00 % 0.00 % 0 0.00 0 -1.0526 % 4,355.2
Floater 10.72 % 10.78 % 49,541 8.87 2 -1.0526 % 2,509.9
OpRet 0.00 % 0.00 % 0 0.00 0 -0.3938 % 3,427.0
SplitShare 4.91 % 7.18 % 50,883 1.90 7 -0.3938 % 4,092.6
Interest-Bearing 0.00 % 0.00 % 0 0.00 0 -0.3938 % 3,193.2
Perpetual-Premium 0.00 % 0.00 % 0 0.00 0 0.2004 % 2,650.0
Perpetual-Discount 6.48 % 6.64 % 45,907 12.98 33 0.2004 % 2,889.7
FixedReset Disc 5.58 % 7.73 % 118,601 12.03 59 0.3166 % 2,364.2
Insurance Straight 6.29 % 6.48 % 65,237 13.16 21 0.3537 % 2,882.3
FloatingReset 10.08 % 10.28 % 35,413 9.24 3 -0.8826 % 2,585.7
FixedReset Prem 6.96 % 6.79 % 159,744 3.27 1 -0.1582 % 2,509.4
FixedReset Bank Non 0.00 % 0.00 % 0 0.00 0 0.3166 % 2,416.7
FixedReset Ins Non 5.43 % 7.21 % 88,080 12.38 14 0.0037 % 2,617.1
Performance Highlights
Issue Index Change Notes
BN.PR.K Floater -3.36 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-02-15
Maturity Price : 11.50
Evaluated at bid price : 11.50
Bid-YTW : 11.26 %
CU.PR.H Perpetual-Discount -2.15 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-02-15
Maturity Price : 20.46
Evaluated at bid price : 20.46
Bid-YTW : 6.45 %
PVS.PR.J SplitShare -1.91 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2028-02-29
Maturity Price : 25.00
Evaluated at bid price : 22.56
Bid-YTW : 7.54 %
PVS.PR.H SplitShare -1.21 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2027-02-28
Maturity Price : 25.00
Evaluated at bid price : 23.71
Bid-YTW : 6.99 %
BN.PF.G FixedReset Disc -1.11 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-02-15
Maturity Price : 16.97
Evaluated at bid price : 16.97
Bid-YTW : 9.28 %
RY.PR.J FixedReset Disc 1.02 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-02-15
Maturity Price : 19.90
Evaluated at bid price : 19.90
Bid-YTW : 7.80 %
FTS.PR.J Perpetual-Discount 1.06 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-02-15
Maturity Price : 19.51
Evaluated at bid price : 19.51
Bid-YTW : 6.11 %
PWF.PR.G Perpetual-Discount 1.12 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-02-15
Maturity Price : 22.33
Evaluated at bid price : 22.60
Bid-YTW : 6.59 %
FTS.PR.K FixedReset Disc 1.14 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-02-15
Maturity Price : 18.92
Evaluated at bid price : 18.92
Bid-YTW : 7.62 %
TD.PF.C FixedReset Disc 1.18 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-02-15
Maturity Price : 19.80
Evaluated at bid price : 19.80
Bid-YTW : 7.44 %
BN.PF.H FixedReset Disc 1.21 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-02-15
Maturity Price : 21.44
Evaluated at bid price : 21.78
Bid-YTW : 8.71 %
BN.PR.B Floater 1.27 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-02-15
Maturity Price : 12.00
Evaluated at bid price : 12.00
Bid-YTW : 10.78 %
CCS.PR.C Insurance Straight 1.29 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-02-15
Maturity Price : 18.90
Evaluated at bid price : 18.90
Bid-YTW : 6.73 %
BMO.PR.S FixedReset Disc 1.42 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-02-15
Maturity Price : 21.45
Evaluated at bid price : 21.45
Bid-YTW : 7.06 %
BIK.PR.A FixedReset Disc 1.47 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-02-15
Maturity Price : 22.83
Evaluated at bid price : 24.15
Bid-YTW : 8.04 %
BN.PR.Z FixedReset Disc 1.64 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-02-15
Maturity Price : 19.80
Evaluated at bid price : 19.80
Bid-YTW : 8.37 %
BN.PF.I FixedReset Disc 1.77 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-02-15
Maturity Price : 20.70
Evaluated at bid price : 20.70
Bid-YTW : 8.66 %
FTS.PR.G FixedReset Disc 2.06 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-02-15
Maturity Price : 21.08
Evaluated at bid price : 21.08
Bid-YTW : 7.05 %
FTS.PR.F Perpetual-Discount 2.21 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-02-15
Maturity Price : 20.35
Evaluated at bid price : 20.35
Bid-YTW : 6.05 %
MIC.PR.A Perpetual-Discount 2.65 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-02-15
Maturity Price : 19.00
Evaluated at bid price : 19.00
Bid-YTW : 7.24 %
GWO.PR.Y Insurance Straight 3.45 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-02-15
Maturity Price : 18.00
Evaluated at bid price : 18.00
Bid-YTW : 6.36 %
Volume Highlights
Issue Index Shares
Traded
Notes
CM.PR.O FixedReset Disc 450,886 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-02-15
Maturity Price : 20.65
Evaluated at bid price : 20.65
Bid-YTW : 7.26 %
BMO.PR.S FixedReset Disc 106,876 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-02-15
Maturity Price : 21.45
Evaluated at bid price : 21.45
Bid-YTW : 7.06 %
TD.PF.B FixedReset Disc 70,861 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-02-15
Maturity Price : 21.15
Evaluated at bid price : 21.15
Bid-YTW : 7.08 %
BMO.PR.W FixedReset Disc 55,289 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-02-15
Maturity Price : 19.10
Evaluated at bid price : 19.10
Bid-YTW : 7.68 %
NA.PR.S FixedReset Disc 41,075 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-02-15
Maturity Price : 20.93
Evaluated at bid price : 20.93
Bid-YTW : 7.34 %
RY.PR.Z FixedReset Disc 39,115 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-02-15
Maturity Price : 20.97
Evaluated at bid price : 20.97
Bid-YTW : 7.08 %
There were 5 other index-included issues trading in excess of 10,000 shares.
Wide Spread Highlights
Issue Index Quote Data and Yield Notes
TD.PF.B FixedReset Disc Quote: 21.15 – 24.10
Spot Rate : 2.9500
Average : 1.6945

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-02-15
Maturity Price : 21.15
Evaluated at bid price : 21.15
Bid-YTW : 7.08 %

BN.PR.M Perpetual-Discount Quote: 17.91 – 18.75
Spot Rate : 0.8400
Average : 0.5061

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-02-15
Maturity Price : 17.91
Evaluated at bid price : 17.91
Bid-YTW : 6.75 %

PVS.PR.J SplitShare Quote: 22.56 – 23.48
Spot Rate : 0.9200
Average : 0.7286

YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2028-02-29
Maturity Price : 25.00
Evaluated at bid price : 22.56
Bid-YTW : 7.54 %

CU.PR.C FixedReset Disc Quote: 19.00 – 19.66
Spot Rate : 0.6600
Average : 0.4700

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-02-15
Maturity Price : 19.00
Evaluated at bid price : 19.00
Bid-YTW : 7.79 %

BN.PR.T FixedReset Disc Quote: 15.07 – 15.70
Spot Rate : 0.6300
Average : 0.4448

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-02-15
Maturity Price : 15.07
Evaluated at bid price : 15.07
Bid-YTW : 9.26 %

BN.PR.R FixedReset Disc Quote: 14.80 – 15.90
Spot Rate : 1.1000
Average : 0.9202

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-02-15
Maturity Price : 14.80
Evaluated at bid price : 14.80
Bid-YTW : 9.41 %

FFN.PR.A Downgraded to Pfd-4 by DBRS

February 15th, 2024

DBRS has announced that it:

has downgraded its credit rating on the Preferred Shares issued by North American Financial 15 Split Corp. (the Company) to Pfd-4 from Pfd-4 (high). The downgrade is based on the deterioration in downside protection to 32.7% as of January 31, 2024, from 34.7% as of January 31, 2023; the increase in the Preferred Shares’ distribution rate to 9.50% annually on the Preferred Share’s redemption value of $10.0 for the fiscal year beginning December 1, 2023, from 7.75% annually for the fiscal year beginning December 1, 2022; a decline in the dividend coverage ratio to 0.4 times (x); a projected grind of 4.0% per year over the remaining term; and unhedged foreign currency exposure.

