Archive for April, 2024

April 15, 2024

Monday, April 15th, 2024

TXPR closed at 576.10, down 0.87% on the day. Volume today was 2.22-million, above the median of the past 21 trading days.

CPD closed at 11.45, down 0.87% on the day. Volume was 67,520, second-highest of the past 21 trading days.

ZPR closed at 9.86, down 0.90% on the day. Volume was 135,870, fourth-highest of the past 21 trading days.

Five-year Canada yields were up to 3.80%.

The Globe managed to get some Canadian content into their commentary:

Canada’s main stock index fell to a five-week low on Monday as long-term borrowing costs climbed and investors worried that this week’s federal budget would propose raising taxes.

U.S. stocks also fell as an early lift from a strong retail sales report gave way to a jump in Treasury yields and concerns about rising tensions in the Middle East.

I’m going to go with US retail sales, although that means the abject surrender of Canadian sovereignity and the demise of Canadian exceptionalism:

Treasuries showed a substantial move to the downside during trading on Monday, as strong U.S. retail sales data added to concerns about the outlook for interest rates.

Bond prices regained some ground after falling sharply in early trading but remained firmly negative. As a result, the yield on the benchmark ten-year note, which moves opposite of its price, surged 12.9 basis points to 4.628 percent.

With the significant increase on the day, the ten-year yield ended the session at its highest closing level in five months.

The sell-off by treasuries came after the Commerce Department released a report showing much stronger than expected U.S. retail sales growth in the month of March.

The Commerce Department said retail sales climbed by 0.7 percent in March after advancing by an upwardly revised 0.9 percent in February.

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 0.3223 % 2,377.6
FixedFloater 0.00 % 0.00 % 0 0.00 0 0.3223 % 4,560.3
Floater 10.12 % 10.29 % 47,684 9.32 1 0.3223 % 2,628.1
OpRet 0.00 % 0.00 % 0 0.00 0 -0.1076 % 3,431.7
SplitShare 4.91 % 7.09 % 31,862 1.76 7 -0.1076 % 4,098.2
Interest-Bearing 0.00 % 0.00 % 0 0.00 0 -0.1076 % 3,197.6
Perpetual-Premium 0.00 % 0.00 % 0 0.00 0 -1.1386 % 2,584.6
Perpetual-Discount 6.65 % 6.74 % 44,257 12.91 29 -1.1386 % 2,818.4
FixedReset Disc 5.34 % 7.33 % 105,532 12.04 57 -0.9168 % 2,489.3
Insurance Straight 6.56 % 6.71 % 52,787 12.93 21 -0.9296 % 2,763.7
FloatingReset 9.56 % 9.48 % 31,446 9.97 2 -0.3667 % 2,675.1
FixedReset Prem 6.44 % 6.62 % 205,917 3.16 3 -0.3727 % 2,497.5
FixedReset Bank Non 0.00 % 0.00 % 0 0.00 0 -0.9168 % 2,544.6
FixedReset Ins Non 5.43 % 7.45 % 70,965 12.16 14 -0.7362 % 2,616.2
Performance Highlights
Issue Index Change Notes
PWF.PR.S Perpetual-Discount -8.29 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-04-15
Maturity Price : 16.60
Evaluated at bid price : 16.60
Bid-YTW : 7.27 %
NA.PR.W FixedReset Disc -5.72 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-04-15
Maturity Price : 20.11
Evaluated at bid price : 20.11
Bid-YTW : 7.33 %
MFC.PR.Q FixedReset Ins Non -4.32 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-04-15
Maturity Price : 21.05
Evaluated at bid price : 21.05
Bid-YTW : 7.45 %
CM.PR.Q FixedReset Disc -3.93 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-04-15
Maturity Price : 21.60
Evaluated at bid price : 22.00
Bid-YTW : 7.05 %
FTS.PR.K FixedReset Disc -2.89 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-04-15
Maturity Price : 18.15
Evaluated at bid price : 18.15
Bid-YTW : 7.97 %
SLF.PR.C Insurance Straight -2.64 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-04-15
Maturity Price : 17.72
Evaluated at bid price : 17.72
Bid-YTW : 6.35 %
BN.PF.B FixedReset Disc -2.51 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-04-15
Maturity Price : 19.01
Evaluated at bid price : 19.01
Bid-YTW : 8.37 %
FTS.PR.G FixedReset Disc -2.42 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-04-15
Maturity Price : 20.55
Evaluated at bid price : 20.55
Bid-YTW : 7.35 %
PWF.PF.A Perpetual-Discount -2.37 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-04-15
Maturity Price : 16.89
Evaluated at bid price : 16.89
Bid-YTW : 6.70 %
BN.PF.I FixedReset Disc -2.31 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-04-15
Maturity Price : 21.10
Evaluated at bid price : 21.10
Bid-YTW : 8.51 %
TD.PF.C FixedReset Disc -2.23 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-04-15
Maturity Price : 21.54
Evaluated at bid price : 21.90
Bid-YTW : 6.69 %
SLF.PR.E Insurance Straight -2.14 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-04-15
Maturity Price : 17.84
Evaluated at bid price : 17.84
Bid-YTW : 6.37 %
CM.PR.O FixedReset Disc -2.13 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-04-15
Maturity Price : 22.26
Evaluated at bid price : 23.00
Bid-YTW : 6.51 %
FTS.PR.H FixedReset Disc -2.01 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-04-15
Maturity Price : 15.15
Evaluated at bid price : 15.15
Bid-YTW : 8.23 %
FTS.PR.J Perpetual-Discount -1.99 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-04-15
Maturity Price : 18.25
Evaluated at bid price : 18.25
Bid-YTW : 6.62 %
MFC.PR.B Insurance Straight -1.94 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-04-15
Maturity Price : 18.15
Evaluated at bid price : 18.15
Bid-YTW : 6.49 %
BN.PF.J FixedReset Disc -1.84 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-04-15
Maturity Price : 20.75
Evaluated at bid price : 20.75
Bid-YTW : 8.13 %
MFC.PR.C Insurance Straight -1.82 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-04-15
Maturity Price : 17.82
Evaluated at bid price : 17.82
Bid-YTW : 6.40 %
PWF.PR.G Perpetual-Discount -1.81 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-04-15
Maturity Price : 21.45
Evaluated at bid price : 21.71
Bid-YTW : 6.82 %
BN.PR.N Perpetual-Discount -1.79 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-04-15
Maturity Price : 17.00
Evaluated at bid price : 17.00
Bid-YTW : 7.07 %
GWO.PR.S Insurance Straight -1.75 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-04-15
Maturity Price : 19.60
Evaluated at bid price : 19.60
Bid-YTW : 6.77 %
FTS.PR.F Perpetual-Discount -1.70 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-04-15
Maturity Price : 19.05
Evaluated at bid price : 19.05
Bid-YTW : 6.54 %
BN.PF.G FixedReset Disc -1.69 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-04-15
Maturity Price : 17.40
Evaluated at bid price : 17.40
Bid-YTW : 9.12 %
BIP.PR.F FixedReset Disc -1.69 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-04-15
Maturity Price : 20.30
Evaluated at bid price : 20.30
Bid-YTW : 8.21 %
BN.PR.X FixedReset Disc -1.68 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-04-15
Maturity Price : 15.24
Evaluated at bid price : 15.24
Bid-YTW : 8.81 %
BN.PR.R FixedReset Disc -1.61 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-04-15
Maturity Price : 15.25
Evaluated at bid price : 15.25
Bid-YTW : 9.20 %
CM.PR.S FixedReset Disc -1.59 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-04-15
Maturity Price : 22.30
Evaluated at bid price : 22.30
Bid-YTW : 6.87 %
GWO.PR.I Insurance Straight -1.56 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-04-15
Maturity Price : 17.07
Evaluated at bid price : 17.07
Bid-YTW : 6.66 %
TD.PF.J FixedReset Disc -1.54 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-04-15
Maturity Price : 22.00
Evaluated at bid price : 22.45
Bid-YTW : 6.97 %
SLF.PR.D Insurance Straight -1.49 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-04-15
Maturity Price : 17.83
Evaluated at bid price : 17.83
Bid-YTW : 6.31 %
PWF.PR.H Perpetual-Discount -1.47 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-04-15
Maturity Price : 21.43
Evaluated at bid price : 21.43
Bid-YTW : 6.74 %
BIK.PR.A FixedReset Disc -1.44 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-04-15
Maturity Price : 23.04
Evaluated at bid price : 24.65
Bid-YTW : 7.76 %
FTS.PR.M FixedReset Disc -1.41 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-04-15
Maturity Price : 18.90
Evaluated at bid price : 18.90
Bid-YTW : 8.24 %
BN.PF.A FixedReset Disc -1.40 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-04-15
Maturity Price : 21.10
Evaluated at bid price : 21.10
Bid-YTW : 7.99 %
GWO.PR.Y Insurance Straight -1.40 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-04-15
Maturity Price : 16.96
Evaluated at bid price : 16.96
Bid-YTW : 6.71 %
BN.PR.Z FixedReset Disc -1.32 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-04-15
Maturity Price : 19.44
Evaluated at bid price : 19.44
Bid-YTW : 8.50 %
BN.PF.F FixedReset Disc -1.30 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-04-15
Maturity Price : 19.70
Evaluated at bid price : 19.70
Bid-YTW : 8.39 %
BN.PF.E FixedReset Disc -1.29 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-04-15
Maturity Price : 16.79
Evaluated at bid price : 16.79
Bid-YTW : 9.19 %
BN.PF.C Perpetual-Discount -1.25 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-04-15
Maturity Price : 17.31
Evaluated at bid price : 17.31
Bid-YTW : 7.09 %
FFH.PR.C FixedReset Disc -1.21 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-04-15
Maturity Price : 21.25
Evaluated at bid price : 21.25
Bid-YTW : 8.08 %
IFC.PR.G FixedReset Ins Non -1.20 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-04-15
Maturity Price : 21.78
Evaluated at bid price : 22.15
Bid-YTW : 7.06 %
IFC.PR.F Insurance Straight -1.15 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-04-15
Maturity Price : 19.72
Evaluated at bid price : 19.72
Bid-YTW : 6.80 %
PWF.PR.O Perpetual-Discount -1.15 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-04-15
Maturity Price : 21.45
Evaluated at bid price : 21.45
Bid-YTW : 6.80 %
BN.PR.M Perpetual-Discount -1.14 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-04-15
Maturity Price : 17.35
Evaluated at bid price : 17.35
Bid-YTW : 6.92 %
GWO.PR.Q Insurance Straight -1.13 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-04-15
Maturity Price : 19.19
Evaluated at bid price : 19.19
Bid-YTW : 6.79 %
POW.PR.A Perpetual-Discount -1.08 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-04-15
Maturity Price : 20.97
Evaluated at bid price : 20.97
Bid-YTW : 6.73 %
NA.PR.S FixedReset Disc -1.08 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-04-15
Maturity Price : 22.19
Evaluated at bid price : 22.85
Bid-YTW : 6.67 %
FFH.PR.G FixedReset Disc -1.07 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-04-15
Maturity Price : 17.51
Evaluated at bid price : 17.51
Bid-YTW : 8.57 %
GWO.PR.N FixedReset Ins Non -1.04 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-04-15
Maturity Price : 14.26
Evaluated at bid price : 14.26
Bid-YTW : 8.19 %
CU.PR.J Perpetual-Discount -1.00 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-04-15
Maturity Price : 17.77
Evaluated at bid price : 17.77
Bid-YTW : 6.80 %
IFC.PR.I Insurance Straight 1.30 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-04-15
Maturity Price : 20.26
Evaluated at bid price : 20.26
Bid-YTW : 6.74 %
Volume Highlights
Issue Index Shares
Traded
Notes
TD.PF.A FixedReset Disc 131,000 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-04-15
Maturity Price : 22.90
Evaluated at bid price : 23.64
Bid-YTW : 6.20 %
TD.PF.B FixedReset Disc 70,900 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-04-15
Maturity Price : 23.04
Evaluated at bid price : 23.97
Bid-YTW : 6.18 %
MFC.PR.F FixedReset Ins Non 55,000 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-04-15
Maturity Price : 15.35
Evaluated at bid price : 15.35
Bid-YTW : 7.76 %
TD.PF.M FixedReset Disc 47,300 YTW SCENARIO
Maturity Type : Call
Maturity Date : 2024-07-31
Maturity Price : 25.00
Evaluated at bid price : 24.80
Bid-YTW : 7.24 %
BN.PF.I FixedReset Disc 36,600 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-04-15
Maturity Price : 21.10
Evaluated at bid price : 21.10
Bid-YTW : 8.51 %
NA.PR.W FixedReset Disc 35,100 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-04-15
Maturity Price : 20.11
Evaluated at bid price : 20.11
Bid-YTW : 7.33 %
There were 24 other index-included issues trading in excess of 10,000 shares.
Wide Spread Highlights
Issue Index Quote Data and Yield Notes
PWF.PR.S Perpetual-Discount Quote: 16.60 – 18.05
Spot Rate : 1.4500
Average : 0.8124

