Market Action

June 15, 2023

The clown show at Canaccord is taking an intermission:

Executives at Canaccord Genuity Group Inc. have officially scrapped their all-cash $1.1-billion management buyout offer, ending a fight that turned into a hostile takeover from within and resulted in the resignations of multiple board directors.

The investment dealer’s management team announced early Wednesday that they have let their bid to take the company private expire – an outcome they had previously warned could happen after disclosing a vague “ongoing regulatory matter” in one of Canaccord Genuity’s foreign subsidiaries. The team also said they have agreed to a two-year standstill with the board.

The company’s shares closed Wednesday at $8 a piece, dropping to roughly where they were trading when the takeover saga began five months ago.

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 2.2727 % 2,173.2
FixedFloater 0.00 % 0.00 % 0 0.00 0 2.2727 % 4,168.1
Floater 10.81 % 10.89 % 46,781 8.93 1 2.2727 % 2,402.1
OpRet 0.00 % 0.00 % 0 0.00 0 0.0873 % 3,289.4
SplitShare 5.10 % 8.16 % 42,873 2.21 6 0.0873 % 3,928.3
Interest-Bearing 0.00 % 0.00 % 0 0.00 0 0.0873 % 3,065.0
Perpetual-Premium 0.00 % 0.00 % 0 0.00 0 0.0863 % 2,634.9
Perpetual-Discount 6.47 % 6.65 % 40,544 12.92 31 0.0863 % 2,873.2
FixedReset Disc 5.83 % 8.34 % 85,691 11.30 63 0.3033 % 2,139.9
Insurance Straight 6.40 % 6.39 % 56,016 13.42 19 0.3103 % 2,811.7
FloatingReset 11.36 % 10.91 % 27,351 8.92 2 0.7578 % 2,374.1
FixedReset Prem 6.96 % 6.98 % 287,751 3.75 1 0.1984 % 2,322.8
FixedReset Bank Non 0.00 % 0.00 % 0 0.00 0 0.3033 % 2,187.4
FixedReset Ins Non 6.07 % 7.72 % 88,505 11.73 9 0.0543 % 2,340.4
Performance Highlights
Issue Index Change Notes
PVS.PR.G SplitShare -1.30 % YTW SCENARIO
Maturity Type : Option Certainty
Maturity Date : 2026-02-28
Maturity Price : 25.00
Evaluated at bid price : 22.85
Bid-YTW : 8.62 %
PWF.PR.L Perpetual-Discount -1.19 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2053-06-15
Maturity Price : 19.10
Evaluated at bid price : 19.10
Bid-YTW : 6.80 %
TD.PF.L FixedReset Disc 1.03 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2053-06-15
Maturity Price : 22.93
Evaluated at bid price : 23.53
Bid-YTW : 7.44 %
FTS.PR.H FixedReset Disc 1.07 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2053-06-15
Maturity Price : 12.28
Evaluated at bid price : 12.28
Bid-YTW : 9.60 %
BN.PF.A FixedReset Disc 1.08 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2053-06-15
Maturity Price : 18.72
Evaluated at bid price : 18.72
Bid-YTW : 8.91 %
GWO.PR.Y Insurance Straight 1.13 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2053-06-15
Maturity Price : 17.95
Evaluated at bid price : 17.95
Bid-YTW : 6.30 %
RY.PR.N Perpetual-Discount 1.16 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2053-06-15
Maturity Price : 21.85
Evaluated at bid price : 21.85
Bid-YTW : 5.67 %
FTS.PR.G FixedReset Disc 1.21 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2053-06-15
Maturity Price : 18.40
Evaluated at bid price : 18.40
Bid-YTW : 8.07 %
SLF.PR.J FloatingReset 1.37 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2053-06-15
Maturity Price : 14.75
Evaluated at bid price : 14.75
Bid-YTW : 10.91 %
PWF.PF.A Perpetual-Discount 1.41 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2053-06-15
Maturity Price : 17.30
Evaluated at bid price : 17.30
Bid-YTW : 6.62 %
BN.PF.G FixedReset Disc 1.47 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2053-06-15
Maturity Price : 14.45
Evaluated at bid price : 14.45
Bid-YTW : 10.46 %
RY.PR.O Perpetual-Discount 1.86 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2053-06-15
Maturity Price : 21.51
Evaluated at bid price : 21.88
Bid-YTW : 5.64 %
BN.PR.R FixedReset Disc 1.87 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2053-06-15
Maturity Price : 13.07
Evaluated at bid price : 13.07
Bid-YTW : 10.26 %
PVS.PR.K SplitShare 1.91 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2029-05-31
Maturity Price : 25.00
Evaluated at bid price : 21.35
Bid-YTW : 7.60 %
BN.PR.T FixedReset Disc 1.95 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2053-06-15
Maturity Price : 13.56
Evaluated at bid price : 13.56
Bid-YTW : 9.91 %
BN.PR.B Floater 2.27 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2053-06-15
Maturity Price : 11.25
Evaluated at bid price : 11.25
Bid-YTW : 10.89 %
BIP.PR.E FixedReset Disc 2.42 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2053-06-15
Maturity Price : 21.15
Evaluated at bid price : 21.15
Bid-YTW : 7.97 %
IFC.PR.F Insurance Straight 2.80 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2053-06-15
Maturity Price : 21.30
Evaluated at bid price : 21.30
Bid-YTW : 6.25 %
Volume Highlights
Issue Index Shares
Traded
Notes
IFC.PR.A FixedReset Ins Non 114,520 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2053-06-15
Maturity Price : 17.40
Evaluated at bid price : 17.40
Bid-YTW : 7.59 %
TD.PF.I FixedReset Disc 105,450 YTW SCENARIO
Maturity Type : Call
Maturity Date : 2027-10-31
Maturity Price : 25.00
Evaluated at bid price : 24.96
Bid-YTW : 6.60 %
RY.PR.J FixedReset Disc 51,600 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2053-06-15
Maturity Price : 18.45
Evaluated at bid price : 18.45
Bid-YTW : 8.25 %
PWF.PR.P FixedReset Disc 30,405 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2053-06-15
Maturity Price : 12.42
Evaluated at bid price : 12.42
Bid-YTW : 9.35 %
GWO.PR.N FixedReset Ins Non 22,700 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2053-06-15
Maturity Price : 12.10
Evaluated at bid price : 12.10
Bid-YTW : 9.00 %
MFC.PR.M FixedReset Ins Non 21,565 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2053-06-15
Maturity Price : 16.70
Evaluated at bid price : 16.70
Bid-YTW : 8.82 %
There were 6 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: 19.71 – 21.00
Spot Rate : 1.2900
Average : 0.9654

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2053-06-15
Maturity Price : 19.71
Evaluated at bid price : 19.71
Bid-YTW : 6.37 %

BN.PF.A FixedReset Disc Quote: 18.72 – 20.00
Spot Rate : 1.2800
Average : 0.9936

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2053-06-15
Maturity Price : 18.72
Evaluated at bid price : 18.72
Bid-YTW : 8.91 %

MFC.PR.N FixedReset Ins Non Quote: 16.20 – 17.00
Spot Rate : 0.8000
Average : 0.5424

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2053-06-15
Maturity Price : 16.20
Evaluated at bid price : 16.20
Bid-YTW : 8.91 %

MFC.PR.M FixedReset Ins Non Quote: 16.70 – 17.35
Spot Rate : 0.6500
Average : 0.4207

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2053-06-15
Maturity Price : 16.70
Evaluated at bid price : 16.70
Bid-YTW : 8.82 %

BIK.PR.A FixedReset Disc Quote: 23.10 – 23.60
Spot Rate : 0.5000
Average : 0.3542

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2053-06-15
Maturity Price : 22.52
Evaluated at bid price : 23.10
Bid-YTW : 8.22 %

BIP.PR.A FixedReset Disc Quote: 17.05 – 17.50
Spot Rate : 0.4500
Average : 0.3285

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2053-06-15
Maturity Price : 17.05
Evaluated at bid price : 17.05
Bid-YTW : 9.96 %

Market Action

June 14, 2023

The FOMC Statement was ‘steady as she goes’:

Recent indicators suggest that economic activity has continued to expand at a modest pace. Job gains have been robust in recent months, and the unemployment rate has remained low. Inflation remains elevated.

The U.S. banking system is sound and resilient. Tighter credit conditions for households and businesses are likely to weigh on economic activity, hiring, and inflation. The extent of these effects remains uncertain. The Committee remains highly attentive to inflation risks.

The Committee seeks to achieve maximum employment and inflation at the rate of 2 percent over the longer run. In support of these goals, the Committee decided to maintain the target range for the federal funds rate at 5 to 5-1/4 percent. Holding the target range steady at this meeting allows the Committee to assess additional information and its implications for monetary policy. In determining the extent of additional policy firming that may be appropriate to return inflation to 2 percent over time, the Committee will take into account the cumulative tightening of monetary policy, the lags with which monetary policy affects economic activity and inflation, and economic and financial developments. In addition, the Committee will continue reducing its holdings of Treasury securities and agency debt and agency mortgage-backed securities, as described in its previously announced plans. The Committee is strongly committed to returning inflation to its 2 percent objective.

In assessing the appropriate stance of monetary policy, the Committee will continue to monitor the implications of incoming information for the economic outlook. The Committee would be prepared to adjust the stance of monetary policy as appropriate if risks emerge that could impede the attainment of the Committee’s goals. The Committee’s assessments will take into account a wide range of information, including readings on labor market conditions, inflation pressures and inflation expectations, and financial and international developments.

Voting for the monetary policy action were Jerome H. Powell, Chair; John C. Williams, Vice Chair; Michael S. Barr; Michelle W. Bowman; Lisa D. Cook; Austan D. Goolsbee; Patrick Harker; Philip N. Jefferson; Neel Kashkari; Lorie K. Logan; and Christopher J. Waller.