The Company invests in a portfolio (the Portfolio) consisting primarily of common shares of 15 high-quality North American financial services companies: Bank of America Corporation; Bank of Montreal; The Bank of Nova Scotia; Canadian Imperial Bank of Commerce; CI Financial Corp.; Citigroup Inc.; The Goldman Sachs Group, Inc.; Great-West Lifeco Inc.; JPMorgan Chase & Co.; Manulife Financial Corporation; National Bank of Canada; Royal Bank of Canada; Sun Life Financial Inc.; The Toronto-Dominion Bank; and Wells Fargo & Company. The Company may invest up to 15% of the net asset value (NAV) in securities of issuers other than the core 15, and no more than 10% of the NAV may be invested in any single issuer. As on August 31, 2023, 10.7% of the Portfolio was also invested in Fifth Third Bancorp, U.S. Bancorp, and Morgan Stanley, and 12% was held in cash. Quadravest Capital Management Inc. is acting as the manager (the Manager) for this Company.

A portion of the Company’s Portfolio is exposed to currency risk as it includes securities denominated in U.S. dollars (USD), while the NAV of the Company is expressed in Canadian dollars. The Company has not entered into currency hedging contracts for the USD portion of the Portfolio, although the Company may use derivatives for hedging purposes. As of August 31, 2023, 50.1% of the Portfolio was invested in USD-denominated assets.

The Fund has an at-the-market equity program (the ATM Program) effective until September 9, 2024, unless terminated prior to such date by the Company. The ATM Program allows the Company to issue Preferred Shares and Class A Shares to the public from time to time at the Company’s discretion. The maximum gross proceeds from the issuance of the shares could be $350.0 million. During the period ended May 31, 2023, 1,982,000 Preferred Shares were sold through the ATM Program at an average selling price of $9.58 per Preferred Share, raising gross proceeds worth $19.0 million. During the same period, 2,939,800 Class A Shares were sold through the ATM Program at an average selling price of $5.49 per Class A Share, raising gross proceeds worth $16.2 million.

The Company’s termination date is December 1, 2024. At maturity, the holders of the Preferred Shares will be entitled to the value of the Company, up to the face amount of the Preferred Shares, in priority to the holders of the Class A Shares. Holders of the Class A Shares will receive the remaining value of the Company. The termination date can be extended for additional terms of five years at the Company’s discretion, but shareholders will be provided with a special retraction right in connection with such extension.

The Preferred Shares distribution rate is set by the board of directors annually and subject to a minimum of 5.5% annually until 2024. Holders of the Preferred Shares used to receive cumulative monthly cash dividends at a rate of 6.75% annually until November 30, 2022. However, with effect from December 1, 2022, this rate increased to 7.75% annually and further to 9.50% with effect from December 1, 2023. Class A shareholders are entitled to receive monthly cash dividends currently targeted to be $0.11335 per Class A share, equivalent to 9.0% annually on the issue price of $15.0. No distributions will be paid to the Class A Shares if the NAV per unit (Unit, consisting of one Preferred Share and one Class A Share) falls below $15.0. Because the NAV per Unit fell below $15.0, distributions to Class A shareholders have been suspended since March 2023.

As of January 31, 2024, the asset coverage ratio was at 1.5x. The downside protection available to holders of the Preferred Shares was 32.7%. The dividend coverage stood at 0.4x, indicating that the current dividend income earned by the Company is not enough to fully cover the Company’s expenses and targeted distributions on the Preferred Shares, which increases the reliance on the Manager to generate a high yield to meet distributions and other expenses without having to liquify portfolio securities. To supplement the Portfolio income, the Company may engage in covered call options and put option writing on all or a portion of the shares held in the Portfolio.

Recent Updates/Treasury Offerings

(1) On May 25, 2023
The Company announced that the Toronto Stock Exchange (the TSX) has accepted its notice of intention to make a Normal Course Issuer Bid (the NCIB) to purchase its Preferred Shares and Class A Shares through the facilities of the TSX and/or alternative Canadian trading systems. The NCIB commenced on May 29, 2023, and terminates on May 28, 2024. Pursuant to the NCIB, the Company proposes to purchase, from time to time, if it is considered advisable, up to 5,408,428 Preferred Shares and 5,514,879 Class A Shares of the Company.

(2) On September 21, 2023
The Company announced that the Preferred Shares distribution rate for the fiscal year beginning December 1, 2023, will be $9.50% per annum, in comparison with the previous rate of 7.75% on the initial issue price of $10.0.

The main constraints to the credit rating are the following:

(1) Volatility in stock prices, along with changes in the dividend policies of the underlying issuers, may result in significant reductions in the Preferred Shares’ dividend coverage or downside protection from time to time.

(2) A Preferred Shares’ dividend coverage that is less than one time.

(3) Reliance on the manager to generate a high yield, through methods such as option writing, on the investment portfolio to meet distributions and other expenses without having to liquidate portfolio securities.

(4) The monthly cash distributions to holders of the Class A Shares which create grind on the Portfolio. This risk is mitigated by a NAV test. Because the NAV per Unit fell below $15.0, distributions to Class A shareholders have been suspended since March 2023.

(5) The concentration of the Portfolio in one industry.

(6) The unhedged portion of the USD-denominated Portfolio that exposes the Portfolio to foreign currency risk.

February 14, 2024

February 14th, 2024

PerpetualDiscounts now yield 6.66%, equivalent to 8.66% interest at the standard equivalency factor of 1.3x. Long corporates yielded 5.12% on 2024-2-14, so there is no need to adjust the figure for the timing of the measurement! The pre-tax interest-equivalent spread (in this context, the “Seniority Spread”) has widened sharply to 355bp from the 330bp reported February 7.

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 0.5930 % 2,294.9
FixedFloater 0.00 % 0.00 % 0 0.00 0 0.5930 % 4,401.6
Floater 10.61 % 10.87 % 30,886 8.81 2 0.5930 % 2,536.6
OpRet 0.00 % 0.00 % 0 0.00 0 0.0418 % 3,440.5
SplitShare 4.89 % 7.15 % 50,943 1.90 7 0.0418 % 4,108.7
Interest-Bearing 0.00 % 0.00 % 0 0.00 0 0.0418 % 3,205.8
Perpetual-Premium 0.00 % 0.00 % 0 0.00 0 0.3404 % 2,644.7
Perpetual-Discount 6.50 % 6.66 % 47,641 12.96 33 0.3404 % 2,884.0
FixedReset Disc 5.60 % 7.78 % 117,665 12.04 59 0.0432 % 2,356.8
Insurance Straight 6.31 % 6.51 % 65,417 13.14 21 0.2944 % 2,872.2
FloatingReset 9.99 % 10.25 % 35,520 9.27 3 0.1881 % 2,608.7
FixedReset Prem 6.95 % 6.73 % 164,971 3.28 1 -0.2367 % 2,513.4
FixedReset Bank Non 0.00 % 0.00 % 0 0.00 0 0.0432 % 2,409.1
FixedReset Ins Non 5.43 % 7.18 % 90,893 12.38 14 0.1922 % 2,617.0
Performance Highlights
Issue Index Change Notes
RY.PR.J FixedReset Disc -1.75 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-02-14
Maturity Price : 19.70
Evaluated at bid price : 19.70
Bid-YTW : 7.87 %
BN.PR.Z FixedReset Disc -1.17 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-02-14
Maturity Price : 19.48
Evaluated at bid price : 19.48
Bid-YTW : 8.51 %
PWF.PR.T FixedReset Disc 1.00 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-02-14
Maturity Price : 20.20
Evaluated at bid price : 20.20
Bid-YTW : 7.39 %
PVS.PR.H SplitShare 1.05 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2027-02-28
Maturity Price : 25.00
Evaluated at bid price : 24.00
Bid-YTW : 6.54 %
PWF.PR.Z Perpetual-Discount 1.09 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-02-14
Maturity Price : 19.41
Evaluated at bid price : 19.41
Bid-YTW : 6.71 %
POW.PR.A Perpetual-Discount 1.18 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-02-14
Maturity Price : 21.35
Evaluated at bid price : 21.35
Bid-YTW : 6.65 %
BN.PR.K Floater 1.19 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-02-14
Maturity Price : 11.90
Evaluated at bid price : 11.90
Bid-YTW : 10.87 %
IFC.PR.K Insurance Straight 1.22 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-02-14
Maturity Price : 20.75
Evaluated at bid price : 20.75
Bid-YTW : 6.43 %
SLF.PR.G FixedReset Ins Non 1.33 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-02-14
Maturity Price : 15.20
Evaluated at bid price : 15.20
Bid-YTW : 7.99 %
CU.PR.C FixedReset Disc 1.34 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-02-14
Maturity Price : 18.90
Evaluated at bid price : 18.90
Bid-YTW : 7.83 %
CM.PR.O FixedReset Disc 1.68 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-02-14
Maturity Price : 20.60
Evaluated at bid price : 20.60
Bid-YTW : 7.27 %
BN.PF.J FixedReset Disc 2.21 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-02-14
Maturity Price : 20.80
Evaluated at bid price : 20.80
Bid-YTW : 8.14 %
CU.PR.H Perpetual-Discount 2.50 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-02-14
Maturity Price : 20.91
Evaluated at bid price : 20.91
Bid-YTW : 6.30 %
GWO.PR.Y Insurance Straight 2.59 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-02-14
Maturity Price : 17.40
Evaluated at bid price : 17.40
Bid-YTW : 6.58 %
BMO.PR.Y FixedReset Disc 3.70 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-02-14
Maturity Price : 19.60
Evaluated at bid price : 19.60
Bid-YTW : 7.78 %
Volume Highlights
Issue Index Shares
Traded
Notes
RY.PR.Z FixedReset Disc 124,376 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-02-14
Maturity Price : 20.92
Evaluated at bid price : 20.92
Bid-YTW : 7.09 %
BMO.PR.T FixedReset Disc 61,400 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-02-14
Maturity Price : 19.70
Evaluated at bid price : 19.70
Bid-YTW : 7.51 %
CM.PR.O FixedReset Disc 58,625 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-02-14
Maturity Price : 20.60
Evaluated at bid price : 20.60
Bid-YTW : 7.27 %
BMO.PR.W FixedReset Disc 50,725 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-02-14
Maturity Price : 19.00
Evaluated at bid price : 19.00
Bid-YTW : 7.71 %
TD.PF.A FixedReset Disc 47,900 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-02-14
Maturity Price : 20.50
Evaluated at bid price : 20.50
Bid-YTW : 7.21 %
BN.PF.B FixedReset Disc 32,418 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-02-14
Maturity Price : 19.40
Evaluated at bid price : 19.40
Bid-YTW : 8.32 %
There were 13 other index-included issues trading in excess of 10,000 shares.
Wide Spread Highlights
Issue Index Quote Data and Yield Notes
TD.PF.J FixedReset Disc Quote: 21.90 – 22.99
Spot Rate : 1.0900
Average : 0.6473

