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March 27, 2024

Wednesday, March 27th, 2024

PerpetualDiscounts now yield 6.62%, equivalent to 8.61% interest at the standard equivalency factor of 1.3x. Long corporates yielded 5.12% on 2024-3-15 and since then the closing price of ZLC has changed from 14.95 to 15.02, an increase of 47bp in price, implying a decline of yields of 4bp (BMO reports a duration of 12.38, but don’t disclose whether this is Macaulay or Modified; I will assume Modified) to 5.08%. Therefore, the pre-tax interest-equivalent spread (in this context, the “Seniority Spread”) has remained constant at the 355bp reported March 20.

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 1.1438 % 2,364.3
FixedFloater 0.00 % 0.00 % 0 0.00 0 1.1438 % 4,534.6
Floater 10.18 % 10.28 % 44,421 9.35 1 1.1438 % 2,613.3
OpRet 0.00 % 0.00 % 0 0.00 0 -0.0478 % 3,432.9
SplitShare 4.90 % 7.06 % 36,248 1.81 7 -0.0478 % 4,099.7
Interest-Bearing 0.00 % 0.00 % 0 0.00 0 -0.0478 % 3,198.7
Perpetual-Premium 0.00 % 0.00 % 0 0.00 0 0.0683 % 2,669.0
Perpetual-Discount 6.44 % 6.62 % 46,115 13.05 31 0.0683 % 2,910.4
FixedReset Disc 5.32 % 6.93 % 108,706 12.20 59 0.1517 % 2,483.1
Insurance Straight 6.33 % 6.46 % 51,523 13.29 22 -0.1338 % 2,842.6
FloatingReset 9.95 % 10.23 % 29,058 9.36 3 0.5098 % 2,607.7
FixedReset Prem 6.89 % 6.70 % 149,469 3.17 1 -0.0392 % 2,535.2
FixedReset Bank Non 0.00 % 0.00 % 0 0.00 0 0.1517 % 2,538.2
FixedReset Ins Non 5.39 % 7.18 % 75,133 12.60 14 0.2866 % 2,634.9
Performance Highlights
Issue Index Change Notes
IAF.PR.B Insurance Straight -8.67 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-03-27
Maturity Price : 20.01
Evaluated at bid price : 20.01
Bid-YTW : 5.78 %
PVS.PR.K SplitShare -1.11 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2029-05-31
Maturity Price : 25.00
Evaluated at bid price : 22.25
Bid-YTW : 7.12 %
GWO.PR.H Insurance Straight 1.07 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-03-27
Maturity Price : 18.90
Evaluated at bid price : 18.90
Bid-YTW : 6.46 %
BN.PR.B Floater 1.14 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-03-27
Maturity Price : 12.38
Evaluated at bid price : 12.38
Bid-YTW : 10.28 %
BN.PR.T FixedReset Disc 1.19 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-03-27
Maturity Price : 15.35
Evaluated at bid price : 15.35
Bid-YTW : 8.87 %
NA.PR.G FixedReset Disc 1.20 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-03-27
Maturity Price : 23.26
Evaluated at bid price : 25.21
Bid-YTW : 6.52 %
CM.PR.O FixedReset Disc 1.23 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-03-27
Maturity Price : 22.94
Evaluated at bid price : 23.81
Bid-YTW : 6.08 %
PWF.PR.E Perpetual-Discount 1.24 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-03-27
Maturity Price : 21.24
Evaluated at bid price : 21.24
Bid-YTW : 6.60 %
BIP.PR.B FixedReset Disc 2.16 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-03-27
Maturity Price : 22.78
Evaluated at bid price : 23.15
Bid-YTW : 8.43 %
PWF.PR.S Perpetual-Discount 2.49 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-03-27
Maturity Price : 18.50
Evaluated at bid price : 18.50
Bid-YTW : 6.62 %
RY.PR.O Perpetual-Discount 2.53 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-03-27
Maturity Price : 22.42
Evaluated at bid price : 22.70
Bid-YTW : 5.45 %
TD.PF.B FixedReset Disc 2.90 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-03-27
Maturity Price : 22.29
Evaluated at bid price : 23.05
Bid-YTW : 6.35 %
MFC.PR.I FixedReset Ins Non 3.09 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-03-27
Maturity Price : 22.19
Evaluated at bid price : 22.68
Bid-YTW : 7.01 %
BN.PF.F FixedReset Disc 3.83 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-03-27
Maturity Price : 19.00
Evaluated at bid price : 19.00
Bid-YTW : 8.44 %
SLF.PR.C Insurance Straight 5.53 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-03-27
Maturity Price : 18.70
Evaluated at bid price : 18.70
Bid-YTW : 5.99 %
Volume Highlights
Issue Index Shares
Traded		 Notes
RY.PR.Z FixedReset Disc 219,834 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-03-27
Maturity Price : 21.98
Evaluated at bid price : 22.52
Bid-YTW : 6.46 %
TD.PF.L FixedReset Disc 186,789 YTW SCENARIO
Maturity Type : Call
Maturity Date : 2024-04-30
Maturity Price : 25.00
Evaluated at bid price : 25.19
Bid-YTW : 5.46 %
CM.PR.T FixedReset Disc 182,408 YTW SCENARIO
Maturity Type : Call
Maturity Date : 2024-04-30
Maturity Price : 25.00
Evaluated at bid price : 24.88
Bid-YTW : 5.55 %
CM.PR.O FixedReset Disc 70,925 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-03-27
Maturity Price : 22.94
Evaluated at bid price : 23.81
Bid-YTW : 6.08 %
RY.PR.H FixedReset Disc 67,900 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-03-27
Maturity Price : 21.83
Evaluated at bid price : 22.30
Bid-YTW : 6.54 %
BMO.PR.E FixedReset Disc 63,290 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-03-27
Maturity Price : 23.13
Evaluated at bid price : 24.84
Bid-YTW : 6.46 %
There were 10 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: 19.91 – 21.55
Spot Rate : 1.6400
Average : 0.9626

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-03-27
Maturity Price : 19.91
Evaluated at bid price : 19.91
Bid-YTW : 7.26 %
IAF.PR.B Insurance Straight Quote: 20.01 – 22.50
Spot Rate : 2.4900
Average : 1.9685

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-03-27
Maturity Price : 20.01
Evaluated at bid price : 20.01
Bid-YTW : 5.78 %
PVS.PR.J SplitShare Quote: 23.06 – 24.06
Spot Rate : 1.0000
Average : 0.6245

YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2028-02-29
Maturity Price : 25.00
Evaluated at bid price : 23.06
Bid-YTW : 6.79 %
PVS.PR.H SplitShare Quote: 23.90 – 24.99
Spot Rate : 1.0900
Average : 0.8864

YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2027-02-28
Maturity Price : 25.00
Evaluated at bid price : 23.90
Bid-YTW : 6.51 %
POW.PR.D Perpetual-Discount Quote: 19.20 – 19.80
Spot Rate : 0.6000
Average : 0.4250

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-03-27
Maturity Price : 19.20
Evaluated at bid price : 19.20
Bid-YTW : 6.54 %
IFC.PR.I Insurance Straight Quote: 21.07 – 21.87
Spot Rate : 0.8000
Average : 0.6819

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-03-27
Maturity Price : 21.07
Evaluated at bid price : 21.07
Bid-YTW : 6.45 %

Posted in Market Action | 2 Comments »

