CPX.PR.K To Be Redeemed

May 15th, 2024

Capital Power Corporation has announced:

that it intends to redeem all of its 6,000,000 issued and outstanding 5.75% Cumulative Minimum Rate Reset Preference Shares, Series 11 (the “Series 11 Shares”) (TSX: CPX.PR.K) on June 30, 2024 (the “Redemption Date”) at a price of $25.00 per share (the “Redemption Price”) for an aggregate total of $150 million, less any tax required to be deducted and withheld by the Company. As June 30, 2024 is not a business day payment of the Redemption Price will occur on July 2, 2024.

As previously announced, the Company’s Board of Directors has declared a quarterly dividend of $0.359375 per Series 11 Share payable on June 28, 2024 (the “Q2 2024 Quarterly Dividend”) to shareholders of record as of June 17, 2024. This will be the final quarterly dividend on the Series 11 Shares.

The Company has provided notice today of the Redemption Price and the Redemption Date to the sole registered holder of the Series 11 Shares in accordance with their terms. Non-registered holders of Series 11 Shares should contact their broker or other intermediary for information regarding the redemption process for the Series 11 Shares in which they hold a beneficial interest.

This follows yesterday’s announcement of the possibility and indicates that the company was able to raise funds at an attractive price on the hybrid bond market – which may be taken as an indication that not only is the preferred share market cheap relative to other markets, but that even junk issuers are able to access financing at a better price.

CPX.PR.K was issued as a FixedReset 5.75%+415M575 issue that commenced trading 2019-5-16 after being announced 2019-5-7. The potential for redemption was announced 2024-5-14. The issue has been tracked by HIMIPref™ but relegated to the Scraps – FixedReset (Discount) subindex on credit concerns.

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

May 15, 2024

May 15th, 2024

Inflation news from the US was positive:

The Consumer Price Index climbed 3.4 percent in April, down from 3.5 percent in March, the Labor Department said Wednesday. The “core” index — which strips out volatile food and fuel prices in order to give a sense of the underlying trend — rose 3.6 percent last month, down from 3.8 percent a month earlier. It was the lowest annual increase in core inflation since early 2021.

Had the data come in hotter than anticipated yet again, it could have led policymakers to conclude that high rates needed more time to bring inflation to heel. Speaking at an event in Amsterdam on Tuesday, Jerome H. Powell, the Fed chair, reiterated that recent inflation readings had made him more cautious about cutting rates.

“We did not expect this to be a smooth road, but these were higher than I think anybody expected,” he said. “What that has told us is that we will need to be patient and let restrictive policy do its work.”

Wednesday’s report showed improvement in some of the categories that had driven the recent uptick in inflation. Health insurance costs, which jumped in March, rose more slowly in April. Car insurance rates, too, rose more slowly, although still at an uncomfortably rapid clip.

But prices in one key part of the economy remained stubborn: housing. For more than a year, forecasters have been predicting that the government’s measure of housing inflation would ease, citing private-sector data showing rent increases slowing.

Instead, housing costs in the Consumer Price Index have continued to rise more quickly than before the pandemic, a pattern that continued in April.

The Five-year Canada yield dropped to 3.67%.

PerpetualDiscounts now yield 6.49%, equivalent to 8.44% interest at the standard equivalency factor of 1.3x. Long corporates yielded 5.19% on 2024-5-10 and since then the closing price of ZLC has changed from 14.76 to 14.98, an increase of 149bp in price, implying a decrease of yields of 12bp (BMO reports a duration of 12.32, but don’t disclose whether this is Macaulay or Modified; I will assume Modified) to 5.07%. Therefore, the pre-tax interest-equivalent spread (in this context, the “Seniority Spread”) has narrowed slightly (and perhaps spuriously) to 335bp from the 340bp reported May 1.

HIMIPref™ Preferred Indices
These values reflect the December 2008 revision of the HIMIPref™ Indices

Values are provisional and are finalized monthly
Index Mean
Current
Yield
(at bid)
Median
YTW
Median
Average
Trading
Value
Median
Mod Dur
(YTW)
Issues Day’s Perf. Index Value
Ratchet 0.00 % 0.00 % 0 0.00 0 -2.3501 % 2,301.2
FixedFloater 0.00 % 0.00 % 0 0.00 0 -2.3501 % 4,413.8
Floater 10.46 % 10.73 % 61,222 8.92 1 -2.3501 % 2,543.7
OpRet 0.00 % 0.00 % 0 0.00 0 0.0103 % 3,477.1
SplitShare 4.84 % 6.84 % 32,611 1.38 8 0.0103 % 4,152.4
Interest-Bearing 0.00 % 0.00 % 0 0.00 0 0.0103 % 3,239.8
Perpetual-Premium 0.00 % 0.00 % 0 0.00 0 0.7619 % 2,708.9
Perpetual-Discount 6.33 % 6.49 % 54,542 13.18 27 0.7619 % 2,953.9
FixedReset Disc 5.21 % 7.03 % 125,068 11.94 57 0.0454 % 2,584.8
Insurance Straight 6.24 % 6.40 % 58,570 13.29 21 0.6010 % 2,905.4
FloatingReset 9.05 % 9.19 % 27,140 10.13 2 0.3755 % 2,819.9
FixedReset Prem 6.95 % 6.41 % 215,312 3.09 2 -0.3148 % 2,522.7
FixedReset Bank Non 0.00 % 0.00 % 0 0.00 0 0.0454 % 2,642.2
FixedReset Ins Non 5.05 % 7.01 % 85,619 12.63 14 -0.6717 % 2,811.8
Performance Highlights
Issue Index Change Notes
MFC.PR.Q FixedReset Ins Non -3.78 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-05-15
Maturity Price : 22.28
Evaluated at bid price : 22.90
Bid-YTW : 6.93 %
MFC.PR.J FixedReset Ins Non -2.81 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-05-15
Maturity Price : 22.63
Evaluated at bid price : 23.50
Bid-YTW : 6.86 %
BN.PR.B Floater -2.35 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-05-15
Maturity Price : 12.05
Evaluated at bid price : 12.05
Bid-YTW : 10.73 %
CCS.PR.C Insurance Straight -1.17 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-05-15
Maturity Price : 19.47
Evaluated at bid price : 19.47
Bid-YTW : 6.53 %
BMO.PR.W FixedReset Disc -1.13 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-05-15
Maturity Price : 22.91
Evaluated at bid price : 23.65
Bid-YTW : 6.33 %
SLF.PR.H FixedReset Ins Non -1.09 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-05-15
Maturity Price : 19.90
Evaluated at bid price : 19.90
Bid-YTW : 7.01 %
PWF.PR.Z Perpetual-Discount 1.06 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-05-15
Maturity Price : 20.10
Evaluated at bid price : 20.10
Bid-YTW : 6.48 %
BN.PR.Z FixedReset Disc 1.06 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-05-15
Maturity Price : 21.00
Evaluated at bid price : 21.00
Bid-YTW : 8.01 %
IFC.PR.K Insurance Straight 1.06 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-05-15
Maturity Price : 20.97
Evaluated at bid price : 20.97
Bid-YTW : 6.37 %
TD.PF.J FixedReset Disc 1.08 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-05-15
Maturity Price : 22.98
Evaluated at bid price : 24.27
Bid-YTW : 6.52 %
PWF.PR.H Perpetual-Discount 1.09 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-05-15
Maturity Price : 22.07
Evaluated at bid price : 22.30
Bid-YTW : 6.51 %
GWO.PR.G Insurance Straight 1.29 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-05-15
Maturity Price : 20.34
Evaluated at bid price : 20.34
Bid-YTW : 6.50 %
POW.PR.C Perpetual-Discount 1.33 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-05-15
Maturity Price : 22.66
Evaluated at bid price : 22.90
Bid-YTW : 6.41 %
MFC.PR.B Insurance Straight 1.35 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-05-15
Maturity Price : 19.57
Evaluated at bid price : 19.57
Bid-YTW : 6.05 %
SLF.PR.E Insurance Straight 1.38 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-05-15
Maturity Price : 19.10
Evaluated at bid price : 19.10
Bid-YTW : 5.99 %
BN.PR.N Perpetual-Discount 1.40 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-05-15
Maturity Price : 18.05
Evaluated at bid price : 18.05
Bid-YTW : 6.70 %
PWF.PR.G Perpetual-Discount 1.56 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-05-15
Maturity Price : 22.49
Evaluated at bid price : 22.75
Bid-YTW : 6.54 %
SLF.PR.D Insurance Straight 1.76 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-05-15
Maturity Price : 19.08
Evaluated at bid price : 19.08
Bid-YTW : 5.92 %
POW.PR.D Perpetual-Discount 1.80 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-05-15
Maturity Price : 19.80
Evaluated at bid price : 19.80
Bid-YTW : 6.40 %
BIP.PR.E FixedReset Disc 1.81 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-05-15
Maturity Price : 21.66
Evaluated at bid price : 21.95
Bid-YTW : 7.85 %
POW.PR.A Perpetual-Discount 1.86 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-05-15
Maturity Price : 21.62
Evaluated at bid price : 21.87
Bid-YTW : 6.48 %
CU.PR.G Perpetual-Discount 2.71 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-05-15
Maturity Price : 18.18
Evaluated at bid price : 18.18
Bid-YTW : 6.21 %
Volume Highlights
Issue Index Shares
Traded
Notes
RY.PR.Z FixedReset Disc 446,200 YTW SCENARIO
Maturity Type : Call
Maturity Date : 2024-06-23
Maturity Price : 25.00
Evaluated at bid price : 24.96
Bid-YTW : 4.39 %
BN.PR.N Perpetual-Discount 159,712 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-05-15
Maturity Price : 18.05
Evaluated at bid price : 18.05
Bid-YTW : 6.70 %
PWF.PR.Z Perpetual-Discount 149,051 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-05-15
Maturity Price : 20.10
Evaluated at bid price : 20.10
Bid-YTW : 6.48 %
NA.PR.S FixedReset Disc 97,232 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-05-15
Maturity Price : 22.50
Evaluated at bid price : 23.42
Bid-YTW : 6.63 %
BMO.PR.S FixedReset Disc 92,300 YTW SCENARIO
Maturity Type : Call
Maturity Date : 2024-06-24
Maturity Price : 25.00
Evaluated at bid price : 24.95
Bid-YTW : 4.77 %
IFC.PR.I Insurance Straight 81,257 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-05-15
Maturity Price : 21.42
Evaluated at bid price : 21.69
Bid-YTW : 6.31 %
There were 26 other index-included issues trading in excess of 10,000 shares.
Wide Spread Highlights
Issue Index Quote Data and Yield Notes
PWF.PR.F Perpetual-Discount Quote: 20.10 – 21.50
Spot Rate : 1.4000
Average : 0.9400

