May 1, 2023

May 1st, 2023

First Republic finally succumbed:

Regulators seized control of First Republic Bank and sold it to JPMorgan Chase on Monday, a dramatic move aimed at curbing a two-month banking crisis that has rattled the financial system.

First Republic, whose assets were battered by the rise in interest rates, had struggled to stay alive after two other lenders collapsed last month, spooking depositors and investors.

First Republic was taken over by the Federal Deposit Insurance Corporation and immediately sold to JPMorgan. The deal was announced hours before U.S. markets are set to open, and after a scramble by officials over the weekend.

JPMorgan will “assume all of the deposits and substantially all of the assets of First Republic Bank,” the F.D.I.C. said in a statement. The regulator estimated that its insurance fund would have to pay out about $13 billion to cover First Republic’s losses. JPMorgan also said that the F.D.I.C. would provide it with $50 billion in financing.

By last week, after an alarming earnings report in which the bank disclosed that customers had withdrawn more than half of its deposits, it became clear that there was no option outside a government takeover.

Like the other two failed banks — Silicon Valley Bank and Signature — First Republic collapsed under the weight of loans and investments that lost billions of dollars in value as the Federal Reserve rapidly raised interest rates to fight inflation.

Other regional lenders, like Utah’s Zions Bank and PacWest of Los Angeles, have firmed their footing faster than First Republic, and bank analysts do not see another collapse as imminent. The stocks of every other bank in the S&P 500 stock index rose on Friday even as First Republic’s shares ended the day down more than 40 percent in anticipation of the government takeover.

Sic transit gloria mundi!

I still have no time to catch up on all the links I have saved …

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 0.0417 % 2,306.5
FixedFloater 0.00 % 0.00 % 0 0.00 0 0.0417 % 4,423.9
Floater 9.77 % 9.96 % 34,647 9.53 2 0.0417 % 2,549.5
OpRet 0.00 % 0.00 % 0 0.00 0 -0.0610 % 3,360.9
SplitShare 5.00 % 7.29 % 45,881 2.59 7 -0.0610 % 4,013.7
Interest-Bearing 0.00 % 0.00 % 0 0.00 0 -0.0610 % 3,131.6
Perpetual-Premium 0.00 % 0.00 % 0 0.00 0 0.0538 % 2,771.7
Perpetual-Discount 6.16 % 6.23 % 51,431 13.57 34 0.0538 % 3,022.4
FixedReset Disc 5.78 % 7.66 % 84,804 12.03 63 -0.3094 % 2,145.6
Insurance Straight 6.06 % 6.14 % 69,367 13.68 19 0.2191 % 2,966.4
FloatingReset 10.41 % 10.86 % 50,707 8.86 2 0.0676 % 2,404.1
FixedReset Prem 6.94 % 6.56 % 326,472 12.82 1 -0.2759 % 2,327.4
FixedReset Bank Non 0.00 % 0.00 % 0 0.00 0 -0.3094 % 2,193.2
FixedReset Ins Non 5.95 % 7.28 % 82,140 12.15 11 0.0000 % 2,342.1
Performance Highlights
Issue Index Change Notes
PWF.PR.P FixedReset Disc -3.23 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2053-05-01
Maturity Price : 12.00
Evaluated at bid price : 12.00
Bid-YTW : 8.66 %
NA.PR.G FixedReset Disc -1.87 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2053-05-01
Maturity Price : 21.00
Evaluated at bid price : 21.00
Bid-YTW : 7.04 %
BN.PF.A FixedReset Disc -1.51 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2053-05-01
Maturity Price : 18.32
Evaluated at bid price : 18.32
Bid-YTW : 8.34 %
IFC.PR.C FixedReset Disc -1.49 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2053-05-01
Maturity Price : 17.88
Evaluated at bid price : 17.88
Bid-YTW : 7.44 %
PWF.PF.A Perpetual-Discount -1.47 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2053-05-01
Maturity Price : 18.13
Evaluated at bid price : 18.13
Bid-YTW : 6.25 %
TD.PF.B FixedReset Disc -1.46 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2053-05-01
Maturity Price : 16.90
Evaluated at bid price : 16.90
Bid-YTW : 7.81 %
TRP.PR.C FixedReset Disc -1.39 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2053-05-01
Maturity Price : 11.34
Evaluated at bid price : 11.34
Bid-YTW : 9.11 %
POW.PR.B Perpetual-Discount -1.36 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2053-05-01
Maturity Price : 21.44
Evaluated at bid price : 21.70
Bid-YTW : 6.22 %
MFC.PR.M FixedReset Ins Non -1.18 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2053-05-01
Maturity Price : 16.80
Evaluated at bid price : 16.80
Bid-YTW : 8.02 %
IFC.PR.A FixedReset Ins Non -1.13 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2053-05-01
Maturity Price : 17.45
Evaluated at bid price : 17.45
Bid-YTW : 7.05 %
CM.PR.O FixedReset Disc -1.09 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2053-05-01
Maturity Price : 17.31
Evaluated at bid price : 17.31
Bid-YTW : 7.70 %
TRP.PR.G FixedReset Disc -1.01 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2053-05-01
Maturity Price : 16.58
Evaluated at bid price : 16.58
Bid-YTW : 8.37 %
GWO.PR.M Insurance Straight -1.01 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2053-05-01
Maturity Price : 23.15
Evaluated at bid price : 23.41
Bid-YTW : 6.27 %
CU.PR.E Perpetual-Discount 1.03 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2053-05-01
Maturity Price : 20.55
Evaluated at bid price : 20.55
Bid-YTW : 6.08 %
SLF.PR.E Insurance Straight 1.26 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2053-05-01
Maturity Price : 19.35
Evaluated at bid price : 19.35
Bid-YTW : 5.89 %
GWO.PR.P Insurance Straight 1.35 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2053-05-01
Maturity Price : 21.53
Evaluated at bid price : 21.79
Bid-YTW : 6.27 %
MFC.PR.F FixedReset Ins Non 1.88 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2053-05-01
Maturity Price : 12.48
Evaluated at bid price : 12.48
Bid-YTW : 8.22 %
Volume Highlights
Issue Index Shares
Traded
Notes
TD.PF.C FixedReset Disc 129,348 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2053-05-01
Maturity Price : 16.96
Evaluated at bid price : 16.96
Bid-YTW : 7.70 %
BMO.PR.T FixedReset Disc 54,148 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2053-05-01
Maturity Price : 16.98
Evaluated at bid price : 16.98
Bid-YTW : 7.72 %
TD.PF.E FixedReset Disc 53,468 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2053-05-01
Maturity Price : 18.30
Evaluated at bid price : 18.30
Bid-YTW : 7.55 %
BMO.PR.W FixedReset Disc 52,137 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2053-05-01
Maturity Price : 16.93
Evaluated at bid price : 16.93
Bid-YTW : 7.70 %
TD.PF.A FixedReset Disc 51,182 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2053-05-01
Maturity Price : 17.05
Evaluated at bid price : 17.05
Bid-YTW : 7.65 %
IFC.PR.A FixedReset Ins Non 51,085 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2053-05-01
Maturity Price : 17.45
Evaluated at bid price : 17.45
Bid-YTW : 7.05 %
There were 12 other index-included issues trading in excess of 10,000 shares.
Wide Spread Highlights
Issue Index Quote Data and Yield Notes
TRP.PR.E FixedReset Disc Quote: 15.10 – 17.45
Spot Rate : 2.3500
Average : 1.8907

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2053-05-01
Maturity Price : 15.10
Evaluated at bid price : 15.10
Bid-YTW : 8.86 %

POW.PR.C Perpetual-Discount Quote: 23.49 – 24.40
Spot Rate : 0.9100
Average : 0.5409

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2053-05-01
Maturity Price : 23.19
Evaluated at bid price : 23.49
Bid-YTW : 6.23 %

BN.PR.K Floater Quote: 12.01 – 12.80
Spot Rate : 0.7900
Average : 0.4854

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2053-05-01
Maturity Price : 12.01
Evaluated at bid price : 12.01
Bid-YTW : 9.96 %

TD.PF.J FixedReset Disc Quote: 22.28 – 22.99
Spot Rate : 0.7100
Average : 0.5268

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2053-05-01
Maturity Price : 21.83
Evaluated at bid price : 22.28
Bid-YTW : 6.57 %

POW.PR.B Perpetual-Discount Quote: 21.70 – 22.35
Spot Rate : 0.6500
Average : 0.4843

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2053-05-01
Maturity Price : 21.44
Evaluated at bid price : 21.70
Bid-YTW : 6.22 %

GWO.PR.N FixedReset Ins Non Quote: 12.01 – 12.42
Spot Rate : 0.4100
Average : 0.2638

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2053-05-01
Maturity Price : 12.01
Evaluated at bid price : 12.01
Bid-YTW : 8.24 %

MAPF Performance: April, 2023

April 30th, 2023

Malachite Aggressive Preferred Fund’s Net Asset Value per Unit as of the close April 28, 2023, was $8.1122.

Performance was affected by PWF.PR.P [reversing last month] underperforming at -3.00%; as did BN.PR.R (-2.64%, reprising last month’s disappointment). This was mitigated by good performance from TRP.PR.A (+2.82%, reversing last month’s) and BMO.PR.T (+2.17%) [small holdings are not considered for mention here].

There is still a pronounced ‘risk-off’ sentiment in the market, but I feel it is only a matter of time before investors start paying attention to the fundamental risk of these instruments compared to their eye-popping interest-equivalent yields.

FixedResets continue to yield more, in general, than PerpetualDiscounts; on April 28, I reported median YTWs of 7.62% and 6.22%, respectively, for these two indices. RY.PR.J, to take a representative example, is calculated by HIMIPref™ as having a yield of 7.61% at monthend; priced at 18.10, resetting 2025-5-24 at a spread of 274bp over GOC-5 (assumed to be constant at 3.12%) and currently paying 0.80 p.a. (3.20% annually). The next pay-date is 2023-5-24; it is trading ex-dividend.

If we plug the above data into the yield calculator for resets (which is discussed here), we arrive at a quarterly annualized yield of 7.47% for RY.PR.J (this is quarterly compounded yield, not semi-annually as in HIMIPref™ there are also implementation differences). To take this down to 14bp below the PerpetualDiscount median index yield of 6.22% (to account for the calculation methodological differences), which is to say 6.08%, requires the assumption that GOC-5 will be 1.88% forever, as opposed the ‘constant rate’ assumption of 3.12%. Well … pays yer money and take yer chances, gents! Assiduous Readers with long memories will liken this to all the calculations of Break-even Rate Shock when the puzzle represented the same problem with a different sign!

Returns to April 28, 2023
Period MAPF TXPR*
Total Return
CPD – according to Blackrock
One Month +0.41% +0.27% N/A
Three Months -3.72% -4.41% N/A
One Year -9.50% -7.29% -7.74%
Two Years (annualized) -5.13% -5.00% N/A
Three Years (annualized) +14.10% +6.97% +6.39%
Four Years (annualized) +3.99% +2.11% N/A
Five Years (annualized) +0.44% +0.39% -0.17%
Six Years (annualized) +2.54% +1.18% N/A
Seven Years (annualized) +5.56% +3.45% N/A
Eight Years (annualized) +2.40% +1.27% N/A
Nine Years (annualized) +2.12% +0.76% N/A
Ten Years (annualized) +2.05% +0.69% +0.22%
Eleven Years (annualized) +2.67% +1.10%  
Twelve Years (annualized) +2.78% +1.44%  
Thirteen Years (annualized) +4.25% +2.35%  
Fourteen Years (annualized) +5.81% +2.99%  
Fifteen Years (annualized) +6.65% +2.23%  
Sixteen Years (annualized) +6.25%    
Seventeen Years (annualized) +6.27%    
Eighteen Years (annualized) +6.28%    
Nineteen Years (annualized) +6.46%    
Twenty Years (annualized) +7.33%    
Twenty-One Years (annualized) +7.06%    
Twenty-Two Years (annualized) +7.46%    
MAPF returns assume reinvestment of distributions, and are shown after expenses but before fees.
The BMO Capital Markets “50” Preferred Share Index is no longer being calculated. The final performance report incorporating this venerable index was published as of December, 2020.
“TXPR” is the S&P/TSX Preferred Share Index. It is calculated without accounting for fees, but does assume reinvestment of dividends.
CPD Returns are for the NAV and are after all fees and expenses. Reinvestment of dividends is assumed.
Figures for National Bank Preferred Equity Income Fund (formerly Omega Preferred Equity) (which are after all fees and expenses) for 1-, 3- and 12-months are +0.07%, -4.31% and -8.07%, respectively, according to Globe & Mail / Fundata after all fees & expenses. Three year performance is +8.42%; five year is +1.31%; ten year is +1.62%.

Figures from Morningstar are no longer conveniently available.

Manulife Preferred Income Class Adv has been terminated by Manulife. The performance of this fund was last reported here in March, 2018.
Figures for Horizons Active Preferred Share ETF (HPR) (which are after all fees and expenses) for 1-, 3- and 12-months are +0.33%, -4.01% & -7.73%, respectively. Three year performance is +9.13%, five-year is +0.29%, ten year is +1.43%
Figures for National Bank Preferred Equity Fund (formerly Altamira Preferred Equity Fund) are +0.50%, -4.20% and -7.97% for one-, three- and twelve months, respectively. Three year performance is +9.03%; five-year is +0.39%; ten-year is +1.22%

Acccording to the fund’s fact sheet as of June 30, 2016, the fund’s inception date was October 30, 2015. I do not know how they justify this nonsensical statement, but will assume that prior performance is being suppressed in some perfectly legal manner that somebody at National considers ethical.