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-02-14
Maturity Price : 21.60
Evaluated at bid price : 21.90
Bid-YTW : 7.16 %

BN.PR.R FixedReset Disc Quote: 14.80 – 15.90
Spot Rate : 1.1000
Average : 0.7231

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-02-14
Maturity Price : 14.80
Evaluated at bid price : 14.80
Bid-YTW : 9.41 %

PVS.PR.H SplitShare Quote: 24.00 – 25.00
Spot Rate : 1.0000
Average : 0.6341

YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2027-02-28
Maturity Price : 25.00
Evaluated at bid price : 24.00
Bid-YTW : 6.54 %

BN.PF.H FixedReset Disc Quote: 21.52 – 22.35
Spot Rate : 0.8300
Average : 0.5382

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-02-14
Maturity Price : 21.52
Evaluated at bid price : 21.52
Bid-YTW : 8.82 %

BIP.PR.E FixedReset Disc Quote: 21.31 – 22.23
Spot Rate : 0.9200
Average : 0.6940

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-02-14
Maturity Price : 21.31
Evaluated at bid price : 21.31
Bid-YTW : 7.99 %

BN.PF.C Perpetual-Discount Quote: 17.65 – 18.29
Spot Rate : 0.6400
Average : 0.4153

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-02-14
Maturity Price : 17.65
Evaluated at bid price : 17.65
Bid-YTW : 7.00 %

February 13, 2024

February 13th, 2024

There are no magic wands in this world:

U.S. stock index futures extended losses sharply on Tuesday, as hotter-than-expected consumer inflation readings smashed market speculations of an early start to interest rate cuts this year.

A Labor Department report showed the Consumer Price Index (CPI) rose 0.3% on a monthly basis in January, above the 0.2% increase expected by economists polled by Reuters. Annually, it increased 3.1% versus the 2.9% estimated growth.

Excluding volatile food and energy components, the core figure rose 0.4% month-on-month in January, compared with the estimated 0.3% rise. Annually, it gained 3.9% versus the estimated 3.7% increase.

and

Interest rate swap markets, which capture traders’ views on future monetary policy, now suggest only 40 per cent odds that the bank will cut rates in June, according to Refinitiv Eikon data. That’s down from approximately 50-50 odds last Friday as Statistics Canada released a surprisingly strong jobs report, and 82 per cent odds just prior to a blowout jobs report in the U.S. on Feb. 2. The market is now pricing in only about half a percentage point decrease in the Bank of Canada key lending rate over the course of this 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 0.0424 % 2,281.3
FixedFloater 0.00 % 0.00 % 0 0.00 0 0.0424 % 4,375.6
Floater 10.67 % 10.92 % 49,880 8.79 2 0.0424 % 2,521.7
OpRet 0.00 % 0.00 % 0 0.00 0 0.3354 % 3,439.1
SplitShare 4.89 % 7.12 % 49,633 1.90 7 0.3354 % 4,107.0
Interest-Bearing 0.00 % 0.00 % 0 0.00 0 0.3354 % 3,204.5
Perpetual-Premium 0.00 % 0.00 % 0 0.00 0 -0.1976 % 2,635.8
Perpetual-Discount 6.52 % 6.70 % 48,230 12.93 33 -0.1976 % 2,874.2
FixedReset Disc 5.60 % 7.74 % 118,989 12.03 59 0.2509 % 2,355.8
Insurance Straight 6.33 % 6.51 % 68,095 13.13 21 -0.1927 % 2,863.7
FloatingReset 10.01 % 10.30 % 35,289 9.20 3 0.1696 % 2,603.8
FixedReset Prem 6.93 % 6.65 % 167,137 3.28 1 0.1580 % 2,519.3
FixedReset Bank Non 0.00 % 0.00 % 0 0.00 0 0.2509 % 2,408.1
FixedReset Ins Non 5.44 % 7.19 % 94,540 12.37 14 -0.3058 % 2,612.0
Performance Highlights
Issue Index Change Notes
GWO.PR.Y Insurance Straight -5.25 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-02-13
Maturity Price : 16.96
Evaluated at bid price : 16.96
Bid-YTW : 6.75 %
BMO.PR.Y FixedReset Disc -4.06 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-02-13
Maturity Price : 18.90
Evaluated at bid price : 18.90
Bid-YTW : 8.06 %
CU.PR.H Perpetual-Discount -2.39 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-02-13
Maturity Price : 20.40
Evaluated at bid price : 20.40
Bid-YTW : 6.46 %
BIP.PR.B FixedReset Disc -1.99 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-02-13
Maturity Price : 21.67
Evaluated at bid price : 22.11
Bid-YTW : 9.01 %
MIC.PR.A Perpetual-Discount -1.54 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-02-13
Maturity Price : 18.51
Evaluated at bid price : 18.51
Bid-YTW : 7.43 %
CM.PR.O FixedReset Disc -1.46 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-02-13
Maturity Price : 20.26
Evaluated at bid price : 20.26
Bid-YTW : 7.39 %
TD.PF.I FixedReset Disc -1.33 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-02-13
Maturity Price : 23.10
Evaluated at bid price : 24.52
Bid-YTW : 6.75 %
CU.PR.C FixedReset Disc -1.32 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-02-13
Maturity Price : 18.65
Evaluated at bid price : 18.65
Bid-YTW : 7.93 %
MFC.PR.F FixedReset Ins Non -1.26 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-02-13
Maturity Price : 14.84
Evaluated at bid price : 14.84
Bid-YTW : 7.94 %
SLF.PR.G FixedReset Ins Non -1.19 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-02-13
Maturity Price : 15.00
Evaluated at bid price : 15.00
Bid-YTW : 8.09 %
GWO.PR.S Insurance Straight -1.13 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-02-13
Maturity Price : 20.12
Evaluated at bid price : 20.12
Bid-YTW : 6.64 %
MFC.PR.J FixedReset Ins Non -1.05 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-02-13
Maturity Price : 22.03
Evaluated at bid price : 22.51
Bid-YTW : 7.08 %
GWO.PR.P Insurance Straight 1.08 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-02-13
Maturity Price : 20.58
Evaluated at bid price : 20.58
Bid-YTW : 6.68 %
BN.PR.Z FixedReset Disc 1.34 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-02-13
Maturity Price : 19.71
Evaluated at bid price : 19.71
Bid-YTW : 8.40 %
CM.PR.S FixedReset Disc 1.44 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-02-13
Maturity Price : 21.91
Evaluated at bid price : 21.91
Bid-YTW : 7.01 %
FFH.PR.D FloatingReset 1.47 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-02-13
Maturity Price : 20.65
Evaluated at bid price : 20.65
Bid-YTW : 10.22 %
RY.PR.J FixedReset Disc 1.52 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-02-13
Maturity Price : 20.05
Evaluated at bid price : 20.05
Bid-YTW : 7.74 %
IFC.PR.I Insurance Straight 1.67 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-02-13
Maturity Price : 21.35
Evaluated at bid price : 21.35
Bid-YTW : 6.43 %
PVS.PR.J SplitShare 1.95 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2028-02-29
Maturity Price : 25.00
Evaluated at bid price : 23.00
Bid-YTW : 6.98 %
TD.PF.B FixedReset Disc 3.16 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-02-13
Maturity Price : 21.25
Evaluated at bid price : 21.25
Bid-YTW : 7.04 %
IFC.PR.F Insurance Straight 7.57 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-02-13
Maturity Price : 20.33
Evaluated at bid price : 20.33
Bid-YTW : 6.63 %
BIP.PR.A FixedReset Disc 18.58 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-02-13
Maturity Price : 18.25
Evaluated at bid price : 18.25
Bid-YTW : 9.63 %
Volume Highlights
Issue Index Shares
Traded
Notes
TD.PF.A FixedReset Disc 158,800 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-02-13
Maturity Price : 20.50
Evaluated at bid price : 20.50
Bid-YTW : 7.21 %
RY.PR.M FixedReset Disc 92,500 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-02-13
Maturity Price : 18.97
Evaluated at bid price : 18.97
Bid-YTW : 7.84 %
CM.PR.Q FixedReset Disc 82,367 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-02-13
Maturity Price : 19.50
Evaluated at bid price : 19.50
Bid-YTW : 7.89 %
POW.PR.C Perpetual-Discount 41,366 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-02-13
Maturity Price : 22.24
Evaluated at bid price : 22.51
Bid-YTW : 6.52 %
RY.PR.H FixedReset Disc 35,327 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-02-13
Maturity Price : 19.81
Evaluated at bid price : 19.81
Bid-YTW : 7.50 %
BN.PF.B FixedReset Disc 34,945 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-02-13
Maturity Price : 19.40
Evaluated at bid price : 19.40
Bid-YTW : 8.32 %
There were 19 other index-included issues trading in excess of 10,000 shares.
Wide Spread Highlights
Issue Index Quote Data and Yield Notes
EIT.PR.A SplitShare Quote: 25.11 – 26.11
Spot Rate : 1.0000
Average : 0.5374

