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.

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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 %

Posted in Market Action | No Comments »

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 %

Posted in Market Action | No Comments »

January 9, 2024

January 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 0.4525 % 2,145.1
FixedFloater 0.00 % 0.00 % 0 0.00 0 0.4525 % 4,114.3
Floater 11.35 % 11.55 % 45,203 8.45 2 0.4525 % 2,371.1
OpRet 0.00 % 0.00 % 0 0.00 0 0.0000 % 3,396.4
SplitShare 4.96 % 7.65 % 51,743 1.99 7 0.0000 % 4,056.0
Interest-Bearing 0.00 % 0.00 % 0 0.00 0 0.0000 % 3,164.7
Perpetual-Premium 0.00 % 0.00 % 0 0.00 0 0.0507 % 2,650.6
Perpetual-Discount 6.48 % 6.58 % 54,408 13.14 34 0.0507 % 2,890.4
FixedReset Disc 5.73 % 7.50 % 116,234 12.19 59 0.0539 % 2,291.3
Insurance Straight 6.33 % 6.49 % 75,731 13.22 20 0.4565 % 2,863.1
FloatingReset 10.50 % 10.75 % 36,084 8.94 5 0.2089 % 2,557.9
FixedReset Prem 5.92 % 6.62 % 150,556 3.38 2 -0.1791 % 2,516.7
FixedReset Bank Non 0.00 % 0.00 % 0 0.00 0 0.0539 % 2,342.2
FixedReset Ins Non 5.53 % 7.09 % 92,714 12.62 14 0.2941 % 2,567.7
Performance Highlights
Issue Index Change Notes
MFC.PR.J FixedReset Ins Non -2.97 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-01-09
Maturity Price : 22.03
Evaluated at bid price : 22.51
Bid-YTW : 6.73 %
FTS.PR.G FixedReset Disc -2.31 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-01-09
Maturity Price : 20.69
Evaluated at bid price : 20.69
Bid-YTW : 6.96 %
PVS.PR.H SplitShare -1.91 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2027-02-28
Maturity Price : 25.00
Evaluated at bid price : 23.10
Bid-YTW : 7.67 %
TD.PF.E FixedReset Disc -1.67 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-01-09
Maturity Price : 19.62
Evaluated at bid price : 19.62
Bid-YTW : 7.48 %
BN.PF.I FixedReset Disc -1.26 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-01-09
Maturity Price : 19.65
Evaluated at bid price : 19.65
Bid-YTW : 8.69 %
FFH.PR.F FloatingReset -1.10 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-01-09
Maturity Price : 17.01
Evaluated at bid price : 17.01
Bid-YTW : 10.86 %
CM.PR.O FixedReset Disc -1.00 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-01-09
Maturity Price : 18.81
Evaluated at bid price : 18.81
Bid-YTW : 7.44 %
PWF.PF.A Perpetual-Discount 1.04 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-01-09
Maturity Price : 17.38
Evaluated at bid price : 17.38
Bid-YTW : 6.50 %
TD.PF.B FixedReset Disc 1.04 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-01-09
Maturity Price : 20.09
Evaluated at bid price : 20.09
Bid-YTW : 6.94 %
MFC.PR.M FixedReset Ins Non 1.07 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-01-09
Maturity Price : 18.85
Evaluated at bid price : 18.85
Bid-YTW : 7.50 %
FTS.PR.M FixedReset Disc 1.08 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-01-09
Maturity Price : 17.86
Evaluated at bid price : 17.86
Bid-YTW : 8.12 %
BN.PR.N Perpetual-Discount 1.10 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-01-09
Maturity Price : 17.54
Evaluated at bid price : 17.54
Bid-YTW : 6.84 %
SLF.PR.D Insurance Straight 1.13 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-01-09
Maturity Price : 18.76
Evaluated at bid price : 18.76
Bid-YTW : 5.98 %
MIC.PR.A Perpetual-Discount 1.15 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-01-09
Maturity Price : 18.47
Evaluated at bid price : 18.47
Bid-YTW : 7.39 %
GWO.PR.N FixedReset Ins Non 1.18 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-01-09
Maturity Price : 13.76
Evaluated at bid price : 13.76
Bid-YTW : 7.77 %
MFC.PR.F FixedReset Ins Non 1.18 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-01-09
Maturity Price : 14.55
Evaluated at bid price : 14.55
Bid-YTW : 7.54 %
CU.PR.H Perpetual-Discount 1.22 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-01-09
Maturity Price : 20.80
Evaluated at bid price : 20.80
Bid-YTW : 6.41 %
PWF.PR.Z Perpetual-Discount 1.23 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-01-09
Maturity Price : 19.54
Evaluated at bid price : 19.54
Bid-YTW : 6.61 %
PWF.PR.P FixedReset Disc 1.23 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-01-09