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-05-15
Maturity Price : 20.10
Evaluated at bid price : 20.10
Bid-YTW : 6.60 %

MFC.PR.Q FixedReset Ins Non Quote: 22.90 – 23.92
Spot Rate : 1.0200
Average : 0.6197

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-05-15
Maturity Price : 22.28
Evaluated at bid price : 22.90
Bid-YTW : 6.93 %

MFC.PR.N FixedReset Ins Non Quote: 20.85 – 22.30
Spot Rate : 1.4500
Average : 1.0660

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-05-15
Maturity Price : 20.85
Evaluated at bid price : 20.85
Bid-YTW : 7.30 %

SLF.PR.C Insurance Straight Quote: 18.05 – 19.25
Spot Rate : 1.2000
Average : 0.9289

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-05-15
Maturity Price : 18.05
Evaluated at bid price : 18.05
Bid-YTW : 6.27 %

MFC.PR.J FixedReset Ins Non Quote: 23.50 – 24.23
Spot Rate : 0.7300
Average : 0.4745

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-05-15
Maturity Price : 22.63
Evaluated at bid price : 23.50
Bid-YTW : 6.86 %

IFC.PR.K Insurance Straight Quote: 20.97 – 22.00
Spot Rate : 1.0300
Average : 0.8060

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-05-15
Maturity Price : 20.97
Evaluated at bid price : 20.97
Bid-YTW : 6.37 %

May 14, 2024

May 14th, 2024
HIMIPref™ Preferred Indices
These values reflect the December 2008 revision of the HIMIPref™ Indices

Values are provisional and are finalized monthly
Index Mean
Current
Yield
(at bid)
Median
YTW
Median
Average
Trading
Value
Median
Mod Dur
(YTW)
Issues Day’s Perf. Index Value
Ratchet 0.00 % 0.00 % 0 0.00 0 0.0811 % 2,356.6
FixedFloater 0.00 % 0.00 % 0 0.00 0 0.0811 % 4,520.0
Floater 10.21 % 10.47 % 61,831 9.11 1 0.0811 % 2,604.9
OpRet 0.00 % 0.00 % 0 0.00 0 0.1237 % 3,476.7
SplitShare 4.84 % 6.82 % 33,946 1.39 8 0.1237 % 4,151.9
Interest-Bearing 0.00 % 0.00 % 0 0.00 0 0.1237 % 3,239.5
Perpetual-Premium 0.00 % 0.00 % 0 0.00 0 0.0037 % 2,688.4
Perpetual-Discount 6.38 % 6.55 % 53,789 13.13 27 0.0037 % 2,931.6
FixedReset Disc 5.17 % 7.01 % 126,056 11.83 57 0.1371 % 2,583.6
Insurance Straight 6.28 % 6.44 % 55,975 13.23 21 0.2545 % 2,888.0
FloatingReset 9.09 % 9.18 % 27,440 10.14 2 -0.4981 % 2,809.4
FixedReset Prem 6.93 % 6.26 % 207,920 3.09 2 0.1774 % 2,530.7
FixedReset Bank Non 0.00 % 0.00 % 0 0.00 0 0.1371 % 2,641.0
FixedReset Ins Non 5.02 % 6.95 % 84,287 12.82 14 0.0341 % 2,830.9
Performance Highlights
Issue Index Change Notes
SLF.PR.C Insurance Straight -3.99 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-05-14
Maturity Price : 18.05
Evaluated at bid price : 18.05
Bid-YTW : 6.27 %
SLF.PR.J FloatingReset -1.70 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-05-14
Maturity Price : 17.35
Evaluated at bid price : 17.35
Bid-YTW : 9.42 %
NA.PR.W FixedReset Disc -1.35 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-05-14
Maturity Price : 21.51
Evaluated at bid price : 21.85
Bid-YTW : 6.87 %
MFC.PR.L FixedReset Ins Non -1.35 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-05-14
Maturity Price : 21.53
Evaluated at bid price : 21.85
Bid-YTW : 6.95 %
CM.PR.P FixedReset Disc -1.24 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-05-14
Maturity Price : 22.29
Evaluated at bid price : 23.08
Bid-YTW : 6.46 %
TD.PF.J FixedReset Disc -1.07 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-05-14
Maturity Price : 22.86
Evaluated at bid price : 24.01
Bid-YTW : 6.60 %
PVS.PR.H SplitShare 1.04 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2027-02-28
Maturity Price : 25.00
Evaluated at bid price : 24.25
Bid-YTW : 6.27 %
SLF.PR.H FixedReset Ins Non 1.11 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-05-14
Maturity Price : 20.12
Evaluated at bid price : 20.12
Bid-YTW : 6.94 %
BN.PF.J FixedReset Disc 1.12 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-05-14
Maturity Price : 22.12
Evaluated at bid price : 22.60
Bid-YTW : 7.58 %
BN.PF.E FixedReset Disc 1.18 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-05-14
Maturity Price : 18.01
Evaluated at bid price : 18.01
Bid-YTW : 8.75 %
IFC.PR.F Insurance Straight 1.50 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-05-14
Maturity Price : 20.91
Evaluated at bid price : 20.91
Bid-YTW : 6.44 %
CCS.PR.C Insurance Straight 1.60 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-05-14
Maturity Price : 19.70
Evaluated at bid price : 19.70
Bid-YTW : 6.45 %
BIP.PR.F FixedReset Disc 1.61 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-05-14
Maturity Price : 20.88
Evaluated at bid price : 20.88
Bid-YTW : 8.11 %
BN.PR.Z FixedReset Disc 3.64 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-05-14
Maturity Price : 20.78
Evaluated at bid price : 20.78
Bid-YTW : 8.09 %
IFC.PR.I Insurance Straight 3.80 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-05-14
Maturity Price : 21.59
Evaluated at bid price : 21.59
Bid-YTW : 6.36 %
Volume Highlights
Issue Index Shares
Traded
Notes
NA.PR.C FixedReset Prem 186,404 YTW SCENARIO
Maturity Type : Call
Maturity Date : 2027-11-15
Maturity Price : 25.00
Evaluated at bid price : 25.63
Bid-YTW : 6.26 %
TD.PF.B FixedReset Disc 145,715 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-05-14
Maturity Price : 23.03
Evaluated at bid price : 24.04
Bid-YTW : 6.29 %
NA.PR.S FixedReset Disc 142,600 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-05-14
Maturity Price : 22.51
Evaluated at bid price : 23.43
Bid-YTW : 6.63 %
NA.PR.G FixedReset Prem 98,000 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-05-14
Maturity Price : 23.26
Evaluated at bid price : 25.20
Bid-YTW : 6.64 %
SLF.PR.G FixedReset Ins Non 80,200 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-05-14
Maturity Price : 17.16
Evaluated at bid price : 17.16
Bid-YTW : 7.35 %
FTS.PR.K FixedReset Disc 76,000 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-05-14
Maturity Price : 19.26
Evaluated at bid price : 19.26
Bid-YTW : 7.63 %
There were 16 other index-included issues trading in excess of 10,000 shares.
Wide Spread Highlights
Issue Index Quote Data and Yield Notes
SLF.PR.C Insurance Straight Quote: 18.05 – 19.10
Spot Rate : 1.0500
Average : 0.6316

