Archive for April, 2024

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April 30, 2024

Tuesday, April 30th, 2024
HIMIPref™ Preferred Indices
These values reflect the December 2008 revision of the HIMIPref™ Indices
Values are provisional and are finalized monthly
Index Mean
Current
Yield
(at bid)		 Median
YTW		 Median
Average
Trading
Value		 Median
Mod Dur
(YTW)		 Issues Day’s Perf. Index Value
Ratchet 0.00 % 0.00 % 0 0.00 0 -1.1245 % 2,350.9
FixedFloater 0.00 % 0.00 % 0 0.00 0 -1.1245 % 4,509.0
Floater 10.24 % 10.45 % 53,923 9.16 1 -1.1245 % 2,598.6
OpRet 0.00 % 0.00 % 0 0.00 0 -0.2892 % 3,397.0
SplitShare 4.96 % 8.00 % 33,778 1.72 7 -0.2892 % 4,056.8
Interest-Bearing 0.00 % 0.00 % 0 0.00 0 -0.2892 % 3,165.3
Perpetual-Premium 0.00 % 0.00 % 0 0.00 0 0.1620 % 2,579.9
Perpetual-Discount 6.66 % 6.83 % 46,947 12.78 29 0.1620 % 2,813.3
FixedReset Disc 5.24 % 7.12 % 113,642 11.55 57 0.3123 % 2,555.7
Insurance Straight 6.61 % 6.77 % 55,827 12.81 21 0.1210 % 2,745.5
FloatingReset 9.47 % 9.42 % 26,158 9.97 2 0.5208 % 2,714.4
FixedReset Prem 7.03 % 6.42 % 238,185 3.13 3 0.1460 % 2,517.9
FixedReset Bank Non 0.00 % 0.00 % 0 0.00 0 0.3123 % 2,612.4
FixedReset Ins Non 5.21 % 7.30 % 74,331 12.41 14 0.6371 % 2,729.3
Performance Highlights
Issue Index Change Notes
PVS.PR.H SplitShare -3.05 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2027-02-28
Maturity Price : 25.00
Evaluated at bid price : 22.60
Bid-YTW : 8.94 %
TD.PF.B FixedReset Disc -1.31 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-04-30
Maturity Price : 23.10
Evaluated at bid price : 24.07
Bid-YTW : 6.31 %
PWF.PR.F Perpetual-Discount -1.20 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-04-30
Maturity Price : 19.00
Evaluated at bid price : 19.00
Bid-YTW : 6.97 %
BN.PR.B Floater -1.12 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-04-30
Maturity Price : 12.31
Evaluated at bid price : 12.31
Bid-YTW : 10.45 %
CCS.PR.C Insurance Straight -1.07 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-04-30
Maturity Price : 18.45
Evaluated at bid price : 18.45
Bid-YTW : 6.88 %
BN.PF.B FixedReset Disc -1.04 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-04-30
Maturity Price : 19.00
Evaluated at bid price : 19.00
Bid-YTW : 8.51 %
SLF.PR.G FixedReset Ins Non 1.02 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-04-30
Maturity Price : 15.86
Evaluated at bid price : 15.86
Bid-YTW : 7.97 %
FFH.PR.I FixedReset Disc 1.10 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-04-30
Maturity Price : 18.30
Evaluated at bid price : 18.30
Bid-YTW : 8.71 %
PVS.PR.K SplitShare 1.12 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2029-05-31
Maturity Price : 25.00
Evaluated at bid price : 22.50
Bid-YTW : 7.02 %
BN.PF.J FixedReset Disc 1.27 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-04-30
Maturity Price : 20.75
Evaluated at bid price : 20.75
Bid-YTW : 8.28 %
BN.PF.E FixedReset Disc 1.45 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-04-30
Maturity Price : 17.55
Evaluated at bid price : 17.55
Bid-YTW : 9.00 %
BN.PR.M Perpetual-Discount 1.46 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-04-30
Maturity Price : 17.40
Evaluated at bid price : 17.40
Bid-YTW : 6.93 %
IFC.PR.G FixedReset Ins Non 1.54 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-04-30
Maturity Price : 22.39
Evaluated at bid price : 23.10
Bid-YTW : 6.88 %
BN.PR.Z FixedReset Disc 1.61 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-04-30
Maturity Price : 20.20
Evaluated at bid price : 20.20
Bid-YTW : 8.33 %
GWO.PR.I Insurance Straight 2.15 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-04-30
Maturity Price : 17.09
Evaluated at bid price : 17.09
Bid-YTW : 6.68 %
BN.PF.G FixedReset Disc 2.17 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-04-30
Maturity Price : 18.85
Evaluated at bid price : 18.85
Bid-YTW : 8.62 %
MFC.PR.F FixedReset Ins Non 2.77 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-04-30
Maturity Price : 16.70
Evaluated at bid price : 16.70
Bid-YTW : 7.34 %
MFC.PR.I FixedReset Ins Non 3.17 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-04-30
Maturity Price : 22.46
Evaluated at bid price : 23.11
Bid-YTW : 7.17 %
BN.PR.R FixedReset Disc 4.22 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-04-30
Maturity Price : 16.05
Evaluated at bid price : 16.05
Bid-YTW : 8.96 %
Volume Highlights
Issue Index Shares
Traded		 Notes
BMO.PR.S FixedReset Disc 962,132 YTW SCENARIO
Maturity Type : Call
Maturity Date : 2024-06-24
Maturity Price : 25.00
Evaluated at bid price : 24.90
Bid-YTW : 4.82 %
RY.PR.Z FixedReset Disc 624,246 YTW SCENARIO
Maturity Type : Call
Maturity Date : 2024-06-23
Maturity Price : 25.00
Evaluated at bid price : 24.91
Bid-YTW : 4.54 %
CU.PR.J Perpetual-Discount 187,900 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-04-30
Maturity Price : 17.80
Evaluated at bid price : 17.80
Bid-YTW : 6.81 %
NA.PR.G FixedReset Prem 171,200 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-04-30
Maturity Price : 23.20
Evaluated at bid price : 25.01
Bid-YTW : 6.70 %
IFC.PR.K Insurance Straight 69,400 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-04-30
Maturity Price : 19.80
Evaluated at bid price : 19.80
Bid-YTW : 6.73 %
BMO.PR.F FixedReset Disc 48,756 YTW SCENARIO
Maturity Type : Call
Maturity Date : 2024-06-24
Maturity Price : 25.00
Evaluated at bid price : 24.91
Bid-YTW : 5.24 %
There were 31 other index-included issues trading in excess of 10,000 shares.
Wide Spread Highlights
Issue Index Quote Data and Yield Notes
IFC.PR.K Insurance Straight Quote: 19.80 – 21.60
Spot Rate : 1.8000
Average : 1.0598

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-04-30
Maturity Price : 19.80
Evaluated at bid price : 19.80
Bid-YTW : 6.73 %
BN.PF.C Perpetual-Discount Quote: 17.05 – 18.47
Spot Rate : 1.4200
Average : 0.7736

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-04-30
Maturity Price : 17.05
Evaluated at bid price : 17.05
Bid-YTW : 7.22 %
BN.PF.I FixedReset Disc Quote: 21.75 – 23.10
Spot Rate : 1.3500
Average : 0.7635

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-04-30
Maturity Price : 21.41
Evaluated at bid price : 21.75
Bid-YTW : 8.40 %
GWO.PR.Y Insurance Straight Quote: 16.85 – 18.05
Spot Rate : 1.2000
Average : 0.8024

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-04-30
Maturity Price : 16.85
Evaluated at bid price : 16.85
Bid-YTW : 6.77 %
BIP.PR.E FixedReset Disc Quote: 21.11 – 21.94
Spot Rate : 0.8300
Average : 0.4872

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-04-30
Maturity Price : 21.11
Evaluated at bid price : 21.11
Bid-YTW : 8.18 %
TD.PF.L FixedReset Prem Quote: 24.99 – 25.60
Spot Rate : 0.6100
Average : 0.3239