YTW SCENARIO
Maturity Type : Soft Maturity
Maturity Date : 2024-03-14
Maturity Price : 25.00
Evaluated at bid price : 25.11
Bid-YTW : 9.17 %

BMO.PR.Y FixedReset Disc Quote: 18.90 – 19.90
Spot Rate : 1.0000
Average : 0.6827

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-02-13
Maturity Price : 18.90
Evaluated at bid price : 18.90
Bid-YTW : 8.06 %

GWO.PR.Y Insurance Straight Quote: 16.96 – 17.96
Spot Rate : 1.0000
Average : 0.7310

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-02-13
Maturity Price : 16.96
Evaluated at bid price : 16.96
Bid-YTW : 6.75 %

BIP.PR.B FixedReset Disc Quote: 22.11 – 23.00
Spot Rate : 0.8900
Average : 0.6583

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-02-13
Maturity Price : 21.67
Evaluated at bid price : 22.11
Bid-YTW : 9.01 %

FFH.PR.I FixedReset Disc Quote: 17.18 – 17.89
Spot Rate : 0.7100
Average : 0.4873

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-02-13
Maturity Price : 17.18
Evaluated at bid price : 17.18
Bid-YTW : 9.00 %

MFC.PR.L FixedReset Ins Non Quote: 19.46 – 24.06
Spot Rate : 4.6000
Average : 4.3992

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-02-13
Maturity Price : 19.46
Evaluated at bid price : 19.46
Bid-YTW : 7.62 %

February 12, 2024

February 12th, 2024

Some cheery news from the Atlanta Fed honcho:

Bumpy and slow is how a top Federal Reserve official sees inflation’s trajectory this year. Translation: Don’t get your hopes up for rate cuts in the next few months.

Atlanta Fed President Raphael Bostic, who is voting on the Federal Open Market Committee’s policy decisions this year, told CNN in an exclusive interview that he is anticipating the nation’s inflation rate — which currently stands at around 3% — will be near “the lower twos” by the end of 2024.

“With that outlook, I really see the first move coming sometime in the summertime,” he said, regarding lowering interest rates that currently sit at a 23-year high.

Bostic said he’s been both surprised and pleased by the strength of the labor market. January’s monthly jobs report stunned economists with the 353,000 new jobs added, which was well above expectations, leaving the unemployment rate below 4% for the 24th consecutive month.

“The question is sort of what is the underlying implication for how fast inflation can get back to 2%?” he said, adding that current economic conditions could work against Americans by helping keep prices elevated. That’s because when unemployment is low, people have more money to spend — which makes it easier for businesses to raise prices.