March 26, 2024

Tuesday, March 26th, 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 -0.8907 % 2,337.5
FixedFloater 0.00 % 0.00 % 0 0.00 0 -0.8907 % 4,483.4
Floater 10.29 % 10.40 % 43,270 9.26 1 -0.8907 % 2,583.8
OpRet 0.00 % 0.00 % 0 0.00 0 0.0897 % 3,434.6
SplitShare 4.90 % 7.00 % 37,721 1.81 7 0.0897 % 4,101.6
Interest-Bearing 0.00 % 0.00 % 0 0.00 0 0.0897 % 3,200.3
Perpetual-Premium 0.00 % 0.00 % 0 0.00 0 -0.0016 % 2,667.1
Perpetual-Discount 6.44 % 6.64 % 46,456 12.95 31 -0.0016 % 2,908.4
FixedReset Disc 5.33 % 6.95 % 107,185 12.23 59 0.2053 % 2,479.3
Insurance Straight 6.32 % 6.47 % 49,492 13.28 22 0.2590 % 2,846.4
FloatingReset 10.00 % 10.27 % 30,241 9.31 3 -0.2449 % 2,594.5
FixedReset Prem 6.88 % 6.68 % 154,795 3.17 1 0.0784 % 2,536.2
FixedReset Bank Non 0.00 % 0.00 % 0 0.00 0 0.2053 % 2,534.4
FixedReset Ins Non 5.41 % 7.18 % 71,758 12.60 14 0.1361 % 2,627.4
Performance Highlights
Issue Index Change Notes
SLF.PR.C Insurance Straight -6.24 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-03-26
Maturity Price : 17.72
Evaluated at bid price : 17.72
Bid-YTW : 6.32 %
RY.PR.N Perpetual-Discount -3.08 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-03-26
Maturity Price : 21.72
Evaluated at bid price : 22.00
Bid-YTW : 5.62 %
RY.PR.O Perpetual-Discount -2.72 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-03-26
Maturity Price : 21.86
Evaluated at bid price : 22.14
Bid-YTW : 5.59 %
MFC.PR.I FixedReset Ins Non -2.65 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-03-26
Maturity Price : 21.72
Evaluated at bid price : 22.00
Bid-YTW : 7.23 %
BN.PF.F FixedReset Disc -2.50 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-03-26
Maturity Price : 18.30
Evaluated at bid price : 18.30
Bid-YTW : 8.76 %
SLF.PR.J FloatingReset -1.80 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-03-26
Maturity Price : 15.81
Evaluated at bid price : 15.81
Bid-YTW : 10.33 %
NA.PR.G FixedReset Disc -1.66 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-03-26
Maturity Price : 23.16
Evaluated at bid price : 24.91
Bid-YTW : 6.61 %
TD.PF.E FixedReset Disc -1.61 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-03-26
Maturity Price : 22.23
Evaluated at bid price : 22.58
Bid-YTW : 6.83 %
IFC.PR.I Insurance Straight -1.50 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-03-26
Maturity Price : 21.07
Evaluated at bid price : 21.07
Bid-YTW : 6.45 %
IFC.PR.K Insurance Straight 1.04 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-03-26
Maturity Price : 20.42
Evaluated at bid price : 20.42
Bid-YTW : 6.47 %
BIP.PR.B FixedReset Disc 1.07 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-03-26
Maturity Price : 22.32
Evaluated at bid price : 22.66
Bid-YTW : 8.61 %
SLF.PR.E Insurance Straight 1.07 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-03-26
Maturity Price : 18.85
Evaluated at bid price : 18.85
Bid-YTW : 6.01 %
FFH.PR.D FloatingReset 1.20 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-03-26
Maturity Price : 21.00
Evaluated at bid price : 21.00
Bid-YTW : 9.86 %
PWF.PR.P FixedReset Disc 1.39 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-03-26
Maturity Price : 14.60
Evaluated at bid price : 14.60
Bid-YTW : 8.22 %
PWF.PR.K Perpetual-Discount 1.49 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-03-26
Maturity Price : 19.03
Evaluated at bid price : 19.03
Bid-YTW : 6.63 %
MFC.PR.M FixedReset Ins Non 1.50 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-03-26
Maturity Price : 20.30
Evaluated at bid price : 20.30
Bid-YTW : 7.25 %
PWF.PR.L Perpetual-Discount 1.56 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-03-26
Maturity Price : 19.54
Evaluated at bid price : 19.54
Bid-YTW : 6.65 %
MFC.PR.N FixedReset Ins Non 1.78 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-03-26
Maturity Price : 20.05
Evaluated at bid price : 20.05
Bid-YTW : 7.21 %
MFC.PR.F FixedReset Ins Non 1.95 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-03-26
Maturity Price : 15.20
Evaluated at bid price : 15.20
Bid-YTW : 7.57 %
TD.PF.A FixedReset Disc 2.71 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-03-26
Maturity Price : 22.32
Evaluated at bid price : 23.12
Bid-YTW : 6.25 %
BMO.PR.W FixedReset Disc 8.03 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-03-26
Maturity Price : 23.12
Evaluated at bid price : 23.80
Bid-YTW : 6.03 %
IAF.PR.B Insurance Straight 9.50 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-03-26
Maturity Price : 21.66
Evaluated at bid price : 21.91
Bid-YTW : 5.26 %
Volume Highlights
Issue Index Shares
Traded		 Notes
TD.PF.L FixedReset Disc 211,079 YTW SCENARIO
Maturity Type : Call
Maturity Date : 2024-04-30
Maturity Price : 25.00
Evaluated at bid price : 25.19
Bid-YTW : 5.31 %
NA.PR.S FixedReset Disc 163,452 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-03-26
Maturity Price : 22.12
Evaluated at bid price : 22.74
Bid-YTW : 6.62 %
POW.PR.G Perpetual-Discount 113,153 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-03-26
Maturity Price : 21.46
Evaluated at bid price : 21.46
Bid-YTW : 6.68 %
NA.PR.W FixedReset Disc 112,527 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-03-26
Maturity Price : 20.82
Evaluated at bid price : 20.82
Bid-YTW : 6.95 %
BN.PF.E FixedReset Disc 87,900 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-03-26
Maturity Price : 16.56
Evaluated at bid price : 16.56
Bid-YTW : 9.03 %
CM.PR.T FixedReset Disc 82,700 YTW SCENARIO
Maturity Type : Call
Maturity Date : 2024-04-30
Maturity Price : 25.00
Evaluated at bid price : 25.19
Bid-YTW : 5.96 %
There were 17 other index-included issues trading in excess of 10,000 shares.
Wide Spread Highlights
Issue Index Quote Data and Yield Notes
PVS.PR.H SplitShare Quote: 23.80 – 24.99
Spot Rate : 1.1900
Average : 0.6631

YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2027-02-28
Maturity Price : 25.00
Evaluated at bid price : 23.80
Bid-YTW : 6.66 %
SLF.PR.C Insurance Straight Quote: 17.72 – 18.90
Spot Rate : 1.1800
Average : 0.7585

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-03-26
Maturity Price : 17.72
Evaluated at bid price : 17.72
Bid-YTW : 6.32 %
CU.PR.F Perpetual-Discount Quote: 17.40 – 18.64
Spot Rate : 1.2400
Average : 0.8551

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-03-26
Maturity Price : 17.40
Evaluated at bid price : 17.40
Bid-YTW : 6.55 %
CM.PR.Y FixedReset Disc Quote: 25.01 – 25.80
Spot Rate : 0.7900
Average : 0.4618

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-03-26
Maturity Price : 24.41
Evaluated at bid price : 25.01
Bid-YTW : 7.22 %
TD.PF.B FixedReset Disc Quote: 22.40 – 24.07
Spot Rate : 1.6700
Average : 1.3702

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-03-26
Maturity Price : 21.90
Evaluated at bid price : 22.40
Bid-YTW : 6.55 %
MFC.PR.I FixedReset Ins Non Quote: 22.00 – 22.75
Spot Rate : 0.7500
Average : 0.4662

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-03-26
Maturity Price : 21.72
Evaluated at bid price : 22.00
Bid-YTW : 7.23 %

Posted in Market Action | No Comments »

