Archive for the ‘Market Action’ Category

March 18, 2024

Monday, March 18th, 2024
HIMIPref™ Preferred Indices
These values reflect the December 2008 revision of the HIMIPref™ Indices

Values are provisional and are finalized monthly
Index Mean
Current
Yield
(at bid)
Median
YTW
Median
Average
Trading
Value
Median
Mod Dur
(YTW)
Issues Day’s Perf. Index Value
Ratchet 0.00 % 0.00 % 0 0.00 0 -1.3104 % 2,301.2
FixedFloater 0.00 % 0.00 % 0 0.00 0 -1.3104 % 4,413.8
Floater 10.46 % 10.54 % 40,114 9.18 1 -1.3104 % 2,543.7
OpRet 0.00 % 0.00 % 0 0.00 0 0.1685 % 3,417.3
SplitShare 4.93 % 7.14 % 40,262 1.83 7 0.1685 % 4,081.0
Interest-Bearing 0.00 % 0.00 % 0 0.00 0 0.1685 % 3,184.2
Perpetual-Premium 0.00 % 0.00 % 0 0.00 0 0.0638 % 2,655.3
Perpetual-Discount 6.47 % 6.70 % 48,553 12.89 31 0.0638 % 2,895.5
FixedReset Disc 5.41 % 7.31 % 100,971 12.07 59 0.0653 % 2,443.5
Insurance Straight 6.34 % 6.50 % 50,322 13.25 22 -0.2610 % 2,834.8
FloatingReset 10.03 % 10.17 % 31,132 9.45 3 -0.7737 % 2,575.9
FixedReset Prem 6.93 % 6.84 % 162,645 3.19 1 0.0394 % 2,520.3
FixedReset Bank Non 0.00 % 0.00 % 0 0.00 0 0.0653 % 2,497.8
FixedReset Ins Non 5.47 % 7.31 % 70,547 12.43 14 -0.1039 % 2,597.7
Performance Highlights
Issue Index Change Notes
BN.PR.X FixedReset Disc -3.30 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-03-18
Maturity Price : 15.23
Evaluated at bid price : 15.23
Bid-YTW : 8.72 %
BN.PR.Z FixedReset Disc -3.24 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-03-18
Maturity Price : 19.11
Evaluated at bid price : 19.11
Bid-YTW : 8.56 %
GWO.PR.Y Insurance Straight -2.54 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-03-18
Maturity Price : 17.30
Evaluated at bid price : 17.30
Bid-YTW : 6.54 %
SLF.PR.H FixedReset Ins Non -1.86 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-03-18
Maturity Price : 18.45
Evaluated at bid price : 18.45
Bid-YTW : 7.31 %
GWO.PR.I Insurance Straight -1.46 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-03-18
Maturity Price : 17.49
Evaluated at bid price : 17.49
Bid-YTW : 6.47 %
FFH.PR.D FloatingReset -1.44 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-03-18
Maturity Price : 20.60
Evaluated at bid price : 20.60
Bid-YTW : 10.00 %
BN.PR.B Floater -1.31 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-03-18
Maturity Price : 12.05
Evaluated at bid price : 12.05
Bid-YTW : 10.54 %
CCS.PR.C Insurance Straight -1.07 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-03-18
Maturity Price : 18.55
Evaluated at bid price : 18.55
Bid-YTW : 6.78 %
FFH.PR.C FixedReset Disc -1.02 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-03-18
Maturity Price : 20.30
Evaluated at bid price : 20.30
Bid-YTW : 8.36 %
BN.PR.R FixedReset Disc 1.08 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-03-18
Maturity Price : 14.95
Evaluated at bid price : 14.95
Bid-YTW : 9.26 %
FFH.PR.I FixedReset Disc 1.14 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-03-18
Maturity Price : 17.70
Evaluated at bid price : 17.70
Bid-YTW : 8.70 %
RY.PR.O Perpetual-Discount 1.16 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-03-18
Maturity Price : 22.48
Evaluated at bid price : 22.76
Bid-YTW : 5.43 %
TD.PF.E FixedReset Disc 1.36 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-03-18
Maturity Price : 21.87
Evaluated at bid price : 22.40
Bid-YTW : 7.01 %
GWO.PR.T Insurance Straight 1.54 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-03-18
Maturity Price : 19.80
Evaluated at bid price : 19.80
Bid-YTW : 6.54 %
CM.PR.Q FixedReset Disc 1.98 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-03-18
Maturity Price : 21.69
Evaluated at bid price : 22.13
Bid-YTW : 7.01 %
Volume Highlights
Issue Index Shares
Traded
Notes
TD.PF.I FixedReset Disc 140,000 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-03-18
Maturity Price : 23.09
Evaluated at bid price : 24.45
Bid-YTW : 6.82 %
SLF.PR.G FixedReset Ins Non 128,000 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-03-18
Maturity Price : 14.76
Evaluated at bid price : 14.76
Bid-YTW : 8.21 %
RY.PR.H FixedReset Disc 104,000 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-03-18
Maturity Price : 21.37
Evaluated at bid price : 21.65
Bid-YTW : 6.90 %
TD.PF.B FixedReset Disc 102,000 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-03-18
Maturity Price : 22.57
Evaluated at bid price : 23.60
Bid-YTW : 6.33 %
MFC.PR.J FixedReset Ins Non 82,800 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-03-18
Maturity Price : 21.90
Evaluated at bid price : 22.30
Bid-YTW : 7.06 %
BMO.PR.T FixedReset Disc 38,500 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-03-18
Maturity Price : 21.76
Evaluated at bid price : 22.20
Bid-YTW : 6.69 %
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.Y FixedReset Disc Quote: 21.75 – 25.08
Spot Rate : 3.3300
Average : 1.8505

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-03-18
Maturity Price : 21.42
Evaluated at bid price : 21.75
Bid-YTW : 7.07 %

GWO.PR.Y Insurance Straight Quote: 17.30 – 18.15
Spot Rate : 0.8500
Average : 0.6216

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-03-18
Maturity Price : 17.30
Evaluated at bid price : 17.30
Bid-YTW : 6.54 %

GWO.PR.I Insurance Straight Quote: 17.49 – 18.10
Spot Rate : 0.6100
Average : 0.3845

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-03-18
Maturity Price : 17.49
Evaluated at bid price : 17.49
Bid-YTW : 6.47 %

BMO.PR.T FixedReset Disc Quote: 22.20 – 22.80
Spot Rate : 0.6000
Average : 0.3748

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-03-18
Maturity Price : 21.76
Evaluated at bid price : 22.20
Bid-YTW : 6.69 %

BN.PR.X FixedReset Disc Quote: 15.23 – 15.98
Spot Rate : 0.7500
Average : 0.5319

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-03-18
Maturity Price : 15.23
Evaluated at bid price : 15.23
Bid-YTW : 8.72 %

BN.PR.Z FixedReset Disc Quote: 19.11 – 19.76
Spot Rate : 0.6500
Average : 0.4638

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-03-18
Maturity Price : 19.11
Evaluated at bid price : 19.11
Bid-YTW : 8.56 %

March 15, 2024

Friday, March 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 2.7778 % 2,331.8
FixedFloater 0.00 % 0.00 % 0 0.00 0 2.7778 % 4,472.4
Floater 10.32 % 10.39 % 41,676 9.29 1 2.7778 % 2,577.5
OpRet 0.00 % 0.00 % 0 0.00 0 0.1567 % 3,411.6
SplitShare 4.93 % 7.11 % 40,593 1.84 7 0.1567 % 4,074.2
Interest-Bearing 0.00 % 0.00 % 0 0.00 0 0.1567 % 3,178.8
Perpetual-Premium 0.00 % 0.00 % 0 0.00 0 0.7961 % 2,653.6
Perpetual-Discount 6.48 % 6.70 % 47,778 12.89 31 0.7961 % 2,893.6
FixedReset Disc 5.41 % 7.28 % 101,496 12.12 59 0.4878 % 2,441.9
Insurance Straight 6.33 % 6.49 % 51,969 13.27 22 0.3198 % 2,842.2
FloatingReset 9.94 % 10.07 % 30,740 9.54 3 0.2080 % 2,596.0
FixedReset Prem 6.93 % 6.83 % 163,321 3.20 1 0.1976 % 2,519.3
FixedReset Bank Non 0.00 % 0.00 % 0 0.00 0 0.4878 % 2,496.1
FixedReset Ins Non 5.46 % 7.19 % 71,121 12.47 14 0.3913 % 2,600.4
Performance Highlights
Issue Index Change Notes
NA.PR.G FixedReset Disc -1.78 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-03-15
Maturity Price : 23.12
Evaluated at bid price : 24.80
Bid-YTW : 6.70 %
BN.PR.T FixedReset Disc -1.58 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-03-15
Maturity Price : 14.96
Evaluated at bid price : 14.96
Bid-YTW : 9.19 %
BIP.PR.F FixedReset Disc -1.58 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-03-15
Maturity Price : 20.57
Evaluated at bid price : 20.57
Bid-YTW : 7.98 %
POW.PR.C Perpetual-Discount -1.54 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-03-15
Maturity Price : 22.17
Evaluated at bid price : 22.45
Bid-YTW : 6.58 %
BN.PF.E FixedReset Disc -1.45 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-03-15
Maturity Price : 16.36
Evaluated at bid price : 16.36
Bid-YTW : 9.25 %
FFH.PR.K FixedReset Disc 1.05 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-03-15
Maturity Price : 20.27
Evaluated at bid price : 20.27
Bid-YTW : 8.30 %
BN.PF.D Perpetual-Discount 1.18 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-03-15
Maturity Price : 18.06
Evaluated at bid price : 18.06
Bid-YTW : 6.82 %
GWO.PR.H Insurance Straight 1.24 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-03-15
Maturity Price : 18.75
Evaluated at bid price : 18.75
Bid-YTW : 6.50 %
RY.PR.M FixedReset Disc 1.37 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-03-15
Maturity Price : 21.44
Evaluated at bid price : 21.44
Bid-YTW : 6.97 %
TD.PF.E FixedReset Disc 1.38 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-03-15
Maturity Price : 21.67
Evaluated at bid price : 22.10
Bid-YTW : 7.06 %
RY.PR.J FixedReset Disc 1.42 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-03-15
Maturity Price : 21.68
Evaluated at bid price : 22.11
Bid-YTW : 7.02 %
BN.PF.C Perpetual-Discount 1.58 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-03-15
Maturity Price : 17.98
Evaluated at bid price : 17.98
Bid-YTW : 6.78 %
RY.PR.O Perpetual-Discount 1.63 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-03-15
Maturity Price : 22.20
Evaluated at bid price : 22.50
Bid-YTW : 5.48 %
SLF.PR.G FixedReset Ins Non 1.64 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-03-15
Maturity Price : 14.88
Evaluated at bid price : 14.88
Bid-YTW : 8.08 %
SLF.PR.H FixedReset Ins Non 1.90 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-03-15
Maturity Price : 18.80
Evaluated at bid price : 18.80
Bid-YTW : 7.14 %
BIP.PR.A FixedReset Disc 2.20 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-03-15
Maturity Price : 18.55
Evaluated at bid price : 18.55
Bid-YTW : 9.37 %
BN.PR.B Floater 2.78 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-03-15
Maturity Price : 12.21
Evaluated at bid price : 12.21
Bid-YTW : 10.39 %
BN.PR.Z FixedReset Disc 3.35 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-03-15
Maturity Price : 19.75
Evaluated at bid price : 19.75
Bid-YTW : 8.24 %
BN.PF.J FixedReset Disc 3.36 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-03-15
Maturity Price : 20.90
Evaluated at bid price : 20.90
Bid-YTW : 7.95 %
TD.PF.A FixedReset Disc 11.22 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-03-15
Maturity Price : 22.13
Evaluated at bid price : 22.80
Bid-YTW : 6.44 %
RY.PR.N Perpetual-Discount 20.47 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-03-15
Maturity Price : 22.31
Evaluated at bid price : 22.60
Bid-YTW : 5.46 %
Volume Highlights
Issue Index Shares
Traded
Notes
TD.PF.L FixedReset Disc 581,291 YTW SCENARIO
Maturity Type : Call
Maturity Date : 2024-04-30
Maturity Price : 25.00
Evaluated at bid price : 25.16
Bid-YTW : 4.99 %
CM.PR.O FixedReset Disc 90,700 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-03-15
Maturity Price : 22.11
Evaluated at bid price : 22.75
Bid-YTW : 6.55 %
IFC.PR.A FixedReset Ins Non 66,481 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-03-15
Maturity Price : 18.65
Evaluated at bid price : 18.65
Bid-YTW : 7.06 %
RY.PR.J FixedReset Disc 49,497 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-03-15
Maturity Price : 21.68
Evaluated at bid price : 22.11
Bid-YTW : 7.02 %
SLF.PR.G FixedReset Ins Non 15,200 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-03-15
Maturity Price : 14.88
Evaluated at bid price : 14.88
Bid-YTW : 8.08 %
MFC.PR.N FixedReset Ins Non 12,300 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-03-15
Maturity Price : 19.30
Evaluated at bid price : 19.30
Bid-YTW : 7.58 %
There were 3 other index-included issues trading in excess of 10,000 shares.
Wide Spread Highlights
Issue Index Quote Data and Yield Notes
NA.PR.E FixedReset Disc Quote: 22.50 – 23.75
Spot Rate : 1.2500
Average : 0.7896

