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April 8, 2024

Monday, April 8th, 2024
HIMIPref™ Preferred Indices
These values reflect the December 2008 revision of the HIMIPref™ Indices
Values are provisional and are finalized monthly
Index Mean
Current
Yield
(at bid)		 Median
YTW		 Median
Average
Trading
Value		 Median
Mod Dur
(YTW)		 Issues Day’s Perf. Index Value
Ratchet 0.00 % 0.00 % 0 0.00 0 0.1613 % 2,371.9
FixedFloater 0.00 % 0.00 % 0 0.00 0 0.1613 % 4,549.3
Floater 10.14 % 10.29 % 42,808 9.33 1 0.1613 % 2,621.8
OpRet 0.00 % 0.00 % 0 0.00 0 -0.0955 % 3,435.4
SplitShare 4.90 % 6.99 % 32,075 1.78 7 -0.0955 % 4,102.6
Interest-Bearing 0.00 % 0.00 % 0 0.00 0 -0.0955 % 3,201.0
Perpetual-Premium 0.00 % 0.00 % 0 0.00 0 -0.7968 % 2,644.0
Perpetual-Discount 6.50 % 6.62 % 45,643 13.09 29 -0.7968 % 2,883.1
FixedReset Disc 5.31 % 7.11 % 103,564 12.20 57 0.1260 % 2,509.5
Insurance Straight 6.42 % 6.56 % 51,488 13.14 21 -0.5497 % 2,827.3
FloatingReset 9.75 % 9.77 % 33,018 9.75 2 0.0000 % 2,648.3
FixedReset Prem 6.40 % 6.48 % 220,553 3.19 3 -0.2648 % 2,513.9
FixedReset Bank Non 0.00 % 0.00 % 0 0.00 0 0.1260 % 2,565.2
FixedReset Ins Non 5.41 % 7.37 % 71,561 12.35 14 -0.0221 % 2,624.8
Performance Highlights
Issue Index Change Notes
IFC.PR.A FixedReset Ins Non -2.51 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-04-08
Maturity Price : 17.90
Evaluated at bid price : 17.90
Bid-YTW : 7.42 %
CU.PR.E Perpetual-Discount -2.34 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-04-08
Maturity Price : 18.80
Evaluated at bid price : 18.80
Bid-YTW : 6.62 %
GWO.PR.S Insurance Straight -1.23 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-04-08
Maturity Price : 20.00
Evaluated at bid price : 20.00
Bid-YTW : 6.63 %
IFC.PR.F Insurance Straight -1.23 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-04-08
Maturity Price : 20.15
Evaluated at bid price : 20.15
Bid-YTW : 6.64 %
IFC.PR.I Insurance Straight -1.20 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-04-08
Maturity Price : 20.55
Evaluated at bid price : 20.55
Bid-YTW : 6.63 %
GWO.PR.Q Insurance Straight -1.11 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-04-08
Maturity Price : 19.58
Evaluated at bid price : 19.58
Bid-YTW : 6.64 %
NA.PR.W FixedReset Disc -1.11 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-04-08
Maturity Price : 20.55
Evaluated at bid price : 20.55
Bid-YTW : 7.11 %
FFH.PR.I FixedReset Disc -1.10 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-04-08
Maturity Price : 17.90
Evaluated at bid price : 17.90
Bid-YTW : 8.65 %
MFC.PR.Q FixedReset Ins Non -1.10 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-04-08
Maturity Price : 21.50
Evaluated at bid price : 21.50
Bid-YTW : 7.25 %
CU.PR.J Perpetual-Discount -1.09 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-04-08
Maturity Price : 18.16
Evaluated at bid price : 18.16
Bid-YTW : 6.64 %
FFH.PR.G FixedReset Disc 1.09 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-04-08
Maturity Price : 17.68
Evaluated at bid price : 17.68
Bid-YTW : 8.43 %
NA.PR.E FixedReset Disc 1.21 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-04-08
Maturity Price : 22.09
Evaluated at bid price : 22.60
Bid-YTW : 6.78 %
MFC.PR.I FixedReset Ins Non 1.59 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-04-08
Maturity Price : 21.98
Evaluated at bid price : 22.36
Bid-YTW : 7.24 %
FTS.PR.H FixedReset Disc 1.99 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-04-08
Maturity Price : 15.40
Evaluated at bid price : 15.40
Bid-YTW : 8.03 %
TD.PF.B FixedReset Disc 8.43 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-04-08
Maturity Price : 23.04
Evaluated at bid price : 23.95
Bid-YTW : 6.14 %
Volume Highlights
Issue Index Shares
Traded		 Notes
MFC.PR.F FixedReset Ins Non 53,800 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-04-08
Maturity Price : 15.35
Evaluated at bid price : 15.35
Bid-YTW : 7.70 %
BMO.PR.W FixedReset Disc 46,700 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-04-08
Maturity Price : 23.05
Evaluated at bid price : 23.75
Bid-YTW : 6.20 %
FTS.PR.M FixedReset Disc 39,300 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-04-08
Maturity Price : 19.18
Evaluated at bid price : 19.18
Bid-YTW : 8.05 %
CM.PR.O FixedReset Disc 27,900 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-04-08
Maturity Price : 22.84
Evaluated at bid price : 23.73
Bid-YTW : 6.25 %
BMO.PR.Y FixedReset Disc 25,300 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-04-08
Maturity Price : 22.62
Evaluated at bid price : 23.06
Bid-YTW : 6.69 %
GWO.PR.T Insurance Straight 25,300 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-04-08
Maturity Price : 19.51
Evaluated at bid price : 19.51
Bid-YTW : 6.66 %
There were 5 other index-included issues trading in excess of 10,000 shares.
Wide Spread Highlights
Issue Index Quote Data and Yield Notes
FTS.PR.H FixedReset Disc Quote: 15.40 – 16.54
Spot Rate : 1.1400
Average : 0.6894

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-04-08
Maturity Price : 15.40
Evaluated at bid price : 15.40
Bid-YTW : 8.03 %
CU.PR.C FixedReset Disc Quote: 20.09 – 21.84
Spot Rate : 1.7500
Average : 1.4118

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-04-08
Maturity Price : 20.09
Evaluated at bid price : 20.09
Bid-YTW : 7.45 %
MFC.PR.J FixedReset Ins Non Quote: 22.30 – 22.99
Spot Rate : 0.6900
Average : 0.4193

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-04-08
Maturity Price : 21.90
Evaluated at bid price : 22.30
Bid-YTW : 7.09 %
PWF.PR.G Perpetual-Discount Quote: 22.38 – 22.95
Spot Rate : 0.5700
Average : 0.3895

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-04-08
Maturity Price : 22.10
Evaluated at bid price : 22.38
Bid-YTW : 6.60 %
BIP.PR.F FixedReset Disc Quote: 20.80 – 21.40
Spot Rate : 0.6000
Average : 0.4255

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-04-08
Maturity Price : 20.80
Evaluated at bid price : 20.80
Bid-YTW : 7.96 %
MFC.PR.Q FixedReset Ins Non Quote: 21.50 – 22.40
Spot Rate : 0.9000
Average : 0.7301

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-04-08
Maturity Price : 21.50
Evaluated at bid price : 21.50
Bid-YTW : 7.25 %

Posted in Market Action | 1 Comment »

April 5, 2024

Friday, April 5th, 2024

Jobs, jobs, jobs!