March 25, 2024

Monday, March 25th, 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 0.4065 % 2,358.5
FixedFloater 0.00 % 0.00 % 0 0.00 0 0.4065 % 4,523.7
Floater 10.20 % 10.30 % 43,445 9.34 1 0.4065 % 2,607.0
OpRet 0.00 % 0.00 % 0 0.00 0 -0.1255 % 3,431.5
SplitShare 4.91 % 7.06 % 37,187 1.81 7 -0.1255 % 4,098.0
Interest-Bearing 0.00 % 0.00 % 0 0.00 0 -0.1255 % 3,197.4
Perpetual-Premium 0.00 % 0.00 % 0 0.00 0 0.0521 % 2,667.2
Perpetual-Discount 6.44 % 6.66 % 47,179 12.93 31 0.0521 % 2,908.4
FixedReset Disc 5.34 % 6.97 % 105,666 12.21 59 -0.1224 % 2,474.2
Insurance Straight 6.33 % 6.51 % 49,843 13.23 22 -0.0185 % 2,839.0
FloatingReset 9.98 % 10.14 % 29,734 9.46 3 -0.3005 % 2,600.9
FixedReset Prem 6.89 % 6.70 % 160,368 3.17 1 0.3542 % 2,534.2
FixedReset Bank Non 0.00 % 0.00 % 0 0.00 0 -0.1224 % 2,529.2
FixedReset Ins Non 5.42 % 7.14 % 72,446 12.60 14 0.3100 % 2,623.8
Performance Highlights
Issue Index Change Notes
TD.PF.B FixedReset Disc -5.59 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-03-25
Maturity Price : 21.83
Evaluated at bid price : 22.30
Bid-YTW : 6.58 %
BMO.PR.W FixedReset Disc -4.55 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-03-25
Maturity Price : 21.64
Evaluated at bid price : 22.03
Bid-YTW : 6.54 %
BN.PF.J FixedReset Disc -2.78 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-03-25
Maturity Price : 20.66
Evaluated at bid price : 20.66
Bid-YTW : 7.98 %
TD.PF.A FixedReset Disc -2.76 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-03-25
Maturity Price : 21.96
Evaluated at bid price : 22.51
Bid-YTW : 6.43 %
PWF.PR.S Perpetual-Discount -1.80 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-03-25
Maturity Price : 18.05
Evaluated at bid price : 18.05
Bid-YTW : 6.78 %
PVS.PR.K SplitShare -1.63 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2029-05-31
Maturity Price : 25.00
Evaluated at bid price : 22.38
Bid-YTW : 6.98 %
GWO.PR.Y Insurance Straight -1.48 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-03-25
Maturity Price : 17.30
Evaluated at bid price : 17.30
Bid-YTW : 6.55 %
PWF.PR.L Perpetual-Discount -1.23 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-03-25
Maturity Price : 19.24
Evaluated at bid price : 19.24
Bid-YTW : 6.76 %
FFH.PR.D FloatingReset -1.19 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-03-25
Maturity Price : 20.75
Evaluated at bid price : 20.75
Bid-YTW : 9.98 %
CCS.PR.C Insurance Straight -1.05 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-03-25
Maturity Price : 18.90
Evaluated at bid price : 18.90
Bid-YTW : 6.66 %
TD.PF.D FixedReset Disc -1.00 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-03-25
Maturity Price : 22.29
Evaluated at bid price : 22.70
Bid-YTW : 6.77 %
MFC.PR.Q FixedReset Ins Non 1.01 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-03-25
Maturity Price : 21.72
Evaluated at bid price : 22.07
Bid-YTW : 6.91 %
CU.PR.I FixedReset Disc 1.13 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-03-25
Maturity Price : 21.88
Evaluated at bid price : 22.42
Bid-YTW : 7.80 %
GWO.PR.H Insurance Straight 1.46 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-03-25
Maturity Price : 18.77
Evaluated at bid price : 18.77
Bid-YTW : 6.50 %
IFC.PR.I Insurance Straight 1.62 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-03-25
Maturity Price : 21.39
Evaluated at bid price : 21.39
Bid-YTW : 6.35 %
BIP.PR.F FixedReset Disc 1.80 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-03-25
Maturity Price : 20.87
Evaluated at bid price : 20.87
Bid-YTW : 7.80 %
CU.PR.E Perpetual-Discount 1.98 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-03-25
Maturity Price : 19.05
Evaluated at bid price : 19.05
Bid-YTW : 6.51 %
POW.PR.D Perpetual-Discount 2.52 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-03-25
Maturity Price : 19.53
Evaluated at bid price : 19.53
Bid-YTW : 6.55 %
RY.PR.N Perpetual-Discount 3.18 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-03-25
Maturity Price : 22.42
Evaluated at bid price : 22.70
Bid-YTW : 5.45 %
Volume Highlights
Issue Index Shares
Traded		 Notes
TD.PF.L FixedReset Disc 375,000 YTW SCENARIO
Maturity Type : Call
Maturity Date : 2024-04-30
Maturity Price : 25.00
Evaluated at bid price : 25.19
Bid-YTW : 5.16 %
CM.PR.T FixedReset Disc 320,000 YTW SCENARIO
Maturity Type : Call
Maturity Date : 2024-04-30
Maturity Price : 25.00
Evaluated at bid price : 25.19
Bid-YTW : 5.79 %
RY.PR.Z FixedReset Disc 192,000 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-03-25
Maturity Price : 21.90
Evaluated at bid price : 22.40
Bid-YTW : 6.49 %
RY.PR.J FixedReset Disc 185,000 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-03-25
Maturity Price : 21.82
Evaluated at bid price : 22.31
Bid-YTW : 6.87 %
CM.PR.Q FixedReset Disc 110,000 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-03-25
Maturity Price : 22.61
Evaluated at bid price : 23.05
Bid-YTW : 6.61 %
BMO.PR.S FixedReset Disc 105,000 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-03-25
Maturity Price : 23.26
Evaluated at bid price : 24.35
Bid-YTW : 6.06 %
There were 11 other index-included issues trading in excess of 10,000 shares.
Wide Spread Highlights
Issue Index Quote Data and Yield Notes
CM.PR.P FixedReset Disc Quote: 21.80 – 24.80
Spot Rate : 3.0000
Average : 1.6902

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-03-25
Maturity Price : 21.47
Evaluated at bid price : 21.80
Bid-YTW : 6.59 %
MFC.PR.L FixedReset Ins Non Quote: 20.00 – 24.06
Spot Rate : 4.0600
Average : 3.2189

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-03-25
Maturity Price : 20.00
Evaluated at bid price : 20.00
Bid-YTW : 7.21 %
TD.PF.B FixedReset Disc Quote: 22.30 – 24.00
Spot Rate : 1.7000
Average : 1.0415

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-03-25
Maturity Price : 21.83
Evaluated at bid price : 22.30
Bid-YTW : 6.58 %
BMO.PR.W FixedReset Disc Quote: 22.03 – 23.45
Spot Rate : 1.4200
Average : 0.8510

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-03-25
Maturity Price : 21.64
Evaluated at bid price : 22.03
Bid-YTW : 6.54 %
TD.PF.A FixedReset Disc Quote: 22.51 – 23.73
Spot Rate : 1.2200
Average : 0.9677

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-03-25
Maturity Price : 21.96
Evaluated at bid price : 22.51
Bid-YTW : 6.43 %
IAF.PR.B Insurance Straight Quote: 20.01 – 22.52
Spot Rate : 2.5100
Average : 2.2812

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-03-25
Maturity Price : 20.01
Evaluated at bid price : 20.01
Bid-YTW : 5.78 %

Posted in Market Action | No Comments »

March 22, 2024

Friday, March 22nd, 2024

Some interesting remarks from BoC Deputy Governor Toni Gravelle:

Lately, though, we’ve all seen a lot of speculation about whether QT may need to end before we get to those levels. What’s driving that speculation is the upward pressure we saw in overnight repurchase agreement (repo) markets over an extended period, starting late in 2023 and continuing into the early part of this year. We don’t think the decline in settlement balances linked to our normalization process has been much of a factor behind that tightness in overnight markets. Nor do we see any signs of stress in the financial system that can be tied to those pressures.

