January 18, 2024

January 18th, 2024

TXPR closed at 561.27, up 0.50% on the day. Volume today was 2.87-million, highest of the past 21 trading days.

CPD closed at 11.13, up 0.27% on the day. Volume was 51,710, second-lowest of the past 21 trading days.

ZPR closed at 9.44, up 0.11% on the day. Volume was 206,980, highest of the past 21 trading days.

Five-year Canada yields were up to 3.57%.

The Globe notes:

The number of Americans filing new claims for unemployment benefits fell last week to the lowest level in nearly 1-1/2 years. The data added to strong retail sales growth in December in painting an upbeat picture of the economy, and could make it difficult for the Federal Reserve to start cutting interest rates in March as financial markets anticipate. Bond yields Thursday rose modestly across the curve in both Canada and the U.S.

Traders now see a 56% chance for a 25-basis-point rate cut in March at the Fed, compared with odds above 80% a month ago, according to the CME Group’s FedWatch Tool.

The chances of an interest rate cut by the Bank of Canada in the first half of this year have been on the decline as well, according to overnight swaps markets, which now see only about 60% odds the first cut will occur in April. Earlier this week, Canada released data showing unexpectedly stubborn core inflation.

Canadian retail sales data for November, due on Friday, could offer clues on the Bank of Canada’s policy outlook ahead of the central bank’s policy decision next week. Economists expect sales to decline 0.1% after rising 0.6% in October.

…
Atlanta Federal Reserve President Raphael Bostic said he was open to reducing rates sooner than he had anticipated if there is “convincing” evidence in coming months that inflation is falling faster than he expected. Bostic had previously said he expected it would be appropriate to cut rates in the second half of 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 0.6585 % 2,215.6
FixedFloater 0.00 % 0.00 % 0 0.00 0 0.6585 % 4,249.6
Floater 10.99 % 11.19 % 40,329 8.67 2 0.6585 % 2,449.1
OpRet 0.00 % 0.00 % 0 0.00 0 0.2048 % 3,415.3
SplitShare 4.93 % 7.44 % 50,277 1.97 7 0.2048 % 4,078.6
Interest-Bearing 0.00 % 0.00 % 0 0.00 0 0.2048 % 3,182.3
Perpetual-Premium 0.00 % 0.00 % 0 0.00 0 0.2512 % 2,666.2
Perpetual-Discount 6.44 % 6.56 % 51,594 13.13 34 0.2512 % 2,907.4
FixedReset Disc 5.65 % 7.63 % 109,688 12.11 59 0.3111 % 2,323.6
Insurance Straight 6.27 % 6.45 % 69,813 13.27 20 0.3077 % 2,890.1
FloatingReset 10.33 % 10.73 % 32,167 8.99 5 1.6363 % 2,594.0
FixedReset Prem 5.90 % 6.50 % 146,807 3.35 2 0.1194 % 2,525.7
FixedReset Bank Non 0.00 % 0.00 % 0 0.00 0 0.3111 % 2,375.1
FixedReset Ins Non 5.51 % 7.28 % 90,807 12.35 14 0.1350 % 2,578.3
Performance Highlights
Issue Index Change Notes
NA.PR.W FixedReset Disc -1.97 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-01-18
Maturity Price : 18.41
Evaluated at bid price : 18.41
Bid-YTW : 7.72 %
PWF.PR.P FixedReset Disc -1.74 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-01-18
Maturity Price : 14.15
Evaluated at bid price : 14.15
Bid-YTW : 8.32 %
IFC.PR.K Perpetual-Discount 1.11 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-01-18
Maturity Price : 20.95
Evaluated at bid price : 20.95
Bid-YTW : 6.34 %
BMO.PR.Y FixedReset Disc 1.14 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-01-18
Maturity Price : 19.57
Evaluated at bid price : 19.57
Bid-YTW : 7.66 %
BN.PF.B FixedReset Disc 1.15 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-01-18
Maturity Price : 18.51
Evaluated at bid price : 18.51
Bid-YTW : 8.46 %
BIP.PR.F FixedReset Disc 1.26 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-01-18
Maturity Price : 20.15
Evaluated at bid price : 20.15
Bid-YTW : 8.12 %
MFC.PR.C Insurance Straight 1.30 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-01-18
Maturity Price : 18.74
Evaluated at bid price : 18.74
Bid-YTW : 6.08 %
BN.PR.K Floater 1.32 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-01-18
Maturity Price : 11.48
Evaluated at bid price : 11.48
Bid-YTW : 11.19 %
BN.PF.G FixedReset Disc 1.33 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-01-18
Maturity Price : 16.80
Evaluated at bid price : 16.80
Bid-YTW : 9.11 %
PWF.PF.A Perpetual-Discount 1.45 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-01-18
Maturity Price : 17.50
Evaluated at bid price : 17.50
Bid-YTW : 6.46 %
FFH.PR.I FixedReset Disc 1.48 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-01-18
Maturity Price : 17.10
Evaluated at bid price : 17.10
Bid-YTW : 8.80 %
CU.PR.G Perpetual-Discount 1.82 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-01-18
Maturity Price : 17.92
Evaluated at bid price : 17.92
Bid-YTW : 6.39 %
BIP.PR.A FixedReset Disc 2.13 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-01-18
Maturity Price : 17.77
Evaluated at bid price : 17.77
Bid-YTW : 9.63 %
FFH.PR.C FixedReset Disc 2.86 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-01-18
Maturity Price : 20.12
Evaluated at bid price : 20.12
Bid-YTW : 8.27 %
FFH.PR.F FloatingReset 2.97 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-01-18
Maturity Price : 17.00
Evaluated at bid price : 17.00
Bid-YTW : 10.86 %
IFC.PR.I Insurance Straight 3.10 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-01-18
Maturity Price : 21.38
Evaluated at bid price : 21.65
Bid-YTW : 6.29 %
FFH.PR.D FloatingReset 4.43 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-01-18
Maturity Price : 21.20
Evaluated at bid price : 21.20
Bid-YTW : 9.88 %
FFH.PR.G FixedReset Disc 5.51 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-01-18
Maturity Price : 16.46
Evaluated at bid price : 16.46
Bid-YTW : 8.77 %
Volume Highlights
Issue Index Shares
Traded		 Notes
PWF.PR.P FixedReset Disc 308,658 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-01-18
Maturity Price : 14.15
Evaluated at bid price : 14.15
Bid-YTW : 8.32 %
BMO.PR.F FixedReset Disc 259,447 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-01-18
Maturity Price : 23.90
Evaluated at bid price : 24.66
Bid-YTW : 7.22 %
BNS.PR.I FixedReset Prem 171,626 YTW SCENARIO
Maturity Type : Call
Maturity Date : 2024-02-26
Maturity Price : 25.00
Evaluated at bid price : 24.97
Bid-YTW : 4.90 %
MFC.PR.M FixedReset Ins Non 107,560 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-01-18
Maturity Price : 19.03
Evaluated at bid price : 19.03
Bid-YTW : 7.71 %
MFC.PR.Q FixedReset Ins Non 96,930 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-01-18
Maturity Price : 21.94
Evaluated at bid price : 22.40
Bid-YTW : 6.83 %
TD.PF.C FixedReset Disc 76,273 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-01-18
Maturity Price : 19.25
Evaluated at bid price : 19.25
Bid-YTW : 7.41 %
There were 19 other index-included issues trading in excess of 10,000 shares.
Wide Spread Highlights
Issue Index Quote Data and Yield Notes
BIP.PR.B FixedReset Disc Quote: 22.85 – 24.95
Spot Rate : 2.1000
Average : 1.2668

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-01-18
Maturity Price : 22.52
Evaluated at bid price : 22.85
Bid-YTW : 8.53 %
IFC.PR.E Insurance Straight Quote: 21.15 – 22.50
Spot Rate : 1.3500
Average : 0.8539

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-01-18
Maturity Price : 21.15
Evaluated at bid price : 21.15
Bid-YTW : 6.22 %
SLF.PR.H FixedReset Ins Non Quote: 18.75 – 20.00
Spot Rate : 1.2500
Average : 0.8020

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-01-18
Maturity Price : 18.75
Evaluated at bid price : 18.75
Bid-YTW : 7.04 %
BN.PF.E FixedReset Disc Quote: 15.83 – 17.40
Spot Rate : 1.5700
Average : 1.1631

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-01-18
Maturity Price : 15.83
Evaluated at bid price : 15.83
Bid-YTW : 9.40 %
PWF.PR.S Perpetual-Discount Quote: 18.30 – 18.91
Spot Rate : 0.6100
Average : 0.4259

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-01-18
Maturity Price : 18.30
Evaluated at bid price : 18.30
Bid-YTW : 6.59 %
CU.PR.F Perpetual-Discount Quote: 17.76 – 18.64
Spot Rate : 0.8800
Average : 0.7116

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-01-18
Maturity Price : 17.76
Evaluated at bid price : 17.76
Bid-YTW : 6.45 %

Posted in Market Action | 5 Comments »

RY.PR.S To Be Extended

January 17th, 2024

Royal Bank of Canada has announced:

that it does not intend to exercise its right to redeem all or any part of the currently outstanding Non-Viability Contingent Capital (NVCC) Non-Cumulative 5-Year Rate Reset First Preferred Shares, Series BO (the “Series BO shares”) on February 24, 2024. There are currently 14,000,000 Series BO shares outstanding.