Employers added 303,000 jobs in March on a seasonally adjusted basis, the Labor Department reported on Friday, and the unemployment rate fell to 3.8 percent, from 3.9 percent in February. Expectations of a recession among experts, once widespread, are now increasingly rare.
…
The private sector added 232,000 jobs overall. Construction added 39,000 jobs in March, about twice its average monthly gain in the past year. Employment in hospitality and leisure, which plunged during the pandemic, continues to bounce back and is now above its February 2020 levels.
…
Employment growth in sectors like professional and business services, finance and information remains soft. Daniel Zhao, the lead economist at the career site Glassdoor, pointed out that these three sectors collectively added just 10,000 jobs in March — a fresh indication of how white-collar employers have grown much more picky since their hiring spree during the pandemic.

“Companies are hiring selectively, prioritizing quality over quantity,” said Tom Gimbel, the chief executive of the LaSalle Network, a Chicago-based staffing and recruiting firm.
…
In an interview with Bloomberg in March, Liz Everett Krisberg, the head of the Bank of America Institute, noted a crucial overarching reality for households: The monthly median value of savings and checking balances is more than 40 percent higher than in 2019 for all income levels tracked by the bank.

Delinquencies are on the rise for subprime borrowers of cars and credit cards. But the overall percentage of household disposable income going to debt payments is still below its prepandemic low.

In the Frozen North, not so much:

Canada’s unemployment rate jumped to 6.1 per cent in March as more people looked for work, Statistics Canada reported Friday.

The figure is up from 5.8 per cent in February and marks the largest increase in the unemployment rate since summer 2022.

The federal agency’s labour force survey shows employment was little changed last month, with the economy shedding 2,200 jobs, after modest increases over the last several months.
…
Youth are particularly feeling the chill in the labour market. Employment among those aged 15 to 24 declined by 28,000 in March and the jobless rate for the group rose to 12.6 per cent, the highest it’s been since September 2016 outside of 2020 and 2021.

Friday’s report shows job losses last month were concentrated in accommodation and food services, followed by wholesale and retail trade and professional, scientific and technical services.

Meanwhile, employment increased in four industries, led by health care and social assistance.
…
Despite weaker labour market conditions, wage growth continued to grow rapidly, with average hourly wages rising 5.1 per cent annually.

HIMIPref™ Preferred Indices
These values reflect the December 2008 revision of the HIMIPref™ Indices
Values are provisional and are finalized monthly
Index Mean
Current
Yield
(at bid)		 Median
YTW		 Median
Average
Trading
Value		 Median
Mod Dur
(YTW)		 Issues Day’s Perf. Index Value
Ratchet 0.00 % 0.00 % 0 0.00 0 0.0000 % 2,368.1
FixedFloater 0.00 % 0.00 % 0 0.00 0 0.0000 % 4,542.0
Floater 10.16 % 10.30 % 42,738 9.33 1 0.0000 % 2,617.6
OpRet 0.00 % 0.00 % 0 0.00 0 0.0896 % 3,438.7
SplitShare 4.90 % 7.08 % 32,683 1.79 7 0.0896 % 4,106.5
Interest-Bearing 0.00 % 0.00 % 0 0.00 0 0.0896 % 3,204.1
Perpetual-Premium 0.00 % 0.00 % 0 0.00 0 -0.0244 % 2,665.2
Perpetual-Discount 6.45 % 6.63 % 45,823 13.01 29 -0.0244 % 2,906.3
FixedReset Disc 5.31 % 7.03 % 105,506 12.12 57 0.0917 % 2,506.4
Insurance Straight 6.38 % 6.54 % 51,575 13.17 21 -0.0316 % 2,843.0
FloatingReset 9.80 % 9.81 % 34,349 9.72 2 0.8300 % 2,648.3
FixedReset Prem 6.38 % 6.55 % 228,289 4.19 3 -0.2114 % 2,520.5
FixedReset Bank Non 0.00 % 0.00 % 0 0.00 0 0.0917 % 2,562.0
FixedReset Ins Non 5.41 % 7.36 % 71,693 12.42 14 0.2765 % 2,625.3
Performance Highlights
Issue Index Change Notes
TD.PF.B FixedReset Disc -6.89 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-04-05
Maturity Price : 21.83
Evaluated at bid price : 22.30
Bid-YTW : 6.69 %
BN.PR.R FixedReset Disc -1.82 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-04-05
Maturity Price : 15.12
Evaluated at bid price : 15.12
Bid-YTW : 9.20 %
RY.PR.N Perpetual-Discount -1.43 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-04-05
Maturity Price : 21.73
Evaluated at bid price : 22.00
Bid-YTW : 5.64 %
MIC.PR.A Perpetual-Discount -1.31 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-04-05
Maturity Price : 18.84
Evaluated at bid price : 18.84
Bid-YTW : 7.24 %
BN.PR.Z FixedReset Disc 1.01 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-04-05
Maturity Price : 20.10
Evaluated at bid price : 20.10
Bid-YTW : 8.16 %
BN.PF.G FixedReset Disc 1.02 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-04-05
Maturity Price : 17.75
Evaluated at bid price : 17.75
Bid-YTW : 8.88 %
FFH.PR.I FixedReset Disc 1.12 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-04-05
Maturity Price : 18.10
Evaluated at bid price : 18.10
Bid-YTW : 8.55 %
SLF.PR.J FloatingReset 1.87 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-04-05
Maturity Price : 16.35
Evaluated at bid price : 16.35
Bid-YTW : 10.09 %
CU.PR.I FixedReset Disc 1.95 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-04-05
Maturity Price : 22.66
Evaluated at bid price : 23.05
Bid-YTW : 7.74 %
BIK.PR.A FixedReset Disc 2.00 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-04-05
Maturity Price : 23.16
Evaluated at bid price : 25.00
Bid-YTW : 7.65 %
IFC.PR.A FixedReset Ins Non 4.38 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-04-05
Maturity Price : 18.36
Evaluated at bid price : 18.36
Bid-YTW : 7.23 %
Volume Highlights
Issue Index Shares
Traded		 Notes
BMO.PR.Y FixedReset Disc 68,100 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-04-05
Maturity Price : 22.57
Evaluated at bid price : 23.00
Bid-YTW : 6.70 %
CU.PR.G Perpetual-Discount 61,534 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-04-05
Maturity Price : 17.37
Evaluated at bid price : 17.37
Bid-YTW : 6.58 %
BMO.PR.W FixedReset Disc 49,985 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-04-05
Maturity Price : 23.00
Evaluated at bid price : 23.69
Bid-YTW : 6.21 %
RY.PR.S FixedReset Disc 49,092 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-04-05
Maturity Price : 22.39
Evaluated at bid price : 23.20
Bid-YTW : 6.54 %
RY.PR.J FixedReset Disc 42,060 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-04-05
Maturity Price : 21.94
Evaluated at bid price : 22.50
Bid-YTW : 6.95 %
MFC.PR.N FixedReset Ins Non 31,930 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-04-05
Maturity Price : 19.70
Evaluated at bid price : 19.70
Bid-YTW : 7.51 %
There were 14 other index-included issues trading in excess of 10,000 shares.
Wide Spread Highlights
Issue Index Quote Data and Yield Notes
TD.PF.B FixedReset Disc Quote: 22.30 – 24.16
Spot Rate : 1.8600
Average : 1.0496