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 -0.2114 % 2,280.4
FixedFloater 0.00 % 0.00 % 0 0.00 0 -0.2114 % 4,373.8
Floater 10.68 % 10.96 % 32,165 8.76 2 -0.2114 % 2,520.6
OpRet 0.00 % 0.00 % 0 0.00 0 0.0479 % 3,427.6
SplitShare 4.91 % 7.13 % 49,536 1.90 7 0.0479 % 4,093.3
Interest-Bearing 0.00 % 0.00 % 0 0.00 0 0.0479 % 3,193.8
Perpetual-Premium 0.00 % 0.00 % 0 0.00 0 0.6668 % 2,641.0
Perpetual-Discount 6.51 % 6.69 % 50,128 12.93 33 0.6668 % 2,879.9
FixedReset Disc 5.62 % 7.74 % 116,396 12.04 59 -0.1606 % 2,349.9
Insurance Straight 6.32 % 6.48 % 63,033 13.19 21 0.0193 % 2,869.3
FloatingReset 10.03 % 10.27 % 34,772 9.21 3 -0.1881 % 2,599.4
FixedReset Prem 6.94 % 6.70 % 167,413 3.28 1 0.0395 % 2,515.3
FixedReset Bank Non 0.00 % 0.00 % 0 0.00 0 -0.1606 % 2,402.0
FixedReset Ins Non 5.42 % 7.20 % 93,904 12.42 14 -0.0368 % 2,620.0
Performance Highlights
Issue Index Change Notes
BIP.PR.A FixedReset Disc -13.59 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-02-12
Maturity Price : 15.39
Evaluated at bid price : 15.39
Bid-YTW : 11.37 %
IFC.PR.F Insurance Straight -7.17 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-02-12
Maturity Price : 18.90
Evaluated at bid price : 18.90
Bid-YTW : 7.14 %
TD.PF.B FixedReset Disc -3.96 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-02-12
Maturity Price : 20.60
Evaluated at bid price : 20.60
Bid-YTW : 7.26 %
BN.PR.T FixedReset Disc -2.60 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-02-12
Maturity Price : 15.00
Evaluated at bid price : 15.00
Bid-YTW : 9.29 %
GWO.PR.P Insurance Straight -1.88 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-02-12
Maturity Price : 20.36
Evaluated at bid price : 20.36
Bid-YTW : 6.75 %
BIP.PR.E FixedReset Disc -1.85 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-02-12
Maturity Price : 21.20
Evaluated at bid price : 21.20
Bid-YTW : 8.03 %
FTS.PR.F Perpetual-Discount -1.37 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-02-12
Maturity Price : 20.12
Evaluated at bid price : 20.12
Bid-YTW : 6.23 %
BN.PF.J FixedReset Disc -1.26 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-02-12
Maturity Price : 20.30
Evaluated at bid price : 20.30
Bid-YTW : 8.33 %
BN.PR.R FixedReset Disc -1.26 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-02-12
Maturity Price : 14.92
Evaluated at bid price : 14.92
Bid-YTW : 9.33 %
IFC.PR.A FixedReset Ins Non -1.25 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-02-12
Maturity Price : 18.96
Evaluated at bid price : 18.96
Bid-YTW : 7.06 %
NA.PR.S FixedReset Disc 1.02 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-02-12
Maturity Price : 20.76
Evaluated at bid price : 20.76
Bid-YTW : 7.39 %
BMO.PR.Y FixedReset Disc 1.03 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-02-12
Maturity Price : 19.70
Evaluated at bid price : 19.70
Bid-YTW : 7.74 %
CU.PR.J Perpetual-Discount 1.09 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-02-12
Maturity Price : 18.60
Evaluated at bid price : 18.60
Bid-YTW : 6.41 %
FFH.PR.I FixedReset Disc 1.12 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-02-12
Maturity Price : 17.09
Evaluated at bid price : 17.09
Bid-YTW : 9.04 %
IFC.PR.K Insurance Straight 1.23 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-02-12
Maturity Price : 20.61
Evaluated at bid price : 20.61
Bid-YTW : 6.48 %
CU.PR.F Perpetual-Discount 1.25 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-02-12
Maturity Price : 17.75
Evaluated at bid price : 17.75
Bid-YTW : 6.36 %
FFH.PR.C FixedReset Disc 1.64 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-02-12
Maturity Price : 20.43
Evaluated at bid price : 20.43
Bid-YTW : 8.37 %
SLF.PR.H FixedReset Ins Non 1.65 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-02-12
Maturity Price : 19.06
Evaluated at bid price : 19.06
Bid-YTW : 7.12 %
BN.PF.I FixedReset Disc 1.70 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-02-12
Maturity Price : 20.34
Evaluated at bid price : 20.34
Bid-YTW : 8.80 %
CU.PR.H Perpetual-Discount 2.45 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-02-12
Maturity Price : 20.90
Evaluated at bid price : 20.90
Bid-YTW : 6.31 %
MIC.PR.A Perpetual-Discount 2.73 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-02-12
Maturity Price : 18.80
Evaluated at bid price : 18.80
Bid-YTW : 7.32 %
POW.PR.A Perpetual-Discount 3.70 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-02-12
Maturity Price : 21.00
Evaluated at bid price : 21.00
Bid-YTW : 6.76 %
GWO.PR.Y Insurance Straight 4.68 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-02-12
Maturity Price : 17.90
Evaluated at bid price : 17.90
Bid-YTW : 6.39 %
PWF.PR.P FixedReset Disc 9.92 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-02-12
Maturity Price : 14.40
Evaluated at bid price : 14.40
Bid-YTW : 8.45 %
CU.PR.D Perpetual-Discount 16.61 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-02-12
Maturity Price : 19.10
Evaluated at bid price : 19.10
Bid-YTW : 6.44 %
Volume Highlights
Issue Index Shares
Traded
Notes
SLF.PR.H FixedReset Ins Non 226,000 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-02-12
Maturity Price : 19.06
Evaluated at bid price : 19.06
Bid-YTW : 7.12 %
BMO.PR.S FixedReset Disc 147,000 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-02-12
Maturity Price : 21.12
Evaluated at bid price : 21.12
Bid-YTW : 7.17 %
RY.PR.J FixedReset Disc 123,000 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-02-12
Maturity Price : 19.75
Evaluated at bid price : 19.75
Bid-YTW : 7.85 %
FFH.PR.I FixedReset Disc 87,700 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-02-12
Maturity Price : 17.09
Evaluated at bid price : 17.09
Bid-YTW : 9.04 %
BN.PF.B FixedReset Disc 53,200 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-02-12
Maturity Price : 19.40
Evaluated at bid price : 19.40
Bid-YTW : 8.31 %
SLF.PR.G FixedReset Ins Non 50,000 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-02-12
Maturity Price : 15.18
Evaluated at bid price : 15.18
Bid-YTW : 8.00 %
There were 16 other index-included issues trading in excess of 10,000 shares.
Wide Spread Highlights
Issue Index Quote Data and Yield Notes
BIP.PR.A FixedReset Disc Quote: 15.39 – 18.80
Spot Rate : 3.4100
Average : 2.1979

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-02-12
Maturity Price : 15.39
Evaluated at bid price : 15.39
Bid-YTW : 11.37 %

IFC.PR.F Insurance Straight Quote: 18.90 – 20.82
Spot Rate : 1.9200
Average : 1.1276

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-02-12
Maturity Price : 18.90
Evaluated at bid price : 18.90
Bid-YTW : 7.14 %

TD.PF.B FixedReset Disc Quote: 20.60 – 21.48
Spot Rate : 0.8800
Average : 0.4992

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-02-12
Maturity Price : 20.60
Evaluated at bid price : 20.60
Bid-YTW : 7.26 %

NA.PR.E FixedReset Disc Quote: 22.05 – 22.99
Spot Rate : 0.9400
Average : 0.5679

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-02-12
Maturity Price : 21.71
Evaluated at bid price : 22.05
Bid-YTW : 7.01 %

MFC.PR.L FixedReset Ins Non Quote: 19.55 – 24.06
Spot Rate : 4.5100
Average : 4.1790

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-02-12
Maturity Price : 19.55
Evaluated at bid price : 19.55
Bid-YTW : 7.59 %

NA.PR.W FixedReset Disc Quote: 18.88 – 19.90
Spot Rate : 1.0200
Average : 0.7040

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-02-12
Maturity Price : 18.88
Evaluated at bid price : 18.88
Bid-YTW : 7.76 %

February PrefLetter Released!

February 11th, 2024

The February, 2024, edition of PrefLetter has been released and is now available for purchase as the “Previous edition”. Those who subscribe for a full year receive the “Previous edition” as a bonus.

PrefLetter may now be purchased by all Canadian residents.

Until further notice, the “previous” edition will refer to the February, 2024, issue, while the “next” edition will be the March, 2024, issue scheduled to be prepared as of the close March 10, and emailed to subscribers prior to the market-opening on March 13. Prefletter is intended for long term investors seeking issues to buy-and-hold. At least one recommendation from each of the major preferred share sectors is included and discussed.

Note: My verbosity has grown by such leaps and bounds that it is no longer possible to deliver PrefLetter as an eMail attachment – it’s just too big for my software! Instead, I have sent passwords – click on the link in your eMail and your copy will download.

Note: There have been problems lately with corporate eMail protection systems that substitute “safe” links for the links sent in the eMails; the problem being that the “safe” links do not work and an error is generated by my software. To avoid possible problems and delays, please subscribe through an eMail account that is not “protected” by such software.

Note: The PrefLetter website has a Subscriber Download Feature. If you have not received your copy, try it!

Note: PrefLetter eMails sometimes runs afoul of spam filters. If you have not received your copy within fifteen minutes of a release notice such as this one, please double check your (company’s) spam filtering policy and your spam repository – there are some hints in the post Sympatico Spam Filters out of Control. If it’s not there, contact me and I’ll get you your copy … somehow!

Note: There have been scattered complaints regarding inability to open PrefLetter in Acrobat Reader, despite my practice of including myself on the subscription list and immediately checking the copy received. I have had the occasional difficulty reading US Government documents, which I was able to resolve by downloading and installing the latest version of Adobe Reader. Also, note that so far, all complaints have been from users of Yahoo Mail. Try saving it to disk first, before attempting to open it.

Note: There have been other scattered complaints that double-clicking on the links in the “PrefLetter Download” email results in a message that the password has already been used. I have been able to reproduce this problem in my own eMail software … the problem is double-clicking. What happens is the first click opens the link and the second click finds that the password has already been used and refuses to work properly. So the moral of the story is: Don’t be a dick! Single Click!

Note: Assiduous Reader DG informs me:

In case you have any other Apple users: you need to install a free App from the apple store called “FileApp”. It comes with it’s own tutorial and allows you to download and save a PDF file.

However, Assiduous Reader Adrian informs me in the comments to the January 2015 release:

Some nitpicking for DG:
FileApp costs $1.19 in the Apple Store.

ESP.PR.A To Reset To 8.25% For One Year Term

February 10th, 2024

Brompton Group has announced (on 2024-1-26):

that the distribution rate for the preferred shares (the “Preferred Shares”) for the new term from March 29, 2024 to March 28, 2025 has been increased to $0.825 per Preferred Share per annum (8.25% on the par value of $10) payable quarterly which is an increase from $0.80 per Preferred Share per annum. The new Preferred Share distribution rate is based on current market rates for preferred shares with similar terms.

The Fund invests in an actively managed portfolio consisting primarily of equity securities of dividend-paying (at the time of investment) global energy issuers with a market capitalization of at least $2 billion (at the time of investment) which may include companies operating in energy subsectors and related industries such as oil & gas exploration and production, equipment, services, pipelines, transportation, infrastructure, utilities, among others. The Fund may also invest up to 25% of the value of the portfolio (as measured at the time of investment) in equity securities of other global natural resource issuers which include companies that own, explore, mine, process or develop natural resource commodities or supply goods and services to those companies, including directly or indirectly through exchange-traded funds.