The last time Altamira Preferred Equity Fund’s performance was reported here was April, 2014; performance under the National Bank banner was first reported here May, 2014.

The figures for the NAV of BMO S&P/TSX Laddered Preferred Share Index ETF (ZPR) is -15.14% for the past twelve months. Two year performance is -4.15%, three year is +13.09%, five year is +0.09%, ten year is -0.44%
Figures for Fiera Canadian Preferred Share Class Cg Series F, (formerly Natixis Canadian Preferred Share Class Series F) (formerly NexGen Canadian Preferred Share Tax Managed Fund) are no longer available as the Fund is now the property of Canoe Financial. The last reported performance for the merged fund was May 2020.
Figures for BMO Preferred Share Fund (advisor series) according to BMO are +0.15%, -4.78% and -8.99% for the past one-, three- and twelve-months, respectively. Two year performance is -7.13%; three year is +5.50%; five-year is -2.01%.
Figures for PowerShares Canadian Preferred Share Index Class, Series F (PPS) are no longer available since the fund has been terminated. Performance was last reported for the fund to month-end, March 2023
Figures for the First Asset Preferred Share Investment Trust (PSF.UN) are no longer available since the fund has merged with First Asset Preferred Share ETF (FPR).

Performance for the fund was last reported here in September, 2016; the first report of unavailability was in October, 2016.

Figures for Lysander-Slater Preferred Share Dividend Fund (Class F) according to the company are -0.5%, -3.9% and -7.4% for the past one, three and twelve months, respectively. Three year performance is +9.7%, five-year is -0.3%.
Figures for the Desjardins Canadian Preferred Share Fund A Class (A Class), as reported by the company are +0.14%, -4.41% and -7.66% for the past one, three and twelve months, respectively. Two year performance is -5.63%, three-year is +6.06%, five-year is -1.01%
Figures for the RBC Canadian Preferred Share ETF (RPF) are reported by Morningstar as +0.54%, -5.55% and -9.61% for the past one, three and twelve months, respectively. Three-year performance is +8.35%, five-year is +2.0%
Figures for the Dynamic Active Preferred Shares ETF (DXP) are +0.1%, -3.6% and -4.3% for the past one, three and twelve months, respectively. Three-year performance is +11.6%; five-year is +2.0%
Figures for the Purpose Canadian Preferred Share Fund (Class F) are +0.20%, -4.58% and -9.38% for the past one, three and twelve months, respectively. Three-year performance is +12.63%; five-year is -0.10%; seven-year is +3.41%; ten-year is +4.46%.

The five-year Canada yield increased, with the five-year Canada yield (“GOC-5”) rising from 2.93% at March month-end to 3.12% at April month-end.

The Seniority Spread (between long-term corporate bonds and interest-equivalent PerpetualDiscounts) was 315bp as of 2023-4-26 (chart end-date 2023-4-14) :

The situation with FixedResets is interesting, with the spread between GOC-5 and the interest-adjusted FixedReset (Discount) rate widening significantly from its 2021-11-10 low of 344bp to its current level of 687bp (as of 2023-4-26) … (chart end-date 2023-4-14):

…while at the same time the interest-equivalent spread between FixedReset (Discounts) and PerpetualDiscounts has narrowed to -176bp (as of 2023-4-26) from its 2021-7-28 level of +170bp (chart end-date 2023-4-14):

There is no significant correlation between the Issue Reset Spread and 1-month performance for discounted FixedResets for either the Pfd-2 or Pfd-3 Group issues, which is normal because there is a lot of noise in this inefficient market.

However, the normally moderate correlations between Issue Reset Spread and three-month performance have disappeared again in this month’s check:

There were no significant correlations for either the Pfd-2 Group or the Pfd-3 Group for 1-Month performance against term-to-reset:

… and for three-month performance, there were again no correlations for either the Pfd-2 Group or the Pfd-3 Group:

It should be noted that to some extent such a dependence (of performance on term-to-reset) can be justified as the nearer-term issues will receive the benefit of higher projected dividend rates sooner as a result of higher GOC-5 yields and therefore, perhaps, for longer. Equations for the relationship between correlation slope and change in GOC-5 were derived in the August PrefLetter.

I keep talking about ‘Sustainable Income’ and nowadays it’s far higher than the dividends that are currently being distributed. This is because Sustainable Income is the average yield-to-worst (YTW) of the portfolio when the YTW is calculated to perpetuity (or to redemption, of course, if the yield to redemption is lower), including resets at the current GOC-5 rate. The sharp increase in GOC-5 in the past year has caused the difference between YTW and Current Yield to skyrocket, but one way or another I expect that these two values will become much closer – slowly at first, but quickening in about two years. We have to wait for the reset date of the MAPF portfolio securities before we see a change in actual cash receipts – and, of course, there is no guarantee whatsoever that the rate used for estimation purposes now will be used for the actual calculation in the future (chart prepared as of 2023-04-14).

Calculation of MAPF Sustainable Income Per Unit
Month NAVPU Portfolio
Average
YTW
Leverage
Divisor
Securities
Average
YTW
Capital
Gains
Multiplier
Sustainable
Income
per
current
Unit
June, 2007 9.3114 5.16% 1.03 5.01% 1.3240 0.3524
September 9.1489 5.35% 0.98 5.46% 1.3240 0.3773
December, 2007 9.0070 5.53% 0.942 5.87% 1.3240 0.3993
March, 2008 8.8512 6.17% 1.047 5.89% 1.3240 0.3938
June 8.3419 6.034% 0.952 6.338% 1.3240 $0.3993
September 8.1886 7.108% 0.969 7.335% 1.3240 $0.4537
December, 2008 8.0464 9.24% 1.008 9.166% 1.3240 $0.5571
March 2009 $8.8317 8.60% 0.995 8.802% 1.3240 $0.5872
June 10.9846 7.05% 0.999 7.057% 1.3240 $0.5855
September 12.3462 6.03% 0.998 6.042% 1.3240 $0.5634
December 2009 10.5662 5.74% 0.981 5.851% 1.1141 $0.5549
March 2010 10.2497 6.03% 0.992 6.079% 1.1141 $0.5593
June 10.5770 5.96% 0.996 5.984% 1.1141 $0.5681
September 11.3901 5.43% 0.980 5.540% 1.1141 $0.5664
December 2010 10.7659 5.37% 0.993 5.408% 1.0298 $0.5654
March, 2011 11.0560 6.00% 0.994 5.964% 1.0298 $0.6403
June 11.1194 5.87% 1.018 5.976% 1.0298 $0.6453
September 10.2709 6.10%
Note
1.001 6.106% 1.0298 $0.6090
December, 2011 10.0793 5.63%
Note
1.031 5.805% 1.0000 $0.5851
March, 2012 10.3944 5.13%
Note
0.996 5.109% 1.0000 $0.5310
June 10.2151 5.32%
Note
1.012 5.384% 1.0000 $0.5500
September 10.6703 4.61%
Note
0.997 4.624% 1.0000 $0.4934
December, 2012 10.8307 4.24% 0.989 4.287% 1.0000 $0.4643
March, 2013 10.9033 3.87% 0.996 3.886% 1.0000 $0.4237
June 10.3261 4.81% 0.998 4.80% 1.0000 $0.4957
September 10.0296 5.62% 0.996 5.643% 1.0000 $0.5660
December, 2013 9.8717 6.02% 1.008 5.972% 1.0000 $0.5895
March, 2014 10.2233 5.55% 0.998 5.561% 1.0000 $0.5685
June 10.5877 5.09% 0.998 5.100% 1.0000 $0.5395
September 10.4601 5.28% 0.997 5.296% 1.0000 $0.5540
December, 2014 10.5701 4.83% 1.009 4.787% 1.0000 $0.5060
March, 2015 9.9573 4.99% 1.001 4.985% 1.0000 $0.4964
June, 2015 9.4181 5.55% 1.002 5.539% 1.0000 $0.5217
September 7.8140 6.98% 0.999 6.987% 1.0000 $0.5460
December, 2015 8.1379 6.85% 0.997 6.871% 1.0000 $0.5592
March, 2016 7.4416 7.79% 0.998 7.805% 1.0000 $0.5808
June 7.6704 7.67% 1.011 7.587% 1.0000 $0.5819
September 8.0590 7.35% 0.993 7.402% 1.0000 $0.5965
December, 2016 8.5844 7.24% 0.990 7.313% 1.0000 $0.6278
March, 2017 9.3984 6.26% 0.994 6.298% 1.0000 $0.5919
June 9.5313 6.41% 0.998 6.423% 1.0000 $0.6122
September 9.7129 6.56% 0.998 6.573% 1.0000 $0.6384
December, 2017 10.0566 6.06% 1.004 6.036% 1.0000 $0.6070
March, 2018 10.2701 6.22% 1.007 6.177% 1.0000 $0.6344
June 10.2518 6.22% 0.995 6.251% 1.0000 $0.6408
September 10.2965 6.62% 1.018 6.503% 1.0000 $0.6696
December, 2018 8.6875 7.16% 0.997 7.182% 1.0000 $0.6240
March, 2019 8.4778 7.09% 1.007 7.041% 1.0000 $0.5969
June 8.0896 7.33% 0.996 7.359% 1.0000 $0.5953
September 7.7948 7.96% 0.998 7.976% 1.0000 $0.6217
December, 2019 8.0900 6.03% 0.995 6.060% 1.0000 $0.4903
March 5.5596 7.04% 1.006 6.998% 1.0000 $0.3891
June 6.3568 6.10% 0.9900 6.162% 1.0000 $0.3917
September 7.2852 5.32% 1.00 5.320% 1.0000 $0.3876
December, 2020 8.3947 4.46% 0.999 4.464% 1.0000 $0.3747
March, 2021 9.6473 4.48% 0.996 4.498% 1.0000 $0.4339
June 10.3712 3.92% 0.985 3.980% 1.0000 $0.4127
September 10.7572 4.08% 1.017 4.012% 1.0000 $0.4316
December, 2021 10.7432 4.31% 0.999 4.314% 1.0000 $0.4635
March, 2022 10.5040 5.53% 1.004 5.508% 1.0000 $0.5786
June 9.3115 7.04% 0.993 7.090% 1.0000 $0.6672
September 8.4093 8.10% 0.997 8.124% 1.0000 $0.6916
December, 2022 7.9921 8.47% 0.996 8.504% 1.0000 $0.6796
March 8.0788 7.90% 0.997 7.924% 1.0000 $0.6401
April, 2023 8.1122 8.21% 0.995 8.251% 1.0000 $0.6694
NAVPU is shown after quarterly distributions of dividend income and annual distribution of capital gains.
Portfolio YTW includes cash (or margin borrowing), with an assumed interest rate of 0.00%
The Leverage Divisor indicates the level of cash in the account: if the portfolio is 1% in cash, the Leverage Divisor will be 0.99
Securities YTW divides “Portfolio YTW” by the “Leverage Divisor” to show the average YTW on the securities held; this assumes that the cash is invested in (or raised from) all securities held, in proportion to their holdings.
The Capital Gains Multiplier adjusts for the effects of Capital Gains Dividends. On 2009-12-31, there was a capital gains distribution of $1.989262 which is assumed for this purpose to have been reinvested at the final price of $10.5662. Thus, a holder of one unit pre-distribution would have held 1.1883 units post-distribution; the CG Multiplier reflects this to make the time-series comparable. Note that Dividend Distributions are not assumed to be reinvested.
Sustainable Income is the resultant estimate of the fund’s dividend income per current unit, before fees and expenses. Note that a “current unit” includes reinvestment of prior capital gains; a unitholder would have had the calculated sustainable income with only, say, 0.9 units in the past which, with reinvestment of capital gains, would become 1.0 current units.
DeemedRetractibles are comprised of all Straight Perpetuals (both PerpetualDiscount and PerpetualPremium) issued by BMO, BNS, CM, ELF, GWO, HSB, IAG, MFC, NA, RY, SLF and TD, which are not exchangable into common at the option of the company or the regulator (definition refined in May, 2011). These issues are analyzed as if their prospectuses included a requirement to redeem at par on or prior to 2022-1-31 (banks) or the Deemed Maturity date for insurers and insurance holding companies (see below)), in addition to the call schedule explicitly defined. See the Deemed Retractible Review: September 2016 for the rationale behind this analysis.

The same reasoning is also applied to FixedResets from these issuers, other than explicitly defined NVCC from banks.

In November, 2019, the assumption of DeemedRetraction for insurance issues was cancelled in the wake of the IAIS decision included in ICS 2.0. This resulted in a large drop in the yield calculated for these issues

The Deemed Maturity date for insurers was set at 2022-1-31 at the commencement of the process in February, 2011. It was extended to 2025-1-31 in April, 2013 and to 2030-1-31 in December, 2018. In November, 2019, the assumption of DeemedRetraction was cancelled in the wake of the IAIS decision included in ICS 2.0.
Yields for September, 2011, to January, 2012, were calculated by imposing a cap of 10% on the yields of YLO issues held, in order to avoid their extremely high calculated yields distorting the calculation and to reflect the uncertainty in the marketplace that these yields will be realized. From February to September 2012, yields on these issues have been set to zero. All YLO issues held were sold in October 2012.