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-04-05
Maturity Price : 21.83
Evaluated at bid price : 22.30
Bid-YTW : 6.69 %
CU.PR.C FixedReset Disc Quote: 20.10 – 21.84
Spot Rate : 1.7400
Average : 1.0409

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-04-05
Maturity Price : 20.10
Evaluated at bid price : 20.10
Bid-YTW : 7.44 %
GWO.PR.Y Insurance Straight Quote: 17.54 – 18.10
Spot Rate : 0.5600
Average : 0.3937

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-04-05
Maturity Price : 17.54
Evaluated at bid price : 17.54
Bid-YTW : 6.47 %
BN.PR.X FixedReset Disc Quote: 15.50 – 16.00
Spot Rate : 0.5000
Average : 0.3345

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-04-05
Maturity Price : 15.50
Evaluated at bid price : 15.50
Bid-YTW : 8.60 %
MIC.PR.A Perpetual-Discount Quote: 18.84 – 19.34
Spot Rate : 0.5000
Average : 0.3390

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-04-05
Maturity Price : 18.84
Evaluated at bid price : 18.84
Bid-YTW : 7.24 %
BIP.PR.A FixedReset Disc Quote: 19.50 – 20.22
Spot Rate : 0.7200
Average : 0.6009

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-04-05
Maturity Price : 19.50
Evaluated at bid price : 19.50
Bid-YTW : 9.01 %

Posted in Market Action | No Comments »

April 4, 2024

Thursday, April 4th, 2024

Well, the jobs numbers come out tomorrow and we will see what we will see! Could be a wild one … could be a fizzle. Not knowing is half the fun; not caring is the other half!

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 -0.1610 % 2,368.1
FixedFloater 0.00 % 0.00 % 0 0.00 0 -0.1610 % 4,542.0
Floater 10.16 % 10.30 % 44,153 9.34 1 -0.1610 % 2,617.6
OpRet 0.00 % 0.00 % 0 0.00 0 -0.0597 % 3,435.6
SplitShare 4.90 % 7.11 % 34,021 1.79 7 -0.0597 % 4,102.9
Interest-Bearing 0.00 % 0.00 % 0 0.00 0 -0.0597 % 3,201.2
Perpetual-Premium 0.00 % 0.00 % 0 0.00 0 0.1149 % 2,665.8
Perpetual-Discount 6.45 % 6.64 % 46,396 12.99 29 0.1149 % 2,907.0
FixedReset Disc 5.32 % 7.02 % 107,723 12.12 57 0.1271 % 2,504.1
Insurance Straight 6.38 % 6.54 % 49,773 13.17 21 0.1973 % 2,843.9
FloatingReset 9.88 % 9.81 % 33,695 9.72 2 -0.1871 % 2,626.5
FixedReset Prem 6.37 % 6.52 % 236,053 4.19 3 -0.2767 % 2,525.9
FixedReset Bank Non 0.00 % 0.00 % 0 0.00 0 0.1271 % 2,559.7
FixedReset Ins Non 5.43 % 7.36 % 74,072 12.35 14 0.2032 % 2,618.1
Performance Highlights
Issue Index Change Notes
MFC.PR.C Insurance Straight -1.82 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-04-04
Maturity Price : 18.30
Evaluated at bid price : 18.30
Bid-YTW : 6.21 %
BIK.PR.A FixedReset Disc -1.76 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-04-04
Maturity Price : 22.99
Evaluated at bid price : 24.51
Bid-YTW : 7.82 %
MFC.PR.I FixedReset Ins Non -1.56 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-04-04
Maturity Price : 21.76
Evaluated at bid price : 22.05
Bid-YTW : 7.34 %
BN.PF.J FixedReset Disc -1.23 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-04-04
Maturity Price : 20.91
Evaluated at bid price : 20.91
Bid-YTW : 8.02 %
GWO.PR.T Insurance Straight -1.01 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-04-04
Maturity Price : 19.53
Evaluated at bid price : 19.53
Bid-YTW : 6.65 %
BN.PF.G FixedReset Disc 1.04 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-04-04
Maturity Price : 17.57
Evaluated at bid price : 17.57
Bid-YTW : 8.96 %
NA.PR.C FixedReset Prem 1.05 % YTW SCENARIO
Maturity Type : Call
Maturity Date : 2027-11-15
Maturity Price : 25.00
Evaluated at bid price : 25.36
Bid-YTW : 6.38 %
RY.PR.O Perpetual-Discount 1.09 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-04-04
Maturity Price : 22.03
Evaluated at bid price : 22.31
Bid-YTW : 5.55 %
BN.PR.T FixedReset Disc 1.17 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-04-04
Maturity Price : 15.55
Evaluated at bid price : 15.55
Bid-YTW : 8.94 %
BN.PR.R FixedReset Disc 1.18 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-04-04
Maturity Price : 15.40
Evaluated at bid price : 15.40
Bid-YTW : 9.04 %
BN.PF.I FixedReset Disc 1.20 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-04-04
Maturity Price : 21.05
Evaluated at bid price : 21.05
Bid-YTW : 8.47 %
CU.PR.I FixedReset Disc 1.48 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-04-04
Maturity Price : 22.26
Evaluated at bid price : 22.61
Bid-YTW : 7.89 %
NA.PR.G FixedReset Prem 1.55 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-04-04
Maturity Price : 23.22
Evaluated at bid price : 25.10
Bid-YTW : 6.52 %
SLF.PR.H FixedReset Ins Non 1.94 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-04-04
Maturity Price : 18.40
Evaluated at bid price : 18.40
Bid-YTW : 7.36 %
FTS.PR.H FixedReset Disc 2.09 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-04-04
Maturity Price : 15.13
Evaluated at bid price : 15.13
Bid-YTW : 8.16 %
TD.PF.A FixedReset Disc 2.39 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-04-04
Maturity Price : 22.84
Evaluated at bid price : 23.55
Bid-YTW : 6.25 %
POW.PR.A Perpetual-Discount 3.90 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-04-04
Maturity Price : 21.30
Evaluated at bid price : 21.30
Bid-YTW : 6.61 %
GWO.PR.M Insurance Straight 4.57 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-04-04
Maturity Price : 22.15
Evaluated at bid price : 22.43
Bid-YTW : 6.51 %
Volume Highlights
Issue Index Shares
Traded		 Notes
CM.PR.O FixedReset Disc 96,147 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-04-04
Maturity Price : 22.62
Evaluated at bid price : 23.70
Bid-YTW : 6.25 %
BMO.PR.F FixedReset Disc 84,100 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-04-04
Maturity Price : 24.19
Evaluated at bid price : 25.05
Bid-YTW : 7.27 %
CM.PR.Y FixedReset Disc 59,200 YTW SCENARIO
Maturity Type : Call
Maturity Date : 2024-07-31
Maturity Price : 25.00
Evaluated at bid price : 24.80
Bid-YTW : 6.69 %
RY.PR.Z FixedReset Disc 51,062 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-04-04
Maturity Price : 22.08
Evaluated at bid price : 22.67
Bid-YTW : 6.57 %
BN.PF.G FixedReset Disc 41,548 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-04-04
Maturity Price : 17.57
Evaluated at bid price : 17.57
Bid-YTW : 8.96 %
FFH.PR.I FixedReset Disc 36,245 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-04-04
Maturity Price : 17.90
Evaluated at bid price : 17.90
Bid-YTW : 8.64 %
There were 17 other index-included issues trading in excess of 10,000 shares.
Wide Spread Highlights
Issue Index Quote Data and Yield Notes
BN.PR.R FixedReset Disc Quote: 15.40 – 16.10
Spot Rate : 0.7000
Average : 0.4409

