This rally seems to have legs – the TXPR price index was up another 0.48% today to 549.53, making a gain of 3.07% from the 533.17 close on 2023-12-27, the last day of tax-loss selling. Geez, if we annualize that …
| HIMIPref™ Preferred Indices These values reflect the December 2008 revision of the HIMIPref™ Indices Values are provisional and are finalized monthly |
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| Index | Mean Current Yield (at bid) |
Median YTW |
Median Average Trading Value |
Median Mod Dur (YTW) |
Issues | Day’s Perf. | Index Value |
| Ratchet | 0.00 % | 0.00 % | 0 | 0.00 | 0 | 0.0000 % | 2,135.4 |
| FixedFloater | 0.00 % | 0.00 % | 0 | 0.00 | 0 | 0.0000 % | 4,095.8 |
| Floater | 11.40 % | 11.58 % | 45,470 | 8.44 | 2 | 0.0000 % | 2,360.4 |
| OpRet | 0.00 % | 0.00 % | 0 | 0.00 | 0 | 0.7061 % | 3,396.4 |
| SplitShare | 4.96 % | 7.40 % | 52,055 | 2.01 | 7 | 0.7061 % | 4,056.0 |
| Interest-Bearing | 0.00 % | 0.00 % | 0 | 0.00 | 0 | 0.7061 % | 3,164.7 |
| Perpetual-Premium | 0.00 % | 0.00 % | 0 | 0.00 | 0 | 0.6481 % | 2,645.6 |
| Perpetual-Discount | 6.49 % | 6.61 % | 56,594 | 13.02 | 34 | 0.6481 % | 2,884.9 |
| FixedReset Disc | 5.76 % | 7.59 % | 120,658 | 12.13 | 59 | 0.4557 % | 2,275.2 |
| Insurance Straight | 6.40 % | 6.53 % | 76,117 | 13.18 | 20 | 0.5966 % | 2,831.0 |
| FloatingReset | 10.50 % | 10.64 % | 36,080 | 9.08 | 5 | 1.1825 % | 2,559.7 |
| FixedReset Prem | 5.94 % | 6.68 % | 154,730 | 12.79 | 2 | -0.9111 % | 2,510.6 |
| FixedReset Bank Non | 0.00 % | 0.00 % | 0 | 0.00 | 0 | 0.4557 % | 2,325.7 |
| FixedReset Ins Non | 5.58 % | 7.15 % | 86,317 | 12.63 | 14 | 0.2660 % | 2,547.2 |
| Performance Highlights | |||
| Issue | Index | Change | Notes |
| IFC.PR.E | Insurance Straight | -1.63 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2054-01-05 Maturity Price : 19.87 Evaluated at bid price : 19.87 Bid-YTW : 6.60 % |
| MIC.PR.A | Perpetual-Discount | -1.03 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2054-01-05 Maturity Price : 18.26 Evaluated at bid price : 18.26 Bid-YTW : 7.47 % |
| BMO.PR.E | FixedReset Disc | -1.02 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2054-01-05 Maturity Price : 22.89 Evaluated at bid price : 24.25 Bid-YTW : 6.46 % |
| SLF.PR.D | Insurance Straight | 1.05 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2054-01-05 Maturity Price : 18.31 Evaluated at bid price : 18.31 Bid-YTW : 6.13 % |
| CU.PR.E | Perpetual-Discount | 1.05 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2054-01-05 Maturity Price : 19.22 Evaluated at bid price : 19.22 Bid-YTW : 6.47 % |
| BMO.PR.S | FixedReset Disc | 1.06 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2054-01-05 Maturity Price : 19.97 Evaluated at bid price : 19.97 Bid-YTW : 7.10 % |
| CM.PR.P | FixedReset Disc | 1.08 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2054-01-05 Maturity Price : 17.81 Evaluated at bid price : 17.81 Bid-YTW : 7.59 % |
| BMO.PR.W | FixedReset Disc | 1.10 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2054-01-05 Maturity Price : 18.30 Evaluated at bid price : 18.30 Bid-YTW : 7.51 % |
| BMO.PR.T | FixedReset Disc | 1.18 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2054-01-05 Maturity Price : 18.82 Evaluated at bid price : 18.82 Bid-YTW : 7.36 % |
| CU.PR.G | Perpetual-Discount | 1.21 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2054-01-05 Maturity Price : 17.50 Evaluated at bid price : 17.50 Bid-YTW : 6.53 % |