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-04-15
Maturity Price : 16.60
Evaluated at bid price : 16.60
Bid-YTW : 7.27 %

BN.PF.A FixedReset Disc Quote: 21.10 – 22.70
Spot Rate : 1.6000
Average : 1.0068

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-04-15
Maturity Price : 21.10
Evaluated at bid price : 21.10
Bid-YTW : 7.99 %

NA.PR.W FixedReset Disc Quote: 20.11 – 21.35
Spot Rate : 1.2400
Average : 0.7849

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-04-15
Maturity Price : 20.11
Evaluated at bid price : 20.11
Bid-YTW : 7.33 %

MFC.PR.Q FixedReset Ins Non Quote: 21.05 – 22.50
Spot Rate : 1.4500
Average : 1.0301

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-04-15
Maturity Price : 21.05
Evaluated at bid price : 21.05
Bid-YTW : 7.45 %

FTS.PR.K FixedReset Disc Quote: 18.15 – 19.00
Spot Rate : 0.8500
Average : 0.4786

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-04-15
Maturity Price : 18.15
Evaluated at bid price : 18.15
Bid-YTW : 7.97 %

CM.PR.Q FixedReset Disc Quote: 22.00 – 23.04
Spot Rate : 1.0400
Average : 0.6747

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-04-15
Maturity Price : 21.60
Evaluated at bid price : 22.00
Bid-YTW : 7.05 %

April PrefLetter Released!

Sunday, April 14th, 2024

The April, 2024, edition of PrefLetter has been released and is now available for purchase as the “Previous edition”. Those who subscribe for a full year receive the “Previous edition” as a bonus.

This edition of PrefLetter contains a short appendix discussing the performance effect of yield curve shape changes, as seen through the lens of zero-coupon bonds and synthetic par bonds. A spreadsheet is available.

PrefLetter may now be purchased by all Canadian residents.

Until further notice, the “previous” edition will refer to the April, 2024, issue, while the “next” edition will be the May, 2024, issue scheduled to be prepared as of the close May 10, and emailed to subscribers prior to the market-opening on May 13. Prefletter is intended for long term investors seeking issues to buy-and-hold. At least one recommendation from each of the major preferred share sectors is included and discussed.

Note: My verbosity has grown by such leaps and bounds that it is no longer possible to deliver PrefLetter as an eMail attachment – it’s just too big for my software! Instead, I have sent passwords – click on the link in your eMail and your copy will download.

Note: There have been problems lately with corporate eMail protection systems that substitute “safe” links for the links sent in the eMails; the problem being that the “safe” links do not work and an error is generated by my software. To avoid possible problems and delays, please subscribe through an eMail account that is not “protected” by such software.

Note: The PrefLetter website has a Subscriber Download Feature. If you have not received your copy, try it!

Note: PrefLetter eMails sometimes runs afoul of spam filters. If you have not received your copy within fifteen minutes of a release notice such as this one, please double check your (company’s) spam filtering policy and your spam repository – there are some hints in the post Sympatico Spam Filters out of Control. If it’s not there, contact me and I’ll get you your copy … somehow!

Note: There have been scattered complaints regarding inability to open PrefLetter in Acrobat Reader, despite my practice of including myself on the subscription list and immediately checking the copy received. I have had the occasional difficulty reading US Government documents, which I was able to resolve by downloading and installing the latest version of Adobe Reader. Also, note that so far, all complaints have been from users of Yahoo Mail. Try saving it to disk first, before attempting to open it.

Note: There have been other scattered complaints that double-clicking on the links in the “PrefLetter Download” email results in a message that the password has already been used. I have been able to reproduce this problem in my own eMail software … the problem is double-clicking. What happens is the first click opens the link and the second click finds that the password has already been used and refuses to work properly. So the moral of the story is: Don’t be a dick! Single Click!

Note: Assiduous Reader DG informs me:

In case you have any other Apple users: you need to install a free App from the apple store called “FileApp”. It comes with it’s own tutorial and allows you to download and save a PDF file.

However, Assiduous Reader Adrian informs me in the comments to the January 2015 release:

Some nitpicking for DG:
FileApp costs $1.19 in the Apple Store.