Our assessment is that the surge in demand for repo funding in Canada came from growing market expectations that interest rates are going to fall.10 Late in 2023, market participants around the world became increasingly convinced that major central banks would pivot to aggressive policy rate cuts this year. Because of this conviction, many participants in Canada and elsewhere took leveraged long positions in government bonds to get ahead of the expected shift in policy.

The more policy rates fall, the more those bonds will be worth. And the promise of big gains led many to borrow in repo markets to fund the trades. Starting in December 2023, high demand for repo funding caused a wider-than-usual spread between our target overnight rate and the benchmark overnight interest rate, which is calculated from transacted overnight repo rates (Chart 3).

In addition to leveraged long positions, the “basis trade” that is common in the US Treasury market has recently become more popular in Canada.

This is an arbitrage strategy used to exploit gaps between prices for government bonds and the futures that are tied to them.11 The basis trade also boosted demand for repo funding, particularly from the growing presence of active hedge funds in Canadian fixed-income markets (Chart 4).

When the pressures in repo markets became evident earlier this year, we used our routine policy implementation operations to reinforce our policy rate. This is something we’ve done for decades, whenever it was needed.

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 % 2,349.0
FixedFloater 0.00 % 0.00 % 0 0.00 0 0.0000 % 4,505.3
Floater 10.24 % 10.33 % 42,352 9.32 1 0.0000 % 2,596.5
OpRet 0.00 % 0.00 % 0 0.00 0 0.0777 % 3,435.8
SplitShare 4.90 % 7.02 % 38,507 1.82 7 0.0777 % 4,103.1
Interest-Bearing 0.00 % 0.00 % 0 0.00 0 0.0777 % 3,201.4
Perpetual-Premium 0.00 % 0.00 % 0 0.00 0 -0.3859 % 2,665.8
Perpetual-Discount 6.45 % 6.64 % 47,651 12.95 31 -0.3859 % 2,906.9
FixedReset Disc 5.33 % 7.13 % 105,882 12.08 59 -0.0183 % 2,477.3
Insurance Straight 6.33 % 6.50 % 48,800 13.25 22 -0.1039 % 2,839.5
FloatingReset 9.91 % 10.14 % 30,735 9.47 3 0.0752 % 2,608.7
FixedReset Prem 6.91 % 6.80 % 161,046 3.18 1 0.0000 % 2,525.3
FixedReset Bank Non 0.00 % 0.00 % 0 0.00 0 -0.0183 % 2,532.3
FixedReset Ins Non 5.43 % 7.28 % 74,009 12.48 14 -0.0664 % 2,615.7
Performance Highlights
Issue Index Change Notes
BIP.PR.A FixedReset Disc -3.34 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-03-22
Maturity Price : 18.25
Evaluated at bid price : 18.25
Bid-YTW : 9.59 %
RY.PR.N Perpetual-Discount -2.44 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-03-22
Maturity Price : 21.72
Evaluated at bid price : 22.00
Bid-YTW : 5.62 %
POW.PR.D Perpetual-Discount -2.31 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-03-22
Maturity Price : 19.05
Evaluated at bid price : 19.05
Bid-YTW : 6.71 %
CU.PR.I FixedReset Disc -1.82 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-03-22
Maturity Price : 21.71
Evaluated at bid price : 22.17
Bid-YTW : 8.02 %
BN.PF.F FixedReset Disc -1.73 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-03-22
Maturity Price : 18.77
Evaluated at bid price : 18.77
Bid-YTW : 8.71 %
ELF.PR.H Perpetual-Discount -1.69 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-03-22
Maturity Price : 21.31
Evaluated at bid price : 21.58
Bid-YTW : 6.50 %
IFC.PR.A FixedReset Ins Non -1.60 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-03-22
Maturity Price : 18.49
Evaluated at bid price : 18.49
Bid-YTW : 7.17 %
CU.PR.E Perpetual-Discount -1.58 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-03-22
Maturity Price : 18.68
Evaluated at bid price : 18.68
Bid-YTW : 6.64 %
BIP.PR.F FixedReset Disc -1.54 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-03-22
Maturity Price : 20.50
Evaluated at bid price : 20.50
Bid-YTW : 8.06 %
BN.PF.I FixedReset Disc -1.46 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-03-22
Maturity Price : 20.25
Evaluated at bid price : 20.25
Bid-YTW : 8.77 %
GWO.PR.H Insurance Straight -1.44 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-03-22
Maturity Price : 18.50
Evaluated at bid price : 18.50
Bid-YTW : 6.59 %
IFC.PR.I Insurance Straight -1.41 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-03-22
Maturity Price : 21.05
Evaluated at bid price : 21.05
Bid-YTW : 6.45 %
GWO.PR.M Insurance Straight -1.32 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-03-22
Maturity Price : 22.22
Evaluated at bid price : 22.50
Bid-YTW : 6.47 %
PWF.PR.G Perpetual-Discount -1.19 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-03-22
Maturity Price : 22.11
Evaluated at bid price : 22.33
Bid-YTW : 6.72 %
PWF.PR.F Perpetual-Discount -1.14 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-03-22
Maturity Price : 19.97
Evaluated at bid price : 19.97
Bid-YTW : 6.70 %
PWF.PR.E Perpetual-Discount -1.13 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-03-22
Maturity Price : 20.91
Evaluated at bid price : 20.91
Bid-YTW : 6.70 %
NA.PR.S FixedReset Disc 1.21 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-03-22
Maturity Price : 22.03
Evaluated at bid price : 22.60
Bid-YTW : 6.82 %
GWO.PR.Y Insurance Straight 1.50 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-03-22
Maturity Price : 17.56
Evaluated at bid price : 17.56
Bid-YTW : 6.44 %
CM.PR.Q FixedReset Disc 1.83 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-03-22
Maturity Price : 22.43
Evaluated at bid price : 22.85
Bid-YTW : 6.80 %
BN.PR.Z FixedReset Disc 1.88 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-03-22
Maturity Price : 19.47
Evaluated at bid price : 19.47
Bid-YTW : 8.41 %
BMO.PR.W FixedReset Disc 1.90 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-03-22
Maturity Price : 22.29
Evaluated at bid price : 23.08
Bid-YTW : 6.36 %
BMO.PR.Y FixedReset Disc 2.13 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-03-22
Maturity Price : 22.59
Evaluated at bid price : 23.01
Bid-YTW : 6.69 %
Volume Highlights
Issue Index Shares
Traded		 Notes
FTS.PR.H FixedReset Disc 152,100 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-03-22
Maturity Price : 14.82
Evaluated at bid price : 14.82
Bid-YTW : 8.32 %
TD.PF.E FixedReset Disc 150,945 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-03-22
Maturity Price : 22.45
Evaluated at bid price : 22.83
Bid-YTW : 6.89 %
BMO.PR.Y FixedReset Disc 115,911 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-03-22
Maturity Price : 22.59
Evaluated at bid price : 23.01
Bid-YTW : 6.69 %
FTS.PR.M FixedReset Disc 102,640 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-03-22
Maturity Price : 18.85
Evaluated at bid price : 18.85
Bid-YTW : 8.17 %
NA.PR.S FixedReset Disc 95,654 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-03-22
Maturity Price : 22.03
Evaluated at bid price : 22.60
Bid-YTW : 6.82 %
SLF.PR.H FixedReset Ins Non 53,277 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-03-22
Maturity Price : 18.55
Evaluated at bid price : 18.55
Bid-YTW : 7.28 %
There were 24 other index-included issues trading in excess of 10,000 shares.
Wide Spread Highlights
Issue Index Quote Data and Yield Notes
MFC.PR.L FixedReset Ins Non Quote: 19.81 – 24.06
Spot Rate : 4.2500
Average : 2.2967