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-05-14
Maturity Price : 18.05
Evaluated at bid price : 18.05
Bid-YTW : 6.27 %

MFC.PR.M FixedReset Ins Non Quote: 21.64 – 22.64
Spot Rate : 1.0000
Average : 0.6366

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-05-14
Maturity Price : 21.36
Evaluated at bid price : 21.64
Bid-YTW : 7.15 %

TD.PF.E FixedReset Disc Quote: 22.90 – 23.70
Spot Rate : 0.8000
Average : 0.4827

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-05-14
Maturity Price : 22.49
Evaluated at bid price : 22.90
Bid-YTW : 6.93 %

BIP.PR.E FixedReset Disc Quote: 21.56 – 22.53
Spot Rate : 0.9700
Average : 0.6962

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-05-14
Maturity Price : 21.28
Evaluated at bid price : 21.56
Bid-YTW : 7.99 %

BN.PR.M Perpetual-Discount Quote: 17.40 – 18.50
Spot Rate : 1.1000
Average : 0.8409

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-05-14
Maturity Price : 17.40
Evaluated at bid price : 17.40
Bid-YTW : 6.95 %

IFC.PR.A FixedReset Ins Non Quote: 18.60 – 19.80
Spot Rate : 1.2000
Average : 0.9515

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-05-14
Maturity Price : 18.60
Evaluated at bid price : 18.60
Bid-YTW : 7.33 %

EFN.PR.C To Be Redeemed

May 14th, 2024

Element Fleet Management has announced (in their 24Q1 earnings release, I don’t see a redemption press release):

Capital structure

Redemption of all outstanding 6.21% Cumulative 5-Year Rate Reset Preferred Shares Series C

To further optimize the Company’s balance sheet and mature its capital structure, the Company announced today its intention to redeem – in accordance with the terms of the 6.21% Cumulative 5-Year Rate Reset Preferred Shares Series C (the “Series C Shares”) as set out in the Company’s articles – all of its 5,126,400 issued and outstanding Series C Shares on June 30, 2024 (the “Share Redemption Date”) for a redemption price equal to CAD$25.00 per Series C Share for an aggregate total amount of approximately US$94.6 million (CAD$128 million), together with all accrued and unpaid dividends up to but excluding the Share Redemption Date (the “Redemption Price”), less any tax required to be deducted and withheld by the Company.

The Company has provided notice today of the Redemption Price and the Share Redemption Date to the sole registered holder of the Series C Shares in accordance with the terms of the Series C Shares as set out in the Company’s articles. Non-registered holders of Series C Shares should contact their broker or other intermediary for information regarding the redemption process for the Series C Shares in which they hold a beneficial interest. The Company’s transfer agent for the Series C Shares is Computershare Investor Services Inc. (“Computershare Investor Services”). Questions regarding the redemption process may be directed to Computershare Investor Services at 1-800-564-6253 or by email to corporateactions@computershare.com.

Following their redemption on June 30, 2024, the Series C Shares will be de-listed from and no longer trade on the Toronto Stock Exchange (“TSX”).

The Company also currently anticipates using a portion of its free cash flow to redeem all its outstanding 5.903% Cumulative 5-Year Rate Reset Preferred Shares Series E (due September 2024) for an approximate aggregate total amount of US$98.2 million (CAD$133 million).

This announcement validates their earlier anticipation of a redemption.

EFN.PR.C was announced 2014-2-26 as a FixedReset, 6.50%+481, but was not added to HIMIPref™ at that time as the company did not have a credit rating. The company received an initial rating from DBRS on 2015-9-24 and HIMIPref™ commenced tracking its four issues then outstanding shortly thereafter. The extension of the issue was announced 2019-5-22 and it was later announced that EFN.PR.C would reset at 6.210% effective June 30, 2019. I recommended against conversion and there was no conversion. The issue has been tracked by HIMIPref™ but is relegated to the Scraps – FixedReset (Discount) subindex on credit concerns.

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

CPX.PR.K To Be Redeemed, Maybe

May 14th, 2024

Capital Power Corporation has announced:

that it is considering an offering of hybrid subordinated debt securities (the “Notes”) in Canada under its short form base shelf prospectus dated June 10, 2022.

If a successful offering is priced and completed, the Company intends to allocate an amount equal to the net proceeds from the sale of the Notes to repay certain amounts drawn on the Company’s credit facilities (which include amounts drawn for the acquisition of a 50% interest in New Harquahala Generating Company, LLC, and a 100% interest in CXA La Paloma, LLC, and related expenses, development purposes and in respect of ongoing operations), to potentially redeem all of the Company’s outstanding Cumulative Minimum Rate Reset Preferred Shares, Series 11 (TSX: CPX.PR.K) (the “Preferred Shares”), and for general corporate purposes.

There is no certainty that Capital Power will ultimately complete the offering being considered, or as to the timing or terms on which such an offering might be completed. This press release does not constitute a notice of redemption of the Preferred Shares and there is no certainty that the Company will redeem the Preferred Shares.

A preliminary prospectus supplement to the Company’s short form base shelf prospectus dated June 10, 2022 in respect of the potential offering of Notes has been filed with the securities regulatory authorities in each of the provinces and territories of Canada. Any potential offering, if and when launched, would only be made pursuant to a final prospectus supplement to the short form base shelf prospectus of the Company dated June 10, 2022. The short form base shelf prospectus and preliminary prospectus supplement contain important detailed information about the Notes. Copies of these documents are available electronically on the System for Electronic Document Analysis and Retrieval + at www.sedarplus.ca. Investors should read the short form base shelf prospectus and preliminary prospectus supplement, or any final prospectus supplement, before making an investment decision.