April 12, 2024

Friday, April 12th, 2024

TXPR closed at 581.18, down 0.60% on the day. Volume today was 1.67-million, below the median of the past 21 trading days.

CPD closed at 11.55, down 0.69% on the day. Volume was 97,270, second-highest of the past 21 trading days.

ZPR closed at 9.95, down 0.80% on the day. Volume was 189,380, second-highest of the past 21 trading days.

Five-year Canada yields were down to 3.73%.

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 % 2,370.0
FixedFloater 0.00 % 0.00 % 0 0.00 0 0.0000 % 4,545.6
Floater 10.15 % 10.31 % 44,105 9.31 1 0.0000 % 2,619.7
OpRet 0.00 % 0.00 % 0 0.00 0 0.1077 % 3,435.4
SplitShare 4.90 % 7.06 % 32,263 1.77 7 0.1077 % 4,102.6
Interest-Bearing 0.00 % 0.00 % 0 0.00 0 0.1077 % 3,201.0
Perpetual-Premium 0.00 % 0.00 % 0 0.00 0 -0.3605 % 2,614.4
Perpetual-Discount 6.58 % 6.69 % 45,817 12.99 29 -0.3605 % 2,850.8
FixedReset Disc 5.30 % 7.00 % 106,125 12.03 57 -0.4130 % 2,512.3
Insurance Straight 6.50 % 6.64 % 53,040 13.01 21 -0.2621 % 2,789.6
FloatingReset 9.52 % 9.47 % 31,835 9.99 2 0.4208 % 2,684.9
FixedReset Prem 6.42 % 6.57 % 204,142 3.18 3 -0.2125 % 2,506.9
FixedReset Bank Non 0.00 % 0.00 % 0 0.00 0 -0.4130 % 2,568.1
FixedReset Ins Non 5.39 % 7.41 % 71,409 12.36 14 -0.5029 % 2,635.6
Performance Highlights
Issue Index Change Notes
MFC.PR.I FixedReset Ins Non -3.85 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-04-12
Maturity Price : 21.72
Evaluated at bid price : 22.00
Bid-YTW : 7.41 %
BN.PF.G FixedReset Disc -2.48 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-04-12
Maturity Price : 17.70
Evaluated at bid price : 17.70
Bid-YTW : 8.97 %
POW.PR.C Perpetual-Discount -2.48 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-04-12
Maturity Price : 21.80
Evaluated at bid price : 22.04
Bid-YTW : 6.62 %
BN.PR.Z FixedReset Disc -2.48 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-04-12
Maturity Price : 19.70
Evaluated at bid price : 19.70
Bid-YTW : 8.38 %
BN.PF.E FixedReset Disc -2.19 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-04-12
Maturity Price : 17.01
Evaluated at bid price : 17.01
Bid-YTW : 9.07 %
BN.PF.A FixedReset Disc -2.06 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-04-12
Maturity Price : 21.40
Evaluated at bid price : 21.40
Bid-YTW : 7.88 %
TD.PF.I FixedReset Disc -1.96 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-04-12
Maturity Price : 22.91
Evaluated at bid price : 24.01
Bid-YTW : 6.88 %
BN.PF.F FixedReset Disc -1.92 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-04-12
Maturity Price : 19.96
Evaluated at bid price : 19.96
Bid-YTW : 8.28 %
BN.PF.B FixedReset Disc -1.76 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-04-12
Maturity Price : 19.50
Evaluated at bid price : 19.50
Bid-YTW : 8.25 %
PWF.PR.O Perpetual-Discount -1.63 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-04-12
Maturity Price : 21.44
Evaluated at bid price : 21.70
Bid-YTW : 6.70 %
PWF.PR.P FixedReset Disc -1.55 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-04-12
Maturity Price : 14.62
Evaluated at bid price : 14.62
Bid-YTW : 8.31 %
BN.PF.D Perpetual-Discount -1.52 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-04-12
Maturity Price : 17.51
Evaluated at bid price : 17.51
Bid-YTW : 7.07 %
CU.PR.C FixedReset Disc -1.47 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-04-12
Maturity Price : 20.06
Evaluated at bid price : 20.06
Bid-YTW : 7.51 %
BN.PR.T FixedReset Disc -1.45 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-04-12
Maturity Price : 15.60
Evaluated at bid price : 15.60
Bid-YTW : 8.98 %
FTS.PR.G FixedReset Disc -1.27 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-04-12
Maturity Price : 21.06
Evaluated at bid price : 21.06
Bid-YTW : 7.17 %
BIP.PR.E FixedReset Disc -1.11 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-04-12
Maturity Price : 21.36
Evaluated at bid price : 21.36
Bid-YTW : 7.94 %
CM.PR.O FixedReset Disc -1.05 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-04-12
Maturity Price : 22.53
Evaluated at bid price : 23.50
Bid-YTW : 6.36 %
FTS.PR.K FixedReset Disc -1.01 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-04-12
Maturity Price : 18.69
Evaluated at bid price : 18.69
Bid-YTW : 7.73 %
NA.PR.W FixedReset Disc 1.04 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-04-12
Maturity Price : 21.33
Evaluated at bid price : 21.33
Bid-YTW : 6.91 %
PWF.PF.A Perpetual-Discount 1.17 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-04-12
Maturity Price : 17.30
Evaluated at bid price : 17.30
Bid-YTW : 6.53 %
Volume Highlights
Issue Index Shares
Traded
Notes
BN.PF.F FixedReset Disc 324,620 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-04-12
Maturity Price : 19.96
Evaluated at bid price : 19.96
Bid-YTW : 8.28 %
SLF.PR.G FixedReset Ins Non 60,498 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-04-12
Maturity Price : 15.36
Evaluated at bid price : 15.36
Bid-YTW : 8.00 %
BMO.PR.S FixedReset Disc 54,594 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-04-12
Maturity Price : 22.85
Evaluated at bid price : 24.18
Bid-YTW : 6.30 %
BMO.PR.W FixedReset Disc 50,697 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-04-12
Maturity Price : 23.00
Evaluated at bid price : 23.70
Bid-YTW : 6.26 %
BMO.PR.T FixedReset Disc 45,626 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-04-12
Maturity Price : 22.95
Evaluated at bid price : 23.80
Bid-YTW : 6.28 %
BMO.PR.F FixedReset Disc 44,417 YTW SCENARIO
Maturity Type : Call
Maturity Date : 2024-05-25
Maturity Price : 25.00
Evaluated at bid price : 25.11
Bid-YTW : 7.00 %
There were 19 other index-included issues trading in excess of 10,000 shares.
Wide Spread Highlights
Issue Index Quote Data and Yield Notes
BN.PF.G FixedReset Disc Quote: 17.70 – 18.99
Spot Rate : 1.2900
Average : 0.7406

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-04-12
Maturity Price : 17.70
Evaluated at bid price : 17.70
Bid-YTW : 8.97 %

MFC.PR.I FixedReset Ins Non Quote: 22.00 – 22.85
Spot Rate : 0.8500
Average : 0.5160

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-04-12
Maturity Price : 21.72
Evaluated at bid price : 22.00
Bid-YTW : 7.41 %

CU.PR.C FixedReset Disc Quote: 20.06 – 21.84
Spot Rate : 1.7800
Average : 1.5416

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-04-12
Maturity Price : 20.06
Evaluated at bid price : 20.06
Bid-YTW : 7.51 %

BN.PR.Z FixedReset Disc Quote: 19.70 – 20.30
Spot Rate : 0.6000
Average : 0.4174

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-04-12
Maturity Price : 19.70
Evaluated at bid price : 19.70
Bid-YTW : 8.38 %

SLF.PR.H FixedReset Ins Non Quote: 18.45 – 18.95
Spot Rate : 0.5000
Average : 0.3293

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-04-12
Maturity Price : 18.45
Evaluated at bid price : 18.45
Bid-YTW : 7.39 %

FTS.PR.J Perpetual-Discount Quote: 18.62 – 19.15
Spot Rate : 0.5300
Average : 0.3660

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-04-12
Maturity Price : 18.62
Evaluated at bid price : 18.62
Bid-YTW : 6.48 %

April 11, 2024

Thursday, April 11th, 2024
HIMIPref™ Preferred Indices
These values reflect the December 2008 revision of the HIMIPref™ Indices