These calculations were performed assuming constant contemporary GOC-5 and 3-Month Bill rates, as follows:

Canada Yields Assumed in Calculations
Month-end GOC-5 3-Month Bill
September, 2015 0.78% 0.40%
December, 2015 0.71% 0.46%
March, 2016 0.70% 0.44%
June 0.57% 0.47%
September 0.58% 0.53%
December, 2016 1.16% 0.47%
March, 2017 1.08% 0.55%
June 1.35% 0.69%
September 1.79% 0.97%
December, 2017 1.83% 1.00%
March, 2018 2.06% 1.08%
June 1.95% 1.22%
September 2.33% 1.55%
December, 2018 1.88% 1.65%
March, 2019 1.46% 1.66%
June 1.34% 1.66%
September 1.41% 1.66%
December, 2019 1.68% 1.68%
March, 2020 0.57% 0.21%
June 0.37% 0.21%
September 0.35% 0.14%
December, 2020 0.42% 0.08%
March, 2021 0.94% 0.09%
June 0.93% 0.13%
September 1.07% 0.13%
December, 2021 1.31% 0.16%
March, 2022 2.44% 0.53%
June 3.24% 2.11%
September 3.45% 3.60%
December, 2022 3.37% 4.35%
March 2.93% 4.44%
April, 2023 3.12% 4.48%

April 28, 2023

April 30th, 2023

So here’s the 2023-4-28 report, very late, but it’s here! I have all kinds of links to discuss, but they’ll just have to wait!

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 -0.0417 % 2,305.5
FixedFloater 0.00 % 0.00 % 0 0.00 0 -0.0417 % 4,422.0
Floater 9.77 % 9.96 % 36,089 9.54 2 -0.0417 % 2,548.4
OpRet 0.00 % 0.00 % 0 0.00 0 -0.1583 % 3,363.0
SplitShare 5.00 % 7.27 % 46,087 2.60 7 -0.1583 % 4,016.1
Interest-Bearing 0.00 % 0.00 % 0 0.00 0 -0.1583 % 3,133.5
Perpetual-Premium 0.00 % 0.00 % 0 0.00 0 0.2442 % 2,770.2
Perpetual-Discount 6.16 % 6.22 % 53,315 13.62 34 0.2442 % 3,020.7
FixedReset Disc 5.73 % 7.62 % 85,420 12.11 63 -0.1338 % 2,152.2
Insurance Straight 6.08 % 6.16 % 69,428 13.67 19 -0.1852 % 2,959.9
FloatingReset 10.38 % 10.83 % 52,529 8.89 2 0.0338 % 2,402.5
FixedReset Prem 6.92 % 6.53 % 327,468 12.86 1 0.1975 % 2,333.9
FixedReset Bank Non 0.00 % 0.00 % 0 0.00 0 -0.1338 % 2,200.0
FixedReset Ins Non 5.95 % 7.32 % 76,064 12.11 11 0.3247 % 2,342.1
Performance Highlights
Issue Index Change Notes
FTS.PR.H FixedReset Disc -2.27 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2053-04-28
Maturity Price : 12.51
Evaluated at bid price : 12.51
Bid-YTW : 8.42 %
MFC.PR.F FixedReset Ins Non -2.00 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2053-04-28
Maturity Price : 12.25
Evaluated at bid price : 12.25
Bid-YTW : 8.35 %
BN.PF.F FixedReset Disc -1.57 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2053-04-28
Maturity Price : 16.25
Evaluated at bid price : 16.25
Bid-YTW : 9.02 %
BMO.PR.F FixedReset Disc -1.24 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2053-04-28
Maturity Price : 23.27
Evaluated at bid price : 23.80
Bid-YTW : 6.86 %
BMO.PR.Y FixedReset Disc -1.22 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2053-04-28
Maturity Price : 17.80
Evaluated at bid price : 17.80
Bid-YTW : 7.60 %
BN.PF.H FixedReset Disc -1.19 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2053-04-28
Maturity Price : 20.70
Evaluated at bid price : 20.70
Bid-YTW : 8.38 %
TD.PF.D FixedReset Disc -1.10 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2053-04-28
Maturity Price : 18.00
Evaluated at bid price : 18.00
Bid-YTW : 7.62 %
IFC.PR.A FixedReset Ins Non 1.15 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2053-04-28
Maturity Price : 17.65
Evaluated at bid price : 17.65
Bid-YTW : 6.96 %
BN.PR.X FixedReset Disc 1.26 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2053-04-28
Maturity Price : 14.50
Evaluated at bid price : 14.50
Bid-YTW : 8.46 %
IFC.PR.C FixedReset Disc 1.51 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2053-04-28
Maturity Price : 18.15
Evaluated at bid price : 18.15
Bid-YTW : 7.32 %
TD.PF.B FixedReset Disc 3.94 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2053-04-28
Maturity Price : 17.15
Evaluated at bid price : 17.15
Bid-YTW : 7.67 %
MFC.PR.L FixedReset Ins Non 4.14 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2053-04-28
Maturity Price : 16.62
Evaluated at bid price : 16.62
Bid-YTW : 7.90 %
CU.PR.F Perpetual-Discount 5.89 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2053-04-28
Maturity Price : 19.05
Evaluated at bid price : 19.05
Bid-YTW : 6.02 %
Volume Highlights
Issue Index Shares
Traded
Notes
IFC.PR.A FixedReset Ins Non 50,100 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2053-04-28
Maturity Price : 17.65
Evaluated at bid price : 17.65
Bid-YTW : 6.96 %
BN.PF.F FixedReset Disc 25,000 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2053-04-28
Maturity Price : 16.25
Evaluated at bid price : 16.25
Bid-YTW : 9.02 %
PWF.PR.F Perpetual-Discount 23,654 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2053-04-28
Maturity Price : 21.39
Evaluated at bid price : 21.39
Bid-YTW : 6.18 %
TD.PF.A FixedReset Disc 20,865 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2053-04-28
Maturity Price : 17.00
Evaluated at bid price : 17.00
Bid-YTW : 7.65 %
RY.PR.Z FixedReset Disc 17,312 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2053-04-28
Maturity Price : 17.25
Evaluated at bid price : 17.25
Bid-YTW : 7.60 %
FTS.PR.H FixedReset Disc 11,800 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2053-04-28
Maturity Price : 12.51
Evaluated at bid price : 12.51
Bid-YTW : 8.42 %
There were 0 other index-included issues trading in excess of 10,000 shares.
Wide Spread Highlights
Issue Index Quote Data and Yield Notes
TRP.PR.E FixedReset Disc Quote: 15.25 – 17.45
Spot Rate : 2.2000
Average : 1.3871

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2053-04-28
Maturity Price : 15.25
Evaluated at bid price : 15.25
Bid-YTW : 8.74 %

CU.PR.G Perpetual-Discount Quote: 18.89 – 21.00
Spot Rate : 2.1100
Average : 1.7205

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2053-04-28
Maturity Price : 18.89
Evaluated at bid price : 18.89
Bid-YTW : 6.07 %

CM.PR.T FixedReset Disc Quote: 22.91 – 23.84
Spot Rate : 0.9300
Average : 0.5591

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2053-04-28
Maturity Price : 22.41
Evaluated at bid price : 22.91
Bid-YTW : 6.95 %

BIP.PR.E FixedReset Disc Quote: 21.86 – 22.94
Spot Rate : 1.0800
Average : 0.7371

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2053-04-28
Maturity Price : 21.54
Evaluated at bid price : 21.86
Bid-YTW : 7.30 %

FTS.PR.H FixedReset Disc Quote: 12.51 – 13.22
Spot Rate : 0.7100
Average : 0.4482

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2053-04-28
Maturity Price : 12.51
Evaluated at bid price : 12.51
Bid-YTW : 8.42 %

BMO.PR.T FixedReset Disc Quote: 17.05 – 17.75
Spot Rate : 0.7000
Average : 0.4833

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2053-04-28
Maturity Price : 17.05
Evaluated at bid price : 17.05
Bid-YTW : 7.67 %

MAPF Portfolio Composition: April, 2023

April 30th, 2023

Turnover remained low at 6% in April, with activitiy concentrated in the latter half of the month. With volatility and nervousness due to worries about financial stability, spreads were wide; in addition, high trading volumes in the early part of the year have left the portfolio in a highly optimized condition.

Sectoral distribution of the MAPF portfolio on April 28, 2023, were:

MAPF Sectoral Analysis 2023-4-28
HIMI Indices Sector Weighting YTW ModDur
Ratchet 0% N/A N/A
FixFloat 0% N/A N/A
Floater 0% N/A N/A
OpRet 0% N/A N/A
SplitShare 0% N/A N/A
Interest Rearing 0% N/A N/A
PerpetualPremium 0% N/A N/A
PerpetualDiscount 6.1% 6.77% 12.82
Fixed-Reset Discount 73.7% 8.14% 11.69
Insurance – Straight 0% N/A N/A
FloatingReset 0% N/A N/A
FixedReset Premium 0% N/A N/A
FixedReset Bank non-NVCC 0% N/A N/A
FixedReset Insurance non-NVCC 4.5% 8.21% 12.01
Scraps – Ratchet 1.3% 9.29 10.79
Scraps – FixedFloater 0.2% 8.34% 12.21
Scraps – Floater 0% N/A N/A
Scraps – OpRet 0% N/A N/A
Scraps – SplitShare 2.2% 9.72% 1.42
Scraps – PerpPrem 0% N/A N/A
Scraps – PerpDisc 0% N/A N/A
Scraps – FR Discount 5.6% 10.45% 9.94
Scraps – Insurance Straight 0% N/A N/A
Scraps – FloatingReset 0% N/A N/A
Scraps – FR Premium 0% N/A N/A
Scraps – Bank non-NVCC 0% N/A N/A
Scraps – Ins non-NVCC 5.8% 8.30% 11.87
Cash +0.5% 0.00% 0.00
Total 100% 8.21% 11.38
Totals and changes will not add precisely due to rounding. Cash is included in totals with duration and yield both equal to zero.
The various “Scraps” indices include issues with a DBRS rating of Pfd-3(high) or lower and issues with an Average Trading Value (calculated with HIMIPref™ methodology, which is relatively complex) of less than $25,000. The issues considered “Scraps” are subdivided into indices which reflect those of the main indices.
DeemedRetractibles were comprised of all Straight Perpetuals (both PerpetualDiscount and PerpetualPremium) issued by BMO, BNS, CM, ELF, GWO, HSB, IAG, MFC, NA, RY, SLF and TD, which are not exchangable into common at the option of the company or the regulator. These issues are analyzed as if their prospectuses included a requirement to redeem at par on or prior to 2022-1-31 in the case of banks or normally in the case of insurers and insurance holding companies, in addition to the call schedule explicitly defined. See the Deemed Retractible Review: September 2016 for the rationale behind this analysis and IAIS Says No To DeemedRetractions for the recent change in policy with respect to insurers.

Note that the estimate for the time this will become effective for insurers and insurance holding companies was extended by three years in April 2013, due to the delays in OSFI’s providing clarity on the issue and by a further five years in December, 2018; the estimate was eliminated in November. However, the distinctions are being kept because it is useful to distinguish insurance issues from others.

The name of this subindex has been changed to “Insurance Straight” as of November, 2020

Calculations of resettable instruments are performed assuming a constant GOC-5 rate of 3.12%, a constant 3-Month Bill rate of 4.48% and a constant Canada Prime Rate of 6.70%

The “total” reflects the un-leveraged total portfolio (i.e., cash is included in the portfolio calculations and is deemed to have a duration and yield of 0.00.). MAPF will often have relatively large cash balances, both credit and debit, to facilitate trading. Figures presented in the table have been rounded to the indicated precision.

Credit distribution is:

MAPF Credit Analysis 2023-4-28
DBRS Rating MAPF Weighting
Pfd-1 0
Pfd-1(low) 0
Pfd-2(high) 45.8%
Pfd-2 20.9%
Pfd-2(low) 23.4%
Pfd-3(high) 3.3%
Pfd-3 3.8%
Pfd-3(low) 1.6%
Pfd-4(high) 0.7%
Pfd-4 0%
Pfd-4(low) 0%
Pfd-5(high) 0%
Pfd-5 0%
Cash +0.5%
Totals will not add precisely due to rounding.
A position held in INE.PR.A is not rated by DBRS nor by S&P, but has been included as “Pfd-4(high)” in the above table on the basis of its last S&P rating of P-4(high) and its BB rating from Fitch. A “BB” rating would normally map to Pfd-3, but the company’s disdain for the two major preferred share agencies makes me nervous.

Liquidity Distribution is:

MAPF Liquidity Analysis 2023-4-28
Average Daily Trading MAPF Weighting
<$50,000 31.8%
$50,000 – $100,000 16.8%
$100,000 – $200,000 47.1%
$200,000 – $300,000 2.6%
>$300,000 1.2%
Cash +0.5%
Totals will not add precisely due to rounding.

The distribution of Issue Reset Spreads is:

Range MAPF Weight
<100bp 0%
100-149bp 9.9%
150-199bp 16.1%
200-249bp 58.4%
250-299bp 2.8%
300-349bp 2.3%
350-399bp 0%
400-449bp 0%
450-499bp 0%
500-549bp 0%
550-599bp 0%
>= 600bp 0%
Undefined 10.4%

Distribution of Floating Rate Start Dates is shown in the table below. This is the date of the next adjustment to the dividend rate, if the issue is currently paying a fixed rate for a limited time; which in practice is successive terms of 5 years. Issues that adjust quarterly are considered “Currently Floating”.