In connection with the extension, shareholders who do not wish to continue their investment in the Fund, will be able to retract Preferred Shares or class A shares (the “Class A Shares”) on March 28, 2024 pursuant to a special retraction right and receive a retraction price that is calculated in the same way that such price would be calculated if the Fund were to terminate on March 28, 2024. Pursuant to this option, the retraction price may be less than the market price if the security is trading at a premium to net asset value. To exercise this retraction right, shareholders must provide notice to their investment dealer by February 29, 2024 at 5:00 p.m. (Toronto time). Alternatively, shareholders may sell their Preferred Shares and/or Class A Shares through their securities dealer for the market price at any time, potentially at a higher price than would be achieved through retraction, or shareholders may take no action and continue to hold their shares.

Exploring the hidden risks of high-yielding products

February 10th, 2024

Thanks to John Heinzl for quoting me in his recent piece Exploring the hidden risks of high-yielding products:

Covered call writing may work well in flat or falling markets, but in general it does more harm than good, critics say.

“I consider the … strategy to be a gimmick to snare the unwary,” James Hymas, president of Hymas Investment Management Inc., said in an e-mail. “I have never seen any evidence whatsoever that any single one of these covered call enthusiasts are any good at writing and trading options. And if you’re not good at it you will give up more in foregone capital gains than you gain in option premia.”

In contrast, split preferred dividends are generally safe. In FTN.PR.A’s case, however, there’s an added wrinkle: The manager, Quadravest Capital Management Inc., has hiked the dividend on the preferreds three times in the past four years, by a cumulative 68 per cent. That’s an enormous increase, and it’s the reason the preferreds now yield north of 9 per cent, based on annualizing the most recent monthly dividend.

“I believe that Quadravest boosted the preferred share dividend to such a high level because they wanted to keep the preferred share price high” to facilitate the sale of additional shares through the company’s “at-the-market equity program,” Mr. Hymas said. The ATM, which the company renewed in December, allows Financial 15 Split to issue shares to the public from time to time at the company’s discretion.

But here’s the thing: The dividend – which is currently about 7.7 cents a month or 92.5 cents annually – won’t necessarily remain at its current level forever. The dividend rate is set annually at the discretion of the board and is subject only to a minimum yield of 5.5 per cent until 2025, when the split corporation is scheduled for termination on Dec. 1 of that year (subject to a further five-year extension).

If Quadravest were to cut the preferred dividend to the minimum of 5.5 per cent (based on the issue price of $10) in December, 2024, investors who hold the shares from now until maturity in December, 2025, would have an effective annual yield of just 6.75 per cent, Mr. Hymas said.

February 9, 2024

February 9th, 2024
HIMIPref™ Preferred Indices
These values reflect the December 2008 revision of the HIMIPref™ Indices

Values are provisional and are finalized monthly
Index Mean
Current
Yield
(at bid)
Median
YTW
Median
Average
Trading
Value
Median
Mod Dur
(YTW)
Issues Day’s Perf. Index Value
Ratchet 0.00 % 0.00 % 0 0.00 0 0.5955 % 2,285.2
FixedFloater 0.00 % 0.00 % 0 0.00 0 0.5955 % 4,383.0
Floater 10.66 % 10.90 % 51,329 8.80 2 0.5955 % 2,526.0
OpRet 0.00 % 0.00 % 0 0.00 0 0.1020 % 3,426.0
SplitShare 4.91 % 7.12 % 46,473 1.91 7 0.1020 % 4,091.3
Interest-Bearing 0.00 % 0.00 % 0 0.00 0 0.1020 % 3,192.2
Perpetual-Premium 0.00 % 0.00 % 0 0.00 0 -0.1760 % 2,623.5
Perpetual-Discount 6.55 % 6.71 % 47,746 12.92 34 -0.1760 % 2,860.8
FixedReset Disc 5.62 % 7.77 % 116,948 11.95 59 0.0641 % 2,353.6
Insurance Straight 6.31 % 6.53 % 71,118 13.11 20 0.4607 % 2,868.7
FloatingReset 10.01 % 10.29 % 36,083 9.21 3 -0.2252 % 2,604.3
FixedReset Prem 6.94 % 6.69 % 169,108 3.29 1 0.5964 % 2,514.4
FixedReset Bank Non 0.00 % 0.00 % 0 0.00 0 0.0641 % 2,405.9
FixedReset Ins Non 5.42 % 7.23 % 97,157 12.44 14 0.1438 % 2,621.0
Performance Highlights
Issue Index Change Notes
CU.PR.D Perpetual-Discount -14.91 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-02-09
Maturity Price : 16.38
Evaluated at bid price : 16.38
Bid-YTW : 7.51 %
PWF.PR.P FixedReset Disc -6.89 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-02-09
Maturity Price : 13.10
Evaluated at bid price : 13.10
Bid-YTW : 9.24 %
GWO.PR.Y Insurance Straight -3.66 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-02-09
Maturity Price : 17.10
Evaluated at bid price : 17.10
Bid-YTW : 6.69 %
MIC.PR.A Perpetual-Discount -3.17 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-02-09
Maturity Price : 18.30
Evaluated at bid price : 18.30
Bid-YTW : 7.51 %
BN.PF.I FixedReset Disc -1.72 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-02-09
Maturity Price : 20.00
Evaluated at bid price : 20.00
Bid-YTW : 8.94 %
PWF.PR.T FixedReset Disc -1.14 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-02-09
Maturity Price : 19.92
Evaluated at bid price : 19.92
Bid-YTW : 7.69 %
BN.PR.Z FixedReset Disc -1.02 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-02-09
Maturity Price : 19.45
Evaluated at bid price : 19.45
Bid-YTW : 8.51 %
FFH.PR.I FixedReset Disc 1.20 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-02-09
Maturity Price : 16.90
Evaluated at bid price : 16.90
Bid-YTW : 9.13 %
NA.PR.S FixedReset Disc 1.33 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-02-09
Maturity Price : 20.55
Evaluated at bid price : 20.55
Bid-YTW : 7.46 %
SLF.PR.H FixedReset Ins Non 1.35 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-02-09
Maturity Price : 18.75
Evaluated at bid price : 18.75
Bid-YTW : 7.23 %
FFH.PR.G FixedReset Disc 1.43 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-02-09
Maturity Price : 16.30
Evaluated at bid price : 16.30
Bid-YTW : 9.10 %
CIU.PR.A Perpetual-Discount 1.52 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-02-09
Maturity Price : 17.31
Evaluated at bid price : 17.31
Bid-YTW : 6.67 %
IFC.PR.A FixedReset Ins Non 1.64 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-02-09
Maturity Price : 19.20
Evaluated at bid price : 19.20
Bid-YTW : 6.97 %
BN.PR.N Perpetual-Discount 1.69 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-02-09
Maturity Price : 17.42
Evaluated at bid price : 17.42
Bid-YTW : 6.93 %
BIP.PR.E FixedReset Disc 1.89 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-02-09
Maturity Price : 21.31
Evaluated at bid price : 21.60
Bid-YTW : 7.86 %
CM.PR.Q FixedReset Disc 2.07 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-02-09
Maturity Price : 19.75
Evaluated at bid price : 19.75
Bid-YTW : 7.79 %
POW.PR.C Perpetual-Discount 2.27 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-02-09
Maturity Price : 22.22
Evaluated at bid price : 22.50
Bid-YTW : 6.52 %
BMO.PR.Y FixedReset Disc 2.63 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-02-09
Maturity Price : 19.50
Evaluated at bid price : 19.50
Bid-YTW : 7.81 %
PWF.PR.H Perpetual-Discount 2.76 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-02-09
Maturity Price : 21.31
Evaluated at bid price : 21.58
Bid-YTW : 6.72 %
BIP.PR.A FixedReset Disc 3.25 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-02-09
Maturity Price : 17.81
Evaluated at bid price : 17.81
Bid-YTW : 9.85 %
GWO.PR.I Insurance Straight 4.09 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-02-09
Maturity Price : 17.80
Evaluated at bid price : 17.80
Bid-YTW : 6.42 %
SLF.PR.C Insurance Straight 6.63 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-02-09
Maturity Price : 19.30
Evaluated at bid price : 19.30
Bid-YTW : 5.85 %
Volume Highlights
Issue Index Shares
Traded
Notes
RY.PR.J FixedReset Disc 80,150 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-02-09
Maturity Price : 19.68
Evaluated at bid price : 19.68
Bid-YTW : 7.87 %
GWO.PR.N FixedReset Ins Non 50,400 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-02-09
Maturity Price : 13.83
Evaluated at bid price : 13.83
Bid-YTW : 8.33 %
CU.PR.I FixedReset Disc 50,100 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-02-09
Maturity Price : 22.64
Evaluated at bid price : 23.00
Bid-YTW : 7.66 %
RY.PR.Z FixedReset Disc 41,152 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-02-09
Maturity Price : 20.88
Evaluated at bid price : 20.88
Bid-YTW : 7.10 %
IFC.PR.C FixedReset Ins Non 26,900 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-02-09
Maturity Price : 19.35
Evaluated at bid price : 19.35
Bid-YTW : 7.63 %
FFH.PR.I FixedReset Disc 25,394 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-02-09
Maturity Price : 16.90
Evaluated at bid price : 16.90
Bid-YTW : 9.13 %
There were 5 other index-included issues trading in excess of 10,000 shares.
Wide Spread Highlights
Issue Index Quote Data and Yield Notes
CU.PR.D Perpetual-Discount Quote: 16.38 – 19.24
Spot Rate : 2.8600
Average : 1.6066