PerpetualDiscounts now yield 6.68%, equivalent to 8.68% interest at the standard equivalency factor of 1.3x. Long corporates yielded 5.16% on 2023-6-9 and since then the closing price has changed from 14.94 to 14.87, a decrease of 47bp in price, with a Duration of 12.28 (BMO doesn’t specify whether this is Macaulay or Modified Duration; I will assume Modified) which implies an increase in yield of about 4bp since 6/9 to 5.20%, so the pre-tax interest-equivalent spread (in this context, the “Seniority Spread”) has widened sharply to about 350bp from the 325bp reported June 7.

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

Values are provisional and are finalized monthly
Index Mean
Current
Yield
(at bid)
Median
YTW
Median
Average
Trading
Value
Median
Mod Dur
(YTW)
Issues Day’s Perf. Index Value
Ratchet 0.00 % 0.00 % 0 0.00 0 0.0000 % 2,124.9
FixedFloater 0.00 % 0.00 % 0 0.00 0 0.0000 % 4,075.5
Floater 11.06 % 11.14 % 45,866 8.76 1 0.0000 % 2,348.7
OpRet 0.00 % 0.00 % 0 0.00 0 -0.2900 % 3,286.6
SplitShare 5.11 % 7.92 % 42,599 2.21 6 -0.2900 % 3,924.9
Interest-Bearing 0.00 % 0.00 % 0 0.00 0 -0.2900 % 3,062.3
Perpetual-Premium 0.00 % 0.00 % 0 0.00 0 -0.3957 % 2,632.6
Perpetual-Discount 6.48 % 6.68 % 40,884 12.90 31 -0.3957 % 2,870.8
FixedReset Disc 5.85 % 8.36 % 85,385 11.26 63 -0.1736 % 2,133.5
Insurance Straight 6.42 % 6.42 % 56,665 13.37 19 -0.4821 % 2,803.0
FloatingReset 11.45 % 11.06 % 26,975 8.82 2 0.2763 % 2,356.2
FixedReset Prem 6.97 % 7.02 % 299,369 3.75 1 -0.0397 % 2,318.2
FixedReset Bank Non 0.00 % 0.00 % 0 0.00 0 -0.1736 % 2,180.8
FixedReset Ins Non 6.07 % 7.68 % 89,011 11.77 9 -0.2589 % 2,339.2
Performance Highlights
Issue Index Change Notes
TRP.PR.G FixedReset Disc -2.02 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2053-06-14
Maturity Price : 16.00
Evaluated at bid price : 16.00
Bid-YTW : 9.45 %
SLF.PR.E Insurance Straight -1.94 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2053-06-14
Maturity Price : 18.20
Evaluated at bid price : 18.20
Bid-YTW : 6.21 %
GWO.PR.Y Insurance Straight -1.50 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2053-06-14
Maturity Price : 17.75
Evaluated at bid price : 17.75
Bid-YTW : 6.37 %
GWO.PR.P Insurance Straight -1.42 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2053-06-14
Maturity Price : 20.11
Evaluated at bid price : 20.11
Bid-YTW : 6.75 %
CU.PR.C FixedReset Disc -1.38 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2053-06-14
Maturity Price : 17.91
Evaluated at bid price : 17.91
Bid-YTW : 8.29 %
PVS.PR.K SplitShare -1.18 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2029-05-31
Maturity Price : 25.00
Evaluated at bid price : 20.95
Bid-YTW : 7.98 %
PWF.PF.A Perpetual-Discount -1.16 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2053-06-14
Maturity Price : 17.06
Evaluated at bid price : 17.06
Bid-YTW : 6.71 %
BN.PF.A FixedReset Disc -1.02 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2053-06-14
Maturity Price : 18.52
Evaluated at bid price : 18.52
Bid-YTW : 9.01 %
FTS.PR.K FixedReset Disc 1.23 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2053-06-14
Maturity Price : 16.45
Evaluated at bid price : 16.45
Bid-YTW : 8.78 %
PWF.PR.P FixedReset Disc 1.40 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2053-06-14
Maturity Price : 12.30
Evaluated at bid price : 12.30
Bid-YTW : 9.43 %
BN.PR.Z FixedReset Disc 1.46 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2053-06-14
Maturity Price : 19.10
Evaluated at bid price : 19.10
Bid-YTW : 8.54 %
BN.PF.I FixedReset Disc 1.49 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2053-06-14
Maturity Price : 19.15
Evaluated at bid price : 19.15
Bid-YTW : 9.08 %
TD.PF.M FixedReset Disc 1.56 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2053-06-14
Maturity Price : 23.52
Evaluated at bid price : 24.02
Bid-YTW : 7.49 %
TD.PF.I FixedReset Disc 1.63 % YTW SCENARIO
Maturity Type : Call
Maturity Date : 2027-10-31
Maturity Price : 25.00
Evaluated at bid price : 24.91
Bid-YTW : 6.65 %
PWF.PR.L Perpetual-Discount 1.74 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2053-06-14
Maturity Price : 19.33
Evaluated at bid price : 19.33
Bid-YTW : 6.71 %
IFC.PR.F Insurance Straight 1.80 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2053-06-14
Maturity Price : 20.72
Evaluated at bid price : 20.72
Bid-YTW : 6.42 %
IFC.PR.C FixedReset Disc 1.83 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2053-06-14
Maturity Price : 17.35
Evaluated at bid price : 17.35
Bid-YTW : 8.25 %
BN.PR.B Floater 2.22 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2053-06-14
Maturity Price : 11.00
Evaluated at bid price : 11.00
Bid-YTW : 11.14 %
Volume Highlights
Issue Index Shares
Traded
Notes
CM.PR.Q FixedReset Disc 77,198 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2053-06-14
Maturity Price : 17.96
Evaluated at bid price : 17.96
Bid-YTW : 8.39 %
BN.PF.A FixedReset Disc 60,908 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2053-06-14
Maturity Price : 18.52
Evaluated at bid price : 18.52
Bid-YTW : 9.01 %
TD.PF.A FixedReset Disc 55,557 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2053-06-14
Maturity Price : 17.53
Evaluated at bid price : 17.53
Bid-YTW : 8.27 %
MFC.PR.M FixedReset Ins Non 40,144 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2053-06-14
Maturity Price : 16.65
Evaluated at bid price : 16.65
Bid-YTW : 8.84 %
TD.PF.K FixedReset Disc 32,462 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2053-06-14
Maturity Price : 21.81
Evaluated at bid price : 22.27
Bid-YTW : 7.14 %
PWF.PR.L Perpetual-Discount 31,515 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2053-06-14
Maturity Price : 19.33
Evaluated at bid price : 19.33
Bid-YTW : 6.71 %
There were 10 other index-included issues trading in excess of 10,000 shares.
Wide Spread Highlights
Issue Index Quote Data and Yield Notes
TD.PF.L FixedReset Disc Quote: 23.29 – 24.10
Spot Rate : 0.8100
Average : 0.5061

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2053-06-14
Maturity Price : 22.71
Evaluated at bid price : 23.29
Bid-YTW : 7.52 %

PVS.PR.I SplitShare Quote: 23.03 – 23.95
Spot Rate : 0.9200
Average : 0.6616

YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-10-31
Maturity Price : 25.00
Evaluated at bid price : 23.03
Bid-YTW : 8.56 %

BN.PF.G FixedReset Disc Quote: 14.24 – 15.25
Spot Rate : 1.0100
Average : 0.7685

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2053-06-14
Maturity Price : 14.24
Evaluated at bid price : 14.24
Bid-YTW : 10.60 %

BN.PF.J FixedReset Disc Quote: 21.05 – 21.93
Spot Rate : 0.8800
Average : 0.6523

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2053-06-14
Maturity Price : 21.05
Evaluated at bid price : 21.05
Bid-YTW : 7.92 %

BN.PR.X FixedReset Disc Quote: 14.00 – 14.55
Spot Rate : 0.5500
Average : 0.3625

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2053-06-14
Maturity Price : 14.00
Evaluated at bid price : 14.00
Bid-YTW : 9.43 %

RY.PR.O Perpetual-Discount Quote: 21.48 – 22.19
Spot Rate : 0.7100
Average : 0.5323

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2053-06-14
Maturity Price : 21.48
Evaluated at bid price : 21.48
Bid-YTW : 5.77 %

Market Action

June 13, 2023

US inflation numbers came out today:

The Consumer Price Index climbed 4 percent in the year through May, slightly less than the 4.1 percent economists had expected and the slowest pace in more than two years. In April, it had climbed 4.9 percent.

After stripping out food and fuel prices, the closely watched measure of “core” prices picked up 5.3 percent in May compared with a year earlier. That was slightly higher than the 5.2 percent economists had expected, but lower than 5.5 percent the previous month.

Still, there were lingering signs that inflation has staying power. Fed officials also monitor month-to-month changes in prices, particularly for the core index, to get a sense of the recent trends in inflation. That figure continued to pick up at an unusually quick pace in May.

Rents were up 8.7 percent in May from a year earlier, the Labor Department said Tuesday, down slightly from the 8.8 percent increase in April. That might not sound like much, but it’s the first time the year-over-year rate of rent increases has fallen in roughly two years. Over the past three months, rents have risen at their slowest rate since early 2022.

… and I still have no time!