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-03-15
Maturity Price : 22.02
Evaluated at bid price : 22.50
Bid-YTW : 6.88 %

SLF.PR.C Insurance Straight Quote: 17.72 – 19.10
Spot Rate : 1.3800
Average : 1.0917

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-03-15
Maturity Price : 17.72
Evaluated at bid price : 17.72
Bid-YTW : 6.31 %

NA.PR.G FixedReset Disc Quote: 24.80 – 25.36
Spot Rate : 0.5600
Average : 0.3438

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-03-15
Maturity Price : 23.12
Evaluated at bid price : 24.80
Bid-YTW : 6.70 %

GWO.PR.T Insurance Straight Quote: 19.50 – 20.59
Spot Rate : 1.0900
Average : 0.8753

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-03-15
Maturity Price : 19.50
Evaluated at bid price : 19.50
Bid-YTW : 6.63 %

CM.PR.Q FixedReset Disc Quote: 21.70 – 22.40
Spot Rate : 0.7000
Average : 0.5254

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-03-15
Maturity Price : 21.39
Evaluated at bid price : 21.70
Bid-YTW : 7.10 %

BIP.PR.F FixedReset Disc Quote: 20.57 – 21.35
Spot Rate : 0.7800
Average : 0.6063

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-03-15
Maturity Price : 20.57
Evaluated at bid price : 20.57
Bid-YTW : 7.98 %

March 14, 2024

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

Values are provisional and are finalized monthly
Index Mean
Current
Yield
(at bid)
Median
YTW
Median
Average
Trading
Value
Median
Mod Dur
(YTW)
Issues Day’s Perf. Index Value
Ratchet 0.00 % 0.00 % 0 0.00 0 -4.1935 % 2,268.8
FixedFloater 0.00 % 0.00 % 0 0.00 0 -4.1935 % 4,351.5
Floater 10.61 % 10.68 % 42,211 9.09 1 -4.1935 % 2,507.8
OpRet 0.00 % 0.00 % 0 0.00 0 0.0000 % 3,406.3
SplitShare 4.94 % 7.29 % 42,253 1.84 7 0.0000 % 4,067.8
Interest-Bearing 0.00 % 0.00 % 0 0.00 0 0.0000 % 3,173.9
Perpetual-Premium 0.00 % 0.00 % 0 0.00 0 -0.8903 % 2,632.6
Perpetual-Discount 6.53 % 6.71 % 47,317 12.89 31 -0.8903 % 2,870.8
FixedReset Disc 5.44 % 7.06 % 103,300 12.38 59 -0.4469 % 2,430.1
Insurance Straight 6.35 % 6.50 % 52,557 13.26 22 -0.8775 % 2,833.2
FloatingReset 9.96 % 10.14 % 31,989 9.49 3 -0.3956 % 2,590.6
FixedReset Prem 6.94 % 6.86 % 164,542 12.47 1 0.4766 % 2,514.4
FixedReset Bank Non 0.00 % 0.00 % 0 0.00 0 -0.4469 % 2,484.0
FixedReset Ins Non 5.49 % 7.05 % 72,279 12.63 14 0.0783 % 2,590.3
Performance Highlights
Issue Index Change Notes
RY.PR.N Perpetual-Discount -15.50 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-03-14
Maturity Price : 18.76
Evaluated at bid price : 18.76
Bid-YTW : 6.61 %
SLF.PR.C Insurance Straight -7.13 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-03-14
Maturity Price : 17.72
Evaluated at bid price : 17.72
Bid-YTW : 6.30 %
BN.PR.B Floater -4.19 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-03-14
Maturity Price : 11.88
Evaluated at bid price : 11.88
Bid-YTW : 10.68 %
GWO.PR.T Insurance Straight -2.50 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-03-14
Maturity Price : 19.50
Evaluated at bid price : 19.50
Bid-YTW : 6.63 %
BN.PR.Z FixedReset Disc -2.30 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-03-14
Maturity Price : 19.11
Evaluated at bid price : 19.11
Bid-YTW : 8.32 %
RY.PR.O Perpetual-Discount -2.04 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-03-14
Maturity Price : 21.86
Evaluated at bid price : 22.14
Bid-YTW : 5.58 %
BN.PF.I FixedReset Disc -2.03 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-03-14
Maturity Price : 19.66
Evaluated at bid price : 19.66
Bid-YTW : 8.78 %
CM.PR.Q FixedReset Disc -1.59 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-03-14
Maturity Price : 21.39
Evaluated at bid price : 21.70
Bid-YTW : 6.90 %
CU.PR.C FixedReset Disc -1.58 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-03-14
Maturity Price : 19.33
Evaluated at bid price : 19.33
Bid-YTW : 7.47 %
CU.PR.I FixedReset Disc -1.56 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-03-14
Maturity Price : 21.70
Evaluated at bid price : 22.15
Bid-YTW : 7.78 %
RY.PR.Z FixedReset Disc -1.50 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-03-14
Maturity Price : 21.36
Evaluated at bid price : 21.63
Bid-YTW : 6.61 %
GWO.PR.H Insurance Straight -1.49 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-03-14
Maturity Price : 18.52
Evaluated at bid price : 18.52
Bid-YTW : 6.58 %
MFC.PR.C Insurance Straight -1.49 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-03-14
Maturity Price : 18.52
Evaluated at bid price : 18.52
Bid-YTW : 6.11 %
SLF.PR.D Insurance Straight -1.43 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-03-14
Maturity Price : 18.58
Evaluated at bid price : 18.58
Bid-YTW : 6.01 %
CCS.PR.C Insurance Straight -1.38 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-03-14
Maturity Price : 18.59
Evaluated at bid price : 18.59
Bid-YTW : 6.75 %
SLF.PR.J FloatingReset -1.30 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-03-14
Maturity Price : 15.95
Evaluated at bid price : 15.95
Bid-YTW : 10.14 %
CU.PR.E Perpetual-Discount -1.16 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-03-14
Maturity Price : 18.79
Evaluated at bid price : 18.79
Bid-YTW : 6.59 %
BN.PF.J FixedReset Disc -1.15 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-03-14
Maturity Price : 20.22
Evaluated at bid price : 20.22
Bid-YTW : 8.04 %
BIP.PR.E FixedReset Disc -1.04 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-03-14
Maturity Price : 20.92
Evaluated at bid price : 20.92
Bid-YTW : 7.81 %
CM.PR.O FixedReset Disc -1.01 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-03-14
Maturity Price : 22.02
Evaluated at bid price : 22.60
Bid-YTW : 6.38 %
NA.PR.G FixedReset Disc 1.00 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-03-14
Maturity Price : 23.27
Evaluated at bid price : 25.25
Bid-YTW : 6.41 %
BN.PF.E FixedReset Disc 1.16 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-03-14
Maturity Price : 16.60
Evaluated at bid price : 16.60
Bid-YTW : 8.84 %
FFH.PR.C FixedReset Disc 1.19 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-03-14
Maturity Price : 20.45
Evaluated at bid price : 20.45
Bid-YTW : 8.01 %
FFH.PR.D FloatingReset 1.21 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-03-14
Maturity Price : 20.90
Evaluated at bid price : 20.90
Bid-YTW : 9.83 %
IFC.PR.G FixedReset Ins Non 1.41 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-03-14
Maturity Price : 21.35
Evaluated at bid price : 21.65
Bid-YTW : 6.95 %
IFC.PR.I Insurance Straight 1.62 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-03-14
Maturity Price : 20.86
Evaluated at bid price : 20.86
Bid-YTW : 6.50 %
FFH.PR.G FixedReset Disc 1.64 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-03-14
Maturity Price : 16.84
Evaluated at bid price : 16.84
Bid-YTW : 8.48 %
TD.PF.C FixedReset Disc 1.67 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-03-14
Maturity Price : 21.35
Evaluated at bid price : 21.35
Bid-YTW : 6.67 %
BN.PR.X FixedReset Disc 1.83 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-03-14
Maturity Price : 15.70
Evaluated at bid price : 15.70
Bid-YTW : 8.16 %
POW.PR.C Perpetual-Discount 2.47 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-03-14
Maturity Price : 22.55
Evaluated at bid price : 22.80
Bid-YTW : 6.48 %
MFC.PR.Q FixedReset Ins Non 4.05 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-03-14
Maturity Price : 21.56
Evaluated at bid price : 21.85
Bid-YTW : 6.88 %
BN.PF.F FixedReset Disc 4.44 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-03-14
Maturity Price : 18.86
Evaluated at bid price : 18.86
Bid-YTW : 8.34 %
Volume Highlights
Issue Index Shares
Traded
Notes
BMO.PR.T FixedReset Disc 340,234 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-03-14
Maturity Price : 21.84
Evaluated at bid price : 22.31
Bid-YTW : 6.38 %
BMO.PR.S FixedReset Disc 183,093 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-03-14
Maturity Price : 22.63
Evaluated at bid price : 23.70
Bid-YTW : 6.11 %
TD.PF.A FixedReset Disc 154,512 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-03-14
Maturity Price : 20.50
Evaluated at bid price : 20.50
Bid-YTW : 6.96 %
BN.PR.M Perpetual-Discount 101,500 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-03-14
Maturity Price : 17.75
Evaluated at bid price : 17.75
Bid-YTW : 6.72 %
TD.PF.B FixedReset Disc 82,480 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-03-14
Maturity Price : 22.52
Evaluated at bid price : 23.50
Bid-YTW : 6.09 %
POW.PR.D Perpetual-Discount 61,632 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-03-14
Maturity Price : 19.55
Evaluated at bid price : 19.55
Bid-YTW : 6.52 %
There were 17 other index-included issues trading in excess of 10,000 shares.
Wide Spread Highlights
Issue Index Quote Data and Yield Notes
RY.PR.N Perpetual-Discount Quote: 18.76 – 22.95
Spot Rate : 4.1900
Average : 2.5117