CPX.PR.K was issued as a FixedReset 5.75%+415M575 issue that commenced trading 2019-5-16 after being announced 2019-5-7. It has been tracked by HIMIPref™ but relegated to the Scraps – FixedReset (Discount) subindex on credit concerns.

Whether or not a redemption comes to pass, I suggest that this is good news for the Canadian preferred share market. The fact that the company can even consider redeeming the preferred issue using proceeds of an issue on the hybrid bond market is at least a small sign that refinancing there is not restricted to investment-grade banks – even the junkier issuers can participate! Of course, the massive 415bp spread over GOC-5 – and the minimum reset guarantee – make this an easier decision than most, but at least it’s another data point to reinforce the indication provided by ALA in November, 2023 that such money was available.

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

May 13, 2024

May 13th, 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 0.8177 % 2,354.7
FixedFloater 0.00 % 0.00 % 0 0.00 0 0.8177 % 4,516.3
Floater 10.22 % 10.47 % 61,958 9.11 1 0.8177 % 2,602.8
OpRet 0.00 % 0.00 % 0 0.00 0 0.5805 % 3,472.4
SplitShare 4.84 % 6.80 % 35,336 1.39 8 0.5805 % 4,146.8
Interest-Bearing 0.00 % 0.00 % 0 0.00 0 0.5805 % 3,235.5
Perpetual-Premium 0.00 % 0.00 % 0 0.00 0 -0.2392 % 2,688.3
Perpetual-Discount 6.38 % 6.56 % 54,256 13.12 27 -0.2392 % 2,931.5
FixedReset Disc 5.18 % 6.97 % 120,388 11.83 57 -0.0772 % 2,580.1
Insurance Straight 6.30 % 6.49 % 56,691 13.17 21 -0.2275 % 2,880.7
FloatingReset 9.04 % 9.22 % 28,533 10.11 2 0.1497 % 2,823.4
FixedReset Prem 6.94 % 6.24 % 192,461 3.10 2 -0.0591 % 2,526.2
FixedReset Bank Non 0.00 % 0.00 % 0 0.00 0 -0.0772 % 2,637.3
FixedReset Ins Non 5.02 % 7.01 % 81,889 12.85 14 -0.0954 % 2,829.9
Performance Highlights
Issue Index Change Notes
BN.PR.M Perpetual-Discount -5.43 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-05-13
Maturity Price : 17.40
Evaluated at bid price : 17.40
Bid-YTW : 6.95 %
IFC.PR.A FixedReset Ins Non -4.52 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-05-13
Maturity Price : 18.60
Evaluated at bid price : 18.60
Bid-YTW : 7.33 %
IFC.PR.I Insurance Straight -2.26 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-05-13
Maturity Price : 20.80
Evaluated at bid price : 20.80
Bid-YTW : 6.60 %
GWO.PR.G Insurance Straight -1.71 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-05-13
Maturity Price : 20.10
Evaluated at bid price : 20.10
Bid-YTW : 6.58 %
BN.PR.N Perpetual-Discount -1.44 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-05-13
Maturity Price : 17.83
Evaluated at bid price : 17.83
Bid-YTW : 6.78 %
PWF.PR.T FixedReset Disc -1.27 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-05-13
Maturity Price : 21.50
Evaluated at bid price : 21.79
Bid-YTW : 6.94 %
BMO.PR.Y FixedReset Disc -1.22 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-05-13
Maturity Price : 22.98
Evaluated at bid price : 23.46
Bid-YTW : 6.68 %
IFC.PR.G FixedReset Ins Non 1.07 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-05-13
Maturity Price : 22.65
Evaluated at bid price : 23.60
Bid-YTW : 6.71 %
POW.PR.D Perpetual-Discount 1.19 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-05-13
Maturity Price : 19.60
Evaluated at bid price : 19.60
Bid-YTW : 6.47 %
IFC.PR.E Insurance Straight 1.20 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-05-13
Maturity Price : 21.00
Evaluated at bid price : 21.00
Bid-YTW : 6.29 %
NA.PR.W FixedReset Disc 1.37 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-05-13
Maturity Price : 21.72
Evaluated at bid price : 22.15
Bid-YTW : 6.77 %
CM.PR.P FixedReset Disc 1.48 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-05-13
Maturity Price : 22.73
Evaluated at bid price : 23.37
Bid-YTW : 6.39 %
PWF.PR.P FixedReset Disc 1.78 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-05-13
Maturity Price : 15.46
Evaluated at bid price : 15.46
Bid-YTW : 8.07 %
PVS.PR.H SplitShare 4.35 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2027-02-28
Maturity Price : 25.00
Evaluated at bid price : 24.00
Bid-YTW : 6.67 %
Volume Highlights
Issue Index Shares
Traded
Notes
BMO.PR.S FixedReset Disc 38,500 YTW SCENARIO
Maturity Type : Call
Maturity Date : 2024-06-24
Maturity Price : 25.00
Evaluated at bid price : 24.95
Bid-YTW : 4.54 %
FTS.PR.H FixedReset Disc 31,100 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-05-13
Maturity Price : 15.25
Evaluated at bid price : 15.25
Bid-YTW : 8.36 %
TD.PF.D FixedReset Disc 26,500 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-05-13
Maturity Price : 22.67
Evaluated at bid price : 23.15
Bid-YTW : 6.84 %
SLF.PR.G FixedReset Ins Non 25,000 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-05-13
Maturity Price : 17.05
Evaluated at bid price : 17.05
Bid-YTW : 7.39 %
RY.PR.Z FixedReset Disc 22,300 YTW SCENARIO
Maturity Type : Call
Maturity Date : 2024-06-23
Maturity Price : 25.00
Evaluated at bid price : 24.95
Bid-YTW : 4.54 %
BMO.PR.F FixedReset Disc 20,900 YTW SCENARIO
Maturity Type : Call
Maturity Date : 2024-06-24
Maturity Price : 25.00
Evaluated at bid price : 24.95
Bid-YTW : 5.45 %
There were 11 other index-included issues trading in excess of 10,000 shares.
Wide Spread Highlights
Issue Index Quote Data and Yield Notes
IFC.PR.A FixedReset Ins Non Quote: 18.60 – 19.55
Spot Rate : 0.9500
Average : 0.6791

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-05-13
Maturity Price : 18.60
Evaluated at bid price : 18.60
Bid-YTW : 7.33 %

GWO.PR.T Insurance Straight Quote: 20.03 – 20.61
Spot Rate : 0.5800
Average : 0.3908

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-05-13
Maturity Price : 20.03
Evaluated at bid price : 20.03
Bid-YTW : 6.54 %

IFC.PR.I Insurance Straight Quote: 20.80 – 21.79
Spot Rate : 0.9900
Average : 0.8103

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-05-13
Maturity Price : 20.80
Evaluated at bid price : 20.80
Bid-YTW : 6.60 %

BN.PR.Z FixedReset Disc Quote: 20.05 – 21.05
Spot Rate : 1.0000
Average : 0.8220

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-05-13
Maturity Price : 20.05
Evaluated at bid price : 20.05
Bid-YTW : 8.38 %

GWO.PR.G Insurance Straight Quote: 20.10 – 20.60
Spot Rate : 0.5000
Average : 0.3251

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-05-13
Maturity Price : 20.10
Evaluated at bid price : 20.10
Bid-YTW : 6.58 %

BN.PR.M Perpetual-Discount Quote: 17.40 – 18.13
Spot Rate : 0.7300
Average : 0.5568

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-05-13
Maturity Price : 17.40
Evaluated at bid price : 17.40
Bid-YTW : 6.95 %

May PrefLetter Released!