Subject to certain conditions set out in the prospectus supplement dated October 29, 2018 (the “Prospectus”) relating to the issuance of the Series BO shares, the holders of the Series BO shares have the right to convert all or part of their Series BO shares, on a one-for-one basis, into NVCC Non-Cumulative Floating Rate First Preferred Shares Series BP (the “Series BP shares”) on February 24, 2024. On such date, holders who do not exercise their right to convert their Series BO shares into Series BP shares will continue to hold their Series BO shares. The conversion will occur on February 26 being the first business day following the conversion date of February 24 as identified in the Prospectus, which falls on a Saturday. The foregoing conversion rights are subject to the following:

if Royal Bank of Canada determines that there would be less than 1,000,000 Series BP shares outstanding after taking into account all shares tendered for conversion on February 24, 2024, then holders of Series BO shares will not be entitled to convert their shares into Series BP shares, and
alternatively, if Royal Bank of Canada determines that there would remain outstanding less than 1,000,000 Series BO shares after February 24, 2024, then all remaining Series BO shares will automatically be converted into Series BP shares on a one-for-one basis on February 24, 2024.
In either case, Royal Bank of Canada will give written notice to that effect to holders of Series BO shares no later than February 17, 2024.

The dividend rate applicable for the Series BO shares for the 5-year period from and including February 24, 2024 to, but excluding, February 24, 2029, and the dividend rate applicable to the Series BP shares for the 3-month period from and including February 24, 2024 to, but excluding, May 24, 2024, will be determined and announced by way of a press release on January 25, 2024.

Beneficial owners of Series BO shares who wish to exercise their conversion rights should instruct their broker or other nominee to exercise such rights during the conversion period, which runs from January 25, 2024 until 5:00 p.m. (EST) on February 9, 2024.

RY.PR.S was issued as a FixedReset, 4.80+238, that commenced trading 2018-11-2 after being announced 2018-10-25. It is tracked by HIMIPref™ and is assigned to the Fixed-Resets (Discount) subindex.

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

Posted in Issue Comments | 7 Comments »

January 17, 2024

January 17th, 2024

Bonds got clobbered:

Bond yields rose after upbeat U.S. retail sales data eroded expectations the Fed will kick off its interest rate cutting campaign as soon as March. By late afternoon, the U.S. two-year bond yield was up 13 basis points to its highest in a week, while the Canada two-year was up an even larger 18 basis points.

Traders’ expectations of a 25-basis-point Fed rate cut in March dipped to 55%, from around 60% before the data was released. Overnight swaps markets for Canada, which capture bets for where monetary policy is heading and are influenced by both domestic and U.S. economic data, now suggest 58% odds that the first cut by the Bank of Canada will arrive in April. At the start of this week, those odds stood at 87%.

Reuters adds:

Speaking Tuesday, Fed Governor Christopher Waller said that recent data had made him more confident that inflation is on track to the Fed’s 2% goal, but that consumer spending would be a critical component as he looked to incoming data to confirm that outlook.

Futures that settle to the Fed’s policy rate on Wednesday pointed to a little under a 60% chance of a rate cut in March, versus about a 65% chance seen at the close of business on Tuesday.

PerpetualDiscounts now yield 6.59%, equivalent to 8.57% interest at the standard equivalency factor of 1.3x. Long corporates yielded 4.99% on 2024-1-5 and since then the closing price has changed from 15.23 to 14.93, a decline of 197bp in price, with a Duration (BMO doesn’t specify Modified or Macaulay – I will assume the former) of 12.38 implying an increase of 16bp in yield to 5.15%, so the pre-tax interest-equivalent spread (in this context, the “Seniority Spread”) has narrowed sharply (for the second successive week) to 340bp from the 350bp reported January 10.

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 -0.2190 % 2,201.1
FixedFloater 0.00 % 0.00 % 0 0.00 0 -0.2190 % 4,221.8
Floater 11.06 % 11.21 % 47,878 8.65 2 -0.2190 % 2,433.0
OpRet 0.00 % 0.00 % 0 0.00 0 -0.0542 % 3,408.3
SplitShare 4.94 % 7.30 % 49,920 1.97 7 -0.0542 % 4,070.3
Interest-Bearing 0.00 % 0.00 % 0 0.00 0 -0.0542 % 3,175.8
Perpetual-Premium 0.00 % 0.00 % 0 0.00 0 -0.4837 % 2,659.5
Perpetual-Discount 6.46 % 6.59 % 53,200 13.12 34 -0.4837 % 2,900.1
FixedReset Disc 5.67 % 7.62 % 108,178 12.11 59 0.1253 % 2,316.3
Insurance Straight 6.29 % 6.46 % 70,432 13.26 20 0.0151 % 2,881.3
FloatingReset 10.50 % 10.80 % 32,602 8.92 5 -0.1159 % 2,552.3
FixedReset Prem 5.91 % 6.56 % 145,037 3.36 2 -0.2579 % 2,522.7
FixedReset Bank Non 0.00 % 0.00 % 0 0.00 0 0.1253 % 2,367.8
FixedReset Ins Non 5.52 % 7.32 % 90,404 12.37 14 0.0375 % 2,574.9
Performance Highlights
Issue Index Change Notes
FFH.PR.G FixedReset Disc -3.88 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-01-17
Maturity Price : 15.60
Evaluated at bid price : 15.60
Bid-YTW : 9.24 %
SLF.PR.G FixedReset Ins Non -2.54 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-01-17
Maturity Price : 14.18
Evaluated at bid price : 14.18
Bid-YTW : 8.26 %
CU.PR.H Perpetual-Discount -2.53 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-01-17
Maturity Price : 20.40
Evaluated at bid price : 20.40
Bid-YTW : 6.55 %
CU.PR.I FixedReset Disc -2.18 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-01-17
Maturity Price : 22.10
Evaluated at bid price : 22.40
Bid-YTW : 7.79 %
BIP.PR.A FixedReset Disc -1.69 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-01-17
Maturity Price : 17.40
Evaluated at bid price : 17.40
Bid-YTW : 9.83 %
CU.PR.F Perpetual-Discount -1.56 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-01-17
Maturity Price : 17.64
Evaluated at bid price : 17.64
Bid-YTW : 6.49 %
CU.PR.G Perpetual-Discount -1.46 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-01-17
Maturity Price : 17.60
Evaluated at bid price : 17.60
Bid-YTW : 6.51 %
RY.PR.J FixedReset Disc -1.45 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-01-17
Maturity Price : 19.66
Evaluated at bid price : 19.66
Bid-YTW : 7.75 %
BN.PF.D Perpetual-Discount -1.33 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-01-17
Maturity Price : 17.76
Evaluated at bid price : 17.76
Bid-YTW : 6.98 %
BMO.PR.T FixedReset Disc -1.08 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-01-17
Maturity Price : 19.16
Evaluated at bid price : 19.16
Bid-YTW : 7.58 %
PWF.PR.K Perpetual-Discount -1.06 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-01-17
Maturity Price : 18.75
Evaluated at bid price : 18.75
Bid-YTW : 6.64 %
CU.PR.E Perpetual-Discount -1.01 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-01-17
Maturity Price : 19.56
Evaluated at bid price : 19.56
Bid-YTW : 6.37 %
PWF.PR.Z Perpetual-Discount -1.01 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-01-17
Maturity Price : 19.60
Evaluated at bid price : 19.60
Bid-YTW : 6.60 %
NA.PR.W FixedReset Disc 1.02 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-01-17
Maturity Price : 18.78
Evaluated at bid price : 18.78
Bid-YTW : 7.57 %
MFC.PR.N FixedReset Ins Non 1.08 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-01-17
Maturity Price : 18.75
Evaluated at bid price : 18.75
Bid-YTW : 7.67 %
PWF.PR.T FixedReset Disc 1.10 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-01-17
Maturity Price : 20.24
Evaluated at bid price : 20.24
Bid-YTW : 7.34 %
BN.PF.A FixedReset Disc 1.12 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-01-17
Maturity Price : 20.68
Evaluated at bid price : 20.68
Bid-YTW : 8.02 %
BN.PR.X FixedReset Disc 1.31 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-01-17
Maturity Price : 15.50
Evaluated at bid price : 15.50
Bid-YTW : 8.43 %
CM.PR.Q FixedReset Disc 1.32 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-01-17
Maturity Price : 19.25
Evaluated at bid price : 19.25
Bid-YTW : 7.77 %
GWO.PR.N FixedReset Ins Non 1.36 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-01-17
Maturity Price : 14.20
Evaluated at bid price : 14.20
Bid-YTW : 7.86 %
BN.PF.B FixedReset Disc 1.39 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-01-17
Maturity Price : 18.30
Evaluated at bid price : 18.30
Bid-YTW : 8.55 %
IFC.PR.E Insurance Straight 1.40 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-01-17
Maturity Price : 21.05
Evaluated at bid price : 21.05
Bid-YTW : 6.24 %
BN.PR.R FixedReset Disc 1.52 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-01-17
Maturity Price : 14.67
Evaluated at bid price : 14.67
Bid-YTW : 9.22 %
TD.PF.D FixedReset Disc 1.71 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-01-17
Maturity Price : 20.19
Evaluated at bid price : 20.19
Bid-YTW : 7.49 %
BN.PF.I FixedReset Disc 2.51 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-01-17
Maturity Price : 20.04
Evaluated at bid price : 20.04
Bid-YTW : 8.74 %
BIK.PR.A FixedReset Disc 3.02 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-01-17
Maturity Price : 22.53
Evaluated at bid price : 23.50
Bid-YTW : 8.06 %
Volume Highlights
Issue Index Shares
Traded		 Notes
PWF.PR.P FixedReset Disc 92,739 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-01-17
Maturity Price : 14.40
Evaluated at bid price : 14.40
Bid-YTW : 8.18 %
BN.PF.C Perpetual-Discount 81,220 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-01-17
Maturity Price : 17.65
Evaluated at bid price : 17.65
Bid-YTW : 6.95 %
CM.PR.P FixedReset Disc 25,261 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-01-17
Maturity Price : 18.50
Evaluated at bid price : 18.50
Bid-YTW : 7.65 %
MFC.PR.B Insurance Straight 20,898 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-01-17
Maturity Price : 19.05
Evaluated at bid price : 19.05
Bid-YTW : 6.18 %
RY.PR.H FixedReset Disc 17,780 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-01-17
Maturity Price : 19.88
Evaluated at bid price : 19.88
Bid-YTW : 7.33 %
GWO.PR.Q Insurance Straight 17,561 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-01-17
Maturity Price : 19.90
Evaluated at bid price : 19.90
Bid-YTW : 6.55 %
There were 10 other index-included issues trading in excess of 10,000 shares.
Wide Spread Highlights
Issue Index Quote Data and Yield Notes
BMO.PR.S FixedReset Disc Quote: 20.59 – 23.00
Spot Rate : 2.4100
Average : 1.3632