Maturity Price : 14.21
Evaluated at bid price : 14.21
Bid-YTW : 7.97 %
TD.PF.A FixedReset Disc 1.33 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-01-09
Maturity Price : 19.55
Evaluated at bid price : 19.55
Bid-YTW : 7.05 %
BN.PR.X FixedReset Disc 1.33 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-01-09
Maturity Price : 15.20
Evaluated at bid price : 15.20
Bid-YTW : 8.32 %
ELF.PR.H Perpetual-Discount 1.35 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-01-09
Maturity Price : 21.03
Evaluated at bid price : 21.03
Bid-YTW : 6.58 %
MFC.PR.N FixedReset Ins Non 1.38 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-01-09
Maturity Price : 18.37
Evaluated at bid price : 18.37
Bid-YTW : 7.55 %
CU.PR.E Perpetual-Discount 1.40 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-01-09
Maturity Price : 19.50
Evaluated at bid price : 19.50
Bid-YTW : 6.38 %
IFC.PR.A FixedReset Ins Non 1.42 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-01-09
Maturity Price : 17.80
Evaluated at bid price : 17.80
Bid-YTW : 7.09 %
BIP.PR.E FixedReset Disc 1.43 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-01-09
Maturity Price : 20.60
Evaluated at bid price : 20.60
Bid-YTW : 7.89 %
BN.PR.M Perpetual-Discount 1.50 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-01-09
Maturity Price : 17.60
Evaluated at bid price : 17.60
Bid-YTW : 6.82 %
GWO.PR.P Insurance Straight 1.61 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-01-09
Maturity Price : 20.83
Evaluated at bid price : 20.83
Bid-YTW : 6.55 %
RY.PR.M FixedReset Disc 1.67 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-01-09
Maturity Price : 18.91
Evaluated at bid price : 18.91
Bid-YTW : 7.48 %
FFH.PR.H FloatingReset 1.69 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-01-09
Maturity Price : 18.00
Evaluated at bid price : 18.00
Bid-YTW : 10.82 %
PVS.PR.K SplitShare 1.80 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2029-05-31
Maturity Price : 25.00
Evaluated at bid price : 22.65
Bid-YTW : 6.68 %
CU.PR.D Perpetual-Discount 1.84 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-01-09
Maturity Price : 19.36
Evaluated at bid price : 19.36
Bid-YTW : 6.43 %
SLF.PR.H FixedReset Ins Non 1.92 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-01-09
Maturity Price : 18.60
Evaluated at bid price : 18.60
Bid-YTW : 6.85 %
CU.PR.C FixedReset Disc 2.09 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-01-09
Maturity Price : 19.01
Evaluated at bid price : 19.01
Bid-YTW : 7.50 %
SLF.PR.C Insurance Straight 2.57 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-01-09
Maturity Price : 18.75
Evaluated at bid price : 18.75
Bid-YTW : 5.99 %
SLF.PR.G FixedReset Ins Non 3.61 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-01-09
Maturity Price : 14.35
Evaluated at bid price : 14.35
Bid-YTW : 7.83 %
CU.PR.I FixedReset Disc 4.31 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-01-09
Maturity Price : 22.42
Evaluated at bid price : 22.75
Bid-YTW : 7.46 %
Volume Highlights
Issue Index Shares
Traded		 Notes
PWF.PR.P FixedReset Disc 165,742 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-01-09
Maturity Price : 14.21
Evaluated at bid price : 14.21
Bid-YTW : 7.97 %
EIT.PR.A SplitShare 111,351 YTW SCENARIO
Maturity Type : Soft Maturity
Maturity Date : 2024-03-14
Maturity Price : 25.00
Evaluated at bid price : 24.96
Bid-YTW : 7.65 %
BMO.PR.F FixedReset Disc 36,450 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-01-09
Maturity Price : 23.91
Evaluated at bid price : 24.65
Bid-YTW : 7.00 %
GWO.PR.N FixedReset Ins Non 35,440 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-01-09
Maturity Price : 13.76
Evaluated at bid price : 13.76
Bid-YTW : 7.77 %
MFC.PR.M FixedReset Ins Non 26,400 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-01-09
Maturity Price : 18.85
Evaluated at bid price : 18.85
Bid-YTW : 7.50 %
RY.PR.Z FixedReset Disc 23,400 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-01-09
Maturity Price : 19.99
Evaluated at bid price : 19.99
Bid-YTW : 7.01 %
There were 12 other index-included issues trading in excess of 10,000 shares.
Wide Spread Highlights
Issue Index Quote Data and Yield Notes
BN.PF.F FixedReset Disc Quote: 17.80 – 24.00
Spot Rate : 6.2000
Average : 3.4459