May 12th, 2024

The May, 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 May, 2024, issue, while the “next” edition will be the June, 2024, issue scheduled to be prepared as of the close June 14, and emailed to subscribers prior to the market-opening on June 17. 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.

May 10, 2024

May 10th, 2024

Jobs, jobs, jobs!

he Canadian labour market rebounded in April by adding a substantial number of new positions, setting up a hotly debated decision from the Bank of Canada on whether to start lowering interest rates in June.

The economy added about 90,000 jobs in April after a slight decline in March, Statistics Canada said Friday in a report. It was the strongest month of job creation since January, 2023, and handily beat analyst expectations of 20,000 positions added last month.

Despite those gains, the unemployment rate held steady at 6.1 per cent, because the country’s population is growing at a feverish pace. The jobless rate has risen by more than a percentage point since the summer of 2022.

In April, employers mostly added part-time positions, which rose by about 50,000. The private sector accounted for most of the employment growth, although there were strong gains in the public sector as well.

The total number of hours worked jumped by 0.8 per cent in April, suggesting an upturn in economic growth to start the second quarter.

Average hourly wages grew at an annual pace of 4.7 per cent in April, down from 5.1 per cent in March.

This had an immediate effect on bonds:

Implied probabilities in swaps markets now suggest less than a 50 per cent chance the Bank of Canada will cut its key lending rate at its next policy meeting June 5. Immediately prior to the data, those odds were pegged at about 58 per cent, and in recent days had risen to above 70 per cent, with traders bolstering their bets in particular after a surprisingly weak employment report last Friday in the U.S.

Swaps markets are now implying 70 per cent odds for a cut at the bank’s July meeting. And they are fully pricing in two rate cuts by the end of this year.

The Canadian dollar immediately spiked on the data, rising to 73.30 cents US, up from 73.10 cents, reflecting the lower probability of near-term cut rates. There was a sharp reaction in bond markets as well, with the Canadian government 2-year bond yield rising a further 5 basis points after the data. It’s up about 10 basis points in total for the day now, at 4.309 per cent, narrowing its spread to the U.S. equivalent bond.


Pre-Announcement


Post-Announcement

The BoC’s Financial Stability Report had some interesting things to say:

Hedge funds and pension funds have significantly increased their use of repo leverage

Leverage obtained by asset managers through borrowing in the repo market increased by around 30% in the past 12 months.25 This increase was driven largely by hedge funds and pension funds increasing their repo leverage by approximately 75% and 14%, respectively.26 Pension funds are the largest non-bank participants in Canadian repo markets, with over $90 billion in total borrowing outstanding. These pension funds face relatively less refinancing risk than hedge funds. About half of pension fund repo leverage has a maturity greater than one month, while about 70% of hedge fund repo exposure is under one week because hedge funds tend to rely more heavily on overnight and short-term repos. Some individual repo positions held by hedge funds are also very large and highly concentrated—for example, in a single Government of Canada bond.

The largest pension funds and insurance companies are typically sophisticated users of leverage that manage their liquidity risk and use liquidity coverage ratios to monitor planned and potential outflows.27 Nonetheless, even sophisticated users can run into difficulties during periods of market stress, as seen in the October 2022 UK pension fund experience and during the March 2020 “dash for cash.”28

Discussions with market participants and analysis of trading data indicate that one of the drivers behind the increase in hedge fund leverage is relative-value strategies. An example is the increasingly popular cash-futures basis trade in the Government of Canada bond market (see Box 3). These trades can provide market liquidity in both futures and bond markets. However, the large degree of leverage employed can leave hedge funds vulnerable to changes in the price difference between the underlying securities as well as to sudden changes in the availability and cost of repo financing.

Box 3: Cash-futures basis trade

The basis trade, a relative-value strategy that has been a feature of the US Treasury market in recent years, is becoming more popular in Canada. This type of trading strategy uses a mix of long and short positions to capitalize on price differences between bonds and bond futures.

Market participants typically use a high degree of leverage—or borrowed funds—to increase profits for these trades. For example, when bond futures contracts are relatively more expensive than the underlying bond, an entity could profit from a cash-futures basis trade by selling bond futures, buying the underlying bond, and borrowing cash in repurchase agreement (repo) markets using the bond as collateral to finance the position.

Basis trades can improve market efficiency by reducing the cost of buying bond futures and supplying futures market liquidity to those who prefer holding long futures instead of bonds.31 These trades can also pose risk in times of stress—both to those making the trades and to financial markets more generally—due to many factors.

  • The pricing discrepancies tend to be quite small, so to increase the profitability of the trades, financial firms (usually large, foreign-domiciled hedge funds) often use a large degree of leverage, which they typically obtain in the repo market. Indeed, the increase in the basis trade has been cited as one of the contributing factors for the surge in demand for repo funding seen earlier this year in Canada.32 High repo leverage, particularly when it is obtained through overnight or short-term repo maturities, can amplify sudden price movements in the underlying bond market.
  • Maintaining these trades could become costly if repo rates were to spike suddenly, or if higher bond market volatility were to result in larger margin calls. The unwinding of these trades as a result of these shocks could lead to abrupt sales of fixed-income assets and, possibly, to strains on market liquidity. The more leveraged a hedge fund is, the more vulnerable it is to such shocks, and the greater the risk it poses to the overall system. This was evident in the US Treasury bond market in March 2020, when pandemic-related market stress caused many hedge funds to unwind their sizable cash-futures basis trade positions. This unwinding resulted in a large volume of US Treasury bonds being sold and contributed to the severe hampering of what is normally considered the most liquid bond market in the world. The one-way selling negatively affected market participants around the world that rely on the liquidity and stability of US Treasuries.33 As the International Monetary Fund recently noted, the aggressive use of repo leverage can also leave these trades vulnerable to other shocks, including upside inflationary surprises that could lower the value of bonds.34

The cash-futures basis trade is estimated to have grown steadily in Canada (Chart 3‑A), with exchange-for-physical transactions reaching $51 billion by the end of April 2024.35 This represents about 8% of the total trading volume of Government of Canada bonds (Chart 3‑B).36, 37 Of the total volume, 45% is in 2-year futures contracts, and the remainder is split somewhat evenly between the 5- and 10-year futures contracts.

All the above can be looked at as the back-up behind Bank of Canada Deputy Governor Toni Gravelle’s March 21 speech, which I reported 2024-3-22.

