Archive for July, 2024

July 12, 2024

Friday, July 12th, 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 0.3055 % 2,191.3
FixedFloater 0.00 % 0.00 % 0 0.00 0 0.3055 % 4,203.0
Floater 10.59 % 10.73 % 88,770 9.00 2 0.3055 % 2,422.2
OpRet 0.00 % 0.00 % 0 0.00 0 0.0412 % 3,492.0
SplitShare 4.79 % 6.76 % 32,609 1.24 6 0.0412 % 4,170.1
Interest-Bearing 0.00 % 0.00 % 0 0.00 0 0.0412 % 3,253.7
Perpetual-Premium 0.00 % 0.00 % 0 0.00 0 0.0920 % 2,707.8
Perpetual-Discount 6.36 % 6.50 % 50,679 13.24 28 0.0920 % 2,952.7
FixedReset Disc 5.16 % 7.05 % 117,469 12.46 49 -0.2186 % 2,619.9
Insurance Straight 6.11 % 6.36 % 59,466 13.40 21 0.4427 % 2,921.5
FloatingReset 9.31 % 9.46 % 31,306 10.00 4 -1.0932 % 2,749.9
FixedReset Prem 5.83 % 6.18 % 262,925 2.99 8 -0.0643 % 2,532.1
FixedReset Bank Non 0.00 % 0.00 % 0 0.00 0 -0.2186 % 2,678.1
FixedReset Ins Non 5.11 % 6.65 % 97,830 13.23 14 -0.2009 % 2,781.2
Performance Highlights
Issue Index Change Notes
IFC.PR.C FixedReset Ins Non -7.25 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-07-12
Maturity Price : 19.20
Evaluated at bid price : 19.20
Bid-YTW : 7.41 %
PWF.PR.P FixedReset Disc -7.19 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-07-12
Maturity Price : 14.08
Evaluated at bid price : 14.08
Bid-YTW : 8.27 %
TD.PF.D FixedReset Disc -7.14 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-07-12
Maturity Price : 21.68
Evaluated at bid price : 22.10
Bid-YTW : 6.77 %
SLF.PR.J FloatingReset -5.78 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-07-12
Maturity Price : 16.30
Evaluated at bid price : 16.30
Bid-YTW : 9.46 %
MFC.PR.I FixedReset Ins Non -3.92 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-07-12
Maturity Price : 22.59
Evaluated at bid price : 23.30
Bid-YTW : 6.71 %
CU.PR.C FixedReset Disc -2.84 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-07-12
Maturity Price : 20.16
Evaluated at bid price : 20.16
Bid-YTW : 7.17 %
BIP.PR.B FixedReset Disc -2.53 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-07-12
Maturity Price : 23.42
Evaluated at bid price : 23.85
Bid-YTW : 8.09 %
CM.PR.P FixedReset Disc -2.08 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-07-12
Maturity Price : 22.78
Evaluated at bid price : 23.50
Bid-YTW : 5.93 %
FTS.PR.M FixedReset Disc -1.35 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-07-12
Maturity Price : 19.75
Evaluated at bid price : 19.75
Bid-YTW : 7.49 %
FTS.PR.J Perpetual-Discount -1.29 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-07-12
Maturity Price : 19.06
Evaluated at bid price : 19.06
Bid-YTW : 6.33 %
PWF.PR.Z Perpetual-Discount -1.23 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-07-12
Maturity Price : 20.15
Evaluated at bid price : 20.15
Bid-YTW : 6.41 %
BN.PR.R FixedReset Disc -1.22 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-07-12
Maturity Price : 16.15
Evaluated at bid price : 16.15
Bid-YTW : 8.32 %
BN.PF.E FixedReset Disc -1.11 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-07-12
Maturity Price : 18.75
Evaluated at bid price : 18.75
Bid-YTW : 7.84 %
BN.PR.N Perpetual-Discount 1.07 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-07-12
Maturity Price : 17.90
Evaluated at bid price : 17.90
Bid-YTW : 6.71 %
IFC.PR.I Insurance Straight 1.14 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-07-12
Maturity Price : 21.94
Evaluated at bid price : 22.25
Bid-YTW : 6.11 %
NA.PR.E FixedReset Disc 1.44 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-07-12
Maturity Price : 22.83
Evaluated at bid price : 23.90
Bid-YTW : 6.17 %
IFC.PR.F Insurance Straight 1.66 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-07-12
Maturity Price : 22.05
Evaluated at bid price : 22.05
Bid-YTW : 6.07 %
MFC.PR.B Insurance Straight 1.82 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-07-12
Maturity Price : 19.60
Evaluated at bid price : 19.60
Bid-YTW : 6.00 %
BN.PF.C Perpetual-Discount 1.94 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-07-12
Maturity Price : 18.35
Evaluated at bid price : 18.35
Bid-YTW : 6.68 %
PWF.PR.T FixedReset Disc 5.83 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-07-12
Maturity Price : 21.51
Evaluated at bid price : 21.80
Bid-YTW : 6.58 %
IFC.PR.A FixedReset Ins Non 8.00 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-07-12
Maturity Price : 18.90
Evaluated at bid price : 18.90
Bid-YTW : 6.77 %
Volume Highlights
Issue Index Shares
Traded
Notes
TD.PF.B FixedReset Prem 391,614 YTW SCENARIO
Maturity Type : Call
Maturity Date : 2024-08-30
Maturity Price : 25.00
Evaluated at bid price : 24.94
Bid-YTW : 5.33 %
RY.PR.H FixedReset Prem 300,361 YTW SCENARIO
Maturity Type : Call
Maturity Date : 2024-08-24
Maturity Price : 25.00
Evaluated at bid price : 25.07
Bid-YTW : 5.41 %
CM.PR.O FixedReset Disc 288,700 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-07-12
Maturity Price : 23.97
Evaluated at bid price : 24.93
Bid-YTW : 5.72 %
TD.PF.M FixedReset Prem 259,500 YTW SCENARIO
Maturity Type : Call
Maturity Date : 2024-08-30
Maturity Price : 25.00
Evaluated at bid price : 24.93
Bid-YTW : 6.45 %
IFC.PR.G FixedReset Ins Non 114,500 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-07-12
Maturity Price : 22.36
Evaluated at bid price : 23.02
Bid-YTW : 6.52 %
MFC.PR.N FixedReset Ins Non 94,000 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-07-12
Maturity Price : 21.24
Evaluated at bid price : 21.24
Bid-YTW : 6.67 %
There were 29 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: 19.20 – 20.98
Spot Rate : 1.7800
Average : 1.0753

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-07-12
Maturity Price : 19.20
Evaluated at bid price : 19.20
Bid-YTW : 7.41 %

TD.PF.D FixedReset Disc Quote: 22.10 – 23.90
Spot Rate : 1.8000
Average : 1.1633

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-07-12
Maturity Price : 21.68
Evaluated at bid price : 22.10
Bid-YTW : 6.77 %

SLF.PR.J FloatingReset Quote: 16.30 – 17.75
Spot Rate : 1.4500
Average : 0.9328

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-07-12
Maturity Price : 16.30
Evaluated at bid price : 16.30
Bid-YTW : 9.46 %

PVS.PR.J SplitShare Quote: 23.70 – 24.90
Spot Rate : 1.2000
Average : 0.8617

YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2028-02-29
Maturity Price : 25.00
Evaluated at bid price : 23.70
Bid-YTW : 6.19 %

PWF.PR.P FixedReset Disc Quote: 14.08 – 15.60
Spot Rate : 1.5200
Average : 1.1826

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-07-12
Maturity Price : 14.08
Evaluated at bid price : 14.08
Bid-YTW : 8.27 %

MFC.PR.I FixedReset Ins Non Quote: 23.30 – 24.30
Spot Rate : 1.0000
Average : 0.6842

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-07-12
Maturity Price : 22.59
Evaluated at bid price : 23.30
Bid-YTW : 6.71 %

July 11, 2024

Thursday, July 11th, 2024

So, there was good inflation news from the US:

Inflation in the United States cooled in June for a third straight month, a sign the worst price spike in four decades is steadily fading and may soon usher in interest-rate cuts by the Federal Reserve.

In a better-than-expected report, consumer prices declined 0.1 per cent from May to June after having remained flat the previous month, the Labour Department said Thursday. It was the first monthly decline in overall inflation since May, 2020, when the economy was paralyzed by the pandemic.

And measured from one year earlier, prices were up 3 per cent in June, cooler than the 3.3-per-cent annual rate in May.

Also on Thursday, Mary Daly, a key Fed official, suggested the central bank should cut rates soon. Ms. Daly, president of the Fed’s San Francisco branch, said she believed slowing inflation and a cooling job market justify a reduction in interest rates. She did not address the specific timing of any rate cut.

“I see it as likely that some policy adjustments will be warranted,” Ms. Daly said on a conference call with reporters.

Five-year Canadas are now at 3.44%.