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-03-22
Maturity Price : 19.81
Evaluated at bid price : 19.81
Bid-YTW : 7.45 %
CU.PR.F Perpetual-Discount Quote: 17.46 – 18.64
Spot Rate : 1.1800
Average : 0.6885

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-03-22
Maturity Price : 17.46
Evaluated at bid price : 17.46
Bid-YTW : 6.52 %
IAF.PR.B Insurance Straight Quote: 20.01 – 22.50
Spot Rate : 2.4900
Average : 2.0304

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-03-22
Maturity Price : 20.01
Evaluated at bid price : 20.01
Bid-YTW : 5.78 %
BN.PF.F FixedReset Disc Quote: 18.77 – 20.00
Spot Rate : 1.2300
Average : 0.8175

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-03-22
Maturity Price : 18.77
Evaluated at bid price : 18.77
Bid-YTW : 8.71 %
BIP.PR.A FixedReset Disc Quote: 18.25 – 19.34
Spot Rate : 1.0900
Average : 0.6875

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-03-22
Maturity Price : 18.25
Evaluated at bid price : 18.25
Bid-YTW : 9.59 %
BIP.PR.F FixedReset Disc Quote: 20.50 – 21.40
Spot Rate : 0.9000
Average : 0.6454

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-03-22
Maturity Price : 20.50
Evaluated at bid price : 20.50
Bid-YTW : 8.06 %

Posted in Market Action | 1 Comment »

March 21, 2024

Thursday, March 21st, 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 1.0682 % 2,349.0
FixedFloater 0.00 % 0.00 % 0 0.00 0 1.0682 % 4,505.3
Floater 10.24 % 10.33 % 41,531 9.32 1 1.0682 % 2,596.5
OpRet 0.00 % 0.00 % 0 0.00 0 0.1018 % 3,433.2
SplitShare 4.90 % 7.04 % 38,743 1.83 7 0.1018 % 4,099.9
Interest-Bearing 0.00 % 0.00 % 0 0.00 0 0.1018 % 3,198.9
Perpetual-Premium 0.00 % 0.00 % 0 0.00 0 0.4938 % 2,676.1
Perpetual-Discount 6.42 % 6.62 % 45,978 12.99 31 0.4938 % 2,918.2
FixedReset Disc 5.33 % 7.16 % 105,368 12.08 59 0.8843 % 2,477.7
Insurance Straight 6.33 % 6.50 % 50,377 13.25 22 0.0832 % 2,842.5
FloatingReset 9.91 % 10.14 % 31,934 9.47 3 0.4531 % 2,606.8
FixedReset Prem 6.91 % 6.79 % 160,829 3.18 1 0.1972 % 2,525.3
FixedReset Bank Non 0.00 % 0.00 % 0 0.00 0 0.8843 % 2,532.7
FixedReset Ins Non 5.43 % 7.32 % 73,477 12.48 14 0.0480 % 2,617.4
Performance Highlights
Issue Index Change Notes
IAF.PR.B Insurance Straight -8.42 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-03-21
Maturity Price : 20.01
Evaluated at bid price : 20.01
Bid-YTW : 5.78 %
BN.PR.Z FixedReset Disc -2.75 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-03-21
Maturity Price : 19.11
Evaluated at bid price : 19.11
Bid-YTW : 8.56 %
GWO.PR.Y Insurance Straight -2.26 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-03-21
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 : 2054-03-21
Maturity Price : 18.45
Evaluated at bid price : 18.45
Bid-YTW : 7.32 %
CM.PR.T FixedReset Disc 1.00 % YTW SCENARIO
Maturity Type : Call
Maturity Date : 2024-04-30
Maturity Price : 25.00
Evaluated at bid price : 25.18
Bid-YTW : 5.58 %
BMO.PR.Y FixedReset Disc 1.03 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-03-21
Maturity Price : 21.95
Evaluated at bid price : 22.53
Bid-YTW : 6.82 %
FFH.PR.K FixedReset Disc 1.05 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-03-21
Maturity Price : 20.21
Evaluated at bid price : 20.21
Bid-YTW : 8.38 %
FFH.PR.D FloatingReset 1.06 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-03-21
Maturity Price : 21.00
Evaluated at bid price : 21.00
Bid-YTW : 9.81 %
BN.PR.B Floater 1.07 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-03-21
Maturity Price : 12.30
Evaluated at bid price : 12.30
Bid-YTW : 10.33 %
PWF.PR.S Perpetual-Discount 1.09 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-03-21
Maturity Price : 18.50
Evaluated at bid price : 18.50
Bid-YTW : 6.61 %
PWF.PR.F Perpetual-Discount 1.10 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-03-21
Maturity Price : 20.20
Evaluated at bid price : 20.20
Bid-YTW : 6.62 %
BN.PR.N Perpetual-Discount 1.13 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-03-21
Maturity Price : 17.85
Evaluated at bid price : 17.85
Bid-YTW : 6.69 %
RY.PR.J FixedReset Disc 1.17 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-03-21
Maturity Price : 21.94
Evaluated at bid price : 22.50
Bid-YTW : 6.94 %
BMO.PR.S FixedReset Disc 1.21 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-03-21
Maturity Price : 23.28
Evaluated at bid price : 24.35
Bid-YTW : 6.21 %
MFC.PR.K FixedReset Ins Non 1.27 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-03-21
Maturity Price : 21.91
Evaluated at bid price : 22.36
Bid-YTW : 6.79 %
CCS.PR.C Insurance Straight 1.33 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-03-21
Maturity Price : 19.00
Evaluated at bid price : 19.00
Bid-YTW : 6.62 %
BN.PR.M Perpetual-Discount 1.46 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-03-21
Maturity Price : 18.09
Evaluated at bid price : 18.09
Bid-YTW : 6.60 %
RY.PR.Z FixedReset Disc 1.47 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-03-21
Maturity Price : 21.70
Evaluated at bid price : 22.10
Bid-YTW : 6.75 %
RY.PR.H FixedReset Disc 1.48 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-03-21
Maturity Price : 21.57
Evaluated at bid price : 21.92
Bid-YTW : 6.81 %
RY.PR.S FixedReset Disc 1.52 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-03-21
Maturity Price : 22.47
Evaluated at bid price : 23.35
Bid-YTW : 6.48 %
CM.PR.O FixedReset Disc 1.55 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-03-21
Maturity Price : 22.82
Evaluated at bid price : 23.66
Bid-YTW : 6.33 %
BMO.PR.W FixedReset Disc 1.57 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-03-21
Maturity Price : 22.04
Evaluated at bid price : 22.65
Bid-YTW : 6.49 %
RY.PR.M FixedReset Disc 1.62 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-03-21
Maturity Price : 21.57
Evaluated at bid price : 21.96
Bid-YTW : 6.84 %
TD.PF.D FixedReset Disc 1.74 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-03-21
Maturity Price : 22.40
Evaluated at bid price : 22.82
Bid-YTW : 6.87 %
TD.PF.A FixedReset Disc 1.88 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-03-21
Maturity Price : 22.63
Evaluated at bid price : 23.29
Bid-YTW : 6.35 %
BN.PR.X FixedReset Disc 1.95 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-03-21
Maturity Price : 15.70
Evaluated at bid price : 15.70
Bid-YTW : 8.47 %
CM.PR.Q FixedReset Disc 1.95 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-03-21
Maturity Price : 21.90
Evaluated at bid price : 22.44
Bid-YTW : 6.91 %
NA.PR.W FixedReset Disc 1.98 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-03-21
Maturity Price : 20.65
Evaluated at bid price : 20.65
Bid-YTW : 7.16 %
TD.PF.E FixedReset Disc 2.22 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-03-21
Maturity Price : 22.63
Evaluated at bid price : 23.02
Bid-YTW : 6.83 %
IFC.PR.I Insurance Straight 2.35 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-03-21
Maturity Price : 21.35
Evaluated at bid price : 21.35
Bid-YTW : 6.36 %
RY.PR.N Perpetual-Discount 2.50 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-03-21
Maturity Price : 22.25
Evaluated at bid price : 22.55
Bid-YTW : 5.48 %
CM.PR.P FixedReset Disc 2.54 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-03-21
Maturity Price : 21.49
Evaluated at bid price : 21.83
Bid-YTW : 6.73 %
TD.PF.C FixedReset Disc 2.72 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-03-21
Maturity Price : 21.80
Evaluated at bid price : 22.27
Bid-YTW : 6.64 %
BN.PF.I FixedReset Disc 2.75 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-03-21
Maturity Price : 20.55
Evaluated at bid price : 20.55
Bid-YTW : 8.65 %
BMO.PR.T FixedReset Disc 3.13 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-03-21
Maturity Price : 22.45
Evaluated at bid price : 23.36
Bid-YTW : 6.34 %
GWO.PR.G Insurance Straight 3.29 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-03-21
Maturity Price : 20.09
Evaluated at bid price : 20.09
Bid-YTW : 6.51 %
BIP.PR.A FixedReset Disc 3.45 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-03-21
Maturity Price : 18.88
Evaluated at bid price : 18.88
Bid-YTW : 9.27 %
SLF.PR.C Insurance Straight 5.70 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-03-21
Maturity Price : 18.73
Evaluated at bid price : 18.73
Bid-YTW : 5.97 %
Volume Highlights
Issue Index Shares
Traded		 Notes
CM.PR.T FixedReset Disc 387,654 YTW SCENARIO
Maturity Type : Call
Maturity Date : 2024-04-30
Maturity Price : 25.00
Evaluated at bid price : 25.18
Bid-YTW : 5.58 %
TD.PF.L FixedReset Disc 337,330 YTW SCENARIO
Maturity Type : Call
Maturity Date : 2024-04-30
Maturity Price : 25.00
Evaluated at bid price : 25.18
Bid-YTW : 5.01 %
BMO.PR.S FixedReset Disc 167,014 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-03-21
Maturity Price : 23.28
Evaluated at bid price : 24.35
Bid-YTW : 6.21 %
TD.PF.E FixedReset Disc 126,590 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-03-21
Maturity Price : 22.63
Evaluated at bid price : 23.02
Bid-YTW : 6.83 %
RY.PR.H FixedReset Disc 126,057 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-03-21
Maturity Price : 21.57
Evaluated at bid price : 21.92
Bid-YTW : 6.81 %
CM.PR.O FixedReset Disc 79,828 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-03-21
Maturity Price : 22.82
Evaluated at bid price : 23.66
Bid-YTW : 6.33 %
There were 15 other index-included issues trading in excess of 10,000 shares.
Wide Spread Highlights
Issue Index Quote Data and Yield Notes
IAF.PR.B Insurance Straight Quote: 20.01 – 22.52
Spot Rate : 2.5100
Average : 1.5264