Values are provisional and are finalized monthly
Index Mean
Current
Yield
(at bid)
Median
YTW
Median
Average
Trading
Value
Median
Mod Dur
(YTW)
Issues Day’s Perf. Index Value
Ratchet 0.00 % 0.00 % 0 0.00 0 0.0000 % 2,370.0
FixedFloater 0.00 % 0.00 % 0 0.00 0 0.0000 % 4,545.6
Floater 10.15 % 10.31 % 45,777 9.31 1 0.0000 % 2,619.7
OpRet 0.00 % 0.00 % 0 0.00 0 -0.2506 % 3,431.7
SplitShare 4.91 % 7.10 % 31,891 1.77 7 -0.2506 % 4,098.2
Interest-Bearing 0.00 % 0.00 % 0 0.00 0 -0.2506 % 3,197.6
Perpetual-Premium 0.00 % 0.00 % 0 0.00 0 -0.2028 % 2,623.8
Perpetual-Discount 6.55 % 6.66 % 46,302 13.03 29 -0.2028 % 2,861.2
FixedReset Disc 5.28 % 7.04 % 101,301 12.07 57 0.1555 % 2,522.7
Insurance Straight 6.49 % 6.63 % 52,238 13.04 21 -0.1900 % 2,796.9
FloatingReset 9.65 % 9.64 % 33,103 9.84 2 0.1845 % 2,673.7
FixedReset Prem 6.40 % 6.44 % 206,878 3.18 3 0.0266 % 2,512.2
FixedReset Bank Non 0.00 % 0.00 % 0 0.00 0 0.1555 % 2,578.7
FixedReset Ins Non 5.36 % 7.31 % 71,243 12.52 14 0.2008 % 2,648.9
Performance Highlights
Issue Index Change Notes
IFC.PR.A FixedReset Ins Non -4.25 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-04-11
Maturity Price : 17.59
Evaluated at bid price : 17.59
Bid-YTW : 7.56 %
IFC.PR.I Insurance Straight -2.72 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-04-11
Maturity Price : 20.00
Evaluated at bid price : 20.00
Bid-YTW : 6.82 %
BN.PR.N Perpetual-Discount -1.37 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-04-11
Maturity Price : 17.27
Evaluated at bid price : 17.27
Bid-YTW : 6.95 %
GWO.PR.M Insurance Straight -1.26 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-04-11
Maturity Price : 21.78
Evaluated at bid price : 22.02
Bid-YTW : 6.64 %
BN.PR.M Perpetual-Discount -1.12 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-04-11
Maturity Price : 17.60
Evaluated at bid price : 17.60
Bid-YTW : 6.82 %
PWF.PR.G Perpetual-Discount -1.03 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-04-11
Maturity Price : 21.97
Evaluated at bid price : 22.20
Bid-YTW : 6.66 %
SLF.PR.J FloatingReset 1.05 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-04-11
Maturity Price : 16.42
Evaluated at bid price : 16.42
Bid-YTW : 10.00 %
MFC.PR.M FixedReset Ins Non 1.09 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-04-11
Maturity Price : 20.42
Evaluated at bid price : 20.42
Bid-YTW : 7.39 %
BN.PF.G FixedReset Disc 1.11 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-04-11
Maturity Price : 18.15
Evaluated at bid price : 18.15
Bid-YTW : 8.70 %
MFC.PR.J FixedReset Ins Non 1.26 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-04-11
Maturity Price : 22.09
Evaluated at bid price : 22.58
Bid-YTW : 7.00 %
BN.PR.T FixedReset Disc 1.34 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-04-11
Maturity Price : 15.83
Evaluated at bid price : 15.83
Bid-YTW : 8.80 %
NA.PR.S FixedReset Disc 1.36 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-04-11
Maturity Price : 22.37
Evaluated at bid price : 23.17
Bid-YTW : 6.52 %
BN.PF.E FixedReset Disc 1.40 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-04-11
Maturity Price : 17.39
Evaluated at bid price : 17.39
Bid-YTW : 8.81 %
BIP.PR.E FixedReset Disc 1.41 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-04-11
Maturity Price : 21.31
Evaluated at bid price : 21.60
Bid-YTW : 7.80 %
CU.PR.C FixedReset Disc 1.50 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-04-11
Maturity Price : 20.36
Evaluated at bid price : 20.36
Bid-YTW : 7.36 %
POW.PR.C Perpetual-Discount 2.54 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-04-11
Maturity Price : 22.33
Evaluated at bid price : 22.60
Bid-YTW : 6.45 %
Volume Highlights
Issue Index Shares
Traded
Notes
SLF.PR.H FixedReset Ins Non 245,350 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-04-11
Maturity Price : 18.55
Evaluated at bid price : 18.55
Bid-YTW : 7.31 %
RY.PR.Z FixedReset Disc 124,250 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-04-11
Maturity Price : 22.13
Evaluated at bid price : 22.75
Bid-YTW : 6.56 %
TD.PF.A FixedReset Disc 110,093 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-04-11
Maturity Price : 22.83
Evaluated at bid price : 23.55
Bid-YTW : 6.18 %
CM.PR.Y FixedReset Disc 74,200 YTW SCENARIO
Maturity Type : Call
Maturity Date : 2024-07-31
Maturity Price : 25.00
Evaluated at bid price : 24.80
Bid-YTW : 7.12 %
RY.PR.M FixedReset Disc 62,500 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-04-11
Maturity Price : 21.77
Evaluated at bid price : 22.25
Bid-YTW : 6.77 %
TD.PF.E FixedReset Disc 58,743 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-04-11
Maturity Price : 22.38
Evaluated at bid price : 22.76
Bid-YTW : 6.80 %
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.PF.A FixedReset Disc Quote: 21.85 – 22.70
Spot Rate : 0.8500
Average : 0.5277

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-04-11
Maturity Price : 21.55
Evaluated at bid price : 21.85
Bid-YTW : 7.66 %

MFC.PR.M FixedReset Ins Non Quote: 20.42 – 21.42
Spot Rate : 1.0000
Average : 0.7012

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-04-11
Maturity Price : 20.42
Evaluated at bid price : 20.42
Bid-YTW : 7.39 %

RY.PR.O Perpetual-Discount Quote: 22.05 – 22.90
Spot Rate : 0.8500
Average : 0.5577

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-04-11
Maturity Price : 21.78
Evaluated at bid price : 22.05
Bid-YTW : 5.63 %

GWO.PR.S Insurance Straight Quote: 19.95 – 20.80
Spot Rate : 0.8500
Average : 0.5722

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-04-11
Maturity Price : 19.95
Evaluated at bid price : 19.95
Bid-YTW : 6.65 %

IFC.PR.I Insurance Straight Quote: 20.00 – 20.67
Spot Rate : 0.6700
Average : 0.4177

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-04-11
Maturity Price : 20.00
Evaluated at bid price : 20.00
Bid-YTW : 6.82 %

IFC.PR.A FixedReset Ins Non Quote: 17.59 – 18.38
Spot Rate : 0.7900
Average : 0.5429

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-04-11
Maturity Price : 17.59
Evaluated at bid price : 17.59
Bid-YTW : 7.56 %

April 10, 2024

Wednesday, April 10th, 2024

No surprises from the BoC:

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

The Bank expects the global economy to continue growing at a rate of about 3%, with inflation in most advanced economies easing gradually. The US economy has again proven stronger than anticipated, buoyed by resilient consumption and robust business and government spending. US GDP growth is expected to slow in the second half of this year, but remain stronger than forecast in January. The euro area is projected to gradually recover from current weak growth. Global oil prices have moved up, averaging about $5 higher than assumed in the January Monetary Policy Report (MPR). Since January, bond yields have increased but, with narrower corporate credit spreads and sharply higher equity markets, overall financial conditions have eased.

The Bank has revised up its forecast for global GDP growth to 2¾% in 2024 and about 3% in 2025 and 2026. Inflation continues to slow across most advanced economies, although progress will likely be bumpy. Inflation rates are projected to reach central bank targets in 2025.

In Canada, economic growth stalled in the second half of last year and the economy moved into excess supply. A broad range of indicators suggest that labour market conditions continue to ease. Employment has been growing more slowly than the working-age population and the unemployment rate has risen gradually, reaching 6.1% in March. There are some recent signs that wage pressures are moderating.

Economic growth is forecast to pick up in 2024. This largely reflects both strong population growth and a recovery in spending by households. Residential investment is strengthening, responding to continued robust demand for housing. The contribution to growth from spending by governments has also increased. Business investment is projected to recover gradually after considerable weakness in the second half of last year. The Bank expects exports to continue to grow solidly through 2024.

Overall, the Bank forecasts GDP growth of 1.5% in 2024, 2.2% in 2025, and 1.9% in 2026. The strengthening economy will gradually absorb excess supply through 2025 and into 2026.