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-01-17
Maturity Price : 20.59
Evaluated at bid price : 20.59
Bid-YTW : 7.22 %
GWO.PR.Y Insurance Straight Quote: 18.10 – 19.99
Spot Rate : 1.8900
Average : 1.1938

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-01-17
Maturity Price : 18.10
Evaluated at bid price : 18.10
Bid-YTW : 6.29 %
BMO.PR.T FixedReset Disc Quote: 19.16 – 20.50
Spot Rate : 1.3400
Average : 0.8076

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-01-17
Maturity Price : 19.16
Evaluated at bid price : 19.16
Bid-YTW : 7.58 %
GWO.PR.T Insurance Straight Quote: 20.11 – 21.19
Spot Rate : 1.0800
Average : 0.5911

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-01-17
Maturity Price : 20.11
Evaluated at bid price : 20.11
Bid-YTW : 6.48 %
PVS.PR.J SplitShare Quote: 22.50 – 24.12
Spot Rate : 1.6200
Average : 1.2068

YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2028-02-29
Maturity Price : 25.00
Evaluated at bid price : 22.50
Bid-YTW : 7.45 %
CU.PR.H Perpetual-Discount Quote: 20.40 – 21.25
Spot Rate : 0.8500
Average : 0.5147

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-01-17
Maturity Price : 20.40
Evaluated at bid price : 20.40
Bid-YTW : 6.55 %

Posted in Market Action | 1 Comment »

January 16, 2024

January 16th, 2024

Inflation isn’t quite dead yet:

Some closely watched measures of consumer price growth unexpectedly rose at an accelerated rate in December, showing that inflation is proving tough to tame and potentially complicating matters for the Bank of Canada as it considers when to lower interest rates.

The Consumer Price Index (CPI) rose at an annual pace of 3.4 per cent last month, up from 3.1 per cent in November, Statistics Canada said Tuesday in a report. This result was heavily influenced by what economists refer to as base effects: a tumble in gasoline prices a year ago created an unflattering base for year-over-year comparisons – hence the increase in the annual inflation rate.

Although this uptick was in line with expectations on Bay Street, several measures of core inflation – which strip out volatile movements in the CPI – raised eyebrows among financial analysts. The Bank of Canada’s preferred measures rose at an average annual rate of 3.65 per cent, from 3.55 per cent in November. Analysts were expecting a reading of 3.35 per cent.

In particular, housing prices continue to be a source of financial strain. They rose 6 per cent in December from a year earlier. Rents are generating lots of inflationary pressure, as people – including a surge of international students and other temporary residents – vie for units in short supply.

Shock and consternation followed:
Pre-inflation-announcement market:

Post-inflation-announcement market:

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 0.5727 % 2,206.0
FixedFloater 0.00 % 0.00 % 0 0.00 0 0.5727 % 4,231.1
Floater 11.04 % 11.23 % 42,216 8.64 2 0.5727 % 2,438.4
OpRet 0.00 % 0.00 % 0 0.00 0 -0.1143 % 3,410.2
SplitShare 4.94 % 7.44 % 47,794 1.98 7 -0.1143 % 4,072.5
Interest-Bearing 0.00 % 0.00 % 0 0.00 0 -0.1143 % 3,177.5
Perpetual-Premium 0.00 % 0.00 % 0 0.00 0 0.0163 % 2,672.5
Perpetual-Discount 6.43 % 6.54 % 52,282 13.16 34 0.0163 % 2,914.2
FixedReset Disc 5.67 % 7.37 % 109,999 12.34 59 0.4584 % 2,313.5
Insurance Straight 6.29 % 6.46 % 71,061 13.26 20 0.2580 % 2,880.8
FloatingReset 10.61 % 10.88 % 33,721 8.84 5 -0.7478 % 2,555.2
FixedReset Prem 5.89 % 6.38 % 145,654 3.36 2 0.0000 % 2,529.2
FixedReset Bank Non 0.00 % 0.00 % 0 0.00 0 0.4584 % 2,364.8
FixedReset Ins Non 5.52 % 7.08 % 93,461 12.64 14 -0.0300 % 2,573.9
Performance Highlights
Issue Index Change Notes
FFH.PR.C FixedReset Disc -3.22 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-01-16
Maturity Price : 19.56
Evaluated at bid price : 19.56
Bid-YTW : 8.23 %
BN.PF.I FixedReset Disc -2.98 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-01-16
Maturity Price : 19.55
Evaluated at bid price : 19.55
Bid-YTW : 8.73 %
FFH.PR.F FloatingReset -2.88 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-01-16
Maturity Price : 16.51
Evaluated at bid price : 16.51
Bid-YTW : 11.33 %
GWO.PR.N FixedReset Ins Non -1.34 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-01-16
Maturity Price : 14.01
Evaluated at bid price : 14.01
Bid-YTW : 7.62 %
IFC.PR.G FixedReset Ins Non -1.15 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-01-16
Maturity Price : 21.45
Evaluated at bid price : 21.45
Bid-YTW : 6.96 %
FFH.PR.G FixedReset Disc -1.04 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-01-16
Maturity Price : 16.23
Evaluated at bid price : 16.23
Bid-YTW : 8.59 %
FFH.PR.D FloatingReset -1.02 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-01-16
Maturity Price : 20.30
Evaluated at bid price : 20.30
Bid-YTW : 10.44 %
MFC.PR.J FixedReset Ins Non 1.07 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-01-16
Maturity Price : 22.18
Evaluated at bid price : 22.75
Bid-YTW : 6.64 %
FTS.PR.M FixedReset Disc 1.10 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-01-16
Maturity Price : 18.35
Evaluated at bid price : 18.35
Bid-YTW : 7.89 %
BMO.PR.T FixedReset Disc 1.15 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-01-16
Maturity Price : 19.37
Evaluated at bid price : 19.37
Bid-YTW : 7.21 %
BN.PR.K Floater 1.15 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-01-16
Maturity Price : 11.43
Evaluated at bid price : 11.43
Bid-YTW : 11.23 %
PWF.PR.Z Perpetual-Discount 1.18 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-01-16
Maturity Price : 19.80
Evaluated at bid price : 19.80
Bid-YTW : 6.54 %
SLF.PR.H FixedReset Ins Non 1.19 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-01-16
Maturity Price : 18.68
Evaluated at bid price : 18.68
Bid-YTW : 6.81 %
CCS.PR.C Insurance Straight 1.30 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-01-16
Maturity Price : 19.50
Evaluated at bid price : 19.50
Bid-YTW : 6.48 %
CM.PR.O FixedReset Disc 1.31 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-01-16
Maturity Price : 19.31
Evaluated at bid price : 19.31
Bid-YTW : 7.23 %
TD.PF.C FixedReset Disc 1.48 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-01-16
Maturity Price : 19.14
Evaluated at bid price : 19.14
Bid-YTW : 7.17 %
PWF.PR.P FixedReset Disc 1.55 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-01-16
Maturity Price : 14.37
Evaluated at bid price : 14.37
Bid-YTW : 7.87 %
TD.PF.A FixedReset Disc 1.58 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-01-16
Maturity Price : 19.96
Evaluated at bid price : 19.96
Bid-YTW : 6.89 %
TD.PF.B FixedReset Disc 1.82 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-01-16
Maturity Price : 20.70
Evaluated at bid price : 20.70
Bid-YTW : 6.73 %
RY.PR.H FixedReset Disc 3.28 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-01-16
Maturity Price : 19.83
Evaluated at bid price : 19.83
Bid-YTW : 7.06 %
CU.PR.I FixedReset Disc 3.29 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-01-16
Maturity Price : 22.56
Evaluated at bid price : 22.90
Bid-YTW : 7.40 %
TD.PF.E FixedReset Disc 4.74 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-01-16
Maturity Price : 19.90
Evaluated at bid price : 19.90
Bid-YTW : 7.37 %
BMO.PR.W FixedReset Disc 5.00 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-01-16
Maturity Price : 18.90
Evaluated at bid price : 18.90
Bid-YTW : 7.33 %
Volume Highlights
Issue Index Shares
Traded		 Notes
TD.PF.B FixedReset Disc 262,917 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-01-16
Maturity Price : 20.70
Evaluated at bid price : 20.70
Bid-YTW : 6.73 %
TD.PF.A FixedReset Disc 144,306 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-01-16
Maturity Price : 19.96
Evaluated at bid price : 19.96
Bid-YTW : 6.89 %
TD.PF.L FixedReset Disc 51,550 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-01-16
Maturity Price : 23.75
Evaluated at bid price : 24.60
Bid-YTW : 6.68 %
BN.PF.G FixedReset Disc 45,630 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-01-16
Maturity Price : 16.67
Evaluated at bid price : 16.67
Bid-YTW : 8.87 %
PWF.PR.T FixedReset Disc 44,000 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-01-16
Maturity Price : 20.02
Evaluated at bid price : 20.02
Bid-YTW : 7.13 %
PWF.PR.P FixedReset Disc 40,929 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-01-16
Maturity Price : 14.37
Evaluated at bid price : 14.37
Bid-YTW : 7.87 %
There were 16 other index-included issues trading in excess of 10,000 shares.
Wide Spread Highlights
Issue Index Quote Data and Yield Notes
BMO.PR.W FixedReset Disc Quote: 18.90 – 24.50
Spot Rate : 5.6000
Average : 3.2885

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-01-16
Maturity Price : 18.90
Evaluated at bid price : 18.90
Bid-YTW : 7.33 %
CU.PR.E Perpetual-Discount Quote: 19.76 – 22.12
Spot Rate : 2.3600
Average : 1.3369

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-01-16
Maturity Price : 19.76
Evaluated at bid price : 19.76
Bid-YTW : 6.31 %
FFH.PR.D FloatingReset Quote: 20.30 – 22.61
Spot Rate : 2.3100
Average : 1.3080

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-01-16
Maturity Price : 20.30
Evaluated at bid price : 20.30
Bid-YTW : 10.44 %
GWO.PR.S Insurance Straight Quote: 20.56 – 21.78
Spot Rate : 1.2200
Average : 0.7631

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-01-16
Maturity Price : 20.56
Evaluated at bid price : 20.56
Bid-YTW : 6.46 %
RY.PR.H FixedReset Disc Quote: 19.83 – 20.99
Spot Rate : 1.1600
Average : 0.7645

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-01-16
Maturity Price : 19.83
Evaluated at bid price : 19.83
Bid-YTW : 7.06 %
BN.PF.I FixedReset Disc Quote: 19.55 – 20.38
Spot Rate : 0.8300
Average : 0.5650

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-01-16
Maturity Price : 19.55
Evaluated at bid price : 19.55
Bid-YTW : 8.73 %

Posted in Market Action | No Comments »

