June 12, 2024

June 12th, 2024

So, US inflation was announced today:

Overall inflation cooled: The Consumer Price Index for May was up 3.3 percent from a year earlier, lower than the 3.4 percent economists had forecast and down from the April reading. And if you compared May prices just to the previous month, they did not climb at all.

“Core” inflation also slowed: A closely watched measure that strips out volatile food and fuel prices to give a sense of the underlying trend climbed 3.4 percent from a year earlier, down from 3.6 percent the previous month and slower than economists had forecast. That was the slowest pace of increase since April 2021.

One piece of bad news in a mostly good-news report: The cost of shelter continued to rise fairly quickly, particularly for homeowners. That has been one of the most stubborn categories of inflation, which is unfortunate because it is also the single largest component of the Consumer Price Index.

As investors dial down expectations for interest rates, the two-year Treasury yield has fallen 0.15 percentage points, on course for its biggest move lower this year.

But the FOMC was wary:

Recent indicators suggest that economic activity has continued to expand 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. In recent months, there has been modest further progress toward the Committee’s 2 percent inflation objective.

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 have moved toward better balance over the past year. 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. 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.

Five year Canadas closed at 3.43%, down a fair bit.

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 0.4274 % 2,243.9
FixedFloater 0.00 % 0.00 % 0 0.00 0 0.4274 % 4,303.9
Floater 10.35 % 10.72 % 59,253 8.87 1 0.4274 % 2,480.3
OpRet 0.00 % 0.00 % 0 0.00 0 -0.4383 % 3,449.1
SplitShare 4.88 % 6.65 % 30,353 1.63 7 -0.4383 % 4,118.9
Interest-Bearing 0.00 % 0.00 % 0 0.00 0 -0.4383 % 3,213.7
Perpetual-Premium 0.00 % 0.00 % 0 0.00 0 -0.0695 % 2,686.2
Perpetual-Discount 6.41 % 6.58 % 54,611 13.02 28 -0.0695 % 2,929.1
FixedReset Disc 5.28 % 7.44 % 115,813 12.19 49 -0.7125 % 2,531.2
Insurance Straight 6.30 % 6.41 % 57,896 13.36 20 0.4570 % 2,881.2
FloatingReset 9.31 % 9.27 % 33,700 10.05 3 -0.0873 % 2,728.2
FixedReset Prem 6.37 % 6.80 % 215,596 12.25 7 0.2047 % 2,523.8
FixedReset Bank Non 0.00 % 0.00 % 0 0.00 0 -0.7125 % 2,587.4
FixedReset Ins Non 5.37 % 7.23 % 105,136 12.71 14 -0.7093 % 2,648.5
Performance Highlights
Issue Index Change Notes
TD.PF.E FixedReset Disc -6.71 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-06-12
Maturity Price : 21.00
Evaluated at bid price : 21.00
Bid-YTW : 7.35 %
CM.PR.P FixedReset Disc -5.87 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-06-12
Maturity Price : 21.36
Evaluated at bid price : 21.65
Bid-YTW : 6.68 %
TD.PF.J FixedReset Disc -4.96 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-06-12
Maturity Price : 22.23
Evaluated at bid price : 22.80
Bid-YTW : 6.80 %
BN.PR.T FixedReset Disc -4.74 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-06-12
Maturity Price : 15.26
Evaluated at bid price : 15.26
Bid-YTW : 9.06 %
BN.PR.Z FixedReset Disc -4.33 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-06-12
Maturity Price : 19.00
Evaluated at bid price : 19.00
Bid-YTW : 8.66 %
PVS.PR.K SplitShare -3.48 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2029-05-31
Maturity Price : 25.00
Evaluated at bid price : 22.20
Bid-YTW : 7.23 %
MFC.PR.M FixedReset Ins Non -3.17 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-06-12
Maturity Price : 19.56
Evaluated at bid price : 19.56
Bid-YTW : 7.51 %
MFC.PR.Q FixedReset Ins Non -2.87 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-06-12
Maturity Price : 21.68
Evaluated at bid price : 22.00
Bid-YTW : 6.92 %
SLF.PR.H FixedReset Ins Non -2.54 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-06-12
Maturity Price : 18.01
Evaluated at bid price : 18.01
Bid-YTW : 7.34 %
BN.PR.X FixedReset Disc -2.17 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-06-12
Maturity Price : 15.75
Evaluated at bid price : 15.75
Bid-YTW : 8.44 %
SLF.PR.G FixedReset Ins Non -2.10 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-06-12
Maturity Price : 15.86
Evaluated at bid price : 15.86
Bid-YTW : 7.48 %
BIP.PR.E FixedReset Disc -1.38 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-06-12
Maturity Price : 21.50
Evaluated at bid price : 21.50
Bid-YTW : 7.69 %
CU.PR.J Perpetual-Discount -1.29 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-06-12
Maturity Price : 18.42
Evaluated at bid price : 18.42
Bid-YTW : 6.51 %
FTS.PR.M FixedReset Disc -1.23 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-06-12
Maturity Price : 19.31
Evaluated at bid price : 19.31
Bid-YTW : 7.80 %
CU.PR.C FixedReset Disc -1.21 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-06-12
Maturity Price : 19.56
Evaluated at bid price : 19.56
Bid-YTW : 7.49 %
IFC.PR.I Insurance Straight -1.20 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-06-12
Maturity Price : 21.40
Evaluated at bid price : 21.40
Bid-YTW : 6.46 %
MFC.PR.I FixedReset Ins Non -1.00 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-06-12
Maturity Price : 22.22
Evaluated at bid price : 22.70
Bid-YTW : 6.99 %
TD.PF.A FixedReset Disc 1.05 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-06-12
Maturity Price : 22.37
Evaluated at bid price : 23.20
Bid-YTW : 6.23 %
CU.PR.D Perpetual-Discount 1.05 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-06-12
Maturity Price : 19.25
Evaluated at bid price : 19.25
Bid-YTW : 6.43 %
IFC.PR.F Insurance Straight 1.44 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-06-12
Maturity Price : 21.10
Evaluated at bid price : 21.10
Bid-YTW : 6.43 %
GWO.PR.N FixedReset Ins Non 1.50 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-06-12
Maturity Price : 14.21
Evaluated at bid price : 14.21
Bid-YTW : 7.93 %
IFC.PR.E Insurance Straight 1.60 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-06-12
Maturity Price : 20.93
Evaluated at bid price : 20.93
Bid-YTW : 6.35 %
SLF.PR.E Insurance Straight 1.90 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-06-12
Maturity Price : 18.80
Evaluated at bid price : 18.80
Bid-YTW : 6.01 %
GWO.PR.G Insurance Straight 3.03 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-06-12
Maturity Price : 20.40
Evaluated at bid price : 20.40
Bid-YTW : 6.40 %
BN.PF.G FixedReset Disc 5.29 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-06-12
Maturity Price : 17.90
Evaluated at bid price : 17.90
Bid-YTW : 8.71 %
Volume Highlights
Issue Index Shares
Traded
Notes
RY.PR.H FixedReset Disc 206,390 YTW SCENARIO
Maturity Type : Call
Maturity Date : 2024-08-24
Maturity Price : 25.00
Evaluated at bid price : 24.96
Bid-YTW : 5.42 %
PWF.PR.T FixedReset Disc 198,400 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-06-12
Maturity Price : 21.54
Evaluated at bid price : 21.85
Bid-YTW : 6.77 %
MFC.PR.Q FixedReset Ins Non 98,930 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-06-12
Maturity Price : 21.68
Evaluated at bid price : 22.00
Bid-YTW : 6.92 %
NA.PR.S FixedReset Disc 90,829 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-06-12
Maturity Price : 22.54
Evaluated at bid price : 23.48
Bid-YTW : 6.47 %
IFC.PR.G FixedReset Ins Non 60,400 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-06-12
Maturity Price : 21.89
Evaluated at bid price : 22.30
Bid-YTW : 6.97 %
PVS.PR.I SplitShare 59,950 YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-10-31
Maturity Price : 25.00
Evaluated at bid price : 24.41
Bid-YTW : 6.65 %
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.E FixedReset Disc Quote: 21.00 – 22.71
Spot Rate : 1.7100
Average : 1.0476

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-06-12
Maturity Price : 21.00
Evaluated at bid price : 21.00
Bid-YTW : 7.35 %

CM.PR.P FixedReset Disc Quote: 21.65 – 23.45
Spot Rate : 1.8000
Average : 1.1519

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-06-12
Maturity Price : 21.36
Evaluated at bid price : 21.65
Bid-YTW : 6.68 %

IFC.PR.I Insurance Straight Quote: 21.40 – 23.49
Spot Rate : 2.0900
Average : 1.5591

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-06-12
Maturity Price : 21.40
Evaluated at bid price : 21.40
Bid-YTW : 6.46 %

BN.PR.Z FixedReset Disc Quote: 19.00 – 21.16
Spot Rate : 2.1600
Average : 1.6862

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-06-12
Maturity Price : 19.00
Evaluated at bid price : 19.00
Bid-YTW : 8.66 %

PVS.PR.K SplitShare Quote: 22.20 – 23.65
Spot Rate : 1.4500
Average : 0.9825

YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2029-05-31
Maturity Price : 25.00
Evaluated at bid price : 22.20
Bid-YTW : 7.23 %

TD.PF.J FixedReset Disc Quote: 22.80 – 24.10
Spot Rate : 1.3000
Average : 0.9727

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-06-12
Maturity Price : 22.23
Evaluated at bid price : 22.80
Bid-YTW : 6.80 %

NA To Acquire CWB (Subject to Vote)

June 11th, 2024

National Bank of Canada has announced:

  • Aligned with National Bank’s strategic plan to accelerate growth across all its business lines in Canada
  • Provides customers an expanded product and service offering nationally, extensive banking centre network and common customer experience culture
  • Maintains branch footprint and Edmonton-based executive and operational presence
  • Combination creates stronger competitor, and provides more choice for Canadians
  • Concurrent subscription receipt offering of $1 billion

National Bank of Canada (“National Bank”) (TSX: NA) and Canadian Western Bank (“CWB”) (TSX: CWB) today announced they have entered into a definitive agreement (the “Agreement”) for National Bank to acquire CWB, a diversified financial services institution based in Edmonton, Alberta. The transaction brings together two complementary banks with growing businesses, enabling the united bank to enhance services to customers by offering a comprehensive product and service platform at national scale, with a regionally focused service model.

National Bank will acquire all of the issued and outstanding common shares of CWB (the “CWB Shares”) by way of a share exchange (the “Transaction”), valuing CWB at approximately $5.0 billion (the “CWB Equity Value”).