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 1.2821 % 2,184.7
FixedFloater 0.00 % 0.00 % 0 0.00 0 1.2821 % 4,190.2
Floater 10.62 % 10.77 % 88,548 8.98 2 1.2821 % 2,414.8
OpRet 0.00 % 0.00 % 0 0.00 0 -0.1372 % 3,490.5
SplitShare 4.79 % 6.67 % 27,532 1.25 6 -0.1372 % 4,168.4
Interest-Bearing 0.00 % 0.00 % 0 0.00 0 -0.1372 % 3,252.4
Perpetual-Premium 0.00 % 0.00 % 0 0.00 0 0.3534 % 2,705.3
Perpetual-Discount 6.36 % 6.50 % 51,784 13.21 28 0.3534 % 2,950.0
FixedReset Disc 5.15 % 7.14 % 111,942 12.36 49 0.5244 % 2,625.7
Insurance Straight 6.14 % 6.38 % 61,478 13.38 21 0.3141 % 2,908.6
FloatingReset 9.25 % 8.95 % 32,569 10.45 4 -0.5500 % 2,780.3
FixedReset Prem 5.83 % 6.22 % 264,879 3.95 8 -0.0593 % 2,533.7
FixedReset Bank Non 0.00 % 0.00 % 0 0.00 0 0.5244 % 2,683.9
FixedReset Ins Non 5.10 % 6.75 % 100,887 13.15 14 -0.1867 % 2,786.8
Performance Highlights
Issue Index Change Notes
IFC.PR.A FixedReset Ins Non -8.38 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-07-11
Maturity Price : 17.50
Evaluated at bid price : 17.50
Bid-YTW : 7.39 %
PWF.PR.T FixedReset Disc -4.19 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-07-11
Maturity Price : 20.60
Evaluated at bid price : 20.60
Bid-YTW : 7.04 %
BN.PR.X FixedReset Disc -3.03 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-07-11
Maturity Price : 16.00
Evaluated at bid price : 16.00
Bid-YTW : 8.12 %
PWF.PR.G Perpetual-Discount -2.17 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-07-11
Maturity Price : 22.28
Evaluated at bid price : 22.55
Bid-YTW : 6.55 %
SLF.PR.J FloatingReset -2.15 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-07-11
Maturity Price : 17.30
Evaluated at bid price : 17.30
Bid-YTW : 8.95 %
MIC.PR.A Perpetual-Discount -1.43 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-07-11
Maturity Price : 19.31
Evaluated at bid price : 19.31
Bid-YTW : 7.07 %
BN.PF.H FixedReset Disc -1.22 % YTW SCENARIO
Maturity Type : Call
Maturity Date : 2025-12-31
Maturity Price : 25.00
Evaluated at bid price : 24.20
Bid-YTW : 7.48 %
GWO.PR.N FixedReset Ins Non -1.22 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-07-11
Maturity Price : 14.60
Evaluated at bid price : 14.60
Bid-YTW : 7.67 %
CU.PR.C FixedReset Disc -1.19 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-07-11
Maturity Price : 20.75
Evaluated at bid price : 20.75
Bid-YTW : 7.04 %
FFH.PR.G FixedReset Disc -1.12 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-07-11
Maturity Price : 17.71
Evaluated at bid price : 17.71
Bid-YTW : 8.19 %
TD.PF.E FixedReset Disc 1.07 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-07-11
Maturity Price : 23.08
Evaluated at bid price : 23.55
Bid-YTW : 6.46 %
FFH.PR.C FixedReset Disc 1.09 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-07-11
Maturity Price : 21.76
Evaluated at bid price : 22.20
Bid-YTW : 7.46 %
FFH.PR.K FixedReset Disc 1.12 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-07-11
Maturity Price : 21.34
Evaluated at bid price : 21.65
Bid-YTW : 7.69 %
BN.PR.K Floater 1.15 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-07-11
Maturity Price : 11.43
Evaluated at bid price : 11.43
Bid-YTW : 10.82 %
IFC.PR.G FixedReset Ins Non 1.33 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-07-11
Maturity Price : 22.22
Evaluated at bid price : 22.80
Bid-YTW : 6.66 %
BN.PR.B Floater 1.41 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-07-11
Maturity Price : 11.48
Evaluated at bid price : 11.48
Bid-YTW : 10.77 %
NA.PR.S FixedReset Disc 1.42 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-07-11
Maturity Price : 22.62
Evaluated at bid price : 23.64
Bid-YTW : 6.28 %
CCS.PR.C Insurance Straight 1.54 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-07-11
Maturity Price : 19.80
Evaluated at bid price : 19.80
Bid-YTW : 6.38 %
PWF.PR.Z Perpetual-Discount 1.59 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-07-11
Maturity Price : 20.40
Evaluated at bid price : 20.40
Bid-YTW : 6.33 %
IFC.PR.E Insurance Straight 1.66 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-07-11
Maturity Price : 21.41
Evaluated at bid price : 21.41
Bid-YTW : 6.13 %
PWF.PR.F Perpetual-Discount 1.75 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-07-11
Maturity Price : 20.35
Evaluated at bid price : 20.35
Bid-YTW : 6.47 %
BN.PR.Z FixedReset Disc 3.77 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-07-11
Maturity Price : 20.91
Evaluated at bid price : 20.91
Bid-YTW : 7.69 %
MFC.PR.I FixedReset Ins Non 3.94 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-07-11
Maturity Price : 23.06
Evaluated at bid price : 24.25
Bid-YTW : 6.49 %
PWF.PR.L Perpetual-Discount 4.71 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-07-11
Maturity Price : 19.58
Evaluated at bid price : 19.58
Bid-YTW : 6.54 %
TD.PF.D FixedReset Disc 6.54 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-07-11
Maturity Price : 23.26
Evaluated at bid price : 23.80
Bid-YTW : 6.36 %
PWF.PR.P FixedReset Disc 7.74 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-07-11
Maturity Price : 15.17
Evaluated at bid price : 15.17
Bid-YTW : 7.81 %
NA.PR.E FixedReset Disc 23.61 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-07-11
Maturity Price : 22.66
Evaluated at bid price : 23.56
Bid-YTW : 6.34 %
Volume Highlights
Issue Index Shares
Traded
Notes
CM.PR.O FixedReset Disc 252,167 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-07-11
Maturity Price : 23.96
Evaluated at bid price : 24.92
Bid-YTW : 5.80 %
CM.PR.P FixedReset Disc 204,732 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-07-11
Maturity Price : 23.27
Evaluated at bid price : 24.00
Bid-YTW : 5.89 %
MFC.PR.M FixedReset Ins Non 101,300 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-07-11
Maturity Price : 21.33
Evaluated at bid price : 21.60
Bid-YTW : 6.75 %
TD.PF.C FixedReset Disc 97,800 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-07-11
Maturity Price : 23.17
Evaluated at bid price : 23.91
Bid-YTW : 5.92 %
TD.PF.B FixedReset Prem 85,119 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-07-11
Maturity Price : 23.96
Evaluated at bid price : 24.92
Bid-YTW : 5.75 %
RY.PR.J FixedReset Disc 68,718 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-07-11
Maturity Price : 23.39
Evaluated at bid price : 23.98
Bid-YTW : 6.35 %
There were 16 other index-included issues trading in excess of 10,000 shares.
Wide Spread Highlights
Issue Index Quote Data and Yield Notes
IFC.PR.A FixedReset Ins Non Quote: 17.50 – 19.06
Spot Rate : 1.5600
Average : 1.0358

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-07-11
Maturity Price : 17.50
Evaluated at bid price : 17.50
Bid-YTW : 7.39 %

PWF.PR.T FixedReset Disc Quote: 20.60 – 22.00
Spot Rate : 1.4000
Average : 0.9122

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-07-11
Maturity Price : 20.60
Evaluated at bid price : 20.60
Bid-YTW : 7.04 %

MIC.PR.A Perpetual-Discount Quote: 19.31 – 19.90
Spot Rate : 0.5900
Average : 0.3829

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-07-11
Maturity Price : 19.31
Evaluated at bid price : 19.31
Bid-YTW : 7.07 %

POW.PR.G Perpetual-Discount Quote: 21.60 – 22.05
Spot Rate : 0.4500
Average : 0.2912

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-07-11
Maturity Price : 21.33
Evaluated at bid price : 21.60
Bid-YTW : 6.51 %

FTS.PR.J Perpetual-Discount Quote: 19.31 – 19.75
Spot Rate : 0.4400
Average : 0.2845

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-07-11
Maturity Price : 19.31
Evaluated at bid price : 19.31
Bid-YTW : 6.25 %

PWF.PR.G Perpetual-Discount Quote: 22.55 – 23.05
Spot Rate : 0.5000
Average : 0.3493

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-07-11
Maturity Price : 22.28
Evaluated at bid price : 22.55
Bid-YTW : 6.55 %

July 10, 2024

Wednesday, July 10th, 2024

I’ve updated the EQB LRCN post again.