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-01-09
Maturity Price : 17.80
Evaluated at bid price : 17.80
Bid-YTW : 8.67 %
BN.PF.E FixedReset Disc Quote: 15.61 – 19.49
Spot Rate : 3.8800
Average : 2.3167

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-01-09
Maturity Price : 15.61
Evaluated at bid price : 15.61
Bid-YTW : 9.20 %
BN.PF.H FixedReset Disc Quote: 21.15 – 22.60
Spot Rate : 1.4500
Average : 0.8488

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-01-09
Maturity Price : 21.15
Evaluated at bid price : 21.15
Bid-YTW : 8.54 %
CU.PR.E Perpetual-Discount Quote: 19.50 – 20.85
Spot Rate : 1.3500
Average : 0.7994

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-01-09
Maturity Price : 19.50
Evaluated at bid price : 19.50
Bid-YTW : 6.38 %
MFC.PR.L FixedReset Ins Non Quote: 19.09 – 20.50
Spot Rate : 1.4100
Average : 0.9930

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-01-09
Maturity Price : 19.09
Evaluated at bid price : 19.09
Bid-YTW : 7.24 %
MFC.PR.J FixedReset Ins Non Quote: 22.51 – 23.55
Spot Rate : 1.0400
Average : 0.7170

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-01-09
Maturity Price : 22.03
Evaluated at bid price : 22.51
Bid-YTW : 6.73 %

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DC.PR.D SIB Successful, but Undersubscribed

January 8th, 2024

Dundee Corporation has announced (on 2023-12-28):

the results of its substantial issuer bid (the “Offer”) to purchase for cancellation from the holders thereof who chose to participate up to 975,610 of its issued and outstanding Cumulative Floating Rate First Preference Shares, Series 3 in the capital of the Corporation (the “Series 3 Shares”) at a purchase price of C$20.50 per Series 3 Share, for a maximum aggregate purchase price of C$20,000,005. The Offer expired at 11:59 p.m. (Toronto time) on December 27, 2023.

Based on the report of Computershare Investor Services Inc., as depositary for the Offer (the “Depositary”), 914,040 Series 3 Shares were tendered to the Offer. In accordance with the terms and conditions of the Offer and based on the Depositary’s report, the Corporation has taken up and will pay for 914,040 Series 3 Shares at a purchase price of C$20.50 per Series 3 Share for an aggregate purchase price of C$18,737,820. All Series 3 Shares purchased by the Corporation under the Offer will be cancelled in due course. The Series 3 Shares purchased under the Offer represent approximately 55.8% of the Series 3 Shares issued and outstanding before giving effect to the Offer. After giving effect to the cancellation of the Series 3 Shares purchased by the Corporation under the Offer, 724,982 Series 3 Shares will be issued and outstanding.

The Corporation has made payment for the Series 3 Shares tendered and accepted for purchase by tendering to the Depositary the aggregate purchase price payable on the Series 3 Shares validly tendered, taken up and paid for under the Offer, all in accordance with the Offer and applicable laws. Payment to shareholders for the Series 3 Shares will be made in cash, without interest, and will be completed by the Depositary as soon as practicable. Any Series 3 Shares invalidly tendered will be returned to the tendering shareholder promptly by the Depositary.