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 0.4105 % 2,335.6
FixedFloater 0.00 % 0.00 % 0 0.00 0 0.4105 % 4,479.7
Floater 10.30 % 10.55 % 60,647 9.06 1 0.4105 % 2,581.7
OpRet 0.00 % 0.00 % 0 0.00 0 -0.6386 % 3,452.4
SplitShare 4.87 % 6.77 % 34,525 1.40 8 -0.6386 % 4,122.9
Interest-Bearing 0.00 % 0.00 % 0 0.00 0 -0.6386 % 3,216.8
Perpetual-Premium 0.00 % 0.00 % 0 0.00 0 0.2731 % 2,694.7
Perpetual-Discount 6.37 % 6.56 % 53,537 13.11 27 0.2731 % 2,938.5
FixedReset Disc 5.17 % 6.88 % 124,698 11.70 57 -0.3373 % 2,582.1
Insurance Straight 6.28 % 6.46 % 57,294 13.22 21 0.2738 % 2,887.2
FloatingReset 9.05 % 9.18 % 27,343 10.16 2 -0.0499 % 2,819.2
FixedReset Prem 6.93 % 6.38 % 194,256 3.10 2 -0.3728 % 2,527.7
FixedReset Bank Non 0.00 % 0.00 % 0 0.00 0 -0.3373 % 2,639.4
FixedReset Ins Non 5.02 % 7.00 % 80,612 12.80 14 -0.3362 % 2,832.6
Performance Highlights
Issue Index Change Notes
PVS.PR.H SplitShare -5.15 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2027-02-28
Maturity Price : 25.00
Evaluated at bid price : 23.00
Bid-YTW : 8.34 %
BN.PR.Z FixedReset Disc -3.58 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-05-10
Maturity Price : 20.20
Evaluated at bid price : 20.20
Bid-YTW : 8.31 %
MFC.PR.N FixedReset Ins Non -2.80 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-05-10
Maturity Price : 20.85
Evaluated at bid price : 20.85
Bid-YTW : 7.30 %
BIP.PR.E FixedReset Disc -2.32 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-05-10
Maturity Price : 21.50
Evaluated at bid price : 21.50
Bid-YTW : 8.02 %
PWF.PR.F Perpetual-Discount -1.91 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-05-10
Maturity Price : 20.01
Evaluated at bid price : 20.01
Bid-YTW : 6.63 %
CM.PR.P FixedReset Disc -1.83 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-05-10
Maturity Price : 22.26
Evaluated at bid price : 23.03
Bid-YTW : 6.47 %
BN.PF.I FixedReset Disc -1.75 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-05-10
Maturity Price : 22.05
Evaluated at bid price : 22.40
Bid-YTW : 8.14 %
GWO.PR.N FixedReset Ins Non -1.31 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-05-10
Maturity Price : 15.10
Evaluated at bid price : 15.10
Bid-YTW : 7.93 %
PWF.PR.T FixedReset Disc -1.30 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-05-10
Maturity Price : 21.70
Evaluated at bid price : 22.07
Bid-YTW : 6.85 %
POW.PR.A Perpetual-Discount -1.20 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-05-10
Maturity Price : 21.35
Evaluated at bid price : 21.35
Bid-YTW : 6.65 %
NA.PR.W FixedReset Disc -1.18 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-05-10
Maturity Price : 21.51
Evaluated at bid price : 21.85
Bid-YTW : 6.86 %
PWF.PR.P FixedReset Disc -1.04 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-05-10
Maturity Price : 15.19
Evaluated at bid price : 15.19
Bid-YTW : 8.20 %
BIP.PR.A FixedReset Disc 1.11 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-05-10
Maturity Price : 21.00
Evaluated at bid price : 21.00
Bid-YTW : 8.59 %
BN.PF.C Perpetual-Discount 1.50 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-05-10
Maturity Price : 18.32
Evaluated at bid price : 18.32
Bid-YTW : 6.73 %
IFC.PR.G FixedReset Ins Non 1.52 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-05-10
Maturity Price : 22.53
Evaluated at bid price : 23.35
Bid-YTW : 6.78 %
BN.PR.M Perpetual-Discount 3.60 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-05-10
Maturity Price : 18.40
Evaluated at bid price : 18.40
Bid-YTW : 6.56 %
IFC.PR.I Insurance Straight 3.91 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-05-10
Maturity Price : 21.28
Evaluated at bid price : 21.28
Bid-YTW : 6.45 %
CU.PR.D Perpetual-Discount 4.50 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-05-10
Maturity Price : 19.28
Evaluated at bid price : 19.28
Bid-YTW : 6.37 %
Volume Highlights
Issue Index Shares
Traded
Notes
CM.PR.O FixedReset Disc 261,394 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-05-10
Maturity Price : 23.00
Evaluated at bid price : 24.00
Bid-YTW : 6.36 %
BMO.PR.S FixedReset Disc 259,275 YTW SCENARIO
Maturity Type : Call
Maturity Date : 2024-06-24
Maturity Price : 25.00
Evaluated at bid price : 24.93
Bid-YTW : 4.90 %
RY.PR.Z FixedReset Disc 175,333 YTW SCENARIO
Maturity Type : Call
Maturity Date : 2024-06-23
Maturity Price : 25.00
Evaluated at bid price : 24.94
Bid-YTW : 4.56 %
SLF.PR.G FixedReset Ins Non 136,700 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-05-10
Maturity Price : 17.04
Evaluated at bid price : 17.04
Bid-YTW : 7.39 %
NA.PR.W FixedReset Disc 113,300 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-05-10
Maturity Price : 21.51
Evaluated at bid price : 21.85
Bid-YTW : 6.86 %
TD.PF.J FixedReset Disc 87,888 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-05-10
Maturity Price : 23.00
Evaluated at bid price : 24.34
Bid-YTW : 6.50 %
There were 14 other index-included issues trading in excess of 10,000 shares.
Wide Spread Highlights
Issue Index Quote Data and Yield Notes
PVS.PR.H SplitShare Quote: 23.00 – 24.50
Spot Rate : 1.5000
Average : 0.9423

YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2027-02-28
Maturity Price : 25.00
Evaluated at bid price : 23.00
Bid-YTW : 8.34 %

BN.PR.Z FixedReset Disc Quote: 20.20 – 21.20
Spot Rate : 1.0000
Average : 0.6268

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-05-10
Maturity Price : 20.20
Evaluated at bid price : 20.20
Bid-YTW : 8.31 %

BN.PR.R FixedReset Disc Quote: 16.55 – 17.15
Spot Rate : 0.6000
Average : 0.4217

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-05-10
Maturity Price : 16.55
Evaluated at bid price : 16.55
Bid-YTW : 8.67 %

BIP.PR.E FixedReset Disc Quote: 21.50 – 22.05
Spot Rate : 0.5500
Average : 0.3918

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-05-10
Maturity Price : 21.50
Evaluated at bid price : 21.50
Bid-YTW : 8.02 %

MFC.PR.N FixedReset Ins Non Quote: 20.85 – 21.75
Spot Rate : 0.9000
Average : 0.7427

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-05-10
Maturity Price : 20.85
Evaluated at bid price : 20.85
Bid-YTW : 7.30 %

POW.PR.A Perpetual-Discount Quote: 21.35 – 21.92
Spot Rate : 0.5700
Average : 0.4280

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-05-10
Maturity Price : 21.35
Evaluated at bid price : 21.35
Bid-YTW : 6.65 %