PerpetualDiscounts now yield 6.52%, equivalent to 8.48% interest at the standard equivalency factor of 1.3x. Long corporates yielded 5.12% on 2024-6-30 (sic! That was a Sunday. I am assuming 2024-6-28) and since then the closing price of ZLC has changed from 14.82 to 14.94, an increase of 81bp in price, implying a decrease of yields of 7bp (BMO reports a duration of 12.33, but don’t disclose whether this is Macaulay or Modified; I will assume Modified) to 5.05%. Therefore, the pre-tax interest-equivalent spread (in this context, the “Seniority Spread”) has widened slighly (and perhaps spuriously) to 345bp from the 340bp reported July 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 -0.4401 % 2,157.0
FixedFloater 0.00 % 0.00 % 0 0.00 0 -0.4401 % 4,137.2
Floater 10.75 % 10.92 % 89,259 8.87 2 -0.4401 % 2,384.3
OpRet 0.00 % 0.00 % 0 0.00 0 0.0069 % 3,495.3
SplitShare 4.78 % 6.59 % 27,226 1.25 6 0.0069 % 4,174.2
Interest-Bearing 0.00 % 0.00 % 0 0.00 0 0.0069 % 3,256.8
Perpetual-Premium 0.00 % 0.00 % 0 0.00 0 -0.5686 % 2,695.7
Perpetual-Discount 6.38 % 6.52 % 51,902 13.19 28 -0.5686 % 2,939.6
FixedReset Disc 5.18 % 7.00 % 111,689 12.26 49 -1.0888 % 2,612.0
Insurance Straight 6.16 % 6.45 % 61,128 13.28 21 0.0898 % 2,899.5
FloatingReset 9.20 % 8.99 % 32,984 10.40 4 0.5919 % 2,795.7
FixedReset Prem 5.82 % 6.16 % 245,155 3.95 8 -0.4724 % 2,535.2
FixedReset Bank Non 0.00 % 0.00 % 0 0.00 0 -1.0888 % 2,669.9
FixedReset Ins Non 5.09 % 6.75 % 104,635 13.08 14 -0.5809 % 2,792.1
Performance Highlights
Issue Index Change Notes
NA.PR.E FixedReset Disc -21.24 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-07-10
Maturity Price : 19.06
Evaluated at bid price : 19.06
Bid-YTW : 7.88 %
PWF.PR.P FixedReset Disc -7.76 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-07-10
Maturity Price : 14.08
Evaluated at bid price : 14.08
Bid-YTW : 8.38 %
TD.PF.D FixedReset Disc -6.08 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-07-10
Maturity Price : 21.84
Evaluated at bid price : 22.34
Bid-YTW : 6.77 %
BN.PR.Z FixedReset Disc -4.50 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-07-10
Maturity Price : 20.15
Evaluated at bid price : 20.15
Bid-YTW : 7.98 %
MFC.PR.I FixedReset Ins Non -4.19 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-07-10
Maturity Price : 22.61
Evaluated at bid price : 23.33
Bid-YTW : 6.77 %
IFC.PR.G FixedReset Ins Non -3.23 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-07-10
Maturity Price : 22.03
Evaluated at bid price : 22.50
Bid-YTW : 6.75 %
NA.PR.S FixedReset Disc -2.39 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-07-10
Maturity Price : 22.45
Evaluated at bid price : 23.31
Bid-YTW : 6.38 %
PVS.PR.K SplitShare -1.86 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2029-05-31
Maturity Price : 25.00
Evaluated at bid price : 23.21
Bid-YTW : 6.31 %
TD.PF.E FixedReset Disc -1.54 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-07-10
Maturity Price : 22.83
Evaluated at bid price : 23.30
Bid-YTW : 6.52 %
TD.PF.I FixedReset Prem -1.36 % YTW SCENARIO
Maturity Type : Call
Maturity Date : 2027-10-31
Maturity Price : 25.00
Evaluated at bid price : 25.42
Bid-YTW : 5.66 %
IFC.PR.F Insurance Straight -1.24 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-07-10
Maturity Price : 21.48
Evaluated at bid price : 21.48
Bid-YTW : 6.23 %
BN.PR.K Floater -1.05 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-07-10
Maturity Price : 11.30
Evaluated at bid price : 11.30
Bid-YTW : 10.94 %
BN.PF.J FixedReset Disc -1.04 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-07-10
Maturity Price : 22.33
Evaluated at bid price : 22.91
Bid-YTW : 7.15 %
GWO.PR.G Insurance Straight 1.04 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-07-10
Maturity Price : 20.35
Evaluated at bid price : 20.35
Bid-YTW : 6.45 %
GWO.PR.L Insurance Straight 1.06 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-07-10
Maturity Price : 21.75
Evaluated at bid price : 22.00
Bid-YTW : 6.47 %
SLF.PR.J FloatingReset 1.32 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-07-10
Maturity Price : 17.68
Evaluated at bid price : 17.68
Bid-YTW : 8.75 %
PWF.PR.S Perpetual-Discount 1.33 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-07-10
Maturity Price : 18.70
Evaluated at bid price : 18.70
Bid-YTW : 6.44 %
PWF.PR.G Perpetual-Discount 1.38 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-07-10
Maturity Price : 22.77
Evaluated at bid price : 23.05
Bid-YTW : 6.41 %
IFC.PR.A FixedReset Ins Non 2.41 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-07-10
Maturity Price : 19.10
Evaluated at bid price : 19.10
Bid-YTW : 6.77 %
BN.PR.X FixedReset Disc 3.13 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-07-10
Maturity Price : 16.50
Evaluated at bid price : 16.50
Bid-YTW : 7.87 %
IFC.PR.E Insurance Straight 3.49 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-07-10
Maturity Price : 21.06
Evaluated at bid price : 21.06
Bid-YTW : 6.23 %
Volume Highlights
Issue Index Shares
Traded
Notes
BN.PF.C Perpetual-Discount 70,798 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-07-10
Maturity Price : 17.98
Evaluated at bid price : 17.98
Bid-YTW : 6.81 %
FFH.PR.C FixedReset Disc 55,300 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-07-10
Maturity Price : 21.59
Evaluated at bid price : 21.96
Bid-YTW : 7.54 %
MFC.PR.F FixedReset Ins Non 52,595 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-07-10
Maturity Price : 16.99
Evaluated at bid price : 16.99
Bid-YTW : 6.75 %
RY.PR.M FixedReset Disc 51,299 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-07-10
Maturity Price : 23.04
Evaluated at bid price : 23.50
Bid-YTW : 6.24 %
CU.PR.C FixedReset Disc 37,900 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-07-10
Maturity Price : 21.00
Evaluated at bid price : 21.00
Bid-YTW : 6.95 %
MFC.PR.K FixedReset Ins Non 36,100 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-07-10
Maturity Price : 22.83
Evaluated at bid price : 23.99
Bid-YTW : 6.15 %
There were 14 other index-included issues trading in excess of 10,000 shares.
Wide Spread Highlights
Issue Index Quote Data and Yield Notes
NA.PR.E FixedReset Disc Quote: 19.06 – 24.05
Spot Rate : 4.9900
Average : 2.6523

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-07-10
Maturity Price : 19.06
Evaluated at bid price : 19.06
Bid-YTW : 7.88 %

TD.PF.D FixedReset Disc Quote: 22.34 – 23.90
Spot Rate : 1.5600
Average : 0.9642

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-07-10
Maturity Price : 21.84
Evaluated at bid price : 22.34
Bid-YTW : 6.77 %

BN.PR.Z FixedReset Disc Quote: 20.15 – 21.24
Spot Rate : 1.0900
Average : 0.6605

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-07-10
Maturity Price : 20.15
Evaluated at bid price : 20.15
Bid-YTW : 7.98 %

GWO.PR.G Insurance Straight Quote: 20.35 – 21.41
Spot Rate : 1.0600
Average : 0.6515

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-07-10
Maturity Price : 20.35
Evaluated at bid price : 20.35
Bid-YTW : 6.45 %

MFC.PR.I FixedReset Ins Non Quote: 23.33 – 24.33
Spot Rate : 1.0000
Average : 0.6207

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-07-10
Maturity Price : 22.61
Evaluated at bid price : 23.33
Bid-YTW : 6.77 %

PWF.PR.P FixedReset Disc Quote: 14.08 – 15.65
Spot Rate : 1.5700
Average : 1.1994

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-07-10
Maturity Price : 14.08
Evaluated at bid price : 14.08
Bid-YTW : 8.38 %

BMO Issues LRCNs: BMO.PR.T To Be Redeemed, Maybe?

Tuesday, July 9th, 2024

Bank of Montreal has announced (bolding added):

the pricing of USD 750 million of non-viability contingent capital (“NVCC”) Additional Tier 1 (AT1) Limited Recourse Capital Notes, Series 5 (the “LRCNs”).

The LRCNs will bear interest at a rate of 7.300 per cent annually, payable quarterly, for the initial period ending, but excluding, November 26, 2034. Thereafter, the interest rate on the LRCNs will reset every five years at a rate equal to the prevailing 5-year U.S. Treasury Rate plus 3.01 per cent. The LRCNs will mature on November 26, 2084. The expected closing date of the offering is July 17, 2024.

On or before the issuance of the LRCNs, the Bank will issue NVCC Non-Cumulative 5-Year Fixed Rate Reset Class B Preferred Shares, Series 54 (“Preferred Shares Series 54”) to be held by Computershare Trust Company of Canada, as trustee for BMO LRCN Trust (the “Limited Recourse Trust”). In case of non-payment of interest on or principal of the LRCNs when due, the recourse of each LRCN holder will be limited to that holder’s proportionate share of the Limited Recourse Trust’s assets, which will consist of Preferred Shares Series 54 except in limited circumstances.

The LRCNs may be redeemed at the option of the Bank, with the prior written approval of the Superintendent of Financial Institutions (Canada), in whole or in part, on not less than 10 nor more than 60 days’ prior notice, every quarter on the interest payment date, commencing on November 26, 2034.

The net proceeds will be contributed to the general funds of the Bank and will be utilized for general banking purposes, which may include the redemption of outstanding capital securities of the Bank and/or repayment of other outstanding liabilities of the Bank, and are expected to qualify as Additional Tier 1 capital of the Bank for regulatory purposes.

BMO Capital Markets Corp., BofA Securities, Citigroup Global Markets Inc., Goldman Sachs & Co. LLC, Truist Securities, Inc. and UBS Securities LLC are the joint book-running managers for the offering.

BMO.PR.T was issued as a FixedReset, 3.90%+224, NVCC-compliant issue that commenced trading 2014-6-6 after being announced 2019-05-28. BMO.PR.T reset at 3.624% effective August 25, 2019. I recommended against conversion and there was no conversion. It is tracked by HIMIPref™ and is assigned to the FixedReset (Discount) subindex.

It is certainly possible that BMO.PR.T will be redeemed with the proceeds from this LRCN, but certainly not guaranteed until BMO makes a formal announcement. So be careful! The market for this issue didn’t change much today, closing with a quote of 24.91-05 – the trading price went up $0.40 on June 24, the day TD announced an LRCN deal, which was also for USD 750-million.

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

July 9, 2024

Tuesday, July 9th, 2024

The EQB LRCNs were issued today:

On July 9, 2024, EQB issued $150 million of Capital Notes that mature on October 31, 2084, and will have an initial five-year fixed rate of 8%.

See the update to the linked post for an explanation of how the underlying preferreds are permitted to be non-NVCC.