| BN.PF.G | FixedReset Disc | 1.23 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2054-01-05 Maturity Price : 16.48 Evaluated at bid price : 16.48 Bid-YTW : 8.91 % |
| GWO.PR.G | Insurance Straight | 1.26 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2054-01-05 Maturity Price : 20.05 Evaluated at bid price : 20.05 Bid-YTW : 6.54 % |
| FFH.PR.I | FixedReset Disc | 1.27 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2054-01-05 Maturity Price : 16.75 Evaluated at bid price : 16.75 Bid-YTW : 8.63 % |
| SLF.PR.G | FixedReset Ins Non | 1.30 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2054-01-05 Maturity Price : 14.00 Evaluated at bid price : 14.00 Bid-YTW : 7.94 % |
| SLF.PR.C | Insurance Straight | 1.37 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2054-01-05 Maturity Price : 18.50 Evaluated at bid price : 18.50 Bid-YTW : 6.06 % |
| NA.PR.W | FixedReset Disc | 1.41 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2054-01-05 Maturity Price : 17.00 Evaluated at bid price : 17.00 Bid-YTW : 7.98 % |
| GWO.PR.I | Insurance Straight | 1.42 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2054-01-05 Maturity Price : 17.80 Evaluated at bid price : 17.80 Bid-YTW : 6.38 % |
| RY.PR.Z | FixedReset Disc | 1.53 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2054-01-05 Maturity Price : 19.85 Evaluated at bid price : 19.85 Bid-YTW : 6.99 % |
| TD.PF.A | FixedReset Disc | 1.68 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2054-01-05 Maturity Price : 19.42 Evaluated at bid price : 19.42 Bid-YTW : 7.12 % |
| CU.PR.J | Perpetual-Discount | 1.70 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2054-01-05 Maturity Price : 18.55 Evaluated at bid price : 18.55 Bid-YTW : 6.50 % |
| GWO.PR.S | Insurance Straight | 1.70 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2054-01-05 Maturity Price : 20.30 Evaluated at bid price : 20.30 Bid-YTW : 6.52 % |
| PVS.PR.H | SplitShare | 1.73 % | YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2027-02-28 Maturity Price : 25.00 Evaluated at bid price : 23.50 Bid-YTW : 7.03 % |
| GWO.PR.H | Insurance Straight | 1.74 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2054-01-05 Maturity Price : 18.76 Evaluated at bid price : 18.76 Bid-YTW : 6.52 % |
| POW.PR.C | Perpetual-Discount | 1.77 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2054-01-05 Maturity Price : 22.71 Evaluated at bid price : 23.00 Bid-YTW : 6.33 % |
| GWO.PR.M | Insurance Straight | 1.79 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2054-01-05 Maturity Price : 22.44 Evaluated at bid price : 22.70 Bid-YTW : 6.43 % |
| FTS.PR.K | FixedReset Disc | 1.88 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2054-01-05 Maturity Price : 17.85 Evaluated at bid price : 17.85 Bid-YTW : 7.59 % |
| FTS.PR.I | FloatingReset | 1.90 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2054-01-05 Maturity Price : 15.55 Evaluated at bid price : 15.55 Bid-YTW : 10.80 % |
| PWF.PR.K | Perpetual-Discount | 1.92 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2054-01-05 Maturity Price : 19.15 Evaluated at bid price : 19.15 Bid-YTW : 6.60 % |
| PWF.PR.S | Perpetual-Discount | 1.97 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2054-01-05 Maturity Price : 18.66 Evaluated at bid price : 18.66 Bid-YTW : 6.57 % |
| MFC.PR.F | FixedReset Ins Non | 2.05 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2054-01-05 Maturity Price : 14.43 Evaluated at bid price : 14.43 Bid-YTW : 7.53 % |
| NA.PR.S | FixedReset Disc | 2.06 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2054-01-05 Maturity Price : 19.60 Evaluated at bid price : 19.60 Bid-YTW : 7.24 % |