Range MAPF Weight
Currently Floating 1.3%
0-1 Year 0.4%
1-2 Years 57.4%
2-3 Years 19.6%
3-4 Years 12.2%
4-5 Years 0.2%
5-6 Years 0%
>6 Years 0%
Not Floating Rate 8.9%

MAPF is, of course, Malachite Aggressive Preferred Fund, a “unit trust” managed by Hymas Investment Management Inc. Further information and links to performance, audited financials and subscription information are available the fund’s web page. The fund may be purchased directly from Hymas Investment Management. A “unit trust” is like a regular mutual fund, but are not sold with a prospectus This is cheaper, but means subscription is restricted to “accredited investors” (as defined by the Ontario Securities Commission). Fund past performances are not a guarantee of future performance. You can lose money investing in MAPF or any other fund.

April 27, 2023

April 28th, 2023

Sorry this is so late! A month-end jam-up, coupled with a very enjoyable and excellent dinner with an old friend, conspired to cause delays. I won’t be posting the results for the 28th tonight, but I’ll catch up on the weekend, I promise! (… and there’s another month-end to do for the fund, too!)

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 -0.2079 % 2,306.5
FixedFloater 0.00 % 0.00 % 0 0.00 0 -0.2079 % 4,423.9
Floater 9.77 % 9.95 % 36,483 9.55 2 -0.2079 % 2,549.5
OpRet 0.00 % 0.00 % 0 0.00 0 0.2135 % 3,368.3
SplitShare 4.99 % 7.11 % 44,559 2.60 7 0.2135 % 4,022.5
Interest-Bearing 0.00 % 0.00 % 0 0.00 0 0.2135 % 3,138.5
Perpetual-Premium 0.00 % 0.00 % 0 0.00 0 0.0938 % 2,763.4
Perpetual-Discount 6.17 % 6.23 % 53,927 13.58 34 0.0938 % 3,013.4
FixedReset Disc 5.73 % 7.58 % 87,509 12.16 63 -0.0621 % 2,155.1
Insurance Straight 6.07 % 6.15 % 70,006 13.67 19 0.2734 % 2,965.4
FloatingReset 10.38 % 10.84 % 52,609 8.88 2 0.1015 % 2,401.7
FixedReset Prem 6.94 % 6.54 % 339,733 12.85 1 -0.4717 % 2,329.3
FixedReset Bank Non 0.00 % 0.00 % 0 0.00 0 -0.0621 % 2,203.0
FixedReset Ins Non 5.97 % 7.29 % 70,414 12.15 11 -0.0824 % 2,334.6
Performance Highlights
Issue Index Change Notes
TD.PF.B FixedReset Disc -4.29 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2053-04-27
Maturity Price : 16.50
Evaluated at bid price : 16.50
Bid-YTW : 7.97 %
MFC.PR.L FixedReset Ins Non -3.80 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2053-04-27
Maturity Price : 15.96
Evaluated at bid price : 15.96
Bid-YTW : 8.23 %
RY.PR.J FixedReset Disc -1.78 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2053-04-27
Maturity Price : 18.17
Evaluated at bid price : 18.17
Bid-YTW : 7.58 %
BN.PR.X FixedReset Disc -1.45 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2053-04-27
Maturity Price : 14.32
Evaluated at bid price : 14.32
Bid-YTW : 8.56 %
BN.PR.T FixedReset Disc -1.44 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2053-04-27
Maturity Price : 13.70
Evaluated at bid price : 13.70
Bid-YTW : 9.19 %
BN.PF.I FixedReset Disc -1.39 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2053-04-27
Maturity Price : 19.82
Evaluated at bid price : 19.82
Bid-YTW : 8.35 %
TD.PF.E FixedReset Disc -1.19 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2053-04-27
Maturity Price : 18.29
Evaluated at bid price : 18.29
Bid-YTW : 7.53 %
CM.PR.Q FixedReset Disc 1.01 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2053-04-27
Maturity Price : 18.01
Evaluated at bid price : 18.01
Bid-YTW : 7.60 %
MFC.PR.Q FixedReset Ins Non 1.18 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2053-04-27
Maturity Price : 19.78
Evaluated at bid price : 19.78
Bid-YTW : 7.29 %
GWO.PR.P Insurance Straight 1.31 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2053-04-27
Maturity Price : 21.43
Evaluated at bid price : 21.69
Bid-YTW : 6.29 %
TRP.PR.G FixedReset Disc 1.44 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2053-04-27
Maturity Price : 16.75
Evaluated at bid price : 16.75
Bid-YTW : 8.27 %
PWF.PR.T FixedReset Disc 1.45 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2053-04-27
Maturity Price : 17.47
Evaluated at bid price : 17.47
Bid-YTW : 7.81 %
IFC.PR.C FixedReset Disc 1.59 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2053-04-27
Maturity Price : 17.88
Evaluated at bid price : 17.88
Bid-YTW : 7.42 %
RY.PR.N Perpetual-Discount 1.61 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2053-04-27
Maturity Price : 21.52
Evaluated at bid price : 21.52
Bid-YTW : 5.70 %
MFC.PR.F FixedReset Ins Non 2.04 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2053-04-27
Maturity Price : 12.50
Evaluated at bid price : 12.50
Bid-YTW : 8.19 %
FTS.PR.H FixedReset Disc 2.32 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2053-04-27
Maturity Price : 12.80
Evaluated at bid price : 12.80
Bid-YTW : 8.24 %
BIP.PR.F FixedReset Disc 3.76 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2053-04-27
Maturity Price : 19.30
Evaluated at bid price : 19.30
Bid-YTW : 7.90 %
Volume Highlights
Issue Index Shares
Traded
Notes
TD.PF.D FixedReset Disc 71,727 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2053-04-27
Maturity Price : 18.20
Evaluated at bid price : 18.20
Bid-YTW : 7.53 %
RY.PR.J FixedReset Disc 69,036 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2053-04-27
Maturity Price : 18.17
Evaluated at bid price : 18.17
Bid-YTW : 7.58 %
NA.PR.W FixedReset Disc 61,892 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2053-04-27
Maturity Price : 16.88
Evaluated at bid price : 16.88
Bid-YTW : 7.72 %
BMO.PR.Y FixedReset Disc 48,521 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2053-04-27
Maturity Price : 18.02
Evaluated at bid price : 18.02
Bid-YTW : 7.51 %
NA.PR.C FixedReset Prem 47,103 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2053-04-27
Maturity Price : 23.30
Evaluated at bid price : 25.32
Bid-YTW : 6.54 %
BMO.PR.W FixedReset Disc 44,400 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2053-04-27
Maturity Price : 17.15
Evaluated at bid price : 17.15
Bid-YTW : 7.59 %
There were 9 other index-included issues trading in excess of 10,000 shares.
Wide Spread Highlights
Issue Index Quote Data and Yield Notes
MFC.PR.Q FixedReset Ins Non Quote: 19.78 – 22.50
Spot Rate : 2.7200
Average : 1.5239

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2053-04-27
Maturity Price : 19.78
Evaluated at bid price : 19.78
Bid-YTW : 7.29 %

CU.PR.G Perpetual-Discount Quote: 18.77 – 21.00
Spot Rate : 2.2300
Average : 1.2934

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2053-04-27
Maturity Price : 18.77
Evaluated at bid price : 18.77
Bid-YTW : 6.11 %

GWO.PR.T Insurance Straight Quote: 20.95 – 22.40
Spot Rate : 1.4500
Average : 1.0349

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2053-04-27
Maturity Price : 20.95
Evaluated at bid price : 20.95
Bid-YTW : 6.23 %

MFC.PR.L FixedReset Ins Non Quote: 15.96 – 17.08
Spot Rate : 1.1200
Average : 0.7579

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2053-04-27
Maturity Price : 15.96
Evaluated at bid price : 15.96
Bid-YTW : 8.23 %

TD.PF.B FixedReset Disc Quote: 16.50 – 17.39
Spot Rate : 0.8900
Average : 0.5334

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2053-04-27
Maturity Price : 16.50
Evaluated at bid price : 16.50
Bid-YTW : 7.97 %

FTS.PR.K FixedReset Disc Quote: 16.30 – 17.35
Spot Rate : 1.0500
Average : 0.7672

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2053-04-27
Maturity Price : 16.30
Evaluated at bid price : 16.30
Bid-YTW : 7.99 %

April 26, 2023

April 26th, 2023

TXPR closed at 548.04, down 0.51% on the day. Volume today was 918,780, third-lowest of the past 21 trading days.

CPD closed at 10.82, down 1.19% on the day. Volume was 73,500, above the median of the past 21 trading days.

ZPR closed at 8.97, down 0.99% on the day. Volume was 197,250, above the median of the past 21 trading days.

Five-year Canada yields up a bit to 3.01% today.

Bonds were basically quiet:

The Bank of Canada did not hike interest rates earlier this month because it wanted to see more evidence of the effects of previous monetary tightening on growth and inflation, a summary of deliberations from the policy meeting showed.

Canadian inflation excluding food and energy costs is expected to remain above 3% until the fourth quarter of this year, the median forecast of seven economists surveyed by Reuters showed, which could dash hopes of an early BoC shift to cutting interest rates.

Canadian government bond yields were higher across the curve, recouping some of the previous day’s decline. The 10-year rose 3.9 basis points to 2.849%. (Reporting by Fergal Smith)

Prof Claudia Buch, Vice-President of the Deutsche Bundesbank, gave a speech:

Spring has come, but whether the crypto-asset winter is over remains to be seen. Those who see crypto-assets mainly as a conduit for illegal and gambling activities would certainly hope that turbulent spells in markets for crypto-assets have provided a salutary lesson. Those who see productive potential in these new technologies would hope that these episodes help separate the wheat from the chaff.

Which of those views prevails is an open issue. Whether crypto-assets that promise to improve the provision of financial services ultimately deliver on those promises crucially depends on the regulatory response. Which services are useful, how market structures evolve, whether new entrants are able to challenge the incumbents, what risks are associated with this – all this is shaped by regulations that apply to crypto markets.

Today, I would like to focus on the financial stability implications of crypto-assets. So far, the crypto market has been small. Market capitalisation of crypto-assets stands around 0.2% of global financial assets.

However, if there is one thing we’ve learnt from the past, it is that even seemingly small pockets of distress can breed financial crises. Crypto-assets promise innovative ways of providing financial services, just as the securitisation of financial assets did in the 1990s. Securitisation was an innovation considered to improve the allocation of risks in the financial system. It, too, started small in the 1980s, only to grow to an annual issuance volume of approximately half of outstanding mortgage and consumer loans in 2007. Similarly, the US mortgage market was considered to be of relatively minor importance – only to send shockwaves through the global financial system in 2007-08.

Here’s an opinion on economic forecasting from former chief economist of ATB Financial Todd Hirsch:

No one knows this better than economists. I’ve spent most of the past three decades working on teams within various think tanks, companies and banks, trying to forecast the economy. And I’ve concluded that it’s a waste of time. Why?

First, we’re getting worse at it. The problem isn’t faulty mathematical models or econometric techniques. Rather, the problem is the growing number of things that hit us from out of the blue – the so-called “black swan” events that are, by definition, unforeseeable.

No one in 2019 predicted a pandemic. No one in 2021 predicted a massive ground war in Europe. No one in 2022 predicted a series of bank failures. (Yes, of course, some experts had warned of all of these things, but they were nowhere on economists’ radar.) The frequency of these sorts of events is growing at an alarming rate.

The idea that anyone can predict GDP growth to a tenth of a percentage point is hubris. A better strategy would be to prepare for any possibility. That, to a certain degree, is what economic forecasters do when we apply a “high, low and base-case” probability to a range of scenarios.

But by assigning one scenario the “base-case,” we’re still trying to convince ourselves that we can get the forecast correct. And that leads us right back to the start, where we lull ourselves into a false confidence.

Prepare for any outcome. Plan around multiple scenarios. Be ready to react swiftly as economic situations change. Don’t become complacent, thinking you know what’s going to happen.

I like this guy!

The New York Fed has updated its Corporate Bond Market Distress Index:

Corporate bond market functioning moved closer to historical norms over the month of April, with the end-of-month market-level CMDI above its historical median.

Market functioning in both the high-yield and investment-grade sectors remained roughly flat over the course of the month.

Looks like another scandal is brewing with construction loans:

The lawsuit claims StateView – founded in 2010 by brothers Dino and Carlo Taurasi with friend and chief financial officer Daniel Ciccone – repeatedly deposited cheques written on the RBC accounts into the TD accounts, and the Canadian Clearing and Settlement Systems (which handles transactions between financial institutions) conditionally credited the value of the cheques to the TD account “pending final settlement.”

TD alleges that before the transfer cleared, however, StateView moved the conditionally credited money out – either to a different account at another bank, or wire transferred it to a third party – and then stopped payment on the original RBC cheques. To avoid detection of this scheme, called cheque-kiting, TD further alleges StateView processed a large volume of “sham transactions” between other TD accounts.

In the wake of TD’s filings, StateView is facing demands for repayment from at least two other lenders that could see an unfinished townhouse project (Nao Towns Phase II in Markham, Ont., with 96 units) pushed into insolvency.

StateView also has several Ontario projects under construction, sold out or “fully reserved” that may now be subject to reorganization of StateView’s debts. Those include: High Crown Estates in King City (48 units), MiNu Towns in Markham (147 units), On the Mark in Markham (164 units), Elia Collection in Newmarket (72 units), Queen’s Court in Brampton (82 towns and detached homes), Elm & Co. in Stouffville (202 units) and BEA Towns in Barrie (218 units).