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-03-21
Maturity Price : 20.01
Evaluated at bid price : 20.01
Bid-YTW : 5.78 %
NA.PR.W FixedReset Disc Quote: 20.65 – 21.67
Spot Rate : 1.0200
Average : 0.6079

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-03-21
Maturity Price : 20.65
Evaluated at bid price : 20.65
Bid-YTW : 7.16 %
POW.PR.G Perpetual-Discount Quote: 21.47 – 22.00
Spot Rate : 0.5300
Average : 0.3106

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-03-21
Maturity Price : 21.47
Evaluated at bid price : 21.47
Bid-YTW : 6.67 %
GWO.PR.Y Insurance Straight Quote: 17.30 – 18.10
Spot Rate : 0.8000
Average : 0.5953

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-03-21
Maturity Price : 17.30
Evaluated at bid price : 17.30
Bid-YTW : 6.54 %
BN.PR.Z FixedReset Disc Quote: 19.11 – 19.85
Spot Rate : 0.7400
Average : 0.5753

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-03-21
Maturity Price : 19.11
Evaluated at bid price : 19.11
Bid-YTW : 8.56 %
TD.PF.A FixedReset Disc Quote: 23.29 – 23.98
Spot Rate : 0.6900
Average : 0.5389

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-03-21
Maturity Price : 22.63
Evaluated at bid price : 23.29
Bid-YTW : 6.35 %

Posted in Market Action | No Comments »

March 20, 2024

Wednesday, March 20th, 2024

No surprises from the Fed:

Recent indicators suggest that economic activity has been expanding at a solid pace. Job gains have remained strong, and the unemployment rate has remained low. Inflation has eased over the past year but remains elevated.

The Committee seeks to achieve maximum employment and inflation at the rate of 2 percent over the longer run. The Committee judges that the risks to achieving its employment and inflation goals are moving into better balance. The economic outlook is uncertain, and the Committee remains highly attentive to inflation risks.

In support of its goals, the Committee decided to maintain the target range for the federal funds rate at 5-1/4 to 5-1/2 percent. In considering any adjustments to the target range for the federal funds rate, the Committee will carefully assess incoming data, the evolving outlook, and the balance of risks. The Committee does not expect it will be appropriate to reduce the target range until it has gained greater confidence that inflation is moving sustainably toward 2 percent. In addition, the Committee will continue reducing its holdings of Treasury securities and agency debt and agency mortgage-backed securities, as described in its previously announced plans. The Committee is strongly committed to returning inflation to its 2 percent objective.

In assessing the appropriate stance of monetary policy, the Committee will continue to monitor the implications of incoming information for the economic outlook. The Committee would be prepared to adjust the stance of monetary policy as appropriate if risks emerge that could impede the attainment of the Committee’s goals. The Committee’s assessments will take into account a wide range of information, including readings on labor market conditions, inflation pressures and inflation expectations, and financial and international developments.

Voting for the monetary policy action were Jerome H. Powell, Chair; John C. Williams, Vice Chair; Thomas I. Barkin; Michael S. Barr; Raphael W. Bostic; Michelle W. Bowman; Lisa D. Cook; Mary C. Daly; Philip N. Jefferson; Adriana D. Kugler; Loretta J. Mester; and Christopher J. Waller.

But there was much excitement about projections:

Fed officials also released a fresh set of economic projections Wednesday. They show that central bank officials now expect fewer rate cuts in the coming years than they estimated in December. A majority of Fed policymakers continue to expect three rate cuts this year, but they now see fewer in 2025 and 2026. They expect interest rates in the longer run to be slightly higher than they projected in December.

Which, claim some pundits, was considered to be good news:

Stocks added to gains after Fed Chair Jerome Powell said in a press conference that despite recent inflation data coming in hotter than expected, the numbers “haven’t really changed the overall story, which is that of inflation moving down gradually, on a somewhat bumpy road.”

Strategists said Wall Street was reassured by Powell’s comments on inflation and the labor market and his signal that the Fed will slow the pace of its drawdown of bond holdings.
…
The Dow Jones Industrial Average rose 401.37 points, or 1.03%, to 39,512.13, the S&P 500 gained 46.11 points, or 0.89%, to 5,224.62 and the Nasdaq Composite gained 202.62 points, or 1.25%, to 16,369.41.

The Toronto Stock Exchange’s S&P/TSX composite index ended up 185.13 points, or 0.9%, at 22,045.71, stopping just short of the record closing high it posted in March 2022 at 22,087.22.

The Fed’s dotplot suggests that many of those who have expectations of the GOC-5 being below 2% in the immediate future are going to be disappointed.

PerpetualDiscounts now yield 6.66%, equivalent to 8.66% interest at the standard equivalency factor of 1.3x. Long corporates yielded 5.12% on 2024-3-15 and since then the closing price of ZLC has changed from 14.95 to 14.99, an increase of 27bp in price, implying a decline of yields of 2bp (BMO reports a duration of 12.38, but don’t disclose whether this is Macaulay or Modified; I will assume Modified) to 5.10%. Therefore, the pre-tax interest-equivalent spread (in this context, the “Seniority Spread”) has narrowed to 355bp from the 365bp reported March 13.