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 0.6200 % 2,166.6
FixedFloater 0.00 % 0.00 % 0 0.00 0 0.6200 % 4,155.4
Floater 10.71 % 10.82 % 25,241 8.95 2 0.6200 % 2,394.8
OpRet 0.00 % 0.00 % 0 0.00 0 -0.0274 % 3,495.1
SplitShare 4.78 % 6.69 % 32,376 1.25 6 -0.0274 % 4,173.9
Interest-Bearing 0.00 % 0.00 % 0 0.00 0 -0.0274 % 3,256.6
Perpetual-Premium 0.00 % 0.00 % 0 0.00 0 0.0937 % 2,711.2
Perpetual-Discount 6.35 % 6.52 % 52,667 13.10 28 0.0937 % 2,956.4
FixedReset Disc 5.12 % 6.86 % 112,494 12.25 49 0.6035 % 2,640.7
Insurance Straight 6.16 % 6.44 % 61,128 13.29 21 0.0662 % 2,896.9
FloatingReset 9.25 % 9.08 % 32,779 10.34 4 0.3486 % 2,779.2
FixedReset Prem 5.80 % 6.16 % 245,038 3.00 8 0.0689 % 2,547.3
FixedReset Bank Non 0.00 % 0.00 % 0 0.00 0 0.6035 % 2,699.3
FixedReset Ins Non 5.06 % 6.72 % 105,084 13.12 14 0.7410 % 2,808.4
Performance Highlights
Issue Index Change Notes
PWF.PR.L Perpetual-Discount -4.18 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-07-09
Maturity Price : 19.02
Evaluated at bid price : 19.02
Bid-YTW : 6.86 %
PVS.PR.I SplitShare -1.22 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-10-31
Maturity Price : 25.00
Evaluated at bid price : 24.30
Bid-YTW : 7.41 %
MFC.PR.Q FixedReset Ins Non -1.07 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-07-09
Maturity Price : 22.43
Evaluated at bid price : 23.15
Bid-YTW : 6.54 %
GWO.PR.L Insurance Straight -1.05 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-07-09
Maturity Price : 21.51
Evaluated at bid price : 21.77
Bid-YTW : 6.54 %
FTS.PR.K FixedReset Disc -1.01 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-07-09
Maturity Price : 19.65
Evaluated at bid price : 19.65
Bid-YTW : 7.14 %
BMO.PR.W FixedReset Disc 1.03 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-07-09
Maturity Price : 23.80
Evaluated at bid price : 24.57
Bid-YTW : 5.80 %
BN.PF.A FixedReset Disc 1.03 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-07-09
Maturity Price : 22.00
Evaluated at bid price : 22.48
Bid-YTW : 7.28 %
SLF.PR.D Insurance Straight 1.06 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-07-09
Maturity Price : 19.07
Evaluated at bid price : 19.07
Bid-YTW : 5.89 %
SLF.PR.E Insurance Straight 1.06 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-07-09
Maturity Price : 19.00
Evaluated at bid price : 19.00
Bid-YTW : 5.97 %
BN.PF.G FixedReset Disc 1.07 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-07-09
Maturity Price : 18.85
Evaluated at bid price : 18.85
Bid-YTW : 8.15 %
FFH.PR.I FixedReset Disc 1.08 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-07-09
Maturity Price : 18.71
Evaluated at bid price : 18.71
Bid-YTW : 8.07 %
GWO.PR.N FixedReset Ins Non 1.15 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-07-09
Maturity Price : 14.92
Evaluated at bid price : 14.92
Bid-YTW : 7.51 %
BN.PF.F FixedReset Disc 1.19 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-07-09
Maturity Price : 20.49
Evaluated at bid price : 20.49
Bid-YTW : 7.78 %
MFC.PR.L FixedReset Ins Non 1.24 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-07-09
Maturity Price : 21.70
Evaluated at bid price : 22.08
Bid-YTW : 6.45 %
BN.PR.K Floater 1.24 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-07-09
Maturity Price : 11.42
Evaluated at bid price : 11.42
Bid-YTW : 10.82 %
PWF.PR.F Perpetual-Discount 1.28 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-07-09
Maturity Price : 20.50
Evaluated at bid price : 20.50
Bid-YTW : 6.55 %
PWF.PR.R Perpetual-Discount 1.33 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-07-09
Maturity Price : 21.40
Evaluated at bid price : 21.40
Bid-YTW : 6.57 %
FFH.PR.G FixedReset Disc 1.37 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-07-09
Maturity Price : 17.81
Evaluated at bid price : 17.81
Bid-YTW : 8.14 %
FFH.PR.D FloatingReset 1.53 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-07-09
Maturity Price : 21.90
Evaluated at bid price : 21.90
Bid-YTW : 9.08 %
PWF.PR.T FixedReset Disc 1.58 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-07-09
Maturity Price : 21.57
Evaluated at bid price : 21.88
Bid-YTW : 6.74 %
FFH.PR.C FixedReset Disc 1.71 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-07-09
Maturity Price : 21.66
Evaluated at bid price : 22.05
Bid-YTW : 7.51 %
MFC.PR.I FixedReset Ins Non 1.88 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-07-09
Maturity Price : 23.10
Evaluated at bid price : 24.35
Bid-YTW : 6.46 %
BN.PF.B FixedReset Disc 1.90 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-07-09
Maturity Price : 20.37
Evaluated at bid price : 20.37
Bid-YTW : 7.61 %
BIP.PR.A FixedReset Disc 2.02 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-07-09
Maturity Price : 22.07
Evaluated at bid price : 22.71
Bid-YTW : 7.55 %
BIP.PR.F FixedReset Disc 2.63 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-07-09
Maturity Price : 21.50
Evaluated at bid price : 21.50
Bid-YTW : 7.55 %
CM.PR.Q FixedReset Disc 3.03 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-07-09
Maturity Price : 23.26
Evaluated at bid price : 23.80
Bid-YTW : 6.36 %
IFC.PR.A FixedReset Ins Non 5.85 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-07-09
Maturity Price : 18.65
Evaluated at bid price : 18.65
Bid-YTW : 6.93 %
PWF.PR.P FixedReset Disc 9.38 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-07-09
Maturity Price : 15.40
Evaluated at bid price : 15.40
Bid-YTW : 7.76 %
Volume Highlights
Issue Index Shares
Traded
Notes
BMO.PR.W FixedReset Disc 156,300 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-07-09
Maturity Price : 23.80
Evaluated at bid price : 24.57
Bid-YTW : 5.80 %
BMO.PR.T FixedReset Disc 145,700 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-07-09
Maturity Price : 23.92
Evaluated at bid price : 24.91
Bid-YTW : 5.75 %
BN.PR.B Floater 144,600 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-07-09
Maturity Price : 11.30
Evaluated at bid price : 11.30
Bid-YTW : 10.94 %
IAF.PR.B Insurance Straight 113,400 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-07-09
Maturity Price : 24.80
Evaluated at bid price : 25.02
Bid-YTW : 4.62 %
TD.PF.C FixedReset Disc 104,550 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-07-09
Maturity Price : 23.40
Evaluated at bid price : 24.12
Bid-YTW : 5.93 %
CM.PR.O FixedReset Disc 95,250 YTW SCENARIO
Maturity Type : Call
Maturity Date : 2024-08-30
Maturity Price : 25.00
Evaluated at bid price : 24.93
Bid-YTW : 5.73 %
There were 27 other index-included issues trading in excess of 10,000 shares.
Wide Spread Highlights
Issue Index Quote Data and Yield Notes
IFC.PR.F Insurance Straight Quote: 21.75 – 23.60
Spot Rate : 1.8500
Average : 1.4059

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-07-09
Maturity Price : 21.75
Evaluated at bid price : 21.75
Bid-YTW : 6.15 %

PVS.PR.J SplitShare Quote: 23.80 – 24.90
Spot Rate : 1.1000
Average : 0.7108

YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2028-02-29
Maturity Price : 25.00
Evaluated at bid price : 23.80
Bid-YTW : 6.04 %

IFC.PR.I Insurance Straight Quote: 22.00 – 23.41
Spot Rate : 1.4100
Average : 1.0380

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-07-09
Maturity Price : 21.65
Evaluated at bid price : 22.00
Bid-YTW : 6.17 %

PVS.PR.F SplitShare Quote: 25.00 – 26.00
Spot Rate : 1.0000
Average : 0.7441

YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2024-09-30
Maturity Price : 25.00
Evaluated at bid price : 25.00
Bid-YTW : 6.69 %

PWF.PR.L Perpetual-Discount Quote: 19.02 – 20.12
Spot Rate : 1.1000
Average : 0.9251

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-07-09
Maturity Price : 19.02
Evaluated at bid price : 19.02
Bid-YTW : 6.86 %

IFC.PR.E Insurance Straight Quote: 20.35 – 21.72
Spot Rate : 1.3700
Average : 1.1968

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-07-09
Maturity Price : 20.35
Evaluated at bid price : 20.35
Bid-YTW : 6.45 %

July 8, 2024

Monday, July 8th, 2024

My generation’s epitaph will be “well, we didn’t raise taxes!“:

Set atop a hill on the Italian island of Sicily, Agrigento is a heritage tourist’s paradise. Beneath the archaeological structures and relics of its Valley of the Temples lies an ancient maze-like aqueduct system that still captures water today.

But the aqueduct, and others built in modern times, are running so dry that small hotels and guesthouses in the city and nearby coast are being forced to turn tourists away. They don’t have enough water to guarantee their guests a toilet that flushes or a shower after a day out in the summer heat.

Francesco Picarella, head of Agrigento’s Hotel Federation, who also owns a hotel in the city center, says years of ineffective governance have made things worse. There has been talk of rebuilding the water network since 2011, but little progress has been made, he said.

“Today’s problem is the result of a failed water management policy that has been going on for 20 years,” he said. “The hotels that have their own reserves somehow compensate; the B&Bs in the historic center are in extreme difficulty.”

He said that the reservoirs are drying up because of lack of rain but also leaks.

In response to CNN’s request for comment, the Sicilian regional government’s office pointed to a study that outlined government plans to drill new wells, build more pipelines and bring aging desalination plants back online. The report also says Sicily has not received enough funds from Rome to carry out its plans.