“This Offer represents a critical step towards optimizing our capital structure to support the successful execution of our strategic business plan with a focus on capital allocation in the junior mining space. By reducing the demands on our capital from the payment of preferred share dividends, we can deploy more resources to fund our core strategy,” said Jonathan Goodman, President and Chief Executive Officer.

“We believe this is an effective way of simplifying our balance sheet, reducing our cost of capital, and lowering our recurring cash needs to unlock value for all of our shareholders. By partially funding the purchase of the Series 3 Shares tendered with cash from treasury, we minimize debt obligations and run-rate cash outflows,” said Lila Murphy, Executive Vice President and Chief Financial Officer.

The full details of the Offer are described in the Corporation’s offer to purchase and issuer bid circular dated November 22, 2023, as well as the related letter of transmittal and notice of guaranteed delivery, copies of which were filed and are available under Dundee’s profile on SEDAR+ at www.sedarplus.ca and are posted on Dundee’s website at www.dundeecorporation.com.

Dundee retained Cassels Brock & Blackwell LLP to act as its external legal advisor and appointed Computershare Investor Services Inc. to act as depositary for the Offer.

The Board of Directors of the Corporation will continue to review various options for the allocation of capital. Beginning in early 2018, the Corporation has focused on the implementation of its strategy of rationalizing its portfolio of investments and monetizing non-core assets as it exits business lines which are no longer deemed to be aligned with its longer-term mining-focused strategy. As part of this process, the Corporation has taken significant steps to streamline its capital structure and strengthen its balance sheet.

This news release is for informational purposes only and does not constitute an offer to buy or the solicitation of an offer to sell any Series 3 Shares.

Update Regarding the Loan

As previously announced by the Corporation on November 20, 2023, in connection with the Offer, the Corporation entered into a loan agreement dated November 17, 2023 (the “Loan Agreement”) among the Corporation, as borrower, Dundee Resources Limited, as guarantor, and Earlston Investments Corp. (the “Lender”), as lender, pursuant to which the Lender agreed to make a loan in a principal amount of up to C$20,000,000 upon satisfaction of certain customary conditions precedent. Pursuant to the Loan Agreement and in connection with the completion of the Offer, the Lender has advanced to the Corporation a loan in the principal amount of C$14,000,000 for purposes of funding the purchase of the Series 3 Shares tendered, taken up and paid for under the Offer. For further details relating to the Loan and the Loan Agreement, including certain material terms and conditions thereof, please see the Corporation’s news release dated November 20, 2023.

The SIB was previously discussed on PrefBlog.