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-02-09
Maturity Price : 16.38
Evaluated at bid price : 16.38
Bid-YTW : 7.51 %

MFC.PR.L FixedReset Ins Non Quote: 19.51 – 24.06
Spot Rate : 4.5500
Average : 3.8162

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-02-09
Maturity Price : 19.51
Evaluated at bid price : 19.51
Bid-YTW : 7.60 %

MIC.PR.A Perpetual-Discount Quote: 18.30 – 19.60
Spot Rate : 1.3000
Average : 0.8277

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-02-09
Maturity Price : 18.30
Evaluated at bid price : 18.30
Bid-YTW : 7.51 %

PWF.PR.P FixedReset Disc Quote: 13.10 – 14.55
Spot Rate : 1.4500
Average : 0.9935

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-02-09
Maturity Price : 13.10
Evaluated at bid price : 13.10
Bid-YTW : 9.24 %

GWO.PR.Y Insurance Straight Quote: 17.10 – 18.10
Spot Rate : 1.0000
Average : 0.6947

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-02-09
Maturity Price : 17.10
Evaluated at bid price : 17.10
Bid-YTW : 6.69 %

PVS.PR.K SplitShare Quote: 22.40 – 23.15
Spot Rate : 0.7500
Average : 0.4575

YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2029-05-31
Maturity Price : 25.00
Evaluated at bid price : 22.40
Bid-YTW : 7.05 %

February 8, 2024

February 8th, 2024

TXPR closed at 565.92, down 0.50% on the day. Volume today was 1.82-million, near the median of the past 21 trading days.

CPD closed at 11.24, down 0.44% on the day. Volume was 99,110, second-highest of the past 21 trading days.

ZPR closed at 9.58, down 0.72% on the day. Volume was 45,590, second-lowest of the past 21 trading days.

Five-year Canada yields were up to 3.68%.