PerpetualDiscounts now yield 6.23%, equivalent to 8.10% interest at the standard equivalency factor of 1.3x. Long corporates yielded 4.97% on 2023-4-21 and since then the closing price has changed from 15.25 to 15.31, an increase of 39bp in price, with a Duration of 12.34 (BMO doesn’t specify whether this is Macaulay or Modified Duration; I will assume Modified) which implies a decrease in yield of about 3bp since 4/21 to 4.94%, so the pre-tax interest-equivalent spread (in this context, the “Seniority Spread”) has widened to about 315bp from the 300bp reported April 19.

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 0.1249 % 2,311.3
FixedFloater 0.00 % 0.00 % 0 0.00 0 0.1249 % 4,433.1
Floater 9.75 % 9.93 % 58,823 9.57 2 0.1249 % 2,554.8
OpRet 0.00 % 0.00 % 0 0.00 0 0.0427 % 3,361.1
SplitShare 5.00 % 7.13 % 44,209 2.60 7 0.0427 % 4,013.9
Interest-Bearing 0.00 % 0.00 % 0 0.00 0 0.0427 % 3,131.8
Perpetual-Premium 0.00 % 0.00 % 0 0.00 0 -0.2268 % 2,760.8
Perpetual-Discount 6.18 % 6.23 % 53,119 13.61 34 -0.2268 % 3,010.6
FixedReset Disc 5.72 % 7.58 % 89,630 12.15 63 -0.7294 % 2,156.4
Insurance Straight 6.08 % 6.16 % 72,749 13.67 19 -0.3906 % 2,957.3
FloatingReset 10.39 % 10.87 % 51,900 8.87 2 -0.2699 % 2,399.3
FixedReset Prem 6.91 % 6.50 % 322,172 12.89 1 0.1181 % 2,340.3
FixedReset Bank Non 0.00 % 0.00 % 0 0.00 0 -0.7294 % 2,204.3
FixedReset Ins Non 5.97 % 7.38 % 71,218 12.05 11 -0.1389 % 2,336.5
Performance Highlights
Issue Index Change Notes
BMO.PR.Y FixedReset Disc -3.79 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2053-04-26
Maturity Price : 18.04
Evaluated at bid price : 18.04
Bid-YTW : 7.59 %
RY.PR.M FixedReset Disc -3.17 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2053-04-26
Maturity Price : 17.43
Evaluated at bid price : 17.43
Bid-YTW : 7.57 %
RY.PR.N Perpetual-Discount -2.84 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2053-04-26
Maturity Price : 21.18
Evaluated at bid price : 21.18
Bid-YTW : 5.79 %
IFC.PR.C FixedReset Disc -2.76 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2053-04-26
Maturity Price : 17.60
Evaluated at bid price : 17.60
Bid-YTW : 7.53 %
GWO.PR.P Insurance Straight -2.68 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2053-04-26
Maturity Price : 21.41
Evaluated at bid price : 21.41
Bid-YTW : 6.39 %
GWO.PR.G Insurance Straight -2.41 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2053-04-26
Maturity Price : 21.08
Evaluated at bid price : 21.08
Bid-YTW : 6.25 %
CM.PR.P FixedReset Disc -2.39 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2053-04-26
Maturity Price : 17.13
Evaluated at bid price : 17.13
Bid-YTW : 7.60 %
BNS.PR.I FixedReset Disc -2.33 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2053-04-26
Maturity Price : 21.00
Evaluated at bid price : 21.00
Bid-YTW : 6.63 %
CU.PR.C FixedReset Disc -2.03 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2053-04-26
Maturity Price : 19.35
Evaluated at bid price : 19.35
Bid-YTW : 7.16 %
FTS.PR.M FixedReset Disc -1.98 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2053-04-26
Maturity Price : 16.86
Evaluated at bid price : 16.86
Bid-YTW : 8.18 %
CM.PR.O FixedReset Disc -1.96 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2053-04-26
Maturity Price : 17.53
Evaluated at bid price : 17.53
Bid-YTW : 7.57 %
RY.PR.Z FixedReset Disc -1.64 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2053-04-26
Maturity Price : 17.41
Evaluated at bid price : 17.41
Bid-YTW : 7.53 %
RY.PR.J FixedReset Disc -1.60 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2053-04-26
Maturity Price : 18.50
Evaluated at bid price : 18.50
Bid-YTW : 7.45 %
CM.PR.S FixedReset Disc -1.58 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2053-04-26
Maturity Price : 21.75
Evaluated at bid price : 21.75
Bid-YTW : 6.56 %
BN.PF.A FixedReset Disc -1.51 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2053-04-26
Maturity Price : 18.32
Evaluated at bid price : 18.32
Bid-YTW : 8.32 %
TRP.PR.B FixedReset Disc -1.38 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2053-04-26
Maturity Price : 10.70
Evaluated at bid price : 10.70
Bid-YTW : 9.32 %
BMO.PR.T FixedReset Disc -1.37 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2053-04-26
Maturity Price : 17.31
Evaluated at bid price : 17.31
Bid-YTW : 7.66 %
RY.PR.S FixedReset Disc -1.34 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2053-04-26
Maturity Price : 19.95
Evaluated at bid price : 19.95
Bid-YTW : 6.87 %
BMO.PR.S FixedReset Disc -1.25 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2053-04-26
Maturity Price : 18.12
Evaluated at bid price : 18.12
Bid-YTW : 7.51 %
TD.PF.A FixedReset Disc -1.21 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2053-04-26
Maturity Price : 17.15
Evaluated at bid price : 17.15
Bid-YTW : 7.58 %
TD.PF.B FixedReset Disc -1.20 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2053-04-26
Maturity Price : 17.24
Evaluated at bid price : 17.24
Bid-YTW : 7.63 %
RY.PR.O Perpetual-Discount -1.15 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2053-04-26
Maturity Price : 21.55
Evaluated at bid price : 21.55
Bid-YTW : 5.69 %
NA.PR.W FixedReset Disc -1.12 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2053-04-26
Maturity Price : 16.75
Evaluated at bid price : 16.75
Bid-YTW : 7.77 %
TD.PF.D FixedReset Disc -1.09 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2053-04-26
Maturity Price : 18.20
Evaluated at bid price : 18.20
Bid-YTW : 7.53 %
FTS.PR.H FixedReset Disc -1.03 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2053-04-26
Maturity Price : 12.51
Evaluated at bid price : 12.51
Bid-YTW : 8.42 %
TD.PF.J FixedReset Disc -1.01 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2053-04-26
Maturity Price : 21.94
Evaluated at bid price : 22.44
Bid-YTW : 6.50 %
POW.PR.B Perpetual-Discount 1.38 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2053-04-26
Maturity Price : 21.75
Evaluated at bid price : 22.00
Bid-YTW : 6.13 %
Volume Highlights
Issue Index Shares
Traded
Notes
TD.PF.I FixedReset Disc 50,700 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2053-04-26
Maturity Price : 23.13
Evaluated at bid price : 24.80
Bid-YTW : 6.19 %
BN.PF.C Perpetual-Discount 40,000 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2053-04-26
Maturity Price : 18.79
Evaluated at bid price : 18.79
Bid-YTW : 6.54 %
RY.PR.O Perpetual-Discount 35,789 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2053-04-26
Maturity Price : 21.55
Evaluated at bid price : 21.55
Bid-YTW : 5.69 %
TD.PF.E FixedReset Disc 34,120 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2053-04-26
Maturity Price : 18.51
Evaluated at bid price : 18.51
Bid-YTW : 7.45 %
TD.PF.K FixedReset Disc 29,600 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2053-04-26
Maturity Price : 20.89
Evaluated at bid price : 20.89
Bid-YTW : 6.84 %
RY.PR.Z FixedReset Disc 24,398 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2053-04-26
Maturity Price : 17.41
Evaluated at bid price : 17.41
Bid-YTW : 7.53 %
There were 10 other index-included issues trading in excess of 10,000 shares.
Wide Spread Highlights
Issue Index Quote Data and Yield Notes
PWF.PR.T FixedReset Disc Quote: 17.22 – 19.27
Spot Rate : 2.0500
Average : 1.2434

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2053-04-26
Maturity Price : 17.22
Evaluated at bid price : 17.22
Bid-YTW : 7.92 %

BIP.PR.E FixedReset Disc Quote: 21.86 – 22.94
Spot Rate : 1.0800
Average : 0.6584

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2053-04-26
Maturity Price : 21.54
Evaluated at bid price : 21.86
Bid-YTW : 7.30 %

MFC.PR.M FixedReset Ins Non Quote: 16.85 – 17.50
Spot Rate : 0.6500
Average : 0.4309

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2053-04-26
Maturity Price : 16.85
Evaluated at bid price : 16.85
Bid-YTW : 7.97 %

RY.PR.M FixedReset Disc Quote: 17.43 – 18.02
Spot Rate : 0.5900
Average : 0.3866

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2053-04-26
Maturity Price : 17.43
Evaluated at bid price : 17.43
Bid-YTW : 7.57 %

CM.PR.Q FixedReset Disc Quote: 17.83 – 18.95
Spot Rate : 1.1200
Average : 0.9397

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2053-04-26
Maturity Price : 17.83
Evaluated at bid price : 17.83
Bid-YTW : 7.67 %

ELF.PR.G Perpetual-Discount Quote: 18.91 – 19.58
Spot Rate : 0.6700
Average : 0.5152

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2053-04-26
Maturity Price : 18.91
Evaluated at bid price : 18.91
Bid-YTW : 6.34 %

April 25, 2023

April 25th, 2023

John C. Williams, President and Chief Executive Officer of the New York Fed, gave a speech:

So far, tighter monetary policy from the Federal Reserve and central banks around the world is helping to bring a better balance between supply and demand. Inflation has declined in a number of sectors, particularly for many categories of commodities and goods.

In addition, the supply-chain bottlenecks that had constrained the supply of goods have largely dissipated. For example, the New York Fed’s Global Supply Chain Pressure Index has declined to a level that indicates supply pressures are now actually somewhat lower than normal. 3 I hear the same from business leaders from around the Federal Reserve’s Second District, who confirm that supply chains have improved considerably.

At the same time, data on rents for new leases provide early signs of slowing inflation for shelter. This is important because shelter inflation had been a significant driver of higher inflation over the past year.

However, despite the moderation of inflation, imbalances endure, with overall demand still exceeding supply in the economy. This is seen in the inflation rate for core services excluding housing, which has been running around 4-1/2 percent since last August.

Because of the lag between policy actions and their effects, it will take some time for the FOMC’s actions to bring inflation down to our 2 percent target. With inflation expectations well anchored, I expect inflation to decline to around 3-1/4 percent this year, before moving to our longer-run goal over the next two years.

Turning to GDP, the data flow for the first quarter indicates that the economy continues to expand at a solid pace. I expect real GDP to grow modestly this year as tighter monetary policy continues to take effect, with growth picking up somewhat next year.

In addition, we are beginning to see some signs of cooling in the labor market. I expect slow growth will likely lead to some softening, with unemployment gradually rising to about 4 to 4-1/2 percent over the next year.