May 9, 2024

May 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 -0.4902 % 2,326.1
FixedFloater 0.00 % 0.00 % 0 0.00 0 -0.4902 % 4,461.4
Floater 10.34 % 10.59 % 60,034 9.03 1 -0.4902 % 2,571.1
OpRet 0.00 % 0.00 % 0 0.00 0 0.1031 % 3,474.6
SplitShare 4.84 % 6.76 % 35,071 1.40 8 0.1031 % 4,149.4
Interest-Bearing 0.00 % 0.00 % 0 0.00 0 0.1031 % 3,237.5
Perpetual-Premium 0.00 % 0.00 % 0 0.00 0 0.2572 % 2,687.4
Perpetual-Discount 6.38 % 6.55 % 53,323 13.11 27 0.2572 % 2,930.5
FixedReset Disc 5.16 % 7.04 % 126,357 11.93 57 -0.1134 % 2,590.8
Insurance Straight 6.30 % 6.48 % 58,957 13.18 21 0.1010 % 2,879.4
FloatingReset 9.09 % 9.17 % 28,262 10.17 2 0.5767 % 2,820.6
FixedReset Prem 6.91 % 6.15 % 195,690 3.11 2 -0.0784 % 2,537.2
FixedReset Bank Non 0.00 % 0.00 % 0 0.00 0 -0.1134 % 2,648.3
FixedReset Ins Non 5.00 % 6.89 % 83,511 12.88 14 0.8632 % 2,842.1
Performance Highlights
Issue Index Change Notes
IFC.PR.G FixedReset Ins Non -3.56 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-05-09
Maturity Price : 22.33
Evaluated at bid price : 23.00
Bid-YTW : 6.80 %
FFH.PR.M FixedReset Disc -2.08 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-05-09
Maturity Price : 22.91
Evaluated at bid price : 23.50
Bid-YTW : 8.12 %
IFC.PR.I Insurance Straight -2.01 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-05-09
Maturity Price : 20.48
Evaluated at bid price : 20.48
Bid-YTW : 6.70 %
BN.PF.F FixedReset Disc -1.65 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-05-09
Maturity Price : 20.21
Evaluated at bid price : 20.21
Bid-YTW : 8.20 %
IFC.PR.E Insurance Straight -1.48 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-05-09
Maturity Price : 20.69
Evaluated at bid price : 20.69
Bid-YTW : 6.38 %
BN.PR.M Perpetual-Discount -1.33 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-05-09
Maturity Price : 17.76
Evaluated at bid price : 17.76
Bid-YTW : 6.80 %
BN.PF.G FixedReset Disc -1.28 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-05-09
Maturity Price : 18.51
Evaluated at bid price : 18.51
Bid-YTW : 8.61 %
NA.PR.S FixedReset Disc -1.26 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-05-09
Maturity Price : 22.52
Evaluated at bid price : 23.45
Bid-YTW : 6.50 %
CM.PR.O FixedReset Disc -1.23 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-05-09
Maturity Price : 23.00
Evaluated at bid price : 24.00
Bid-YTW : 6.24 %
TD.PF.A FixedReset Disc -1.17 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-05-09
Maturity Price : 22.82
Evaluated at bid price : 23.58
Bid-YTW : 6.23 %
BMO.PR.Y FixedReset Disc 1.02 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-05-09
Maturity Price : 23.28
Evaluated at bid price : 23.75
Bid-YTW : 6.49 %
SLF.PR.C Insurance Straight 1.02 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-05-09
Maturity Price : 18.80
Evaluated at bid price : 18.80
Bid-YTW : 6.01 %
BN.PF.D Perpetual-Discount 1.04 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-05-09
Maturity Price : 18.49
Evaluated at bid price : 18.49
Bid-YTW : 6.73 %
PWF.PR.S Perpetual-Discount 1.14 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-05-09
Maturity Price : 18.60
Evaluated at bid price : 18.60
Bid-YTW : 6.52 %
PWF.PF.A Perpetual-Discount 1.14 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-05-09
Maturity Price : 17.70
Evaluated at bid price : 17.70
Bid-YTW : 6.42 %
NA.PR.W FixedReset Disc 1.19 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-05-09
Maturity Price : 21.69
Evaluated at bid price : 22.11
Bid-YTW : 6.66 %
CU.PR.E Perpetual-Discount 1.19 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-05-09
Maturity Price : 19.54
Evaluated at bid price : 19.54
Bid-YTW : 6.29 %
SLF.PR.H FixedReset Ins Non 1.32 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-05-09
Maturity Price : 19.91
Evaluated at bid price : 19.91
Bid-YTW : 6.89 %
SLF.PR.J FloatingReset 1.34 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-05-09
Maturity Price : 17.41
Evaluated at bid price : 17.41
Bid-YTW : 9.42 %
FFH.PR.C FixedReset Disc 1.45 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-05-09
Maturity Price : 21.84
Evaluated at bid price : 22.32
Bid-YTW : 7.69 %
PWF.PR.F Perpetual-Discount 1.49 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-05-09
Maturity Price : 20.40
Evaluated at bid price : 20.40
Bid-YTW : 6.50 %
SLF.PR.E Insurance Straight 1.91 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-05-09
Maturity Price : 18.70
Evaluated at bid price : 18.70
Bid-YTW : 6.11 %
MFC.PR.N FixedReset Ins Non 2.88 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-05-09
Maturity Price : 21.45
Evaluated at bid price : 21.45
Bid-YTW : 6.97 %
MFC.PR.F FixedReset Ins Non 13.31 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-05-09
Maturity Price : 17.28
Evaluated at bid price : 17.28
Bid-YTW : 6.94 %
Volume Highlights
Issue Index Shares
Traded
Notes
BMO.PR.F FixedReset Disc 191,820 YTW SCENARIO
Maturity Type : Call
Maturity Date : 2024-06-24
Maturity Price : 25.00
Evaluated at bid price : 24.94
Bid-YTW : 5.30 %
BMO.PR.S FixedReset Disc 103,286 YTW SCENARIO
Maturity Type : Call
Maturity Date : 2024-06-24
Maturity Price : 25.00
Evaluated at bid price : 24.93
Bid-YTW : 4.79 %
RY.PR.Z FixedReset Disc 78,392 YTW SCENARIO
Maturity Type : Call
Maturity Date : 2024-06-23
Maturity Price : 25.00
Evaluated at bid price : 24.94
Bid-YTW : 4.46 %
TD.PF.I FixedReset Disc 77,507 YTW SCENARIO
Maturity Type : Call
Maturity Date : 2027-10-31
Maturity Price : 25.00
Evaluated at bid price : 25.12
Bid-YTW : 6.25 %
SLF.PR.G FixedReset Ins Non 58,240 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-05-09
Maturity Price : 17.00
Evaluated at bid price : 17.00
Bid-YTW : 7.26 %
BN.PR.R FixedReset Disc 31,452 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-05-09
Maturity Price : 16.55
Evaluated at bid price : 16.55
Bid-YTW : 8.53 %
There were 14 other index-included issues trading in excess of 10,000 shares.
Wide Spread Highlights
Issue Index Quote Data and Yield Notes
BMO.PR.Y FixedReset Disc Quote: 23.75 – 25.00
Spot Rate : 1.2500
Average : 0.7353

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-05-09
Maturity Price : 23.28
Evaluated at bid price : 23.75
Bid-YTW : 6.49 %

IFC.PR.G FixedReset Ins Non Quote: 23.00 – 24.00
Spot Rate : 1.0000
Average : 0.6381

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-05-09
Maturity Price : 22.33
Evaluated at bid price : 23.00
Bid-YTW : 6.80 %

IFC.PR.I Insurance Straight Quote: 20.48 – 21.69
Spot Rate : 1.2100
Average : 0.9021

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-05-09
Maturity Price : 20.48
Evaluated at bid price : 20.48
Bid-YTW : 6.70 %

TD.PF.A FixedReset Disc Quote: 23.58 – 24.22
Spot Rate : 0.6400
Average : 0.4093

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-05-09
Maturity Price : 22.82
Evaluated at bid price : 23.58
Bid-YTW : 6.23 %

PWF.PR.E Perpetual-Discount Quote: 21.10 – 21.71
Spot Rate : 0.6100
Average : 0.4293

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-05-09
Maturity Price : 21.10
Evaluated at bid price : 21.10
Bid-YTW : 6.58 %

TD.PF.C FixedReset Disc Quote: 22.91 – 23.40
Spot Rate : 0.4900
Average : 0.3668

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-05-09
Maturity Price : 22.19
Evaluated at bid price : 22.91
Bid-YTW : 6.40 %

May 8, 2024

May 8th, 2024

PerpetualDiscounts now yield 6.56%, equivalent to 8.53% interest at the standard equivalency factor of 1.3x. Long corporates yielded 5.34% on 2024-4-30 and since then the closing price of ZLC has changed from 14.50 to 14.83, an increase of 228bp in price, implying a decrease of yields of 19bp (BMO reports a duration of 12.23, but don’t disclose whether this is Macaulay or Modified; I will assume Modified) to 5.15%. Therefore, the pre-tax interest-equivalent spread (in this context, the “Seniority Spread”) has narrowed slightly (and perhaps spuriously) to 340bp from the 345bp reported May 1.