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 -0.1699 % 2,271.7
FixedFloater 0.00 % 0.00 % 0 0.00 0 -0.1699 % 4,357.1
Floater 10.72 % 10.95 % 52,066 8.78 2 -0.1699 % 2,511.0
OpRet 0.00 % 0.00 % 0 0.00 0 0.1803 % 3,422.5
SplitShare 4.92 % 7.27 % 48,279 1.92 7 0.1803 % 4,087.2
Interest-Bearing 0.00 % 0.00 % 0 0.00 0 0.1803 % 3,189.0
Perpetual-Premium 0.00 % 0.00 % 0 0.00 0 -1.9987 % 2,628.1
Perpetual-Discount 6.54 % 6.71 % 49,429 12.92 34 -1.9987 % 2,865.8
FixedReset Disc 5.62 % 7.62 % 118,820 12.05 59 -0.3617 % 2,352.1
Insurance Straight 6.34 % 6.53 % 74,004 13.12 20 -0.8479 % 2,855.5
FloatingReset 10.00 % 10.30 % 36,174 9.25 3 -2.8624 % 2,610.2
FixedReset Prem 6.99 % 6.87 % 174,807 3.29 1 -0.3960 % 2,499.4
FixedReset Bank Non 0.00 % 0.00 % 0 0.00 0 -0.3617 % 2,404.4
FixedReset Ins Non 5.43 % 7.23 % 100,565 12.51 14 -0.3858 % 2,617.2
Performance Highlights
Issue Index Change Notes
POW.PR.A Perpetual-Discount -6.68 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-02-08
Maturity Price : 20.25
Evaluated at bid price : 20.25
Bid-YTW : 7.01 %
FFH.PR.D FloatingReset -5.96 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-02-08
Maturity Price : 20.50
Evaluated at bid price : 20.50
Bid-YTW : 10.30 %
FFH.PR.G FixedReset Disc -5.47 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-02-08
Maturity Price : 16.07
Evaluated at bid price : 16.07
Bid-YTW : 9.12 %
GWO.PR.I Insurance Straight -5.37 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-02-08
Maturity Price : 17.10
Evaluated at bid price : 17.10
Bid-YTW : 6.69 %
BN.PR.N Perpetual-Discount -5.36 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-02-08
Maturity Price : 17.13
Evaluated at bid price : 17.13
Bid-YTW : 7.05 %
FFH.PR.I FixedReset Disc -4.84 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-02-08
Maturity Price : 16.70
Evaluated at bid price : 16.70
Bid-YTW : 9.13 %
CCS.PR.C Insurance Straight -4.78 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-02-08
Maturity Price : 18.52
Evaluated at bid price : 18.52
Bid-YTW : 6.86 %
FFH.PR.K FixedReset Disc -4.49 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-02-08
Maturity Price : 19.15
Evaluated at bid price : 19.15
Bid-YTW : 8.81 %
FFH.PR.C FixedReset Disc -3.78 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-02-08
Maturity Price : 20.11
Evaluated at bid price : 20.11
Bid-YTW : 8.40 %
PWF.PR.H Perpetual-Discount -3.71 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-02-08
Maturity Price : 21.00
Evaluated at bid price : 21.00
Bid-YTW : 6.92 %
BN.PR.M Perpetual-Discount -3.65 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-02-08
Maturity Price : 17.70
Evaluated at bid price : 17.70
Bid-YTW : 6.82 %
MIC.PR.A Perpetual-Discount -3.32 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-02-08
Maturity Price : 18.90
Evaluated at bid price : 18.90
Bid-YTW : 7.27 %
POW.PR.C Perpetual-Discount -3.30 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-02-08
Maturity Price : 21.75
Evaluated at bid price : 22.00
Bid-YTW : 6.67 %
CIU.PR.A Perpetual-Discount -3.23 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-02-08
Maturity Price : 17.05
Evaluated at bid price : 17.05
Bid-YTW : 6.77 %
BN.PF.D Perpetual-Discount -2.87 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-02-08
Maturity Price : 17.92
Evaluated at bid price : 17.92
Bid-YTW : 6.95 %
BIP.PR.E FixedReset Disc -2.62 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-02-08
Maturity Price : 21.20
Evaluated at bid price : 21.20
Bid-YTW : 7.96 %
IFC.PR.K Perpetual-Discount -2.55 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-02-08
Maturity Price : 20.28
Evaluated at bid price : 20.28
Bid-YTW : 6.58 %
BMO.PR.Y FixedReset Disc -2.31 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-02-08
Maturity Price : 19.00
Evaluated at bid price : 19.00
Bid-YTW : 7.92 %
PWF.PR.F Perpetual-Discount -2.24 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-02-08
Maturity Price : 19.66
Evaluated at bid price : 19.66
Bid-YTW : 6.74 %
PWF.PR.R Perpetual-Discount -2.15 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-02-08
Maturity Price : 20.47
Evaluated at bid price : 20.47
Bid-YTW : 6.79 %
PWF.PR.Z Perpetual-Discount -2.15 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-02-08
Maturity Price : 19.15
Evaluated at bid price : 19.15
Bid-YTW : 6.79 %
IFC.PR.A FixedReset Ins Non -2.12 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-02-08
Maturity Price : 18.89
Evaluated at bid price : 18.89
Bid-YTW : 7.00 %
PWF.PR.K Perpetual-Discount -2.12 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-02-08
Maturity Price : 18.46
Evaluated at bid price : 18.46
Bid-YTW : 6.77 %
PWF.PR.E Perpetual-Discount -2.04 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-02-08
Maturity Price : 20.62
Evaluated at bid price : 20.62
Bid-YTW : 6.74 %
POW.PR.G Perpetual-Discount -2.01 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-02-08
Maturity Price : 20.93
Evaluated at bid price : 20.93
Bid-YTW : 6.78 %
PWF.PR.L Perpetual-Discount -1.96 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-02-08
Maturity Price : 19.00
Evaluated at bid price : 19.00
Bid-YTW : 6.78 %
POW.PR.D Perpetual-Discount -1.92 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-02-08
Maturity Price : 18.95
Evaluated at bid price : 18.95
Bid-YTW : 6.68 %
MFC.PR.Q FixedReset Ins Non -1.86 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-02-08
Maturity Price : 21.77
Evaluated at bid price : 22.15
Bid-YTW : 7.00 %
POW.PR.B Perpetual-Discount -1.70 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-02-08
Maturity Price : 20.20
Evaluated at bid price : 20.20
Bid-YTW : 6.71 %
GWO.PR.Y Insurance Straight -1.66 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-02-08
Maturity Price : 17.75
Evaluated at bid price : 17.75
Bid-YTW : 6.44 %
NA.PR.S FixedReset Disc -1.60 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-02-08
Maturity Price : 20.28
Evaluated at bid price : 20.28
Bid-YTW : 7.46 %
PWF.PR.O Perpetual-Discount -1.59 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-02-08
Maturity Price : 21.44
Evaluated at bid price : 21.70
Bid-YTW : 6.74 %
PWF.PR.S Perpetual-Discount -1.58 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-02-08
Maturity Price : 18.01
Evaluated at bid price : 18.01
Bid-YTW : 6.73 %
CU.PR.F Perpetual-Discount -1.57 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-02-08
Maturity Price : 17.52
Evaluated at bid price : 17.52
Bid-YTW : 6.44 %
FTS.PR.J Perpetual-Discount -1.55 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-02-08
Maturity Price : 19.72
Evaluated at bid price : 19.72
Bid-YTW : 6.15 %
IFC.PR.F Insurance Straight -1.55 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-02-08
Maturity Price : 20.38
Evaluated at bid price : 20.38
Bid-YTW : 6.61 %
BIP.PR.A FixedReset Disc -1.48 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-02-08
Maturity Price : 17.25
Evaluated at bid price : 17.25
Bid-YTW : 10.06 %
MFC.PR.L FixedReset Ins Non -1.46 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-02-08
Maturity Price : 19.56
Evaluated at bid price : 19.56
Bid-YTW : 7.47 %
FFH.PR.M FixedReset Disc -1.45 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-02-08
Maturity Price : 21.87
Evaluated at bid price : 22.40
Bid-YTW : 8.37 %
RY.PR.O Perpetual-Discount -1.45 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-02-08
Maturity Price : 21.44
Evaluated at bid price : 21.73
Bid-YTW : 5.64 %
CU.PR.E Perpetual-Discount -1.35 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-02-08
Maturity Price : 19.00
Evaluated at bid price : 19.00
Bid-YTW : 6.47 %
FTS.PR.F Perpetual-Discount -1.34 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-02-08
Maturity Price : 20.60
Evaluated at bid price : 20.60
Bid-YTW : 6.07 %
CU.PR.J Perpetual-Discount -1.34 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-02-08
Maturity Price : 18.41
Evaluated at bid price : 18.41
Bid-YTW : 6.47 %
CM.PR.Q FixedReset Disc -1.28 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-02-08
Maturity Price : 19.35
Evaluated at bid price : 19.35
Bid-YTW : 7.85 %
ELF.PR.H Perpetual-Discount -1.19 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-02-08
Maturity Price : 21.31
Evaluated at bid price : 21.58
Bid-YTW : 6.44 %
MFC.PR.K FixedReset Ins Non -1.18 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-02-08
Maturity Price : 22.03
Evaluated at bid price : 22.55
Bid-YTW : 6.74 %
BN.PF.C Perpetual-Discount -1.11 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-02-08
Maturity Price : 17.75
Evaluated at bid price : 17.75
Bid-YTW : 6.95 %
CU.PR.C FixedReset Disc -1.09 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-02-08
Maturity Price : 19.05
Evaluated at bid price : 19.05
Bid-YTW : 7.68 %
MFC.PR.J FixedReset Ins Non -1.09 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-02-08
Maturity Price : 22.18
Evaluated at bid price : 22.75
Bid-YTW : 6.93 %
BN.PF.E FixedReset Disc -1.04 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-02-08
Maturity Price : 16.25
Evaluated at bid price : 16.25
Bid-YTW : 9.30 %
FTS.PR.I FloatingReset -1.03 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-02-08
Maturity Price : 16.38
Evaluated at bid price : 16.38
Bid-YTW : 10.32 %
BMO.PR.E FixedReset Disc -1.00 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-02-08
Maturity Price : 23.05
Evaluated at bid price : 24.65
Bid-YTW : 6.50 %
GWO.PR.Q Insurance Straight -1.00 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-02-08
Maturity Price : 19.80
Evaluated at bid price : 19.80
Bid-YTW : 6.61 %
BN.PF.H FixedReset Disc 1.35 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-02-08
Maturity Price : 21.45
Evaluated at bid price : 21.80
Bid-YTW : 8.61 %
BN.PF.G FixedReset Disc 3.15 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-02-08
Maturity Price : 17.05
Evaluated at bid price : 17.05
Bid-YTW : 9.12 %
BN.PF.F FixedReset Disc 3.93 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-02-08
Maturity Price : 18.76
Evaluated at bid price : 18.76
Bid-YTW : 8.65 %
SLF.PR.H FixedReset Ins Non 5.71 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-02-08
Maturity Price : 18.50
Evaluated at bid price : 18.50
Bid-YTW : 7.23 %
BN.PR.R FixedReset Disc 9.06 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-02-08
Maturity Price : 15.05
Evaluated at bid price : 15.05
Bid-YTW : 9.14 %
Volume Highlights
Issue Index Shares
Traded
Notes
BMO.PR.F FixedReset Disc 221,513 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-02-08
Maturity Price : 23.88
Evaluated at bid price : 24.69
Bid-YTW : 7.21 %
NA.PR.W FixedReset Disc 51,824 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-02-08
Maturity Price : 19.01
Evaluated at bid price : 19.01
Bid-YTW : 7.60 %
FFH.PR.K FixedReset Disc 34,433 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-02-08
Maturity Price : 19.15
Evaluated at bid price : 19.15
Bid-YTW : 8.81 %
FFH.PR.D FloatingReset 28,753 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-02-08
Maturity Price : 20.50
Evaluated at bid price : 20.50
Bid-YTW : 10.30 %
NA.PR.E FixedReset Disc 28,700 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-02-08
Maturity Price : 21.67
Evaluated at bid price : 22.00
Bid-YTW : 6.95 %
PWF.PR.E Perpetual-Discount 28,292 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-02-08
Maturity Price : 20.62
Evaluated at bid price : 20.62
Bid-YTW : 6.74 %
There were 20 other index-included issues trading in excess of 10,000 shares.
Wide Spread Highlights
Issue Index Quote Data and Yield Notes
MFC.PR.L FixedReset Ins Non Quote: 19.56 – 24.06
Spot Rate : 4.5000
Average : 3.0116

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-02-08
Maturity Price : 19.56
Evaluated at bid price : 19.56
Bid-YTW : 7.47 %

BN.PF.F FixedReset Disc Quote: 18.76 – 22.00
Spot Rate : 3.2400
Average : 1.9893

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-02-08
Maturity Price : 18.76
Evaluated at bid price : 18.76
Bid-YTW : 8.65 %

CM.PR.O FixedReset Disc Quote: 20.45 – 22.15
Spot Rate : 1.7000
Average : 1.0676

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-02-08
Maturity Price : 20.45
Evaluated at bid price : 20.45
Bid-YTW : 7.22 %

POW.PR.A Perpetual-Discount Quote: 20.25 – 21.52
Spot Rate : 1.2700
Average : 0.7384

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-02-08
Maturity Price : 20.25
Evaluated at bid price : 20.25
Bid-YTW : 7.01 %

FFH.PR.I FixedReset Disc Quote: 16.70 – 17.90
Spot Rate : 1.2000
Average : 0.7173

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-02-08
Maturity Price : 16.70
Evaluated at bid price : 16.70
Bid-YTW : 9.13 %

CCS.PR.C Insurance Straight Quote: 18.52 – 19.48
Spot Rate : 0.9600
Average : 0.5961

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-02-08
Maturity Price : 18.52
Evaluated at bid price : 18.52
Bid-YTW : 6.86 %