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 0.0833 % 2,308.4
FixedFloater 0.00 % 0.00 % 0 0.00 0 0.0833 % 4,427.5
Floater 9.76 % 9.93 % 38,395 9.57 2 0.0833 % 2,551.6
OpRet 0.00 % 0.00 % 0 0.00 0 0.4413 % 3,359.7
SplitShare 5.00 % 7.16 % 45,836 2.60 7 0.4413 % 4,012.2
Interest-Bearing 0.00 % 0.00 % 0 0.00 0 0.4413 % 3,130.5
Perpetual-Premium 0.00 % 0.00 % 0 0.00 0 0.0582 % 2,767.1
Perpetual-Discount 6.17 % 6.21 % 53,804 13.58 34 0.0582 % 3,017.4
FixedReset Disc 5.68 % 7.45 % 87,682 12.22 63 -0.3047 % 2,172.3
Insurance Straight 6.06 % 6.13 % 71,329 13.71 19 -0.1770 % 2,968.9
FloatingReset 10.37 % 10.81 % 50,755 8.91 2 -0.1684 % 2,405.8
FixedReset Prem 6.91 % 6.51 % 323,160 12.89 1 0.4348 % 2,337.6
FixedReset Bank Non 0.00 % 0.00 % 0 0.00 0 -0.3047 % 2,220.5
FixedReset Ins Non 5.96 % 7.38 % 71,717 12.05 11 0.1133 % 2,339.7
Performance Highlights
Issue Index Change Notes
CM.PR.Q FixedReset Disc -3.63 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2053-04-25
Maturity Price : 17.80
Evaluated at bid price : 17.80
Bid-YTW : 7.68 %
PWF.PR.T FixedReset Disc -3.43 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2053-04-25
Maturity Price : 17.15
Evaluated at bid price : 17.15
Bid-YTW : 7.95 %
CCS.PR.C Insurance Straight -2.66 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2053-04-25
Maturity Price : 20.10
Evaluated at bid price : 20.10
Bid-YTW : 6.30 %
RY.PR.H FixedReset Disc -2.32 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2053-04-25
Maturity Price : 17.25
Evaluated at bid price : 17.25
Bid-YTW : 7.61 %
BIP.PR.B FixedReset Disc -2.26 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2053-04-25
Maturity Price : 21.30
Evaluated at bid price : 21.60
Bid-YTW : 8.47 %
BN.PR.X FixedReset Disc -2.03 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2053-04-25
Maturity Price : 14.50
Evaluated at bid price : 14.50
Bid-YTW : 8.45 %
TRP.PR.A FixedReset Disc -1.71 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2053-04-25
Maturity Price : 13.80
Evaluated at bid price : 13.80
Bid-YTW : 8.91 %
POW.PR.B Perpetual-Discount -1.59 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2053-04-25
Maturity Price : 21.44
Evaluated at bid price : 21.70
Bid-YTW : 6.21 %
SLF.PR.E Insurance Straight -1.45 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2053-04-25
Maturity Price : 19.00
Evaluated at bid price : 19.00
Bid-YTW : 5.99 %
PWF.PR.P FixedReset Disc -1.27 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2053-04-25
Maturity Price : 12.40
Evaluated at bid price : 12.40
Bid-YTW : 8.37 %
CM.PR.O FixedReset Disc -1.22 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2053-04-25
Maturity Price : 17.88
Evaluated at bid price : 17.88
Bid-YTW : 7.43 %
FTS.PR.K FixedReset Disc -1.21 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2053-04-25
Maturity Price : 16.30
Evaluated at bid price : 16.30
Bid-YTW : 7.99 %
BN.PF.A FixedReset Disc -1.12 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2053-04-25
Maturity Price : 18.60
Evaluated at bid price : 18.60
Bid-YTW : 8.19 %
BMO.PR.W FixedReset Disc -1.07 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2053-04-25
Maturity Price : 17.51
Evaluated at bid price : 17.51
Bid-YTW : 7.54 %
BN.PR.R FixedReset Disc -1.03 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2053-04-25
Maturity Price : 13.41
Evaluated at bid price : 13.41
Bid-YTW : 9.23 %
BN.PR.T FixedReset Disc -1.00 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2053-04-25
Maturity Price : 13.85
Evaluated at bid price : 13.85
Bid-YTW : 9.09 %
CU.PR.C FixedReset Disc 1.02 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2053-04-25
Maturity Price : 19.75
Evaluated at bid price : 19.75
Bid-YTW : 7.02 %
PVS.PR.J SplitShare 1.46 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2028-02-29
Maturity Price : 25.00
Evaluated at bid price : 22.25
Bid-YTW : 7.32 %
PVS.PR.G SplitShare 1.50 % YTW SCENARIO
Maturity Type : Option Certainty
Maturity Date : 2026-02-28
Maturity Price : 25.00
Evaluated at bid price : 23.65
Bid-YTW : 7.33 %
NA.PR.W FixedReset Disc 2.67 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2053-04-25
Maturity Price : 16.94
Evaluated at bid price : 16.94
Bid-YTW : 7.69 %
GWO.PR.P Insurance Straight 2.76 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2053-04-25
Maturity Price : 21.75
Evaluated at bid price : 22.00
Bid-YTW : 6.20 %
FTS.PR.M FixedReset Disc 3.93 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2053-04-25
Maturity Price : 17.20
Evaluated at bid price : 17.20
Bid-YTW : 8.02 %
Volume Highlights
Issue Index Shares
Traded
Notes
FTS.PR.H FixedReset Disc 51,855 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2053-04-25
Maturity Price : 12.64
Evaluated at bid price : 12.64
Bid-YTW : 8.34 %
CU.PR.G Perpetual-Discount 42,700 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2053-04-25
Maturity Price : 18.85
Evaluated at bid price : 18.85
Bid-YTW : 6.08 %
NA.PR.S FixedReset Disc 37,965 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2053-04-25
Maturity Price : 17.70
Evaluated at bid price : 17.70
Bid-YTW : 7.70 %
BN.PF.D Perpetual-Discount 22,100 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2053-04-25
Maturity Price : 19.15
Evaluated at bid price : 19.15
Bid-YTW : 6.48 %
BN.PF.C Perpetual-Discount 19,919 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2053-04-25
Maturity Price : 18.83
Evaluated at bid price : 18.83
Bid-YTW : 6.52 %
TD.PF.C FixedReset Disc 13,900 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2053-04-25
Maturity Price : 17.21
Evaluated at bid price : 17.21
Bid-YTW : 7.56 %
There were 3 other index-included issues trading in excess of 10,000 shares.
Wide Spread Highlights
Issue Index Quote Data and Yield Notes
CCS.PR.C Insurance Straight Quote: 20.10 – 21.00
Spot Rate : 0.9000
Average : 0.6480

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2053-04-25
Maturity Price : 20.10
Evaluated at bid price : 20.10
Bid-YTW : 6.30 %

CM.PR.O FixedReset Disc Quote: 17.88 – 18.50
Spot Rate : 0.6200
Average : 0.3937

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2053-04-25
Maturity Price : 17.88
Evaluated at bid price : 17.88
Bid-YTW : 7.43 %

BIP.PR.F FixedReset Disc Quote: 18.60 – 19.75
Spot Rate : 1.1500
Average : 0.9485

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2053-04-25
Maturity Price : 18.60
Evaluated at bid price : 18.60
Bid-YTW : 8.19 %

MFC.PR.K FixedReset Ins Non Quote: 18.01 – 18.60
Spot Rate : 0.5900
Average : 0.4164

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2053-04-25
Maturity Price : 18.01
Evaluated at bid price : 18.01
Bid-YTW : 7.52 %

CU.PR.F Perpetual-Discount Quote: 17.99 – 19.13
Spot Rate : 1.1400
Average : 0.9699

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2053-04-25
Maturity Price : 17.99
Evaluated at bid price : 17.99
Bid-YTW : 6.37 %

PWF.PR.T FixedReset Disc Quote: 17.15 – 17.65
Spot Rate : 0.5000
Average : 0.3589

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2053-04-25
Maturity Price : 17.15
Evaluated at bid price : 17.15
Bid-YTW : 7.95 %

April 24, 2023

April 24th, 2023

TXPR closed at 551.68, down 0.92% on the day. Volume today was 1.31-million, above the median of the past 21 trading days.

CPD closed at 10.97, down 0.63% on the day. Volume was 43,660, far below the median of the past 21 trading days.

ZPR closed at 9.10, down 0.76% on the day. Volume was 91,610, third-lowest of the past 21 trading days.

Five-year Canada yields down to 3.09% today.

The BoC has released a Staff Working Paper by John Duffy, Janet Hua Jiang and Huan Xie titled Pricing Indefinitely Lived Assets: Experimental Evidence:

We study indefinitely lived assets in experimental markets and find that the traded prices of these assets are, on average, about 40% of the risk-neutral fundamental value. Neither uncertainty about the value of total dividend payments nor horizon uncertainty about the duration of trade can account for this low traded price. An Epstein and Zin (1989) recursive preference specification that models the dynamic realization of dividend payments and incorporates risk preferences can rationalize the low traded price observed in our indefinitely lived asset market.

In this paper, we study the trade of assets in an experimental market with indefinite horizons, consisting of an unknown number of periods. The first period begins with trade in the asset. Following trade, each unit of the asset pays its holder a fixed dividend. Thereafter, with a constant probability δ, traders’ holdings of the asset carry over to the next period, and in each new period, trade in the asset takes place and asset holders earn dividends per unit held. With probability 1 − δ, the asset ceases to exist; the asset market shuts down and the asset has no continuation value. This indefinite-horizon, or random-termination, design, initially proposed by Roth and Murnighan (1978), is the most commonly used approach in the laboratory to implementing infinite horizons with discounting.

Unlike most finite-horizon asset markets where the FV of the asset decreases over time, the stationarity associated with indefinite horizons implies that the FV of the indefinitely lived asset is constant over time.1 The stationarity associated with indefinite horizons may be a more natural setting for understanding asset pricing decisions.2

In our baseline treatment (treatment A), subjects trade in indefinite-horizon asset markets implemented by random termination (more precisely, a modified version of the block random termination scheme of Fréchette and Yuksel (2017)). In each period the market is open, subjects first trade units of a single asset. Once trading is concluded,
they receive dividend payments for each asset share they hold. Finally, a random number determines whether the asset market will continue to a new period. In each session, subjects participate in three indefinite-horizon markets (with different pre-drawn market lengths) to reveal the effect of experience, as in Smith et al. (1988). We find that traded prices are quite low, averaging around 40% of the standard FV, and they remain low even as traders gain experience. This result is rather surprising given that the vast majority of experimental asset market studies following the Smith et al. (1988) design find asset price bubbles, or prices greatly in excess of the standard FV, in the first market played, with approximate convergence to the standard FV within three market repetitions.

As a result, we conclude that neither uncertainty about the trading horizon nor uncertainty regarding total dividend payoffs can account for the low traded prices observed in the baseline treatment A relative to the other two treatments. Instead, the experimental results suggest that the dynamic realization of dividend payments plays a critical role in accounting for the low traded price in treatment A relative to the other two treatments. In treatment A, in each trading period, subjects receive dividend payments in the current period and face an uncertain continuation value in the future. In the other two treatments, as all dividend realizations are realized after the trading is completed, subjects are more likely to view the asset as a static lottery and care about the total dividend payments.

I’ve kind of butchered this here, not including a description of how “Treatment B” and “Treatment C” differ from “Treatment A”, so those interested will just have to read the paper. Still, this does offer food for thought in the context of the current low trading prices of the current FixedReset market; and of the absurdly high prices during the issuance boom of the early 2010s.

Who wants to tweak this game to be like the FixedReset market? Say, after each round there are four mutually exclusive possibilities:

  • an X% chance the game is over
  • a Y% chance the dividend rate goes up by 1 unit per share
  • another Y% chance the dividend rate goes down by 1 unit per share
  • a (100-X-2Y)% chance there is no change in the framework of the next round

Let the play-trading begin!