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 -1.2903 % 2,337.5
FixedFloater 0.00 % 0.00 % 0 0.00 0 -1.2903 % 4,483.4
Floater 10.29 % 10.54 % 59,490 9.07 1 -1.2903 % 2,583.8
OpRet 0.00 % 0.00 % 0 0.00 0 0.0361 % 3,471.0
SplitShare 4.85 % 6.91 % 35,383 1.40 8 0.0361 % 4,145.1
Interest-Bearing 0.00 % 0.00 % 0 0.00 0 0.0361 % 3,234.2
Perpetual-Premium 0.00 % 0.00 % 0 0.00 0 0.0592 % 2,680.5
Perpetual-Discount 6.40 % 6.56 % 53,475 13.10 27 0.0592 % 2,923.0
FixedReset Disc 5.15 % 7.03 % 131,150 11.96 57 -0.0697 % 2,593.7
Insurance Straight 6.31 % 6.49 % 59,491 13.18 21 0.2869 % 2,876.4
FloatingReset 9.14 % 9.16 % 29,379 10.17 2 -0.8207 % 2,804.4
FixedReset Prem 6.90 % 6.20 % 196,088 3.11 2 0.1571 % 2,539.2
FixedReset Bank Non 0.00 % 0.00 % 0 0.00 0 -0.0697 % 2,651.3
FixedReset Ins Non 5.04 % 6.90 % 81,670 12.89 14 -0.5654 % 2,817.8
Performance Highlights
Issue Index Change Notes
MFC.PR.F FixedReset Ins Non -14.23 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-05-08
Maturity Price : 15.25
Evaluated at bid price : 15.25
Bid-YTW : 7.82 %
CU.PR.D Perpetual-Discount -2.59 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-05-08
Maturity Price : 18.40
Evaluated at bid price : 18.40
Bid-YTW : 6.68 %
NA.PR.W FixedReset Disc -2.02 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-05-08
Maturity Price : 21.51
Evaluated at bid price : 21.85
Bid-YTW : 6.74 %
PWF.PR.O Perpetual-Discount -1.74 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-05-08
Maturity Price : 21.78
Evaluated at bid price : 22.02
Bid-YTW : 6.64 %
MFC.PR.L FixedReset Ins Non -1.61 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-05-08
Maturity Price : 21.67
Evaluated at bid price : 22.05
Bid-YTW : 6.75 %
FFH.PR.C FixedReset Disc -1.57 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-05-08
Maturity Price : 21.62
Evaluated at bid price : 22.00
Bid-YTW : 7.81 %
SLF.PR.J FloatingReset -1.55 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-05-08
Maturity Price : 17.18
Evaluated at bid price : 17.18
Bid-YTW : 9.54 %
IFC.PR.I Insurance Straight -1.46 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-05-08
Maturity Price : 20.90
Evaluated at bid price : 20.90
Bid-YTW : 6.56 %
BN.PR.B Floater -1.29 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-05-08
Maturity Price : 12.24
Evaluated at bid price : 12.24
Bid-YTW : 10.54 %
CM.PR.P FixedReset Disc -1.27 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-05-08
Maturity Price : 22.72
Evaluated at bid price : 23.35
Bid-YTW : 6.27 %
BN.PR.X FixedReset Disc -1.06 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-05-08
Maturity Price : 15.92
Evaluated at bid price : 15.92
Bid-YTW : 8.46 %
SLF.PR.C Insurance Straight -1.01 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-05-08
Maturity Price : 18.61
Evaluated at bid price : 18.61
Bid-YTW : 6.07 %
PWF.PR.Z Perpetual-Discount 1.01 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-05-08
Maturity Price : 19.91
Evaluated at bid price : 19.91
Bid-YTW : 6.53 %
GWO.PR.I Insurance Straight 1.12 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-05-08
Maturity Price : 18.10
Evaluated at bid price : 18.10
Bid-YTW : 6.31 %
POW.PR.C Perpetual-Discount 1.12 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-05-08
Maturity Price : 22.28
Evaluated at bid price : 22.55
Bid-YTW : 6.50 %
MFC.PR.K FixedReset Ins Non 1.20 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-05-08
Maturity Price : 22.64
Evaluated at bid price : 23.61
Bid-YTW : 6.47 %
IFC.PR.E Insurance Straight 1.94 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-05-08
Maturity Price : 21.00
Evaluated at bid price : 21.00
Bid-YTW : 6.29 %
IFC.PR.A FixedReset Ins Non 2.10 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-05-08
Maturity Price : 19.45
Evaluated at bid price : 19.45
Bid-YTW : 6.90 %
GWO.PR.G Insurance Straight 2.27 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-05-08
Maturity Price : 20.25
Evaluated at bid price : 20.25
Bid-YTW : 6.52 %
BN.PF.I FixedReset Disc 3.41 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-05-08
Maturity Price : 22.29
Evaluated at bid price : 22.75
Bid-YTW : 7.92 %
BN.PR.M Perpetual-Discount 3.45 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-05-08
Maturity Price : 18.00
Evaluated at bid price : 18.00
Bid-YTW : 6.70 %
IFC.PR.F Insurance Straight 5.05 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-05-08
Maturity Price : 20.60
Evaluated at bid price : 20.60
Bid-YTW : 6.53 %
Volume Highlights
Issue Index Shares
Traded
Notes
BN.PR.R FixedReset Disc 341,157 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-05-08
Maturity Price : 16.52
Evaluated at bid price : 16.52
Bid-YTW : 8.54 %
RY.PR.H FixedReset Disc 316,421 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-05-08
Maturity Price : 23.63
Evaluated at bid price : 24.50
Bid-YTW : 6.06 %
TD.PF.D FixedReset Disc 261,632 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-05-08
Maturity Price : 22.70
Evaluated at bid price : 23.18
Bid-YTW : 6.72 %
RY.PR.J FixedReset Disc 222,800 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-05-08
Maturity Price : 22.96
Evaluated at bid price : 23.50
Bid-YTW : 6.66 %
TD.PF.M FixedReset Disc 143,353 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-05-08
Maturity Price : 24.06
Evaluated at bid price : 24.87
Bid-YTW : 7.30 %
TD.PF.J FixedReset Disc 111,176 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-05-08
Maturity Price : 23.03
Evaluated at bid price : 24.40
Bid-YTW : 6.39 %
There were 27 other index-included issues trading in excess of 10,000 shares.
Wide Spread Highlights
Issue Index Quote Data and Yield Notes
MFC.PR.F FixedReset Ins Non Quote: 15.25 – 18.05
Spot Rate : 2.8000
Average : 1.6193

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-05-08
Maturity Price : 15.25
Evaluated at bid price : 15.25
Bid-YTW : 7.82 %

POW.PR.B Perpetual-Discount Quote: 20.60 – 21.70
Spot Rate : 1.1000
Average : 0.6708

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-05-08
Maturity Price : 20.60
Evaluated at bid price : 20.60
Bid-YTW : 6.58 %

CU.PR.D Perpetual-Discount Quote: 18.40 – 19.34
Spot Rate : 0.9400
Average : 0.6851

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-05-08
Maturity Price : 18.40
Evaluated at bid price : 18.40
Bid-YTW : 6.68 %

SLF.PR.H FixedReset Ins Non Quote: 19.65 – 21.15
Spot Rate : 1.5000
Average : 1.2894

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-05-08
Maturity Price : 19.65
Evaluated at bid price : 19.65
Bid-YTW : 6.97 %

SLF.PR.J FloatingReset Quote: 17.18 – 17.90
Spot Rate : 0.7200
Average : 0.5157

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-05-08
Maturity Price : 17.18
Evaluated at bid price : 17.18
Bid-YTW : 9.54 %

IFC.PR.E Insurance Straight Quote: 21.00 – 21.90
Spot Rate : 0.9000
Average : 0.7008

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-05-08
Maturity Price : 21.00
Evaluated at bid price : 21.00
Bid-YTW : 6.29 %