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-04-04
Maturity Price : 15.40
Evaluated at bid price : 15.40
Bid-YTW : 9.04 %
MFC.PR.N FixedReset Ins Non Quote: 19.70 – 20.50
Spot Rate : 0.8000
Average : 0.5615

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-04-04
Maturity Price : 19.70
Evaluated at bid price : 19.70
Bid-YTW : 7.51 %
MFC.PR.C Insurance Straight Quote: 18.30 – 18.94
Spot Rate : 0.6400
Average : 0.4205

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-04-04
Maturity Price : 18.30
Evaluated at bid price : 18.30
Bid-YTW : 6.21 %
GWO.PR.T Insurance Straight Quote: 19.53 – 20.01
Spot Rate : 0.4800
Average : 0.3019

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-04-04
Maturity Price : 19.53
Evaluated at bid price : 19.53
Bid-YTW : 6.65 %
IFC.PR.A FixedReset Ins Non Quote: 17.59 – 18.50
Spot Rate : 0.9100
Average : 0.7775

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-04-04
Maturity Price : 17.59
Evaluated at bid price : 17.59
Bid-YTW : 7.55 %
MFC.PR.M FixedReset Ins Non Quote: 20.07 – 20.65
Spot Rate : 0.5800
Average : 0.4714

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-04-04
Maturity Price : 20.07
Evaluated at bid price : 20.07
Bid-YTW : 7.50 %

Posted in Market Action | 1 Comment »

April 3, 2024

Wednesday, April 3rd, 2024

The jobs numbers are coming out on Friday … and we have the usual level of speculation and teasers:

U.S. private payrolls increased more than expected in March, pointing to continued labour market strength.

Private payrolls rose by 184,000 jobs last month, the most since last July, after advancing by an upwardly revised 155,000 in February, the ADP Employment report showed on Wednesday.

Economists polled by Reuters had forecast private employment increasing by 148,000 last month compared to the previously reported 140,000 in February.

Wages for workers remaining in their jobs increased 5.1 per cent on a year-on-year basis, after a similar gain in February.
…
According to a Reuters survey of economists, the Labor Department’s Bureau of Labor Statistics is expected to report that private payrolls rose by 160,000 jobs in March after increasing 223,000 in February.

Total nonfarm payrolls are estimated to have increased by 200,000 jobs in March after rising 275,000 in the prior month. The unemployment rate is forecast unchanged at 3.9 per cent, and annual wage growth is seen slowing to 4.1 per cent from 4.3 per cent in February.

PerpetualDiscounts now yield 6.64%, equivalent to 8.63% interest at the standard equivalency factor of 1.3x. Long corporates yielded 5.05% on 2024-3-22 and since then the closing price of ZLC has changed from 15.09 to 14.79, a decrease of 199bp in price, implying an increase of yields of 16bp (BMO reports a duration of 12.43, but don’t disclose whether this is Macaulay or Modified; I will assume Modified) to 5.21%. Therefore, the pre-tax interest-equivalent spread (in this context, the “Seniority Spread”) has declined significantly to 340bp from the 355bp reported March 27.