YTW SCENARIO
Maturity Type : Call
Maturity Date : 2024-05-30
Maturity Price : 25.00
Evaluated at bid price : 24.99
Bid-YTW : 5.75 %

Posted in Market Action | 7 Comments »

April 29, 2024

Monday, April 29th, 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 0.5654 % 2,377.6
FixedFloater 0.00 % 0.00 % 0 0.00 0 0.5654 % 4,560.3
Floater 10.12 % 10.33 % 52,285 9.25 1 0.5654 % 2,628.1
OpRet 0.00 % 0.00 % 0 0.00 0 -0.0422 % 3,406.9
SplitShare 4.94 % 7.72 % 34,038 1.72 7 -0.0422 % 4,068.5
Interest-Bearing 0.00 % 0.00 % 0 0.00 0 -0.0422 % 3,174.4
Perpetual-Premium 0.00 % 0.00 % 0 0.00 0 0.1244 % 2,575.8
Perpetual-Discount 6.67 % 6.85 % 43,617 12.75 29 0.1244 % 2,808.7
FixedReset Disc 5.22 % 7.04 % 107,051 11.52 57 0.2332 % 2,547.7
Insurance Straight 6.62 % 6.80 % 54,425 12.78 21 0.1161 % 2,742.2
FloatingReset 9.52 % 9.52 % 26,359 9.90 2 0.3135 % 2,700.4
FixedReset Prem 6.40 % 6.55 % 220,501 3.13 3 -0.1193 % 2,514.2
FixedReset Bank Non 0.00 % 0.00 % 0 0.00 0 0.2332 % 2,604.3
FixedReset Ins Non 5.24 % 7.31 % 71,900 12.37 14 0.1890 % 2,712.0
Performance Highlights
Issue Index Change Notes
BN.PR.R FixedReset Disc -2.22 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-04-29
Maturity Price : 15.40
Evaluated at bid price : 15.40
Bid-YTW : 9.32 %
BN.PF.J FixedReset Disc -1.96 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-04-29
Maturity Price : 20.49
Evaluated at bid price : 20.49
Bid-YTW : 8.38 %
MFC.PR.I FixedReset Ins Non -1.84 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-04-29
Maturity Price : 22.01
Evaluated at bid price : 22.40
Bid-YTW : 7.41 %
GWO.PR.I Insurance Straight -1.24 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-04-29
Maturity Price : 16.73
Evaluated at bid price : 16.73
Bid-YTW : 6.82 %
IFC.PR.G FixedReset Ins Non -1.17 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-04-29
Maturity Price : 22.18
Evaluated at bid price : 22.75
Bid-YTW : 6.99 %
NA.PR.E FixedReset Disc 1.02 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-04-29
Maturity Price : 22.19
Evaluated at bid price : 22.75
Bid-YTW : 6.90 %
RY.PR.O Perpetual-Discount 1.08 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-04-29
Maturity Price : 22.21
Evaluated at bid price : 22.50
Bid-YTW : 5.44 %
FTS.PR.K FixedReset Disc 1.08 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-04-29
Maturity Price : 18.75
Evaluated at bid price : 18.75
Bid-YTW : 7.85 %
CU.PR.C FixedReset Disc 1.08 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-04-29
Maturity Price : 19.57
Evaluated at bid price : 19.57
Bid-YTW : 7.86 %
CM.PR.S FixedReset Disc 1.13 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-04-29
Maturity Price : 23.18
Evaluated at bid price : 23.18
Bid-YTW : 6.74 %
IFC.PR.C FixedReset Ins Non 1.26 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-04-29
Maturity Price : 20.91
Evaluated at bid price : 20.91
Bid-YTW : 7.28 %
BN.PF.F FixedReset Disc 1.27 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-04-29
Maturity Price : 20.00
Evaluated at bid price : 20.00
Bid-YTW : 8.46 %
MFC.PR.Q FixedReset Ins Non 1.37 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-04-29
Maturity Price : 21.78
Evaluated at bid price : 22.15
Bid-YTW : 7.19 %
BN.PF.A FixedReset Disc 1.38 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-04-29
Maturity Price : 21.30
Evaluated at bid price : 21.30
Bid-YTW : 8.05 %
SLF.PR.E Insurance Straight 1.42 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-04-29
Maturity Price : 17.80
Evaluated at bid price : 17.80
Bid-YTW : 6.41 %
IFC.PR.A FixedReset Ins Non 1.49 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-04-29
Maturity Price : 18.40
Evaluated at bid price : 18.40
Bid-YTW : 7.43 %
BN.PR.T FixedReset Disc 1.85 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-04-29
Maturity Price : 15.94
Evaluated at bid price : 15.94
Bid-YTW : 8.98 %
BN.PR.Z FixedReset Disc 1.95 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-04-29
Maturity Price : 19.88
Evaluated at bid price : 19.88
Bid-YTW : 8.46 %
FFH.PR.C FixedReset Disc 2.32 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-04-29
Maturity Price : 21.67
Evaluated at bid price : 22.07
Bid-YTW : 7.93 %
BN.PR.X FixedReset Disc 3.06 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-04-29
Maturity Price : 15.50
Evaluated at bid price : 15.50
Bid-YTW : 8.86 %
Volume Highlights
Issue Index Shares
Traded		 Notes
PWF.PR.Z Perpetual-Discount 71,700 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-04-29
Maturity Price : 18.87
Evaluated at bid price : 18.87
Bid-YTW : 6.88 %
PWF.PR.L Perpetual-Discount 48,700 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-04-29
Maturity Price : 18.73
Evaluated at bid price : 18.73
Bid-YTW : 6.86 %
BMO.PR.S FixedReset Disc 38,000 YTW SCENARIO
Maturity Type : Call
Maturity Date : 2024-06-24
Maturity Price : 25.00
Evaluated at bid price : 24.90
Bid-YTW : 4.73 %
RY.PR.Z FixedReset Disc 33,000 YTW SCENARIO
Maturity Type : Call
Maturity Date : 2024-06-23
Maturity Price : 25.00
Evaluated at bid price : 24.91
Bid-YTW : 4.46 %
NA.PR.G FixedReset Prem 31,500 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-04-29
Maturity Price : 23.20
Evaluated at bid price : 25.01
Bid-YTW : 6.70 %
BN.PF.H FixedReset Disc 26,200 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-04-29
Maturity Price : 22.63
Evaluated at bid price : 23.01
Bid-YTW : 8.43 %
There were 14 other index-included issues trading in excess of 10,000 shares.
Wide Spread Highlights
Issue Index Quote Data and Yield Notes
PVS.PR.K SplitShare Quote: 22.25 – 24.99
Spot Rate : 2.7400
Average : 1.5109

YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2029-05-31
Maturity Price : 25.00
Evaluated at bid price : 22.25
Bid-YTW : 7.27 %
IFC.PR.C FixedReset Ins Non Quote: 20.91 – 22.50
Spot Rate : 1.5900
Average : 1.1610

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-04-29
Maturity Price : 20.91
Evaluated at bid price : 20.91
Bid-YTW : 7.28 %
BIP.PR.F FixedReset Disc Quote: 20.25 – 21.40
Spot Rate : 1.1500
Average : 0.7818

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-04-29
Maturity Price : 20.25
Evaluated at bid price : 20.25
Bid-YTW : 8.37 %
CU.PR.F Perpetual-Discount Quote: 17.06 – 17.90
Spot Rate : 0.8400
Average : 0.5061

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-04-29
Maturity Price : 17.06
Evaluated at bid price : 17.06
Bid-YTW : 6.73 %
MFC.PR.I FixedReset Ins Non Quote: 22.40 – 23.40
Spot Rate : 1.0000
Average : 0.6894

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-04-29
Maturity Price : 22.01
Evaluated at bid price : 22.40
Bid-YTW : 7.41 %
BN.PR.R FixedReset Disc Quote: 15.40 – 16.00
Spot Rate : 0.6000
Average : 0.3982