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 -3.5088 % 2,124.9
FixedFloater 0.00 % 0.00 % 0 0.00 0 -3.5088 % 4,075.5
Floater 11.06 % 11.47 % 44,858 8.34 1 -3.5088 % 2,348.7
OpRet 0.00 % 0.00 % 0 0.00 0 -0.3612 % 3,296.1
SplitShare 5.09 % 7.72 % 41,570 2.21 6 -0.3612 % 3,936.3
Interest-Bearing 0.00 % 0.00 % 0 0.00 0 -0.3612 % 3,071.3
Perpetual-Premium 0.00 % 0.00 % 0 0.00 0 0.4758 % 2,643.1
Perpetual-Discount 6.45 % 6.65 % 41,125 12.95 31 0.4758 % 2,882.2
FixedReset Disc 5.84 % 8.37 % 85,472 11.27 63 0.3274 % 2,137.2
Insurance Straight 6.39 % 6.48 % 56,039 13.29 19 0.2063 % 2,816.5
FloatingReset 11.48 % 11.09 % 26,096 8.80 2 0.8008 % 2,349.7
FixedReset Prem 6.97 % 7.01 % 309,610 3.76 1 -0.0397 % 2,319.2
FixedReset Bank Non 0.00 % 0.00 % 0 0.00 0 0.3274 % 2,184.6
FixedReset Ins Non 6.05 % 7.66 % 88,691 11.73 9 0.2656 % 2,345.2
Performance Highlights
Issue Index Change Notes
BN.PR.B Floater -3.51 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2053-06-13
Maturity Price : 11.00
Evaluated at bid price : 11.00
Bid-YTW : 11.47 %
IFC.PR.F Insurance Straight -3.36 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2053-06-13
Maturity Price : 20.68
Evaluated at bid price : 20.68
Bid-YTW : 6.56 %
BN.PF.G FixedReset Disc -1.69 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2053-06-13
Maturity Price : 14.50
Evaluated at bid price : 14.50
Bid-YTW : 10.57 %
PVS.PR.I SplitShare -1.28 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-10-31
Maturity Price : 25.00
Evaluated at bid price : 23.06
Bid-YTW : 8.49 %
PVS.PR.J SplitShare -1.14 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2028-02-29
Maturity Price : 25.00
Evaluated at bid price : 21.65
Bid-YTW : 7.92 %
BIP.PR.B FixedReset Disc -1.10 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2053-06-13
Maturity Price : 21.27
Evaluated at bid price : 21.56
Bid-YTW : 8.94 %
PWF.PR.H Perpetual-Discount 1.02 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2053-06-13
Maturity Price : 21.62
Evaluated at bid price : 21.87
Bid-YTW : 6.68 %
BMO.PR.F FixedReset Disc 1.05 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2053-06-13
Maturity Price : 23.44
Evaluated at bid price : 24.00
Bid-YTW : 7.48 %
BN.PF.I FixedReset Disc 1.05 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2053-06-13
Maturity Price : 19.20
Evaluated at bid price : 19.20
Bid-YTW : 9.22 %
CM.PR.T FixedReset Disc 1.09 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2053-06-13
Maturity Price : 22.68
Evaluated at bid price : 23.25
Bid-YTW : 7.54 %
FTS.PR.G FixedReset Disc 1.12 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2053-06-13
Maturity Price : 18.10
Evaluated at bid price : 18.10
Bid-YTW : 8.20 %
TD.PF.L FixedReset Disc 1.14 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2053-06-13
Maturity Price : 22.60
Evaluated at bid price : 23.16
Bid-YTW : 7.56 %
MFC.PR.K FixedReset Ins Non 1.16 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2053-06-13
Maturity Price : 19.15
Evaluated at bid price : 19.15
Bid-YTW : 7.83 %
FTS.PR.H FixedReset Disc 1.17 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2053-06-13
Maturity Price : 12.10
Evaluated at bid price : 12.10
Bid-YTW : 9.72 %
CM.PR.Y FixedReset Disc 1.24 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2053-06-13
Maturity Price : 23.22
Evaluated at bid price : 23.74
Bid-YTW : 7.64 %
TD.PF.B FixedReset Disc 1.26 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2053-06-13
Maturity Price : 17.72
Evaluated at bid price : 17.72
Bid-YTW : 8.29 %
BMO.PR.S FixedReset Disc 1.30 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2053-06-13
Maturity Price : 17.90
Evaluated at bid price : 17.90
Bid-YTW : 8.38 %
TD.PF.A FixedReset Disc 1.32 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2053-06-13
Maturity Price : 17.60
Evaluated at bid price : 17.60
Bid-YTW : 8.24 %
BN.PF.J FixedReset Disc 1.33 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2053-06-13
Maturity Price : 21.33
Evaluated at bid price : 21.33
Bid-YTW : 7.98 %
TD.PF.C FixedReset Disc 1.33 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2053-06-13
Maturity Price : 17.50
Evaluated at bid price : 17.50
Bid-YTW : 8.28 %
SLF.PR.J FloatingReset 1.40 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2053-06-13
Maturity Price : 14.51
Evaluated at bid price : 14.51
Bid-YTW : 11.09 %
RY.PR.Z FixedReset Disc 1.44 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2053-06-13
Maturity Price : 17.65
Evaluated at bid price : 17.65
Bid-YTW : 8.33 %
POW.PR.C Perpetual-Discount 1.52 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2053-06-13
Maturity Price : 22.50
Evaluated at bid price : 22.76
Bid-YTW : 6.49 %
MFC.PR.M FixedReset Ins Non 1.52 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2053-06-13
Maturity Price : 16.70
Evaluated at bid price : 16.70
Bid-YTW : 8.81 %
PWF.PR.K Perpetual-Discount 1.77 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2053-06-13
Maturity Price : 18.95
Evaluated at bid price : 18.95
Bid-YTW : 6.65 %
CCS.PR.C Insurance Straight 1.81 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2053-06-13
Maturity Price : 19.65
Evaluated at bid price : 19.65
Bid-YTW : 6.39 %
BIP.PR.A FixedReset Disc 2.04 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2053-06-13
Maturity Price : 17.00
Evaluated at bid price : 17.00
Bid-YTW : 9.98 %
MIC.PR.A Perpetual-Discount 2.14 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2053-06-13
Maturity Price : 20.50
Evaluated at bid price : 20.50
Bid-YTW : 6.75 %
SLF.PR.E Insurance Straight 3.11 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2053-06-13
Maturity Price : 18.56
Evaluated at bid price : 18.56
Bid-YTW : 6.09 %
BN.PF.B FixedReset Disc 3.24 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2053-06-13
Maturity Price : 16.23
Evaluated at bid price : 16.23
Bid-YTW : 9.82 %
PWF.PR.L Perpetual-Discount 5.56 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2053-06-13
Maturity Price : 19.00
Evaluated at bid price : 19.00
Bid-YTW : 6.83 %
Volume Highlights
Issue Index Shares
Traded
Notes
BMO.PR.Y FixedReset Disc 42,300 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2053-06-13
Maturity Price : 17.81
Evaluated at bid price : 17.81
Bid-YTW : 8.38 %
FTS.PR.M FixedReset Disc 38,270 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2053-06-13
Maturity Price : 16.65
Evaluated at bid price : 16.65
Bid-YTW : 9.06 %
TD.PF.C FixedReset Disc 36,600 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2053-06-13
Maturity Price : 17.50
Evaluated at bid price : 17.50
Bid-YTW : 8.28 %
BN.PF.B FixedReset Disc 35,335 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2053-06-13
Maturity Price : 16.23
Evaluated at bid price : 16.23
Bid-YTW : 9.82 %
CM.PR.S FixedReset Disc 32,057 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2053-06-13
Maturity Price : 20.85
Evaluated at bid price : 20.85
Bid-YTW : 7.43 %
TRP.PR.D FixedReset Disc 31,180 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2053-06-13
Maturity Price : 15.52
Evaluated at bid price : 15.52
Bid-YTW : 9.81 %
There were 15 other index-included issues trading in excess of 10,000 shares.
Wide Spread Highlights
Issue Index Quote Data and Yield Notes
CU.PR.C FixedReset Disc Quote: 18.16 – 22.72
Spot Rate : 4.5600
Average : 3.6784

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2053-06-13
Maturity Price : 18.16
Evaluated at bid price : 18.16
Bid-YTW : 8.18 %

IFC.PR.C FixedReset Disc Quote: 17.25 – 18.49
Spot Rate : 1.2400
Average : 0.7615

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2053-06-13
Maturity Price : 17.25
Evaluated at bid price : 17.25
Bid-YTW : 8.40 %

BN.PF.A FixedReset Disc Quote: 19.03 – 20.00
Spot Rate : 0.9700
Average : 0.6242

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2053-06-13
Maturity Price : 19.03
Evaluated at bid price : 19.03
Bid-YTW : 8.92 %

BN.PR.M Perpetual-Discount Quote: 17.50 – 18.35
Spot Rate : 0.8500
Average : 0.5670

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2053-06-13
Maturity Price : 17.50
Evaluated at bid price : 17.50
Bid-YTW : 6.95 %

CCS.PR.C Insurance Straight Quote: 19.65 – 21.00
Spot Rate : 1.3500
Average : 1.0694

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2053-06-13
Maturity Price : 19.65
Evaluated at bid price : 19.65
Bid-YTW : 6.39 %

IFC.PR.F Insurance Straight Quote: 20.68 – 21.68
Spot Rate : 1.0000
Average : 0.8085

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2053-06-13
Maturity Price : 20.68
Evaluated at bid price : 20.68
Bid-YTW : 6.56 %