Each CWB Share, other than those held by National Bank, will be exchanged for 0.450 of a common share (the “National Bank Shares”) of National Bank (the “Exchange Ratio”). Based on the 20-day volume weighted average trading price of the National Bank Shares on the TSX as of June 11, 2024, the Exchange Ratio values each CWB Share at $52.24, representing a 110% premium to the closing price of the CWB Shares on the TSX of $24.89 as of June 11, 2024, and a 100% premium to the volume weighted average trading price of the CWB Shares over the last 20 days. The National Bank Shares to be issued upon closing of the Transaction will represent a pro forma ownership of approximately 10.5% of National Bank by CWB shareholders, taking into account the Private Placement and the Public Offering (as defined below).

The Transaction is subject to approval of 662/3% of the votes cast by CWB shareholders at a special meeting of shareholders (the “Meeting”) expected to be held in September 2024 to approve an amendment to CWB’s by-laws to provide for the share exchange.

Each CWB Share, other than those held by National Bank, will be exchanged for 0.450 of a common share (the “National Bank Shares”) of National Bank (the “Exchange Ratio”). Based on the 20-day volume weighted average trading price of the National Bank Shares on the TSX as of June 11, 2024, the Exchange Ratio values each CWB Share at $52.24, representing a 110% premium to the closing price of the CWB Shares on the TSX of $24.89 as of June 11, 2024, and a 100% premium to the volume weighted average trading price of the CWB Shares over the last 20 days. The National Bank Shares to be issued upon closing of the Transaction will represent a pro forma ownership of approximately 10.5% of National Bank by CWB shareholders, taking into account the Private Placement and the Public Offering (as defined below).

The Transaction is subject to approval of 662/3% of the votes cast by CWB shareholders at a special meeting of shareholders (the “Meeting”) expected to be held in September 2024 to approve an amendment to CWB’s by-laws to provide for the share exchange.

ACQUISITION FINANCING

National Bank also announced today that it intends to complete an equity financing in connection with the Transaction. The equity financing is comprised of a public offering (the “Public Offering”) and concurrent private placement (the “Private Placement”) of subscription receipts (the “Subscription Receipts”) for gross proceeds totaling approximately $1.0 billion before giving effect to the Over-Allotment Option and the Additional Subscription Option (as defined below).

Pursuant to the Public Offering, National Bank has agreed to issue and sell 4,453,000 Subscription Receipts at a price of $112.30 for total gross proceeds of approximately $500 million. The Public Offering is being underwritten on a bought-deal basis by a syndicate of underwriters led by National Bank Financial Inc. (“NBF”). National Bank has granted the underwriters an option (the “Over-Allotment Option”) to purchase up to an additional 667,950 Subscription Receipts at the public offering price exercisable up to 30 days after closing of the public offering.

Pursuant to the concurrent Private Placement, National Bank has agreed to issue and sell 4,453,000 Subscription Receipts at the public offering price to Caisse de dépôt et placement du Québec or an affiliate thereof (“CDPQ”) for gross proceeds of approximately $500 million. All of CDPQ’s Subscription Receipts will be subject to a statutory hold period of four months plus one day from the date of their issuance. CDPQ will have the right to purchase up to an additional 667,950 Subscription Receipts, to maintain its pro-rata ownership and subject to, and in the same proportion as, the Over-Allotment Option being exercised by the underwriters (the “Additional Subscription Option”).

National Bank intends to use the net proceeds from the equity financing to support strong regulatory capital ratios following the closing of the Transaction, to fund any cash consideration under the terms of the Transaction and to pay the Transaction expenses.

Affected issues are CWB.PR.B and CWB.PR.D.

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

RY.PR.H To Be Redeemed

June 11th, 2024

Royal Bank of Canada has announced (on June 10):

its intention to redeem all of its issued and outstanding Non-Viability Contingent Capital (NVCC) Non-Cumulative 5-Year Rate Reset First Preferred Shares, Series BB (Series BB shares) (TSX: RY.PR.H) on August 24, 2024, for cash at a redemption price of $25.00 per share to be paid on August 24, 2024.

There are 20,000,000 Series BB shares outstanding, representing $500 million of capital. The redemptions will be financed out of the general corporate funds of Royal Bank of Canada.

The final quarterly dividend of $0.228125 for each of the Series BB shares will be paid separately from the redemption price for each of the Series BB Shares and in the usual manner on August 23, 2024 to shareholders of record at the close of business on July 25, 2024. After such dividend payments, the holders of Series BB shares will cease to be entitled to dividends.

RY.PR.H was issued as a FixedReset, 3.90%+226, NVCC-Compliant issue that commenced trading 2014-6-3 after being announced 2014-5-23. The bank gave notice of extension on 2019-7-22. RY.PR.H reset at 3.65% effective 2019-8-24. I recommended against conversion and there was no conversion. The issue is tracked by HIMIPref™ and has been assigned to the FixedReset-Discount subindex.

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

June 11, 2024

June 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 -1.0152 % 2,234.4
FixedFloater 0.00 % 0.00 % 0 0.00 0 -1.0152 % 4,285.6
Floater 10.40 % 10.76 % 59,425 8.84 1 -1.0152 % 2,469.8
OpRet 0.00 % 0.00 % 0 0.00 0 -0.3953 % 3,464.3
SplitShare 4.86 % 6.55 % 30,668 1.63 7 -0.3953 % 4,137.1
Interest-Bearing 0.00 % 0.00 % 0 0.00 0 -0.3953 % 3,227.9
Perpetual-Premium 0.00 % 0.00 % 0 0.00 0 -0.2097 % 2,688.0
Perpetual-Discount 6.40 % 6.56 % 53,283 13.07 28 -0.2097 % 2,931.2
FixedReset Disc 5.24 % 7.37 % 115,365 12.23 49 -0.1991 % 2,549.3
Insurance Straight 6.33 % 6.43 % 58,206 13.35 20 0.1831 % 2,868.1
FloatingReset 9.30 % 9.27 % 33,498 10.09 3 -0.2960 % 2,730.6
FixedReset Prem 6.39 % 6.92 % 215,396 12.25 7 -0.2666 % 2,518.6
FixedReset Bank Non 0.00 % 0.00 % 0 0.00 0 -0.1991 % 2,605.9
FixedReset Ins Non 5.33 % 7.16 % 103,033 12.69 14 0.0253 % 2,667.4
Performance Highlights
Issue Index Change Notes
BN.PF.G FixedReset Disc -6.64 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-06-11
Maturity Price : 17.00
Evaluated at bid price : 17.00
Bid-YTW : 9.16 %
BN.PR.Z FixedReset Disc -2.89 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-06-11
Maturity Price : 19.86
Evaluated at bid price : 19.86
Bid-YTW : 8.28 %
GWO.PR.N FixedReset Ins Non -2.78 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-06-11
Maturity Price : 14.00
Evaluated at bid price : 14.00
Bid-YTW : 8.04 %
PVS.PR.K SplitShare -2.54 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2029-05-31
Maturity Price : 25.00
Evaluated at bid price : 23.00
Bid-YTW : 6.40 %
MIC.PR.A Perpetual-Discount -2.04 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-06-11
Maturity Price : 19.20
Evaluated at bid price : 19.20
Bid-YTW : 7.21 %
SLF.PR.C Insurance Straight -1.99 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-06-11
Maturity Price : 18.22
Evaluated at bid price : 18.22
Bid-YTW : 6.13 %
BN.PF.I FixedReset Disc -1.99 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-06-11
Maturity Price : 21.92
Evaluated at bid price : 22.20
Bid-YTW : 8.02 %
GWO.PR.G Insurance Straight -1.98 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-06-11
Maturity Price : 19.80
Evaluated at bid price : 19.80
Bid-YTW : 6.59 %
TD.PF.A FixedReset Disc -1.88 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-06-11
Maturity Price : 22.24
Evaluated at bid price : 22.96
Bid-YTW : 6.30 %
SLF.PR.E Insurance Straight -1.60 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-06-11
Maturity Price : 18.45
Evaluated at bid price : 18.45
Bid-YTW : 6.12 %
IFC.PR.E Insurance Straight -1.44 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-06-11
Maturity Price : 20.60
Evaluated at bid price : 20.60
Bid-YTW : 6.46 %
POW.PR.A Perpetual-Discount -1.15 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-06-11
Maturity Price : 21.26
Evaluated at bid price : 21.53
Bid-YTW : 6.62 %
FFH.PR.H FloatingReset -1.12 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-06-11
Maturity Price : 18.51
Evaluated at bid price : 18.51
Bid-YTW : 10.18 %
BN.PF.E FixedReset Disc -1.07 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-06-11
Maturity Price : 17.49
Evaluated at bid price : 17.49
Bid-YTW : 8.66 %
CU.PR.D Perpetual-Discount -1.04 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-06-11
Maturity Price : 19.05
Evaluated at bid price : 19.05
Bid-YTW : 6.49 %
BN.PR.B Floater -1.02 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-06-11
Maturity Price : 11.70
Evaluated at bid price : 11.70
Bid-YTW : 10.76 %
CU.PR.J Perpetual-Discount -1.01 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-06-11
Maturity Price : 18.66
Evaluated at bid price : 18.66
Bid-YTW : 6.43 %
CU.PR.C FixedReset Disc 1.28 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-06-11
Maturity Price : 19.80
Evaluated at bid price : 19.80
Bid-YTW : 7.40 %
GWO.PR.R Insurance Straight 1.34 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-06-11
Maturity Price : 18.85
Evaluated at bid price : 18.85
Bid-YTW : 6.39 %
BN.PR.M Perpetual-Discount 1.61 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-06-11
Maturity Price : 17.70
Evaluated at bid price : 17.70
Bid-YTW : 6.87 %
SLF.PR.H FixedReset Ins Non 1.82 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-06-11
Maturity Price : 18.48
Evaluated at bid price : 18.48
Bid-YTW : 7.16 %
IFC.PR.I Insurance Straight 1.93 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-06-11
Maturity Price : 21.66
Evaluated at bid price : 21.66
Bid-YTW : 6.37 %
NA.PR.W FixedReset Disc 2.37 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-06-11
Maturity Price : 20.70
Evaluated at bid price : 20.70
Bid-YTW : 6.98 %
BIP.PR.F FixedReset Disc 4.38 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-06-11
Maturity Price : 20.51
Evaluated at bid price : 20.51
Bid-YTW : 7.93 %
GWO.PR.Q Insurance Straight 6.35 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-06-11
Maturity Price : 20.10
Evaluated at bid price : 20.10
Bid-YTW : 6.43 %
Volume Highlights
Issue Index Shares
Traded
Notes
RY.PR.H FixedReset Disc 311,276 YTW SCENARIO
Maturity Type : Call
Maturity Date : 2024-08-24
Maturity Price : 25.00
Evaluated at bid price : 24.95
Bid-YTW : 5.55 %
TD.PF.M FixedReset Prem 66,700 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-06-11
Maturity Price : 24.10
Evaluated at bid price : 25.00
Bid-YTW : 7.17 %
MFC.PR.Q FixedReset Ins Non 48,750 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-06-11
Maturity Price : 22.13
Evaluated at bid price : 22.65
Bid-YTW : 6.71 %
FFH.PR.M FixedReset Disc 35,400 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-06-11
Maturity Price : 23.45
Evaluated at bid price : 24.06
Bid-YTW : 7.80 %
NA.PR.W FixedReset Disc 33,400 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-06-11
Maturity Price : 20.70
Evaluated at bid price : 20.70
Bid-YTW : 6.98 %
BMO.PR.W FixedReset Disc 30,990 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-06-11
Maturity Price : 22.75
Evaluated at bid price : 23.52
Bid-YTW : 6.10 %
There were 6 other index-included issues trading in excess of 10,000 shares.
Wide Spread Highlights
Issue Index Quote Data and Yield Notes
CU.PR.C FixedReset Disc Quote: 19.80 – 21.99
Spot Rate : 2.1900
Average : 1.5496