January 15, 2024

January 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 0.6206 % 2,193.4
FixedFloater 0.00 % 0.00 % 0 0.00 0 0.6206 % 4,207.0
Floater 11.10 % 11.26 % 49,853 8.63 2 0.6206 % 2,424.5
OpRet 0.00 % 0.00 % 0 0.00 0 0.5077 % 3,414.1
SplitShare 4.93 % 7.41 % 47,663 1.98 7 0.5077 % 4,077.1
Interest-Bearing 0.00 % 0.00 % 0 0.00 0 0.5077 % 3,181.1
Perpetual-Premium 0.00 % 0.00 % 0 0.00 0 -0.0547 % 2,672.0
Perpetual-Discount 6.43 % 6.53 % 52,625 13.19 34 -0.0547 % 2,913.7
FixedReset Disc 5.70 % 7.45 % 111,197 12.28 59 0.2455 % 2,302.9
Insurance Straight 6.30 % 6.48 % 70,398 13.23 20 0.3936 % 2,873.4
FloatingReset 10.54 % 10.91 % 34,004 8.84 5 -0.3325 % 2,574.5
FixedReset Prem 5.89 % 6.38 % 145,224 3.36 2 0.1988 % 2,529.2
FixedReset Bank Non 0.00 % 0.00 % 0 0.00 0 0.2455 % 2,354.0
FixedReset Ins Non 5.52 % 7.08 % 92,453 12.64 14 -0.1423 % 2,574.7
Performance Highlights
Issue Index Change Notes
TD.PF.E FixedReset Disc -3.55 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-01-15
Maturity Price : 19.00
Evaluated at bid price : 19.00
Bid-YTW : 7.71 %
IFC.PR.I Insurance Straight -2.55 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-01-15
Maturity Price : 21.00
Evaluated at bid price : 21.00
Bid-YTW : 6.50 %
BMO.PR.W FixedReset Disc -2.17 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-01-15
Maturity Price : 18.00
Evaluated at bid price : 18.00
Bid-YTW : 7.70 %
PWF.PR.G Perpetual-Discount -2.02 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-01-15
Maturity Price : 22.05
Evaluated at bid price : 22.34
Bid-YTW : 6.62 %
PWF.PF.A Perpetual-Discount -1.93 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-01-15
Maturity Price : 17.27
Evaluated at bid price : 17.27
Bid-YTW : 6.55 %
RY.PR.N Perpetual-Discount -1.40 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-01-15
Maturity Price : 22.21
Evaluated at bid price : 22.55
Bid-YTW : 5.50 %
MFC.PR.C Insurance Straight -1.39 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-01-15
Maturity Price : 18.40
Evaluated at bid price : 18.40
Bid-YTW : 6.19 %
MFC.PR.J FixedReset Ins Non -1.23 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-01-15
Maturity Price : 22.03
Evaluated at bid price : 22.51
Bid-YTW : 6.72 %
FFH.PR.F FloatingReset -1.16 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-01-15
Maturity Price : 17.00
Evaluated at bid price : 17.00
Bid-YTW : 10.99 %
BIP.PR.F FixedReset Disc 1.01 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-01-15
Maturity Price : 20.00
Evaluated at bid price : 20.00
Bid-YTW : 7.99 %
FFH.PR.K FixedReset Disc 1.03 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-01-15
Maturity Price : 19.60
Evaluated at bid price : 19.60
Bid-YTW : 8.28 %
PWF.PR.P FixedReset Disc 1.07 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-01-15
Maturity Price : 14.15
Evaluated at bid price : 14.15
Bid-YTW : 7.99 %
BMO.PR.S FixedReset Disc 1.09 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-01-15
Maturity Price : 20.44
Evaluated at bid price : 20.44
Bid-YTW : 6.99 %
BN.PF.H FixedReset Disc 1.13 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-01-15
Maturity Price : 21.40
Evaluated at bid price : 21.40
Bid-YTW : 8.43 %
RY.PR.Z FixedReset Disc 1.21 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-01-15
Maturity Price : 20.10
Evaluated at bid price : 20.10
Bid-YTW : 6.95 %
BIK.PR.A FixedReset Disc 1.33 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-01-15
Maturity Price : 22.15
Evaluated at bid price : 22.80
Bid-YTW : 8.06 %
RY.PR.O Perpetual-Discount 1.35 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-01-15
Maturity Price : 22.21
Evaluated at bid price : 22.55
Bid-YTW : 5.50 %
TD.PF.D FixedReset Disc 1.49 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-01-15
Maturity Price : 19.81
Evaluated at bid price : 19.81
Bid-YTW : 7.37 %
GWO.PR.P Insurance Straight 1.69 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-01-15
Maturity Price : 21.00
Evaluated at bid price : 21.00
Bid-YTW : 6.50 %
CU.PR.I FixedReset Disc 1.93 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-01-15
Maturity Price : 21.71
Evaluated at bid price : 22.17
Bid-YTW : 7.63 %
PVS.PR.H SplitShare 2.81 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2027-02-28
Maturity Price : 25.00
Evaluated at bid price : 23.75
Bid-YTW : 6.72 %
IFC.PR.F Insurance Straight 9.02 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-01-15
Maturity Price : 20.67
Evaluated at bid price : 20.67
Bid-YTW : 6.48 %
Volume Highlights
Issue Index Shares
Traded		 Notes
BN.PF.G FixedReset Disc 101,000 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-01-15
Maturity Price : 16.52
Evaluated at bid price : 16.52
Bid-YTW : 8.95 %
BN.PF.E FixedReset Disc 95,500 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-01-15
Maturity Price : 15.81
Evaluated at bid price : 15.81
Bid-YTW : 9.07 %
BN.PR.X FixedReset Disc 63,600 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-01-15
Maturity Price : 15.30
Evaluated at bid price : 15.30
Bid-YTW : 8.25 %
RY.PR.Z FixedReset Disc 39,600 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-01-15
Maturity Price : 20.10
Evaluated at bid price : 20.10
Bid-YTW : 6.95 %
BMO.PR.S FixedReset Disc 29,200 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-01-15
Maturity Price : 20.44
Evaluated at bid price : 20.44
Bid-YTW : 6.99 %
TD.PF.A FixedReset Disc 26,900 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-01-15
Maturity Price : 19.65
Evaluated at bid price : 19.65
Bid-YTW : 7.00 %
There were 10 other index-included issues trading in excess of 10,000 shares.
Wide Spread Highlights
Issue Index Quote Data and Yield Notes
PVS.PR.G SplitShare Quote: 24.14 – 25.43
Spot Rate : 1.2900
Average : 0.7942

YTW SCENARIO
Maturity Type : Option Certainty
Maturity Date : 2026-02-28
Maturity Price : 25.00
Evaluated at bid price : 24.14
Bid-YTW : 6.98 %
RY.PR.J FixedReset Disc Quote: 19.90 – 21.00
Spot Rate : 1.1000
Average : 0.6766

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-01-15
Maturity Price : 19.90
Evaluated at bid price : 19.90
Bid-YTW : 7.40 %
TD.PF.E FixedReset Disc Quote: 19.00 – 20.30
Spot Rate : 1.3000
Average : 0.9518

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-01-15
Maturity Price : 19.00
Evaluated at bid price : 19.00
Bid-YTW : 7.71 %
IFC.PR.I Insurance Straight Quote: 21.00 – 21.95
Spot Rate : 0.9500
Average : 0.6612

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-01-15
Maturity Price : 21.00
Evaluated at bid price : 21.00
Bid-YTW : 6.50 %
BMO.PR.Y FixedReset Disc Quote: 19.20 – 20.20
Spot Rate : 1.0000
Average : 0.7418

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-01-15
Maturity Price : 19.20
Evaluated at bid price : 19.20
Bid-YTW : 7.53 %
NA.PR.E FixedReset Disc Quote: 21.30 – 21.90
Spot Rate : 0.6000
Average : 0.4065

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-01-15
Maturity Price : 21.30
Evaluated at bid price : 21.30
Bid-YTW : 6.90 %

Posted in Market Action | 1 Comment »

January PrefLetter Released!

January 15th, 2024

The January, 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.

This month’s edition contains a special appendix briefly discussing tax-loss selling.

The previously mentioned server problems that prevented the sending of PrefLetter last night appear to have resolved themselves, but I have my server-guy looking at the problem anyway.

PrefLetter may now be purchased by all Canadian residents.

Until further notice, the “previous” edition will refer to the January, 2024, issue, while the “next” edition will be the February, 2024, issue scheduled to be prepared as of the close February 9, and emailed to subscribers prior to the market-opening on February 12. 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.

Posted in PrefLetter | No Comments »

PrefLetter Server Problems

January 15th, 2024

Delivery of the current edition of PrefLetter will be delayed; it seems I have server problems.

I regret the inconvenience.

Posted in PrefLetter | 1 Comment »