CPI inflation slowed to 2.8% in February, with easing in price pressures becoming more broad-based across goods and services. However, shelter price inflation is still very elevated, driven by growth in rent and mortgage interest costs. Core measures of inflation, which had been running around 3½%, slowed to just over 3% in February, and 3-month annualized rates are suggesting downward momentum. The Bank expects CPI inflation to be close to 3% during the first half of this year, move below 2½% in the second half, and reach the 2% inflation target in 2025.

Based on the outlook, Governing Council decided to hold the policy rate at 5% and to continue to normalize the Bank’s balance sheet. While inflation is still too high and risks remain, CPI and core inflation have eased further in recent months. The Council will be looking for evidence that this downward momentum is sustained. Governing Council is particularly watching the evolution of core inflation, and continues to focus on the balance between demand and supply in the economy, inflation expectations, wage growth, and corporate pricing behaviour. The Bank remains resolute in its commitment to restoring price stability for Canadians.

But this news was overshadowed by a hot US inflation number:

A closely watched measure of inflation remained stronger than expected in March, worrying news for Federal Reserve officials who have become increasingly concerned that their progress on lowering price increases might be stalling.

The surprisingly stubborn inflation reading raised doubts among economists about when — and even whether — the Fed will be able to start cutting interest rates this year.

The Consumer Price Index climbed 3.8 percent on an annual basis after stripping out food and fuel prices, which economists do in order to get a better sense of the underlying inflation trend. That “core” index was stronger than the 3.7 percent increase economists had expected, and unchanged from 3.8 percent in February. The monthly reading was also stronger than what economists had forecast.

Counting in food and fuel, the inflation measure climbed 3.5 percent in March from a year earlier, up from 3.2 percent in February and faster than what economists have anticipated. A rise in gas prices contributed to that inflation number.

The BoC’s Monetary Policy Report had some things to say:

Inflation is slowing as monetary policy works to reduce inflationary pressures.

CPI growth was 2.8% in February, and core measures of inflation are now close to 3%. Key indicators of underlying price pressures are improving, but most have not yet fully normalized.

After essentially no growth in the second half of 2023, GDP is estimated to rebound in early 2024. Quarterly GDP growth is likely to be volatile around 2%. On an annual average basis, growth is 1.5% in 2024, supported by strong population growth. It then averages about 2% in 2025 and 2026 (Table 2 and Table 3).

Growth in GDP per capita is expected to be negative in the first half of 2024, although it improves throughout the year and into early 2025. The pickup is driven by easing financial conditions, the fading effects of past increases in interest rates, and improving business and consumer confidence.

Potential output growth is robust in 2024. This reflects strong immigration, which more than offsets the ongoing weakness in productivity growth. Moderate excess supply in the Canadian economy is expected to remain through 2024.

It starts to diminish in early 2025 as demand growth remains solid and supply growth moderates. The economy is expected to return to balance in 2026.

The nominal neutral interest rate in Canada is
estimated to be in the range of 2¼% to 3¼%, up 25 basis points from the January Report. The economic projection assumes that the neutral rate is at the midpoint of this range. Details about the Bank’s annual assessment are provided in the Appendix.

The Bank estimates that the nominal neutral rate in Canada has risen to lie within a range of 2.25% to 3.25%, which is 25 basis points higher than in the April 2023 assessment. The midpoint estimate consists of a 2% inflation target and a 0.75% real neutral rate. This increase reflects the impacts of an upward revision to the US neutral rate and changes in key Canadian domestic factors.

Because Canada is a small open economy, its neutral rate of interest is influenced by global economic conditions. The Bank uses an estimate of the neutral rate for the United States as a proxy for the global neutral interest rate. The nominal US neutral rate is currently estimated to be within a range of 2.25% to 3.25%. The current estimate of the neutral rate is 25 basis points higher than in the April 2023 Report and is largely explained by the stronger US potential output growth driven by higher population and productivity growth. To a lesser extent, higher government debt has also contributed to the higher neutral rate.

For Canada, stronger average growth in trend labour input exerts upward pressure on the Canadian neutral rate. Population growth matters, not only because of its impact on growth in the labour force but also because of how it affects the composition of borrowers and savers. A fast-growing population increases the proportion of young borrowers relative to middle-aged and older savers, and this puts upward pressure on the neutral rate. However, offsetting this pressure is weaker growth in TLP.

Like potential output, the neutral rate is unobservable and can be inferred only by assessing the evolution of observed data. Considerable uncertainty surrounds its estimation. This reflects the uncertainty around the factors that drive it, such as potential output and the balance between savings and investment.

All in all, the market is assuming a more hawkish policy stance:

The central bank’s decision arrived shortly after the U.S. released higher-than-expected inflation figures at 830 am ET. The data sent the U.S. dollar spiking, pushing the Canadian currency down about half a cent US, and it slipped further later to a four-and-a-half month low to below 73 cents US. Bond yields in both Canada and the U.S. rose sharply after the U.S. data and at last check two-year yields were up about 18 basis points – a large one-day move. Canada’s five-year yield was up 14 basis points at 3.732%, nearing its high of February. All this suggests fixed mortgage rates will see some upward pressure in the days ahead.

Stock markets in both the U.S. and Canada immediately tumbled as the U.S. inflation numbers were released. Traders are now assigning only about 10 per cent odds that the Federal Reserve will start cutting rates in June.

The following table details how swaps markets are pricing in future moves in the Bank of Canada overnight rate, according to Refinitiv Eikon data as of 1121 am ET. The current Bank of Canada overnight rate is 5 per cent. While the bank moves in quarter point increments, credit market implied rates fluctuate more fluidly and are constantly changing. Columns to the right are percentage probabilities of future rate moves.

Monday’s tote board:

Tote board after the BoC announcement (11:21 am):

PerpetualDiscounts now yield 6.66%, equivalent to 8.66% interest at the standard equivalency factor of 1.3x. Long corporates yielded 5.18% on 2024-4-5 and since then the closing price of ZLC has changed from 14.79 to 14.71, a decrease of 54bp in price, implying an increase of yields of 4bp (BMO reports a duration of 12.33, but don’t disclose whether this is Macaulay or Modified; I will assume Modified) to 5.22%. Therefore, the pre-tax interest-equivalent spread (in this context, the “Seniority Spread”) has widened slightly (and perhaps spuriously) to 345bp from the 340bp reported April 3.

HIMIPref™ Preferred Indices
These values reflect the December 2008 revision of the HIMIPref™ Indices