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-03-14
Maturity Price : 18.76
Evaluated at bid price : 18.76
Bid-YTW : 6.61 %

IFC.PR.E Insurance Straight Quote: 20.06 – 23.72
Spot Rate : 3.6600
Average : 2.0804

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-03-14
Maturity Price : 20.06
Evaluated at bid price : 20.06
Bid-YTW : 6.51 %

SLF.PR.C Insurance Straight Quote: 17.72 – 19.10
Spot Rate : 1.3800
Average : 0.7755

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-03-14
Maturity Price : 17.72
Evaluated at bid price : 17.72
Bid-YTW : 6.30 %

EIT.PR.A SplitShare Quote: 24.91 – 26.00
Spot Rate : 1.0900
Average : 0.6078

YTW SCENARIO
Maturity Type : Option Certainty
Maturity Date : 2024-04-13
Maturity Price : 25.00
Evaluated at bid price : 24.91
Bid-YTW : 9.23 %

BN.PF.D Perpetual-Discount Quote: 17.85 – 18.89
Spot Rate : 1.0400
Average : 0.6319

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-03-14
Maturity Price : 17.85
Evaluated at bid price : 17.85
Bid-YTW : 6.90 %

CM.PR.P FixedReset Disc Quote: 21.15 – 22.00
Spot Rate : 0.8500
Average : 0.5403

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-03-14
Maturity Price : 21.15
Evaluated at bid price : 21.15
Bid-YTW : 6.69 %

March 13, 2024

Wednesday, March 13th, 2024

PerpetualDiscounts now yield 6.68%, equivalent to 8.68% interest at the standard equivalency factor of 1.3x. Long corporates yielded 5.03% on 2024-3-13 so there’s no need to adjust for market movement. Therefore, the pre-tax interest-equivalent spread (in this context, the “Seniority Spread”) has narrowed slightly (and perhaps spuriously) to 365bp from the 370bp reported March 6.

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 % 2,368.1
FixedFloater 0.00 % 0.00 % 0 0.00 0 0.0000 % 4,542.0
Floater 10.16 % 10.22 % 41,345 9.43 1 0.0000 % 2,617.6
OpRet 0.00 % 0.00 % 0 0.00 0 -0.0602 % 3,406.3
SplitShare 4.94 % 7.35 % 43,901 1.85 7 -0.0602 % 4,067.8
Interest-Bearing 0.00 % 0.00 % 0 0.00 0 -0.0602 % 3,173.9
Perpetual-Premium 0.00 % 0.00 % 0 0.00 0 0.1227 % 2,656.3
Perpetual-Discount 6.47 % 6.68 % 47,566 12.90 31 0.1227 % 2,896.6
FixedReset Disc 5.41 % 7.00 % 106,724 12.37 59 0.0727 % 2,441.0
Insurance Straight 6.29 % 6.48 % 51,124 13.29 22 0.2972 % 2,858.3
FloatingReset 9.92 % 10.09 % 29,607 9.36 3 0.3592 % 2,600.9
FixedReset Prem 6.98 % 6.89 % 152,349 12.44 1 0.1193 % 2,502.4
FixedReset Bank Non 0.00 % 0.00 % 0 0.00 0 0.0727 % 2,495.2
FixedReset Ins Non 5.49 % 7.18 % 72,478 12.48 14 0.0261 % 2,588.3
Performance Highlights
Issue Index Change Notes
MFC.PR.Q FixedReset Ins Non -3.67 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-03-13
Maturity Price : 21.00
Evaluated at bid price : 21.00
Bid-YTW : 7.18 %
BN.PF.F FixedReset Disc -2.76 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-03-13
Maturity Price : 18.30
Evaluated at bid price : 18.30
Bid-YTW : 8.73 %
BIP.PR.A FixedReset Disc -2.73 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-03-13
Maturity Price : 18.20
Evaluated at bid price : 18.20
Bid-YTW : 9.30 %
POW.PR.C Perpetual-Discount -2.63 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-03-13
Maturity Price : 22.01
Evaluated at bid price : 22.25
Bid-YTW : 6.64 %
TD.PF.C FixedReset Disc -2.10 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-03-13
Maturity Price : 21.00
Evaluated at bid price : 21.00
Bid-YTW : 6.78 %
BMO.PR.W FixedReset Disc -1.46 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-03-13
Maturity Price : 21.31
Evaluated at bid price : 21.58
Bid-YTW : 6.55 %
BN.PR.X FixedReset Disc -1.26 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-03-13
Maturity Price : 15.70
Evaluated at bid price : 15.70
Bid-YTW : 8.33 %
BMO.PR.Y FixedReset Disc -1.16 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-03-13
Maturity Price : 21.30
Evaluated at bid price : 21.30
Bid-YTW : 6.97 %
SLF.PR.C Insurance Straight 1.06 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-03-13
Maturity Price : 19.08
Evaluated at bid price : 19.08
Bid-YTW : 5.85 %
TD.PF.B FixedReset Disc 1.08 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-03-13
Maturity Price : 22.48
Evaluated at bid price : 23.41
Bid-YTW : 6.12 %
SLF.PR.H FixedReset Ins Non 1.10 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-03-13
Maturity Price : 18.45
Evaluated at bid price : 18.45
Bid-YTW : 7.05 %
GWO.PR.N FixedReset Ins Non 1.10 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-03-13
Maturity Price : 13.75
Evaluated at bid price : 13.75
Bid-YTW : 8.00 %
PWF.PR.S Perpetual-Discount 1.11 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-03-13
Maturity Price : 18.25
Evaluated at bid price : 18.25
Bid-YTW : 6.69 %
IAF.PR.B Insurance Straight 1.16 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-03-13
Maturity Price : 21.49
Evaluated at bid price : 21.75
Bid-YTW : 5.29 %
BN.PR.T FixedReset Disc 1.18 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-03-13
Maturity Price : 15.39
Evaluated at bid price : 15.39
Bid-YTW : 8.84 %
NA.PR.W FixedReset Disc 1.20 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-03-13
Maturity Price : 20.26
Evaluated at bid price : 20.26
Bid-YTW : 7.00 %
CCS.PR.C Insurance Straight 1.62 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-03-13
Maturity Price : 18.85
Evaluated at bid price : 18.85
Bid-YTW : 6.66 %
TD.PF.E FixedReset Disc 1.95 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-03-13
Maturity Price : 21.58
Evaluated at bid price : 21.97
Bid-YTW : 6.90 %
CU.PR.I FixedReset Disc 4.65 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-03-13
Maturity Price : 22.17
Evaluated at bid price : 22.50
Bid-YTW : 7.66 %
Volume Highlights
Issue Index Shares
Traded
Notes
TD.PF.L FixedReset Disc 541,899 YTW SCENARIO
Maturity Type : Call
Maturity Date : 2024-04-30
Maturity Price : 25.00
Evaluated at bid price : 25.14
Bid-YTW : 5.40 %
BMO.PR.S FixedReset Disc 235,917 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-03-13
Maturity Price : 22.66
Evaluated at bid price : 23.77
Bid-YTW : 6.09 %
TD.PF.B FixedReset Disc 212,747 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-03-13
Maturity Price : 22.48
Evaluated at bid price : 23.41
Bid-YTW : 6.12 %
TD.PF.I FixedReset Disc 75,800 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-03-13
Maturity Price : 23.03
Evaluated at bid price : 24.31
Bid-YTW : 6.66 %
MFC.PR.F FixedReset Ins Non 58,800 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-03-13
Maturity Price : 14.70
Evaluated at bid price : 14.70
Bid-YTW : 7.65 %
PWF.PR.P FixedReset Disc 53,700 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-03-13
Maturity Price : 14.40
Evaluated at bid price : 14.40
Bid-YTW : 8.17 %
There were 18 other index-included issues trading in excess of 10,000 shares.
Wide Spread Highlights
Issue Index Quote Data and Yield Notes
MFC.PR.N FixedReset Ins Non Quote: 19.33 – 21.00
Spot Rate : 1.6700
Average : 1.1950

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-03-13
Maturity Price : 19.33
Evaluated at bid price : 19.33
Bid-YTW : 7.33 %

CU.PR.F Perpetual-Discount Quote: 17.50 – 18.64
Spot Rate : 1.1400
Average : 0.6745

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-03-13
Maturity Price : 17.50
Evaluated at bid price : 17.50
Bid-YTW : 6.50 %

BN.PF.F FixedReset Disc Quote: 18.30 – 19.80
Spot Rate : 1.5000
Average : 1.2005

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-03-13
Maturity Price : 18.30
Evaluated at bid price : 18.30
Bid-YTW : 8.73 %

TD.PF.A FixedReset Disc Quote: 20.50 – 22.96
Spot Rate : 2.4600
Average : 2.2139

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-03-13
Maturity Price : 20.50
Evaluated at bid price : 20.50
Bid-YTW : 6.96 %

BN.PR.N Perpetual-Discount Quote: 17.81 – 18.50
Spot Rate : 0.6900
Average : 0.4637

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-03-13
Maturity Price : 17.81
Evaluated at bid price : 17.81
Bid-YTW : 6.83 %

TD.PF.C FixedReset Disc Quote: 21.00 – 21.69
Spot Rate : 0.6900
Average : 0.4644

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-03-13
Maturity Price : 21.00
Evaluated at bid price : 21.00
Bid-YTW : 6.78 %

March 12, 2024

Tuesday, March 12th, 2024

Ontario Teachers’ Pension Plan had a really bad year due to market timing:

Teachers fell short of the 8.7-per-cent benchmark it uses to measure its own performance, as losses on real estate and infrastructure dragged down returns.