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 1.6367 % 2,371.9
FixedFloater 0.00 % 0.00 % 0 0.00 0 1.6367 % 4,549.3
Floater 10.14 % 10.28 % 43,186 9.36 1 1.6367 % 2,621.8
OpRet 0.00 % 0.00 % 0 0.00 0 -0.1014 % 3,437.7
SplitShare 4.90 % 7.08 % 34,561 1.79 7 -0.1014 % 4,105.3
Interest-Bearing 0.00 % 0.00 % 0 0.00 0 -0.1014 % 3,203.1
Perpetual-Premium 0.00 % 0.00 % 0 0.00 0 -0.2311 % 2,662.8
Perpetual-Discount 6.46 % 6.64 % 47,942 12.96 29 -0.2311 % 2,903.6
FixedReset Disc 5.33 % 7.04 % 104,896 12.11 57 0.0993 % 2,500.9
Insurance Straight 6.39 % 6.55 % 48,165 13.16 21 -0.3714 % 2,838.3
FloatingReset 9.86 % 9.76 % 35,052 9.77 2 0.9714 % 2,631.5
FixedReset Prem 6.35 % 6.71 % 239,638 4.19 3 -0.2890 % 2,532.9
FixedReset Bank Non 0.00 % 0.00 % 0 0.00 0 0.0993 % 2,556.4
FixedReset Ins Non 5.44 % 7.40 % 70,724 12.39 14 -0.2101 % 2,612.8
Performance Highlights
Issue Index Change Notes
GWO.PR.M Insurance Straight -5.51 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-04-03
Maturity Price : 21.45
Evaluated at bid price : 21.45
Bid-YTW : 6.82 %
IFC.PR.A FixedReset Ins Non -4.14 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-04-03
Maturity Price : 17.59
Evaluated at bid price : 17.59
Bid-YTW : 7.55 %
POW.PR.A Perpetual-Discount -3.98 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-04-03
Maturity Price : 20.50
Evaluated at bid price : 20.50
Bid-YTW : 6.87 %
TD.PF.A FixedReset Disc -2.34 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-04-03
Maturity Price : 22.25
Evaluated at bid price : 23.00
Bid-YTW : 6.39 %
POW.PR.G Perpetual-Discount -1.41 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-04-03
Maturity Price : 20.95
Evaluated at bid price : 20.95
Bid-YTW : 6.72 %
PWF.PR.S Perpetual-Discount -1.40 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-04-03
Maturity Price : 18.34
Evaluated at bid price : 18.34
Bid-YTW : 6.69 %
BIP.PR.F FixedReset Disc -1.38 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-04-03
Maturity Price : 20.71
Evaluated at bid price : 20.71
Bid-YTW : 7.99 %
SLF.PR.H FixedReset Ins Non -1.20 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-04-03
Maturity Price : 18.05
Evaluated at bid price : 18.05
Bid-YTW : 7.49 %
BIP.PR.E FixedReset Disc -1.07 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-04-03
Maturity Price : 21.32
Evaluated at bid price : 21.32
Bid-YTW : 7.90 %
FTS.PR.F Perpetual-Discount -1.06 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-04-03
Maturity Price : 19.65
Evaluated at bid price : 19.65
Bid-YTW : 6.32 %
POW.PR.D Perpetual-Discount 1.05 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-04-03
Maturity Price : 19.30
Evaluated at bid price : 19.30
Bid-YTW : 6.51 %
MFC.PR.C Insurance Straight 1.08 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-04-03
Maturity Price : 18.64
Evaluated at bid price : 18.64
Bid-YTW : 6.10 %
FFH.PR.I FixedReset Disc 1.13 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-04-03
Maturity Price : 17.90
Evaluated at bid price : 17.90
Bid-YTW : 8.64 %
BIP.PR.A FixedReset Disc 1.41 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-04-03
Maturity Price : 19.37
Evaluated at bid price : 19.37
Bid-YTW : 9.07 %
FFH.PR.D FloatingReset 1.42 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-04-03
Maturity Price : 21.40
Evaluated at bid price : 21.40
Bid-YTW : 9.76 %
MFC.PR.I FixedReset Ins Non 1.59 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-04-03
Maturity Price : 22.00
Evaluated at bid price : 22.40
Bid-YTW : 7.22 %
BN.PR.B Floater 1.64 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-04-03
Maturity Price : 12.42
Evaluated at bid price : 12.42
Bid-YTW : 10.28 %
BIK.PR.A FixedReset Disc 1.80 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-04-03
Maturity Price : 23.15
Evaluated at bid price : 24.95
Bid-YTW : 7.67 %
RY.PR.M FixedReset Disc 4.73 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-04-03
Maturity Price : 21.70
Evaluated at bid price : 22.15
Bid-YTW : 6.79 %
Volume Highlights
Issue Index Shares
Traded		 Notes
BMO.PR.W FixedReset Disc 268,022 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-04-03
Maturity Price : 22.96
Evaluated at bid price : 23.65
Bid-YTW : 6.22 %
BMO.PR.S FixedReset Disc 156,366 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-04-03
Maturity Price : 23.12
Evaluated at bid price : 24.25
Bid-YTW : 6.24 %
TD.PF.A FixedReset Disc 126,400 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-04-03
Maturity Price : 22.25
Evaluated at bid price : 23.00
Bid-YTW : 6.39 %
BMO.PR.T FixedReset Disc 84,900 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-04-03
Maturity Price : 22.96
Evaluated at bid price : 23.80
Bid-YTW : 6.23 %
RY.PR.Z FixedReset Disc 83,320 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-04-03
Maturity Price : 22.05
Evaluated at bid price : 22.62
Bid-YTW : 6.59 %
BIP.PR.B FixedReset Disc 60,000 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-04-03
Maturity Price : 23.32
Evaluated at bid price : 23.70
Bid-YTW : 8.38 %
There were 15 other index-included issues trading in excess of 10,000 shares.
Wide Spread Highlights
Issue Index Quote Data and Yield Notes
GWO.PR.M Insurance Straight Quote: 21.45 – 23.13
Spot Rate : 1.6800
Average : 0.9630

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-04-03
Maturity Price : 21.45
Evaluated at bid price : 21.45
Bid-YTW : 6.82 %
CU.PR.I FixedReset Disc Quote: 22.28 – 23.50
Spot Rate : 1.2200
Average : 0.7359

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-04-03
Maturity Price : 21.79
Evaluated at bid price : 22.28
Bid-YTW : 7.99 %
POW.PR.A Perpetual-Discount Quote: 20.50 – 21.37
Spot Rate : 0.8700
Average : 0.5237

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-04-03
Maturity Price : 20.50
Evaluated at bid price : 20.50
Bid-YTW : 6.87 %
IFC.PR.K Insurance Straight Quote: 20.21 – 21.46
Spot Rate : 1.2500
Average : 0.9235

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-04-03
Maturity Price : 20.21
Evaluated at bid price : 20.21
Bid-YTW : 6.55 %
RY.PR.O Perpetual-Discount Quote: 22.07 – 22.89
Spot Rate : 0.8200
Average : 0.5946

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-04-03
Maturity Price : 21.80
Evaluated at bid price : 22.07
Bid-YTW : 5.61 %
TD.PF.A FixedReset Disc Quote: 23.00 – 23.65
Spot Rate : 0.6500
Average : 0.4315

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-04-03
Maturity Price : 22.25
Evaluated at bid price : 23.00
Bid-YTW : 6.39 %

Posted in Market Action | 1 Comment »