Market Action

June 12, 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 1.3333 % 2,202.1
FixedFloater 0.00 % 0.00 % 0 0.00 0 1.3333 % 4,223.7
Floater 10.67 % 11.05 % 45,367 8.62 1 1.3333 % 2,434.1
OpRet 0.00 % 0.00 % 0 0.00 0 -0.4199 % 3,308.1
SplitShare 4.87 % 7.64 % 41,994 2.22 7 -0.4199 % 3,950.6
Interest-Bearing 0.00 % 0.00 % 0 0.00 0 -0.4199 % 3,082.4
Perpetual-Premium 0.00 % 0.00 % 0 0.00 0 -0.3863 % 2,630.6
Perpetual-Discount 6.49 % 6.67 % 40,513 12.93 31 -0.3863 % 2,868.5
FixedReset Disc 5.86 % 8.39 % 79,830 11.26 63 0.0254 % 2,130.2
Insurance Straight 6.40 % 6.50 % 56,193 13.26 19 -0.4969 % 2,810.7
FloatingReset 11.57 % 12.07 % 56,477 8.19 2 -0.4506 % 2,331.1
FixedReset Prem 6.97 % 6.99 % 310,059 3.76 1 0.0794 % 2,320.1
FixedReset Bank Non 0.00 % 0.00 % 0 0.00 0 0.0254 % 2,177.5
FixedReset Ins Non 6.07 % 7.68 % 87,346 11.73 9 0.0242 % 2,339.0
Performance Highlights
Issue Index Change Notes
PWF.PR.L Perpetual-Discount -6.15 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2053-06-12
Maturity Price : 18.00
Evaluated at bid price : 18.00
Bid-YTW : 7.22 %
BN.PF.B FixedReset Disc -5.42 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2053-06-12
Maturity Price : 15.72
Evaluated at bid price : 15.72
Bid-YTW : 10.14 %
SLF.PR.E Insurance Straight -2.70 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2053-06-12
Maturity Price : 18.00
Evaluated at bid price : 18.00
Bid-YTW : 6.28 %
PWF.PR.K Perpetual-Discount -2.36 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2053-06-12
Maturity Price : 18.62
Evaluated at bid price : 18.62
Bid-YTW : 6.76 %
ELF.PR.F Perpetual-Discount -2.22 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2053-06-12
Maturity Price : 19.36
Evaluated at bid price : 19.36
Bid-YTW : 6.99 %
PVS.PR.K SplitShare -2.08 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2029-05-31
Maturity Price : 25.00
Evaluated at bid price : 21.20
Bid-YTW : 7.73 %
MFC.PR.M FixedReset Ins Non -1.79 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2053-06-12
Maturity Price : 16.45
Evaluated at bid price : 16.45
Bid-YTW : 8.94 %
ELF.PR.H Perpetual-Discount -1.78 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2053-06-12
Maturity Price : 20.36
Evaluated at bid price : 20.36
Bid-YTW : 6.89 %
BIP.PR.E FixedReset Disc -1.67 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2053-06-12
Maturity Price : 20.65
Evaluated at bid price : 20.65
Bid-YTW : 8.16 %
GWO.PR.S Insurance Straight -1.44 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2053-06-12
Maturity Price : 19.85
Evaluated at bid price : 19.85
Bid-YTW : 6.64 %
TD.PF.L FixedReset Disc -1.29 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2053-06-12
Maturity Price : 22.18
Evaluated at bid price : 22.90
Bid-YTW : 7.64 %
CCS.PR.C Insurance Straight -1.28 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2053-06-12
Maturity Price : 19.30
Evaluated at bid price : 19.30
Bid-YTW : 6.50 %
GWO.PR.P Insurance Straight -1.17 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2053-06-12
Maturity Price : 20.26
Evaluated at bid price : 20.26
Bid-YTW : 6.69 %
GWO.PR.Q Insurance Straight -1.17 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2053-06-12
Maturity Price : 19.47
Evaluated at bid price : 19.47
Bid-YTW : 6.64 %
TRP.PR.C FixedReset Disc -1.11 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2053-06-12
Maturity Price : 10.65
Evaluated at bid price : 10.65
Bid-YTW : 10.77 %
BIK.PR.A FixedReset Disc -1.08 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2053-06-12
Maturity Price : 22.24
Evaluated at bid price : 23.00
Bid-YTW : 8.25 %
BMO.PR.S FixedReset Disc -1.01 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2053-06-12
Maturity Price : 17.67
Evaluated at bid price : 17.67
Bid-YTW : 8.49 %
BN.PR.Z FixedReset Disc 1.15 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2053-06-12
Maturity Price : 19.37
Evaluated at bid price : 19.37
Bid-YTW : 8.60 %
CM.PR.O FixedReset Disc 1.17 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2053-06-12
Maturity Price : 17.30
Evaluated at bid price : 17.30
Bid-YTW : 8.56 %
GWO.PR.N FixedReset Ins Non 1.28 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2053-06-12
Maturity Price : 11.90
Evaluated at bid price : 11.90
Bid-YTW : 9.13 %
BN.PR.B Floater 1.33 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2053-06-12
Maturity Price : 11.40
Evaluated at bid price : 11.40
Bid-YTW : 11.05 %
BN.PF.D Perpetual-Discount 1.42 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2053-06-12
Maturity Price : 17.86
Evaluated at bid price : 17.86
Bid-YTW : 7.03 %
BN.PF.J FixedReset Disc 1.45 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2053-06-12
Maturity Price : 21.05
Evaluated at bid price : 21.05
Bid-YTW : 8.08 %
IFC.PR.F Insurance Straight 1.47 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2053-06-12
Maturity Price : 21.40
Evaluated at bid price : 21.40
Bid-YTW : 6.33 %
FTS.PR.K FixedReset Disc 1.82 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2053-06-12
Maturity Price : 16.25
Evaluated at bid price : 16.25
Bid-YTW : 8.88 %
TRP.PR.G FixedReset Disc 2.06 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2053-06-12
Maturity Price : 16.33
Evaluated at bid price : 16.33
Bid-YTW : 9.27 %
CM.PR.P FixedReset Disc 2.30 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2053-06-12
Maturity Price : 16.90
Evaluated at bid price : 16.90
Bid-YTW : 8.56 %
RY.PR.S FixedReset Disc 3.02 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2053-06-12
Maturity Price : 20.10
Evaluated at bid price : 20.10
Bid-YTW : 7.64 %
NA.PR.W FixedReset Disc 4.32 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2053-06-12
Maturity Price : 16.90
Evaluated at bid price : 16.90
Bid-YTW : 8.58 %
Volume Highlights
Issue Index Shares
Traded
Notes
CM.PR.Q FixedReset Disc 19,700 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2053-06-12
Maturity Price : 18.00
Evaluated at bid price : 18.00
Bid-YTW : 8.37 %
TRP.PR.E FixedReset Disc 16,900 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2053-06-12
Maturity Price : 15.15
Evaluated at bid price : 15.15
Bid-YTW : 9.81 %
TRP.PR.F FloatingReset 15,300 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2053-06-12
Maturity Price : 14.41
Evaluated at bid price : 14.41
Bid-YTW : 12.07 %
TRP.PR.D FixedReset Disc 13,900 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2053-06-12
Maturity Price : 15.50
Evaluated at bid price : 15.50
Bid-YTW : 9.82 %
RY.PR.H FixedReset Disc 11,200 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2053-06-12
Maturity Price : 17.51
Evaluated at bid price : 17.51
Bid-YTW : 8.39 %
BIP.PR.F FixedReset Disc 10,200 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2053-06-12
Maturity Price : 19.10
Evaluated at bid price : 19.10
Bid-YTW : 8.66 %
There were 0 other index-included issues trading in excess of 10,000 shares.
Wide Spread Highlights
Issue Index Quote Data and Yield Notes
CU.PR.C FixedReset Disc Quote: 18.00 – 22.72
Spot Rate : 4.7200
Average : 2.7117

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2053-06-12
Maturity Price : 18.00
Evaluated at bid price : 18.00
Bid-YTW : 8.25 %

PWF.PR.L Perpetual-Discount Quote: 18.00 – 19.79
Spot Rate : 1.7900
Average : 1.3908

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2053-06-12
Maturity Price : 18.00
Evaluated at bid price : 18.00
Bid-YTW : 7.22 %

BN.PF.B FixedReset Disc Quote: 15.72 – 16.70
Spot Rate : 0.9800
Average : 0.5852

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2053-06-12
Maturity Price : 15.72
Evaluated at bid price : 15.72
Bid-YTW : 10.14 %

CM.PR.T FixedReset Disc Quote: 23.00 – 23.84
Spot Rate : 0.8400
Average : 0.4890

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2053-06-12
Maturity Price : 22.46
Evaluated at bid price : 23.00
Bid-YTW : 7.62 %

BN.PF.E FixedReset Disc Quote: 14.40 – 15.00
Spot Rate : 0.6000
Average : 0.4303

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2053-06-12
Maturity Price : 14.40
Evaluated at bid price : 14.40
Bid-YTW : 10.34 %

GWO.PR.S Insurance Straight Quote: 19.85 – 20.39
Spot Rate : 0.5400
Average : 0.4006

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2053-06-12
Maturity Price : 19.85
Evaluated at bid price : 19.85
Bid-YTW : 6.64 %

PrefLetter

June PrefLetter Released

The June, 2023, edition of PrefLetter has been released and is now available for purchase as the “Previous edition”. Those who subscribe for a full year receive the “Previous edition” as a bonus.

PrefLetter may now be purchased by all Canadian residents.

Until further notice, the “previous” edition will refer to the June, 2023, issue, while the “next” edition will be the July, 2023, issue scheduled to be prepared as of the close July 14, and emailed to subscribers prior to the market-opening on July 17. Prefletter is intended for long term investors seeking issues to buy-and-hold. At least one recommendation from each of the major preferred share sectors is included and discussed.

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

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

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

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

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

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

Note: Assiduous Reader DG informs me:

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

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

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

But Adrian2 now advises:

Well, as of now, FileApp is free (again?).

Issue Comments

LBS.PR.A To Extend Term

Brompton Group has announced (on 2023-4-4):

Life & Banc Split Corp. (the “Company”) is pleased to announce that the board of directors has approved an extension of the maturity date of the Class A and Preferred shares of the Company for an additional 5-year term to October 30, 2028. The Preferred share dividend rate for the extended term will be announced at least 60 days prior to the original October 30, 2023 maturity date and will be based on market yields for preferred shares with similar terms at that time. The 5-year term extension allows Class A shareholders to continue to invest in the Canadian financials sector with an attractive distribution rate of 13.7% based on the April 3, 2023 closing price and the opportunity for capital appreciation. As well, the extension of the term of the Company is not a taxable event and enables shareholders to defer potential capital gains tax liability that would have otherwise been realized on the redemption of the Class A shares or Preferred shares at the end of the term, until such time as such shares are disposed of by shareholders.