One reason for the fund’s underperformance was its cautious stance toward the stock market. The publicly traded stocks Teachers owns did well, gaining 20 per cent last year against a 20.3-per-cent benchmark, but they make up just 10 per cent of its assets. At the start of last year, Teachers was betting on “some correction in listed stock markets, which didn’t happen,” chief executive officer Jo Taylor said in an interview.

High interest rates prompted Teachers to mark down asset values in its real estate portfolio, which lost 5.9 per cent, as well as its infrastructure arm, which lost 2.8 per cent. Both portfolios fell far short of internal benchmarks, gaining 2 per cent and 7.6 per cent.

I got curious about the longer term performance, so I looked up their performance report and was very disappointed. Where’s their triangle? I want to run my finger down their five-year rolling returns vs. their benchmark and get some idea of trends, but this will not be possible without a great deal of work on my part, which isn’t going to happen.

This is before we even get to the question of their $58.5-billion private equity portfolio and its benchmark; God only knows how accurate the valuations in either group might be. As I keep saying until you guys are sick of it, the purpose of private equity is to enable lying to your clients. Mark my words, one day there’s going to be a monster blow-up and then – and only then – will the clients and their supposed protectors get interested.

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 % 2,368.1
FixedFloater 0.00 % 0.00 % 0 0.00 0 0.0000 % 4,542.0
Floater 10.16 % 10.22 % 41,229 9.43 1 0.0000 % 2,617.6
OpRet 0.00 % 0.00 % 0 0.00 0 0.0603 % 3,408.3
SplitShare 4.94 % 7.20 % 44,384 1.85 7 0.0603 % 4,070.3
Interest-Bearing 0.00 % 0.00 % 0 0.00 0 0.0603 % 3,175.8
Perpetual-Premium 0.00 % 0.00 % 0 0.00 0 0.0917 % 2,653.0
Perpetual-Discount 6.48 % 6.67 % 47,916 12.89 31 0.0917 % 2,893.0
FixedReset Disc 5.42 % 7.05 % 102,403 12.42 59 0.1212 % 2,439.2
Insurance Straight 6.31 % 6.50 % 51,226 13.27 22 0.8856 % 2,849.8
FloatingReset 9.96 % 10.13 % 30,803 9.36 3 -0.3954 % 2,591.6
FixedReset Prem 6.99 % 6.90 % 154,242 12.43 1 0.0000 % 2,499.4
FixedReset Bank Non 0.00 % 0.00 % 0 0.00 0 0.1212 % 2,493.3
FixedReset Ins Non 5.49 % 7.12 % 71,632 12.56 14 0.5024 % 2,587.6
Performance Highlights
Issue Index Change Notes
TD.PF.A FixedReset Disc -7.03 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-03-12
Maturity Price : 20.50
Evaluated at bid price : 20.50
Bid-YTW : 6.96 %
CU.PR.I FixedReset Disc -3.85 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-03-12
Maturity Price : 21.50
Evaluated at bid price : 21.50
Bid-YTW : 8.02 %
FTS.PR.G FixedReset Disc -2.57 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-03-12
Maturity Price : 20.84
Evaluated at bid price : 20.84
Bid-YTW : 6.96 %
MFC.PR.F FixedReset Ins Non -1.28 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-03-12
Maturity Price : 14.61
Evaluated at bid price : 14.61
Bid-YTW : 7.69 %
TD.PF.B FixedReset Disc -1.24 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-03-12
Maturity Price : 22.35
Evaluated at bid price : 23.16
Bid-YTW : 6.19 %
RY.PR.M FixedReset Disc 1.19 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-03-12
Maturity Price : 21.25
Evaluated at bid price : 21.25
Bid-YTW : 6.82 %
RY.PR.H FixedReset Disc 1.32 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-03-12
Maturity Price : 21.56
Evaluated at bid price : 21.56
Bid-YTW : 6.65 %
CU.PR.C FixedReset Disc 1.56 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-03-12
Maturity Price : 19.56
Evaluated at bid price : 19.56
Bid-YTW : 7.38 %
FTS.PR.H FixedReset Disc 2.03 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-03-12
Maturity Price : 14.56
Evaluated at bid price : 14.56
Bid-YTW : 8.07 %
TD.PF.D FixedReset Disc 2.10 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-03-12
Maturity Price : 21.53
Evaluated at bid price : 21.90
Bid-YTW : 6.90 %
BN.PR.B Floater 2.54 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-03-12
Maturity Price : 12.40
Evaluated at bid price : 12.40
Bid-YTW : 10.22 %
SLF.PR.H FixedReset Ins Non 2.82 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-03-12
Maturity Price : 18.25
Evaluated at bid price : 18.25
Bid-YTW : 7.12 %
BN.PF.F FixedReset Disc 3.07 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-03-12
Maturity Price : 18.82
Evaluated at bid price : 18.82
Bid-YTW : 8.48 %
BMO.PR.S FixedReset Disc 3.26 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-03-12
Maturity Price : 22.65
Evaluated at bid price : 23.75
Bid-YTW : 6.09 %
MFC.PR.C Insurance Straight 3.55 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-03-12
Maturity Price : 18.65
Evaluated at bid price : 18.65
Bid-YTW : 6.07 %
MFC.PR.Q FixedReset Ins Non 3.81 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-03-12
Maturity Price : 21.52
Evaluated at bid price : 21.80
Bid-YTW : 6.90 %
GWO.PR.T Insurance Straight 16.72 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-03-12
Maturity Price : 19.90
Evaluated at bid price : 19.90
Bid-YTW : 6.50 %
Volume Highlights
Issue Index Shares
Traded
Notes
BMO.PR.T FixedReset Disc 108,000 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-03-12
Maturity Price : 21.85
Evaluated at bid price : 22.34
Bid-YTW : 6.37 %
FFH.PR.G FixedReset Disc 100,400 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-03-12
Maturity Price : 16.72
Evaluated at bid price : 16.72
Bid-YTW : 8.64 %
PWF.PR.P FixedReset Disc 53,000 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-03-12
Maturity Price : 14.40
Evaluated at bid price : 14.40
Bid-YTW : 8.16 %
BMO.PR.W FixedReset Disc 36,300 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-03-12
Maturity Price : 21.55
Evaluated at bid price : 21.90
Bid-YTW : 6.45 %
TD.PF.L FixedReset Disc 28,975 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-03-12
Maturity Price : 23.95
Evaluated at bid price : 24.92
Bid-YTW : 6.82 %
NA.PR.S FixedReset Disc 25,788 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-03-12
Maturity Price : 21.63
Evaluated at bid price : 22.00
Bid-YTW : 6.72 %
There were 5 other index-included issues trading in excess of 10,000 shares.
Wide Spread Highlights
Issue Index Quote Data and Yield Notes
TD.PF.A FixedReset Disc Quote: 20.50 – 22.87
Spot Rate : 2.3700
Average : 1.9440

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-03-12
Maturity Price : 20.50
Evaluated at bid price : 20.50
Bid-YTW : 6.96 %

CU.PR.I FixedReset Disc Quote: 21.50 – 22.40
Spot Rate : 0.9000
Average : 0.6242

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-03-12
Maturity Price : 21.50
Evaluated at bid price : 21.50
Bid-YTW : 8.02 %

RY.PR.N Perpetual-Discount Quote: 22.14 – 23.00
Spot Rate : 0.8600
Average : 0.5856

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-03-12
Maturity Price : 21.86
Evaluated at bid price : 22.14
Bid-YTW : 5.57 %

FTS.PR.G FixedReset Disc Quote: 20.84 – 21.40
Spot Rate : 0.5600
Average : 0.3394

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-03-12
Maturity Price : 20.84
Evaluated at bid price : 20.84
Bid-YTW : 6.96 %

TD.PF.D FixedReset Disc Quote: 21.90 – 23.00
Spot Rate : 1.1000
Average : 0.9084

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-03-12
Maturity Price : 21.53
Evaluated at bid price : 21.90
Bid-YTW : 6.90 %

PWF.PF.A Perpetual-Discount Quote: 17.26 – 17.79
Spot Rate : 0.5300
Average : 0.4000

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-03-12
Maturity Price : 17.26
Evaluated at bid price : 17.26
Bid-YTW : 6.63 %