April 2, 2024

Tuesday, April 2nd, 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 % 2,333.7
FixedFloater 0.00 % 0.00 % 0 0.00 0 0.0000 % 4,476.0
Floater 10.31 % 10.45 % 43,405 9.23 1 0.0000 % 2,579.6
OpRet 0.00 % 0.00 % 0 0.00 0 -0.0656 % 3,441.2
SplitShare 4.89 % 7.09 % 34,635 1.79 7 -0.0656 % 4,109.5
Interest-Bearing 0.00 % 0.00 % 0 0.00 0 -0.0656 % 3,206.4
Perpetual-Premium 0.00 % 0.00 % 0 0.00 0 -0.1544 % 2,669.0
Perpetual-Discount 6.44 % 6.61 % 45,798 13.03 29 -0.1544 % 2,910.4
FixedReset Disc 5.33 % 7.12 % 106,258 12.08 57 0.2873 % 2,498.4
Insurance Straight 6.37 % 6.54 % 48,724 13.18 21 -0.2904 % 2,848.9
FloatingReset 9.96 % 9.90 % 35,434 9.66 2 -0.2423 % 2,606.1
FixedReset Prem 6.33 % 6.68 % 243,022 4.19 3 -0.1836 % 2,540.2
FixedReset Bank Non 0.00 % 0.00 % 0 0.00 0 0.2873 % 2,553.9
FixedReset Ins Non 5.43 % 7.39 % 71,167 12.46 14 0.6419 % 2,618.3
Performance Highlights
Issue Index Change Notes
RY.PR.O Perpetual-Discount -2.48 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-04-02
Maturity Price : 21.77
Evaluated at bid price : 22.05
Bid-YTW : 5.62 %
GWO.PR.S Insurance Straight -1.43 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-04-02
Maturity Price : 20.01
Evaluated at bid price : 20.01
Bid-YTW : 6.61 %
POW.PR.D Perpetual-Discount -1.04 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-04-02
Maturity Price : 19.10
Evaluated at bid price : 19.10
Bid-YTW : 6.58 %
GWO.PR.Q Insurance Straight -1.00 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-04-02
Maturity Price : 19.72
Evaluated at bid price : 19.72
Bid-YTW : 6.58 %
GWO.PR.T Insurance Straight -1.00 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-04-02
Maturity Price : 19.80
Evaluated at bid price : 19.80
Bid-YTW : 6.56 %
CCS.PR.C Insurance Straight 1.02 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-04-02
Maturity Price : 18.90
Evaluated at bid price : 18.90
Bid-YTW : 6.67 %
CU.PR.C FixedReset Disc 1.02 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-04-02
Maturity Price : 19.80
Evaluated at bid price : 19.80
Bid-YTW : 7.55 %
CU.PR.E Perpetual-Discount 1.05 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-04-02
Maturity Price : 19.25
Evaluated at bid price : 19.25
Bid-YTW : 6.46 %
GWO.PR.N FixedReset Ins Non 1.07 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-04-02
Maturity Price : 14.20
Evaluated at bid price : 14.20
Bid-YTW : 8.14 %
BN.PF.A FixedReset Disc 1.12 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-04-02
Maturity Price : 21.32
Evaluated at bid price : 21.60
Bid-YTW : 7.74 %
BN.PF.H FixedReset Disc 1.17 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-04-02
Maturity Price : 22.14
Evaluated at bid price : 22.46
Bid-YTW : 8.41 %
BN.PF.J FixedReset Disc 1.19 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-04-02
Maturity Price : 21.25
Evaluated at bid price : 21.25
Bid-YTW : 7.88 %
BN.PF.F FixedReset Disc 1.63 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-04-02
Maturity Price : 19.31
Evaluated at bid price : 19.31
Bid-YTW : 8.49 %
BN.PF.E FixedReset Disc 2.10 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-04-02
Maturity Price : 17.00
Evaluated at bid price : 17.00
Bid-YTW : 8.99 %
SLF.PR.H FixedReset Ins Non 2.93 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-04-02
Maturity Price : 18.27
Evaluated at bid price : 18.27
Bid-YTW : 7.40 %
MFC.PR.Q FixedReset Ins Non 3.81 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-04-02
Maturity Price : 21.53
Evaluated at bid price : 21.80
Bid-YTW : 7.12 %
IFC.PR.A FixedReset Ins Non 4.32 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-04-02
Maturity Price : 18.35
Evaluated at bid price : 18.35
Bid-YTW : 7.23 %
BIP.PR.A FixedReset Disc 4.37 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-04-02
Maturity Price : 19.10
Evaluated at bid price : 19.10
Bid-YTW : 9.19 %
Volume Highlights
Issue Index Shares
Traded		 Notes
TD.PF.L FixedReset Prem 1,198,492 YTW SCENARIO
Maturity Type : Call
Maturity Date : 2029-04-30
Maturity Price : 25.00
Evaluated at bid price : 25.22
Bid-YTW : 7.00 %
TD.PF.B FixedReset Disc 157,000 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-04-02
Maturity Price : 23.01
Evaluated at bid price : 23.90
Bid-YTW : 6.26 %
NA.PR.S FixedReset Disc 109,320 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-04-02
Maturity Price : 22.23
Evaluated at bid price : 22.92
Bid-YTW : 6.72 %
TD.PF.C FixedReset Disc 63,600 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-04-02
Maturity Price : 21.93
Evaluated at bid price : 22.47
Bid-YTW : 6.58 %
BN.PF.F FixedReset Disc 52,500 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-04-02
Maturity Price : 19.31
Evaluated at bid price : 19.31
Bid-YTW : 8.49 %
CU.PR.G Perpetual-Discount 51,000 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-04-02
Maturity Price : 17.35
Evaluated at bid price : 17.35
Bid-YTW : 6.58 %
There were 21 other index-included issues trading in excess of 10,000 shares.
Wide Spread Highlights
Issue Index Quote Data and Yield Notes
EIT.PR.A SplitShare Quote: 24.91 – 25.91
Spot Rate : 1.0000
Average : 0.5477

YTW SCENARIO
Maturity Type : Option Certainty
Maturity Date : 2024-05-02
Maturity Price : 25.00
Evaluated at bid price : 24.91
Bid-YTW : 12.42 %
BIK.PR.A FixedReset Disc Quote: 24.51 – 25.23
Spot Rate : 0.7200
Average : 0.4037

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-04-02
Maturity Price : 22.99
Evaluated at bid price : 24.51
Bid-YTW : 7.82 %
MFC.PR.K FixedReset Ins Non Quote: 22.42 – 22.98
Spot Rate : 0.5600
Average : 0.3788

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-04-02
Maturity Price : 21.95
Evaluated at bid price : 22.42
Bid-YTW : 6.78 %
BN.PF.D Perpetual-Discount Quote: 18.31 – 18.87
Spot Rate : 0.5600
Average : 0.3791

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-04-02
Maturity Price : 18.31
Evaluated at bid price : 18.31
Bid-YTW : 6.75 %
CM.PR.Q FixedReset Disc Quote: 22.76 – 23.25
Spot Rate : 0.4900
Average : 0.3267

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-04-02
Maturity Price : 22.34
Evaluated at bid price : 22.76
Bid-YTW : 6.76 %
RY.PR.Z FixedReset Disc Quote: 22.61 – 23.00
Spot Rate : 0.3900
Average : 0.2339

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-04-02
Maturity Price : 22.04
Evaluated at bid price : 22.61
Bid-YTW : 6.59 %

Posted in Market Action | No Comments »

April 1, 2024

Monday, April 1st, 2024

Some action with bonds today:

The Dow and S&P 500 edged lower on Monday, dragged down by investor worries over the timing of interest rate cuts by the Federal Reserve after stronger-than-expected manufacturing data pushed Treasury yields higher. The TSX was able to finish slightly in the green, thanks to a rally in the energy and materials sectors, and set a fresh record closing high.

The Institute for Supply Management (ISM) said its manufacturing PMI increased to 50.3 last month, the highest and first reading above 50 since September 2022, from 47.8 in February. It suggested the U.S. manufacturing sector, which has been battered by higher interest rates, was recovering.
…
Benchmark 10-year and two-year U.S. Treasury yields jumped to two-week peaks following the manufacturing data, and that pushed Canadian bond yields higher as well. By late afternoon, Canada’s two-year and five-year bond yields were both up about 13 basis points to their highest levels since mid-March.
…
The U.S. rate futures market was pricing in a 58% chance of a rate cut in June, down from about 64% a week ago, according to the CME’s FedWatch tool.

Money markets are putting equal odds on whether the Bank of Canada will start cutting interest rates in June. They are pricing in about 70 per cent odds of a cut by July. A total of 50 basis points of cuts are priced in by October.