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-06-11
Maturity Price : 19.80
Evaluated at bid price : 19.80
Bid-YTW : 7.40 %

BN.PR.Z FixedReset Disc Quote: 19.86 – 21.55
Spot Rate : 1.6900
Average : 1.1666

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-06-11
Maturity Price : 19.86
Evaluated at bid price : 19.86
Bid-YTW : 8.28 %

BN.PF.G FixedReset Disc Quote: 17.00 – 18.60
Spot Rate : 1.6000
Average : 1.0877

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-06-11
Maturity Price : 17.00
Evaluated at bid price : 17.00
Bid-YTW : 9.16 %

IFC.PR.C FixedReset Ins Non Quote: 19.88 – 22.00
Spot Rate : 2.1200
Average : 1.6782

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-06-11
Maturity Price : 19.88
Evaluated at bid price : 19.88
Bid-YTW : 7.36 %

PWF.PR.P FixedReset Disc Quote: 14.91 – 15.50
Spot Rate : 0.5900
Average : 0.3612

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-06-11
Maturity Price : 14.91
Evaluated at bid price : 14.91
Bid-YTW : 8.06 %

BN.PF.A FixedReset Disc Quote: 21.60 – 22.42
Spot Rate : 0.8200
Average : 0.6083

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-06-11
Maturity Price : 21.31
Evaluated at bid price : 21.60
Bid-YTW : 7.77 %

June 10, 2024

June 11th, 2024

Sorry this is late – I was out for dinner again last night. Social Butterfly, that’s me!

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 0.5957 % 2,257.3
FixedFloater 0.00 % 0.00 % 0 0.00 0 0.5957 % 4,329.5
Floater 10.29 % 10.65 % 58,873 8.93 1 0.5957 % 2,495.1
OpRet 0.00 % 0.00 % 0 0.00 0 -0.0413 % 3,478.0
SplitShare 4.84 % 6.46 % 30,854 1.63 7 -0.0413 % 4,153.5
Interest-Bearing 0.00 % 0.00 % 0 0.00 0 -0.0413 % 3,240.7
Perpetual-Premium 0.00 % 0.00 % 0 0.00 0 0.2387 % 2,693.7
Perpetual-Discount 6.39 % 6.55 % 54,344 13.06 28 0.2387 % 2,937.3
FixedReset Disc 5.23 % 7.37 % 117,207 12.19 49 1.5215 % 2,554.4
Insurance Straight 6.34 % 6.43 % 59,213 13.32 20 0.0789 % 2,862.9
FloatingReset 9.27 % 9.27 % 34,237 10.09 3 -0.1043 % 2,738.7
FixedReset Prem 6.37 % 6.77 % 216,369 12.26 7 0.3015 % 2,525.4
FixedReset Bank Non 0.00 % 0.00 % 0 0.00 0 1.5215 % 2,611.1
FixedReset Ins Non 5.33 % 7.22 % 104,046 12.72 14 0.1160 % 2,666.8
Performance Highlights
Issue Index Change Notes
GWO.PR.Q Insurance Straight -5.07 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-06-10
Maturity Price : 18.90
Evaluated at bid price : 18.90
Bid-YTW : 6.84 %
BIP.PR.F FixedReset Disc -3.72 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-06-10
Maturity Price : 19.65
Evaluated at bid price : 19.65
Bid-YTW : 8.27 %
BN.PR.M Perpetual-Discount -2.95 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-06-10
Maturity Price : 17.42
Evaluated at bid price : 17.42
Bid-YTW : 6.98 %
SLF.PR.G FixedReset Ins Non -1.94 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-06-10
Maturity Price : 16.20
Evaluated at bid price : 16.20
Bid-YTW : 7.32 %
NA.PR.W FixedReset Disc -1.61 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-06-10
Maturity Price : 20.22
Evaluated at bid price : 20.22
Bid-YTW : 7.14 %
IFC.PR.A FixedReset Ins Non -1.24 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-06-10
Maturity Price : 18.32
Evaluated at bid price : 18.32
Bid-YTW : 7.22 %
MFC.PR.F FixedReset Ins Non -1.08 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-06-10
Maturity Price : 15.64
Evaluated at bid price : 15.64
Bid-YTW : 7.36 %
MFC.PR.M FixedReset Ins Non 1.00 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-06-10
Maturity Price : 20.20
Evaluated at bid price : 20.20
Bid-YTW : 7.27 %
BN.PF.F FixedReset Disc 1.02 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-06-10
Maturity Price : 19.80
Evaluated at bid price : 19.80
Bid-YTW : 8.20 %
BN.PF.E FixedReset Disc 1.03 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-06-10
Maturity Price : 17.68
Evaluated at bid price : 17.68
Bid-YTW : 8.57 %
PWF.PR.R Perpetual-Discount 1.04 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-06-10
Maturity Price : 21.40
Evaluated at bid price : 21.40
Bid-YTW : 6.53 %
TD.PF.I FixedReset Prem 1.06 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-06-10
Maturity Price : 23.28
Evaluated at bid price : 24.88
Bid-YTW : 6.58 %
TD.PF.A FixedReset Disc 1.08 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-06-10
Maturity Price : 22.47
Evaluated at bid price : 23.40
Bid-YTW : 6.17 %
TD.PF.C FixedReset Disc 1.21 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-06-10
Maturity Price : 22.01
Evaluated at bid price : 22.59
Bid-YTW : 6.39 %
CU.PR.J Perpetual-Discount 1.24 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-06-10
Maturity Price : 18.85
Evaluated at bid price : 18.85
Bid-YTW : 6.36 %
SLF.PR.E Insurance Straight 1.30 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-06-10
Maturity Price : 18.75
Evaluated at bid price : 18.75
Bid-YTW : 6.02 %
TD.PF.E FixedReset Disc 1.35 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-06-10
Maturity Price : 21.93
Evaluated at bid price : 22.50
Bid-YTW : 6.84 %
SLF.PR.C Insurance Straight 1.42 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-06-10
Maturity Price : 18.59
Evaluated at bid price : 18.59
Bid-YTW : 6.01 %
IFC.PR.F Insurance Straight 1.45 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-06-10
Maturity Price : 21.00
Evaluated at bid price : 21.00
Bid-YTW : 6.45 %
CU.PR.E Perpetual-Discount 1.49 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-06-10
Maturity Price : 19.13
Evaluated at bid price : 19.13
Bid-YTW : 6.47 %
BMO.PR.T FixedReset Disc 1.50 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-06-10
Maturity Price : 23.34
Evaluated at bid price : 24.36
Bid-YTW : 5.92 %
FFH.PR.M FixedReset Disc 1.52 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-06-10
Maturity Price : 23.52
Evaluated at bid price : 24.12
Bid-YTW : 7.78 %
PWF.PR.P FixedReset Disc 1.57 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-06-10
Maturity Price : 14.89
Evaluated at bid price : 14.89
Bid-YTW : 8.07 %
BMO.PR.W FixedReset Disc 1.73 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-06-10
Maturity Price : 22.78
Evaluated at bid price : 23.55
Bid-YTW : 6.09 %
CM.PR.Q FixedReset Disc 1.78 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-06-10
Maturity Price : 22.43
Evaluated at bid price : 22.90
Bid-YTW : 6.70 %
NA.PR.S FixedReset Disc 1.87 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-06-10
Maturity Price : 22.52
Evaluated at bid price : 23.44
Bid-YTW : 6.48 %
TD.PF.J FixedReset Disc 2.04 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-06-10
Maturity Price : 22.87
Evaluated at bid price : 24.00
Bid-YTW : 6.43 %
RY.PR.M FixedReset Disc 2.20 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-06-10
Maturity Price : 21.82
Evaluated at bid price : 22.33
Bid-YTW : 6.59 %
BN.PR.X FixedReset Disc 2.22 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-06-10
Maturity Price : 16.10
Evaluated at bid price : 16.10
Bid-YTW : 8.25 %
RY.PR.J FixedReset Disc 2.63 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-06-10
Maturity Price : 22.88
Evaluated at bid price : 23.45
Bid-YTW : 6.52 %
RY.PR.H FixedReset Disc 2.67 % YTW SCENARIO
Maturity Type : Call
Maturity Date : 2024-08-24
Maturity Price : 25.00
Evaluated at bid price : 24.95
Bid-YTW : 5.47 %
CU.PR.C FixedReset Disc 2.89 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-06-10
Maturity Price : 19.55
Evaluated at bid price : 19.55
Bid-YTW : 7.49 %
MFC.PR.Q FixedReset Ins Non 2.95 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-06-10
Maturity Price : 22.13
Evaluated at bid price : 22.65
Bid-YTW : 6.71 %
TD.PF.D FixedReset Disc 3.86 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-06-10
Maturity Price : 22.39
Evaluated at bid price : 22.85
Bid-YTW : 6.72 %
RY.PR.S FixedReset Disc 4.98 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-06-10
Maturity Price : 22.90
Evaluated at bid price : 24.25
Bid-YTW : 6.11 %
FFH.PR.K FixedReset Disc 5.10 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-06-10
Maturity Price : 20.60
Evaluated at bid price : 20.60
Bid-YTW : 8.22 %
CM.PR.P FixedReset Disc 5.77 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-06-10
Maturity Price : 22.19
Evaluated at bid price : 22.90
Bid-YTW : 6.29 %
PWF.PR.T FixedReset Disc 31.28 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-06-10
Maturity Price : 21.65
Evaluated at bid price : 21.99
Bid-YTW : 6.72 %
Volume Highlights
Issue Index Shares
Traded
Notes
RY.PR.H FixedReset Disc 283,516 YTW SCENARIO
Maturity Type : Call
Maturity Date : 2024-08-24
Maturity Price : 25.00
Evaluated at bid price : 24.95
Bid-YTW : 5.47 %
NA.PR.W FixedReset Disc 103,100 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-06-10
Maturity Price : 20.22
Evaluated at bid price : 20.22
Bid-YTW : 7.14 %
RY.PR.M FixedReset Disc 77,804 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-06-10
Maturity Price : 21.82
Evaluated at bid price : 22.33
Bid-YTW : 6.59 %
NA.PR.S FixedReset Disc 73,327 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-06-10
Maturity Price : 22.52
Evaluated at bid price : 23.44
Bid-YTW : 6.48 %
TD.PF.D FixedReset Disc 72,700 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-06-10
Maturity Price : 22.39
Evaluated at bid price : 22.85
Bid-YTW : 6.72 %
TD.PF.C FixedReset Disc 71,949 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-06-10
Maturity Price : 22.01
Evaluated at bid price : 22.59
Bid-YTW : 6.39 %
There were 13 other index-included issues trading in excess of 10,000 shares.
Wide Spread Highlights
Issue Index Quote Data and Yield Notes
IFC.PR.C FixedReset Ins Non Quote: 20.05 – 22.00
Spot Rate : 1.9500
Average : 1.1938