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-04-29
Maturity Price : 15.40
Evaluated at bid price : 15.40
Bid-YTW : 9.32 %

Posted in Market Action | No Comments »

April 26, 2024

Friday, April 26th, 2024
HIMIPref™ Preferred Indices
These values reflect the December 2008 revision of the HIMIPref™ Indices
Values are provisional and are finalized monthly
Index Mean
Current
Yield
(at bid)		 Median
YTW		 Median
Average
Trading
Value		 Median
Mod Dur
(YTW)		 Issues Day’s Perf. Index Value
Ratchet 0.00 % 0.00 % 0 0.00 0 0.2429 % 2,364.3
FixedFloater 0.00 % 0.00 % 0 0.00 0 0.2429 % 4,534.6
Floater 10.18 % 10.38 % 51,963 9.22 1 0.2429 % 2,613.3
OpRet 0.00 % 0.00 % 0 0.00 0 0.5329 % 3,408.3
SplitShare 4.94 % 7.66 % 34,234 1.73 7 0.5329 % 4,070.3
Interest-Bearing 0.00 % 0.00 % 0 0.00 0 0.5329 % 3,175.8
Perpetual-Premium 0.00 % 0.00 % 0 0.00 0 0.4635 % 2,572.6
Perpetual-Discount 6.68 % 6.84 % 44,950 12.76 29 0.4635 % 2,805.2
FixedReset Disc 5.23 % 6.80 % 108,358 11.55 57 0.1568 % 2,541.8
Insurance Straight 6.62 % 6.79 % 53,193 12.78 21 0.5713 % 2,739.0
FloatingReset 9.51 % 9.55 % 26,143 9.88 2 0.4197 % 2,691.9
FixedReset Prem 6.39 % 6.53 % 208,945 3.14 3 0.1726 % 2,517.2
FixedReset Bank Non 0.00 % 0.00 % 0 0.00 0 0.1568 % 2,598.2
FixedReset Ins Non 5.25 % 7.31 % 71,905 12.37 14 0.3794 % 2,706.9
Performance Highlights
Issue Index Change Notes
POW.PR.A Perpetual-Discount -1.20 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-04-26
Maturity Price : 20.50
Evaluated at bid price : 20.50
Bid-YTW : 6.90 %
IFC.PR.A FixedReset Ins Non -1.15 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-04-26
Maturity Price : 18.13
Evaluated at bid price : 18.13
Bid-YTW : 7.49 %
FTS.PR.K FixedReset Disc -1.01 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-04-26
Maturity Price : 18.55
Evaluated at bid price : 18.55
Bid-YTW : 7.89 %
GWO.PR.H Insurance Straight 1.01 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-04-26
Maturity Price : 18.02
Evaluated at bid price : 18.02
Bid-YTW : 6.82 %
FTS.PR.G FixedReset Disc 1.02 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-04-26
Maturity Price : 20.86
Evaluated at bid price : 20.86
Bid-YTW : 7.34 %
BN.PF.F FixedReset Disc 1.02 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-04-26
Maturity Price : 19.75
Evaluated at bid price : 19.75
Bid-YTW : 8.51 %
BMO.PR.E FixedReset Disc 1.06 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-04-26
Maturity Price : 23.14
Evaluated at bid price : 24.85
Bid-YTW : 6.56 %
RY.PR.N Perpetual-Discount 1.08 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-04-26
Maturity Price : 22.21
Evaluated at bid price : 22.50
Bid-YTW : 5.43 %
FFH.PR.M FixedReset Disc 1.11 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-04-26
Maturity Price : 23.12
Evaluated at bid price : 23.70
Bid-YTW : 8.14 %
MFC.PR.F FixedReset Ins Non 1.18 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-04-26
Maturity Price : 16.30
Evaluated at bid price : 16.30
Bid-YTW : 7.46 %
IFC.PR.K Insurance Straight 1.22 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-04-26
Maturity Price : 19.85
Evaluated at bid price : 19.85
Bid-YTW : 6.70 %
GWO.PR.Q Insurance Straight 1.32 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-04-26
Maturity Price : 19.15
Evaluated at bid price : 19.15
Bid-YTW : 6.82 %
GWO.PR.I Insurance Straight 1.38 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-04-26
Maturity Price : 16.94
Evaluated at bid price : 16.94
Bid-YTW : 6.73 %
PWF.PR.E Perpetual-Discount 1.40 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-04-26
Maturity Price : 20.28
Evaluated at bid price : 20.28
Bid-YTW : 6.83 %
PWF.PR.H Perpetual-Discount 1.43 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-04-26
Maturity Price : 21.33
Evaluated at bid price : 21.33
Bid-YTW : 6.79 %
PWF.PF.A Perpetual-Discount 1.81 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-04-26
Maturity Price : 16.86
Evaluated at bid price : 16.86
Bid-YTW : 6.72 %
MFC.PR.J FixedReset Ins Non 2.20 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-04-26
Maturity Price : 22.49
Evaluated at bid price : 23.25
Bid-YTW : 6.91 %
IFC.PR.G FixedReset Ins Non 2.31 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-04-26
Maturity Price : 22.34
Evaluated at bid price : 23.02
Bid-YTW : 6.87 %
PVS.PR.H SplitShare 4.78 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2027-02-28
Maturity Price : 25.00
Evaluated at bid price : 23.45
Bid-YTW : 7.46 %
Volume Highlights
Issue Index Shares
Traded		 Notes
BMO.PR.S FixedReset Disc 194,700 YTW SCENARIO
Maturity Type : Call
Maturity Date : 2024-06-24
Maturity Price : 25.00
Evaluated at bid price : 24.90
Bid-YTW : 4.49 %
BMO.PR.T FixedReset Disc 138,804 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-04-26
Maturity Price : 23.37
Evaluated at bid price : 24.25
Bid-YTW : 6.20 %
RY.PR.Z FixedReset Disc 129,000 YTW SCENARIO
Maturity Type : Call
Maturity Date : 2024-06-23
Maturity Price : 25.00
Evaluated at bid price : 24.91
Bid-YTW : 4.23 %
RY.PR.J FixedReset Disc 34,108 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-04-26
Maturity Price : 23.24
Evaluated at bid price : 23.77
Bid-YTW : 6.68 %
TD.PF.E FixedReset Disc 32,200 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-04-26
Maturity Price : 22.88
Evaluated at bid price : 23.30
Bid-YTW : 6.78 %
RY.PR.M FixedReset Disc 29,145 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-04-26
Maturity Price : 22.67
Evaluated at bid price : 23.07
Bid-YTW : 6.62 %
There were 15 other index-included issues trading in excess of 10,000 shares.
Wide Spread Highlights
Issue Index Quote Data and Yield Notes
BMO.PR.Y FixedReset Disc Quote: 23.60 – 25.00
Spot Rate : 1.4000
Average : 1.1409

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-04-26
Maturity Price : 23.13
Evaluated at bid price : 23.60
Bid-YTW : 6.62 %
BN.PR.M Perpetual-Discount Quote: 17.15 – 18.39
Spot Rate : 1.2400
Average : 0.9881

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-04-26
Maturity Price : 17.15
Evaluated at bid price : 17.15
Bid-YTW : 7.02 %
PVS.PR.J SplitShare Quote: 22.51 – 23.75
Spot Rate : 1.2400
Average : 1.0593

YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2028-02-29
Maturity Price : 25.00
Evaluated at bid price : 22.51
Bid-YTW : 7.66 %
PWF.PR.O Perpetual-Discount Quote: 21.25 – 21.82
Spot Rate : 0.5700
Average : 0.3964

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-04-26
Maturity Price : 21.25
Evaluated at bid price : 21.25
Bid-YTW : 6.88 %
FFH.PR.C FixedReset Disc Quote: 21.57 – 21.95
Spot Rate : 0.3800
Average : 0.2623

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-04-26
Maturity Price : 21.57
Evaluated at bid price : 21.57
Bid-YTW : 8.08 %
POW.PR.A Perpetual-Discount Quote: 20.50 – 20.98
Spot Rate : 0.4800
Average : 0.3644