January 12, 2024

January 12th, 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 0.4900 % 2,179.9
FixedFloater 0.00 % 0.00 % 0 0.00 0 0.4900 % 4,181.0
Floater 11.17 % 11.35 % 51,639 8.57 2 0.4900 % 2,409.5
OpRet 0.00 % 0.00 % 0 0.00 0 -0.1569 % 3,396.8
SplitShare 4.96 % 7.49 % 47,536 1.99 7 -0.1569 % 4,056.5
Interest-Bearing 0.00 % 0.00 % 0 0.00 0 -0.1569 % 3,165.1
Perpetual-Premium 0.00 % 0.00 % 0 0.00 0 0.5964 % 2,673.5
Perpetual-Discount 6.42 % 6.52 % 54,338 13.20 34 0.5964 % 2,915.3
FixedReset Disc 5.71 % 7.47 % 110,952 12.26 59 0.1725 % 2,297.3
Insurance Straight 6.33 % 6.46 % 71,180 13.26 20 0.8450 % 2,862.2
FloatingReset 10.50 % 10.85 % 35,301 8.91 5 1.1365 % 2,583.1
FixedReset Prem 5.90 % 6.47 % 150,482 3.37 2 0.4995 % 2,524.2
FixedReset Bank Non 0.00 % 0.00 % 0 0.00 0 0.1725 % 2,348.3
FixedReset Ins Non 5.51 % 7.02 % 90,566 12.65 14 0.3418 % 2,578.3
Performance Highlights
Issue Index Change Notes
BN.PF.H FixedReset Disc -1.81 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-01-12
Maturity Price : 21.16
Evaluated at bid price : 21.16
Bid-YTW : 8.52 %
FFH.PR.K FixedReset Disc -1.77 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-01-12
Maturity Price : 19.40
Evaluated at bid price : 19.40
Bid-YTW : 8.35 %
TD.PF.D FixedReset Disc -1.51 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-01-12
Maturity Price : 19.52
Evaluated at bid price : 19.52
Bid-YTW : 7.48 %
BN.PF.I FixedReset Disc -1.48 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-01-12
Maturity Price : 20.00
Evaluated at bid price : 20.00
Bid-YTW : 8.53 %
PVS.PR.K SplitShare -1.33 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2029-05-31
Maturity Price : 25.00
Evaluated at bid price : 22.25
Bid-YTW : 7.08 %
IFC.PR.G FixedReset Ins Non -1.28 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-01-12
Maturity Price : 21.35
Evaluated at bid price : 21.65
Bid-YTW : 6.88 %
RY.PR.M FixedReset Disc -1.16 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-01-12
Maturity Price : 18.73
Evaluated at bid price : 18.73
Bid-YTW : 7.53 %
SLF.PR.D Insurance Straight 1.08 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-01-12
Maturity Price : 18.80
Evaluated at bid price : 18.80
Bid-YTW : 5.98 %
BMO.PR.Y FixedReset Disc 1.11 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-01-12
Maturity Price : 19.20
Evaluated at bid price : 19.20
Bid-YTW : 7.53 %
BIP.PR.B FixedReset Disc 1.11 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-01-12
Maturity Price : 22.43
Evaluated at bid price : 22.75
Bid-YTW : 8.34 %
BIK.PR.A FixedReset Disc 1.12 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-01-12
Maturity Price : 21.97
Evaluated at bid price : 22.50
Bid-YTW : 8.16 %
GWO.PR.I Insurance Straight 1.12 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-01-12
Maturity Price : 18.00
Evaluated at bid price : 18.00
Bid-YTW : 6.31 %
PWF.PR.Z Perpetual-Discount 1.13 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-01-12
Maturity Price : 19.75
Evaluated at bid price : 19.75
Bid-YTW : 6.55 %
PWF.PF.A Perpetual-Discount 1.21 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-01-12
Maturity Price : 17.61
Evaluated at bid price : 17.61
Bid-YTW : 6.41 %
TD.PF.C FixedReset Disc 1.34 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-01-12
Maturity Price : 18.86
Evaluated at bid price : 18.86
Bid-YTW : 7.27 %
PWF.PR.G Perpetual-Discount 1.42 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-01-12
Maturity Price : 22.55
Evaluated at bid price : 22.80
Bid-YTW : 6.48 %
BN.PR.Z FixedReset Disc 1.50 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-01-12
Maturity Price : 18.90
Evaluated at bid price : 18.90
Bid-YTW : 8.33 %
BMO.PR.T FixedReset Disc 1.54 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-01-12
Maturity Price : 19.15
Evaluated at bid price : 19.15
Bid-YTW : 7.28 %
MIC.PR.A Perpetual-Discount 1.63 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-01-12
Maturity Price : 18.66
Evaluated at bid price : 18.66
Bid-YTW : 7.32 %
CU.PR.C FixedReset Disc 1.73 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-01-12
Maturity Price : 19.43
Evaluated at bid price : 19.43
Bid-YTW : 7.32 %
FTS.PR.I FloatingReset 1.76 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-01-12
Maturity Price : 15.60
Evaluated at bid price : 15.60
Bid-YTW : 10.90 %
PWF.PR.T FixedReset Disc 1.77 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-01-12
Maturity Price : 20.15
Evaluated at bid price : 20.15
Bid-YTW : 7.08 %
CIU.PR.A Perpetual-Discount 1.78 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-01-12
Maturity Price : 17.75
Evaluated at bid price : 17.75
Bid-YTW : 6.59 %
MFC.PR.F FixedReset Ins Non 1.82 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-01-12
Maturity Price : 14.56
Evaluated at bid price : 14.56
Bid-YTW : 7.51 %
MFC.PR.C Insurance Straight 1.97 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-01-12
Maturity Price : 18.66
Evaluated at bid price : 18.66
Bid-YTW : 6.10 %
POW.PR.C Perpetual-Discount 2.00 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-01-12
Maturity Price : 22.71
Evaluated at bid price : 23.00
Bid-YTW : 6.34 %
SLF.PR.J FloatingReset 2.00 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-01-12
Maturity Price : 15.81
Evaluated at bid price : 15.81
Bid-YTW : 10.59 %
TD.PF.E FixedReset Disc 2.07 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-01-12
Maturity Price : 19.70
Evaluated at bid price : 19.70
Bid-YTW : 7.44 %
SLF.PR.E Insurance Straight 2.11 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-01-12
Maturity Price : 18.90
Evaluated at bid price : 18.90
Bid-YTW : 6.01 %
FFH.PR.F FloatingReset 2.38 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-01-12
Maturity Price : 17.20
Evaluated at bid price : 17.20
Bid-YTW : 10.85 %
CCS.PR.C Insurance Straight 2.62 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-01-12
Maturity Price : 19.20
Evaluated at bid price : 19.20
Bid-YTW : 6.58 %
IFC.PR.I Insurance Straight 2.62 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-01-12
Maturity Price : 21.55
Evaluated at bid price : 21.55
Bid-YTW : 6.33 %
RY.PR.N Perpetual-Discount 2.79 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-01-12
Maturity Price : 22.58
Evaluated at bid price : 22.87
Bid-YTW : 5.42 %
SLF.PR.C Insurance Straight 2.84 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-01-12
Maturity Price : 18.80
Evaluated at bid price : 18.80
Bid-YTW : 5.98 %
GWO.PR.N FixedReset Ins Non 3.65 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-01-12
Maturity Price : 14.20
Evaluated at bid price : 14.20
Bid-YTW : 7.52 %
NA.PR.W FixedReset Disc 5.63 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-01-12
Maturity Price : 18.38
Evaluated at bid price : 18.38
Bid-YTW : 7.43 %
Volume Highlights
Issue Index Shares
Traded		 Notes
TD.PF.B FixedReset Disc 273,047 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-01-12
Maturity Price : 20.23
Evaluated at bid price : 20.23
Bid-YTW : 6.88 %
BMO.PR.T FixedReset Disc 102,800 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-01-12
Maturity Price : 19.15
Evaluated at bid price : 19.15
Bid-YTW : 7.28 %
GWO.PR.G Insurance Straight 50,025 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-01-12
Maturity Price : 20.03
Evaluated at bid price : 20.03
Bid-YTW : 6.56 %
RY.PR.H FixedReset Disc 43,872 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-01-12
Maturity Price : 19.06
Evaluated at bid price : 19.06
Bid-YTW : 7.35 %
GWO.PR.H Insurance Straight 36,300 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-01-12
Maturity Price : 18.89
Evaluated at bid price : 18.89
Bid-YTW : 6.49 %
MFC.PR.F FixedReset Ins Non 32,200 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-01-12
Maturity Price : 14.56
Evaluated at bid price : 14.56
Bid-YTW : 7.51 %
There were 13 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: 14.56 – 19.38
Spot Rate : 4.8200
Average : 3.8585

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-01-12
Maturity Price : 14.56
Evaluated at bid price : 14.56
Bid-YTW : 7.51 %
CU.PR.D Perpetual-Discount Quote: 19.67 – 20.95
Spot Rate : 1.2800
Average : 0.7969

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-01-12
Maturity Price : 19.67
Evaluated at bid price : 19.67
Bid-YTW : 6.33 %
CU.PR.I FixedReset Disc Quote: 21.75 – 23.75
Spot Rate : 2.0000
Average : 1.5606

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-01-12
Maturity Price : 21.42
Evaluated at bid price : 21.75
Bid-YTW : 7.78 %
MFC.PR.M FixedReset Ins Non Quote: 18.96 – 19.96
Spot Rate : 1.0000
Average : 0.6056

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-01-12
Maturity Price : 18.96
Evaluated at bid price : 18.96
Bid-YTW : 7.43 %
IFC.PR.F Insurance Straight Quote: 18.96 – 20.75
Spot Rate : 1.7900
Average : 1.5481

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-01-12
Maturity Price : 18.96
Evaluated at bid price : 18.96
Bid-YTW : 7.07 %
BIK.PR.A FixedReset Disc Quote: 22.50 – 23.15
Spot Rate : 0.6500
Average : 0.4756

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-01-12
Maturity Price : 21.97
Evaluated at bid price : 22.50
Bid-YTW : 8.16 %

Posted in Market Action | No Comments »