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-06-10
Maturity Price : 20.05
Evaluated at bid price : 20.05
Bid-YTW : 7.30 %

GWO.PR.Q Insurance Straight Quote: 18.90 – 20.14
Spot Rate : 1.2400
Average : 0.7213

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-06-10
Maturity Price : 18.90
Evaluated at bid price : 18.90
Bid-YTW : 6.84 %

BN.PF.F FixedReset Disc Quote: 19.80 – 21.00
Spot Rate : 1.2000
Average : 0.7108

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-06-10
Maturity Price : 19.80
Evaluated at bid price : 19.80
Bid-YTW : 8.20 %

RY.PR.J FixedReset Disc Quote: 23.45 – 24.49
Spot Rate : 1.0400
Average : 0.6216

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-06-10
Maturity Price : 22.88
Evaluated at bid price : 23.45
Bid-YTW : 6.52 %

IFC.PR.I Insurance Straight Quote: 21.25 – 23.49
Spot Rate : 2.2400
Average : 1.9823

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-06-10
Maturity Price : 21.25
Evaluated at bid price : 21.25
Bid-YTW : 6.50 %

MFC.PR.F FixedReset Ins Non Quote: 15.64 – 16.86
Spot Rate : 1.2200
Average : 0.9968

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-06-10
Maturity Price : 15.64
Evaluated at bid price : 15.64
Bid-YTW : 7.36 %

June 7, 2024

June 7th, 2024

TXPR closed at 586.45, down 0.89% on the day. Volume today was 1.60-million, near the median of the past 21 trading days.

CPD closed at 11.64, down 0.77% on the day. Volume was 46,850, below the median of the past 21 trading days.

ZPR closed at 9.94, down 1.19% on the day. Volume was 555,690, highest by far of the past 21 trading days.

Five-year Canada yields were up to 3.53%.

Jobs, jobs, jobs!

  • Services powered the gains: Overall, U.S. employers added 272,000 jobs last month, with health care again accounting for the most growth, adding 68,000 jobs. Government hiring rebounded from April, with 43,000 additional jobs, as did leisure and hospitality work, with 42,000.
  • Wages were strong: Average hourly earnings rose 0.4 percent, or 4.1 percent from a year earlier. That was also stronger than expected, since wage increases have been easing since early 2022. Wage growth isn’t the primary reason that inflation has been high, but economists worry that it will be difficult to bring inflation fully under control if pay keeps rising at its recent pace.
  • But the unemployment rate rose: The jobless rate hit 4 percent for the first time since January 2022, ending one of the longest streaks of sub-4 percent unemployment on record.

Things were a bit different in the Frozen North:

Statistics Canada’s latest labour force survey showed the economy added 27,000 jobs last month – too modest of a gain to keep the unemployment rate from rising by a tenth of a percentage point.

“It didn’t take much digging to unearth the fact that this report is considerably softer than the headline, as all of the gains were in part-time jobs, in one province (Ontario), and the unemployment rate ticked up to 6.2 per cent, as expected,” wrote BMO chief economist Douglas Porter in a client note.

Statistics Canada says the involuntary part-time rate, which refers to the proportion of part-time workers who could not find full-time work or worked part-time because of weak business conditions – was 18.2 per cent in May. That’s up from 15.4 per cent a year prior.

Wage growth remained strong in May as average hourly wages rose 5.1 per cent from a year ago, reaching $34.94.

… and all in all:

Canada’s main stock index fell 1% on Friday as a jump in the U.S. dollar following the release of stronger-than-expected U.S. jobs data pressured metal mining stocks, while investors braced for increased volatility in the months ahead. Wall Street stocks ended slightly lower.

The Toronto Stock Exchange’s S&P/TSX composite index ended down 222.10 points at 22,007.00. For the week, the index lost 1.2%, its third consecutive weekly decline.

The benchmark S&P 500 slipped immediately after the report while U.S Treasury yields climbed as traders slashed bets on a September rate reduction. The index recovered and briefly hit a fresh intraday record high as investors noted the data pointed to underlying economic health.

Traders now see a 56% chance of a September rate reduction, according to the CME’s FedWatch tool.

GameStop slumped 39% in volatile trading just as stock influencer “Roaring Kitty” kicked off his first livestream in three years. The gaming retailer had announced a potential stock offering and a drop in quarterly sales.