March 11, 2024

Monday, March 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 0.4049 % 2,368.1
FixedFloater 0.00 % 0.00 % 0 0.00 0 0.4049 % 4,542.0
Floater 10.16 % 10.50 % 41,427 9.01 1 0.4049 % 2,617.6
OpRet 0.00 % 0.00 % 0 0.00 0 0.0724 % 3,406.3
SplitShare 4.94 % 7.21 % 43,915 1.85 7 0.0724 % 4,067.8
Interest-Bearing 0.00 % 0.00 % 0 0.00 0 0.0724 % 3,173.9
Perpetual-Premium 0.00 % 0.00 % 0 0.00 0 0.2281 % 2,650.6
Perpetual-Discount 6.48 % 6.69 % 49,595 12.88 31 0.2281 % 2,890.4
FixedReset Disc 5.42 % 7.07 % 105,932 12.58 59 0.4465 % 2,436.2
Insurance Straight 6.37 % 6.52 % 55,747 13.24 22 -0.7154 % 2,824.8
FloatingReset 9.92 % 10.06 % 30,864 9.37 3 0.1320 % 2,601.9
FixedReset Prem 6.99 % 6.90 % 156,178 12.44 1 0.6000 % 2,499.4
FixedReset Bank Non 0.00 % 0.00 % 0 0.00 0 0.4465 % 2,490.3
FixedReset Ins Non 5.52 % 7.20 % 74,576 12.54 14 -0.3475 % 2,574.7
Performance Highlights
Issue Index Change Notes
GWO.PR.T Insurance Straight -14.32 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-03-11
Maturity Price : 17.05
Evaluated at bid price : 17.05
Bid-YTW : 7.59 %
SLF.PR.H FixedReset Ins Non -5.08 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-03-11
Maturity Price : 17.75
Evaluated at bid price : 17.75
Bid-YTW : 7.31 %
BN.PF.F FixedReset Disc -4.70 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-03-11
Maturity Price : 18.26
Evaluated at bid price : 18.26
Bid-YTW : 8.74 %
MFC.PR.Q FixedReset Ins Non -3.36 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-03-11
Maturity Price : 21.00
Evaluated at bid price : 21.00
Bid-YTW : 7.17 %
MFC.PR.C Insurance Straight -3.33 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-03-11
Maturity Price : 18.01
Evaluated at bid price : 18.01
Bid-YTW : 6.28 %
BMO.PR.S FixedReset Disc -3.16 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-03-11
Maturity Price : 22.27
Evaluated at bid price : 23.00
Bid-YTW : 6.31 %
BN.PF.B FixedReset Disc -1.41 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-03-11
Maturity Price : 19.57
Evaluated at bid price : 19.57
Bid-YTW : 7.97 %
IFC.PR.C FixedReset Ins Non 1.03 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-03-11
Maturity Price : 19.60
Evaluated at bid price : 19.60
Bid-YTW : 7.34 %
MFC.PR.K FixedReset Ins Non 1.14 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-03-11
Maturity Price : 21.76
Evaluated at bid price : 22.15
Bid-YTW : 6.64 %
RY.PR.M FixedReset Disc 1.20 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-03-11
Maturity Price : 21.00
Evaluated at bid price : 21.00
Bid-YTW : 6.90 %
MFC.PR.F FixedReset Ins Non 1.37 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-03-11
Maturity Price : 14.80
Evaluated at bid price : 14.80
Bid-YTW : 7.60 %
FTS.PR.G FixedReset Disc 1.37 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-03-11
Maturity Price : 21.39
Evaluated at bid price : 21.39
Bid-YTW : 6.77 %
PWF.PR.P FixedReset Disc 1.41 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-03-11
Maturity Price : 14.40
Evaluated at bid price : 14.40
Bid-YTW : 8.16 %
IFC.PR.F Insurance Straight 1.47 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-03-11
Maturity Price : 20.70
Evaluated at bid price : 20.70
Bid-YTW : 6.55 %
ELF.PR.H Perpetual-Discount 1.60 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-03-11
Maturity Price : 21.33
Evaluated at bid price : 21.60
Bid-YTW : 6.47 %
PWF.PR.G Perpetual-Discount 1.70 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-03-11
Maturity Price : 21.94
Evaluated at bid price : 22.17
Bid-YTW : 6.75 %
BIP.PR.A FixedReset Disc 1.96 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-03-11
Maturity Price : 18.71
Evaluated at bid price : 18.71
Bid-YTW : 9.04 %
TD.PF.E FixedReset Disc 2.52 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-03-11
Maturity Price : 21.53
Evaluated at bid price : 21.53
Bid-YTW : 7.05 %
BMO.PR.Y FixedReset Disc 7.20 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-03-11
Maturity Price : 21.45
Evaluated at bid price : 21.45
Bid-YTW : 6.92 %
TD.PF.A FixedReset Disc 7.56 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-03-11
Maturity Price : 21.65
Evaluated at bid price : 22.05
Bid-YTW : 6.45 %
Volume Highlights
Issue Index Shares
Traded
Notes
TD.PF.C FixedReset Disc 58,300 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-03-11
Maturity Price : 21.45
Evaluated at bid price : 21.45
Bid-YTW : 6.63 %
RY.PR.Z FixedReset Disc 56,300 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-03-11
Maturity Price : 21.49
Evaluated at bid price : 21.80
Bid-YTW : 6.55 %
NA.PR.G FixedReset Disc 55,100 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-03-11
Maturity Price : 23.13
Evaluated at bid price : 24.85
Bid-YTW : 6.53 %
BMO.PR.E FixedReset Disc 52,600 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-03-11
Maturity Price : 23.07
Evaluated at bid price : 24.67
Bid-YTW : 6.41 %
NA.PR.S FixedReset Disc 45,600 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-03-11
Maturity Price : 21.50
Evaluated at bid price : 21.82
Bid-YTW : 6.78 %
BMO.PR.T FixedReset Disc 38,800 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-03-11
Maturity Price : 21.83
Evaluated at bid price : 22.30
Bid-YTW : 6.38 %
There were 11 other index-included issues trading in excess of 10,000 shares.
Wide Spread Highlights
Issue Index Quote Data and Yield Notes
GWO.PR.T Insurance Straight Quote: 17.05 – 19.91
Spot Rate : 2.8600
Average : 1.6358

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-03-11
Maturity Price : 17.05
Evaluated at bid price : 17.05
Bid-YTW : 7.59 %

MFC.PR.N FixedReset Ins Non Quote: 19.22 – 21.00
Spot Rate : 1.7800
Average : 1.2380

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-03-11
Maturity Price : 19.22
Evaluated at bid price : 19.22
Bid-YTW : 7.36 %

SLF.PR.H FixedReset Ins Non Quote: 17.75 – 18.95
Spot Rate : 1.2000
Average : 0.8918

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-03-11
Maturity Price : 17.75
Evaluated at bid price : 17.75
Bid-YTW : 7.31 %

MFC.PR.Q FixedReset Ins Non Quote: 21.00 – 21.84
Spot Rate : 0.8400
Average : 0.5599

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-03-11
Maturity Price : 21.00
Evaluated at bid price : 21.00
Bid-YTW : 7.17 %

SLF.PR.G FixedReset Ins Non Quote: 14.67 – 15.40
Spot Rate : 0.7300
Average : 0.4589

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-03-11
Maturity Price : 14.67
Evaluated at bid price : 14.67
Bid-YTW : 7.88 %

BMO.PR.S FixedReset Disc Quote: 23.00 – 23.77
Spot Rate : 0.7700
Average : 0.5087

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-03-11
Maturity Price : 22.27
Evaluated at bid price : 23.00
Bid-YTW : 6.31 %

March 8, 2024

Friday, March 8th, 2024

Jobs, jobs, jobs!

Employers added 275,000 jobs in February, the Labor Department reported Friday, in another month that exceeded expectations.

It was the third straight month of gains above 200,000, and the 38th consecutive month of growth — fresh evidence that after surging back from the pandemic shutdowns, America’s jobs engine still has plenty of steam.

Average hourly earnings rose by 4.3 percent over the year, although the pace of increases has been fading.

… and in the frozen North:

Canada’s labour market is getting a helping hand from population growth as the economy added 41,000 jobs in February.

Statistics Canada also reported on Friday that the unemployment rate ticked up to 5.8 per cent.

Job gains, which were driven by full-time employment, were spread across several industries in the services-producing sector, with the strongest growth in accommodation and food services.

The February increase comes after similar stronger-than-expected job gains in January.

Meanwhile, wages continue to grow rapidly in Canada. Average hourly wages were up 5 per cent from a year ago, down from a rate of 5.3 per cent in January.

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 0.4065 % 2,358.5
FixedFloater 0.00 % 0.00 % 0 0.00 0 0.4065 % 4,523.7
Floater 10.20 % 10.54 % 41,978 9.00 1 0.4065 % 2,607.0
OpRet 0.00 % 0.00 % 0 0.00 0 0.2964 % 3,403.8
SplitShare 4.95 % 7.19 % 45,712 1.86 7 0.2964 % 4,064.9
Interest-Bearing 0.00 % 0.00 % 0 0.00 0 0.2964 % 3,171.6
Perpetual-Premium 0.00 % 0.00 % 0 0.00 0 -0.0016 % 2,644.6
Perpetual-Discount 6.50 % 6.68 % 48,274 12.89 31 -0.0016 % 2,883.8
FixedReset Disc 5.45 % 7.12 % 106,998 12.48 59 -0.1556 % 2,425.4
Insurance Straight 6.32 % 6.49 % 52,321 13.29 22 -0.0669 % 2,845.1
FloatingReset 9.93 % 10.09 % 31,919 9.41 3 -0.0754 % 2,598.4
FixedReset Prem 7.03 % 6.94 % 158,256 12.40 1 0.0000 % 2,484.5
FixedReset Bank Non 0.00 % 0.00 % 0 0.00 0 -0.1556 % 2,479.3
FixedReset Ins Non 5.50 % 7.08 % 75,577 12.56 14 0.3449 % 2,583.6
Performance Highlights
Issue Index Change Notes
BMO.PR.Y FixedReset Disc -6.28 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-03-08
Maturity Price : 20.01
Evaluated at bid price : 20.01
Bid-YTW : 7.40 %
MFC.PR.B Insurance Straight -1.81 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-03-08
Maturity Price : 18.99
Evaluated at bid price : 18.99
Bid-YTW : 6.15 %
CU.PR.I FixedReset Disc -1.51 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-03-08
Maturity Price : 21.71
Evaluated at bid price : 22.16
Bid-YTW : 7.76 %
ELF.PR.H Perpetual-Discount -1.30 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-03-08
Maturity Price : 21.26
Evaluated at bid price : 21.26
Bid-YTW : 6.59 %
SLF.PR.H FixedReset Ins Non 1.08 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-03-08
Maturity Price : 18.70
Evaluated at bid price : 18.70
Bid-YTW : 6.95 %
FTS.PR.H FixedReset Disc 1.22 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-03-08
Maturity Price : 14.15
Evaluated at bid price : 14.15
Bid-YTW : 8.29 %
IFC.PR.E Insurance Straight 1.34 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-03-08
Maturity Price : 20.42
Evaluated at bid price : 20.42
Bid-YTW : 6.51 %
FFH.PR.G FixedReset Disc 1.45 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-03-08
Maturity Price : 16.74
Evaluated at bid price : 16.74
Bid-YTW : 8.62 %
IFC.PR.A FixedReset Ins Non 3.17 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-03-08
Maturity Price : 18.57
Evaluated at bid price : 18.57
Bid-YTW : 7.01 %
Volume Highlights
Issue Index Shares
Traded
Notes
BMO.PR.S FixedReset Disc 116,800 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-03-08
Maturity Price : 22.65
Evaluated at bid price : 23.75
Bid-YTW : 6.09 %
BMO.PR.Y FixedReset Disc 90,000 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-03-08
Maturity Price : 20.01
Evaluated at bid price : 20.01
Bid-YTW : 7.40 %
FTS.PR.M FixedReset Disc 51,000 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-03-08
Maturity Price : 18.60
Evaluated at bid price : 18.60
Bid-YTW : 7.94 %
GWO.PR.N FixedReset Ins Non 50,800 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-03-08
Maturity Price : 13.71
Evaluated at bid price : 13.71
Bid-YTW : 8.01 %
GWO.PR.G Insurance Straight 34,400 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-03-08
Maturity Price : 20.07
Evaluated at bid price : 20.07
Bid-YTW : 6.50 %
PWF.PR.E Perpetual-Discount 30,400 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-03-08
Maturity Price : 20.80
Evaluated at bid price : 20.80
Bid-YTW : 6.72 %
There were 7 other index-included issues trading in excess of 10,000 shares.
Wide Spread Highlights
Issue Index Quote Data and Yield Notes
BMO.PR.Y FixedReset Disc Quote: 20.01 – 21.65
Spot Rate : 1.6400
Average : 1.1706