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 -0.8674 % 2,306.5
FixedFloater 0.00 % 0.00 % 0 0.00 0 -0.8674 % 4,423.9
Floater 9.77 % 9.94 % 40,023 9.56 2 -0.8674 % 2,549.5
OpRet 0.00 % 0.00 % 0 0.00 0 -0.1774 % 3,344.9
SplitShare 5.03 % 7.16 % 45,825 2.60 7 -0.1774 % 3,994.6
Interest-Bearing 0.00 % 0.00 % 0 0.00 0 -0.1774 % 3,116.7
Perpetual-Premium 0.00 % 0.00 % 0 0.00 0 -0.3336 % 2,765.5
Perpetual-Discount 6.17 % 6.23 % 53,898 13.61 34 -0.3336 % 3,015.6
FixedReset Disc 5.66 % 7.43 % 90,773 12.27 63 -0.2214 % 2,178.9
Insurance Straight 6.05 % 6.12 % 72,015 13.73 19 -0.2533 % 2,974.1
FloatingReset 10.35 % 10.82 % 51,266 8.91 2 1.3311 % 2,409.8
FixedReset Prem 6.94 % 6.54 % 327,977 12.85 1 -0.5894 % 2,327.4
FixedReset Bank Non 0.00 % 0.00 % 0 0.00 0 -0.2214 % 2,227.3
FixedReset Ins Non 5.97 % 7.35 % 74,674 12.09 11 -0.1696 % 2,337.1
Performance Highlights
Issue Index Change Notes
BIP.PR.F FixedReset Disc -5.25 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2053-04-24
Maturity Price : 18.60
Evaluated at bid price : 18.60
Bid-YTW : 8.19 %
FTS.PR.M FixedReset Disc -4.34 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2053-04-24
Maturity Price : 16.55
Evaluated at bid price : 16.55
Bid-YTW : 8.33 %
CU.PR.F Perpetual-Discount -4.05 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2053-04-24
Maturity Price : 17.99
Evaluated at bid price : 17.99
Bid-YTW : 6.37 %
BN.PF.B FixedReset Disc -3.50 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2053-04-24
Maturity Price : 16.26
Evaluated at bid price : 16.26
Bid-YTW : 8.85 %
NA.PR.W FixedReset Disc -3.17 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2053-04-24
Maturity Price : 16.50
Evaluated at bid price : 16.50
Bid-YTW : 7.89 %
GWO.PR.P Insurance Straight -3.08 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2053-04-24
Maturity Price : 21.41
Evaluated at bid price : 21.41
Bid-YTW : 6.39 %
BN.PF.F FixedReset Disc -2.30 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2053-04-24
Maturity Price : 16.60
Evaluated at bid price : 16.60
Bid-YTW : 8.83 %
BIK.PR.A FixedReset Disc -1.98 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2053-04-24
Maturity Price : 21.78
Evaluated at bid price : 22.25
Bid-YTW : 7.97 %
TD.PF.E FixedReset Disc -1.93 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2053-04-24
Maturity Price : 18.29
Evaluated at bid price : 18.29
Bid-YTW : 7.53 %
BN.PF.H FixedReset Disc -1.85 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2053-04-24
Maturity Price : 21.20
Evaluated at bid price : 21.20
Bid-YTW : 8.18 %
RY.PR.N Perpetual-Discount -1.81 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2053-04-24
Maturity Price : 21.63
Evaluated at bid price : 21.63
Bid-YTW : 5.67 %
IFC.PR.A FixedReset Ins Non -1.75 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2053-04-24
Maturity Price : 17.41
Evaluated at bid price : 17.41
Bid-YTW : 7.05 %
RY.PR.O Perpetual-Discount -1.71 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2053-04-24
Maturity Price : 21.76
Evaluated at bid price : 21.76
Bid-YTW : 5.64 %
PWF.PF.A Perpetual-Discount -1.55 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2053-04-24
Maturity Price : 18.40
Evaluated at bid price : 18.40
Bid-YTW : 6.15 %
MFC.PR.F FixedReset Ins Non -1.45 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2053-04-24
Maturity Price : 12.26
Evaluated at bid price : 12.26
Bid-YTW : 8.33 %
PVS.PR.J SplitShare -1.44 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2028-02-29
Maturity Price : 25.00
Evaluated at bid price : 21.93
Bid-YTW : 7.66 %
BN.PR.B Floater -1.15 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2053-04-24
Maturity Price : 11.99
Evaluated at bid price : 11.99
Bid-YTW : 9.96 %
TD.PF.L FixedReset Disc -1.01 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2053-04-24
Maturity Price : 23.05
Evaluated at bid price : 23.60
Bid-YTW : 6.72 %
BN.PR.X FixedReset Disc 1.02 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2053-04-24
Maturity Price : 14.80
Evaluated at bid price : 14.80
Bid-YTW : 8.28 %
BMO.PR.T FixedReset Disc 1.03 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2053-04-24
Maturity Price : 17.63
Evaluated at bid price : 17.63
Bid-YTW : 7.52 %
MFC.PR.B Insurance Straight 1.03 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2053-04-24
Maturity Price : 19.55
Evaluated at bid price : 19.55
Bid-YTW : 6.03 %
IFC.PR.K Perpetual-Discount 1.11 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2053-04-24
Maturity Price : 21.51
Evaluated at bid price : 21.80
Bid-YTW : 6.08 %
CM.PR.S FixedReset Disc 1.14 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2053-04-24
Maturity Price : 22.15
Evaluated at bid price : 22.15
Bid-YTW : 6.44 %
MFC.PR.K FixedReset Ins Non 1.40 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2053-04-24
Maturity Price : 18.11
Evaluated at bid price : 18.11
Bid-YTW : 7.47 %
RY.PR.Z FixedReset Disc 1.49 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2053-04-24
Maturity Price : 17.60
Evaluated at bid price : 17.60
Bid-YTW : 7.44 %
PWF.PR.P FixedReset Disc 1.54 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2053-04-24
Maturity Price : 12.56
Evaluated at bid price : 12.56
Bid-YTW : 8.27 %
BNS.PR.I FixedReset Disc 1.67 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2053-04-24
Maturity Price : 21.35
Evaluated at bid price : 21.35
Bid-YTW : 6.51 %
NA.PR.E FixedReset Disc 1.70 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2053-04-24
Maturity Price : 21.55
Evaluated at bid price : 21.55
Bid-YTW : 6.63 %
NA.PR.G FixedReset Disc 2.05 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2053-04-24
Maturity Price : 21.45
Evaluated at bid price : 21.45
Bid-YTW : 6.87 %
PWF.PR.T FixedReset Disc 2.07 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2053-04-24
Maturity Price : 17.76
Evaluated at bid price : 17.76
Bid-YTW : 7.68 %
BN.PF.A FixedReset Disc 2.23 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2053-04-24
Maturity Price : 18.81
Evaluated at bid price : 18.81
Bid-YTW : 8.10 %
TRP.PR.F FloatingReset 2.31 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2053-04-24
Maturity Price : 15.09
Evaluated at bid price : 15.09
Bid-YTW : 10.82 %
Volume Highlights
Issue Index Shares
Traded
Notes
CM.PR.O FixedReset Disc 126,364 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2053-04-24
Maturity Price : 18.10
Evaluated at bid price : 18.10
Bid-YTW : 7.34 %
CM.PR.P FixedReset Disc 67,700 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2053-04-24
Maturity Price : 17.55
Evaluated at bid price : 17.55
Bid-YTW : 7.41 %
TD.PF.J FixedReset Disc 37,996 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2053-04-24
Maturity Price : 22.07
Evaluated at bid price : 22.65
Bid-YTW : 6.43 %
RY.PR.J FixedReset Disc 37,709 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2053-04-24
Maturity Price : 18.75
Evaluated at bid price : 18.75
Bid-YTW : 7.35 %
ELF.PR.H Perpetual-Discount 31,301 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2053-04-24
Maturity Price : 21.49
Evaluated at bid price : 21.75
Bid-YTW : 6.37 %
MFC.PR.J FixedReset Ins Non 16,435 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2053-04-24
Maturity Price : 21.73
Evaluated at bid price : 22.13
Bid-YTW : 6.71 %
There were 9 other index-included issues trading in excess of 10,000 shares.
Wide Spread Highlights
Issue Index Quote Data and Yield Notes
IFC.PR.E Insurance Straight Quote: 21.58 – 24.00
Spot Rate : 2.4200
Average : 1.4588

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2053-04-24
Maturity Price : 21.58
Evaluated at bid price : 21.58
Bid-YTW : 6.10 %

BIP.PR.F FixedReset Disc Quote: 18.60 – 19.70
Spot Rate : 1.1000
Average : 0.7276

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2053-04-24
Maturity Price : 18.60
Evaluated at bid price : 18.60
Bid-YTW : 8.19 %

NA.PR.S FixedReset Disc Quote: 17.85 – 18.90
Spot Rate : 1.0500
Average : 0.7078

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2053-04-24
Maturity Price : 17.85
Evaluated at bid price : 17.85
Bid-YTW : 7.63 %

NA.PR.W FixedReset Disc Quote: 16.50 – 17.35
Spot Rate : 0.8500
Average : 0.5283

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2053-04-24
Maturity Price : 16.50
Evaluated at bid price : 16.50
Bid-YTW : 7.89 %

GWO.PR.P Insurance Straight Quote: 21.41 – 22.40
Spot Rate : 0.9900
Average : 0.6750

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2053-04-24
Maturity Price : 21.41
Evaluated at bid price : 21.41
Bid-YTW : 6.39 %

CU.PR.F Perpetual-Discount Quote: 17.99 – 19.05
Spot Rate : 1.0600
Average : 0.7833

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2053-04-24
Maturity Price : 17.99
Evaluated at bid price : 17.99
Bid-YTW : 6.37 %

April 21, 2023

April 21st, 2023

TXPR closed at 556.81, up 1.30% on the day. Volume today was 4.74-million, the highest by far of the past 21 trading days, more than 2.5 times that of the second-place day.

CPD closed at 11.04, up 0.64% on the day. Volume was 204,050, the highest by far of the past 21 trading days, about 2.5 times that of the second-place day.

ZPR closed at 9.17, up 1.44% on the day. Volume was 153,210, near the median of the past 21 trading days.

Five-year Canada yields down slightly to 3.12% today.
There was some news today but broader markets were pretty calm:

Equities showed little reaction to economic data in the form of S&P Global’s flash U.S. Composite PMI Output Index, which said U.S. business activity accelerated to an 11-month high in April.

Economic data in the euro zone also showed the region’s economic recovery unexpectedly gained steam this month, with HCOB’s flash Composite Purchasing Managers’ Index climbing to an 11-month high.

This week, economic reports have largely pointed to a slowing U.S. economy, although comments from a host of Fed officials have indicated the central bank is still likely to hike by 25 basis points at its May meeting. Markets are currently pricing in an 85.4% chance of a 25 basis point hike at the May policy announcement, according to CME’s FedWatch Tool.

The yield on 10-year Treasury notes was up 2.3 basis points to 3.568%.

The two-year U.S. Treasury yield, which typically moves in step with interest rate expectations, was up 0.7 basis points at 4.177%.

US Regulators are seeking to broaden the regulatory net:

The multi-regulator Financial Stability Oversight Council released the proposals for public comment just over a month after two regional bank failures sparked the biggest financial system contagion threat since the 2008 financial crisis.

U.S. Treasury Secretary Janet Yellen has raised concerns about non-bank financial institutions, including hedge funds, because of their lack of supervision and the potential for systemic spillovers from firms in distress.

Revisions to guidance on branding such firms as systemically important reverse some aspects of Trump-era changes in 2019 that made such designations more difficult.

Yellen said the new guidance removes some “inappropriate hurdles” to designating non-bank firms, causing the process to take up to six years.

“That is an unrealistic timeline that could prevent the Council from acting to address an emerging risk to financial stability before it’s too late,” she said in remarks to the FSOC meeting she chaired on Friday.

The new guidance drops 2019 requirements that FSOC assess the likelihood of a firm’s financial distress, apply an “activities-based approach” and conduct a cost benefit analysis prior to designation — which National Credit Union Administration Chair Todd described as a “Rube Goldberg-like process.”

These will be replaced with a quantitative and qualitative analysis process under which the council determines whether “material financial distress at the company or the company’s activities could pose a threat to U.S. financial stability,” a Treasury official told reporters, adding that it was not a complete return to 2012 guidance.

FSOC’s proposed new risk assessment framework aims to enhance the council’s ability to address financial stability risks by reviewing a broad range of asset classes, institutions and activities, according to a Treasury fact sheet.

These include markets for debt, loans, short-term funds equities, digital assets and derivatives; counterparties, payment and clearing systems; and financial entities including banking institutions, broker dealers, asset managers, investment firms, insurers, and mortgage originators and services.

The new framework also specifies vulnerabilities that FSOC and member regulators would consider when evaluating potential stability risks. These include leverage, liquidity risk and maturity mismatches, market interconnections and concentration, operation risks and risk management activities.