Since inception on October 17, 2006 to February 28, 2022, the Class A shares have delivered a 10.5% per annum total return, outperforming the S&P/TSX Capped Financials Index by 2.3% per annum and the S&P/TSX Composite Index by 4.2% per annum.(1) Since inception to February 28, 2023, Class A shareholders have received cash distributions of $17.85 per share. Class A shareholders also have the option to reinvest their cash distributions in a dividend reinvestment plan which is commission free to participants.

The term extension offers Preferred shareholders the opportunity to enjoy preferential cash dividends until October 30, 2028. Since inception, the Preferred shares have delivered a 5.2% per annum total return, outperforming the S&P/TSX Preferred Share Index by 3.3% per annum with lower volatility.(1) The Company invests, on an approximately equal weighted basisin a portfolio consisting of common shares of the six largest Canadian banks (currently, Bank of Montreal, Canadian Imperial Bank of Commerce, National Bank of Canada, Royal Bank of Canada, The Bank of Nova Scotia and The Toronto-Dominion Bank) and the four major publicly traded Canadian life insurance companies (currently, iA Financial Corporation Inc., Sun Life Financial Inc., Manulife Financial Corp. and Great-West Lifeco Inc.).

Market Action

June 9, 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 0.4464 % 2,173.2
FixedFloater 0.00 % 0.00 % 0 0.00 0 0.4464 % 4,168.1
Floater 10.42 % 10.78 % 46,012 8.82 1 0.4464 % 2,402.1
OpRet 0.00 % 0.00 % 0 0.00 0 0.0914 % 3,322.0
SplitShare 4.85 % 7.56 % 42,129 2.23 7 0.0914 % 3,967.2
Interest-Bearing 0.00 % 0.00 % 0 0.00 0 0.0914 % 3,095.4
Perpetual-Premium 0.00 % 0.00 % 0 0.00 0 0.0796 % 2,640.8
Perpetual-Discount 6.46 % 6.61 % 41,106 12.98 31 0.0796 % 2,879.6
FixedReset Disc 5.86 % 8.40 % 80,851 11.28 63 0.0710 % 2,129.7
Insurance Straight 6.37 % 6.42 % 57,520 13.35 19 0.3442 % 2,824.8
FloatingReset 11.52 % 11.94 % 53,007 8.27 2 0.6629 % 2,341.6
FixedReset Prem 6.97 % 7.00 % 313,636 3.77 1 -0.1980 % 2,318.2
FixedReset Bank Non 0.00 % 0.00 % 0 0.00 0 0.0710 % 2,176.9
FixedReset Ins Non 6.07 % 7.69 % 87,505 11.75 9 0.0121 % 2,338.5
Performance Highlights
Issue Index Change Notes
NA.PR.W FixedReset Disc -4.42 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2053-06-09
Maturity Price : 16.20
Evaluated at bid price : 16.20
Bid-YTW : 8.94 %
BN.PF.J FixedReset Disc -3.49 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2053-06-09
Maturity Price : 20.75
Evaluated at bid price : 20.75
Bid-YTW : 8.19 %
TRP.PR.A FixedReset Disc -2.58 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2053-06-09
Maturity Price : 13.20
Evaluated at bid price : 13.20
Bid-YTW : 10.16 %
CM.PR.P FixedReset Disc -2.25 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2053-06-09
Maturity Price : 16.52
Evaluated at bid price : 16.52
Bid-YTW : 8.75 %
BN.PF.I FixedReset Disc -1.91 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2053-06-09
Maturity Price : 19.04
Evaluated at bid price : 19.04
Bid-YTW : 9.29 %
RY.PR.M FixedReset Disc -1.77 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2053-06-09
Maturity Price : 17.25
Evaluated at bid price : 17.25
Bid-YTW : 8.42 %
IFC.PR.F Insurance Straight -1.36 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2053-06-09
Maturity Price : 21.09
Evaluated at bid price : 21.09
Bid-YTW : 6.42 %
BN.PF.D Perpetual-Discount -1.34 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2053-06-09
Maturity Price : 17.61
Evaluated at bid price : 17.61
Bid-YTW : 7.13 %
GWO.PR.H Insurance Straight -1.22 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2053-06-09
Maturity Price : 18.60
Evaluated at bid price : 18.60
Bid-YTW : 6.54 %
CCS.PR.C Insurance Straight -1.21 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2053-06-09
Maturity Price : 19.55
Evaluated at bid price : 19.55
Bid-YTW : 6.42 %
MFC.PR.I FixedReset Ins Non -1.11 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2053-06-09
Maturity Price : 21.36
Evaluated at bid price : 21.36
Bid-YTW : 7.56 %
TD.PF.B FixedReset Disc 1.16 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2053-06-09
Maturity Price : 17.50
Evaluated at bid price : 17.50
Bid-YTW : 8.38 %
CU.PR.C FixedReset Disc 1.18 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2053-06-09
Maturity Price : 18.07
Evaluated at bid price : 18.07
Bid-YTW : 8.21 %
IFC.PR.C FixedReset Disc 1.18 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2053-06-09
Maturity Price : 17.20
Evaluated at bid price : 17.20
Bid-YTW : 8.42 %
BMO.PR.T FixedReset Disc 1.19 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2053-06-09
Maturity Price : 17.00
Evaluated at bid price : 17.00
Bid-YTW : 8.59 %
TD.PF.D FixedReset Disc 1.23 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2053-06-09
Maturity Price : 18.05
Evaluated at bid price : 18.05
Bid-YTW : 8.35 %
TD.PF.K FixedReset Disc 1.36 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2053-06-09
Maturity Price : 21.84
Evaluated at bid price : 22.31
Bid-YTW : 7.11 %
TD.PF.C FixedReset Disc 1.47 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2053-06-09
Maturity Price : 17.23
Evaluated at bid price : 17.23
Bid-YTW : 8.40 %
GWO.PR.P Insurance Straight 1.49 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2053-06-09
Maturity Price : 20.50
Evaluated at bid price : 20.50
Bid-YTW : 6.61 %
TRP.PR.B FixedReset Disc 1.57 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2053-06-09
Maturity Price : 10.36
Evaluated at bid price : 10.36
Bid-YTW : 10.75 %
TD.PF.E FixedReset Disc 1.67 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2053-06-09
Maturity Price : 18.30
Evaluated at bid price : 18.30
Bid-YTW : 8.25 %
BIP.PR.E FixedReset Disc 1.69 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2053-06-09
Maturity Price : 21.00
Evaluated at bid price : 21.00
Bid-YTW : 8.01 %
CM.PR.T FixedReset Disc 2.00 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2053-06-09
Maturity Price : 22.46
Evaluated at bid price : 23.00
Bid-YTW : 7.61 %
MFC.PR.M FixedReset Ins Non 2.51 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2053-06-09
Maturity Price : 16.75
Evaluated at bid price : 16.75
Bid-YTW : 8.78 %
PWF.PR.L Perpetual-Discount 6.56 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2053-06-09
Maturity Price : 19.18
Evaluated at bid price : 19.18
Bid-YTW : 6.76 %
SLF.PR.E Insurance Straight 8.19 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2053-06-09
Maturity Price : 18.50
Evaluated at bid price : 18.50
Bid-YTW : 6.10 %
Volume Highlights
Issue Index Shares
Traded
Notes
TD.PF.K FixedReset Disc 70,330 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2053-06-09
Maturity Price : 21.84
Evaluated at bid price : 22.31
Bid-YTW : 7.11 %
FTS.PR.M FixedReset Disc 62,665 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2053-06-09
Maturity Price : 16.62
Evaluated at bid price : 16.62
Bid-YTW : 9.07 %
TD.PF.A FixedReset Disc 43,680 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2053-06-09
Maturity Price : 17.32
Evaluated at bid price : 17.32
Bid-YTW : 8.36 %
TD.PF.C FixedReset Disc 31,912 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2053-06-09
Maturity Price : 17.23
Evaluated at bid price : 17.23
Bid-YTW : 8.40 %
FTS.PR.G FixedReset Disc 31,786 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2053-06-09
Maturity Price : 17.90
Evaluated at bid price : 17.90
Bid-YTW : 8.28 %
MFC.PR.M FixedReset Ins Non 31,783 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2053-06-09
Maturity Price : 16.75
Evaluated at bid price : 16.75
Bid-YTW : 8.78 %
There were 10 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: 19.55 – 21.00
Spot Rate : 1.4500
Average : 0.9937

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2053-06-09
Maturity Price : 19.55
Evaluated at bid price : 19.55
Bid-YTW : 6.42 %

GWO.PR.R Insurance Straight Quote: 18.70 – 19.65
Spot Rate : 0.9500
Average : 0.5933

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2053-06-09
Maturity Price : 18.70
Evaluated at bid price : 18.70
Bid-YTW : 6.44 %

TD.PF.J FixedReset Disc Quote: 21.23 – 21.74
Spot Rate : 0.5100
Average : 0.3099

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2053-06-09
Maturity Price : 21.23
Evaluated at bid price : 21.23
Bid-YTW : 7.44 %

CM.PR.P FixedReset Disc Quote: 16.52 – 17.25
Spot Rate : 0.7300
Average : 0.5382

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2053-06-09
Maturity Price : 16.52
Evaluated at bid price : 16.52
Bid-YTW : 8.75 %

CM.PR.Y FixedReset Disc Quote: 23.45 – 23.95
Spot Rate : 0.5000
Average : 0.3221

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2053-06-09
Maturity Price : 22.94
Evaluated at bid price : 23.45
Bid-YTW : 7.73 %

CU.PR.G Perpetual-Discount Quote: 18.00 – 19.00
Spot Rate : 1.0000
Average : 0.8462

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2053-06-09
Maturity Price : 18.00
Evaluated at bid price : 18.00
Bid-YTW : 6.31 %

Market Action

June 8, 2023

There’s a bit of cheerful news in the fiscal wasteland:

DBRS Limited (DBRS Morningstar) confirmed the Issuer Rating and the Long-Term Debt rating of the Province of Ontario (Ontario or the Province) at AA (low) and the Short-Term Debt rating at R-1 (middle). DBRS Morningstar also confirmed the Ontario Electricity Financial Corporation’s (OEFC) Long-Term Obligations rating at AA (low) (based on the Province’s rating). Concurrently, DBRS Morningstar changed the trends on all ratings to Positive from Stable.