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 -0.7036 % 2,153.2
FixedFloater 0.00 % 0.00 % 0 0.00 0 -0.7036 % 4,129.8
Floater 10.77 % 10.93 % 81,485 8.87 2 -0.7036 % 2,380.0
OpRet 0.00 % 0.00 % 0 0.00 0 0.5446 % 3,496.0
SplitShare 4.78 % 6.58 % 29,979 1.26 6 0.5446 % 4,175.0
Interest-Bearing 0.00 % 0.00 % 0 0.00 0 0.5446 % 3,257.5
Perpetual-Premium 0.00 % 0.00 % 0 0.00 0 0.5027 % 2,708.6
Perpetual-Discount 6.35 % 6.55 % 52,551 13.07 28 0.5027 % 2,953.6
FixedReset Disc 5.15 % 6.86 % 110,419 12.46 49 0.2163 % 2,624.9
Insurance Straight 6.17 % 6.41 % 61,796 13.34 21 0.0260 % 2,895.0
FloatingReset 9.29 % 9.22 % 32,511 10.22 4 0.2070 % 2,769.6
FixedReset Prem 5.80 % 6.17 % 245,693 3.96 8 -0.1426 % 2,545.5
FixedReset Bank Non 0.00 % 0.00 % 0 0.00 0 0.2163 % 2,683.1
FixedReset Ins Non 5.10 % 6.73 % 99,463 13.10 14 -0.3794 % 2,787.7
Performance Highlights
Issue Index Change Notes
IFC.PR.A FixedReset Ins Non -6.03 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-07-08
Maturity Price : 17.62
Evaluated at bid price : 17.62
Bid-YTW : 7.34 %
SLF.PR.H FixedReset Ins Non -2.29 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-07-08
Maturity Price : 18.81
Evaluated at bid price : 18.81
Bid-YTW : 7.01 %
CM.PR.Q FixedReset Disc -1.79 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-07-08
Maturity Price : 22.59
Evaluated at bid price : 23.10
Bid-YTW : 6.55 %
IFC.PR.E Insurance Straight -1.45 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-07-08
Maturity Price : 20.35
Evaluated at bid price : 20.35
Bid-YTW : 6.45 %
BN.PR.K Floater -1.23 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-07-08
Maturity Price : 11.28
Evaluated at bid price : 11.28
Bid-YTW : 10.95 %
PVS.PR.H SplitShare -1.03 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2027-02-28
Maturity Price : 25.00
Evaluated at bid price : 24.00
Bid-YTW : 6.58 %
NA.PR.C FixedReset Prem 1.01 % YTW SCENARIO
Maturity Type : Call
Maturity Date : 2027-11-15
Maturity Price : 25.00
Evaluated at bid price : 25.42
Bid-YTW : 6.28 %
GWO.PR.N FixedReset Ins Non 1.03 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-07-08
Maturity Price : 14.75
Evaluated at bid price : 14.75
Bid-YTW : 7.59 %
NA.PR.G FixedReset Prem 1.14 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-07-08
Maturity Price : 23.34
Evaluated at bid price : 25.40
Bid-YTW : 6.28 %
CU.PR.G Perpetual-Discount 1.14 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-07-08
Maturity Price : 17.75
Evaluated at bid price : 17.75
Bid-YTW : 6.44 %
FTS.PR.J Perpetual-Discount 1.20 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-07-08
Maturity Price : 19.33
Evaluated at bid price : 19.33
Bid-YTW : 6.24 %
PWF.PR.O Perpetual-Discount 1.49 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-07-08
Maturity Price : 22.15
Evaluated at bid price : 22.43
Bid-YTW : 6.60 %
CU.PR.C FixedReset Disc 1.50 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-07-08
Maturity Price : 20.91
Evaluated at bid price : 20.91
Bid-YTW : 6.98 %
PVS.PR.K SplitShare 1.77 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2029-05-31
Maturity Price : 25.00
Evaluated at bid price : 23.51
Bid-YTW : 6.00 %
TD.PF.D FixedReset Disc 2.08 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-07-08
Maturity Price : 23.48
Evaluated at bid price : 24.00
Bid-YTW : 6.37 %
PVS.PR.J SplitShare 2.16 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2028-02-29
Maturity Price : 25.00
Evaluated at bid price : 23.70
Bid-YTW : 6.16 %
PWF.PR.G Perpetual-Discount 2.23 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-07-08
Maturity Price : 22.66
Evaluated at bid price : 22.90
Bid-YTW : 6.57 %
CU.PR.I FixedReset Disc 3.82 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-07-08
Maturity Price : 22.66
Evaluated at bid price : 23.10
Bid-YTW : 7.54 %
PWF.PR.L Perpetual-Discount 4.36 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-07-08
Maturity Price : 19.85
Evaluated at bid price : 19.85
Bid-YTW : 6.57 %
Volume Highlights
Issue Index Shares
Traded
Notes
CM.PR.O FixedReset Disc 123,400 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-07-08
Maturity Price : 23.98
Evaluated at bid price : 24.92
Bid-YTW : 5.80 %
PWF.PR.Z Perpetual-Discount 98,900 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-07-08
Maturity Price : 20.35
Evaluated at bid price : 20.35
Bid-YTW : 6.47 %
TD.PF.I FixedReset Prem 88,500 YTW SCENARIO
Maturity Type : Call
Maturity Date : 2027-10-31
Maturity Price : 25.00
Evaluated at bid price : 25.70
Bid-YTW : 5.28 %
BN.PF.C Perpetual-Discount 61,011 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-07-08
Maturity Price : 18.05
Evaluated at bid price : 18.05
Bid-YTW : 6.78 %
RY.PR.N Perpetual-Discount 60,001 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-07-08
Maturity Price : 24.00
Evaluated at bid price : 24.30
Bid-YTW : 5.10 %
GWO.PR.Y Insurance Straight 59,760 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-07-08
Maturity Price : 17.78
Evaluated at bid price : 17.78
Bid-YTW : 6.39 %
There were 20 other index-included issues trading in excess of 10,000 shares.
Wide Spread Highlights
Issue Index Quote Data and Yield Notes
IFC.PR.A FixedReset Ins Non Quote: 17.62 – 19.40
Spot Rate : 1.7800
Average : 1.1936

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-07-08
Maturity Price : 17.62
Evaluated at bid price : 17.62
Bid-YTW : 7.34 %

PWF.PR.P FixedReset Disc Quote: 14.08 – 15.68
Spot Rate : 1.6000
Average : 1.3558

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-07-08
Maturity Price : 14.08
Evaluated at bid price : 14.08
Bid-YTW : 8.46 %

BN.PF.H FixedReset Disc Quote: 24.40 – 24.90
Spot Rate : 0.5000
Average : 0.3172

YTW SCENARIO
Maturity Type : Call
Maturity Date : 2025-12-31
Maturity Price : 25.00
Evaluated at bid price : 24.40
Bid-YTW : 6.84 %

BN.PR.R FixedReset Disc Quote: 16.53 – 17.50
Spot Rate : 0.9700
Average : 0.7969

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-07-08
Maturity Price : 16.53
Evaluated at bid price : 16.53
Bid-YTW : 8.22 %

CM.PR.Q FixedReset Disc Quote: 23.10 – 23.94
Spot Rate : 0.8400
Average : 0.6691

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-07-08
Maturity Price : 22.59
Evaluated at bid price : 23.10
Bid-YTW : 6.55 %

IFC.PR.E Insurance Straight Quote: 20.35 – 21.52
Spot Rate : 1.1700
Average : 1.0069

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-07-08
Maturity Price : 20.35
Evaluated at bid price : 20.35
Bid-YTW : 6.45 %

WFS.PR.A Reorganizes To PGIC.PR.A; HIMIPref™ Coverage Dropped

Saturday, July 6th, 2024

In late May, Mulvihill published a Notice of Special Meeting and Management Information Circular for World Financial Split Corp., known to us as WFS.PR.A (Capital Units were WFS) [bolding added for the critical bits]:

The purpose of the Meeting is to consider and vote upon a special resolution to reposition and recapitalize the Fund to enhance its ability to meet its investment objectives going forward. In this regard, the Fund proposes to change the following (collectively, the “Proposed Amendments”):
1. the investment objectives, strategy and restrictions of the Fund to expand and diversify the portfolio of equity securities to global equity securities selected by the Manager and increase the dividend on the Preferred Shares to $0.0625 per month (7.5% on the original $10.00 issue price) and reinstate the Class A Share distribution (targeted at 12.0% per annum payable monthly on the consolidated Class A Share net asset value per share of approximately $8.00 per share);

2. the articles of the Fund to:
(a) change the name of the Fund from “World Financial Split Corp.” to “Premium Global Income Split Corp.”;
(b) consolidate the Class A Shares of the Fund in order to reset the net asset value per Class A Share to approximately $8.00 per share;
(c) change the existing Preferred Shares of the Fund into a number of Class A Shares and a lesser number of the same class of Preferred Shares to be determined based on the number of shares surrendered pursuant to the Special Retraction Right referred to below (for example, assuming a 4:1 Class A Share consolidation, the Manager would expect 100 Preferred Shares to be exchanged into approximately 41 Class A Shares and 66 Preferred Shares with a value initially equal to the value of the Preferred Shares so exchanged. The exact numbers into which such shares are proposed to be changed shall be announced on June 17, 2024);
(d) extend the Termination Date of the Fund from June 30, 2025 to June 30, 2029 and provide the directors of the Fund with the ability to extend the Termination Date for successive five year terms;
(e) eliminate the $15.00 net asset value per Unit dividend threshold on Class A Shares;
(f) provide holders of Class A Shares and Preferred Shares who do not wish to continue their investment in the Fund with a special retraction right (the “Special Retraction Right”) to enable such Shareholders to retract their shares on June 28, 2024 on the same terms that would have applied had the Fund redeemed all Shares as originally contemplated for June 30, 2025 and provide that the Shareholders who wish to exercise the Special Retraction Right must give notice that they wish to exercise such right on or prior to June 14, 2024; and
(g) create an unlimited number of new classes of shares, issuable in an unlimited number of series and authorize the directors of the Fund to determine the rights, privileges and restrictions attaching to each such series;

On June 17, they announced:

as a result of the special retraction right to be provided to holders of Class A Shares and Preferred Shares who do not wish to continue their investment in the Fund should the Proposal be approved by shareholders, the Class A Shares will be consolidated on a 1:4 basis, such that each holder of a Class A Share will receive approximately 0.25 Class A Shares for each Class A Share held (the “Consolidation”) and the existing Preferred Shares will be exchanged into approximately 0.68 Preferred Shares and 0.40 Class A Shares, such that a holder of 100 Preferred Shares of the Fund will receive approximately 68 Preferred Shares and 40 Class A Shares for each Preferred Share held

On June 21 they announced:

that shareholders of the Fund have approved a proposal to change the investment objectives, strategy and restrictions of the Fund and to amend the articles of the Fund (the “Amendments”), all as more particularly described in the Fund’s management information circular dated May 10, 2024 (the “Circular”), at a special meeting of the shareholders held earlier today.

… and on July 5 they announced:

– (TSX: PGIC/ PGIC.PR.A) Mulvihill Capital Management Inc., the manager of Premium Global Income Split Corp., formerly World Financial Split Corp. (the “Fund”), is pleased to announce that the reorganization of the Fund has been completed, which included a change to the Fund’s name, ticker symbols, investment objectives and strategies of the Fund and amendments to the articles of the Fund (the “Reorganization”).

As a result of the Reorganization, there are 446,654 Class A Shares and 446,654 Preferred Shares of the Fund issued and outstanding following the consolidation of the Class A Shares and the exchange of Preferred Shares into Class A Shares and a lesser number of Preferred Shares.

Poor old WFS! The issue got hammered during the Credit Crunch (see page 8 of the 2023 Annual Report) and never really recovered.

With 862,417 preferred shares outstanding as of 2023-12-31 (see page 23 of the 2023 Annual Report) and “approximately 0.68 [new] Preferred Shares” issued per old preferred share, there should be 586,444 new preferred shares outstanding before accounting for the special retraction, but the company reports 446,654 currently outstanding, which implies a 24% retraction rate.

But anyway, with such a small float, no credit rating (discontinued in 2010) and no NAV test for Capital Unit distributions … I’m finally dropping this issue from HIMIPref™ coverage.

WFS.PR.A was last extended in 2018. The 2011 extension resulted in a massive retraction.