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 0.6234 % 2,326.7
FixedFloater 0.00 % 0.00 % 0 0.00 0 0.6234 % 4,462.6
Floater 9.69 % 9.84 % 63,981 9.66 2 0.6234 % 2,571.8
OpRet 0.00 % 0.00 % 0 0.00 0 0.0367 % 3,350.9
SplitShare 5.02 % 7.30 % 45,015 2.61 7 0.0367 % 4,001.7
Interest-Bearing 0.00 % 0.00 % 0 0.00 0 0.0367 % 3,122.3
Perpetual-Premium 0.00 % 0.00 % 0 0.00 0 0.4188 % 2,774.8
Perpetual-Discount 6.15 % 6.19 % 54,326 13.61 34 0.4188 % 3,025.7
FixedReset Disc 5.65 % 7.59 % 90,086 12.09 63 0.6886 % 2,183.8
Insurance Straight 6.03 % 6.10 % 71,845 13.75 19 0.4498 % 2,981.7
FloatingReset 10.49 % 11.06 % 49,702 8.75 2 -1.2471 % 2,378.2
FixedReset Prem 6.90 % 6.50 % 329,712 3.91 1 0.0000 % 2,341.2
FixedReset Bank Non 0.00 % 0.00 % 0 0.00 0 0.6886 % 2,232.3
FixedReset Ins Non 5.96 % 7.58 % 75,640 11.88 11 0.8084 % 2,341.1
Performance Highlights
Issue Index Change Notes
TRP.PR.F FloatingReset -1.34 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2053-04-21
Maturity Price : 14.75
Evaluated at bid price : 14.75
Bid-YTW : 11.06 %
MIC.PR.A Perpetual-Discount -1.22 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2053-04-21
Maturity Price : 20.30
Evaluated at bid price : 20.30
Bid-YTW : 6.73 %
SLF.PR.J FloatingReset -1.15 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2053-04-21
Maturity Price : 14.55
Evaluated at bid price : 14.55
Bid-YTW : 10.31 %
PWF.PR.Z Perpetual-Discount -1.14 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2053-04-21
Maturity Price : 20.76
Evaluated at bid price : 20.76
Bid-YTW : 6.24 %
FTS.PR.J Perpetual-Discount 1.06 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2053-04-21
Maturity Price : 20.05
Evaluated at bid price : 20.05
Bid-YTW : 6.03 %
RY.PR.H FixedReset Disc 1.08 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2053-04-21
Maturity Price : 17.86
Evaluated at bid price : 17.86
Bid-YTW : 7.63 %
BMO.PR.Y FixedReset Disc 1.08 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2053-04-21
Maturity Price : 18.65
Evaluated at bid price : 18.65
Bid-YTW : 7.49 %
GWO.PR.N FixedReset Ins Non 1.10 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2053-04-21
Maturity Price : 11.99
Evaluated at bid price : 11.99
Bid-YTW : 8.44 %
CU.PR.G Perpetual-Discount 1.14 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2053-04-21
Maturity Price : 18.71
Evaluated at bid price : 18.71
Bid-YTW : 6.12 %
MFC.PR.I FixedReset Ins Non 1.15 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2053-04-21
Maturity Price : 22.29
Evaluated at bid price : 22.96
Bid-YTW : 6.69 %
BMO.PR.W FixedReset Disc 1.15 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2053-04-21
Maturity Price : 17.65
Evaluated at bid price : 17.65
Bid-YTW : 7.66 %
TD.PF.B FixedReset Disc 1.15 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2053-04-21
Maturity Price : 17.59
Evaluated at bid price : 17.59
Bid-YTW : 7.65 %
FTS.PR.M FixedReset Disc 1.17 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2053-04-21
Maturity Price : 17.30
Evaluated at bid price : 17.30
Bid-YTW : 8.14 %
MFC.PR.F FixedReset Ins Non 1.22 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2053-04-21
Maturity Price : 12.44
Evaluated at bid price : 12.44
Bid-YTW : 8.42 %
MFC.PR.N FixedReset Ins Non 1.22 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2053-04-21
Maturity Price : 16.55
Evaluated at bid price : 16.55
Bid-YTW : 8.13 %
NA.PR.W FixedReset Disc 1.25 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2053-04-21
Maturity Price : 17.04
Evaluated at bid price : 17.04
Bid-YTW : 7.81 %
CU.PR.I FixedReset Disc 1.29 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2053-04-21
Maturity Price : 22.78
Evaluated at bid price : 23.50
Bid-YTW : 7.02 %
CCS.PR.C Insurance Straight 1.42 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2053-04-21
Maturity Price : 20.74
Evaluated at bid price : 20.74
Bid-YTW : 6.10 %
TD.PF.J FixedReset Disc 1.42 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2053-04-21
Maturity Price : 22.18
Evaluated at bid price : 22.83
Bid-YTW : 6.53 %
CU.PR.D Perpetual-Discount 1.44 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2053-04-21
Maturity Price : 20.40
Evaluated at bid price : 20.40
Bid-YTW : 6.11 %
TD.PF.A FixedReset Disc 1.45 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2053-04-21
Maturity Price : 17.55
Evaluated at bid price : 17.55
Bid-YTW : 7.57 %
TD.PF.C FixedReset Disc 1.57 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2053-04-21
Maturity Price : 17.47
Evaluated at bid price : 17.47
Bid-YTW : 7.62 %
NA.PR.S FixedReset Disc 1.67 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2053-04-21
Maturity Price : 17.70
Evaluated at bid price : 17.70
Bid-YTW : 7.88 %
RY.PR.O Perpetual-Discount 1.72 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2053-04-21
Maturity Price : 21.97
Evaluated at bid price : 22.45
Bid-YTW : 5.52 %
BN.PF.B FixedReset Disc 1.75 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2053-04-21
Maturity Price : 16.85
Evaluated at bid price : 16.85
Bid-YTW : 8.73 %
CM.PR.S FixedReset Disc 1.81 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2053-04-21
Maturity Price : 21.90
Evaluated at bid price : 21.90
Bid-YTW : 6.62 %
NA.PR.E FixedReset Disc 1.83 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2053-04-21
Maturity Price : 21.19
Evaluated at bid price : 21.19
Bid-YTW : 6.91 %
PWF.PF.A Perpetual-Discount 1.91 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2053-04-21
Maturity Price : 18.69
Evaluated at bid price : 18.69
Bid-YTW : 6.05 %
TRP.PR.E FixedReset Disc 2.32 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2053-04-21
Maturity Price : 15.45
Evaluated at bid price : 15.45
Bid-YTW : 8.82 %
CU.PR.C FixedReset Disc 2.41 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2053-04-21
Maturity Price : 19.54
Evaluated at bid price : 19.54
Bid-YTW : 7.22 %
IFC.PR.A FixedReset Ins Non 2.43 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2053-04-21
Maturity Price : 17.72
Evaluated at bid price : 17.72
Bid-YTW : 7.06 %
TRP.PR.G FixedReset Disc 2.44 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2053-04-21
Maturity Price : 16.82
Evaluated at bid price : 16.82
Bid-YTW : 8.49 %
BN.PF.F FixedReset Disc 2.66 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2053-04-21
Maturity Price : 16.99
Evaluated at bid price : 16.99
Bid-YTW : 8.80 %
BIP.PR.F FixedReset Disc 3.26 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2053-04-21
Maturity Price : 19.63
Evaluated at bid price : 19.63
Bid-YTW : 7.93 %
CU.PR.F Perpetual-Discount 4.22 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2053-04-21
Maturity Price : 18.75
Evaluated at bid price : 18.75
Bid-YTW : 6.11 %
Volume Highlights
Issue Index Shares
Traded
Notes
MFC.PR.K FixedReset Ins Non 238,995 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2053-04-21
Maturity Price : 17.86
Evaluated at bid price : 17.86
Bid-YTW : 7.77 %
TRP.PR.F FloatingReset 218,186 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2053-04-21
Maturity Price : 14.75
Evaluated at bid price : 14.75
Bid-YTW : 11.06 %
TD.PF.I FixedReset Disc 102,437 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2053-04-21
Maturity Price : 23.19
Evaluated at bid price : 24.99
Bid-YTW : 6.23 %
TD.PF.K FixedReset Disc 99,272 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2053-04-21
Maturity Price : 21.00
Evaluated at bid price : 21.00
Bid-YTW : 6.96 %
CU.PR.G Perpetual-Discount 48,125 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2053-04-21
Maturity Price : 18.71
Evaluated at bid price : 18.71
Bid-YTW : 6.12 %
TD.PF.C FixedReset Disc 35,576 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2053-04-21
Maturity Price : 17.47
Evaluated at bid price : 17.47
Bid-YTW : 7.62 %
There were 85 other index-included issues trading in excess of 10,000 shares.
Wide Spread Highlights
Issue Index Quote Data and Yield Notes
CM.PR.Q FixedReset Disc Quote: 18.46 – 20.40
Spot Rate : 1.9400
Average : 1.1254

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2053-04-21
Maturity Price : 18.46
Evaluated at bid price : 18.46
Bid-YTW : 7.56 %

BN.PR.M Perpetual-Discount Quote: 18.50 – 19.90
Spot Rate : 1.4000
Average : 0.8181

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2053-04-21
Maturity Price : 18.50
Evaluated at bid price : 18.50
Bid-YTW : 6.50 %

GWO.PR.Y Insurance Straight Quote: 18.81 – 20.00
Spot Rate : 1.1900
Average : 0.6978

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2053-04-21
Maturity Price : 18.81
Evaluated at bid price : 18.81
Bid-YTW : 6.05 %

GWO.PR.T Insurance Straight Quote: 21.19 – 22.40
Spot Rate : 1.2100
Average : 0.7421

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2053-04-21
Maturity Price : 21.19
Evaluated at bid price : 21.19
Bid-YTW : 6.15 %

BIP.PR.E FixedReset Disc Quote: 21.90 – 22.94
Spot Rate : 1.0400
Average : 0.6022

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2053-04-21
Maturity Price : 21.57
Evaluated at bid price : 21.90
Bid-YTW : 7.38 %

BMO.PR.T FixedReset Disc Quote: 17.45 – 19.28
Spot Rate : 1.8300
Average : 1.4465

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2053-04-21
Maturity Price : 17.45
Evaluated at bid price : 17.45
Bid-YTW : 7.78 %

April 20, 2023

April 20th, 2023
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 0.2082 % 2,312.3
FixedFloater 0.00 % 0.00 % 0 0.00 0 0.2082 % 4,434.9
Floater 9.75 % 9.90 % 61,669 9.61 2 0.2082 % 2,555.9
OpRet 0.00 % 0.00 % 0 0.00 0 -0.2503 % 3,349.7
SplitShare 5.02 % 7.19 % 46,570 2.61 7 -0.2503 % 4,000.2
Interest-Bearing 0.00 % 0.00 % 0 0.00 0 -0.2503 % 3,121.1
Perpetual-Premium 0.00 % 0.00 % 0 0.00 0 -0.1460 % 2,763.2
Perpetual-Discount 6.18 % 6.21 % 52,608 13.55 34 -0.1460 % 3,013.1
FixedReset Disc 5.69 % 7.66 % 84,603 12.00 63 0.3364 % 2,168.8
Insurance Straight 6.06 % 6.13 % 68,884 13.72 19 0.1390 % 2,968.3
FloatingReset 10.36 % 10.91 % 46,089 8.86 2 0.3043 % 2,408.2
FixedReset Prem 6.90 % 6.50 % 324,060 3.91 1 0.0000 % 2,341.2
FixedReset Bank Non 0.00 % 0.00 % 0 0.00 0 0.3364 % 2,217.0
FixedReset Ins Non 6.00 % 7.58 % 71,295 11.83 11 0.1245 % 2,322.3
Performance Highlights
Issue Index Change Notes
BIP.PR.F FixedReset Disc -3.40 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2053-04-20
Maturity Price : 19.01
Evaluated at bid price : 19.01
Bid-YTW : 8.18 %
GWO.PR.N FixedReset Ins Non -2.87 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2053-04-20
Maturity Price : 11.86
Evaluated at bid price : 11.86
Bid-YTW : 8.52 %
MIC.PR.A Perpetual-Discount -2.14 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2053-04-20
Maturity Price : 20.55
Evaluated at bid price : 20.55
Bid-YTW : 6.65 %
TRP.PR.E FixedReset Disc -1.95 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2053-04-20
Maturity Price : 15.10
Evaluated at bid price : 15.10
Bid-YTW : 9.02 %
PWF.PF.A Perpetual-Discount -1.93 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2053-04-20
Maturity Price : 18.34
Evaluated at bid price : 18.34
Bid-YTW : 6.17 %
TD.PF.D FixedReset Disc -1.08 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2053-04-20
Maturity Price : 18.25
Evaluated at bid price : 18.25
Bid-YTW : 7.66 %
TD.PF.M FixedReset Disc 1.05 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2053-04-20
Maturity Price : 23.65
Evaluated at bid price : 24.10
Bid-YTW : 6.93 %
CU.PR.I FixedReset Disc 1.09 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2053-04-20
Maturity Price : 22.61
Evaluated at bid price : 23.20
Bid-YTW : 7.12 %
TD.PF.J FixedReset Disc 1.17 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2053-04-20
Maturity Price : 21.98
Evaluated at bid price : 22.51
Bid-YTW : 6.63 %
TD.PF.B FixedReset Disc 1.22 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2053-04-20
Maturity Price : 17.39
Evaluated at bid price : 17.39
Bid-YTW : 7.73 %
RY.PR.H FixedReset Disc 1.26 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2053-04-20
Maturity Price : 17.67
Evaluated at bid price : 17.67
Bid-YTW : 7.71 %
FTS.PR.H FixedReset Disc 1.29 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2053-04-20
Maturity Price : 12.52
Evaluated at bid price : 12.52
Bid-YTW : 8.63 %
BN.PF.G FixedReset Disc 1.36 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2053-04-20
Maturity Price : 14.90
Evaluated at bid price : 14.90
Bid-YTW : 9.53 %
BMO.PR.Y FixedReset Disc 1.37 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2053-04-20
Maturity Price : 18.45
Evaluated at bid price : 18.45
Bid-YTW : 7.57 %
RY.PR.J FixedReset Disc 1.40 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2053-04-20
Maturity Price : 18.85
Evaluated at bid price : 18.85
Bid-YTW : 7.55 %
CM.PR.Q FixedReset Disc 1.42 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2053-04-20
Maturity Price : 18.52
Evaluated at bid price : 18.52
Bid-YTW : 7.54 %
RY.PR.Z FixedReset Disc 1.43 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2053-04-20
Maturity Price : 17.70
Evaluated at bid price : 17.70
Bid-YTW : 7.69 %
TRP.PR.B FixedReset Disc 1.51 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2053-04-20
Maturity Price : 10.77
Evaluated at bid price : 10.77
Bid-YTW : 9.50 %
RY.PR.M FixedReset Disc 2.60 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2053-04-20
Maturity Price : 18.16
Evaluated at bid price : 18.16
Bid-YTW : 7.51 %
Volume Highlights
Issue Index Shares
Traded
Notes
MFC.PR.J FixedReset Ins Non 162,517 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2053-04-20
Maturity Price : 21.63
Evaluated at bid price : 21.98
Bid-YTW : 6.87 %
MFC.PR.K FixedReset Ins Non 102,440 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2053-04-20
Maturity Price : 17.83
Evaluated at bid price : 17.83
Bid-YTW : 7.78 %
MFC.PR.Q FixedReset Ins Non 79,150 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2053-04-20
Maturity Price : 19.49
Evaluated at bid price : 19.49
Bid-YTW : 7.58 %
CM.PR.P FixedReset Disc 74,600 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2053-04-20
Maturity Price : 17.45
Evaluated at bid price : 17.45
Bid-YTW : 7.62 %
TD.PF.K FixedReset Disc 53,278 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2053-04-20
Maturity Price : 20.95
Evaluated at bid price : 20.95
Bid-YTW : 6.97 %
TD.PF.I FixedReset Disc 35,400 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2053-04-20
Maturity Price : 23.18
Evaluated at bid price : 24.96
Bid-YTW : 6.24 %
There were 8 other index-included issues trading in excess of 10,000 shares.
Wide Spread Highlights
Issue Index Quote Data and Yield Notes
RY.PR.J FixedReset Disc Quote: 18.85 – 25.00
Spot Rate : 6.1500
Average : 3.7025

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2053-04-20
Maturity Price : 18.85
Evaluated at bid price : 18.85
Bid-YTW : 7.55 %

BN.PF.G FixedReset Disc Quote: 14.90 – 16.90
Spot Rate : 2.0000
Average : 1.1447

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2053-04-20
Maturity Price : 14.90
Evaluated at bid price : 14.90
Bid-YTW : 9.53 %

CU.PR.E Perpetual-Discount Quote: 20.07 – 23.72
Spot Rate : 3.6500
Average : 2.8872

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2053-04-20
Maturity Price : 20.07
Evaluated at bid price : 20.07
Bid-YTW : 6.21 %

BN.PF.A FixedReset Disc Quote: 18.45 – 19.25
Spot Rate : 0.8000
Average : 0.4838

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2053-04-20
Maturity Price : 18.45
Evaluated at bid price : 18.45
Bid-YTW : 8.44 %

GWO.PR.N FixedReset Ins Non Quote: 11.86 – 12.48
Spot Rate : 0.6200
Average : 0.4311

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2053-04-20
Maturity Price : 11.86
Evaluated at bid price : 11.86
Bid-YTW : 8.52 %

MIC.PR.A Perpetual-Discount Quote: 20.55 – 21.40
Spot Rate : 0.8500
Average : 0.6707

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2053-04-20
Maturity Price : 20.55
Evaluated at bid price : 20.55
Bid-YTW : 6.65 %