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 -0.6531 % 2,324.2
FixedFloater 0.00 % 0.00 % 0 0.00 0 -0.6531 % 4,457.7
Floater 10.35 % 10.44 % 40,741 9.25 1 -0.6531 % 2,569.0
OpRet 0.00 % 0.00 % 0 0.00 0 0.1379 % 3,429.7
SplitShare 4.91 % 7.05 % 40,272 1.83 7 0.1379 % 4,095.7
Interest-Bearing 0.00 % 0.00 % 0 0.00 0 0.1379 % 3,195.7
Perpetual-Premium 0.00 % 0.00 % 0 0.00 0 0.0946 % 2,663.0
Perpetual-Discount 6.45 % 6.66 % 46,310 12.91 31 0.0946 % 2,903.8
FixedReset Disc 5.38 % 7.30 % 106,679 12.06 59 0.2645 % 2,456.0
Insurance Straight 6.33 % 6.49 % 50,895 13.27 22 -0.1016 % 2,840.1
FloatingReset 9.96 % 10.16 % 32,314 9.45 3 0.1134 % 2,595.0
FixedReset Prem 6.93 % 6.85 % 160,876 3.18 1 0.0000 % 2,520.3
FixedReset Bank Non 0.00 % 0.00 % 0 0.00 0 0.2645 % 2,510.5
FixedReset Ins Non 5.43 % 7.19 % 73,726 12.49 14 1.0627 % 2,616.2
Performance Highlights
Issue Index Change Notes
SLF.PR.C Insurance Straight -3.70 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-03-20
Maturity Price : 17.72
Evaluated at bid price : 17.72
Bid-YTW : 6.31 %
GWO.PR.G Insurance Straight -2.75 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-03-20
Maturity Price : 19.45
Evaluated at bid price : 19.45
Bid-YTW : 6.72 %
BIP.PR.A FixedReset Disc -2.72 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-03-20
Maturity Price : 18.25
Evaluated at bid price : 18.25
Bid-YTW : 9.58 %
RY.PR.N Perpetual-Discount -2.65 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-03-20
Maturity Price : 21.72
Evaluated at bid price : 22.00
Bid-YTW : 5.62 %
PWF.PR.P FixedReset Disc -1.03 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-03-20
Maturity Price : 14.40
Evaluated at bid price : 14.40
Bid-YTW : 8.52 %
PWF.PR.G Perpetual-Discount 1.07 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-03-20
Maturity Price : 22.33
Evaluated at bid price : 22.60
Bid-YTW : 6.63 %
POW.PR.C Perpetual-Discount 1.11 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-03-20
Maturity Price : 22.49
Evaluated at bid price : 22.75
Bid-YTW : 6.50 %
BN.PR.X FixedReset Disc 1.12 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-03-20
Maturity Price : 15.40
Evaluated at bid price : 15.40
Bid-YTW : 8.63 %
FTS.PR.G FixedReset Disc 1.15 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-03-20
Maturity Price : 21.10
Evaluated at bid price : 21.10
Bid-YTW : 7.09 %
FTS.PR.H FixedReset Disc 1.23 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-03-20
Maturity Price : 14.84
Evaluated at bid price : 14.84
Bid-YTW : 8.30 %
IFC.PR.E Insurance Straight 1.24 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-03-20
Maturity Price : 20.35
Evaluated at bid price : 20.35
Bid-YTW : 6.42 %
FTS.PR.F Perpetual-Discount 1.28 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-03-20
Maturity Price : 19.85
Evaluated at bid price : 19.85
Bid-YTW : 6.24 %
MFC.PR.F FixedReset Ins Non 1.28 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-03-20
Maturity Price : 15.01
Evaluated at bid price : 15.01
Bid-YTW : 7.84 %
CM.PR.O FixedReset Disc 1.30 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-03-20
Maturity Price : 22.42
Evaluated at bid price : 23.30
Bid-YTW : 6.43 %
CU.PR.I FixedReset Disc 1.35 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-03-20
Maturity Price : 22.17
Evaluated at bid price : 22.50
Bid-YTW : 7.91 %
NA.PR.S FixedReset Disc 1.36 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-03-20
Maturity Price : 21.87
Evaluated at bid price : 22.35
Bid-YTW : 6.90 %
BMO.PR.W FixedReset Disc 1.36 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-03-20
Maturity Price : 21.82
Evaluated at bid price : 22.30
Bid-YTW : 6.60 %
MFC.PR.J FixedReset Ins Non 1.57 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-03-20
Maturity Price : 22.16
Evaluated at bid price : 22.70
Bid-YTW : 6.93 %
BN.PF.I FixedReset Disc 1.73 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-03-20
Maturity Price : 20.00
Evaluated at bid price : 20.00
Bid-YTW : 8.87 %
FFH.PR.G FixedReset Disc 1.78 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-03-20
Maturity Price : 17.20
Evaluated at bid price : 17.20
Bid-YTW : 8.62 %
SLF.PR.H FixedReset Ins Non 1.90 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-03-20
Maturity Price : 18.80
Evaluated at bid price : 18.80
Bid-YTW : 7.19 %
GWO.PR.N FixedReset Ins Non 2.06 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-03-20
Maturity Price : 13.84
Evaluated at bid price : 13.84
Bid-YTW : 8.33 %
BN.PR.Z FixedReset Disc 2.83 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-03-20
Maturity Price : 19.65
Evaluated at bid price : 19.65
Bid-YTW : 8.33 %
IFC.PR.A FixedReset Ins Non 6.88 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-03-20
Maturity Price : 18.80
Evaluated at bid price : 18.80
Bid-YTW : 7.05 %
Volume Highlights
Issue Index Shares
Traded		 Notes
RY.PR.H FixedReset Disc 170,097 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-03-20
Maturity Price : 21.60
Evaluated at bid price : 21.60
Bid-YTW : 6.93 %
CM.PR.O FixedReset Disc 65,263 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-03-20
Maturity Price : 22.42
Evaluated at bid price : 23.30
Bid-YTW : 6.43 %
TD.PF.L FixedReset Disc 61,800 YTW SCENARIO
Maturity Type : Call
Maturity Date : 2024-04-30
Maturity Price : 25.00
Evaluated at bid price : 25.17
Bid-YTW : 5.25 %
SLF.PR.G FixedReset Ins Non 60,700 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-03-20
Maturity Price : 15.00
Evaluated at bid price : 15.00
Bid-YTW : 8.09 %
MFC.PR.F FixedReset Ins Non 56,000 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-03-20
Maturity Price : 15.01
Evaluated at bid price : 15.01
Bid-YTW : 7.84 %
SLF.PR.J FloatingReset 50,800 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-03-20
Maturity Price : 15.97
Evaluated at bid price : 15.97
Bid-YTW : 10.16 %
There were 18 other index-included issues trading in excess of 10,000 shares.
Wide Spread Highlights
Issue Index Quote Data and Yield Notes
BN.PF.G FixedReset Disc Quote: 17.05 – 17.95
Spot Rate : 0.9000
Average : 0.5720

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-03-20
Maturity Price : 17.05
Evaluated at bid price : 17.05
Bid-YTW : 9.20 %
BN.PF.F FixedReset Disc Quote: 19.00 – 20.00
Spot Rate : 1.0000
Average : 0.6779

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-03-20
Maturity Price : 19.00
Evaluated at bid price : 19.00
Bid-YTW : 8.60 %
CU.PR.E Perpetual-Discount Quote: 18.96 – 19.78
Spot Rate : 0.8200
Average : 0.5162