January 11, 2024

January 11th, 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 0.4025 % 2,169.3
FixedFloater 0.00 % 0.00 % 0 0.00 0 0.4025 % 4,160.6
Floater 11.22 % 11.38 % 53,463 8.56 2 0.4025 % 2,397.8
OpRet 0.00 % 0.00 % 0 0.00 0 0.2541 % 3,402.2
SplitShare 4.95 % 7.65 % 49,389 1.99 7 0.2541 % 4,062.9
Interest-Bearing 0.00 % 0.00 % 0 0.00 0 0.2541 % 3,170.0
Perpetual-Premium 0.00 % 0.00 % 0 0.00 0 -0.1025 % 2,657.6
Perpetual-Discount 6.46 % 6.56 % 56,218 13.15 34 -0.1025 % 2,898.0
FixedReset Disc 5.72 % 7.49 % 113,214 12.21 59 -0.0333 % 2,293.3
Insurance Straight 6.38 % 6.50 % 74,022 13.22 20 -0.8606 % 2,838.2
FloatingReset 10.52 % 10.89 % 35,699 8.89 5 -1.0557 % 2,554.0
FixedReset Prem 5.93 % 6.73 % 150,491 12.73 2 -0.3584 % 2,511.6
FixedReset Bank Non 0.00 % 0.00 % 0 0.00 0 -0.0333 % 2,344.2
FixedReset Ins Non 5.53 % 7.06 % 88,684 12.68 14 0.0902 % 2,569.6
Performance Highlights
Issue Index Change Notes
IFC.PR.F Insurance Straight -6.37 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-01-11
Maturity Price : 18.96
Evaluated at bid price : 18.96
Bid-YTW : 7.07 %
CU.PR.I FixedReset Disc -4.94 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-01-11
Maturity Price : 21.42
Evaluated at bid price : 21.75
Bid-YTW : 7.80 %
SLF.PR.J FloatingReset -4.02 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-01-11
Maturity Price : 15.50
Evaluated at bid price : 15.50
Bid-YTW : 10.69 %
SLF.PR.C Insurance Straight -3.02 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-01-11
Maturity Price : 18.28
Evaluated at bid price : 18.28
Bid-YTW : 6.15 %
PWF.PR.G Perpetual-Discount -2.26 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-01-11
Maturity Price : 22.21
Evaluated at bid price : 22.48
Bid-YTW : 6.57 %
BN.PR.R FixedReset Disc -2.18 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-01-11
Maturity Price : 14.35
Evaluated at bid price : 14.35
Bid-YTW : 9.12 %
BN.PR.Z FixedReset Disc -2.00 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-01-11
Maturity Price : 18.62
Evaluated at bid price : 18.62
Bid-YTW : 8.48 %
POW.PR.C Perpetual-Discount -1.96 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-01-11
Maturity Price : 22.28
Evaluated at bid price : 22.55
Bid-YTW : 6.46 %
MFC.PR.F FixedReset Ins Non -1.92 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-01-11
Maturity Price : 14.30
Evaluated at bid price : 14.30
Bid-YTW : 7.67 %
MFC.PR.C Insurance Straight -1.88 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-01-11
Maturity Price : 18.30
Evaluated at bid price : 18.30
Bid-YTW : 6.22 %
GWO.PR.N FixedReset Ins Non -1.79 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-01-11
Maturity Price : 13.70
Evaluated at bid price : 13.70
Bid-YTW : 7.81 %
BN.PR.M Perpetual-Discount -1.62 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-01-11
Maturity Price : 17.57
Evaluated at bid price : 17.57
Bid-YTW : 6.83 %
BN.PF.E FixedReset Disc -1.45 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-01-11
Maturity Price : 15.68
Evaluated at bid price : 15.68
Bid-YTW : 9.16 %
SLF.PR.E Insurance Straight -1.33 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-01-11
Maturity Price : 18.51
Evaluated at bid price : 18.51
Bid-YTW : 6.14 %
SLF.PR.H FixedReset Ins Non -1.29 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-01-11
Maturity Price : 18.40
Evaluated at bid price : 18.40
Bid-YTW : 6.93 %
CU.PR.J Perpetual-Discount -1.28 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-01-11
Maturity Price : 18.50
Evaluated at bid price : 18.50
Bid-YTW : 6.53 %
TD.PF.C FixedReset Disc -1.27 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-01-11
Maturity Price : 18.61
Evaluated at bid price : 18.61
Bid-YTW : 7.39 %
BMO.PR.T FixedReset Disc -1.26 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-01-11
Maturity Price : 18.86
Evaluated at bid price : 18.86
Bid-YTW : 7.42 %
FFH.PR.F FloatingReset -1.23 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-01-11
Maturity Price : 16.80
Evaluated at bid price : 16.80
Bid-YTW : 11.00 %
FTS.PR.J Perpetual-Discount -1.19 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-01-11
Maturity Price : 19.05
Evaluated at bid price : 19.05
Bid-YTW : 6.34 %
FTS.PR.I FloatingReset -1.16 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-01-11
Maturity Price : 15.33
Evaluated at bid price : 15.33
Bid-YTW : 10.97 %
SLF.PR.D Insurance Straight -1.01 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-01-11
Maturity Price : 18.60
Evaluated at bid price : 18.60
Bid-YTW : 6.04 %
FFH.PR.K FixedReset Disc 1.02 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-01-11
Maturity Price : 19.75
Evaluated at bid price : 19.75
Bid-YTW : 8.23 %
RY.PR.N Perpetual-Discount 1.14 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-01-11
Maturity Price : 21.94
Evaluated at bid price : 22.25
Bid-YTW : 5.57 %
IFC.PR.E Insurance Straight 1.14 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-01-11
Maturity Price : 20.45
Evaluated at bid price : 20.45
Bid-YTW : 6.42 %
FFH.PR.I FixedReset Disc 1.25 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-01-11
Maturity Price : 17.01
Evaluated at bid price : 17.01
Bid-YTW : 8.57 %
PVS.PR.J SplitShare 1.35 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2028-02-29
Maturity Price : 25.00
Evaluated at bid price : 22.60
Bid-YTW : 7.29 %
BN.PF.I FixedReset Disc 1.40 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-01-11
Maturity Price : 20.30
Evaluated at bid price : 20.30
Bid-YTW : 8.42 %
MFC.PR.J FixedReset Ins Non 1.51 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-01-11
Maturity Price : 22.24
Evaluated at bid price : 22.85
Bid-YTW : 6.62 %
RY.PR.O Perpetual-Discount 1.55 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-01-11
Maturity Price : 21.94
Evaluated at bid price : 22.25
Bid-YTW : 5.57 %
TD.PF.E FixedReset Disc 1.58 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-01-11
Maturity Price : 19.30
Evaluated at bid price : 19.30
Bid-YTW : 7.61 %
BN.PF.H FixedReset Disc 1.89 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-01-11
Maturity Price : 21.27
Evaluated at bid price : 21.55
Bid-YTW : 8.37 %
IFC.PR.G FixedReset Ins Non 2.00 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-01-11
Maturity Price : 21.61
Evaluated at bid price : 21.93
Bid-YTW : 6.80 %
BMO.PR.W FixedReset Disc 2.22 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-01-11
Maturity Price : 18.40
Evaluated at bid price : 18.40
Bid-YTW : 7.55 %
BN.PR.X FixedReset Disc 3.60 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-01-11
Maturity Price : 15.25
Evaluated at bid price : 15.25
Bid-YTW : 8.30 %
Volume Highlights
Issue Index Shares
Traded		 Notes
MFC.PR.F FixedReset Ins Non 57,902 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-01-11
Maturity Price : 14.30
Evaluated at bid price : 14.30
Bid-YTW : 7.67 %
BMO.PR.S FixedReset Disc 51,762 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-01-11
Maturity Price : 20.10
Evaluated at bid price : 20.10
Bid-YTW : 7.13 %
SLF.PR.H FixedReset Ins Non 29,118 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-01-11
Maturity Price : 18.40
Evaluated at bid price : 18.40
Bid-YTW : 6.93 %
IFC.PR.C FixedReset Ins Non 25,902 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-01-11
Maturity Price : 18.74
Evaluated at bid price : 18.74
Bid-YTW : 7.44 %
TD.PF.E FixedReset Disc 25,400 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-01-11
Maturity Price : 19.30
Evaluated at bid price : 19.30
Bid-YTW : 7.61 %
BNS.PR.I FixedReset Prem 18,300 YTW SCENARIO
Maturity Type : Call
Maturity Date : 2024-02-26
Maturity Price : 25.00
Evaluated at bid price : 24.94
Bid-YTW : 5.13 %
There were 7 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: 14.30 – 19.38
Spot Rate : 5.0800
Average : 2.8043

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-01-11
Maturity Price : 14.30
Evaluated at bid price : 14.30
Bid-YTW : 7.67 %
BN.PF.E FixedReset Disc Quote: 15.68 – 19.49
Spot Rate : 3.8100
Average : 2.6170

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-01-11
Maturity Price : 15.68
Evaluated at bid price : 15.68
Bid-YTW : 9.16 %
IFC.PR.F Insurance Straight Quote: 18.96 – 20.86
Spot Rate : 1.9000
Average : 1.2829

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-01-11
Maturity Price : 18.96
Evaluated at bid price : 18.96
Bid-YTW : 7.07 %
SLF.PR.J FloatingReset Quote: 15.50 – 16.60
Spot Rate : 1.1000
Average : 0.6594

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-01-11
Maturity Price : 15.50
Evaluated at bid price : 15.50
Bid-YTW : 10.69 %
GWO.PR.S Insurance Straight Quote: 20.45 – 21.48
Spot Rate : 1.0300
Average : 0.5987

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-01-11
Maturity Price : 20.45
Evaluated at bid price : 20.45
Bid-YTW : 6.48 %
BN.PR.X FixedReset Disc Quote: 15.25 – 16.30
Spot Rate : 1.0500
Average : 0.7067

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-01-11
Maturity Price : 15.25
Evaluated at bid price : 15.25
Bid-YTW : 8.30 %

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January 10, 2024

January 10th, 2024

PerpetualDiscounts now yield 6.56%, equivalent to 8.53% interest at the standard equivalency factor of 1.3x. Long corporates yielded 4.99% on 2024-1-5 and since then the closing price has changed from 15.23 to 15.18, a decline of 33bp in price, with a Duration (BMO doesn’t specify Modified or Macaulay – I will assume the former) of 12.38 implying an increase of 3bp in yield to 5.02%, so the pre-tax interest-equivalent spread (in this context, the “Seniority Spread”) has narrowed sharply (for the second successive week) to 350bp from the 374bp reported January 3.