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-04-26
Maturity Price : 20.50
Evaluated at bid price : 20.50
Bid-YTW : 6.90 %

Posted in Market Action | No Comments »

April 25, 2024

Thursday, April 25th, 2024
HIMIPref™ Preferred Indices
These values reflect the December 2008 revision of the HIMIPref™ Indices
Values are provisional and are finalized monthly
Index Mean
Current
Yield
(at bid)		 Median
YTW		 Median
Average
Trading
Value		 Median
Mod Dur
(YTW)		 Issues Day’s Perf. Index Value
Ratchet 0.00 % 0.00 % 0 0.00 0 4.1315 % 2,358.5
FixedFloater 0.00 % 0.00 % 0 0.00 0 4.1315 % 4,523.7
Floater 10.20 % 10.40 % 51,789 9.21 1 4.1315 % 2,607.0
OpRet 0.00 % 0.00 % 0 0.00 0 -0.4101 % 3,390.2
SplitShare 4.97 % 8.10 % 35,546 1.73 7 -0.4101 % 4,048.7
Interest-Bearing 0.00 % 0.00 % 0 0.00 0 -0.4101 % 3,158.9
Perpetual-Premium 0.00 % 0.00 % 0 0.00 0 0.0199 % 2,560.7
Perpetual-Discount 6.71 % 6.89 % 46,785 12.72 29 0.0199 % 2,792.3
FixedReset Disc 5.24 % 6.99 % 120,080 11.69 57 0.0930 % 2,537.8
Insurance Straight 6.66 % 6.82 % 55,302 12.75 21 -0.0939 % 2,723.5
FloatingReset 9.55 % 9.60 % 26,269 9.85 2 0.3158 % 2,680.7
FixedReset Prem 6.40 % 6.57 % 199,675 3.14 3 -0.2517 % 2,512.9
FixedReset Bank Non 0.00 % 0.00 % 0 0.00 0 0.0930 % 2,594.2
FixedReset Ins Non 5.27 % 7.32 % 69,654 12.44 14 0.5507 % 2,696.7
Performance Highlights
Issue Index Change Notes
PVS.PR.H SplitShare -3.82 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2027-02-28
Maturity Price : 25.00
Evaluated at bid price : 22.38
Bid-YTW : 9.28 %
CU.PR.C FixedReset Disc -1.48 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-04-25
Maturity Price : 19.31
Evaluated at bid price : 19.31
Bid-YTW : 7.91 %
NA.PR.G FixedReset Prem -1.19 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-04-25
Maturity Price : 23.19
Evaluated at bid price : 25.00
Bid-YTW : 6.67 %
SLF.PR.E Insurance Straight -1.12 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-04-25
Maturity Price : 17.71
Evaluated at bid price : 17.71
Bid-YTW : 6.43 %
RY.PR.N Perpetual-Discount -1.07 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-04-25
Maturity Price : 22.00
Evaluated at bid price : 22.26
Bid-YTW : 5.49 %
FFH.PR.C FixedReset Disc 1.03 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-04-25
Maturity Price : 21.55
Evaluated at bid price : 21.55
Bid-YTW : 8.09 %
MFC.PR.N FixedReset Ins Non 1.19 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-04-25
Maturity Price : 20.35
Evaluated at bid price : 20.35
Bid-YTW : 7.45 %
TD.PF.D FixedReset Disc 1.21 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-04-25
Maturity Price : 23.00
Evaluated at bid price : 23.48
Bid-YTW : 6.71 %
POW.PR.A Perpetual-Discount 1.22 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-04-25
Maturity Price : 20.75
Evaluated at bid price : 20.75
Bid-YTW : 6.82 %
SLF.PR.H FixedReset Ins Non 1.41 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-04-25
Maturity Price : 18.76
Evaluated at bid price : 18.76
Bid-YTW : 7.39 %
MFC.PR.M FixedReset Ins Non 1.49 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-04-25
Maturity Price : 21.11
Evaluated at bid price : 21.11
Bid-YTW : 7.32 %
BN.PR.R FixedReset Disc 1.49 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-04-25
Maturity Price : 15.63
Evaluated at bid price : 15.63
Bid-YTW : 9.12 %
BN.PF.G FixedReset Disc 1.77 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-04-25
Maturity Price : 18.35
Evaluated at bid price : 18.35
Bid-YTW : 8.79 %
MFC.PR.F FixedReset Ins Non 2.29 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-04-25
Maturity Price : 16.11
Evaluated at bid price : 16.11
Bid-YTW : 7.54 %
MFC.PR.C Insurance Straight 3.82 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-04-25
Maturity Price : 17.65
Evaluated at bid price : 17.65
Bid-YTW : 6.47 %
BN.PR.B Floater 4.13 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-04-25
Maturity Price : 12.35
Evaluated at bid price : 12.35
Bid-YTW : 10.40 %
Volume Highlights
Issue Index Shares
Traded		 Notes
BMO.PR.S FixedReset Disc 141,251 YTW SCENARIO
Maturity Type : Call
Maturity Date : 2024-05-25
Maturity Price : 25.00
Evaluated at bid price : 25.13
Bid-YTW : 5.25 %
TD.PF.E FixedReset Disc 125,000 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-04-25
Maturity Price : 22.90
Evaluated at bid price : 23.32
Bid-YTW : 6.78 %
RY.PR.H FixedReset Disc 86,565 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-04-25
Maturity Price : 23.35
Evaluated at bid price : 24.23
Bid-YTW : 6.23 %
RY.PR.Z FixedReset Disc 81,808 YTW SCENARIO
Maturity Type : Call
Maturity Date : 2024-06-23
Maturity Price : 25.00
Evaluated at bid price : 24.90
Bid-YTW : 4.41 %
BMO.PR.Y FixedReset Disc 68,100 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-04-25
Maturity Price : 23.14
Evaluated at bid price : 23.61
Bid-YTW : 6.68 %
RY.PR.M FixedReset Disc 57,600 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-04-25
Maturity Price : 22.52
Evaluated at bid price : 22.91
Bid-YTW : 6.66 %
There were 14 other index-included issues trading in excess of 10,000 shares.
Wide Spread Highlights
Issue Index Quote Data and Yield Notes
MFC.PR.F FixedReset Ins Non Quote: 16.11 – 19.98
Spot Rate : 3.8700
Average : 2.2006

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-04-25
Maturity Price : 16.11
Evaluated at bid price : 16.11
Bid-YTW : 7.54 %
IFC.PR.G FixedReset Ins Non Quote: 22.50 – 24.80
Spot Rate : 2.3000
Average : 1.2646

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-04-25
Maturity Price : 22.02
Evaluated at bid price : 22.50
Bid-YTW : 7.04 %
IFC.PR.C FixedReset Ins Non Quote: 20.52 – 22.50
Spot Rate : 1.9800
Average : 1.3382

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-04-25
Maturity Price : 20.52
Evaluated at bid price : 20.52
Bid-YTW : 7.36 %
PVS.PR.H SplitShare Quote: 22.38 – 24.10
Spot Rate : 1.7200
Average : 1.0899

YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2027-02-28
Maturity Price : 25.00
Evaluated at bid price : 22.38
Bid-YTW : 9.28 %
BMO.PR.Y FixedReset Disc Quote: 23.61 – 25.00
Spot Rate : 1.3900
Average : 0.8568

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-04-25
Maturity Price : 23.14
Evaluated at bid price : 23.61
Bid-YTW : 6.68 %
PVS.PR.J SplitShare Quote: 22.60 – 23.75
Spot Rate : 1.1500
Average : 0.8612

YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2028-02-29
Maturity Price : 25.00
Evaluated at bid price : 22.60
Bid-YTW : 7.54 %

Posted in Market Action | No Comments »

April 24, 2024

Wednesday, April 24th, 2024

PerpetualDiscounts now yield 6.90%, equivalent to 8.97% interest at the standard equivalency factor of 1.3x. Long corporates yielded 5.21% on 2024-4-5 (? previously they were saying the YTM was 5.18% on 2024-4-5; what are they doing?) and since then the closing price of ZLC has changed from 14.79 to 14.52, a decrease of 183bp in price, implying an increase of yields of 15bp (BMO reports a duration of 12.30, but don’t disclose whether this is Macaulay or Modified; I will assume Modified) to 5.36%. Therefore, the pre-tax interest-equivalent spread (in this context, the “Seniority Spread”) has widened to 360bp from the 350bp reported April 17.