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-03-08
Maturity Price : 20.01
Evaluated at bid price : 20.01
Bid-YTW : 7.40 %

MFC.PR.N FixedReset Ins Non Quote: 19.22 – 20.25
Spot Rate : 1.0300
Average : 0.6437

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-03-08
Maturity Price : 19.22
Evaluated at bid price : 19.22
Bid-YTW : 7.36 %

TD.PF.A FixedReset Disc Quote: 20.50 – 23.07
Spot Rate : 2.5700
Average : 2.1971

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-03-08
Maturity Price : 20.50
Evaluated at bid price : 20.50
Bid-YTW : 6.96 %

BN.PR.R FixedReset Disc Quote: 14.90 – 15.70
Spot Rate : 0.8000
Average : 0.5100

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-03-08
Maturity Price : 14.90
Evaluated at bid price : 14.90
Bid-YTW : 9.08 %

TD.PF.J FixedReset Disc Quote: 22.70 – 23.58
Spot Rate : 0.8800
Average : 0.5991

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-03-08
Maturity Price : 22.15
Evaluated at bid price : 22.70
Bid-YTW : 6.74 %

GWO.PR.P Insurance Straight Quote: 20.15 – 20.78
Spot Rate : 0.6300
Average : 0.4244

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-03-08
Maturity Price : 20.15
Evaluated at bid price : 20.15
Bid-YTW : 6.72 %

March 7, 2024

Thursday, March 7th, 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 -0.1623 % 2,349.0
FixedFloater 0.00 % 0.00 % 0 0.00 0 -0.1623 % 4,505.3
Floater 10.24 % 10.58 % 42,541 8.97 1 -0.1623 % 2,596.5
OpRet 0.00 % 0.00 % 0 0.00 0 0.0545 % 3,393.7
SplitShare 4.96 % 7.40 % 45,220 1.86 7 0.0545 % 4,052.8
Interest-Bearing 0.00 % 0.00 % 0 0.00 0 0.0545 % 3,162.2
Perpetual-Premium 0.00 % 0.00 % 0 0.00 0 0.1709 % 2,644.6
Perpetual-Discount 6.50 % 6.69 % 46,904 12.89 31 0.1709 % 2,883.8
FixedReset Disc 5.44 % 7.22 % 111,363 12.50 59 0.2088 % 2,429.2
Insurance Straight 6.32 % 6.50 % 53,045 13.27 22 0.6172 % 2,847.0
FloatingReset 9.95 % 10.14 % 32,082 9.38 3 -0.0377 % 2,600.4
FixedReset Prem 7.03 % 7.02 % 160,721 12.33 1 -0.2394 % 2,484.5
FixedReset Bank Non 0.00 % 0.00 % 0 0.00 0 0.2088 % 2,483.1
FixedReset Ins Non 5.52 % 7.33 % 76,419 12.29 14 0.3801 % 2,574.8
Performance Highlights
Issue Index Change Notes
TD.PF.A FixedReset Disc -9.89 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-03-07
Maturity Price : 20.50
Evaluated at bid price : 20.50
Bid-YTW : 7.09 %
PWF.PR.G Perpetual-Discount -2.79 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-03-07
Maturity Price : 21.36
Evaluated at bid price : 21.63
Bid-YTW : 6.92 %
MFC.PR.C Insurance Straight -1.74 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-03-07
Maturity Price : 18.63
Evaluated at bid price : 18.63
Bid-YTW : 6.07 %
NA.PR.E FixedReset Disc -1.33 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-03-07
Maturity Price : 21.85
Evaluated at bid price : 22.25
Bid-YTW : 6.87 %
BN.PR.M Perpetual-Discount -1.29 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-03-07
Maturity Price : 17.66
Evaluated at bid price : 17.66
Bid-YTW : 6.88 %
BMO.PR.E FixedReset Disc -1.05 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-03-07
Maturity Price : 23.05
Evaluated at bid price : 24.62
Bid-YTW : 6.51 %
TD.PF.J FixedReset Disc 1.11 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-03-07
Maturity Price : 22.18
Evaluated at bid price : 22.75
Bid-YTW : 6.81 %
GWO.PR.S Insurance Straight 1.16 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-03-07
Maturity Price : 20.12
Evaluated at bid price : 20.12
Bid-YTW : 6.54 %
RY.PR.J FixedReset Disc 1.18 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-03-07
Maturity Price : 21.50
Evaluated at bid price : 21.50
Bid-YTW : 7.13 %
FFH.PR.I FixedReset Disc 1.20 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-03-07
Maturity Price : 17.71
Evaluated at bid price : 17.71
Bid-YTW : 8.63 %
CU.PR.G Perpetual-Discount 1.21 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-03-07
Maturity Price : 17.50
Evaluated at bid price : 17.50
Bid-YTW : 6.49 %
CU.PR.J Perpetual-Discount 1.22 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-03-07
Maturity Price : 18.21
Evaluated at bid price : 18.21
Bid-YTW : 6.58 %
GWO.PR.H Insurance Straight 1.29 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-03-07
Maturity Price : 18.84
Evaluated at bid price : 18.84
Bid-YTW : 6.45 %
ELF.PR.H Perpetual-Discount 1.32 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-03-07
Maturity Price : 21.27
Evaluated at bid price : 21.54
Bid-YTW : 6.49 %
CM.PR.O FixedReset Disc 1.42 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-03-07
Maturity Price : 22.14
Evaluated at bid price : 22.80
Bid-YTW : 6.43 %
MFC.PR.Q FixedReset Ins Non 1.64 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-03-07
Maturity Price : 21.48
Evaluated at bid price : 21.75
Bid-YTW : 7.00 %
CM.PR.Q FixedReset Disc 1.64 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-03-07
Maturity Price : 21.39
Evaluated at bid price : 21.70
Bid-YTW : 7.00 %
BN.PF.J FixedReset Disc 1.71 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-03-07
Maturity Price : 20.85
Evaluated at bid price : 20.85
Bid-YTW : 8.04 %
FTS.PR.F Perpetual-Discount 2.26 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-03-07
Maturity Price : 19.95
Evaluated at bid price : 19.95
Bid-YTW : 6.19 %
GWO.PR.T Insurance Straight 3.70 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-03-07
Maturity Price : 19.90
Evaluated at bid price : 19.90
Bid-YTW : 6.49 %
SLF.PR.H FixedReset Ins Non 4.23 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-03-07
Maturity Price : 18.50
Evaluated at bid price : 18.50
Bid-YTW : 7.14 %
IAF.PR.B Insurance Straight 7.45 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-03-07
Maturity Price : 21.50
Evaluated at bid price : 21.50
Bid-YTW : 5.36 %
TD.PF.E FixedReset Disc 13.21 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-03-07
Maturity Price : 21.00
Evaluated at bid price : 21.00
Bid-YTW : 7.34 %
Volume Highlights
Issue Index Shares
Traded
Notes
CM.PR.O FixedReset Disc 127,767 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-03-07
Maturity Price : 22.14
Evaluated at bid price : 22.80
Bid-YTW : 6.43 %
TD.PF.L FixedReset Disc 72,500 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-03-07
Maturity Price : 23.96
Evaluated at bid price : 24.90
Bid-YTW : 6.93 %
BMO.PR.T FixedReset Disc 69,253 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-03-07
Maturity Price : 21.90
Evaluated at bid price : 22.41
Bid-YTW : 6.47 %
BMO.PR.S FixedReset Disc 56,000 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-03-07
Maturity Price : 22.67
Evaluated at bid price : 23.80
Bid-YTW : 6.19 %
FTS.PR.M FixedReset Disc 51,500 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-03-07
Maturity Price : 18.57
Evaluated at bid price : 18.57
Bid-YTW : 8.10 %
NA.PR.S FixedReset Disc 30,360 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-03-07
Maturity Price : 21.36
Evaluated at bid price : 21.63
Bid-YTW : 6.97 %
There were 15 other index-included issues trading in excess of 10,000 shares.
Wide Spread Highlights
Issue Index Quote Data and Yield Notes
TD.PF.A FixedReset Disc Quote: 20.50 – 23.25
Spot Rate : 2.7500
Average : 1.7881

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-03-07
Maturity Price : 20.50
Evaluated at bid price : 20.50
Bid-YTW : 7.09 %

CU.PR.E Perpetual-Discount Quote: 18.93 – 20.70
Spot Rate : 1.7700
Average : 1.4556

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-03-07
Maturity Price : 18.93
Evaluated at bid price : 18.93
Bid-YTW : 6.53 %

PWF.PR.G Perpetual-Discount Quote: 21.63 – 22.30
Spot Rate : 0.6700
Average : 0.4799

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-03-07
Maturity Price : 21.36
Evaluated at bid price : 21.63
Bid-YTW : 6.92 %

IFC.PR.K Insurance Straight Quote: 20.21 – 20.75
Spot Rate : 0.5400
Average : 0.3520

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-03-07
Maturity Price : 20.21
Evaluated at bid price : 20.21
Bid-YTW : 6.64 %

BN.PF.D Perpetual-Discount Quote: 18.02 – 18.58
Spot Rate : 0.5600
Average : 0.3797

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-03-07
Maturity Price : 18.02
Evaluated at bid price : 18.02
Bid-YTW : 6.96 %

PWF.PF.A Perpetual-Discount Quote: 17.16 – 17.74
Spot Rate : 0.5800
Average : 0.4194

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-03-07
Maturity Price : 17.16
Evaluated at bid price : 17.16
Bid-YTW : 6.66 %

March 6, 2024

Wednesday, March 6th, 2024

No surprises from the BoC:

The Bank of Canada today held its target for the overnight rate at 5%, with the Bank Rate at 5¼% and the deposit rate at 5%. The Bank is continuing its policy of quantitative tightening.