Values are provisional and are finalized monthly
Index Mean
Current
Yield
(at bid)
Median
YTW
Median
Average
Trading
Value
Median
Mod Dur
(YTW)
Issues Day’s Perf. Index Value
Ratchet 0.00 % 0.00 % 0 0.00 0 -0.1609 % 2,370.0
FixedFloater 0.00 % 0.00 % 0 0.00 0 -0.1609 % 4,545.6
Floater 10.15 % 10.31 % 43,630 9.32 1 -0.1609 % 2,619.7
OpRet 0.00 % 0.00 % 0 0.00 0 0.0418 % 3,440.3
SplitShare 4.89 % 7.04 % 32,001 1.77 7 0.0418 % 4,108.5
Interest-Bearing 0.00 % 0.00 % 0 0.00 0 0.0418 % 3,205.6
Perpetual-Premium 0.00 % 0.00 % 0 0.00 0 -0.6987 % 2,629.2
Perpetual-Discount 6.54 % 6.66 % 46,228 13.05 29 -0.6987 % 2,867.0
FixedReset Disc 5.29 % 6.98 % 101,564 12.03 57 0.2801 % 2,518.8
Insurance Straight 6.47 % 6.63 % 51,325 13.04 21 -0.6765 % 2,802.2
FloatingReset 9.67 % 9.59 % 32,981 9.89 2 0.1319 % 2,668.7
FixedReset Prem 6.41 % 6.44 % 209,343 3.18 3 0.1464 % 2,511.5
FixedReset Bank Non 0.00 % 0.00 % 0 0.00 0 0.2801 % 2,574.7
FixedReset Ins Non 5.38 % 7.31 % 71,078 12.46 14 0.0914 % 2,643.6
Performance Highlights
Issue Index Change Notes
POW.PR.C Perpetual-Discount -2.69 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-04-10
Maturity Price : 21.80
Evaluated at bid price : 22.04
Bid-YTW : 6.61 %
SLF.PR.C Insurance Straight -2.68 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-04-10
Maturity Price : 18.17
Evaluated at bid price : 18.17
Bid-YTW : 6.18 %
BN.PF.C Perpetual-Discount -1.78 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-04-10
Maturity Price : 17.70
Evaluated at bid price : 17.70
Bid-YTW : 6.92 %
GWO.PR.G Insurance Straight -1.55 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-04-10
Maturity Price : 19.70
Evaluated at bid price : 19.70
Bid-YTW : 6.67 %
BN.PF.D Perpetual-Discount -1.49 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-04-10
Maturity Price : 17.90
Evaluated at bid price : 17.90
Bid-YTW : 6.92 %
GWO.PR.Y Insurance Straight -1.43 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-04-10
Maturity Price : 17.25
Evaluated at bid price : 17.25
Bid-YTW : 6.59 %
MFC.PR.B Insurance Straight -1.43 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-04-10
Maturity Price : 18.66
Evaluated at bid price : 18.66
Bid-YTW : 6.31 %
SLF.PR.E Insurance Straight -1.35 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-04-10
Maturity Price : 18.26
Evaluated at bid price : 18.26
Bid-YTW : 6.22 %
SLF.PR.D Insurance Straight -1.31 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-04-10
Maturity Price : 18.14
Evaluated at bid price : 18.14
Bid-YTW : 6.19 %
PWF.PR.E Perpetual-Discount -1.29 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-04-10
Maturity Price : 20.73
Evaluated at bid price : 20.73
Bid-YTW : 6.66 %
BN.PR.N Perpetual-Discount -1.24 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-04-10
Maturity Price : 17.51
Evaluated at bid price : 17.51
Bid-YTW : 6.85 %
POW.PR.B Perpetual-Discount -1.13 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-04-10
Maturity Price : 20.12
Evaluated at bid price : 20.12
Bid-YTW : 6.70 %
POW.PR.D Perpetual-Discount -1.09 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-04-10
Maturity Price : 19.14
Evaluated at bid price : 19.14
Bid-YTW : 6.58 %
CU.PR.E Perpetual-Discount -1.06 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-04-10
Maturity Price : 18.70
Evaluated at bid price : 18.70
Bid-YTW : 6.66 %
PWF.PR.Z Perpetual-Discount -1.02 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-04-10
Maturity Price : 19.35
Evaluated at bid price : 19.35
Bid-YTW : 6.68 %
FTS.PR.F Perpetual-Discount -1.02 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-04-10
Maturity Price : 19.50
Evaluated at bid price : 19.50
Bid-YTW : 6.38 %
MFC.PR.L FixedReset Ins Non 1.10 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-04-10
Maturity Price : 20.25
Evaluated at bid price : 20.25
Bid-YTW : 7.31 %
BN.PF.I FixedReset Disc 1.17 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-04-10
Maturity Price : 21.27
Evaluated at bid price : 21.55
Bid-YTW : 8.28 %
IFC.PR.G FixedReset Ins Non 1.59 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-04-10
Maturity Price : 21.95
Evaluated at bid price : 22.40
Bid-YTW : 6.94 %
BN.PF.H FixedReset Disc 1.89 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-04-10
Maturity Price : 22.82
Evaluated at bid price : 23.20
Bid-YTW : 8.16 %
NA.PR.W FixedReset Disc 1.94 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-04-10
Maturity Price : 21.00
Evaluated at bid price : 21.00
Bid-YTW : 6.97 %
TD.PF.A FixedReset Disc 2.10 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-04-10
Maturity Price : 22.66
Evaluated at bid price : 23.35
Bid-YTW : 6.23 %
BN.PF.F FixedReset Disc 3.83 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-04-10
Maturity Price : 20.35
Evaluated at bid price : 20.35
Bid-YTW : 8.06 %
Volume Highlights
Issue Index Shares
Traded
Notes
TD.PF.A FixedReset Disc 202,350 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-04-10
Maturity Price : 22.66
Evaluated at bid price : 23.35
Bid-YTW : 6.23 %
TD.PF.C FixedReset Disc 193,934 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-04-10
Maturity Price : 21.91
Evaluated at bid price : 22.45
Bid-YTW : 6.47 %
TD.PF.L FixedReset Prem 156,500 YTW SCENARIO
Maturity Type : Call
Maturity Date : 2024-05-30
Maturity Price : 25.00
Evaluated at bid price : 24.92
Bid-YTW : 5.53 %
TD.PF.B FixedReset Disc 133,031 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-04-10
Maturity Price : 22.94
Evaluated at bid price : 23.85
Bid-YTW : 6.17 %
CM.PR.T FixedReset Disc 96,900 YTW SCENARIO
Maturity Type : Call
Maturity Date : 2024-05-30
Maturity Price : 25.00
Evaluated at bid price : 24.93
Bid-YTW : 5.44 %
IFC.PR.F Insurance Straight 92,800 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-04-10
Maturity Price : 20.07
Evaluated at bid price : 20.07
Bid-YTW : 6.67 %
There were 20 other index-included issues trading in excess of 10,000 shares.
Wide Spread Highlights
Issue Index Quote Data and Yield Notes
POW.PR.G Perpetual-Discount Quote: 21.15 – 22.17
Spot Rate : 1.0200
Average : 0.5913

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-04-10
Maturity Price : 21.15
Evaluated at bid price : 21.15
Bid-YTW : 6.67 %

POW.PR.C Perpetual-Discount Quote: 22.04 – 22.75
Spot Rate : 0.7100
Average : 0.4699

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-04-10
Maturity Price : 21.80
Evaluated at bid price : 22.04
Bid-YTW : 6.61 %

MFC.PR.L FixedReset Ins Non Quote: 20.25 – 20.95
Spot Rate : 0.7000
Average : 0.4854

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-04-10
Maturity Price : 20.25
Evaluated at bid price : 20.25
Bid-YTW : 7.31 %

MFC.PR.N FixedReset Ins Non Quote: 19.83 – 20.55
Spot Rate : 0.7200
Average : 0.5238

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-04-10
Maturity Price : 19.83
Evaluated at bid price : 19.83
Bid-YTW : 7.47 %

GWO.PR.I Insurance Straight Quote: 17.45 – 17.95
Spot Rate : 0.5000
Average : 0.3563

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-04-10
Maturity Price : 17.45
Evaluated at bid price : 17.45
Bid-YTW : 6.51 %

BN.PF.C Perpetual-Discount Quote: 17.70 – 18.14
Spot Rate : 0.4400
Average : 0.3011

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-04-10
Maturity Price : 17.70
Evaluated at bid price : 17.70
Bid-YTW : 6.92 %

April 9, 2024

Tuesday, April 9th, 2024
HIMIPref™ Preferred Indices
These values reflect the December 2008 revision of the HIMIPref™ Indices