HIMIPref™ Preferred Indices
These values reflect the December 2008 revision of the HIMIPref™ Indices
Values are provisional and are finalized monthly
Index Mean
Current
Yield
(at bid)		 Median
YTW		 Median
Average
Trading
Value		 Median
Mod Dur
(YTW)		 Issues Day’s Perf. Index Value
Ratchet 0.00 % 0.00 % 0 0.00 0 -4.7390 % 2,265.0
FixedFloater 0.00 % 0.00 % 0 0.00 0 -4.7390 % 4,344.2
Floater 10.62 % 10.84 % 53,890 8.89 1 -4.7390 % 2,503.6
OpRet 0.00 % 0.00 % 0 0.00 0 -0.7660 % 3,404.2
SplitShare 4.95 % 7.74 % 36,912 1.73 7 -0.7660 % 4,065.3
Interest-Bearing 0.00 % 0.00 % 0 0.00 0 -0.7660 % 3,171.9
Perpetual-Premium 0.00 % 0.00 % 0 0.00 0 -0.0072 % 2,560.2
Perpetual-Discount 6.71 % 6.90 % 48,328 12.71 29 -0.0072 % 2,791.7
FixedReset Disc 5.25 % 6.98 % 113,625 11.82 57 0.4575 % 2,535.5
Insurance Straight 6.66 % 6.83 % 56,148 12.75 21 0.0330 % 2,726.0
FloatingReset 9.58 % 9.65 % 26,273 9.81 2 -0.1314 % 2,672.2
FixedReset Prem 6.39 % 6.58 % 194,509 3.14 3 -0.1983 % 2,519.2
FixedReset Bank Non 0.00 % 0.00 % 0 0.00 0 0.4575 % 2,591.8
FixedReset Ins Non 5.30 % 7.40 % 66,138 12.40 14 0.5428 % 2,681.9
Performance Highlights
Issue Index Change Notes
BN.PR.B Floater -4.74 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-04-24
Maturity Price : 11.86
Evaluated at bid price : 11.86
Bid-YTW : 10.84 %
BN.PR.X FixedReset Disc -2.42 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-04-24
Maturity Price : 14.93
Evaluated at bid price : 14.93
Bid-YTW : 9.13 %
PVS.PR.J SplitShare -1.96 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2028-02-29
Maturity Price : 25.00
Evaluated at bid price : 22.50
Bid-YTW : 7.66 %
PVS.PR.I SplitShare -1.81 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-10-31
Maturity Price : 25.00
Evaluated at bid price : 23.91
Bid-YTW : 8.35 %
PVS.PR.H SplitShare -1.27 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2027-02-28
Maturity Price : 25.00
Evaluated at bid price : 23.27
Bid-YTW : 7.74 %
FFH.PR.M FixedReset Disc -1.06 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-04-24
Maturity Price : 22.83
Evaluated at bid price : 23.40
Bid-YTW : 8.24 %
RY.PR.J FixedReset Disc 1.06 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-04-24
Maturity Price : 23.12
Evaluated at bid price : 23.65
Bid-YTW : 6.71 %
CM.PR.Q FixedReset Disc 1.12 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-04-24
Maturity Price : 22.98
Evaluated at bid price : 23.46
Bid-YTW : 6.71 %
PWF.PR.P FixedReset Disc 1.17 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-04-24
Maturity Price : 14.74
Evaluated at bid price : 14.74
Bid-YTW : 8.39 %
NA.PR.W FixedReset Disc 1.40 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-04-24
Maturity Price : 21.47
Evaluated at bid price : 21.80
Bid-YTW : 6.86 %
RY.PR.H FixedReset Disc 1.57 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-04-24
Maturity Price : 23.43
Evaluated at bid price : 24.30
Bid-YTW : 6.21 %
CM.PR.O FixedReset Disc 1.59 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-04-24
Maturity Price : 23.41
Evaluated at bid price : 24.35
Bid-YTW : 6.24 %
BN.PF.B FixedReset Disc 1.71 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-04-24
Maturity Price : 19.02
Evaluated at bid price : 19.02
Bid-YTW : 8.46 %
BMO.PR.T FixedReset Disc 1.78 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-04-24
Maturity Price : 23.74
Evaluated at bid price : 24.55
Bid-YTW : 6.19 %
RY.PR.N Perpetual-Discount 1.81 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-04-24
Maturity Price : 22.21
Evaluated at bid price : 22.50
Bid-YTW : 5.43 %
MFC.PR.K FixedReset Ins Non 1.83 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-04-24
Maturity Price : 22.19
Evaluated at bid price : 22.80
Bid-YTW : 6.79 %
TD.PF.C FixedReset Disc 1.97 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-04-24
Maturity Price : 22.69
Evaluated at bid price : 23.30
Bid-YTW : 6.38 %
TD.PF.D FixedReset Disc 1.98 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-04-24
Maturity Price : 22.73
Evaluated at bid price : 23.20
Bid-YTW : 6.79 %
CM.PR.P FixedReset Disc 2.03 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-04-24
Maturity Price : 22.95
Evaluated at bid price : 23.58
Bid-YTW : 6.30 %
MFC.PR.L FixedReset Ins Non 2.13 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-04-24
Maturity Price : 21.55
Evaluated at bid price : 21.55
Bid-YTW : 7.04 %
BMO.PR.S FixedReset Disc 2.41 % YTW SCENARIO
Maturity Type : Call
Maturity Date : 2024-05-25
Maturity Price : 25.00
Evaluated at bid price : 25.12
Bid-YTW : 5.56 %
RY.PR.O Perpetual-Discount 2.50 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-04-24
Maturity Price : 22.21
Evaluated at bid price : 22.50
Bid-YTW : 5.43 %
BN.PF.G FixedReset Disc 2.50 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-04-24
Maturity Price : 18.03
Evaluated at bid price : 18.03
Bid-YTW : 8.94 %
TD.PF.E FixedReset Disc 2.68 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-04-24
Maturity Price : 22.98
Evaluated at bid price : 23.41
Bid-YTW : 6.75 %
PWF.PR.F Perpetual-Discount 3.63 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-04-24
Maturity Price : 19.12
Evaluated at bid price : 19.12
Bid-YTW : 6.91 %
Volume Highlights
Issue Index Shares
Traded		 Notes
RY.PR.Z FixedReset Disc 833,967 YTW SCENARIO
Maturity Type : Call
Maturity Date : 2024-05-24
Maturity Price : 25.00
Evaluated at bid price : 24.89
Bid-YTW : 5.44 %
RY.PR.H FixedReset Disc 460,210 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-04-24
Maturity Price : 23.43
Evaluated at bid price : 24.30
Bid-YTW : 6.21 %
BMO.PR.T FixedReset Disc 454,167 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-04-24
Maturity Price : 23.74
Evaluated at bid price : 24.55
Bid-YTW : 6.19 %
BMO.PR.S FixedReset Disc 391,926 YTW SCENARIO
Maturity Type : Call
Maturity Date : 2024-05-25
Maturity Price : 25.00
Evaluated at bid price : 25.12
Bid-YTW : 5.56 %
TD.PF.C FixedReset Disc 308,947 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-04-24
Maturity Price : 22.69
Evaluated at bid price : 23.30
Bid-YTW : 6.38 %
BMO.PR.F FixedReset Disc 115,229 YTW SCENARIO
Maturity Type : Call
Maturity Date : 2024-05-25
Maturity Price : 25.00
Evaluated at bid price : 25.20
Bid-YTW : 5.40 %
BMO.PR.W FixedReset Disc 109,861 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-04-24
Maturity Price : 23.24
Evaluated at bid price : 23.96
Bid-YTW : 6.30 %
TD.PF.E FixedReset Disc 102,629 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-04-24
Maturity Price : 22.98
Evaluated at bid price : 23.41
Bid-YTW : 6.75 %
There were 31 other index-included issues trading in excess of 10,000 shares.
Wide Spread Highlights
Issue Index Quote Data and Yield Notes
BN.PF.F FixedReset Disc Quote: 19.60 – 20.75
Spot Rate : 1.1500
Average : 0.7155