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-03-20
Maturity Price : 18.96
Evaluated at bid price : 18.96
Bid-YTW : 6.54 %
GWO.PR.G Insurance Straight Quote: 19.45 – 20.21
Spot Rate : 0.7600
Average : 0.4806

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-03-20
Maturity Price : 19.45
Evaluated at bid price : 19.45
Bid-YTW : 6.72 %
BIP.PR.A FixedReset Disc Quote: 18.25 – 18.95
Spot Rate : 0.7000
Average : 0.4394

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-03-20
Maturity Price : 18.25
Evaluated at bid price : 18.25
Bid-YTW : 9.58 %
SLF.PR.C Insurance Straight Quote: 17.72 – 19.10
Spot Rate : 1.3800
Average : 1.1422

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-03-20
Maturity Price : 17.72
Evaluated at bid price : 17.72
Bid-YTW : 6.31 %

Posted in Market Action | 1 Comment »

March 19, 2024

Tuesday, March 19th, 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 1.6598 % 2,339.4
FixedFloater 0.00 % 0.00 % 0 0.00 0 1.6598 % 4,487.0
Floater 10.29 % 10.37 % 39,708 9.30 1 1.6598 % 2,585.9
OpRet 0.00 % 0.00 % 0 0.00 0 0.2223 % 3,424.9
SplitShare 4.92 % 7.07 % 39,991 1.83 7 0.2223 % 4,090.1
Interest-Bearing 0.00 % 0.00 % 0 0.00 0 0.2223 % 3,191.3
Perpetual-Premium 0.00 % 0.00 % 0 0.00 0 0.1945 % 2,660.5
Perpetual-Discount 6.46 % 6.67 % 48,116 12.91 31 0.1945 % 2,901.1
FixedReset Disc 5.39 % 7.30 % 99,119 12.07 59 0.2466 % 2,449.5
Insurance Straight 6.32 % 6.49 % 50,772 13.27 22 0.2895 % 2,843.0
FloatingReset 9.97 % 10.16 % 29,910 9.45 3 0.6276 % 2,592.1
FixedReset Prem 6.93 % 6.84 % 163,123 3.18 1 0.0000 % 2,520.3
FixedReset Bank Non 0.00 % 0.00 % 0 0.00 0 0.2466 % 2,503.9
FixedReset Ins Non 5.49 % 7.48 % 68,766 12.42 14 -0.3493 % 2,588.7
Performance Highlights
Issue Index Change Notes
IFC.PR.A FixedReset Ins Non -6.09 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-03-19
Maturity Price : 17.59
Evaluated at bid price : 17.59
Bid-YTW : 7.53 %
FTS.PR.F Perpetual-Discount -1.26 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-03-19
Maturity Price : 19.60
Evaluated at bid price : 19.60
Bid-YTW : 6.32 %
GWO.PR.N FixedReset Ins Non -1.02 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-03-19
Maturity Price : 13.56
Evaluated at bid price : 13.56
Bid-YTW : 8.49 %
BIP.PR.F FixedReset Disc 1.02 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-03-19
Maturity Price : 20.82
Evaluated at bid price : 20.82
Bid-YTW : 7.93 %
MFC.PR.M FixedReset Ins Non 1.02 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-03-19
Maturity Price : 19.80
Evaluated at bid price : 19.80
Bid-YTW : 7.59 %
FTS.PR.H FixedReset Disc 1.03 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-03-19
Maturity Price : 14.66
Evaluated at bid price : 14.66
Bid-YTW : 8.40 %
PWF.PR.P FixedReset Disc 1.04 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-03-19
Maturity Price : 14.55
Evaluated at bid price : 14.55
Bid-YTW : 8.44 %
FTS.PR.I FloatingReset 1.19 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-03-19
Maturity Price : 16.22
Evaluated at bid price : 16.22
Bid-YTW : 10.16 %
BMO.PR.W FixedReset Disc 1.38 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-03-19
Maturity Price : 21.62
Evaluated at bid price : 22.00
Bid-YTW : 6.70 %
GWO.PR.Y Insurance Straight 1.45 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-03-19
Maturity Price : 17.55
Evaluated at bid price : 17.55
Bid-YTW : 6.44 %
BMO.PR.Y FixedReset Disc 1.61 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-03-19
Maturity Price : 21.67
Evaluated at bid price : 22.10
Bid-YTW : 6.96 %
NA.PR.G FixedReset Disc 1.65 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-03-19
Maturity Price : 23.26
Evaluated at bid price : 25.21
Bid-YTW : 6.61 %
BN.PR.B Floater 1.66 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-03-19
Maturity Price : 12.25
Evaluated at bid price : 12.25
Bid-YTW : 10.37 %
BN.PF.J FixedReset Disc 1.67 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-03-19
Maturity Price : 21.25
Evaluated at bid price : 21.25
Bid-YTW : 7.87 %
BMO.PR.T FixedReset Disc 2.03 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-03-19
Maturity Price : 22.05
Evaluated at bid price : 22.65
Bid-YTW : 6.55 %
SLF.PR.C Insurance Straight 3.84 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-03-19
Maturity Price : 18.40
Evaluated at bid price : 18.40
Bid-YTW : 6.08 %
Volume Highlights
Issue Index Shares
Traded		 Notes
TD.PF.L FixedReset Disc 193,130 YTW SCENARIO
Maturity Type : Call
Maturity Date : 2024-04-30
Maturity Price : 25.00
Evaluated at bid price : 25.17
Bid-YTW : 5.12 %
CM.PR.O FixedReset Disc 117,500 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-03-19
Maturity Price : 22.26
Evaluated at bid price : 23.00
Bid-YTW : 6.52 %
CM.PR.T FixedReset Disc 91,368 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-03-19
Maturity Price : 23.92
Evaluated at bid price : 24.93
Bid-YTW : 7.08 %
TD.PF.B FixedReset Disc 70,400 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-03-19
Maturity Price : 22.53
Evaluated at bid price : 23.51
Bid-YTW : 6.35 %
RY.PR.M FixedReset Disc 56,900 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-03-19
Maturity Price : 21.31
Evaluated at bid price : 21.60
Bid-YTW : 6.96 %
SLF.PR.H FixedReset Ins Non 50,000 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-03-19
Maturity Price : 18.45
Evaluated at bid price : 18.45
Bid-YTW : 7.32 %
There were 12 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: 22.10 – 25.08
Spot Rate : 2.9800
Average : 2.4412

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-03-19
Maturity Price : 21.67
Evaluated at bid price : 22.10
Bid-YTW : 6.96 %
IFC.PR.A FixedReset Ins Non Quote: 17.59 – 18.85
Spot Rate : 1.2600
Average : 0.7994

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-03-19
Maturity Price : 17.59
Evaluated at bid price : 17.59
Bid-YTW : 7.53 %
BN.PR.X FixedReset Disc Quote: 15.23 – 16.15
Spot Rate : 0.9200
Average : 0.7349

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-03-19
Maturity Price : 15.23
Evaluated at bid price : 15.23
Bid-YTW : 8.72 %
POW.PR.B Perpetual-Discount Quote: 20.55 – 21.00
Spot Rate : 0.4500
Average : 0.2740

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-03-19
Maturity Price : 20.55
Evaluated at bid price : 20.55
Bid-YTW : 6.65 %
FFH.PR.G FixedReset Disc Quote: 16.90 – 17.40
Spot Rate : 0.5000
Average : 0.3296

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-03-19
Maturity Price : 16.90
Evaluated at bid price : 16.90
Bid-YTW : 8.77 %
BN.PF.I FixedReset Disc Quote: 19.66 – 20.45
Spot Rate : 0.7900
Average : 0.6243

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-03-19
Maturity Price : 19.66
Evaluated at bid price : 19.66
Bid-YTW : 9.02 %

Posted in Market Action | No Comments »

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 %

Posted in Market Action | No Comments »

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 %

Posted in Market Action | No Comments »

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 %

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