Global economic growth slowed in the fourth quarter. US GDP growth also slowed but remained surprisingly robust and broad-based, with solid contributions from consumption and exports. Euro area economic growth was flat at the end of the year after contracting in the third quarter. Inflation in the United States and the euro area continued to ease. Bond yields have increased since January while corporate credit spreads have narrowed. Equity markets have risen sharply. Global oil prices are slightly higher than what was assumed in the January Monetary Policy Report (MPR).

In Canada, the economy grew in the fourth quarter by more than expected, although the pace remained weak and below potential. Real GDP expanded by 1% after contracting 0.5% in the third quarter. Consumption was up a modest 1%, and final domestic demand contracted with a large decline in business investment. A strong increase in exports boosted growth. Employment continues to grow more slowly than the population, and there are now some signs that wage pressures may be easing. Overall, the data point to an economy in modest excess supply.

CPI inflation eased to 2.9% in January, as goods price inflation moderated further. Shelter price inflation remains elevated and is the biggest contributor to inflation. Underlying inflationary pressures persist: year-over-year and three-month measures of core inflation are in the 3% to 3.5% range, and the share of CPI components growing above 3% declined but is still above the historical average. The Bank continues to expect inflation to remain close to 3% during the first half of this year before gradually easing.

Governing Council decided to hold the policy rate at 5% and to continue to normalize the Bank’s balance sheet. The Council is still concerned about risks to the outlook for inflation, particularly the persistence in underlying inflation. Governing Council wants to see further and sustained easing in core inflation and continues to focus on the balance between demand and supply in the economy, inflation expectations, wage growth, and corporate pricing behaviour. The Bank remains resolute in its commitment to restoring price stability for Canadians.

PerpetualDiscounts now yield 6.70%, equivalent to 8.71% interest at the standard equivalency factor of 1.3x. Long corporates yielded 5.03% on 2024-3-5 and since then the closing price has changed from 15.24 to 15.29, an increase of 33bp with a duration (BMO doesn’t specify Macaulay or Modified; I will assume Modified) of 12.43, which implies a decrease in yield of 3bp, to 5.00%. Therefore, the pre-tax interest-equivalent spread (in this context, the “Seniority Spread”) has widened to 370bp from the 360bp reported February 21.

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 0.0812 % 2,352.8
FixedFloater 0.00 % 0.00 % 0 0.00 0 0.0812 % 4,512.7
Floater 10.23 % 10.56 % 42,559 8.99 1 0.0812 % 2,600.7
OpRet 0.00 % 0.00 % 0 0.00 0 -0.2536 % 3,391.9
SplitShare 4.96 % 7.50 % 45,084 1.87 7 -0.2536 % 4,050.6
Interest-Bearing 0.00 % 0.00 % 0 0.00 0 -0.2536 % 3,160.5
Perpetual-Premium 0.00 % 0.00 % 0 0.00 0 0.0428 % 2,640.1
Perpetual-Discount 6.51 % 6.70 % 47,338 12.87 31 0.0428 % 2,878.9
FixedReset Disc 5.45 % 7.21 % 111,306 12.25 59 0.3955 % 2,424.1
Insurance Straight 6.35 % 6.54 % 60,562 13.23 22 -0.0325 % 2,829.6
FloatingReset 9.95 % 10.12 % 33,376 9.38 3 -0.2630 % 2,601.4
FixedReset Prem 7.01 % 7.00 % 157,943 12.35 1 0.0000 % 2,490.5
FixedReset Bank Non 0.00 % 0.00 % 0 0.00 0 0.3955 % 2,477.9
FixedReset Ins Non 5.54 % 7.37 % 77,096 12.34 14 -0.8322 % 2,565.0
Performance Highlights
Issue Index Change Notes
TD.PF.E FixedReset Disc -12.71 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-03-06
Maturity Price : 18.55
Evaluated at bid price : 18.55
Bid-YTW : 8.28 %
IAF.PR.B Insurance Straight -6.71 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-03-06
Maturity Price : 20.01
Evaluated at bid price : 20.01
Bid-YTW : 5.76 %
SLF.PR.H FixedReset Ins Non -5.33 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-03-06
Maturity Price : 17.75
Evaluated at bid price : 17.75
Bid-YTW : 7.43 %
IFC.PR.A FixedReset Ins Non -4.83 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-03-06
Maturity Price : 17.94
Evaluated at bid price : 17.94
Bid-YTW : 7.37 %
SLF.PR.G FixedReset Ins Non -1.76 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-03-06
Maturity Price : 14.50
Evaluated at bid price : 14.50
Bid-YTW : 8.13 %
PVS.PR.J SplitShare -1.54 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2028-02-29
Maturity Price : 25.00
Evaluated at bid price : 22.40
Bid-YTW : 7.50 %
FTS.PR.F Perpetual-Discount -1.51 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-03-06
Maturity Price : 19.51
Evaluated at bid price : 19.51
Bid-YTW : 6.33 %
GWO.PR.N FixedReset Ins Non -1.43 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-03-06
Maturity Price : 13.75
Evaluated at bid price : 13.75
Bid-YTW : 8.16 %
BN.PF.J FixedReset Disc -1.20 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-03-06
Maturity Price : 20.50
Evaluated at bid price : 20.50
Bid-YTW : 8.18 %
NA.PR.S FixedReset Disc -1.20 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-03-06
Maturity Price : 21.44
Evaluated at bid price : 21.44
Bid-YTW : 7.04 %
CU.PR.J Perpetual-Discount -1.15 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-03-06
Maturity Price : 17.99
Evaluated at bid price : 17.99
Bid-YTW : 6.66 %
BN.PF.G FixedReset Disc -1.10 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-03-06
Maturity Price : 17.16
Evaluated at bid price : 17.16
Bid-YTW : 9.06 %
GWO.PR.T Insurance Straight -1.08 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-03-06
Maturity Price : 19.19
Evaluated at bid price : 19.19
Bid-YTW : 6.73 %
PVS.PR.I SplitShare -1.08 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-10-31
Maturity Price : 25.00
Evaluated at bid price : 23.86
Bid-YTW : 7.77 %
FTS.PR.M FixedReset Disc -1.07 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-03-06
Maturity Price : 18.55
Evaluated at bid price : 18.55
Bid-YTW : 8.11 %
BN.PF.H FixedReset Disc 1.02 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-03-06
Maturity Price : 21.42
Evaluated at bid price : 21.75
Bid-YTW : 8.63 %
CU.PR.C FixedReset Disc 1.05 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-03-06
Maturity Price : 19.20
Evaluated at bid price : 19.20
Bid-YTW : 7.62 %
BIP.PR.A FixedReset Disc 1.10 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-03-06
Maturity Price : 18.35
Evaluated at bid price : 18.35
Bid-YTW : 9.34 %
IFC.PR.F Insurance Straight 1.24 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-03-06
Maturity Price : 20.35
Evaluated at bid price : 20.35
Bid-YTW : 6.66 %
RY.PR.M FixedReset Disc 1.27 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-03-06
Maturity Price : 20.70
Evaluated at bid price : 20.70
Bid-YTW : 7.11 %
TD.PF.D FixedReset Disc 1.37 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-03-06
Maturity Price : 21.45
Evaluated at bid price : 21.45
Bid-YTW : 7.16 %
POW.PR.A Perpetual-Discount 1.43 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-03-06
Maturity Price : 21.30
Evaluated at bid price : 21.30
Bid-YTW : 6.70 %
CM.PR.P FixedReset Disc 1.45 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-03-06
Maturity Price : 20.95
Evaluated at bid price : 20.95
Bid-YTW : 6.86 %
BMO.PR.T FixedReset Disc 1.60 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-03-06
Maturity Price : 21.76
Evaluated at bid price : 22.20
Bid-YTW : 6.53 %
GWO.PR.Y Insurance Straight 1.73 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-03-06
Maturity Price : 17.60
Evaluated at bid price : 17.60
Bid-YTW : 6.41 %
GWO.PR.S Insurance Straight 1.74 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-03-06
Maturity Price : 19.89
Evaluated at bid price : 19.89
Bid-YTW : 6.62 %
BN.PF.I FixedReset Disc 1.75 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-03-06
Maturity Price : 20.36
Evaluated at bid price : 20.36
Bid-YTW : 8.72 %
TD.PF.C FixedReset Disc 2.00 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-03-06
Maturity Price : 21.37
Evaluated at bid price : 21.37
Bid-YTW : 6.77 %
GWO.PR.G Insurance Straight 2.83 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-03-06
Maturity Price : 19.97
Evaluated at bid price : 19.97
Bid-YTW : 6.53 %
BMO.PR.W FixedReset Disc 3.12 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-03-06
Maturity Price : 21.50
Evaluated at bid price : 21.50
Bid-YTW : 6.71 %
BMO.PR.S FixedReset Disc 7.94 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-03-06
Maturity Price : 22.67
Evaluated at bid price : 23.80
Bid-YTW : 6.19 %
TD.PF.A FixedReset Disc 10.98 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-03-06
Maturity Price : 22.10
Evaluated at bid price : 22.75
Bid-YTW : 6.35 %
Volume Highlights
Issue Index Shares
Traded
Notes
MFC.PR.I FixedReset Ins Non 66,016 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-03-06
Maturity Price : 21.75
Evaluated at bid price : 22.05
Bid-YTW : 7.19 %
CU.PR.I FixedReset Disc 54,400 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-03-06
Maturity Price : 22.17
Evaluated at bid price : 22.50
Bid-YTW : 7.76 %
TD.PF.L FixedReset Disc 42,800 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-03-06
Maturity Price : 23.95
Evaluated at bid price : 24.89
Bid-YTW : 6.93 %
BMO.PR.T FixedReset Disc 39,591 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-03-06
Maturity Price : 21.76
Evaluated at bid price : 22.20
Bid-YTW : 6.53 %
MFC.PR.F FixedReset Ins Non 34,600 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-03-06
Maturity Price : 14.60
Evaluated at bid price : 14.60
Bid-YTW : 7.84 %
BN.PF.B FixedReset Disc 32,940 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-03-06
Maturity Price : 19.70
Evaluated at bid price : 19.70
Bid-YTW : 8.06 %
There were 14 other index-included issues trading in excess of 10,000 shares.
Wide Spread Highlights
Issue Index Quote Data and Yield Notes
BMO.PR.T FixedReset Disc Quote: 22.20 – 24.75
Spot Rate : 2.5500
Average : 1.4525