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-04-24
Maturity Price : 19.60
Evaluated at bid price : 19.60
Bid-YTW : 8.57 %
BN.PR.X FixedReset Disc Quote: 14.93 – 15.99
Spot Rate : 1.0600
Average : 0.6449

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-04-24
Maturity Price : 14.93
Evaluated at bid price : 14.93
Bid-YTW : 9.13 %
CCS.PR.C Insurance Straight Quote: 18.55 – 19.72
Spot Rate : 1.1700
Average : 0.8526

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-04-24
Maturity Price : 18.55
Evaluated at bid price : 18.55
Bid-YTW : 6.83 %
GWO.PR.R Insurance Straight Quote: 17.75 – 18.90
Spot Rate : 1.1500
Average : 0.8685

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-04-24
Maturity Price : 17.75
Evaluated at bid price : 17.75
Bid-YTW : 6.85 %
BN.PR.B Floater Quote: 11.86 – 12.50
Spot Rate : 0.6400
Average : 0.3967

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-04-24
Maturity Price : 11.86
Evaluated at bid price : 11.86
Bid-YTW : 10.84 %
SLF.PR.G FixedReset Ins Non Quote: 15.50 – 16.25
Spot Rate : 0.7500
Average : 0.5155

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-04-24
Maturity Price : 15.50
Evaluated at bid price : 15.50
Bid-YTW : 8.08 %

Posted in Market Action | 1 Comment »

BMO.PR.S To Be Redeemed

Tuesday, April 23rd, 2024

Bank of Montreal has announced:

its intention to redeem all of its 20,000,000 outstanding Non-Cumulative 5-Year Rate Reset Class B Preferred Shares, Series 27 (Non-Viability Contingent Capital (NVCC)) (the “Preferred Shares Series 27”) for an aggregate total of $500 million on May 25, 2024. The redemption has been approved by the Office of the Superintendent of Financial Institutions.

The Preferred Shares Series 27 are redeemable at the Bank’s option on May 25, 2024 (the “Redemption Date”) at a redemption price of $25.00 per share. Payment of the redemption price will be made by the Bank on May 27, 2024, the first business day following the Redemption Date.

Separately from the payment of the redemption price, the final quarterly dividend of $0.24075 per share for the Preferred Shares Series 27 announced by the Bank on February 27, 2024 will be paid in the usual manner on May 27, 2024, to shareholders of record on April 29, 2024.

Notice will be delivered to holders of the Preferred Shares Series 27 in accordance with the terms thereof.

BMO.PR.S was issued as a FixedReset, 4.00%+233, NVCC-compliant issue that commenced trading 2014-4-23 after being announced 2014-4-14. The issue reset at 3.852% effective 2019-5-25. I recommended against conversion and there was no conversion. It is tracked by HIMIPref™ and is assigned to the FixedReset-Discount Sub-Index.

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

Posted in Issue Comments | No Comments »

BMO.PR.F To Be Redeemed

Tuesday, April 23rd, 2024

Bank of Montreal has announced:

its intention to redeem all of its 14,000,000 outstanding Non-Cumulative 5-Year Rate Reset Class B Preferred Shares, Series 46 (Non-Viability Contingent Capital (NVCC)) (the “Preferred Shares Series 46”) for an aggregate total of $350 million on May 25, 2024. The redemption has been approved by the Office of the Superintendent of Financial Institutions.

The Preferred Shares Series 46 are redeemable at the Bank’s option on May 25, 2024 (the “Redemption Date”) at a redemption price of $25.00 per share. Payment of the redemption price will be made by the Bank on May 27, 2024, the first business day following the Redemption Date.

Separately from the payment of the redemption price, the final quarterly dividend of $0.31875 per share for the Preferred Shares Series 46 announced by the Bank on February 27, 2024 will be paid in the usual manner on May 27, 2024, to shareholders of record on April 29, 2024.

Notice will be delivered to holders of the Preferred Shares Series 46 in accordance with the terms thereof.

BMO.PR.F is a FixedReset 5.10%+351, NVCC-compliant issue that commenced trading 2019-4-17 after being announced 2019-4- 8. It is tracked by HIMIPref™ and is assigned to the FixedReset (Discount) subindex.

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

Posted in Issue Comments | No Comments »

April 23, 2024

Tuesday, April 23rd, 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 0.8097 % 2,377.6
FixedFloater 0.00 % 0.00 % 0 0.00 0 0.8097 % 4,560.3
Floater 10.12 % 10.31 % 53,440 9.28 1 0.8097 % 2,628.1
OpRet 0.00 % 0.00 % 0 0.00 0 -0.0837 % 3,430.5
SplitShare 4.91 % 7.17 % 34,277 1.74 7 -0.0837 % 4,096.7
Interest-Bearing 0.00 % 0.00 % 0 0.00 0 -0.0837 % 3,196.4
Perpetual-Premium 0.00 % 0.00 % 0 0.00 0 -0.3806 % 2,560.4
Perpetual-Discount 6.71 % 6.89 % 46,668 12.72 29 -0.3806 % 2,791.9
FixedReset Disc 5.27 % 7.41 % 109,249 11.95 57 0.0154 % 2,523.9
Insurance Straight 6.66 % 6.79 % 56,287 12.81 21 -0.0330 % 2,725.1
FloatingReset 9.57 % 9.55 % 26,580 9.89 2 0.1316 % 2,675.8
FixedReset Prem 6.37 % 6.49 % 194,136 3.15 3 0.1059 % 2,524.2
FixedReset Bank Non 0.00 % 0.00 % 0 0.00 0 0.0154 % 2,580.0
FixedReset Ins Non 5.33 % 7.40 % 68,719 12.32 14 0.4763 % 2,667.4
Performance Highlights
Issue Index Change Notes
MFC.PR.C Insurance Straight -5.06 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-04-23
Maturity Price : 16.90
Evaluated at bid price : 16.90
Bid-YTW : 6.76 %
PWF.PR.F Perpetual-Discount -3.91 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-04-23
Maturity Price : 18.45
Evaluated at bid price : 18.45
Bid-YTW : 7.17 %
RY.PR.O Perpetual-Discount -1.98 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-04-23
Maturity Price : 21.98
Evaluated at bid price : 22.25
Bid-YTW : 5.59 %
BN.PF.J FixedReset Disc -1.81 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-04-23
Maturity Price : 20.57
Evaluated at bid price : 20.57
Bid-YTW : 8.30 %
PWF.PF.A Perpetual-Discount -1.78 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-04-23
Maturity Price : 16.60
Evaluated at bid price : 16.60
Bid-YTW : 6.82 %
BIP.PR.A FixedReset Disc -1.53 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-04-23
Maturity Price : 19.99
Evaluated at bid price : 19.99
Bid-YTW : 8.98 %
GWO.PR.M Insurance Straight -1.15 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-04-23
Maturity Price : 21.50
Evaluated at bid price : 21.50
Bid-YTW : 6.83 %
RY.PR.N Perpetual-Discount -1.10 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-04-23
Maturity Price : 22.13
Evaluated at bid price : 22.40
Bid-YTW : 5.55 %
GWO.PR.Y Insurance Straight 1.03 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-04-23
Maturity Price : 16.73
Evaluated at bid price : 16.73
Bid-YTW : 6.81 %
MFC.PR.F FixedReset Ins Non 1.10 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-04-23
Maturity Price : 15.67
Evaluated at bid price : 15.67
Bid-YTW : 7.74 %
MFC.PR.Q FixedReset Ins Non 1.12 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-04-23
Maturity Price : 21.49
Evaluated at bid price : 21.75
Bid-YTW : 7.28 %
MIC.PR.A Perpetual-Discount 1.28 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-04-23
Maturity Price : 19.00
Evaluated at bid price : 19.00
Bid-YTW : 7.20 %
MFC.PR.L FixedReset Ins Non 1.34 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-04-23
Maturity Price : 21.10
Evaluated at bid price : 21.10
Bid-YTW : 7.19 %
RY.PR.J FixedReset Disc 1.42 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-04-23
Maturity Price : 23.07
Evaluated at bid price : 23.60
Bid-YTW : 6.79 %
BIP.PR.E FixedReset Disc 1.45 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-04-23
Maturity Price : 21.06
Evaluated at bid price : 21.06
Bid-YTW : 8.15 %
SLF.PR.E Insurance Straight 2.00 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-04-23
Maturity Price : 17.87
Evaluated at bid price : 17.87
Bid-YTW : 6.37 %
Volume Highlights
Issue Index Shares
Traded		 Notes
RY.PR.H FixedReset Disc 213,416 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-04-23
Maturity Price : 23.26
Evaluated at bid price : 24.15
Bid-YTW : 6.32 %
RY.PR.Z FixedReset Disc 187,625 YTW SCENARIO
Maturity Type : Call
Maturity Date : 2024-05-24
Maturity Price : 25.00
Evaluated at bid price : 25.11
Bid-YTW : 5.60 %
CM.PR.P FixedReset Disc 163,218 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-04-23
Maturity Price : 22.52
Evaluated at bid price : 23.11
Bid-YTW : 6.43 %
FTS.PR.M FixedReset Disc 103,594 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-04-23
Maturity Price : 19.16
Evaluated at bid price : 19.16
Bid-YTW : 8.26 %
BN.PR.B Floater 57,246 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-04-23
Maturity Price : 12.45
Evaluated at bid price : 12.45
Bid-YTW : 10.31 %
FFH.PR.M FixedReset Disc 53,050 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-04-23
Maturity Price : 23.07
Evaluated at bid price : 23.65
Bid-YTW : 8.15 %
There were 13 other index-included issues trading in excess of 10,000 shares.
Wide Spread Highlights
Issue Index Quote Data and Yield Notes
IFC.PR.C FixedReset Ins Non Quote: 20.40 – 22.50
Spot Rate : 2.1000
Average : 1.1656