| PVS.PR.K | SplitShare | 2.16 % | YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2029-05-31 Maturity Price : 25.00 Evaluated at bid price : 22.25 Bid-YTW : 7.05 % |
| FTS.PR.G | FixedReset Disc | 2.26 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2054-01-05 Maturity Price : 21.25 Evaluated at bid price : 21.25 Bid-YTW : 6.72 % |
| BN.PR.Z | FixedReset Disc | 2.62 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2054-01-05 Maturity Price : 18.80 Evaluated at bid price : 18.80 Bid-YTW : 8.34 % |
| GWO.PR.T | Insurance Straight | 2.68 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2054-01-05 Maturity Price : 19.90 Evaluated at bid price : 19.90 Bid-YTW : 6.53 % |
| FFH.PR.H | FloatingReset | 2.81 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2054-01-05 Maturity Price : 18.30 Evaluated at bid price : 18.30 Bid-YTW : 10.63 % |
| BN.PF.B | FixedReset Disc | 2.86 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2054-01-05 Maturity Price : 18.00 Evaluated at bid price : 18.00 Bid-YTW : 8.30 % |
| Volume Highlights | |||
| Issue | Index | Shares Traded |
Notes |
| TD.PF.I | FixedReset Disc | 140,600 | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2054-01-05 Maturity Price : 23.10 Evaluated at bid price : 24.55 Bid-YTW : 6.48 % |
| BNS.PR.I | FixedReset Prem | 97,300 | YTW SCENARIO Maturity Type : Call Maturity Date : 2024-02-26 Maturity Price : 25.00 Evaluated at bid price : 24.92 Bid-YTW : 5.11 % |
| CM.PR.O | FixedReset Disc | 96,700 | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2054-01-05 Maturity Price : 18.88 Evaluated at bid price : 18.88 Bid-YTW : 7.34 % |
| IFC.PR.C | FixedReset Ins Non | 93,840 | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2054-01-05 Maturity Price : 18.38 Evaluated at bid price : 18.38 Bid-YTW : 7.52 % |
| TD.PF.B | FixedReset Disc | 88,032 | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2054-01-05 Maturity Price : 19.92 Evaluated at bid price : 19.92 Bid-YTW : 7.03 % |
| BN.PF.F | FixedReset Disc | 82,700 | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2054-01-05 Maturity Price : 17.70 Evaluated at bid price : 17.70 Bid-YTW : 8.64 % |
| There were 13 other index-included issues trading in excess of 10,000 shares. | |||
| Wide Spread Highlights | ||
| Issue | Index | Quote Data and Yield Notes |
| CU.PR.I | FixedReset Disc | Quote: 21.75 – 24.50 Spot Rate : 2.7500 Average : 1.5559 YTW SCENARIO |
| BN.PR.N | Perpetual-Discount | Quote: 17.25 – 18.29 Spot Rate : 1.0400 Average : 0.6168 YTW SCENARIO |
| POW.PR.B | Perpetual-Discount | Quote: 20.28 – 21.50 Spot Rate : 1.2200 Average : 0.8209 YTW SCENARIO |
| MFC.PR.M | FixedReset Ins Non | Quote: 18.52 – 19.52 Spot Rate : 1.0000 Average : 0.6460 YTW SCENARIO |
| PWF.PR.K | Perpetual-Discount | Quote: 19.15 – 19.97 Spot Rate : 0.8200 Average : 0.5380 YTW SCENARIO |
| IFC.PR.E | Insurance Straight | Quote: 19.87 – 20.70 Spot Rate : 0.8300 Average : 0.5757 YTW SCENARIO |
“This rally seems to have legs”
As an example, the spread of hypothetical new FR issue for Enbridge has dropped 1.5% (to 5.3%) since mid-Oct. Looks like this 3rd super-spike in FR spreads in the past ten years is deflating.
Not sure if people saw this, but the Dundee substantial issuer bid did result in over 700,000 shares being purchased and cancelled.
https://www.dundeecorporation.com/media-room/news/news-details/2023/Dundee-Corporation-Announces-Results-of-Substantial-Issuer-Bid-for-Its-Series-3-Preferred-Shares/default.aspx