The Positive trends reflect DBRS Morningstar’s assessment that Ontario’s fiscal management has improved. Despite economic headwinds, DBRS Morningstar has increased confidence that Ontario’s improved fiscal outlook can be sustained. Stronger-than-anticipated revenue growth has been allowed to flow to the bottom line, while increased program spending is, in part, being offset by a lapse in temporary Coronavirus Disease (COVID-19) supports and other one-time measures.

Ontario’s fiscal outlook continues to improve relative to prior expectations. For 2023–24, Ontario forecasts a budget deficit of $1.3 billion, after incorporating a $1.0 billion reserve. Should the reserve be unnecessary, the budget is essentially balanced. The Province then anticipates small surpluses in 2024–25 and 2025–26. On a DBRS Morningstar-adjusted basis, after including capital expenditures (capex) as incurred rather than as amortized and assuming some modest capex underspending, this equates to DBRS Morningstar-adjusted deficits of 1.0% of GDP or less over the forecast horizon.

Ontario’s debt outlook is expected to show steady improvement, provided the economy remains resilient and fiscal targets are met. On a DBRS Morningstar-adjusted basis, the debt-to-GDP ratio is estimated to fall to roughly 37.0% by 2025–26. Despite ongoing economic uncertainty, DBRS Morningstar believes that Ontario’s track record of budgetary outperformance, combined with the ongoing use of conservative assumptions, could lead to an even faster decline in the debt-to-GDP ratio, which supports the Positive trends.

Economic growth is expected to slow in Ontario as global economic conditions deteriorate in response to central bank efforts to raise policy rates and curb inflation. The Province is forecasting real GDP growth of just 0.2% for 2023, which appears conservative in relation to the current private-sector consensus. Real GDP growth is then forecast to rebound to 1.3% in 2024. Recent financial market instability and deteriorating credit conditions present downside risks to the outlook, while the evolving outlook for inflation and interest rates along with global geopolitical tensions present further uncertainty.

RATING DRIVERS
DBRS Morningstar will look to resolve the Positive trends within the next 12 months. Provided the Province continues to demonstrate prudent fiscal discipline and the economic backdrop remains supportive, DBRS Morningstar could upgrade the ratings by one notch. DBRS Morningstar could restore the Stable trends should there be a deterioration in one or more critical rating factors or a material deterioration in financial risk metrics such that DBRS Morningstar has reduced confidence that the debt-to-GDP ratio will remain on a downward trend.

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 0.1789 % 2,163.5
FixedFloater 0.00 % 0.00 % 0 0.00 0 0.1789 % 4,149.6
Floater 10.47 % 10.82 % 46,259 8.79 1 0.1789 % 2,391.4
OpRet 0.00 % 0.00 % 0 0.00 0 -0.5633 % 3,319.0
SplitShare 4.85 % 7.59 % 42,929 2.23 7 -0.5633 % 3,963.6
Interest-Bearing 0.00 % 0.00 % 0 0.00 0 -0.5633 % 3,092.6
Perpetual-Premium 0.00 % 0.00 % 0 0.00 0 -0.8297 % 2,638.7
Perpetual-Discount 6.47 % 6.62 % 40,724 12.98 31 -0.8297 % 2,877.4
FixedReset Disc 5.86 % 8.50 % 80,777 11.12 63 0.3703 % 2,128.1
Insurance Straight 6.39 % 6.45 % 58,271 13.34 19 -0.1704 % 2,815.1
FloatingReset 11.56 % 11.98 % 49,109 8.25 2 0.1748 % 2,326.2
FixedReset Prem 6.96 % 6.94 % 318,223 3.77 1 0.1984 % 2,322.8
FixedReset Bank Non 0.00 % 0.00 % 0 0.00 0 0.3703 % 2,175.4
FixedReset Ins Non 6.07 % 7.71 % 87,207 11.70 9 0.3819 % 2,338.2
Performance Highlights
Issue Index Change Notes
PWF.PR.L Perpetual-Discount -6.25 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2053-06-08
Maturity Price : 18.00
Evaluated at bid price : 18.00
Bid-YTW : 7.21 %
PWF.PR.P FixedReset Disc -3.39 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2053-06-08
Maturity Price : 11.98
Evaluated at bid price : 11.98
Bid-YTW : 9.72 %
RY.PR.S FixedReset Disc -2.85 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2053-06-08
Maturity Price : 19.45
Evaluated at bid price : 19.45
Bid-YTW : 7.95 %
CU.PR.J Perpetual-Discount -1.66 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2053-06-08
Maturity Price : 18.31
Evaluated at bid price : 18.31
Bid-YTW : 6.55 %
PVS.PR.K SplitShare -1.64 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2029-05-31
Maturity Price : 25.00
Evaluated at bid price : 21.65
Bid-YTW : 7.30 %
GWO.PR.L Insurance Straight -1.61 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2053-06-08
Maturity Price : 21.35
Evaluated at bid price : 21.35
Bid-YTW : 6.64 %
PVS.PR.J SplitShare -1.57 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2028-02-29
Maturity Price : 25.00
Evaluated at bid price : 21.90
Bid-YTW : 7.62 %
GWO.PR.P Insurance Straight -1.56 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2053-06-08
Maturity Price : 20.20
Evaluated at bid price : 20.20
Bid-YTW : 6.71 %
PWF.PR.R Perpetual-Discount -1.55 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2053-06-08
Maturity Price : 20.91
Evaluated at bid price : 20.91
Bid-YTW : 6.68 %
GWO.PR.M Insurance Straight -1.42 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2053-06-08
Maturity Price : 21.91
Evaluated at bid price : 22.15
Bid-YTW : 6.56 %
MIC.PR.A Perpetual-Discount -1.41 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2053-06-08
Maturity Price : 20.22
Evaluated at bid price : 20.22
Bid-YTW : 6.83 %
POW.PR.C Perpetual-Discount -1.35 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2053-06-08
Maturity Price : 22.32
Evaluated at bid price : 22.59
Bid-YTW : 6.53 %
PWF.PR.O Perpetual-Discount -1.30 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2053-06-08
Maturity Price : 21.76
Evaluated at bid price : 22.01
Bid-YTW : 6.69 %
BN.PF.I FixedReset Disc -1.22 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2053-06-08
Maturity Price : 19.41
Evaluated at bid price : 19.41
Bid-YTW : 9.16 %
BN.PR.M Perpetual-Discount -1.14 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2053-06-08
Maturity Price : 17.35
Evaluated at bid price : 17.35
Bid-YTW : 7.01 %
PWF.PR.H Perpetual-Discount -1.13 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2053-06-08
Maturity Price : 21.58
Evaluated at bid price : 21.84
Bid-YTW : 6.68 %
PWF.PR.G Perpetual-Discount -1.09 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2053-06-08
Maturity Price : 22.33
Evaluated at bid price : 22.60
Bid-YTW : 6.62 %
BIK.PR.A FixedReset Disc -1.06 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2053-06-08
Maturity Price : 22.66
Evaluated at bid price : 23.25
Bid-YTW : 8.21 %
CU.PR.C FixedReset Disc -1.05 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2053-06-08
Maturity Price : 17.86
Evaluated at bid price : 17.86
Bid-YTW : 8.35 %
PWF.PR.K Perpetual-Discount -1.04 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2053-06-08
Maturity Price : 19.00
Evaluated at bid price : 19.00
Bid-YTW : 6.62 %
POW.PR.G Perpetual-Discount -1.02 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2053-06-08
Maturity Price : 21.38
Evaluated at bid price : 21.38
Bid-YTW : 6.68 %
IFC.PR.G FixedReset Ins Non 1.09 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2053-06-08
Maturity Price : 21.30
Evaluated at bid price : 21.30
Bid-YTW : 7.62 %
FTS.PR.K FixedReset Disc 1.14 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2053-06-08
Maturity Price : 15.99
Evaluated at bid price : 15.99
Bid-YTW : 9.09 %
FTS.PR.M FixedReset Disc 1.16 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2053-06-08
Maturity Price : 16.64
Evaluated at bid price : 16.64
Bid-YTW : 9.12 %
BMO.PR.E FixedReset Disc 1.17 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2053-06-08
Maturity Price : 21.55
Evaluated at bid price : 21.55
Bid-YTW : 7.55 %
GWO.PR.N FixedReset Ins Non 1.20 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2053-06-08
Maturity Price : 11.81
Evaluated at bid price : 11.81
Bid-YTW : 9.26 %
RY.PR.M FixedReset Disc 1.21 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2053-06-08
Maturity Price : 17.56
Evaluated at bid price : 17.56
Bid-YTW : 8.34 %
NA.PR.G FixedReset Disc 1.21 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2053-06-08
Maturity Price : 21.41
Evaluated at bid price : 21.71
Bid-YTW : 7.60 %
TD.PF.I FixedReset Disc 1.27 % YTW SCENARIO
Maturity Type : Call
Maturity Date : 2027-10-31
Maturity Price : 25.00
Evaluated at bid price : 24.81
Bid-YTW : 6.73 %
BN.PF.J FixedReset Disc 1.42 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2053-06-08
Maturity Price : 21.50
Evaluated at bid price : 21.50
Bid-YTW : 7.94 %
FTS.PR.G FixedReset Disc 1.42 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2053-06-08
Maturity Price : 17.90
Evaluated at bid price : 17.90
Bid-YTW : 8.35 %
RY.PR.Z FixedReset Disc 1.46 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2053-06-08
Maturity Price : 17.40
Evaluated at bid price : 17.40
Bid-YTW : 8.51 %
TD.PF.B FixedReset Disc 1.47 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2053-06-08
Maturity Price : 17.30
Evaluated at bid price : 17.30
Bid-YTW : 8.54 %
MFC.PR.K FixedReset Ins Non 1.60 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2053-06-08
Maturity Price : 19.02
Evaluated at bid price : 19.02
Bid-YTW : 7.94 %
BMO.PR.W FixedReset Disc 1.63 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2053-06-08
Maturity Price : 16.85
Evaluated at bid price : 16.85
Bid-YTW : 8.67 %
BN.PF.B FixedReset Disc 1.91 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2053-06-08
Maturity Price : 16.51
Evaluated at bid price : 16.51
Bid-YTW : 9.71 %
NA.PR.W FixedReset Disc 2.05 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2053-06-08
Maturity Price : 16.95
Evaluated at bid price : 16.95
Bid-YTW : 8.62 %
TD.PF.K FixedReset Disc 2.09 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2053-06-08
Maturity Price : 21.63
Evaluated at bid price : 22.01
Bid-YTW : 7.27 %
BN.PF.A FixedReset Disc 2.19 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2053-06-08
Maturity Price : 19.09
Evaluated at bid price : 19.09
Bid-YTW : 8.95 %
IFC.PR.F Insurance Straight 2.30 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2053-06-08
Maturity Price : 21.38
Evaluated at bid price : 21.38
Bid-YTW : 6.33 %
Volume Highlights
Issue Index Shares
Traded
Notes
TD.PF.K FixedReset Disc 171,821 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2053-06-08
Maturity Price : 21.63
Evaluated at bid price : 22.01
Bid-YTW : 7.27 %
BN.PF.F FixedReset Disc 73,700 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2053-06-08
Maturity Price : 15.99
Evaluated at bid price : 15.99
Bid-YTW : 10.20 %
BN.PR.R FixedReset Disc 40,400 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2053-06-08
Maturity Price : 13.03
Evaluated at bid price : 13.03
Bid-YTW : 10.49 %
NA.PR.C FixedReset Prem 35,600 YTW SCENARIO
Maturity Type : Call
Maturity Date : 2027-11-15
Maturity Price : 25.00
Evaluated at bid price : 25.25
Bid-YTW : 6.94 %
CU.PR.C FixedReset Disc 35,350 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2053-06-08
Maturity Price : 17.86
Evaluated at bid price : 17.86
Bid-YTW : 8.35 %
BMO.PR.T FixedReset Disc 33,367 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2053-06-08
Maturity Price : 16.80
Evaluated at bid price : 16.80
Bid-YTW : 8.76 %
There were 7 other index-included issues trading in excess of 10,000 shares.
Wide Spread Highlights
Issue Index Quote Data and Yield Notes
PWF.PR.L Perpetual-Discount Quote: 18.00 – 20.00
Spot Rate : 2.0000
Average : 1.4281