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-04-23
Maturity Price : 20.40
Evaluated at bid price : 20.40
Bid-YTW : 7.40 %
MFC.PR.C Insurance Straight Quote: 16.90 – 17.90
Spot Rate : 1.0000
Average : 0.6303

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-04-23
Maturity Price : 16.90
Evaluated at bid price : 16.90
Bid-YTW : 6.76 %
PWF.PR.F Perpetual-Discount Quote: 18.45 – 19.36
Spot Rate : 0.9100
Average : 0.5514

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-04-23
Maturity Price : 18.45
Evaluated at bid price : 18.45
Bid-YTW : 7.17 %
BN.PR.M Perpetual-Discount Quote: 16.99 – 18.30
Spot Rate : 1.3100
Average : 1.0786

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-04-23
Maturity Price : 16.99
Evaluated at bid price : 16.99
Bid-YTW : 7.09 %
BN.PR.N Perpetual-Discount Quote: 16.80 – 17.40
Spot Rate : 0.6000
Average : 0.3979

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-04-23
Maturity Price : 16.80
Evaluated at bid price : 16.80
Bid-YTW : 7.17 %
MFC.PR.K FixedReset Ins Non Quote: 22.39 – 22.95
Spot Rate : 0.5600
Average : 0.3657

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-04-23
Maturity Price : 21.93
Evaluated at bid price : 22.39
Bid-YTW : 6.93 %

Posted in Market Action | No Comments »

April 22, 2024

Monday, April 22nd, 2024

I will never whine about debugging problems again:

On March 3, the team noticed that activity from one part of the flight data system stood out from the rest of the garbled data. While the signal wasn’t in the format the Voyager team is used to seeing when the flight data system is functioning as expected, an engineer with NASA’s Deep Space Network was able to decode it.
…
The decoded signal included a readout of the entire flight data system’s memory.

By investigating the readout, the team determined the cause of the issue: 3% of the flight data system’s memory is corrupted. A single chip responsible for storing part of the system’s memory, including some of the computer’s software code, isn’t working properly. While the cause of the chip’s failure is unknown, it could be worn out or may have been hit by an energetic particle from space, the team said.

The loss of the code on the chip caused Voyager 1’s science and engineering data to be unusable.

Since there was no way to repair the chip, the team opted to store the affected code from the chip elsewhere in the system’s memory. While they couldn’t pinpoint a location large enough to hold all of the code, they were able to divide the code into sections and store it in different spots within the flight data system.

“To make this plan work, they also needed to adjust those code sections to ensure, for example, that they all still function as a whole,” according to an update from NASA. “Any references to the location of that code in other parts of the (flight data system) memory needed to be updated as well.”

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 -0.4032 % 2,358.5
FixedFloater 0.00 % 0.00 % 0 0.00 0 -0.4032 % 4,523.7
Floater 10.20 % 10.39 % 49,438 9.22 1 -0.4032 % 2,607.0
OpRet 0.00 % 0.00 % 0 0.00 0 0.0898 % 3,433.4
SplitShare 4.90 % 7.10 % 32,820 1.74 7 0.0898 % 4,100.2
Interest-Bearing 0.00 % 0.00 % 0 0.00 0 0.0898 % 3,199.1
Perpetual-Premium 0.00 % 0.00 % 0 0.00 0 0.4003 % 2,570.1
Perpetual-Discount 6.69 % 6.87 % 46,346 12.76 29 0.4003 % 2,802.6
FixedReset Disc 5.27 % 7.41 % 111,098 11.92 57 -0.1120 % 2,523.5
Insurance Straight 6.66 % 6.79 % 56,758 12.81 21 -0.2757 % 2,726.0
FloatingReset 9.58 % 9.60 % 26,799 9.85 2 -0.1314 % 2,672.2
FixedReset Prem 6.38 % 6.55 % 201,818 3.15 3 0.1060 % 2,521.5
FixedReset Bank Non 0.00 % 0.00 % 0 0.00 0 -0.1120 % 2,579.6
FixedReset Ins Non 5.35 % 7.46 % 70,970 12.28 14 0.0437 % 2,654.8
Performance Highlights
Issue Index Change Notes
CU.PR.C FixedReset Disc -2.42 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-04-22
Maturity Price : 19.78
Evaluated at bid price : 19.78
Bid-YTW : 7.72 %
GWO.PR.G Insurance Straight -2.16 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-04-22
Maturity Price : 19.01
Evaluated at bid price : 19.01
Bid-YTW : 6.93 %
SLF.PR.C Insurance Straight -2.07 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-04-22
Maturity Price : 17.50
Evaluated at bid price : 17.50
Bid-YTW : 6.44 %
GWO.PR.S Insurance Straight -1.64 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-04-22
Maturity Price : 19.21
Evaluated at bid price : 19.21
Bid-YTW : 6.92 %
GWO.PR.Y Insurance Straight -1.60 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-04-22
Maturity Price : 16.56
Evaluated at bid price : 16.56
Bid-YTW : 6.88 %
BN.PF.B FixedReset Disc -1.16 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-04-22
Maturity Price : 18.70
Evaluated at bid price : 18.70
Bid-YTW : 8.60 %
PWF.PR.Z Perpetual-Discount -1.16 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-04-22
Maturity Price : 18.73
Evaluated at bid price : 18.73
Bid-YTW : 6.92 %
BIP.PR.E FixedReset Disc -1.14 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-04-22
Maturity Price : 20.76
Evaluated at bid price : 20.76
Bid-YTW : 8.27 %
GWO.PR.R Insurance Straight -1.12 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-04-22
Maturity Price : 17.67
Evaluated at bid price : 17.67
Bid-YTW : 6.88 %
BN.PF.E FixedReset Disc 1.07 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-04-22
Maturity Price : 17.00
Evaluated at bid price : 17.00
Bid-YTW : 9.22 %
GWO.PR.I Insurance Straight 1.07 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-04-22
Maturity Price : 16.95
Evaluated at bid price : 16.95
Bid-YTW : 6.72 %
GWO.PR.M Insurance Straight 1.16 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-04-22
Maturity Price : 21.49
Evaluated at bid price : 21.75
Bid-YTW : 6.74 %
CU.PR.G Perpetual-Discount 1.43 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-04-22
Maturity Price : 17.01
Evaluated at bid price : 17.01
Bid-YTW : 6.74 %
CU.PR.J Perpetual-Discount 2.51 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-04-22
Maturity Price : 17.95
Evaluated at bid price : 17.95
Bid-YTW : 6.74 %
POW.PR.C Perpetual-Discount 3.92 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-04-22
Maturity Price : 21.49
Evaluated at bid price : 21.75
Bid-YTW : 6.72 %
PWF.PR.E Perpetual-Discount 7.56 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-04-22
Maturity Price : 20.06
Evaluated at bid price : 20.06
Bid-YTW : 6.90 %
Volume Highlights
Issue Index Shares
Traded		 Notes
CM.PR.T FixedReset Disc 148,000 YTW SCENARIO
Maturity Type : Call
Maturity Date : 2024-05-30
Maturity Price : 25.00
Evaluated at bid price : 24.97
Bid-YTW : 5.60 %
TD.PF.L FixedReset Prem 133,000 YTW SCENARIO
Maturity Type : Call
Maturity Date : 2024-05-30
Maturity Price : 25.00
Evaluated at bid price : 24.97
Bid-YTW : 5.32 %
RY.PR.H FixedReset Disc 128,000 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-04-22
Maturity Price : 23.21
Evaluated at bid price : 24.10
Bid-YTW : 6.33 %
FFH.PR.I FixedReset Disc 35,900 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-04-22
Maturity Price : 18.15
Evaluated at bid price : 18.15
Bid-YTW : 8.71 %
GWO.PR.T Insurance Straight 34,600 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-04-22
Maturity Price : 19.01
Evaluated at bid price : 19.01
Bid-YTW : 6.86 %
TD.PF.M FixedReset Disc 34,400 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-04-22
Maturity Price : 24.01
Evaluated at bid price : 24.80
Bid-YTW : 7.40 %
There were 8 other index-included issues trading in excess of 10,000 shares.
Wide Spread Highlights
Issue Index Quote Data and Yield Notes
BN.PR.M Perpetual-Discount Quote: 17.05 – 18.30
Spot Rate : 1.2500
Average : 0.8250