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

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January 8, 2024

January 8th, 2024
HIMIPref™ Preferred Indices
These values reflect the December 2008 revision of the HIMIPref™ Indices
Values are provisional and are finalized monthly
Index Mean
Current
Yield
(at bid)		 Median
YTW		 Median
Average
Trading
Value		 Median
Mod Dur
(YTW)		 Issues Day’s Perf. Index Value
Ratchet 0.00 % 0.00 % 0 0.00 0 0.0000 % 2,135.4
FixedFloater 0.00 % 0.00 % 0 0.00 0 0.0000 % 4,095.8
Floater 11.40 % 11.60 % 45,464 8.43 2 0.0000 % 2,360.4
OpRet 0.00 % 0.00 % 0 0.00 0 0.0000 % 3,396.4
SplitShare 4.96 % 7.64 % 51,800 2.00 7 0.0000 % 4,056.0
Interest-Bearing 0.00 % 0.00 % 0 0.00 0 0.0000 % 3,164.7
Perpetual-Premium 0.00 % 0.00 % 0 0.00 0 0.1390 % 2,649.3
Perpetual-Discount 6.48 % 6.64 % 55,172 13.03 34 0.1390 % 2,888.9
FixedReset Disc 5.73 % 7.60 % 117,428 12.15 59 0.6525 % 2,290.1
Insurance Straight 6.36 % 6.49 % 75,890 13.22 20 0.6752 % 2,850.1
FloatingReset 10.52 % 10.73 % 35,899 9.01 5 -0.2777 % 2,552.6
FixedReset Prem 5.91 % 6.50 % 152,783 3.38 2 0.4197 % 2,521.2
FixedReset Bank Non 0.00 % 0.00 % 0 0.00 0 0.6525 % 2,340.9
FixedReset Ins Non 5.55 % 7.18 % 85,664 12.59 14 0.5116 % 2,560.2
Performance Highlights
Issue Index Change Notes
FFH.PR.H FloatingReset -3.28 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-01-08
Maturity Price : 17.70
Evaluated at bid price : 17.70
Bid-YTW : 11.01 %
BN.PF.B FixedReset Disc -2.50 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-01-08
Maturity Price : 17.55
Evaluated at bid price : 17.55
Bid-YTW : 8.60 %
BN.PF.A FixedReset Disc -1.21 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-01-08
Maturity Price : 20.40
Evaluated at bid price : 20.40
Bid-YTW : 7.93 %
SLF.PR.C Insurance Straight -1.19 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-01-08
Maturity Price : 18.28
Evaluated at bid price : 18.28
Bid-YTW : 6.14 %
BMO.PR.W FixedReset Disc -1.09 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-01-08
Maturity Price : 18.10
Evaluated at bid price : 18.10
Bid-YTW : 7.67 %
PWF.PR.S Perpetual-Discount -1.07 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-01-08
Maturity Price : 18.46
Evaluated at bid price : 18.46
Bid-YTW : 6.65 %
SLF.PR.G FixedReset Ins Non -1.07 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-01-08
Maturity Price : 13.85
Evaluated at bid price : 13.85
Bid-YTW : 8.10 %
CU.PR.C FixedReset Disc 1.09 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-01-08
Maturity Price : 18.62
Evaluated at bid price : 18.62
Bid-YTW : 7.66 %
RY.PR.M FixedReset Disc 1.09 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-01-08
Maturity Price : 18.60
Evaluated at bid price : 18.60
Bid-YTW : 7.60 %
GWO.PR.N FixedReset Ins Non 1.12 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-01-08
Maturity Price : 13.60
Evaluated at bid price : 13.60
Bid-YTW : 7.86 %
FFH.PR.F FloatingReset 1.12 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-01-08
Maturity Price : 17.20
Evaluated at bid price : 17.20
Bid-YTW : 10.73 %
MFC.PR.K FixedReset Ins Non 1.24 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-01-08
Maturity Price : 22.22
Evaluated at bid price : 22.88
Bid-YTW : 6.36 %
BN.PF.I FixedReset Disc 1.27 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-01-08
Maturity Price : 19.90
Evaluated at bid price : 19.90
Bid-YTW : 8.58 %
FFH.PR.D FloatingReset 1.30 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-01-08
Maturity Price : 20.27
Evaluated at bid price : 20.27
Bid-YTW : 10.34 %
SLF.PR.D Insurance Straight 1.31 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-01-08
Maturity Price : 18.55
Evaluated at bid price : 18.55
Bid-YTW : 6.05 %
IFC.PR.E Insurance Straight 1.41 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-01-08
Maturity Price : 20.15
Evaluated at bid price : 20.15
Bid-YTW : 6.51 %
SLF.PR.E Insurance Straight 1.53 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-01-08
Maturity Price : 18.63
Evaluated at bid price : 18.63
Bid-YTW : 6.09 %
RY.PR.H FixedReset Disc 1.54 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-01-08
Maturity Price : 19.10
Evaluated at bid price : 19.10
Bid-YTW : 7.35 %
BIP.PR.B FixedReset Disc 1.60 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-01-08
Maturity Price : 21.73
Evaluated at bid price : 22.20
Bid-YTW : 8.55 %
TD.PF.C FixedReset Disc 1.62 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-01-08
Maturity Price : 18.84
Evaluated at bid price : 18.84
Bid-YTW : 7.40 %
MFC.PR.C Insurance Straight 1.64 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-01-08
Maturity Price : 18.60
Evaluated at bid price : 18.60
Bid-YTW : 6.12 %
BN.PR.R FixedReset Disc 1.68 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-01-08
Maturity Price : 14.50
Evaluated at bid price : 14.50
Bid-YTW : 9.03 %
BN.PR.X FixedReset Disc 1.69 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-01-08
Maturity Price : 15.00
Evaluated at bid price : 15.00
Bid-YTW : 8.43 %
BMO.PR.Y FixedReset Disc 1.81 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-01-08
Maturity Price : 19.14
Evaluated at bid price : 19.14
Bid-YTW : 7.57 %
PWF.PR.G Perpetual-Discount 1.84 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-01-08
Maturity Price : 22.96
Evaluated at bid price : 23.23
Bid-YTW : 6.48 %
SLF.PR.H FixedReset Ins Non 2.13 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-01-08
Maturity Price : 18.25
Evaluated at bid price : 18.25
Bid-YTW : 6.98 %
FFH.PR.G FixedReset Disc 2.25 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-01-08
Maturity Price : 16.36
Evaluated at bid price : 16.36
Bid-YTW : 8.53 %
TD.PF.E FixedReset Disc 3.28 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-01-08
Maturity Price : 20.16
Evaluated at bid price : 20.16
Bid-YTW : 7.37 %
IFC.PR.F Insurance Straight 3.95 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-01-08
Maturity Price : 20.25
Evaluated at bid price : 20.25
Bid-YTW : 6.61 %
PWF.PR.P FixedReset Disc 5.59 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-01-08
Maturity Price : 14.16
Evaluated at bid price : 14.16
Bid-YTW : 8.07 %
NA.PR.W FixedReset Disc 5.88 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-01-08
Maturity Price : 18.00
Evaluated at bid price : 18.00
Bid-YTW : 7.61 %
Volume Highlights
Issue Index Shares
Traded		 Notes
CM.PR.P FixedReset Disc 164,896 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-01-08
Maturity Price : 17.92
Evaluated at bid price : 17.92
Bid-YTW : 7.62 %
BMO.PR.Y FixedReset Disc 70,000 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-01-08
Maturity Price : 19.14
Evaluated at bid price : 19.14
Bid-YTW : 7.57 %
TD.PF.C FixedReset Disc 30,846 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-01-08
Maturity Price : 18.84
Evaluated at bid price : 18.84
Bid-YTW : 7.40 %
TD.PF.B FixedReset Disc 27,425 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-01-08
Maturity Price : 20.11
Evaluated at bid price : 20.11
Bid-YTW : 7.03 %
BNS.PR.I FixedReset Prem 26,052 YTW SCENARIO
Maturity Type : Call
Maturity Date : 2024-02-26
Maturity Price : 25.00
Evaluated at bid price : 24.92
Bid-YTW : 5.42 %
PWF.PR.H Perpetual-Discount 25,053 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-01-08
Maturity Price : 21.63
Evaluated at bid price : 21.88
Bid-YTW : 6.71 %
There were 11 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: 18.10 – 24.50
Spot Rate : 6.4000
Average : 3.5360