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 -1.4516 % 2,333.7
FixedFloater 0.00 % 0.00 % 0 0.00 0 -1.4516 % 4,476.0
Floater 10.31 % 10.43 % 43,478 9.22 1 -1.4516 % 2,579.6
OpRet 0.00 % 0.00 % 0 0.00 0 0.0716 % 3,443.4
SplitShare 4.89 % 7.11 % 34,946 1.80 7 0.0716 % 4,112.2
Interest-Bearing 0.00 % 0.00 % 0 0.00 0 0.0716 % 3,208.5
Perpetual-Premium 0.00 % 0.00 % 0 0.00 0 -0.2612 % 2,673.1
Perpetual-Discount 6.43 % 6.59 % 45,746 13.04 29 -0.2612 % 2,914.9
FixedReset Disc 5.35 % 7.12 % 106,372 12.04 57 0.0412 % 2,491.3
Insurance Straight 6.35 % 6.49 % 49,433 13.24 21 -0.0363 % 2,857.2
FloatingReset 9.93 % 9.83 % 36,868 9.68 2 -0.2685 % 2,612.5
FixedReset Prem 6.32 % 6.61 % 230,513 4.20 3 0.3421 % 2,544.9
FixedReset Bank Non 0.00 % 0.00 % 0 0.00 0 0.0412 % 2,546.6
FixedReset Ins Non 5.46 % 7.41 % 71,594 12.34 14 -1.1154 % 2,601.6
Performance Highlights
Issue Index Change Notes
IFC.PR.A FixedReset Ins Non -5.18 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-04-01
Maturity Price : 17.59
Evaluated at bid price : 17.59
Bid-YTW : 7.54 %
MFC.PR.Q FixedReset Ins Non -3.89 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-04-01
Maturity Price : 21.00
Evaluated at bid price : 21.00
Bid-YTW : 7.41 %
RY.PR.M FixedReset Disc -3.86 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-04-01
Maturity Price : 21.15
Evaluated at bid price : 21.15
Bid-YTW : 7.12 %
SLF.PR.H FixedReset Ins Non -3.01 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-04-01
Maturity Price : 17.75
Evaluated at bid price : 17.75
Bid-YTW : 7.60 %
GWO.PR.Y Insurance Straight -1.68 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-04-01
Maturity Price : 17.60
Evaluated at bid price : 17.60
Bid-YTW : 6.44 %
MFC.PR.N FixedReset Ins Non -1.50 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-04-01
Maturity Price : 19.70
Evaluated at bid price : 19.70
Bid-YTW : 7.50 %
BN.PR.B Floater -1.45 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-04-01
Maturity Price : 12.22
Evaluated at bid price : 12.22
Bid-YTW : 10.43 %
MFC.PR.C Insurance Straight -1.33 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-04-01
Maturity Price : 18.55
Evaluated at bid price : 18.55
Bid-YTW : 6.13 %
MFC.PR.M FixedReset Ins Non -1.28 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-04-01
Maturity Price : 20.09
Evaluated at bid price : 20.09
Bid-YTW : 7.49 %
GWO.PR.H Insurance Straight -1.21 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-04-01
Maturity Price : 18.77
Evaluated at bid price : 18.77
Bid-YTW : 6.51 %
BMO.PR.T FixedReset Disc -1.17 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-04-01
Maturity Price : 22.80
Evaluated at bid price : 23.61
Bid-YTW : 6.28 %
RY.PR.N Perpetual-Discount -1.11 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-04-01
Maturity Price : 21.97
Evaluated at bid price : 22.25
Bid-YTW : 5.57 %
PWF.PR.L Perpetual-Discount -1.06 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-04-01
Maturity Price : 19.59
Evaluated at bid price : 19.59
Bid-YTW : 6.65 %
BN.PR.N Perpetual-Discount -1.06 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-04-01
Maturity Price : 17.77
Evaluated at bid price : 17.77
Bid-YTW : 6.74 %
CU.PR.E Perpetual-Discount -1.04 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-04-01
Maturity Price : 19.05
Evaluated at bid price : 19.05
Bid-YTW : 6.52 %
MFC.PR.L FixedReset Ins Non 1.00 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-04-01
Maturity Price : 20.20
Evaluated at bid price : 20.20
Bid-YTW : 7.31 %
NA.PR.E FixedReset Disc 1.24 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-04-01
Maturity Price : 22.27
Evaluated at bid price : 22.90
Bid-YTW : 6.80 %
PVS.PR.K SplitShare 1.34 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2029-05-31
Maturity Price : 25.00
Evaluated at bid price : 22.70
Bid-YTW : 6.69 %
BIP.PR.B FixedReset Disc 1.76 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-04-01
Maturity Price : 23.28
Evaluated at bid price : 23.66
Bid-YTW : 8.38 %
BN.PF.H FixedReset Disc 1.83 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-04-01
Maturity Price : 21.73
Evaluated at bid price : 22.20
Bid-YTW : 8.50 %
SLF.PR.C Insurance Straight 6.66 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-04-01
Maturity Price : 18.90
Evaluated at bid price : 18.90
Bid-YTW : 5.93 %
Volume Highlights
Issue Index Shares
Traded		 Notes
BMO.PR.T FixedReset Disc 33,201 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-04-01
Maturity Price : 22.80
Evaluated at bid price : 23.61
Bid-YTW : 6.28 %
BMO.PR.S FixedReset Disc 30,251 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-04-01
Maturity Price : 23.18
Evaluated at bid price : 24.30
Bid-YTW : 6.22 %
MFC.PR.B Insurance Straight 21,100 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-04-01
Maturity Price : 19.01
Evaluated at bid price : 19.01
Bid-YTW : 6.18 %
RY.PR.H FixedReset Disc 16,250 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-04-01
Maturity Price : 21.84
Evaluated at bid price : 22.32
Bid-YTW : 6.69 %
TD.PF.I FixedReset Disc 15,820 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-04-01
Maturity Price : 23.27
Evaluated at bid price : 24.92
Bid-YTW : 6.69 %
CM.PR.Y FixedReset Disc 15,000 YTW SCENARIO
Maturity Type : Call
Maturity Date : 2024-07-31
Maturity Price : 25.00
Evaluated at bid price : 24.80
Bid-YTW : 6.52 %
There were 4 other index-included issues trading in excess of 10,000 shares.
Wide Spread Highlights
Issue Index Quote Data and Yield Notes
MFC.PR.M FixedReset Ins Non Quote: 20.09 – 21.20
Spot Rate : 1.1100
Average : 0.6686

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-04-01
Maturity Price : 20.09
Evaluated at bid price : 20.09
Bid-YTW : 7.49 %
IFC.PR.A FixedReset Ins Non Quote: 17.59 – 18.75
Spot Rate : 1.1600
Average : 0.7194

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-04-01
Maturity Price : 17.59
Evaluated at bid price : 17.59
Bid-YTW : 7.54 %
RY.PR.M FixedReset Disc Quote: 21.15 – 22.40
Spot Rate : 1.2500
Average : 0.8292

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-04-01
Maturity Price : 21.15
Evaluated at bid price : 21.15
Bid-YTW : 7.12 %
SLF.PR.H FixedReset Ins Non Quote: 17.75 – 18.90
Spot Rate : 1.1500
Average : 0.8387

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-04-01
Maturity Price : 17.75
Evaluated at bid price : 17.75
Bid-YTW : 7.60 %
MFC.PR.N FixedReset Ins Non Quote: 19.70 – 20.85
Spot Rate : 1.1500
Average : 0.9452

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-04-01
Maturity Price : 19.70
Evaluated at bid price : 19.70
Bid-YTW : 7.50 %
PWF.PR.P FixedReset Disc Quote: 14.65 – 15.25
Spot Rate : 0.6000
Average : 0.4588

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-04-01
Maturity Price : 14.65
Evaluated at bid price : 14.65
Bid-YTW : 8.39 %

Posted in Market Action | No Comments »