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2053-06-08
Maturity Price : 18.00
Evaluated at bid price : 18.00
Bid-YTW : 7.21 %

MFC.PR.M FixedReset Ins Non Quote: 16.34 – 17.49
Spot Rate : 1.1500
Average : 0.8090

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2053-06-08
Maturity Price : 16.34
Evaluated at bid price : 16.34
Bid-YTW : 9.06 %

RY.PR.S FixedReset Disc Quote: 19.45 – 20.28
Spot Rate : 0.8300
Average : 0.5171

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2053-06-08
Maturity Price : 19.45
Evaluated at bid price : 19.45
Bid-YTW : 7.95 %

PWF.PR.P FixedReset Disc Quote: 11.98 – 13.04
Spot Rate : 1.0600
Average : 0.7641

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2053-06-08
Maturity Price : 11.98
Evaluated at bid price : 11.98
Bid-YTW : 9.72 %

SLF.PR.E Insurance Straight Quote: 17.10 – 18.70
Spot Rate : 1.6000
Average : 1.3221

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2053-06-08
Maturity Price : 17.10
Evaluated at bid price : 17.10
Bid-YTW : 6.60 %

CU.PR.G Perpetual-Discount Quote: 18.05 – 19.00
Spot Rate : 0.9500
Average : 0.6775

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2053-06-08
Maturity Price : 18.05
Evaluated at bid price : 18.05
Bid-YTW : 6.29 %

Canada Prime

BoC Hikes Policy Rate to 4.75%; Prime Follows

The Bank of Canada has announced it has:

increased its target for the overnight rate to 4¾%, with the Bank Rate at 5% and the deposit rate at 4¾%. The Bank is also continuing its policy of quantitative tightening.

Globally, consumer price inflation is coming down, largely reflecting lower energy prices compared to a year ago, but underlying inflation remains stubbornly high. While economic growth around the world is softening in the face of higher interest rates, major central banks are signalling that interest rates may have to rise further to restore price stability. In the United States, the economy is slowing, although consumer spending remains surprisingly resilient and the labour market is still tight. Economic growth has essentially stalled in Europe but upward pressure on core prices is persisting. Growth in China is expected to slow after surging in the first quarter. Financial conditions have tightened back to those seen before the bank failures in the United States and Switzerland.

Canada’s economy was stronger than expected in the first quarter of 2023, with GDP growth of 3.1%. Consumption growth was surprisingly strong and broad-based, even after accounting for the boost from population gains. Demand for services continued to rebound. In addition, spending on interest-sensitive goods increased and, more recently, housing market activity has picked up. The labour market remains tight: higher immigration and participation rates are expanding the supply of workers but new workers have been quickly hired, reflecting continued strong demand for labour. Overall, excess demand in the economy looks to be more persistent than anticipated.

CPI inflation ticked up in April to 4.4%, the first increase in 10 months, with prices for a broad range of goods and services coming in higher than expected. Goods price inflation increased, despite lower energy costs. Services price inflation remained elevated, reflecting strong demand and a tight labour market. The Bank continues to expect CPI inflation to ease to around 3% in the summer, as lower energy prices feed through and last year’s large price gains fall out of the yearly data. However, with three-month measures of core inflation running in the 3½-4% range for several months and excess demand persisting, concerns have increased that CPI inflation could get stuck materially above the 2% target.

Based on the accumulation of evidence, Governing Council decided to increase the policy interest rate, reflecting our view that monetary policy was not sufficiently restrictive to bring supply and demand back into balance and return inflation sustainably to the 2% target. Quantitative tightening is complementing the restrictive stance of monetary policy and normalizing the Bank’s balance sheet. Governing Council will continue to assess the dynamics of core inflation and the outlook for CPI inflation. In particular, we will be evaluating whether the evolution of excess demand, inflation expectations, wage growth and corporate pricing behaviour are consistent with achieving the inflation target. The Bank remains resolute in its commitment to restoring price stability for Canadians.

Mark Rendell in the Globe reports:

Interest-rate swaps, which capture market expectations about monetary policy, are now pricing in a roughly 60-per-cent chance of another rate hike in July, and an 85-per-cent chance of a rate hike by September, according to Refinitiv data.

The rate hike drew condemnation from across the political spectrum. Conservative Party Leader Pierre Poilievre called it “a disaster for the many Canadians barely hanging on,” and blamed government spending and budget deficits for pushing up inflation. Bea Bruske, president of the Canadian Labour Congress, said the bank’s move was “deeply disappointing.”

The central bank has come under political attack over the past year and a half – first for failing to keep inflation under control, then for its aggressive campaign to raise interest rates to bring inflation back down.

Prime followed:

Well, Rob Carrick and Ryan Siever will be mad:

There’s a case to be made for banks giving borrowers a break when what is expected to be the biggest interest rate hike in 22 years is announced on Wednesday.

A brief flashback to 2015 is required to get the sense of this story. The economy back then was in the opposite shape of what it is now – weak enough to prompt the Bank of Canada to cut its trendsetting overnight rate by 0.25 of a percentage point in January and again in July.

The big banks hijacked part of that rate cut. While the overnight rate fell by a total 0.5 of a point, the banks cut their prime rate by cumulative 0.3 of a point. They held back the rest of the rate cut to build their revenues and profit.

There was a delay in reducing the prime when the Canada Overnight rate dropped 25bp to 0.75% in January 2015 and again when Canada Overnight dropped a further 25bp to 0.50% in July of that year.

Market Action

June 7, 2023

TXPR closed at 534.62, up 0.69% on the day. Volume today was 1.07-million, above the median of the past 21 trading days.

CPD closed at 10.59, down 0.47% on the day. Volume was 90,580, third-highest of the past 21 trading days.

ZPR closed at 8.78, up 0.23% on the day. Volume was 91,020, third-lowest of the past 21 trading days.

Five-year Canada yields roared up to 3.76% today on the back of the BoC policy hike.

PerpetualDiscounts now yield 6.55%, equivalent to 8.52% interest at the standard equivalency factor of 1.3x. Long corporates yielded 5.23% on 2023-5-26 and since then the closing price has changed from 14.82 to 14.78, a decrease of 27bp in price, with a Duration of 12.21 (BMO doesn’t specify whether this is Macaulay or Modified Duration; I will assume Modified) which implies an increase in yield of about 2bp since 5/26 to 5.25%, so the pre-tax interest-equivalent spread (in this context, the “Seniority Spread”) has narrowed sharply to about 325bp from the 345bp reported May 31.