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 0.7207 % 2,160.6
FixedFloater 0.00 % 0.00 % 0 0.00 0 0.7207 % 4,144.0
Floater 11.27 % 11.44 % 51,923 8.52 2 0.7207 % 2,388.2
OpRet 0.00 % 0.00 % 0 0.00 0 -0.0846 % 3,393.5
SplitShare 4.96 % 7.65 % 49,893 1.99 7 -0.0846 % 4,052.6
Interest-Bearing 0.00 % 0.00 % 0 0.00 0 -0.0846 % 3,162.0
Perpetual-Premium 0.00 % 0.00 % 0 0.00 0 0.3669 % 2,660.4
Perpetual-Discount 6.46 % 6.56 % 53,697 13.19 34 0.3669 % 2,901.0
FixedReset Disc 5.72 % 7.54 % 115,591 12.21 59 0.1205 % 2,294.1
Insurance Straight 6.33 % 6.48 % 74,808 13.24 20 -0.0102 % 2,862.8
FloatingReset 10.41 % 10.84 % 36,957 8.91 5 0.9148 % 2,581.3
FixedReset Prem 5.91 % 6.53 % 151,163 3.38 2 0.1595 % 2,520.7
FixedReset Bank Non 0.00 % 0.00 % 0 0.00 0 0.1205 % 2,345.0
FixedReset Ins Non 5.54 % 7.10 % 91,467 12.63 14 -0.0188 % 2,567.2
Performance Highlights
Issue Index Change Notes
TD.PF.E FixedReset Disc -3.16 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-01-10
Maturity Price : 19.00
Evaluated at bid price : 19.00
Bid-YTW : 7.72 %
BN.PR.X FixedReset Disc -3.16 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-01-10
Maturity Price : 14.72
Evaluated at bid price : 14.72
Bid-YTW : 8.59 %
NA.PR.W FixedReset Disc -3.12 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-01-10
Maturity Price : 17.40
Evaluated at bid price : 17.40
Bid-YTW : 7.87 %
PWF.PR.P FixedReset Disc -2.89 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-01-10
Maturity Price : 13.80
Evaluated at bid price : 13.80
Bid-YTW : 8.20 %
CCS.PR.C Insurance Straight -2.60 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-01-10
Maturity Price : 18.70
Evaluated at bid price : 18.70
Bid-YTW : 6.75 %
BN.PF.F FixedReset Disc -2.53 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-01-10
Maturity Price : 17.35
Evaluated at bid price : 17.35
Bid-YTW : 8.90 %
CIU.PR.A Perpetual-Discount -1.25 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-01-10
Maturity Price : 17.40
Evaluated at bid price : 17.40
Bid-YTW : 6.72 %
MFC.PR.L FixedReset Ins Non -1.20 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-01-10
Maturity Price : 18.86
Evaluated at bid price : 18.86
Bid-YTW : 7.33 %
IFC.PR.G FixedReset Ins Non -1.15 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-01-10
Maturity Price : 21.50
Evaluated at bid price : 21.50
Bid-YTW : 6.96 %
SLF.PR.G FixedReset Ins Non 1.11 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-01-10
Maturity Price : 14.51
Evaluated at bid price : 14.51
Bid-YTW : 7.75 %
FFH.PR.D FloatingReset 1.13 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-01-10
Maturity Price : 20.53
Evaluated at bid price : 20.53
Bid-YTW : 10.21 %
CU.PR.J Perpetual-Discount 1.19 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-01-10
Maturity Price : 18.74
Evaluated at bid price : 18.74
Bid-YTW : 6.44 %
TD.PF.D FixedReset Disc 1.27 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-01-10
Maturity Price : 19.95
Evaluated at bid price : 19.95
Bid-YTW : 7.34 %
CM.PR.O FixedReset Disc 1.28 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-01-10
Maturity Price : 19.05
Evaluated at bid price : 19.05
Bid-YTW : 7.35 %
GWO.PR.N FixedReset Ins Non 1.38 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-01-10
Maturity Price : 13.95
Evaluated at bid price : 13.95
Bid-YTW : 7.67 %
BN.PR.M Perpetual-Discount 1.48 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-01-10
Maturity Price : 17.86
Evaluated at bid price : 17.86
Bid-YTW : 6.72 %
BN.PF.J FixedReset Disc 1.65 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-01-10
Maturity Price : 20.30
Evaluated at bid price : 20.30
Bid-YTW : 7.95 %
BN.PF.I FixedReset Disc 1.88 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-01-10
Maturity Price : 20.02
Evaluated at bid price : 20.02
Bid-YTW : 8.54 %
BN.PF.E FixedReset Disc 1.92 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-01-10
Maturity Price : 15.91
Evaluated at bid price : 15.91
Bid-YTW : 9.03 %
BN.PF.B FixedReset Disc 1.99 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-01-10
Maturity Price : 17.96
Evaluated at bid price : 17.96
Bid-YTW : 8.40 %
SLF.PR.J FloatingReset 4.87 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-01-10
Maturity Price : 16.15
Evaluated at bid price : 16.15
Bid-YTW : 10.25 %
Volume Highlights
Issue Index Shares
Traded		 Notes
TD.PF.L FixedReset Disc 106,491 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-01-10
Maturity Price : 23.77
Evaluated at bid price : 24.60
Bid-YTW : 6.69 %
GWO.PR.G Insurance Straight 88,300 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-01-10
Maturity Price : 20.20
Evaluated at bid price : 20.20
Bid-YTW : 6.50 %
BMO.PR.S FixedReset Disc 55,558 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-01-10
Maturity Price : 20.08
Evaluated at bid price : 20.08
Bid-YTW : 7.13 %
BN.PR.Z FixedReset Disc 54,572 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-01-10
Maturity Price : 19.00
Evaluated at bid price : 19.00
Bid-YTW : 8.30 %
IFC.PR.C FixedReset Ins Non 49,246 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-01-10
Maturity Price : 18.70
Evaluated at bid price : 18.70
Bid-YTW : 7.46 %
RY.PR.Z FixedReset Disc 35,335 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-01-10
Maturity Price : 19.95
Evaluated at bid price : 19.95
Bid-YTW : 7.02 %
There were 12 other index-included issues trading in excess of 10,000 shares.
Wide Spread Highlights
Issue Index Quote Data and Yield Notes
IFC.PR.G FixedReset Ins Non Quote: 21.50 – 23.50
Spot Rate : 2.0000
Average : 1.2876

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-01-10
Maturity Price : 21.50
Evaluated at bid price : 21.50
Bid-YTW : 6.96 %
TD.PF.J FixedReset Disc Quote: 22.10 – 23.72
Spot Rate : 1.6200
Average : 0.9568

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-01-10
Maturity Price : 21.74
Evaluated at bid price : 22.10
Bid-YTW : 6.74 %
SLF.PR.H FixedReset Ins Non Quote: 18.64 – 20.00
Spot Rate : 1.3600
Average : 0.8966

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-01-10
Maturity Price : 18.64
Evaluated at bid price : 18.64
Bid-YTW : 6.84 %
IFC.PR.C FixedReset Ins Non Quote: 18.70 – 19.70
Spot Rate : 1.0000
Average : 0.6253

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-01-10
Maturity Price : 18.70
Evaluated at bid price : 18.70
Bid-YTW : 7.46 %
TD.PF.B FixedReset Disc Quote: 20.20 – 21.10
Spot Rate : 0.9000
Average : 0.6222

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-01-10
Maturity Price : 20.20
Evaluated at bid price : 20.20
Bid-YTW : 6.91 %
BN.PF.I FixedReset Disc Quote: 20.02 – 20.90
Spot Rate : 0.8800
Average : 0.6250

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-01-10
Maturity Price : 20.02
Evaluated at bid price : 20.02
Bid-YTW : 8.54 %

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