Values are provisional and are finalized monthly
Index Mean
Current
Yield
(at bid)
Median
YTW
Median
Average
Trading
Value
Median
Mod Dur
(YTW)
Issues Day’s Perf. Index Value
Ratchet 0.00 % 0.00 % 0 0.00 0 0.0805 % 2,373.8
FixedFloater 0.00 % 0.00 % 0 0.00 0 0.0805 % 4,553.0
Floater 10.14 % 10.29 % 42,835 9.33 1 0.0805 % 2,623.9
OpRet 0.00 % 0.00 % 0 0.00 0 0.1016 % 3,438.9
SplitShare 4.90 % 7.03 % 31,628 1.77 7 0.1016 % 4,106.8
Interest-Bearing 0.00 % 0.00 % 0 0.00 0 0.1016 % 3,204.3
Perpetual-Premium 0.00 % 0.00 % 0 0.00 0 0.1403 % 2,647.7
Perpetual-Discount 6.49 % 6.61 % 44,777 13.09 29 0.1403 % 2,887.2
FixedReset Disc 5.30 % 7.10 % 102,606 12.20 57 0.0899 % 2,511.8
Insurance Straight 6.43 % 6.61 % 51,463 13.07 21 -0.2128 % 2,821.3
FloatingReset 9.68 % 9.64 % 33,181 9.85 2 0.6373 % 2,665.2
FixedReset Prem 6.41 % 6.49 % 217,778 3.19 3 -0.2389 % 2,507.9
FixedReset Bank Non 0.00 % 0.00 % 0 0.00 0 0.0899 % 2,567.6
FixedReset Ins Non 5.38 % 7.30 % 73,922 12.46 14 0.6252 % 2,641.2
Performance Highlights
Issue Index Change Notes
TD.PF.A FixedReset Disc -2.89 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-04-09
Maturity Price : 22.18
Evaluated at bid price : 22.87
Bid-YTW : 6.36 %
GWO.PR.I Insurance Straight -1.35 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-04-09
Maturity Price : 17.51
Evaluated at bid price : 17.51
Bid-YTW : 6.49 %
GWO.PR.H Insurance Straight -1.02 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-04-09
Maturity Price : 18.52
Evaluated at bid price : 18.52
Bid-YTW : 6.61 %
BN.PF.G FixedReset Disc 1.13 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-04-09
Maturity Price : 17.90
Evaluated at bid price : 17.90
Bid-YTW : 8.81 %
PWF.PR.Z Perpetual-Discount 1.14 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-04-09
Maturity Price : 19.55
Evaluated at bid price : 19.55
Bid-YTW : 6.61 %
FFH.PR.D FloatingReset 1.36 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-04-09
Maturity Price : 21.60
Evaluated at bid price : 21.60
Bid-YTW : 9.64 %
MFC.PR.N FixedReset Ins Non 1.47 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-04-09
Maturity Price : 20.00
Evaluated at bid price : 20.00
Bid-YTW : 7.40 %
MFC.PR.I FixedReset Ins Non 1.52 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-04-09
Maturity Price : 22.20
Evaluated at bid price : 22.70
Bid-YTW : 7.13 %
TD.PF.D FixedReset Disc 1.70 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-04-09
Maturity Price : 22.33
Evaluated at bid price : 22.75
Bid-YTW : 6.78 %
MFC.PR.Q FixedReset Ins Non 1.86 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-04-09
Maturity Price : 21.60
Evaluated at bid price : 21.90
Bid-YTW : 7.10 %
BN.PR.R FixedReset Disc 2.51 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-04-09
Maturity Price : 15.50
Evaluated at bid price : 15.50
Bid-YTW : 8.99 %
IFC.PR.A FixedReset Ins Non 2.57 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-04-09
Maturity Price : 18.36
Evaluated at bid price : 18.36
Bid-YTW : 7.24 %
Volume Highlights
Issue Index Shares
Traded
Notes
RY.PR.Z FixedReset Disc 134,904 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-04-09
Maturity Price : 22.08
Evaluated at bid price : 22.67
Bid-YTW : 6.58 %
BMO.PR.W FixedReset Disc 131,002 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-04-09
Maturity Price : 23.00
Evaluated at bid price : 23.70
Bid-YTW : 6.21 %
TD.PF.B FixedReset Disc 104,029 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-04-09
Maturity Price : 22.95
Evaluated at bid price : 23.85
Bid-YTW : 6.17 %
RY.PR.J FixedReset Disc 95,297 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-04-09
Maturity Price : 21.87
Evaluated at bid price : 22.39
Bid-YTW : 7.00 %
GWO.PR.S Insurance Straight 91,400 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-04-09
Maturity Price : 20.05
Evaluated at bid price : 20.05
Bid-YTW : 6.61 %
CM.PR.S FixedReset Disc 63,000 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-04-09
Maturity Price : 22.95
Evaluated at bid price : 22.95
Bid-YTW : 6.64 %
There were 15 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: 20.06 – 22.50
Spot Rate : 2.4400
Average : 1.3310

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-04-09
Maturity Price : 20.06
Evaluated at bid price : 20.06
Bid-YTW : 7.37 %

TD.PF.A FixedReset Disc Quote: 22.87 – 23.82
Spot Rate : 0.9500
Average : 0.6192

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-04-09
Maturity Price : 22.18
Evaluated at bid price : 22.87
Bid-YTW : 6.36 %

BN.PR.Z FixedReset Disc Quote: 20.22 – 20.80
Spot Rate : 0.5800
Average : 0.3547

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-04-09
Maturity Price : 20.22
Evaluated at bid price : 20.22
Bid-YTW : 8.12 %

BN.PF.F FixedReset Disc Quote: 19.60 – 20.16
Spot Rate : 0.5600
Average : 0.3569

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-04-09
Maturity Price : 19.60
Evaluated at bid price : 19.60
Bid-YTW : 8.37 %

CU.PR.C FixedReset Disc Quote: 20.09 – 21.84
Spot Rate : 1.7500
Average : 1.5887

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-04-09
Maturity Price : 20.09
Evaluated at bid price : 20.09
Bid-YTW : 7.45 %

PWF.PR.P FixedReset Disc Quote: 14.64 – 15.25
Spot Rate : 0.6100
Average : 0.4579

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-04-09
Maturity Price : 14.64
Evaluated at bid price : 14.64
Bid-YTW : 8.24 %

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 %

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 %

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 %

Infrastructure Dividend Split Corp., Maybe?

Wednesday, April 3rd, 2024

On 2024-1-10, Middlefield Limited announced:

that [International Clean Power Dividend Fund (“CLP”)] intends to merge (the “Merger”) into Infrastructure Dividend Split Corp. (“Infrastructure Split Corp.”), a split share corporation to be formed in connection with the Merger, with unitholders of CLP becoming Class A shareholders of Infrastructure Split Corp. In conjunction with the Merger, Infrastructure Split Corp. plans to undertake an offering of a number of preferred shares (the “Preferred Shares”) approximately equal to the number of Class A shares that are outstanding immediately following the Merger. Terms of the Preferred Shares will be announced at least 60 days prior to the Preferred Share offering and will be included in an information circular distributed to unitholders in advance of the Meeting (as defined below).

The investment strategy of Infrastructure Dividend Split Corp. will be to invest in an actively managed portfolio of approximately 15 dividend-paying issuers operating in the infrastructure sector that Middlefield Capital Corporation (the “Advisor”), the investment advisor of CLP and Infrastructure Split Corp., believes are currently undervalued and well-positioned to benefit from the Advisor’s outlook for a gradual reduction in interest rates, the continuation of global decarbonization, and favourable demographics (such as growing middle class and urbanization).

Infrastructure Dividend Split Corp.’s investment objectives will be to provide:

Holders of Class A shares with:

(i) non-cumulative monthly cash distributions; and

(ii) the opportunity for capital appreciation through exposure to Infrastructure Dividend Split Corp.’s portfolio; and

Holders of Preferred shares with:

(i) fixed cumulative preferential quarterly cash distributions; and

(ii) a return of the original issue price of $10.00 to holders upon maturity.

Infrastructure Split Corp.’s investment objectives and strategies will differ from those of CLP, including as a result of Infrastructure Split Corp.’s investment objectives and strategies not referring to environmental, social, and governance (“ESG”) considerations. Infrastructure Split Corp. will continue to consider ESG factors alongside other investment characteristics when selecting issuers for inclusion in its portfolio, but will not be constrained by such considerations. The Manager believes that the new objectives and strategies will provide Infrastructure Split Corp. with greater flexibility and a broader investment universe than those of CLP, which the Manager believes will ultimately lead to better returns for investors.

Split share corporations are unique investment vehicles that provide opportunities for both conservative and more aggressive investors. Further details regarding the operation of split share corporations can be found at https://middlefield.com/split-share-primer/.

Pursuant to the Merger, Infrastructure Split Corp. will issue Class A shares to CLP’s unitholders with a value of $15 per Class A Share. The initial target distribution yield for the Class A Shares will be 10% per annum based on the notional $15 issue price (or $0.125 per month or $1.50 per annum). On a relative basis after accounting for the exchange ratio as of January 9, 2024, unitholders can expect to see their gross monthly distributions increase by approximately 35% post Merger. The management fee of Infrastructure Split Corp. will be 1.10% per annum, a reduction from the 1.25% per annum management fee of CLP.

A special meeting of unitholders of CLP will be held on or about April 16, 2024, at which unitholders of CLP as of a record date to be determined will be asked to approve the Merger. Further details of the meeting will be provided in an information circular to be distributed to unitholders of CLP as of the record date in advance of the special meeting. If approved, the Merger is expected to be completed on or about April 18, 2024 (the “Effective Date”). All costs of the Merger and the special meeting will be borne by the Manager.

The Merger will not be effected on a tax-deferred roll-over basis and, as such, will be considered a taxable event for investors that may result in capital losses or gains becoming realized. The Merger will be completed at an exchange ratio calculated as the net asset value per unit of CLP determined as at the close of trading on the TSX on the business day immediately prior to the Effective Date divided by $15.00. Pursuant to the Merger, Infrastructure Split Corp. will assume the liabilities of CLP and will issue Class A Shares of Infrastructure Split Corp., based on the exchange ratio, in satisfaction of the purchase price for the assets of CLP.

The Manager believes that the Merger will benefit unitholders of CLP. Class A Shares of split share corporations have demonstrated the potential to trade closer to, and in some cases even above, their fund’s net asset value per share. If the shares trade at or above net asset value, the Infrastructure Split Corp. could position itself to raise additional capital, thereby leading to a larger asset base, improved liquidity and lower overall cost.