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-03-06
Maturity Price : 21.76
Evaluated at bid price : 22.20
Bid-YTW : 6.53 %

CU.PR.E Perpetual-Discount Quote: 18.95 – 20.70
Spot Rate : 1.7500
Average : 1.1108

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-03-06
Maturity Price : 18.95
Evaluated at bid price : 18.95
Bid-YTW : 6.52 %

IAF.PR.B Insurance Straight Quote: 20.01 – 21.70
Spot Rate : 1.6900
Average : 1.0880

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-03-06
Maturity Price : 20.01
Evaluated at bid price : 20.01
Bid-YTW : 5.76 %

SLF.PR.H FixedReset Ins Non Quote: 17.75 – 19.20
Spot Rate : 1.4500
Average : 1.0921

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-03-06
Maturity Price : 17.75
Evaluated at bid price : 17.75
Bid-YTW : 7.43 %

IFC.PR.A FixedReset Ins Non Quote: 17.94 – 18.99
Spot Rate : 1.0500
Average : 0.7191

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-03-06
Maturity Price : 17.94
Evaluated at bid price : 17.94
Bid-YTW : 7.37 %

IFC.PR.C FixedReset Ins Non Quote: 19.38 – 20.15
Spot Rate : 0.7700
Average : 0.5060

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-03-06
Maturity Price : 19.38
Evaluated at bid price : 19.38
Bid-YTW : 7.53 %

March 5, 2024

Tuesday, March 5th, 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 -0.7258 % 2,350.9
FixedFloater 0.00 % 0.00 % 0 0.00 0 -0.7258 % 4,509.0
Floater 10.24 % 10.56 % 44,205 8.99 1 -0.7258 % 2,598.6
OpRet 0.00 % 0.00 % 0 0.00 0 0.1814 % 3,400.5
SplitShare 4.95 % 7.23 % 46,734 1.87 7 0.1814 % 4,060.9
Interest-Bearing 0.00 % 0.00 % 0 0.00 0 0.1814 % 3,168.5
Perpetual-Premium 0.00 % 0.00 % 0 0.00 0 0.2225 % 2,639.0
Perpetual-Discount 6.51 % 6.71 % 47,648 12.86 31 0.2225 % 2,877.7
FixedReset Disc 5.48 % 7.25 % 112,879 12.46 59 0.0898 % 2,414.6
Insurance Straight 6.35 % 6.54 % 53,650 13.20 22 0.1906 % 2,830.5
FloatingReset 9.92 % 10.11 % 33,774 9.40 3 0.5667 % 2,608.2
FixedReset Prem 7.01 % 7.00 % 160,276 12.35 1 0.1199 % 2,490.5
FixedReset Bank Non 0.00 % 0.00 % 0 0.00 0 0.0898 % 2,468.2
FixedReset Ins Non 5.49 % 7.22 % 74,957 12.42 14 0.7975 % 2,586.5
Performance Highlights
Issue Index Change Notes
TD.PF.A FixedReset Disc -8.85 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-03-05
Maturity Price : 20.50
Evaluated at bid price : 20.50
Bid-YTW : 7.08 %
BMO.PR.S FixedReset Disc -6.17 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-03-05
Maturity Price : 21.67
Evaluated at bid price : 22.05
Bid-YTW : 6.73 %
GWO.PR.S Insurance Straight -2.01 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-03-05
Maturity Price : 19.55
Evaluated at bid price : 19.55
Bid-YTW : 6.73 %
IFC.PR.F Insurance Straight -1.47 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-03-05
Maturity Price : 20.10
Evaluated at bid price : 20.10
Bid-YTW : 6.74 %
NA.PR.S FixedReset Disc 1.02 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-03-05
Maturity Price : 21.41
Evaluated at bid price : 21.70
Bid-YTW : 6.94 %
NA.PR.E FixedReset Disc 1.03 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-03-05
Maturity Price : 22.02
Evaluated at bid price : 22.50
Bid-YTW : 6.79 %
MFC.PR.M FixedReset Ins Non 1.03 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-03-05
Maturity Price : 19.55
Evaluated at bid price : 19.55
Bid-YTW : 7.50 %
PVS.PR.J SplitShare 1.11 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2028-02-29
Maturity Price : 25.00
Evaluated at bid price : 22.75
Bid-YTW : 7.06 %
MFC.PR.J FixedReset Ins Non 1.14 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-03-05
Maturity Price : 21.86
Evaluated at bid price : 22.25
Bid-YTW : 6.95 %
BN.PF.J FixedReset Disc 1.22 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-03-05
Maturity Price : 20.75
Evaluated at bid price : 20.75
Bid-YTW : 8.08 %
PWF.PR.E Perpetual-Discount 1.31 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-03-05
Maturity Price : 20.82
Evaluated at bid price : 20.82
Bid-YTW : 6.71 %
FTS.PR.M FixedReset Disc 1.35 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-03-05
Maturity Price : 18.75
Evaluated at bid price : 18.75
Bid-YTW : 8.02 %
CU.PR.J Perpetual-Discount 1.45 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-03-05
Maturity Price : 18.20
Evaluated at bid price : 18.20
Bid-YTW : 6.58 %
NA.PR.W FixedReset Disc 1.68 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-03-05
Maturity Price : 20.03
Evaluated at bid price : 20.03
Bid-YTW : 7.20 %
MFC.PR.F FixedReset Ins Non 1.74 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-03-05
Maturity Price : 14.60
Evaluated at bid price : 14.60
Bid-YTW : 7.84 %
BN.PR.Z FixedReset Disc 1.89 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-03-05
Maturity Price : 19.92
Evaluated at bid price : 19.92
Bid-YTW : 8.24 %
SLF.PR.H FixedReset Ins Non 1.90 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-03-05
Maturity Price : 18.75
Evaluated at bid price : 18.75
Bid-YTW : 7.05 %
CM.PR.P FixedReset Disc 1.92 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-03-05
Maturity Price : 20.65
Evaluated at bid price : 20.65
Bid-YTW : 6.96 %
RY.PR.O Perpetual-Discount 1.98 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-03-05
Maturity Price : 21.88
Evaluated at bid price : 22.16
Bid-YTW : 5.56 %
BIP.PR.A FixedReset Disc 2.14 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-03-05
Maturity Price : 18.15
Evaluated at bid price : 18.15
Bid-YTW : 9.44 %
BMO.PR.Y FixedReset Disc 3.17 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-03-05
Maturity Price : 21.45
Evaluated at bid price : 21.45
Bid-YTW : 7.03 %
GWO.PR.T Insurance Straight 3.47 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-03-05
Maturity Price : 19.40
Evaluated at bid price : 19.40
Bid-YTW : 6.65 %
MFC.PR.Q FixedReset Ins Non 3.88 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-03-05
Maturity Price : 21.40
Evaluated at bid price : 21.40
Bid-YTW : 7.12 %
GWO.PR.Y Insurance Straight 4.85 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-03-05
Maturity Price : 17.30
Evaluated at bid price : 17.30
Bid-YTW : 6.52 %
Volume Highlights
Issue Index Shares
Traded
Notes
CM.PR.P FixedReset Disc 186,344 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-03-05
Maturity Price : 20.65
Evaluated at bid price : 20.65
Bid-YTW : 6.96 %
FTS.PR.H FixedReset Disc 140,000 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-03-05
Maturity Price : 13.80
Evaluated at bid price : 13.80
Bid-YTW : 8.67 %
BN.PR.M Perpetual-Discount 100,800 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-03-05
Maturity Price : 17.84
Evaluated at bid price : 17.84
Bid-YTW : 6.81 %
BMO.PR.Y FixedReset Disc 50,600 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-03-05
Maturity Price : 21.45
Evaluated at bid price : 21.45
Bid-YTW : 7.03 %
TD.PF.C FixedReset Disc 47,243 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-03-05
Maturity Price : 20.95
Evaluated at bid price : 20.95
Bid-YTW : 6.91 %
NA.PR.W FixedReset Disc 44,149 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-03-05
Maturity Price : 20.03
Evaluated at bid price : 20.03
Bid-YTW : 7.20 %
There were 19 other index-included issues trading in excess of 10,000 shares.
Wide Spread Highlights
Issue Index Quote Data and Yield Notes
TD.PF.A FixedReset Disc Quote: 20.50 – 22.80
Spot Rate : 2.3000
Average : 1.3185

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-03-05
Maturity Price : 20.50
Evaluated at bid price : 20.50
Bid-YTW : 7.08 %

BMO.PR.S FixedReset Disc Quote: 22.05 – 23.75
Spot Rate : 1.7000
Average : 0.9706

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-03-05
Maturity Price : 21.67
Evaluated at bid price : 22.05
Bid-YTW : 6.73 %

RY.PR.M FixedReset Disc Quote: 20.44 – 21.44
Spot Rate : 1.0000
Average : 0.6520

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-03-05
Maturity Price : 20.44
Evaluated at bid price : 20.44
Bid-YTW : 7.19 %

IFC.PR.F Insurance Straight Quote: 20.10 – 20.95
Spot Rate : 0.8500
Average : 0.6030

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-03-05
Maturity Price : 20.10
Evaluated at bid price : 20.10
Bid-YTW : 6.74 %

TD.PF.I FixedReset Disc Quote: 24.41 – 24.89
Spot Rate : 0.4800
Average : 0.2818

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-03-05
Maturity Price : 23.07
Evaluated at bid price : 24.41
Bid-YTW : 6.71 %

GWO.PR.G Insurance Straight Quote: 19.42 – 20.25
Spot Rate : 0.8300
Average : 0.6453

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-03-05
Maturity Price : 19.42
Evaluated at bid price : 19.42
Bid-YTW : 6.71 %