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 -1.2605 % 2,243.9
FixedFloater 0.00 % 0.00 % 0 0.00 0 -1.2605 % 4,303.9
Floater 10.35 % 10.70 % 61,158 8.89 1 -1.2605 % 2,480.3
OpRet 0.00 % 0.00 % 0 0.00 0 0.1713 % 3,479.4
SplitShare 4.84 % 6.46 % 32,118 1.64 7 0.1713 % 4,155.2
Interest-Bearing 0.00 % 0.00 % 0 0.00 0 0.1713 % 3,242.0
Perpetual-Premium 0.00 % 0.00 % 0 0.00 0 -0.5581 % 2,687.3
Perpetual-Discount 6.40 % 6.57 % 55,024 13.05 28 -0.5581 % 2,930.3
FixedReset Disc 5.31 % 7.56 % 118,737 12.08 49 -1.5778 % 2,516.1
Insurance Straight 6.34 % 6.45 % 58,523 13.33 20 -0.1246 % 2,860.6
FloatingReset 9.45 % 9.39 % 35,649 9.97 3 -1.4567 % 2,741.5
FixedReset Prem 6.39 % 6.82 % 219,180 12.14 7 -0.1930 % 2,517.8
FixedReset Bank Non 0.00 % 0.00 % 0 0.00 0 -1.5778 % 2,572.0
FixedReset Ins Non 5.34 % 7.22 % 105,613 12.66 14 -1.8775 % 2,663.7
Performance Highlights
Issue Index Change Notes
PWF.PR.T FixedReset Disc -23.27 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-06-07
Maturity Price : 16.75
Evaluated at bid price : 16.75
Bid-YTW : 8.94 %
FFH.PR.K FixedReset Disc -8.20 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-06-07
Maturity Price : 19.60
Evaluated at bid price : 19.60
Bid-YTW : 8.71 %
SLF.PR.H FixedReset Ins Non -6.96 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-06-07
Maturity Price : 18.05
Evaluated at bid price : 18.05
Bid-YTW : 7.42 %
CM.PR.P FixedReset Disc -5.46 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-06-07
Maturity Price : 21.36
Evaluated at bid price : 21.65
Bid-YTW : 6.77 %
RY.PR.S FixedReset Disc -4.74 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-06-07
Maturity Price : 22.35
Evaluated at bid price : 23.10
Bid-YTW : 6.51 %
CU.PR.C FixedReset Disc -4.52 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-06-07
Maturity Price : 19.00
Evaluated at bid price : 19.00
Bid-YTW : 7.79 %
IFC.PR.C FixedReset Ins Non -3.82 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-06-07
Maturity Price : 20.15
Evaluated at bid price : 20.15
Bid-YTW : 7.34 %
MFC.PR.I FixedReset Ins Non -3.79 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-06-07
Maturity Price : 22.32
Evaluated at bid price : 22.85
Bid-YTW : 7.01 %
NA.PR.E FixedReset Disc -3.63 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-06-07
Maturity Price : 22.55
Evaluated at bid price : 23.37
Bid-YTW : 6.59 %
MFC.PR.F FixedReset Ins Non -3.60 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-06-07
Maturity Price : 15.81
Evaluated at bid price : 15.81
Bid-YTW : 7.39 %
TD.PF.D FixedReset Disc -3.30 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-06-07
Maturity Price : 21.61
Evaluated at bid price : 22.00
Bid-YTW : 7.07 %
MFC.PR.M FixedReset Ins Non -2.96 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-06-07
Maturity Price : 20.00
Evaluated at bid price : 20.00
Bid-YTW : 7.45 %
MFC.PR.K FixedReset Ins Non -2.60 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-06-07
Maturity Price : 21.98
Evaluated at bid price : 22.45
Bid-YTW : 6.70 %
BN.PF.F FixedReset Disc -2.54 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-06-07
Maturity Price : 19.60
Evaluated at bid price : 19.60
Bid-YTW : 8.39 %
NA.PR.S FixedReset Disc -2.50 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-06-07
Maturity Price : 22.29
Evaluated at bid price : 23.01
Bid-YTW : 6.68 %
FFH.PR.D FloatingReset -2.21 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-06-07
Maturity Price : 21.82
Evaluated at bid price : 22.10
Bid-YTW : 9.34 %
NA.PR.W FixedReset Disc -2.19 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-06-07
Maturity Price : 20.55
Evaluated at bid price : 20.55
Bid-YTW : 7.13 %
FFH.PR.C FixedReset Disc -2.05 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-06-07
Maturity Price : 21.45
Evaluated at bid price : 21.45
Bid-YTW : 7.97 %
CU.PR.E Perpetual-Discount -1.82 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-06-07
Maturity Price : 18.85
Evaluated at bid price : 18.85
Bid-YTW : 6.56 %
BIP.PR.F FixedReset Disc -1.78 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-06-07
Maturity Price : 20.41
Evaluated at bid price : 20.41
Bid-YTW : 8.03 %
BN.PF.C Perpetual-Discount -1.76 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-06-07
Maturity Price : 17.88
Evaluated at bid price : 17.88
Bid-YTW : 6.94 %
SLF.PR.J FloatingReset -1.75 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-06-07
Maturity Price : 16.80
Evaluated at bid price : 16.80
Bid-YTW : 9.39 %
CM.PR.Q FixedReset Disc -1.75 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-06-07
Maturity Price : 21.94
Evaluated at bid price : 22.50
Bid-YTW : 6.91 %
RY.PR.N Perpetual-Discount -1.72 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-06-07
Maturity Price : 22.64
Evaluated at bid price : 22.90
Bid-YTW : 5.38 %
GWO.PR.N FixedReset Ins Non -1.71 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-06-07
Maturity Price : 14.35
Evaluated at bid price : 14.35
Bid-YTW : 7.97 %
SLF.PR.G FixedReset Ins Non -1.67 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-06-07
Maturity Price : 16.52
Evaluated at bid price : 16.52
Bid-YTW : 7.30 %
IFC.PR.A FixedReset Ins Non -1.59 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-06-07
Maturity Price : 18.55
Evaluated at bid price : 18.55
Bid-YTW : 7.22 %
MFC.PR.N FixedReset Ins Non -1.59 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-06-07
Maturity Price : 19.80
Evaluated at bid price : 19.80
Bid-YTW : 7.39 %
BN.PF.D Perpetual-Discount -1.58 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-06-07
Maturity Price : 18.07
Evaluated at bid price : 18.07
Bid-YTW : 6.94 %
TD.PF.C FixedReset Disc -1.54 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-06-07
Maturity Price : 21.84
Evaluated at bid price : 22.32
Bid-YTW : 6.56 %
FFH.PR.I FixedReset Disc -1.52 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-06-07
Maturity Price : 18.12
Evaluated at bid price : 18.12
Bid-YTW : 8.55 %
IFC.PR.F Insurance Straight -1.48 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-06-07
Maturity Price : 20.70
Evaluated at bid price : 20.70
Bid-YTW : 6.54 %
MFC.PR.L FixedReset Ins Non -1.38 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-06-07
Maturity Price : 20.76
Evaluated at bid price : 20.76
Bid-YTW : 7.04 %
GWO.PR.M Insurance Straight -1.33 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-06-07
Maturity Price : 22.07
Evaluated at bid price : 22.30
Bid-YTW : 6.51 %
BN.PR.B Floater -1.26 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-06-07
Maturity Price : 11.75
Evaluated at bid price : 11.75
Bid-YTW : 10.70 %
MIC.PR.A Perpetual-Discount -1.16 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-06-07
Maturity Price : 19.60
Evaluated at bid price : 19.60
Bid-YTW : 7.05 %
FTS.PR.K FixedReset Disc -1.16 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-06-07
Maturity Price : 18.80
Evaluated at bid price : 18.80
Bid-YTW : 7.56 %
CU.PR.D Perpetual-Discount -1.14 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-06-07
Maturity Price : 19.08
Evaluated at bid price : 19.08
Bid-YTW : 6.48 %
PWF.PR.F Perpetual-Discount -1.13 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-06-07
Maturity Price : 20.13
Evaluated at bid price : 20.13
Bid-YTW : 6.63 %
BN.PF.G FixedReset Disc -1.08 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-06-07
Maturity Price : 18.30
Evaluated at bid price : 18.30
Bid-YTW : 8.62 %
TD.PF.A FixedReset Disc -1.07 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-06-07
Maturity Price : 22.34
Evaluated at bid price : 23.15
Bid-YTW : 6.33 %
CU.PR.G Perpetual-Discount -1.07 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-06-07
Maturity Price : 17.63
Evaluated at bid price : 17.63
Bid-YTW : 6.44 %
FTS.PR.M FixedReset Disc -1.06 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-06-07
Maturity Price : 19.55
Evaluated at bid price : 19.55
Bid-YTW : 7.80 %
PWF.PR.L Perpetual-Discount -1.01 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-06-07
Maturity Price : 19.54
Evaluated at bid price : 19.54
Bid-YTW : 6.63 %
BN.PR.N Perpetual-Discount -1.01 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-06-07
Maturity Price : 17.60
Evaluated at bid price : 17.60
Bid-YTW : 6.90 %
CU.PR.J Perpetual-Discount -1.01 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-06-07
Maturity Price : 18.62
Evaluated at bid price : 18.62
Bid-YTW : 6.44 %
CCS.PR.C Insurance Straight 1.68 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-06-07
Maturity Price : 19.32
Evaluated at bid price : 19.32
Bid-YTW : 6.49 %
IFC.PR.E Insurance Straight 1.70 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-06-07
Maturity Price : 20.95
Evaluated at bid price : 20.95
Bid-YTW : 6.34 %
TD.PF.J FixedReset Disc 3.16 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-06-07
Maturity Price : 22.63
Evaluated at bid price : 23.52
Bid-YTW : 6.64 %
BN.PR.M Perpetual-Discount 3.16 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-06-07
Maturity Price : 17.95
Evaluated at bid price : 17.95
Bid-YTW : 6.77 %
IFC.PR.G FixedReset Ins Non 4.78 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-06-07
Maturity Price : 21.77
Evaluated at bid price : 22.13
Bid-YTW : 7.09 %
BIP.PR.A FixedReset Disc 5.85 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-06-07
Maturity Price : 21.39
Evaluated at bid price : 21.70
Bid-YTW : 8.02 %
Volume Highlights
Issue Index Shares
Traded
Notes
BN.PF.J FixedReset Disc 145,385 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-06-07
Maturity Price : 22.29
Evaluated at bid price : 22.85
Bid-YTW : 7.39 %
TD.PF.B FixedReset Disc 104,273 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-06-07
Maturity Price : 23.06
Evaluated at bid price : 24.18
Bid-YTW : 6.12 %
BN.PR.N Perpetual-Discount 76,462 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-06-07
Maturity Price : 17.60
Evaluated at bid price : 17.60
Bid-YTW : 6.90 %
CM.PR.S FixedReset Disc 75,535 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-06-07
Maturity Price : 23.75
Evaluated at bid price : 23.75
Bid-YTW : 6.47 %
NA.PR.S FixedReset Disc 68,300 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-06-07
Maturity Price : 22.29
Evaluated at bid price : 23.01
Bid-YTW : 6.68 %
FTS.PR.K FixedReset Disc 34,710 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-06-07
Maturity Price : 18.80
Evaluated at bid price : 18.80
Bid-YTW : 7.56 %
There were 12 other index-included issues trading in excess of 10,000 shares.
Wide Spread Highlights
Issue Index Quote Data and Yield Notes
PWF.PR.T FixedReset Disc Quote: 16.75 – 21.70
Spot Rate : 4.9500
Average : 2.7675

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-06-07
Maturity Price : 16.75
Evaluated at bid price : 16.75
Bid-YTW : 8.94 %

IFC.PR.I Insurance Straight Quote: 21.40 – 23.99
Spot Rate : 2.5900
Average : 1.6998

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-06-07
Maturity Price : 21.40
Evaluated at bid price : 21.40
Bid-YTW : 6.45 %

CM.PR.P FixedReset Disc Quote: 21.65 – 23.00
Spot Rate : 1.3500
Average : 0.7958

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-06-07
Maturity Price : 21.36
Evaluated at bid price : 21.65
Bid-YTW : 6.77 %

FFH.PR.K FixedReset Disc Quote: 19.60 – 20.80
Spot Rate : 1.2000
Average : 0.7051

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-06-07
Maturity Price : 19.60
Evaluated at bid price : 19.60
Bid-YTW : 8.71 %

RY.PR.S FixedReset Disc Quote: 23.10 – 24.24
Spot Rate : 1.1400
Average : 0.7511

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-06-07
Maturity Price : 22.35
Evaluated at bid price : 23.10
Bid-YTW : 6.51 %

SLF.PR.H FixedReset Ins Non Quote: 18.05 – 19.25
Spot Rate : 1.2000
Average : 0.8223

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-06-07
Maturity Price : 18.05
Evaluated at bid price : 18.05
Bid-YTW : 7.42 %

June 6, 2024

June 6th, 2024

TXPR closed at 591.74, down 0.90% on the day. Volume today was 1.76-million, near the median of the past 21 trading days.

CPD closed at 11.73, down 0.93% on the day. Volume was 54,310, above the median of the past 21 trading days.

ZPR closed at 10.06, down 1.18% on the day. Volume was 429,190, highest by far of the past 21 trading days.

Five-year Canada yields were down to 3.46%.

So it looks like there were a few people who resolved to hold on to their FixedResets until the very first BoC policy loosening, reasoning that this was just the first step towards negative rates. Or maybe they were raising cash to invest in Gamestop – it nearly doubled today, if you count after-hours trading.

Update, 2024-06-07: After-hours trading prices are a little hard to find once the day is done: here’s proof:

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 -2.0576 % 2,272.6
FixedFloater 0.00 % 0.00 % 0 0.00 0 -2.0576 % 4,358.8
Floater 10.22 % 10.56 % 61,862 9.00 1 -2.0576 % 2,512.0
OpRet 0.00 % 0.00 % 0 0.00 0 0.0295 % 3,473.5
SplitShare 4.84 % 6.45 % 33,209 1.64 7 0.0295 % 4,148.1
Interest-Bearing 0.00 % 0.00 % 0 0.00 0 0.0295 % 3,236.5
Perpetual-Premium 0.00 % 0.00 % 0 0.00 0 -0.2545 % 2,702.3
Perpetual-Discount 6.37 % 6.55 % 55,667 13.08 28 -0.2545 % 2,946.8
FixedReset Disc 5.22 % 7.35 % 118,146 12.28 49 -0.4152 % 2,556.5
Insurance Straight 6.34 % 6.44 % 59,269 13.34 20 -0.5008 % 2,864.2
FloatingReset 9.31 % 9.23 % 35,533 10.16 3 1.6196 % 2,782.1
FixedReset Prem 6.38 % 6.68 % 219,646 12.17 7 -0.3846 % 2,522.7
FixedReset Bank Non 0.00 % 0.00 % 0 0.00 0 -0.4152 % 2,613.2
FixedReset Ins Non 5.23 % 7.07 % 105,170 12.68 14 -2.7693 % 2,714.6
Performance Highlights
Issue Index Change Notes
IFC.PR.G FixedReset Ins Non -10.51 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-06-06
Maturity Price : 21.12
Evaluated at bid price : 21.12
Bid-YTW : 7.45 %
MFC.PR.Q FixedReset Ins Non -7.37 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-06-06
Maturity Price : 21.68
Evaluated at bid price : 22.00
Bid-YTW : 6.99 %
BIP.PR.A FixedReset Disc -6.39 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-06-06
Maturity Price : 20.50
Evaluated at bid price : 20.50
Bid-YTW : 8.49 %
MFC.PR.J FixedReset Ins Non -4.74 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-06-06
Maturity Price : 22.07
Evaluated at bid price : 22.53
Bid-YTW : 6.94 %
GWO.PR.N FixedReset Ins Non -4.64 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-06-06
Maturity Price : 14.60
Evaluated at bid price : 14.60
Bid-YTW : 7.84 %
BN.PR.M Perpetual-Discount -4.19 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-06-06
Maturity Price : 17.40
Evaluated at bid price : 17.40
Bid-YTW : 6.98 %
IFC.PR.C FixedReset Ins Non -4.12 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-06-06
Maturity Price : 20.95
Evaluated at bid price : 20.95
Bid-YTW : 7.07 %
IFC.PR.A FixedReset Ins Non -3.38 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-06-06
Maturity Price : 18.85
Evaluated at bid price : 18.85
Bid-YTW : 7.10 %
PWF.PR.P FixedReset Disc -2.96 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-06-06
Maturity Price : 14.75
Evaluated at bid price : 14.75
Bid-YTW : 8.26 %
CU.PR.C FixedReset Disc -2.74 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-06-06
Maturity Price : 19.90
Evaluated at bid price : 19.90
Bid-YTW : 7.44 %
BN.PR.T FixedReset Disc -2.44 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-06-06
Maturity Price : 16.00
Evaluated at bid price : 16.00
Bid-YTW : 8.74 %
TD.PF.I FixedReset Prem -2.22 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-06-06
Maturity Price : 23.18
Evaluated at bid price : 24.62
Bid-YTW : 6.72 %
BN.PR.X FixedReset Disc -2.17 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-06-06
Maturity Price : 15.75
Evaluated at bid price : 15.75
Bid-YTW : 8.53 %
MFC.PR.L FixedReset Ins Non -2.09 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-06-06
Maturity Price : 21.05
Evaluated at bid price : 21.05
Bid-YTW : 6.94 %
BN.PR.B Floater -2.06 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-06-06
Maturity Price : 11.90
Evaluated at bid price : 11.90
Bid-YTW : 10.56 %
BN.PR.Z FixedReset Disc -2.05 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-06-06
Maturity Price : 20.57
Evaluated at bid price : 20.57
Bid-YTW : 8.06 %
FFH.PR.G FixedReset Disc -1.94 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-06-06
Maturity Price : 17.65
Evaluated at bid price : 17.65
Bid-YTW : 8.43 %
BN.PF.E FixedReset Disc -1.89 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-06-06
Maturity Price : 17.63
Evaluated at bid price : 17.63
Bid-YTW : 8.70 %
FFH.PR.I FixedReset Disc -1.87 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-06-06
Maturity Price : 18.40
Evaluated at bid price : 18.40
Bid-YTW : 8.42 %
FFH.PR.C FixedReset Disc -1.79 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-06-06
Maturity Price : 21.55
Evaluated at bid price : 21.90
Bid-YTW : 7.79 %
RY.PR.M FixedReset Disc -1.78 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-06-06
Maturity Price : 21.64
Evaluated at bid price : 22.06
Bid-YTW : 6.75 %
GWO.PR.H Insurance Straight -1.72 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-06-06
Maturity Price : 18.82
Evaluated at bid price : 18.82
Bid-YTW : 6.46 %
CU.PR.E Perpetual-Discount -1.54 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-06-06
Maturity Price : 19.20
Evaluated at bid price : 19.20
Bid-YTW : 6.44 %
BN.PF.H FixedReset Disc -1.47 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-06-06
Maturity Price : 23.03
Evaluated at bid price : 23.45
Bid-YTW : 8.10 %
BMO.PR.W FixedReset Disc -1.40 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-06-06
Maturity Price : 22.38
Evaluated at bid price : 23.23
Bid-YTW : 6.26 %
GWO.PR.I Insurance Straight -1.40 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-06-06
Maturity Price : 17.65
Evaluated at bid price : 17.65
Bid-YTW : 6.39 %
FFH.PR.K FixedReset Disc -1.39 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-06-06
Maturity Price : 21.35
Evaluated at bid price : 21.35
Bid-YTW : 8.01 %
CU.PR.I FixedReset Disc -1.36 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-06-06
Maturity Price : 22.76
Evaluated at bid price : 23.18
Bid-YTW : 7.62 %
BIP.PR.E FixedReset Disc -1.35 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-06-06
Maturity Price : 21.70
Evaluated at bid price : 22.00
Bid-YTW : 7.57 %
BN.PR.R FixedReset Disc -1.30 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-06-06
Maturity Price : 15.96
Evaluated at bid price : 15.96
Bid-YTW : 8.75 %
GWO.PR.Y Insurance Straight -1.30 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-06-06
Maturity Price : 17.52
Evaluated at bid price : 17.52
Bid-YTW : 6.44 %
RY.PR.O Perpetual-Discount -1.29 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-06-06
Maturity Price : 22.74
Evaluated at bid price : 23.00
Bid-YTW : 5.36 %
MFC.PR.K FixedReset Ins Non -1.28 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-06-06
Maturity Price : 22.35
Evaluated at bid price : 23.05
Bid-YTW : 6.51 %
SLF.PR.H FixedReset Ins Non -1.27 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-06-06
Maturity Price : 19.40
Evaluated at bid price : 19.40
Bid-YTW : 6.92 %
SLF.PR.G FixedReset Ins Non -1.23 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-06-06
Maturity Price : 16.80
Evaluated at bid price : 16.80
Bid-YTW : 7.18 %
GWO.PR.L Insurance Straight -1.13 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-06-06
Maturity Price : 21.54
Evaluated at bid price : 21.80
Bid-YTW : 6.49 %
MFC.PR.C Insurance Straight -1.13 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-06-06
Maturity Price : 18.37
Evaluated at bid price : 18.37
Bid-YTW : 6.15 %
RY.PR.J FixedReset Disc -1.08 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-06-06
Maturity Price : 22.48
Evaluated at bid price : 23.00
Bid-YTW : 6.74 %
FFH.PR.H FloatingReset -1.06 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-06-06
Maturity Price : 18.65
Evaluated at bid price : 18.65
Bid-YTW : 10.28 %
GWO.PR.G Insurance Straight -1.03 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-06-06
Maturity Price : 20.25
Evaluated at bid price : 20.25
Bid-YTW : 6.44 %
PVS.PR.G SplitShare -1.02 % YTW SCENARIO
Maturity Type : Option Certainty
Maturity Date : 2026-02-28
Maturity Price : 25.00
Evaluated at bid price : 24.25
Bid-YTW : 6.80 %
CCS.PR.C Insurance Straight 2.70 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-06-06
Maturity Price : 19.00
Evaluated at bid price : 19.00
Bid-YTW : 6.60 %
MFC.PR.M FixedReset Ins Non 5.37 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-06-06
Maturity Price : 20.61
Evaluated at bid price : 20.61
Bid-YTW : 7.23 %
SLF.PR.J FloatingReset 7.08 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-06-06
Maturity Price : 17.10
Evaluated at bid price : 17.10
Bid-YTW : 9.23 %
NA.PR.W FixedReset Disc 29.69 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-06-06
Maturity Price : 21.01
Evaluated at bid price : 21.01
Bid-YTW : 6.97 %
Volume Highlights
Issue Index Shares
Traded
Notes
CM.PR.O FixedReset Disc 147,191 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-06-06
Maturity Price : 23.14
Evaluated at bid price : 24.26
Bid-YTW : 6.15 %
BN.PF.A FixedReset Disc 146,604 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-06-06
Maturity Price : 21.49
Evaluated at bid price : 21.76
Bid-YTW : 7.78 %
BIP.PR.E FixedReset Disc 64,138 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-06-06
Maturity Price : 21.70
Evaluated at bid price : 22.00
Bid-YTW : 7.57 %
TD.PF.I FixedReset Prem 38,611 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-06-06
Maturity Price : 23.18
Evaluated at bid price : 24.62
Bid-YTW : 6.72 %
RY.PR.M FixedReset Disc 33,617 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-06-06
Maturity Price : 21.64
Evaluated at bid price : 22.06
Bid-YTW : 6.75 %
TD.PF.B FixedReset Disc 26,669 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-06-06
Maturity Price : 23.18
Evaluated at bid price : 24.30
Bid-YTW : 6.08 %
There were 21 other index-included issues trading in excess of 10,000 shares.
Wide Spread Highlights
Issue Index Quote Data and Yield Notes
IFC.PR.G FixedReset Ins Non Quote: 21.12 – 23.30
Spot Rate : 2.1800
Average : 1.2557

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-06-06
Maturity Price : 21.12
Evaluated at bid price : 21.12
Bid-YTW : 7.45 %

BIP.PR.A FixedReset Disc Quote: 20.50 – 22.05
Spot Rate : 1.5500
Average : 0.9126

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-06-06
Maturity Price : 20.50
Evaluated at bid price : 20.50
Bid-YTW : 8.49 %

MFC.PR.Q FixedReset Ins Non Quote: 22.00 – 23.46
Spot Rate : 1.4600
Average : 0.9477

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-06-06
Maturity Price : 21.68
Evaluated at bid price : 22.00
Bid-YTW : 6.99 %

GWO.PR.S Insurance Straight Quote: 20.36 – 22.48
Spot Rate : 2.1200
Average : 1.6675

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-06-06
Maturity Price : 20.36
Evaluated at bid price : 20.36
Bid-YTW : 6.47 %

GWO.PR.N FixedReset Ins Non Quote: 14.60 – 15.65
Spot Rate : 1.0500
Average : 0.7094

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-06-06
Maturity Price : 14.60
Evaluated at bid price : 14.60
Bid-YTW : 7.84 %

BN.PR.X FixedReset Disc Quote: 15.75 – 16.95
Spot Rate : 1.2000
Average : 0.8831

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-06-06
Maturity Price : 15.75
Evaluated at bid price : 15.75
Bid-YTW : 8.53 %

June 5, 2024

June 5th, 2024

Another private debt fund bites the dust:

Private debt manager Next Edge Capital is gating its flagship credit fund after a surge in redemption requests, meaning clients are unable to get their money out and the portfolio will be wound down over the next two years.

The decision, announced last week, marks Next Edge’s second wind-down of a private debt fund. Since 2020, the Toronto-based asset manager has also been winding down the Next Edge RCM Private Yield Fund, whose credit adviser is R.C. Morris Capital Management Ltd. The fund reported a 25-per-cent loss in the month of March and an 18-per-cent loss in 2023, as it becomes more concentrated and subject to wider performance fluctuations.

Based in Vancouver, R.C. Morris is a private lender and has participated in a number of Canadian wealth management deals in recent years. The company lent money to Bridging Finance Inc., the private debt manager that was put in receivership in 2021, and it also backed Gary Ng’s acquisition spree of independent wealth management companies between 2018 and 2020, including PI Financial.

With so much uncertainty in the sector, a large number of Next Edge’s investors tried to cash out, and the Private Debt Fund dealt with redemption requests worth $145-million in 2023 – close to half of the fund’s $298-million in total assets under management – according to an investor memo sent last week.

Redemption requests have continued this year and currently sit at 20 per cent of total assets. Next Edge believes the best option is to wind down the portfolio and roll its investors into a different fund in the future. In doing so, management has capped the existing fund’s monthly payouts at a 6-per-cent annual yield – only 1-per-cent higher than some guaranteed investment certificates – and halted redemptions.

A quick search didn’t tell me anything about their investment in Bridging Finance or Gary Ng’s adventure … I was hoping to learn when these had been disposed of (at a loss, presumably) or written down.

The BoC cut the policy rate today as widely expected; GOC-5 was down a bit to 3.45%.