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-01-08
Maturity Price : 18.10
Evaluated at bid price : 18.10
Bid-YTW : 7.67 %
TD.PF.C FixedReset Disc Quote: 18.84 – 23.33
Spot Rate : 4.4900
Average : 2.4674

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-01-08
Maturity Price : 18.84
Evaluated at bid price : 18.84
Bid-YTW : 7.40 %
CIU.PR.A Perpetual-Discount Quote: 17.50 – 20.00
Spot Rate : 2.5000
Average : 1.3442

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-01-08
Maturity Price : 17.50
Evaluated at bid price : 17.50
Bid-YTW : 6.68 %
TD.PF.B FixedReset Disc Quote: 20.11 – 21.10
Spot Rate : 0.9900
Average : 0.6110

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-01-08
Maturity Price : 20.11
Evaluated at bid price : 20.11
Bid-YTW : 7.03 %
FFH.PR.H FloatingReset Quote: 17.70 – 18.45
Spot Rate : 0.7500
Average : 0.4990

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-01-08
Maturity Price : 17.70
Evaluated at bid price : 17.70
Bid-YTW : 11.01 %
TD.PF.E FixedReset Disc Quote: 20.16 – 21.45
Spot Rate : 1.2900
Average : 1.0410

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-01-08
Maturity Price : 20.16
Evaluated at bid price : 20.16
Bid-YTW : 7.37 %

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