March 28, 2024

Thursday, March 28th, 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 0.1616 % 2,368.1
FixedFloater 0.00 % 0.00 % 0 0.00 0 0.1616 % 4,542.0
Floater 10.16 % 10.27 % 43,849 9.36 1 0.1616 % 2,617.6
OpRet 0.00 % 0.00 % 0 0.00 0 0.2332 % 3,441.0
SplitShare 4.89 % 6.99 % 35,021 1.81 7 0.2332 % 4,109.2
Interest-Bearing 0.00 % 0.00 % 0 0.00 0 0.2332 % 3,206.2
Perpetual-Premium 0.00 % 0.00 % 0 0.00 0 0.4162 % 2,680.1
Perpetual-Discount 6.41 % 6.57 % 45,430 13.09 31 0.4162 % 2,922.5
FixedReset Disc 5.31 % 6.89 % 108,320 12.21 59 0.2879 % 2,490.2
Insurance Straight 6.29 % 6.45 % 49,522 13.30 22 0.5497 % 2,858.2
FloatingReset 9.91 % 10.21 % 28,675 9.40 3 0.4509 % 2,619.5
FixedReset Prem 6.88 % 6.69 % 147,309 3.16 1 0.0392 % 2,536.2
FixedReset Bank Non 0.00 % 0.00 % 0 0.00 0 0.2879 % 2,545.5
FixedReset Ins Non 5.40 % 7.21 % 73,833 12.60 14 -0.1502 % 2,630.9
Performance Highlights
Issue Index Change Notes
SLF.PR.C Insurance Straight -5.24 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-03-28
Maturity Price : 17.72
Evaluated at bid price : 17.72
Bid-YTW : 6.32 %
MFC.PR.I FixedReset Ins Non -2.12 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-03-28
Maturity Price : 21.86
Evaluated at bid price : 22.20
Bid-YTW : 7.17 %
IFC.PR.K Insurance Straight -1.37 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-03-28
Maturity Price : 20.21
Evaluated at bid price : 20.21
Bid-YTW : 6.54 %
MFC.PR.F FixedReset Ins Non -1.24 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-03-28
Maturity Price : 15.08
Evaluated at bid price : 15.08
Bid-YTW : 7.63 %
CU.PR.I FixedReset Disc -1.16 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-03-28
Maturity Price : 21.71
Evaluated at bid price : 22.17
Bid-YTW : 7.89 %
GWO.PR.T Insurance Straight 1.01 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-03-28
Maturity Price : 20.10
Evaluated at bid price : 20.10
Bid-YTW : 6.45 %
BN.PF.C Perpetual-Discount 1.05 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-03-28
Maturity Price : 18.22
Evaluated at bid price : 18.22
Bid-YTW : 6.70 %
SLF.PR.E Insurance Straight 1.07 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-03-28
Maturity Price : 18.90
Evaluated at bid price : 18.90
Bid-YTW : 5.99 %
PWF.PR.G Perpetual-Discount 1.11 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-03-28
Maturity Price : 22.49
Evaluated at bid price : 22.75
Bid-YTW : 6.60 %
BN.PR.N Perpetual-Discount 1.13 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-03-28
Maturity Price : 17.96
Evaluated at bid price : 17.96
Bid-YTW : 6.66 %
PWF.PR.L Perpetual-Discount 1.23 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-03-28
Maturity Price : 19.80
Evaluated at bid price : 19.80
Bid-YTW : 6.57 %
CM.PR.S FixedReset Disc 1.37 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-03-28
Maturity Price : 22.99
Evaluated at bid price : 22.99
Bid-YTW : 6.50 %
RY.PR.N Perpetual-Discount 1.81 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-03-28
Maturity Price : 22.21
Evaluated at bid price : 22.50
Bid-YTW : 5.50 %
TD.PF.A FixedReset Disc 2.16 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-03-28
Maturity Price : 22.91
Evaluated at bid price : 23.62
Bid-YTW : 6.12 %
TD.PF.B FixedReset Disc 3.30 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-03-28
Maturity Price : 22.94
Evaluated at bid price : 23.81
Bid-YTW : 6.14 %
GWO.PR.Y Insurance Straight 3.47 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-03-28
Maturity Price : 17.90
Evaluated at bid price : 17.90
Bid-YTW : 6.33 %
IAF.PR.B Insurance Straight 9.95 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-03-28
Maturity Price : 21.75
Evaluated at bid price : 22.00
Bid-YTW : 5.24 %
Volume Highlights
Issue Index Shares
Traded		 Notes
CM.PR.Q FixedReset Disc 55,200 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-03-28
Maturity Price : 22.56
Evaluated at bid price : 23.00
Bid-YTW : 6.56 %
BN.PF.F FixedReset Disc 51,951 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-03-28
Maturity Price : 19.02
Evaluated at bid price : 19.02
Bid-YTW : 8.43 %
PWF.PR.E Perpetual-Discount 41,900 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-03-28
Maturity Price : 21.37
Evaluated at bid price : 21.37
Bid-YTW : 6.56 %
BMO.PR.S FixedReset Disc 41,300 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-03-28
Maturity Price : 23.19
Evaluated at bid price : 24.29
Bid-YTW : 6.08 %
BMO.PR.E FixedReset Disc 34,856 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-03-28
Maturity Price : 23.16
Evaluated at bid price : 24.93
Bid-YTW : 6.43 %
BMO.PR.T FixedReset Disc 30,500 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-03-28
Maturity Price : 23.06
Evaluated at bid price : 23.89
Bid-YTW : 6.06 %
There were 9 other index-included issues trading in excess of 10,000 shares.
Wide Spread Highlights
Issue Index Quote Data and Yield Notes
IFC.PR.K Insurance Straight Quote: 20.21 – 21.25
Spot Rate : 1.0400
Average : 0.6221

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-03-28
Maturity Price : 20.21
Evaluated at bid price : 20.21
Bid-YTW : 6.54 %
SLF.PR.C Insurance Straight Quote: 17.72 – 19.05
Spot Rate : 1.3300
Average : 0.9430

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-03-28
Maturity Price : 17.72
Evaluated at bid price : 17.72
Bid-YTW : 6.32 %
PVS.PR.K SplitShare Quote: 22.40 – 23.20
Spot Rate : 0.8000
Average : 0.5227

YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2029-05-31
Maturity Price : 25.00
Evaluated at bid price : 22.40
Bid-YTW : 6.98 %
BN.PF.E FixedReset Disc Quote: 16.58 – 17.12
Spot Rate : 0.5400
Average : 0.3407

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-03-28
Maturity Price : 16.58
Evaluated at bid price : 16.58
Bid-YTW : 9.02 %
MFC.PR.I FixedReset Ins Non Quote: 22.20 – 22.82
Spot Rate : 0.6200
Average : 0.4628

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-03-28
Maturity Price : 21.86
Evaluated at bid price : 22.20
Bid-YTW : 7.17 %
BIP.PR.F FixedReset Disc Quote: 20.90 – 21.40
Spot Rate : 0.5000
Average : 0.3649

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-03-28
Maturity Price : 20.90
Evaluated at bid price : 20.90
Bid-YTW : 7.80 %

Posted in Market Action | 1 Comment »

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 »

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