July 5, 2024

Friday, July 5th, 2024

Jobs, jobs, jobs!

Employers delivered another solid month of hiring in June, the Labor Department reported on Friday, adding 206,000 jobs in the 42nd consecutive month of job growth.

At the same time, the unemployment rate ticked up one-tenth of a point to 4.1 percent, up from 4 percent and surpassing 4 percent for the first time since November 2021.

Wage gains have also been moderating. Average hourly earnings rose 0.3 percent in June from the previous month, and 3.9 percent from a year earlier, compared with a 4.1 percent year-over-year change in May. But in good news for workers, pay gains have been outpacing inflation for about a year.

The market response to the report on Friday was muted, with stocks rising modestly. Yields on government bonds fell, however, reflecting traders’ increasing confidence that the Federal Reserve will begin cutting interest rates.

Roughly three-quarters of the job gains in the June report came from health care, social assistance and government. A few other industries produced scant increases, and some, including manufacturing and retail, shed jobs overall.

… and in the frozen North:

Canada’s unemployment rate rose to a 29-month high of 6.4 per cent, data showed on Friday, highlighting that people might be losing jobs as the labour market struggles to absorb a rapidly swelling population.

The jobs report, which also showed that youth unemployment reached almost a decade high barring the pandemic years, prompted money markets to increase bets of a rate cut by the Bank of Canada this month to around 56 per cent from 40 per cent a day earlier.

Canada lost a net 1,400 jobs in June, Statistics Canada said, against analysts’ predictions of 22,500 job gains, in further indications of weakness in economic conditions.

Yields on the Canadian government’s two-year bonds dropped by 9.1 basis points to 3.961 per cent after the jobs report.

The average hourly wage growth of permanent employees accelerated to an annual rate of 5.6 per cent from 5.2 per cent in May. The pay growth rate – closely tracked by the Bank of Canada (BoC) because of its effect on inflation – was the fastest since 5.7 per cent in December.

In June, jobs were shed in full-time work, while part-time positions were added in the month.

Employment in the goods sector increased by a net 12,600 jobs, mostly in agriculture, while the services sector lost a net 14,100 jobs, led by transportation and warehousing and Information, culture and recreation.

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 0.7532 % 2,168.5
FixedFloater 0.00 % 0.00 % 0 0.00 0 0.7532 % 4,159.1
Floater 10.70 % 10.81 % 26,505 8.97 2 0.7532 % 2,396.9
OpRet 0.00 % 0.00 % 0 0.00 0 -0.3572 % 3,477.1
SplitShare 4.81 % 6.68 % 31,206 1.26 6 -0.3572 % 4,152.4
Interest-Bearing 0.00 % 0.00 % 0 0.00 0 -0.3572 % 3,239.9
Perpetual-Premium 0.00 % 0.00 % 0 0.00 0 0.0996 % 2,695.1
Perpetual-Discount 6.39 % 6.55 % 51,307 13.11 28 0.0996 % 2,938.8
FixedReset Disc 5.16 % 7.03 % 111,630 12.11 49 0.0668 % 2,619.2
Insurance Straight 6.17 % 6.40 % 58,709 13.34 21 0.2990 % 2,894.2
FloatingReset 9.34 % 9.24 % 33,644 10.21 4 0.2074 % 2,763.8
FixedReset Prem 5.79 % 6.28 % 244,134 3.00 8 0.1083 % 2,549.2
FixedReset Bank Non 0.00 % 0.00 % 0 0.00 0 0.0668 % 2,677.4
FixedReset Ins Non 5.08 % 6.91 % 97,719 12.96 14 1.1691 % 2,798.3
Performance Highlights
Issue Index Change Notes
PWF.PR.P FixedReset Disc -8.75 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-07-05
Maturity Price : 14.08
Evaluated at bid price : 14.08
Bid-YTW : 8.66 %
BN.PR.X FixedReset Disc -4.48 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-07-05
Maturity Price : 16.00
Evaluated at bid price : 16.00
Bid-YTW : 8.27 %
PWF.PR.L Perpetual-Discount -3.06 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-07-05
Maturity Price : 19.02
Evaluated at bid price : 19.02
Bid-YTW : 6.85 %
CU.PR.I FixedReset Disc -2.50 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-07-05
Maturity Price : 21.77
Evaluated at bid price : 22.25
Bid-YTW : 7.96 %
BN.PR.T FixedReset Disc -2.11 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-07-05
Maturity Price : 16.20
Evaluated at bid price : 16.20
Bid-YTW : 8.54 %
IFC.PR.E Insurance Straight -1.90 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-07-05
Maturity Price : 20.65
Evaluated at bid price : 20.65
Bid-YTW : 6.35 %
PWF.PR.G Perpetual-Discount -1.54 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-07-05
Maturity Price : 22.12
Evaluated at bid price : 22.40
Bid-YTW : 6.72 %
PVS.PR.K SplitShare -1.49 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2029-05-31
Maturity Price : 25.00
Evaluated at bid price : 23.10
Bid-YTW : 6.40 %
PVS.PR.J SplitShare -1.28 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2028-02-29
Maturity Price : 25.00
Evaluated at bid price : 23.20
Bid-YTW : 6.80 %
SLF.PR.J FloatingReset -1.02 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-07-05
Maturity Price : 17.40
Evaluated at bid price : 17.40
Bid-YTW : 8.93 %
NA.PR.S FixedReset Disc 1.01 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-07-05
Maturity Price : 22.79
Evaluated at bid price : 24.02
Bid-YTW : 6.39 %
CCS.PR.C Insurance Straight 1.04 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-07-05
Maturity Price : 19.42
Evaluated at bid price : 19.42
Bid-YTW : 6.49 %
RY.PR.N Perpetual-Discount 1.12 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-07-05
Maturity Price : 23.98
Evaluated at bid price : 24.28
Bid-YTW : 5.10 %
GWO.PR.P Insurance Straight 1.20 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-07-05
Maturity Price : 21.00
Evaluated at bid price : 21.00
Bid-YTW : 6.49 %
FTS.PR.G FixedReset Disc 1.32 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-07-05
Maturity Price : 21.53
Evaluated at bid price : 21.53
Bid-YTW : 6.92 %
BN.PR.K Floater 1.42 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-07-05
Maturity Price : 11.42
Evaluated at bid price : 11.42
Bid-YTW : 10.81 %
CU.PR.C FixedReset Disc 1.48 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-07-05
Maturity Price : 20.60
Evaluated at bid price : 20.60
Bid-YTW : 7.21 %
FFH.PR.J FloatingReset 1.55 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-07-05
Maturity Price : 19.60
Evaluated at bid price : 19.60
Bid-YTW : 9.80 %
GWO.PR.I Insurance Straight 1.69 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-07-05
Maturity Price : 18.00
Evaluated at bid price : 18.00
Bid-YTW : 6.30 %
POW.PR.A Perpetual-Discount 1.90 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-07-05
Maturity Price : 21.50
Evaluated at bid price : 21.50
Bid-YTW : 6.55 %
BN.PR.R FixedReset Disc 2.17 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-07-05
Maturity Price : 16.50
Evaluated at bid price : 16.50
Bid-YTW : 8.40 %
TD.PF.D FixedReset Disc 4.96 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-07-05
Maturity Price : 22.98
Evaluated at bid price : 23.51
Bid-YTW : 6.63 %
IFC.PR.A FixedReset Ins Non 6.41 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-07-05
Maturity Price : 18.75
Evaluated at bid price : 18.75
Bid-YTW : 7.03 %
MFC.PR.N FixedReset Ins Non 7.54 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-07-05
Maturity Price : 21.24
Evaluated at bid price : 21.24
Bid-YTW : 6.91 %
Volume Highlights
Issue Index Shares
Traded
Notes
TD.PF.B FixedReset Prem 220,821 YTW SCENARIO
Maturity Type : Call
Maturity Date : 2024-08-30
Maturity Price : 25.00
Evaluated at bid price : 25.14
Bid-YTW : 5.56 %
BMO.PR.T FixedReset Disc 60,977 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-07-05
Maturity Price : 23.86
Evaluated at bid price : 24.85
Bid-YTW : 5.91 %
BN.PF.D Perpetual-Discount 54,325 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-07-05
Maturity Price : 18.21
Evaluated at bid price : 18.21
Bid-YTW : 6.79 %
BN.PR.B Floater 27,790 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-07-05
Maturity Price : 11.32
Evaluated at bid price : 11.32
Bid-YTW : 10.90 %
CM.PR.O FixedReset Disc 25,015 YTW SCENARIO
Maturity Type : Call
Maturity Date : 2024-08-30
Maturity Price : 25.00
Evaluated at bid price : 24.91
Bid-YTW : 5.93 %
BN.PR.R FixedReset Disc 24,940 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-07-05
Maturity Price : 16.50
Evaluated at bid price : 16.50
Bid-YTW : 8.40 %
There were 7 other index-included issues trading in excess of 10,000 shares.
Wide Spread Highlights
Issue Index Quote Data and Yield Notes
PWF.PR.L Perpetual-Discount Quote: 19.02 – 20.64
Spot Rate : 1.6200
Average : 1.0989

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-07-05
Maturity Price : 19.02
Evaluated at bid price : 19.02
Bid-YTW : 6.85 %

PWF.PR.P FixedReset Disc Quote: 14.08 – 15.68
Spot Rate : 1.6000
Average : 1.0881

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-07-05
Maturity Price : 14.08
Evaluated at bid price : 14.08
Bid-YTW : 8.66 %

CU.PR.I FixedReset Disc Quote: 22.25 – 23.55
Spot Rate : 1.3000
Average : 0.9415

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-07-05
Maturity Price : 21.77
Evaluated at bid price : 22.25
Bid-YTW : 7.96 %

BN.PR.X FixedReset Disc Quote: 16.00 – 16.85
Spot Rate : 0.8500
Average : 0.5688

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-07-05
Maturity Price : 16.00
Evaluated at bid price : 16.00
Bid-YTW : 8.27 %

PVS.PR.K SplitShare Quote: 23.10 – 23.85
Spot Rate : 0.7500
Average : 0.4801

YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2029-05-31
Maturity Price : 25.00
Evaluated at bid price : 23.10
Bid-YTW : 6.40 %

BMO.PR.Y FixedReset Disc Quote: 23.75 – 25.00
Spot Rate : 1.2500
Average : 1.0258

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-07-05
Maturity Price : 23.24
Evaluated at bid price : 23.75
Bid-YTW : 6.44 %