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

Values are provisional and are finalized monthly
Index Mean
Current
Yield
(at bid)
Median
YTW
Median
Average
Trading
Value
Median
Mod Dur
(YTW)
Issues Day’s Perf. Index Value
Ratchet 0.00 % 0.00 % 0 0.00 0 1.2681 % 2,159.6
FixedFloater 0.00 % 0.00 % 0 0.00 0 1.2681 % 4,142.2
Floater 10.49 % 10.84 % 45,750 8.78 1 1.2681 % 2,387.1
OpRet 0.00 % 0.00 % 0 0.00 0 0.3342 % 3,337.8
SplitShare 4.82 % 7.32 % 43,093 2.24 7 0.3342 % 3,986.1
Interest-Bearing 0.00 % 0.00 % 0 0.00 0 0.3342 % 3,110.1
Perpetual-Premium 0.00 % 0.00 % 0 0.00 0 -0.3500 % 2,660.8
Perpetual-Discount 6.41 % 6.55 % 41,430 13.07 31 -0.3500 % 2,901.4
FixedReset Disc 5.88 % 8.56 % 83,998 11.18 63 0.7916 % 2,120.3
Insurance Straight 6.38 % 6.44 % 58,444 13.36 19 -0.5970 % 2,819.9
FloatingReset 11.58 % 12.02 % 49,722 8.23 2 -0.1745 % 2,322.1
FixedReset Prem 6.97 % 6.99 % 306,377 3.77 1 0.0000 % 2,318.2
FixedReset Bank Non 0.00 % 0.00 % 0 0.00 0 0.7916 % 2,167.4
FixedReset Ins Non 6.09 % 7.70 % 87,321 11.61 9 0.3650 % 2,329.3
Performance Highlights
Issue Index Change Notes
SLF.PR.E Insurance Straight -8.02 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2053-06-07
Maturity Price : 17.10
Evaluated at bid price : 17.10
Bid-YTW : 6.60 %
PWF.PR.L Perpetual-Discount -2.83 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2053-06-07
Maturity Price : 19.20
Evaluated at bid price : 19.20
Bid-YTW : 6.75 %
FTS.PR.F Perpetual-Discount -1.44 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2053-06-07
Maturity Price : 19.85
Evaluated at bid price : 19.85
Bid-YTW : 6.23 %
FTS.PR.J Perpetual-Discount -1.29 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2053-06-07
Maturity Price : 19.15
Evaluated at bid price : 19.15
Bid-YTW : 6.26 %
POW.PR.B Perpetual-Discount -1.15 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2053-06-07
Maturity Price : 20.61
Evaluated at bid price : 20.61
Bid-YTW : 6.62 %
GWO.PR.Y Insurance Straight -1.10 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2053-06-07
Maturity Price : 18.05
Evaluated at bid price : 18.05
Bid-YTW : 6.25 %
TD.PF.I FixedReset Disc -1.01 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2053-06-07
Maturity Price : 23.03
Evaluated at bid price : 24.50
Bid-YTW : 6.83 %
TD.PF.A FixedReset Disc 1.01 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2053-06-07
Maturity Price : 17.07
Evaluated at bid price : 17.07
Bid-YTW : 8.54 %
BMO.PR.S FixedReset Disc 1.03 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2053-06-07
Maturity Price : 17.68
Evaluated at bid price : 17.68
Bid-YTW : 8.54 %
BIK.PR.A FixedReset Disc 1.08 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2053-06-07
Maturity Price : 22.89
Evaluated at bid price : 23.50
Bid-YTW : 8.12 %
TD.PF.K FixedReset Disc 1.22 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2053-06-07
Maturity Price : 21.56
Evaluated at bid price : 21.56
Bid-YTW : 7.44 %
BMO.PR.E FixedReset Disc 1.24 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2053-06-07
Maturity Price : 21.30
Evaluated at bid price : 21.30
Bid-YTW : 7.64 %
BN.PF.B FixedReset Disc 1.25 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2053-06-07
Maturity Price : 16.20
Evaluated at bid price : 16.20
Bid-YTW : 9.97 %
TRP.PR.G FixedReset Disc 1.27 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2053-06-07
Maturity Price : 16.00
Evaluated at bid price : 16.00
Bid-YTW : 9.50 %
BN.PR.B Floater 1.27 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2053-06-07
Maturity Price : 11.18
Evaluated at bid price : 11.18
Bid-YTW : 10.84 %
BN.PR.X FixedReset Disc 1.28 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2053-06-07
Maturity Price : 14.25
Evaluated at bid price : 14.25
Bid-YTW : 9.50 %
TRP.PR.E FixedReset Disc 1.40 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2053-06-07
Maturity Price : 15.16
Evaluated at bid price : 15.16
Bid-YTW : 9.86 %
RY.PR.H FixedReset Disc 1.47 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2053-06-07
Maturity Price : 17.25
Evaluated at bid price : 17.25
Bid-YTW : 8.57 %
NA.PR.S FixedReset Disc 1.53 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2053-06-07
Maturity Price : 17.88
Evaluated at bid price : 17.88
Bid-YTW : 8.58 %
PVS.PR.K SplitShare 1.66 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2029-05-31
Maturity Price : 25.00
Evaluated at bid price : 22.01
Bid-YTW : 6.97 %
TRP.PR.D FixedReset Disc 1.71 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2053-06-07
Maturity Price : 15.50
Evaluated at bid price : 15.50
Bid-YTW : 9.89 %
BN.PF.H FixedReset Disc 1.73 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2053-06-07
Maturity Price : 20.60
Evaluated at bid price : 20.60
Bid-YTW : 9.14 %
BIP.PR.A FixedReset Disc 1.82 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2053-06-07
Maturity Price : 16.80
Evaluated at bid price : 16.80
Bid-YTW : 10.14 %
MFC.PR.K FixedReset Ins Non 1.85 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2053-06-07
Maturity Price : 18.72
Evaluated at bid price : 18.72
Bid-YTW : 8.06 %
TRP.PR.A FixedReset Disc 1.90 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2053-06-07
Maturity Price : 13.44
Evaluated at bid price : 13.44
Bid-YTW : 10.06 %
GWO.PR.N FixedReset Ins Non 1.92 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2053-06-07
Maturity Price : 11.67
Evaluated at bid price : 11.67
Bid-YTW : 9.36 %
RY.PR.M FixedReset Disc 1.94 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2053-06-07
Maturity Price : 17.35
Evaluated at bid price : 17.35
Bid-YTW : 8.43 %
BN.PF.J FixedReset Disc 2.17 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2053-06-07
Maturity Price : 21.20
Evaluated at bid price : 21.20
Bid-YTW : 8.07 %
PWF.PR.P FixedReset Disc 5.08 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2053-06-07
Maturity Price : 12.40
Evaluated at bid price : 12.40
Bid-YTW : 9.42 %
BN.PF.E FixedReset Disc 8.07 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2053-06-07
Maturity Price : 14.59
Evaluated at bid price : 14.59
Bid-YTW : 10.37 %
BN.PF.I FixedReset Disc 8.86 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2053-06-07
Maturity Price : 19.65
Evaluated at bid price : 19.65
Bid-YTW : 9.09 %
Volume Highlights
Issue Index Shares
Traded
Notes
TD.PF.K FixedReset Disc 25,600 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2053-06-07
Maturity Price : 21.56
Evaluated at bid price : 21.56
Bid-YTW : 7.44 %
CM.PR.Q FixedReset Disc 25,298 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2053-06-07
Maturity Price : 17.66
Evaluated at bid price : 17.66
Bid-YTW : 8.56 %
CM.PR.S FixedReset Disc 23,373 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2053-06-07
Maturity Price : 20.95
Evaluated at bid price : 20.95
Bid-YTW : 7.43 %
BMO.PR.E FixedReset Disc 18,580 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2053-06-07
Maturity Price : 21.30
Evaluated at bid price : 21.30
Bid-YTW : 7.64 %
BN.PF.B FixedReset Disc 16,590 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2053-06-07
Maturity Price : 16.20
Evaluated at bid price : 16.20
Bid-YTW : 9.97 %
MFC.PR.B Insurance Straight 14,900 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2053-06-07
Maturity Price : 18.30
Evaluated at bid price : 18.30
Bid-YTW : 6.39 %
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.C FixedReset Disc Quote: 17.00 – 18.49
Spot Rate : 1.4900
Average : 0.9510

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2053-06-07
Maturity Price : 17.00
Evaluated at bid price : 17.00
Bid-YTW : 8.56 %

SLF.PR.E Insurance Straight Quote: 17.10 – 18.65
Spot Rate : 1.5500
Average : 1.0174

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2053-06-07
Maturity Price : 17.10
Evaluated at bid price : 17.10
Bid-YTW : 6.60 %

MFC.PR.B Insurance Straight Quote: 18.30 – 19.65
Spot Rate : 1.3500
Average : 0.8486

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2053-06-07
Maturity Price : 18.30
Evaluated at bid price : 18.30
Bid-YTW : 6.39 %

CCS.PR.C Insurance Straight Quote: 19.74 – 21.00
Spot Rate : 1.2600
Average : 0.8043

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2053-06-07
Maturity Price : 19.74
Evaluated at bid price : 19.74
Bid-YTW : 6.35 %

PWF.PR.P FixedReset Disc Quote: 12.40 – 13.04
Spot Rate : 0.6400
Average : 0.4396

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2053-06-07
Maturity Price : 12.40
Evaluated at bid price : 12.40
Bid-YTW : 9.42 %

BMO.PR.F FixedReset Disc Quote: 23.78 – 24.39
Spot Rate : 0.6100
Average : 0.4217

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2053-06-07
Maturity Price : 23.21
Evaluated at bid price : 23.78
Bid-YTW : 7.59 %