PerpetualDiscounts now yield 6.53%, equivalent to 8.49% interest at the standard equivalency factor of 1.3x. Long corporates yielded 5.13% on 2024-5-24 and since then the closing price of ZLC has changed from 14.88 to 15.15, an increase of 181bp in price, implying a decrease of yields of 15bp (BMO reports a duration of 12.35, but don’t disclose whether this is Macaulay or Modified; I will assume Modified) to 4.98%. Therefore, the pre-tax interest-equivalent spread (in this context, the “Seniority Spread”) has widened substantially to 355bp from the 315bp reported May 29.

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 0.4132 % 2,320.3
FixedFloater 0.00 % 0.00 % 0 0.00 0 0.4132 % 4,450.4
Floater 10.37 % 10.71 % 59,940 8.89 1 0.4132 % 2,564.8
OpRet 0.00 % 0.00 % 0 0.00 0 -0.0827 % 3,472.5
SplitShare 4.85 % 6.51 % 33,734 1.65 7 -0.0827 % 4,146.9
Interest-Bearing 0.00 % 0.00 % 0 0.00 0 -0.0827 % 3,235.5
Perpetual-Premium 0.00 % 0.00 % 0 0.00 0 0.3992 % 2,709.2
Perpetual-Discount 6.35 % 6.53 % 56,840 13.10 28 0.3992 % 2,954.3
FixedReset Disc 5.20 % 7.41 % 115,440 12.30 49 -1.0282 % 2,567.1
Insurance Straight 6.30 % 6.41 % 60,285 13.37 20 0.0987 % 2,878.6
FloatingReset 9.46 % 9.88 % 34,377 9.73 3 -3.1866 % 2,737.7
FixedReset Prem 6.35 % 6.55 % 212,431 4.04 7 -0.1525 % 2,532.4
FixedReset Bank Non 0.00 % 0.00 % 0 0.00 0 -1.0282 % 2,624.1
FixedReset Ins Non 5.09 % 6.79 % 101,230 13.03 14 -1.0604 % 2,792.0
Performance Highlights
Issue Index Change Notes
NA.PR.W FixedReset Disc -26.40 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-06-05
Maturity Price : 16.20
Evaluated at bid price : 16.20
Bid-YTW : 9.03 %
SLF.PR.J FloatingReset -9.82 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-06-05
Maturity Price : 15.97
Evaluated at bid price : 15.97
Bid-YTW : 9.88 %
MFC.PR.M FixedReset Ins Non -7.30 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-06-05
Maturity Price : 19.56
Evaluated at bid price : 19.56
Bid-YTW : 7.61 %
TD.PF.J FixedReset Disc -7.13 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-06-05
Maturity Price : 22.23
Evaluated at bid price : 22.80
Bid-YTW : 6.87 %
CCS.PR.C Insurance Straight -5.85 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-06-05
Maturity Price : 18.50
Evaluated at bid price : 18.50
Bid-YTW : 6.78 %
IFC.PR.E Insurance Straight -2.32 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-06-05
Maturity Price : 20.60
Evaluated at bid price : 20.60
Bid-YTW : 6.45 %
SLF.PR.G FixedReset Ins Non -2.07 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-06-05
Maturity Price : 17.01
Evaluated at bid price : 17.01
Bid-YTW : 7.09 %
MFC.PR.F FixedReset Ins Non -1.95 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-06-05
Maturity Price : 16.55
Evaluated at bid price : 16.55
Bid-YTW : 7.08 %
BN.PR.R FixedReset Disc -1.70 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-06-05
Maturity Price : 16.17
Evaluated at bid price : 16.17
Bid-YTW : 8.64 %
PWF.PR.P FixedReset Disc -1.68 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-06-05
Maturity Price : 15.20
Evaluated at bid price : 15.20
Bid-YTW : 8.02 %
SLF.PR.C Insurance Straight -1.34 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-06-05
Maturity Price : 18.43
Evaluated at bid price : 18.43
Bid-YTW : 6.05 %
PWF.PR.T FixedReset Disc -1.27 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-06-05
Maturity Price : 21.51
Evaluated at bid price : 21.80
Bid-YTW : 6.85 %
IFC.PR.C FixedReset Ins Non -1.18 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-06-05
Maturity Price : 21.49
Evaluated at bid price : 21.85
Bid-YTW : 6.77 %
TD.PF.E FixedReset Disc -1.10 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-06-05
Maturity Price : 21.93
Evaluated at bid price : 22.50
Bid-YTW : 6.93 %
TD.PF.A FixedReset Disc -1.09 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-06-05
Maturity Price : 22.52
Evaluated at bid price : 23.50
Bid-YTW : 6.23 %
RY.PR.M FixedReset Disc -1.06 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-06-05
Maturity Price : 21.91
Evaluated at bid price : 22.46
Bid-YTW : 6.63 %
FTS.PR.H FixedReset Disc -1.05 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-06-05
Maturity Price : 15.07
Evaluated at bid price : 15.07
Bid-YTW : 8.09 %
IFC.PR.A FixedReset Ins Non -1.01 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-06-05
Maturity Price : 19.51
Evaluated at bid price : 19.51
Bid-YTW : 6.86 %
BN.PF.J FixedReset Disc -1.00 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-06-05
Maturity Price : 22.24
Evaluated at bid price : 22.77
Bid-YTW : 7.41 %
GWO.PR.I Insurance Straight 1.13 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-06-05
Maturity Price : 17.90
Evaluated at bid price : 17.90
Bid-YTW : 6.30 %
GWO.PR.G Insurance Straight 1.29 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-06-05
Maturity Price : 20.46
Evaluated at bid price : 20.46
Bid-YTW : 6.37 %
GWO.PR.H Insurance Straight 1.32 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-06-05
Maturity Price : 19.15
Evaluated at bid price : 19.15
Bid-YTW : 6.35 %
GWO.PR.M Insurance Straight 1.66 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-06-05
Maturity Price : 22.33
Evaluated at bid price : 22.60
Bid-YTW : 6.42 %
RY.PR.O Perpetual-Discount 1.75 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-06-05
Maturity Price : 23.05
Evaluated at bid price : 23.30
Bid-YTW : 5.29 %
GWO.PR.T Insurance Straight 2.56 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-06-05
Maturity Price : 20.05
Evaluated at bid price : 20.05
Bid-YTW : 6.44 %
CU.PR.G Perpetual-Discount 3.01 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-06-05
Maturity Price : 17.82
Evaluated at bid price : 17.82
Bid-YTW : 6.37 %
MIC.PR.A Perpetual-Discount 3.18 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-06-05
Maturity Price : 19.81
Evaluated at bid price : 19.81
Bid-YTW : 6.97 %
Volume Highlights
Issue Index Shares
Traded
Notes
SLF.PR.D Insurance Straight 317,600 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-06-05
Maturity Price : 18.51
Evaluated at bid price : 18.51
Bid-YTW : 6.03 %
MFC.PR.C Insurance Straight 287,400 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-06-05
Maturity Price : 18.58
Evaluated at bid price : 18.58
Bid-YTW : 6.08 %
SLF.PR.E Insurance Straight 270,500 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-06-05
Maturity Price : 18.67
Evaluated at bid price : 18.67
Bid-YTW : 6.04 %
RY.PR.N Perpetual-Discount 203,800 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-06-05
Maturity Price : 23.07
Evaluated at bid price : 23.31
Bid-YTW : 5.29 %
CU.PR.I FixedReset Disc 201,500 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-06-05
Maturity Price : 23.07
Evaluated at bid price : 23.50
Bid-YTW : 7.51 %
BN.PR.T FixedReset Disc 137,314 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-06-05
Maturity Price : 16.40
Evaluated at bid price : 16.40
Bid-YTW : 8.53 %
TD.PF.I FixedReset Prem 110,986 YTW SCENARIO
Maturity Type : Call
Maturity Date : 2027-10-31
Maturity Price : 25.00
Evaluated at bid price : 25.18
Bid-YTW : 6.31 %
There were 34 other index-included issues trading in excess of 10,000 shares.
Wide Spread Highlights
Issue Index Quote Data and Yield Notes
NA.PR.W FixedReset Disc Quote: 16.20 – 22.30
Spot Rate : 6.1000
Average : 3.2960

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-06-05
Maturity Price : 16.20
Evaluated at bid price : 16.20
Bid-YTW : 9.03 %

GWO.PR.S Insurance Straight Quote: 20.46 – 22.48
Spot Rate : 2.0200
Average : 1.1713

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-06-05
Maturity Price : 20.46
Evaluated at bid price : 20.46
Bid-YTW : 6.43 %

TD.PF.J FixedReset Disc Quote: 22.80 – 24.57
Spot Rate : 1.7700
Average : 1.0018

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-06-05
Maturity Price : 22.23
Evaluated at bid price : 22.80
Bid-YTW : 6.87 %

CCS.PR.C Insurance Straight Quote: 18.50 – 20.30
Spot Rate : 1.8000
Average : 1.1769

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-06-05
Maturity Price : 18.50
Evaluated at bid price : 18.50
Bid-YTW : 6.78 %

SLF.PR.J FloatingReset Quote: 15.97 – 17.50
Spot Rate : 1.5300
Average : 0.9194

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-06-05
Maturity Price : 15.97
Evaluated at bid price : 15.97
Bid-YTW : 9.88 %

MFC.PR.M FixedReset Ins Non Quote: 19.56 – 22.11
Spot Rate : 2.5500
Average : 1.9578

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-06-05
Maturity Price : 19.56
Evaluated at bid price : 19.56
Bid-YTW : 7.61 %

BoC Cuts Policy Rate 25bp to 4.75%; Prime Follows

June 5th, 2024

The Bank of Canada has announced it has:

reduced its target for the overnight rate to 4¾%, with the Bank Rate at 5% and the deposit rate at 4¾%. The Bank is continuing its policy of balance sheet normalization.

The global economy grew by about 3% in the first quarter of 2024, broadly in line with the Bank’s April Monetary Policy Report (MPR) projection. In the United States, the economy expanded more slowly than was expected, as weakness in exports and inventories weighed on activity. Growth in private domestic demand remained strong but eased. In the euro area, activity picked up in the first quarter of 2024. China’s economy was also stronger in the first quarter, buoyed by exports and industrial production, although domestic demand remained weak. Inflation in most advanced economies continues to ease, although progress towards price stability is bumpy and is proceeding at different speeds across regions. Oil prices have averaged close to the MPR assumptions, and financial conditions are little changed since April.

In Canada, economic growth resumed in the first quarter of 2024 after stalling in the second half of last year. At 1.7%, first-quarter GDP growth was slower than forecast in the MPR. Weaker inventory investment dampened activity. Consumption growth was solid at about 3%, and business investment and housing activity also increased. Labour market data show businesses continue to hire, although employment has been growing at a slower pace than the working-age population. Wage pressures remain but look to be moderating gradually. Overall, recent data suggest the economy is still operating in excess supply.