July 4, 2024

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

Values are provisional and are finalized monthly
Index Mean
Current
Yield
(at bid)
Median
YTW
Median
Average
Trading
Value
Median
Mod Dur
(YTW)
Issues Day’s Perf. Index Value
Ratchet 0.00 % 0.00 % 0 0.00 0 0.0443 % 2,152.2
FixedFloater 0.00 % 0.00 % 0 0.00 0 0.0443 % 4,128.0
Floater 10.78 % 10.91 % 77,289 8.90 2 0.0443 % 2,379.0
OpRet 0.00 % 0.00 % 0 0.00 0 0.4138 % 3,489.6
SplitShare 4.79 % 6.50 % 31,391 1.27 6 0.4138 % 4,167.3
Interest-Bearing 0.00 % 0.00 % 0 0.00 0 0.4138 % 3,251.5
Perpetual-Premium 0.00 % 0.00 % 0 0.00 0 0.3372 % 2,692.4
Perpetual-Discount 6.39 % 6.59 % 52,125 13.04 28 0.3372 % 2,935.9
FixedReset Disc 5.17 % 7.23 % 111,587 12.26 49 -0.0499 % 2,617.4
Insurance Straight 6.19 % 6.43 % 59,192 13.32 21 0.1855 % 2,885.6
FloatingReset 9.36 % 9.19 % 34,627 10.25 4 -0.0259 % 2,758.1
FixedReset Prem 5.80 % 6.37 % 247,779 3.00 8 0.0542 % 2,546.4
FixedReset Bank Non 0.00 % 0.00 % 0 0.00 0 -0.0499 % 2,675.6
FixedReset Ins Non 5.14 % 6.95 % 99,061 12.95 14 -0.0279 % 2,766.0
Performance Highlights
Issue Index Change Notes
TD.PF.D FixedReset Disc -6.67 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-07-04
Maturity Price : 21.88
Evaluated at bid price : 22.40
Bid-YTW : 6.96 %
MFC.PR.N FixedReset Ins Non -6.66 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-07-04
Maturity Price : 19.75
Evaluated at bid price : 19.75
Bid-YTW : 7.43 %
IFC.PR.A FixedReset Ins Non -5.57 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-07-04
Maturity Price : 17.62
Evaluated at bid price : 17.62
Bid-YTW : 7.48 %
SLF.PR.E Insurance Straight -2.20 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-07-04
Maturity Price : 18.68
Evaluated at bid price : 18.68
Bid-YTW : 6.07 %
CU.PR.I FixedReset Disc -1.98 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-07-04
Maturity Price : 22.41
Evaluated at bid price : 22.82
Bid-YTW : 7.76 %
BN.PR.R FixedReset Disc -1.82 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-07-04
Maturity Price : 16.15
Evaluated at bid price : 16.15
Bid-YTW : 8.58 %
FTS.PR.J Perpetual-Discount -1.29 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-07-04
Maturity Price : 19.15
Evaluated at bid price : 19.15
Bid-YTW : 6.29 %
POW.PR.A Perpetual-Discount -1.17 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-07-04
Maturity Price : 21.10
Evaluated at bid price : 21.10
Bid-YTW : 6.67 %
NA.PR.S FixedReset Disc -1.12 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-07-04
Maturity Price : 22.69
Evaluated at bid price : 23.78
Bid-YTW : 6.46 %
SLF.PR.J FloatingReset 1.03 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-07-04
Maturity Price : 17.58
Evaluated at bid price : 17.58
Bid-YTW : 8.83 %
NA.PR.W FixedReset Disc 1.20 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-07-04
Maturity Price : 21.62
Evaluated at bid price : 22.00
Bid-YTW : 6.66 %
PVS.PR.J SplitShare 1.29 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2028-02-29
Maturity Price : 25.00
Evaluated at bid price : 23.50
Bid-YTW : 6.40 %
SLF.PR.C Insurance Straight 1.34 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-07-04
Maturity Price : 18.95
Evaluated at bid price : 18.95
Bid-YTW : 5.92 %
FTS.PR.H FixedReset Disc 1.34 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-07-04
Maturity Price : 15.15
Evaluated at bid price : 15.15
Bid-YTW : 8.08 %
IFC.PR.F Insurance Straight 1.37 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-07-04
Maturity Price : 21.50
Evaluated at bid price : 21.50
Bid-YTW : 6.21 %
PWF.PR.F Perpetual-Discount 1.40 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-07-04
Maturity Price : 20.33
Evaluated at bid price : 20.33
Bid-YTW : 6.60 %
MFC.PR.K FixedReset Ins Non 1.46 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-07-04
Maturity Price : 22.67
Evaluated at bid price : 23.64
Bid-YTW : 6.35 %
PVS.PR.K SplitShare 1.52 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2029-05-31
Maturity Price : 25.00
Evaluated at bid price : 23.45
Bid-YTW : 6.04 %
GWO.PR.N FixedReset Ins Non 1.52 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-07-04
Maturity Price : 14.66
Evaluated at bid price : 14.66
Bid-YTW : 7.83 %
BN.PF.D Perpetual-Discount 1.57 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-07-04
Maturity Price : 18.15
Evaluated at bid price : 18.15
Bid-YTW : 6.81 %
PWF.PR.Z Perpetual-Discount 1.72 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-07-04
Maturity Price : 20.10
Evaluated at bid price : 20.10
Bid-YTW : 6.54 %
PWF.PR.R Perpetual-Discount 1.78 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-07-04
Maturity Price : 21.15
Evaluated at bid price : 21.15
Bid-YTW : 6.64 %
IFC.PR.C FixedReset Ins Non 1.80 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-07-04
Maturity Price : 20.36
Evaluated at bid price : 20.36
Bid-YTW : 7.21 %
BN.PR.T FixedReset Disc 1.85 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-07-04
Maturity Price : 16.55
Evaluated at bid price : 16.55
Bid-YTW : 8.37 %
BIP.PR.B FixedReset Disc 1.88 % YTW SCENARIO
Maturity Type : Call
Maturity Date : 2025-12-31
Maturity Price : 25.00
Evaluated at bid price : 24.35
Bid-YTW : 7.46 %
BN.PF.E FixedReset Disc 1.90 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-07-04
Maturity Price : 18.75
Evaluated at bid price : 18.75
Bid-YTW : 8.11 %
PWF.PR.L Perpetual-Discount 2.45 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-07-04
Maturity Price : 19.62
Evaluated at bid price : 19.62
Bid-YTW : 6.64 %
PWF.PR.P FixedReset Disc 2.87 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-07-04
Maturity Price : 15.43
Evaluated at bid price : 15.43
Bid-YTW : 7.93 %
MFC.PR.J FixedReset Ins Non 5.13 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-07-04
Maturity Price : 22.67
Evaluated at bid price : 23.55
Bid-YTW : 6.64 %
Volume Highlights
Issue Index Shares
Traded
Notes
BN.PR.B Floater 74,308 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-07-04
Maturity Price : 11.31
Evaluated at bid price : 11.31
Bid-YTW : 10.91 %
CM.PR.O FixedReset Disc 45,300 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-07-04
Maturity Price : 23.98
Evaluated at bid price : 24.90
Bid-YTW : 5.94 %
IFC.PR.A FixedReset Ins Non 24,705 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-07-04
Maturity Price : 17.62
Evaluated at bid price : 17.62
Bid-YTW : 7.48 %
MFC.PR.I FixedReset Ins Non 15,400 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-07-04
Maturity Price : 22.90
Evaluated at bid price : 23.90
Bid-YTW : 6.70 %
IAF.PR.B Insurance Straight 12,350 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-07-04
Maturity Price : 24.68
Evaluated at bid price : 25.00
Bid-YTW : 4.61 %
PWF.PR.T FixedReset Disc 12,100 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-07-04
Maturity Price : 21.54
Evaluated at bid price : 21.54
Bid-YTW : 6.97 %
There were 5 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: 20.36 – 22.50
Spot Rate : 2.1400
Average : 1.5656

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-07-04
Maturity Price : 20.36
Evaluated at bid price : 20.36
Bid-YTW : 7.21 %

TD.PF.D FixedReset Disc Quote: 22.40 – 24.10
Spot Rate : 1.7000
Average : 1.1499

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-07-04
Maturity Price : 21.88
Evaluated at bid price : 22.40
Bid-YTW : 6.96 %

BMO.PR.Y FixedReset Disc Quote: 23.75 – 25.00
Spot Rate : 1.2500
Average : 0.7799

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-07-04
Maturity Price : 23.24
Evaluated at bid price : 23.75
Bid-YTW : 6.44 %

MFC.PR.N FixedReset Ins Non Quote: 19.75 – 21.46
Spot Rate : 1.7100
Average : 1.3173

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-07-04
Maturity Price : 19.75
Evaluated at bid price : 19.75
Bid-YTW : 7.43 %

PVS.PR.F SplitShare Quote: 24.98 – 25.98
Spot Rate : 1.0000
Average : 0.6420

YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2024-09-30
Maturity Price : 25.00
Evaluated at bid price : 24.98
Bid-YTW : 6.65 %

IFC.PR.A FixedReset Ins Non Quote: 17.62 – 18.90
Spot Rate : 1.2800
Average : 0.9898

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-07-04
Maturity Price : 17.62
Evaluated at bid price : 17.62
Bid-YTW : 7.48 %

July 3, 2024

Wednesday, July 3rd, 2024

PerpetualDiscounts now yield 6.59%, equivalent to 8.57% interest at the standard equivalency factor of 1.3x. Long corporates yielded 4.97% on 2024-6-24 and since then the closing price of ZLC has changed from 15.21 to 14.79, a decrease of 276bp in price, implying an increase of yields of 22bp (BMO reports a duration of 12.39, but don’t disclose whether this is Macaulay or Modified; I will assume Modified) to 5.19%. Therefore, the pre-tax interest-equivalent spread (in this context, the “Seniority Spread”) has declined sharply to 340bp from the 370bp reported June 26.