The unitholders of CLP who do not wish to participate in the Merger can sell their units in the market or tender them for a redemption prior to the Merger. In order to provide unitholders with more time to consider their options, the Manager has extended the redemption notice period to Thursday, February 29, 2024. Unitholders should be aware that by tendering units for redemption they will be exposed to pricing risk for the period between the deadline to tender units and the effective date of the redemption, being March 28, 2024, and that redemption proceeds equal to the net asset value per unit of CLP as of such redemption, less any costs associated with the redemption, will be paid sometime in April 2024.

The Merger remains subject to the satisfaction of all regulatory requirements and customary closing conditions, including the approval to list the Infrastructure Split Corp. on a stock exchange, and securities regulatory approval of the offering of preferred shares by Infrastructure Split Corp., if applicable.

I love the way they tout the idea that “unitholders can expect to see their gross monthly distributions increase by approximately 35% post Merger”. Sure, Middlefield. And all this money is magically appearing out of nowhere, right?

The mutual fund that is to be converted hasn’t been doing very well, according to the 2023 Year-end factsheet. Not surprising, really, given the movement in interest rates since inception, and performance is at least in the same ballpark as the designated benchmark (a 50-50 mix of the S&P Global 1200 Utilities Sector GICS Level 1 index and the S&P Global Clean Energy Net Total Return Index).

DBRS has blessed the proposed preferred shares with a provisional Pfd-3(high) rating:

DBRS Limited (Morningstar DBRS) assigned a provisional credit rating of Pfd-3 (high) to the Preferred Shares to be issued by Infrastructure Dividend Split Corp. (the Company). Middlefield Limited will act as the manager of the Company (the Manager).

The Company intends to acquire pursuant to an asset purchase agreement (the CLP transaction), the investment portfolio of International Clean Power Dividend Fund (CLP), a non-redeemable investment fund structured as a trust and managed by the Manager. At the time of closing of the CLP transaction, the investment portfolio of CLP will comprise securities that are consistent with the Company’s investment strategy. In exchange for the assets of CLP, the Company will issue Class A Shares that will be distributed by CLP to its former unitholders and CLP will be wound up. Closing of the CLP transaction will be conditional upon the approval of CLP unitholders, which will be sought at a meeting to be held on or about May 1, 2024.

In conjunction with the CLP transaction, the Company will offer Preferred Shares in a number approximately equal to the number of Class A Shares that will be outstanding immediately following the closing of the CLP transaction. The Company intends to issue Preferred Shares and Class A Shares with an issue price per Preferred Share and per Class A Share that will result in 40% of the gross proceeds coming from the issuance of the Preferred Shares and the remaining 60% of the gross proceeds coming from the issuance of the Class A Shares. Following the closing of the CLP transaction and the initial offering of Preferred Shares, the Company may undertake further offerings of Preferred Shares and Class A Shares only on the basis that an equal number of Preferred Shares and Class A Shares will be outstanding at all material times. The Preferred Shares will mature on April 30, 2029 (Maturity Date). The term of the Company may be extended beyond the Maturity Date for additional terms of five years each as determined by the Company’s board of directors.

The Company will use the net proceeds raised from the sale of the Preferred Shares to invest in securities of infrastructure issuers in accordance with the Company’s investment objectives, strategy, and restrictions.

The investment strategy of the Company is to invest in an actively managed portfolio (the Portfolio) comprising approximately 15 dividend paying securities of issuers operating in the infrastructure sector. The Company will invest in issuers the Advisor (Middlefield Capital Corporation) believes are undervalued and well-positioned to benefit from the Advisor’s outlook for a gradual reduction in interest rates, the continuation of global decarbonization, and favourable demographics (the Infrastructure Issuers). The Company is restricted from having for a period of more than 30 consecutive days: (1) less than 75% of the value of the total assets of the Company (excluding cash and cash equivalents) comprising the securities of Infrastructure Issuers, (2) more than 25% of the value of the total assets of the Company (excluding cash and cash equivalents) comprising securities of issuers having a market capitalization of less than CAD$1 billion, and (3) more than 15% the value of the total assets of the Company (excluding cash and cash equivalents) comprising securities of issuers from countries that meet MSCI’s definition of emerging market country. The Portfolio may include securities denominated in currencies other than the Canadian dollar, which may expose the Company to foreign exchange risk. However, the Company initially intends to hedge the majority of the exposure back to the Canadian dollar.

The Company intends to initially invest in a Portfolio consisting of equity securities from the following 15 investment-grade Infrastructure Issuers: Brookfield Infrastructure Corp, Brookfield Renewable Corp, Capital Power Corp, Crown Castle Inc, CT REIT, Enbridge Inc, Gibson Energy Inc, National Grid plc, NextEra Energy Inc, Northland Power Inc, SmartCentres, Southern Company, SSE plc, TC Energy Corp, and Union Pacific Corp.

The Preferred Shares will be entitled to receive fixed cumulative preferential quarterly cash distributions of $0.18 per share, representing a 7.2% per annum return on the issue price of $10.00. Holders of the Class A Shares will initially receive regular monthly noncumulative distributions targeted to be 10% per annum based on the initial issue price of $15.00. The Company intends to increase or decrease from time to time, the targeted monthly distribution amount to the Class A Shares, to reflect any increase or decrease to the Company’s available income. No monthly distributions to the Class A Shares will be made if (1) distributions to the Preferred Shares are in arrears or (2) in respect of a cash distribution, the net asset value (NAV) of the Company falls below 1.5 times the principal amount of the outstanding Preferred Shares. To supplement Portfolio income, the Manager may write covered call options on all or a portion of the shares held in the Portfolio, engage in securities lending, and rely on realized capital gains.

Based on the initial asset coverage of 2.5x, the net asset value of the Company would have to fall by approximately 59% for the holders of the Preferred Shares to be in a loss position. The initial dividend coverage ratio is above 1.0 times (x).

The Company may establish a loan facility or prime brokerage facility (the Loan Facility) for working capital purposes, with the maximum amount of 5% of the NAV of the Company. The Company may pledge the Portfolio securities as collateral for amounts borrowed under the loan facility. The Preferred Shares will be subordinated to any indebtedness under the Loan Facility.

The Company may issue an unlimited number of Preferred Shares, Class A Shares, and Class M Shares. The Preferred Shares rank in priority to the Class A Shares with respect to the payment of distributions and the repayment of capital on the dissolution, liquidation, or winding-up of the Company. The Class A Shares rank subsequent to the Preferred Shares, with respect to distributions and the repayment of capital on the dissolution, liquidation, or winding-up of the Company. The Class M Shares rank subsequent to both the Preferred Shares and the Class A Shares. There are 100 Class M Shares issued and outstanding at an issue price of $0.10 per share, and no additional Class M Shares can be issued until all the Class A Shares and Preferred Shares have been retracted, redeemed, or purchased for cancellation. The holders of the Class M Shares are not entitled to receive dividends.

On maturity, the holders of the Preferred Shares will be entitled to the value of the Portfolio up to the face value of the Preferred Shares and any accrued and unpaid dividends.

The Pfd-3 (high) credit rating reflects (1) the level of downside protection available to holders of the Preferred Shares, (2) the initial Portfolio quality and underlying securities correlation, (3) the effect of stated distributions to the Class A Shares, and (4) term to maturity of the Preferred Shares.

The main constraints to the provisional credit rating are the following:

(1) The downside protection available to holders of the Preferred Shares will depend on the value of the securities held in the Portfolio.

(2) Volatility of price and changes in the dividend policies of the underlying issuers may result in significant reductions in interest coverage or downside protection from time to time.

(3) Reliance on the Manager to generate additional yield on the Portfolio to meet distributions and trust expenses, without having to liquidate portfolio securities.

(4) Stated monthly distributions on the Class A Shares, which will create a grind on the Portfolio mitigated by an asset coverage test of 1.5x, which ensures sufficient levels of downside protection to the holders of the Preferred Shares.

Morningstar DBRS’ credit rating on the Preferred Shares addresses the credit risk associated with the identified financial obligations in accordance with the relevant transaction documents. The associated financial obligations are the fixed cumulative preferential quarterly cash distributions and the return of the original issue price to holders of the Preferred Shares on the maturity date.

Morningstar DBRS’ credit rating does not address non-payment risk associated with contractual payment obligations contemplated in the applicable transaction documents that are not financial obligations.

Morningstar DBRS’ long-term credit ratings provide opinions on risk of default. Morningstar DBRS considers risk of default to be the risk that an issuer will fail to satisfy the financial obligations in accordance with the terms under which a long-term obligation has been issued. The Morningstar DBRS short-term debt rating scale provides an opinion on the risk that an issuer will not meet its short-term financial obligations in a timely manner.

So, we’ll see. This issue could start off with a substantial float, if enough unitholders convert to Capital Units, which would be nice … for potential preferred share purchasers, anyway!