CPI inflation eased further in April, to 2.7%. The Bank’s preferred measures of core inflation also slowed and three-month measures suggest continued downward momentum. Indicators of the breadth of price increases across components of the CPI have moved down further and are near their historical average. However, shelter price inflation remains high.

With continued evidence that underlying inflation is easing, Governing Council agreed that monetary policy no longer needs to be as restrictive and reduced the policy interest rate by 25 basis points. Recent data has increased our confidence that inflation will continue to move towards the 2% target. Nonetheless, risks to the inflation outlook remain. Governing Council is closely watching the evolution of core inflation and remains particularly focused 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.

Mark Rendell in the Globe reports:

In the wake of the announcement, bonds rallied and yields fell, while the Canadian dollar weakened against the U.S. dollar, dropping briefly into the US$0.72 range before rebounding. Bay Street traders, meanwhile, upped their bets on further cuts this year.

Interest-rate swap markets, which capture expectations about monetary policy, now put the odds of another rate cut at the next BoC meeting on July 24 at around 40 per cent, according to Refinitiv data. Markets are pricing in two more cuts between now and the end of the year.

“Inflation remains above the 2-per-cent target and shelter inflation is high,” Mr. Macklem said Wednesday. “But total consumer price index inflation has declined consistently over the course of this year, and indicators of underlying inflation increasingly point to a sustained easing.”

This has not been without costs. The Canadian economy has flatlined over the past year, and actually shrank on a per-capita basis. Business insolvencies are up and the unemployment rate has risen a full percentage point as job creation has failed to keep pace with population growth.

Meanwhile, the country is facing a wall of mortgage renewals. Only about half of all homeowners with mortgages have renewed since rates started to rise in 2022. The other half, many of whom took on large mortgages when interest rates were at rock-bottom during the pandemic, are looking at huge payment shocks when they renew over the next few years.

And Darcy Keith provides a snapshot of the swaps market at 10:02am, seventeen minutes after the announcement:

Prime followed:

Well, Rob Carrick and Ryan Siever will be mad – nothing on the way up and precious few hopes for the way down:

There’s a case to be made for banks giving borrowers a break when what is expected to be the biggest interest rate hike in 22 years is announced on Wednesday.

A brief flashback to 2015 is required to get the sense of this story. The economy back then was in the opposite shape of what it is now – weak enough to prompt the Bank of Canada to cut its trendsetting overnight rate by 0.25 of a percentage point in January and again in July.

The big banks hijacked part of that rate cut. While the overnight rate fell by a total 0.5 of a point, the banks cut their prime rate by cumulative 0.3 of a point. They held back the rest of the rate cut to build their revenues and profit.

There was a delay in reducing the prime when the Canada Overnight rate dropped 25bp to 0.75% in January 2015 and again when Canada Overnight dropped a further 25bp to 0.50% in July of that year.

June 4, 2024

June 4th, 2024
HIMIPref™ Preferred Indices
These values reflect the December 2008 revision of the HIMIPref™ Indices

Values are provisional and are finalized monthly
Index Mean
Current
Yield
(at bid)
Median
YTW
Median
Average
Trading
Value
Median
Mod Dur
(YTW)
Issues Day’s Perf. Index Value
Ratchet 0.00 % 0.00 % 0 0.00 0 0.0000 % 2,310.8
FixedFloater 0.00 % 0.00 % 0 0.00 0 0.0000 % 4,432.1
Floater 10.41 % 10.76 % 60,337 8.86 1 0.0000 % 2,554.2
OpRet 0.00 % 0.00 % 0 0.00 0 0.3139 % 3,475.3
SplitShare 4.84 % 6.34 % 33,522 1.65 7 0.3139 % 4,150.3
Interest-Bearing 0.00 % 0.00 % 0 0.00 0 0.3139 % 3,238.2
Perpetual-Premium 0.00 % 0.00 % 0 0.00 0 -0.4187 % 2,698.5
Perpetual-Discount 6.38 % 6.55 % 52,619 13.08 28 -0.4187 % 2,942.5
FixedReset Disc 5.15 % 7.16 % 112,770 12.48 49 -0.3475 % 2,593.8
Insurance Straight 6.31 % 6.41 % 58,675 13.37 20 -0.5314 % 2,875.8
FloatingReset 9.16 % 9.12 % 34,478 10.17 3 0.2705 % 2,827.8
FixedReset Prem 6.34 % 6.55 % 214,262 4.05 7 0.1244 % 2,536.3
FixedReset Bank Non 0.00 % 0.00 % 0 0.00 0 -0.3475 % 2,651.4
FixedReset Ins Non 5.04 % 6.78 % 101,160 13.09 14 0.1233 % 2,821.9
Performance Highlights
Issue Index Change Notes
BN.PR.X FixedReset Disc -5.29 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-06-04
Maturity Price : 16.10
Evaluated at bid price : 16.10
Bid-YTW : 8.34 %
CU.PR.G Perpetual-Discount -4.16 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-06-04
Maturity Price : 17.30
Evaluated at bid price : 17.30
Bid-YTW : 6.56 %
SLF.PR.D Insurance Straight -2.80 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-06-04
Maturity Price : 18.41
Evaluated at bid price : 18.41
Bid-YTW : 6.06 %
MFC.PR.J FixedReset Ins Non -2.77 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-06-04
Maturity Price : 22.65
Evaluated at bid price : 23.53
Bid-YTW : 6.62 %
GWO.PR.T Insurance Straight -2.74 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-06-04
Maturity Price : 19.55
Evaluated at bid price : 19.55
Bid-YTW : 6.60 %
RY.PR.S FixedReset Disc -2.69 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-06-04
Maturity Price : 22.90
Evaluated at bid price : 24.25
Bid-YTW : 6.17 %
CU.PR.I FixedReset Disc -2.24 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-06-04
Maturity Price : 23.13
Evaluated at bid price : 23.56
Bid-YTW : 7.49 %
RY.PR.O Perpetual-Discount -1.72 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-06-04
Maturity Price : 22.63
Evaluated at bid price : 22.90
Bid-YTW : 5.38 %
GWO.PR.I Insurance Straight -1.50 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-06-04
Maturity Price : 17.70
Evaluated at bid price : 17.70
Bid-YTW : 6.37 %
MFC.PR.C Insurance Straight -1.33 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-06-04
Maturity Price : 18.57
Evaluated at bid price : 18.57
Bid-YTW : 6.09 %
CM.PR.O FixedReset Disc -1.31 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-06-04
Maturity Price : 22.80
Evaluated at bid price : 24.08
Bid-YTW : 6.19 %
CU.PR.C FixedReset Disc -1.29 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-06-04
Maturity Price : 20.66
Evaluated at bid price : 20.66
Bid-YTW : 7.16 %
FFH.PR.G FixedReset Disc -1.10 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-06-04
Maturity Price : 18.00
Evaluated at bid price : 18.00
Bid-YTW : 8.27 %
MFC.PR.K FixedReset Ins Non -1.05 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-06-04
Maturity Price : 22.62
Evaluated at bid price : 23.55
Bid-YTW : 6.36 %
MFC.PR.Q FixedReset Ins Non -1.04 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-06-04
Maturity Price : 22.74
Evaluated at bid price : 23.75
Bid-YTW : 6.44 %
BN.PF.D Perpetual-Discount -1.02 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-06-04
Maturity Price : 18.36
Evaluated at bid price : 18.36
Bid-YTW : 6.82 %
SLF.PR.J FloatingReset 1.20 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-06-04
Maturity Price : 17.71
Evaluated at bid price : 17.71
Bid-YTW : 8.90 %
PVS.PR.K SplitShare 2.19 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2029-05-31
Maturity Price : 25.00
Evaluated at bid price : 23.31
Bid-YTW : 6.07 %
BN.PR.Z FixedReset Disc 4.48 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-06-04
Maturity Price : 21.00
Evaluated at bid price : 21.00
Bid-YTW : 7.89 %
MFC.PR.M FixedReset Ins Non 7.87 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-06-04
Maturity Price : 21.10
Evaluated at bid price : 21.10
Bid-YTW : 7.06 %
Volume Highlights
Issue Index Shares
Traded
Notes
CU.PR.I FixedReset Disc 123,000 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-06-04
Maturity Price : 23.13
Evaluated at bid price : 23.56
Bid-YTW : 7.49 %
FTS.PR.M FixedReset Disc 111,916 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-06-04
Maturity Price : 20.00
Evaluated at bid price : 20.00
Bid-YTW : 7.62 %
TD.PF.C FixedReset Disc 93,722 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-06-04
Maturity Price : 22.12
Evaluated at bid price : 22.77
Bid-YTW : 6.42 %
TD.PF.A FixedReset Disc 86,875 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-06-04
Maturity Price : 22.94
Evaluated at bid price : 23.76
Bid-YTW : 6.16 %
BMO.PR.T FixedReset Disc 58,348 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-06-04
Maturity Price : 23.07
Evaluated at bid price : 24.07
Bid-YTW : 6.08 %
CM.PR.O FixedReset Disc 54,398 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-06-04
Maturity Price : 22.80
Evaluated at bid price : 24.08
Bid-YTW : 6.19 %
There were 19 other index-included issues trading in excess of 10,000 shares.
Wide Spread Highlights
Issue Index Quote Data and Yield Notes
PVS.PR.K SplitShare Quote: 23.31 – 25.00
Spot Rate : 1.6900
Average : 1.1941

YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2029-05-31
Maturity Price : 25.00
Evaluated at bid price : 23.31
Bid-YTW : 6.07 %

RY.PR.O Perpetual-Discount Quote: 22.90 – 23.90
Spot Rate : 1.0000
Average : 0.6013

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-06-04
Maturity Price : 22.63
Evaluated at bid price : 22.90
Bid-YTW : 5.38 %

BN.PR.X FixedReset Disc Quote: 16.10 – 17.15
Spot Rate : 1.0500
Average : 0.6514

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-06-04
Maturity Price : 16.10
Evaluated at bid price : 16.10
Bid-YTW : 8.34 %

CU.PR.C FixedReset Disc Quote: 20.66 – 22.58
Spot Rate : 1.9200
Average : 1.5329

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-06-04
Maturity Price : 20.66
Evaluated at bid price : 20.66
Bid-YTW : 7.16 %

GWO.PR.R Insurance Straight Quote: 18.76 – 19.80
Spot Rate : 1.0400
Average : 0.6848

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-06-04
Maturity Price : 18.76
Evaluated at bid price : 18.76
Bid-YTW : 6.41 %

RY.PR.S FixedReset Disc Quote: 24.25 – 24.98
Spot Rate : 0.7300
Average : 0.4235

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-06-04
Maturity Price : 22.90
Evaluated at bid price : 24.25
Bid-YTW : 6.17 %