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 0.5348 % 2,151.3
FixedFloater 0.00 % 0.00 % 0 0.00 0 0.5348 % 4,126.2
Floater 10.78 % 10.86 % 28,052 8.93 2 0.5348 % 2,377.9
OpRet 0.00 % 0.00 % 0 0.00 0 0.1866 % 3,475.2
SplitShare 4.81 % 6.57 % 31,627 1.27 6 0.1866 % 4,150.1
Interest-Bearing 0.00 % 0.00 % 0 0.00 0 0.1866 % 3,238.1
Perpetual-Premium 0.00 % 0.00 % 0 0.00 0 0.4841 % 2,683.3
Perpetual-Discount 6.41 % 6.59 % 53,382 13.04 28 0.4841 % 2,926.0
FixedReset Disc 5.16 % 7.31 % 115,693 12.22 49 0.7383 % 2,618.8
Insurance Straight 6.20 % 6.47 % 58,491 13.27 21 0.0690 % 2,880.3
FloatingReset 9.36 % 9.17 % 35,339 10.28 4 0.3643 % 2,758.8
FixedReset Prem 5.80 % 6.29 % 248,131 3.01 8 0.1085 % 2,545.0
FixedReset Bank Non 0.00 % 0.00 % 0 0.00 0 0.7383 % 2,676.9
FixedReset Ins Non 5.14 % 6.95 % 96,821 12.96 14 2.5253 % 2,766.8
Performance Highlights
Issue Index Change Notes
MFC.PR.J FixedReset Ins Non -4.68 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-07-03
Maturity Price : 21.99
Evaluated at bid price : 22.40
Bid-YTW : 7.00 %
IFC.PR.C FixedReset Ins Non -2.68 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-07-03
Maturity Price : 20.00
Evaluated at bid price : 20.00
Bid-YTW : 7.33 %
SLF.PR.J FloatingReset -1.81 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-07-03
Maturity Price : 17.40
Evaluated at bid price : 17.40
Bid-YTW : 8.92 %
IFC.PR.F Insurance Straight -1.81 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-07-03
Maturity Price : 21.21
Evaluated at bid price : 21.21
Bid-YTW : 6.30 %
PWF.PR.R Perpetual-Discount -1.75 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-07-03
Maturity Price : 20.78
Evaluated at bid price : 20.78
Bid-YTW : 6.76 %
GWO.PR.I Insurance Straight -1.73 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-07-03
Maturity Price : 17.60
Evaluated at bid price : 17.60
Bid-YTW : 6.45 %
GWO.PR.Y Insurance Straight -1.46 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-07-03
Maturity Price : 17.50
Evaluated at bid price : 17.50
Bid-YTW : 6.48 %
BN.PF.E FixedReset Disc -1.34 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-07-03
Maturity Price : 18.40
Evaluated at bid price : 18.40
Bid-YTW : 8.26 %
PWF.PR.Z Perpetual-Discount -1.20 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-07-03
Maturity Price : 19.76
Evaluated at bid price : 19.76
Bid-YTW : 6.66 %
BN.PR.M Perpetual-Discount 1.13 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-07-03
Maturity Price : 17.95
Evaluated at bid price : 17.95
Bid-YTW : 6.67 %
NA.PR.S FixedReset Disc 1.14 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-07-03
Maturity Price : 22.81
Evaluated at bid price : 24.05
Bid-YTW : 6.38 %
FFH.PR.D FloatingReset 1.16 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-07-03
Maturity Price : 21.75
Evaluated at bid price : 21.75
Bid-YTW : 9.17 %
MFC.PR.F FixedReset Ins Non 1.20 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-07-03
Maturity Price : 16.81
Evaluated at bid price : 16.81
Bid-YTW : 6.99 %
BN.PF.D Perpetual-Discount 1.25 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-07-03
Maturity Price : 17.87
Evaluated at bid price : 17.87
Bid-YTW : 6.92 %
RY.PR.O Perpetual-Discount 1.28 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-07-03
Maturity Price : 23.52
Evaluated at bid price : 23.80
Bid-YTW : 5.20 %
PWF.PR.K Perpetual-Discount 1.32 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-07-03
Maturity Price : 19.25
Evaluated at bid price : 19.25
Bid-YTW : 6.57 %
CM.PR.P FixedReset Disc 1.32 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-07-03
Maturity Price : 23.09
Evaluated at bid price : 23.82
Bid-YTW : 6.07 %
IFC.PR.G FixedReset Ins Non 1.43 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-07-03
Maturity Price : 22.11
Evaluated at bid price : 22.62
Bid-YTW : 6.82 %
TD.PF.J FixedReset Disc 1.44 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-07-03
Maturity Price : 23.12
Evaluated at bid price : 24.60
Bid-YTW : 6.34 %
FFH.PR.I FixedReset Disc 1.47 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-07-03
Maturity Price : 18.67
Evaluated at bid price : 18.67
Bid-YTW : 8.24 %
BN.PR.K Floater 1.52 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-07-03
Maturity Price : 11.36
Evaluated at bid price : 11.36
Bid-YTW : 10.86 %
MFC.PR.L FixedReset Ins Non 1.57 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-07-03
Maturity Price : 21.60
Evaluated at bid price : 21.94
Bid-YTW : 6.65 %
GWO.PR.N FixedReset Ins Non 1.62 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-07-03
Maturity Price : 14.44
Evaluated at bid price : 14.44
Bid-YTW : 7.94 %
FFH.PR.H FloatingReset 1.63 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-07-03
Maturity Price : 18.65
Evaluated at bid price : 18.65
Bid-YTW : 9.90 %
IFC.PR.E Insurance Straight 1.89 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-07-03
Maturity Price : 20.99
Evaluated at bid price : 20.99
Bid-YTW : 6.24 %
BN.PF.H FixedReset Disc 1.90 % YTW SCENARIO
Maturity Type : Call
Maturity Date : 2025-12-31
Maturity Price : 25.00
Evaluated at bid price : 24.15
Bid-YTW : 7.51 %
BIP.PR.A FixedReset Disc 1.99 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-07-03
Maturity Price : 21.64
Evaluated at bid price : 22.05
Bid-YTW : 7.92 %
POW.PR.B Perpetual-Discount 2.20 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-07-03
Maturity Price : 20.44
Evaluated at bid price : 20.44
Bid-YTW : 6.58 %
SLF.PR.E Insurance Straight 2.25 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-07-03
Maturity Price : 19.10
Evaluated at bid price : 19.10
Bid-YTW : 5.94 %
BN.PR.R FixedReset Disc 2.81 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-07-03
Maturity Price : 16.45
Evaluated at bid price : 16.45
Bid-YTW : 8.42 %
BN.PR.Z FixedReset Disc 3.23 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-07-03
Maturity Price : 20.80
Evaluated at bid price : 20.80
Bid-YTW : 7.84 %
POW.PR.G Perpetual-Discount 3.45 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-07-03
Maturity Price : 21.31
Evaluated at bid price : 21.31
Bid-YTW : 6.61 %
TD.PF.D FixedReset Disc 4.35 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-07-03
Maturity Price : 23.48
Evaluated at bid price : 24.00
Bid-YTW : 6.50 %
IFC.PR.A FixedReset Ins Non 5.90 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-07-03
Maturity Price : 18.66
Evaluated at bid price : 18.66
Bid-YTW : 7.06 %
BN.PF.J FixedReset Disc 5.99 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-07-03
Maturity Price : 22.39
Evaluated at bid price : 23.00
Bid-YTW : 7.22 %
PWF.PR.P FixedReset Disc 6.53 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-07-03
Maturity Price : 15.00
Evaluated at bid price : 15.00
Bid-YTW : 8.15 %
MFC.PR.N FixedReset Ins Non 7.14 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-07-03
Maturity Price : 21.16
Evaluated at bid price : 21.16
Bid-YTW : 6.93 %
MFC.PR.M FixedReset Ins Non 28.97 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-07-03
Maturity Price : 21.50
Evaluated at bid price : 21.50
Bid-YTW : 6.95 %
Volume Highlights
Issue Index Shares
Traded
Notes
CM.PR.O FixedReset Disc 108,000 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-07-03
Maturity Price : 23.98
Evaluated at bid price : 24.90
Bid-YTW : 5.94 %
TD.PF.I FixedReset Prem 51,926 YTW SCENARIO
Maturity Type : Call
Maturity Date : 2027-10-31
Maturity Price : 25.00
Evaluated at bid price : 25.70
Bid-YTW : 5.25 %
POW.PR.D Perpetual-Discount 37,750 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-07-03
Maturity Price : 19.21
Evaluated at bid price : 19.21
Bid-YTW : 6.54 %
CM.PR.Y FixedReset Disc 24,200 YTW SCENARIO
Maturity Type : Call
Maturity Date : 2024-08-30
Maturity Price : 25.00
Evaluated at bid price : 24.92
Bid-YTW : 6.22 %
BN.PR.B Floater 16,851 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-07-03
Maturity Price : 11.20
Evaluated at bid price : 11.20
Bid-YTW : 11.01 %
FTS.PR.G FixedReset Disc 15,403 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-07-03
Maturity Price : 21.30
Evaluated at bid price : 21.30
Bid-YTW : 6.99 %
There were 5 other index-included issues trading in excess of 10,000 shares.
Wide Spread Highlights
Issue Index Quote Data and Yield Notes
MFC.PR.J FixedReset Ins Non Quote: 22.40 – 23.90
Spot Rate : 1.5000
Average : 1.0731

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-07-03
Maturity Price : 21.99
Evaluated at bid price : 22.40
Bid-YTW : 7.00 %

SLF.PR.H FixedReset Ins Non Quote: 19.25 – 21.25
Spot Rate : 2.0000
Average : 1.5792

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-07-03
Maturity Price : 19.25
Evaluated at bid price : 19.25
Bid-YTW : 6.99 %

MFC.PR.F FixedReset Ins Non Quote: 16.81 – 18.00
Spot Rate : 1.1900
Average : 0.8555

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-07-03
Maturity Price : 16.81
Evaluated at bid price : 16.81
Bid-YTW : 6.99 %

BN.PR.T FixedReset Disc Quote: 16.25 – 17.06
Spot Rate : 0.8100
Average : 0.6463

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-07-03
Maturity Price : 16.25
Evaluated at bid price : 16.25
Bid-YTW : 8.51 %

MFC.PR.B Insurance Straight Quote: 19.12 – 19.80
Spot Rate : 0.6800
Average : 0.5350

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-07-03
Maturity Price : 19.12
Evaluated at bid price : 19.12
Bid-YTW : 6.14 %

BN.PR.K Floater Quote: 11.36 – 11.76
Spot Rate : 0.4000
Average : 0.2607

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-07-03
Maturity Price : 11.36
Evaluated at bid price : 11.36
Bid-YTW : 10.86 %