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-04-22
Maturity Price : 17.05
Evaluated at bid price : 17.05
Bid-YTW : 7.06 %
BN.PF.G FixedReset Disc Quote: 17.58 – 19.00
Spot Rate : 1.4200
Average : 1.0574

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-04-22
Maturity Price : 17.58
Evaluated at bid price : 17.58
Bid-YTW : 9.16 %
GWO.PR.R Insurance Straight Quote: 17.67 – 18.90
Spot Rate : 1.2300
Average : 0.8775

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-04-22
Maturity Price : 17.67
Evaluated at bid price : 17.67
Bid-YTW : 6.88 %
BIP.PR.F FixedReset Disc Quote: 20.28 – 21.40
Spot Rate : 1.1200
Average : 0.7850

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-04-22
Maturity Price : 20.28
Evaluated at bid price : 20.28
Bid-YTW : 8.31 %
MFC.PR.N FixedReset Ins Non Quote: 20.14 – 20.99
Spot Rate : 0.8500
Average : 0.6438

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-04-22
Maturity Price : 20.14
Evaluated at bid price : 20.14
Bid-YTW : 7.53 %
MFC.PR.Q FixedReset Ins Non Quote: 21.51 – 22.25
Spot Rate : 0.7400
Average : 0.5346

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-04-22
Maturity Price : 21.51
Evaluated at bid price : 21.51
Bid-YTW : 7.37 %

Posted in Market Action | No Comments »

Is There Hope for the Expectations Hypothesis?

Friday, April 19th, 2024

The New York Fed has published a staff report by Richard K. Crump, Stefano Eusepi, and Emanuel Moench titled Is There Hope for the Expectations Hypothesis?:

Most macroeconomic models impose a tight link between expected future short rates and the term structure of interest rates via the expectations hypothesis (EH). While the EH has been systematically rejected in the data, existing work evaluating the EH generally assumes either full-information rational expectations or stationarity of beliefs, or both. As such, these analyses are ill-equipped to refute the EH when these assumptions fail to hold, fueling hopes for a “resurrection” of the EH. We introduce a model of expectations formation which features time-varying means and accommodates deviations from rationality. This model tightly matches the entire joint term structure of expectations for output growth, inflation, and the short-term interest rate from all surveys of professional forecasters in the U.S. We show that deviations from rationality and drifting long-run beliefs consistent with observed measures of expectations, while sizable, do not come close to bridging the gap between the term structure of expectations and the term structure of interest rates. Not only is the EH decisively rejected in the data, but model-implied short-rate expectations generally display, at best, only a weak co-movement with the forward rates of corresponding maturities.

The Expectations Hypothesis is something of a hobby horse of mine and I welcome yet another debunking! But My God, it’s just like technical analysis! It seems so plausible and magic when you first read about it and there are hordes of evangelists touting its efficacy!

Far from resurrecting the EH, the tight connection between short-term interest rate expectations and the term structure of interest rates, assumed to hold in theory, demonstrably fails to hold in practice. Expected interest rates beyond two years have, at best, only a weak co-movement with forward rates of the corresponding maturities. In fact, the correlation between changes in longer-term forward rates out to ten years and corresponding longer-horizon short rate forecasts converges towards zero as the maturity increases. In light of this evidence, it is unsurprising that formal tests in the spirit of Froot (1989) using our model-implied expectations result in decisive rejections of the EH. Importantly, these tests do not require any assumption about the expectations formation mechanism.

The flip side of our results is that the wedge between observed yields and expected future short-term interest rates captures the vast majority of yield variability at medium and long maturities. In models where agents are risk averse, this wedge represents time-varying compensation for bearing risk. However, using linear regressions we show that this wedge is only partially explained by the underlying factors shaping beliefs about the state of the economy. This implies that any model designed to explain both the term structure of short rate expectations and the term structure of interest rates would need to involve additional drivers

They conclude:

In this paper, we reevaluate the empirical evidence regarding the EH by proposing a model of expectations formation that allows for deviations from [full information rational expectations] and accounts for time-varying beliefs about the long-run. This class of models has shown promise to bridge the gap between EH-implied and observed yields, fueling hopes for a “resurrection” of EH. We estimate the model using the universe of consensus forecasts from all U.S. surveys of professional forecasters covering more than 600 survey-horizon pairs at a monthly frequency. While model-implied short-rate expectations move considerably at all horizons and suggest significant departures from rational expectations, they do not come close to matching the observed term structure of interest rates. Instead, the EH-implied short-rate expectations generally display, at best, only a weak co-movement with the forward rates of corresponding maturities. Not surprisingly, formal tests of the EH are soundly rejected.

These results suggest alternative explanations for the behavior of observed bond yields such as heterogenous beliefs, financial market frictions, nonstandard risk preferences and behavioral theories of asset pricing. Accommodating such features in models of equilibrium bond prices can have important implications for macroeconomic models, including in the transmission mechanism of monetary policy. In standard models, used by both academics and policymakers, the monetary transmission channel is based solely on the EH. The central bank can exert a tight control on longer-term interest rates by responding to changing economic conditions in a systematic manner, i.e. adhering to time-invariant policy rules, or by communicating directly about likely future policy moves through forward guidance. The sizable deviation of observed interest rates from the EH, which we document, calls in to question this conventional framework.

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