April 24, 2024

April 24th, 2024

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

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

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

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

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

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

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

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

Posted in Market Action | No Comments »

BMO.PR.S To Be Redeemed

April 23rd, 2024

Bank of Montreal has announced:

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

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

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

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

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

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

Posted in Issue Comments | No Comments »

BMO.PR.F To Be Redeemed

April 23rd, 2024

Bank of Montreal has announced:

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

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

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

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

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

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

Posted in Issue Comments | No Comments »

April 23, 2024

April 23rd, 2024
HIMIPref™ Preferred Indices
These values reflect the December 2008 revision of the HIMIPref™ Indices
Values are provisional and are finalized monthly
Index Mean
Current
Yield
(at bid)		 Median
YTW		 Median
Average
Trading
Value		 Median
Mod Dur
(YTW)		 Issues Day’s Perf. Index Value
Ratchet 0.00 % 0.00 % 0 0.00 0 0.8097 % 2,377.6
FixedFloater 0.00 % 0.00 % 0 0.00 0 0.8097 % 4,560.3
Floater 10.12 % 10.31 % 53,440 9.28 1 0.8097 % 2,628.1
OpRet 0.00 % 0.00 % 0 0.00 0 -0.0837 % 3,430.5
SplitShare 4.91 % 7.17 % 34,277 1.74 7 -0.0837 % 4,096.7
Interest-Bearing 0.00 % 0.00 % 0 0.00 0 -0.0837 % 3,196.4
Perpetual-Premium 0.00 % 0.00 % 0 0.00 0 -0.3806 % 2,560.4
Perpetual-Discount 6.71 % 6.89 % 46,668 12.72 29 -0.3806 % 2,791.9
FixedReset Disc 5.27 % 7.41 % 109,249 11.95 57 0.0154 % 2,523.9
Insurance Straight 6.66 % 6.79 % 56,287 12.81 21 -0.0330 % 2,725.1
FloatingReset 9.57 % 9.55 % 26,580 9.89 2 0.1316 % 2,675.8
FixedReset Prem 6.37 % 6.49 % 194,136 3.15 3 0.1059 % 2,524.2
FixedReset Bank Non 0.00 % 0.00 % 0 0.00 0 0.0154 % 2,580.0
FixedReset Ins Non 5.33 % 7.40 % 68,719 12.32 14 0.4763 % 2,667.4
Performance Highlights
Issue Index Change Notes
MFC.PR.C Insurance Straight -5.06 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-04-23
Maturity Price : 16.90
Evaluated at bid price : 16.90
Bid-YTW : 6.76 %
PWF.PR.F Perpetual-Discount -3.91 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-04-23
Maturity Price : 18.45
Evaluated at bid price : 18.45
Bid-YTW : 7.17 %
RY.PR.O Perpetual-Discount -1.98 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-04-23
Maturity Price : 21.98
Evaluated at bid price : 22.25
Bid-YTW : 5.59 %
BN.PF.J FixedReset Disc -1.81 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-04-23
Maturity Price : 20.57
Evaluated at bid price : 20.57
Bid-YTW : 8.30 %
PWF.PF.A Perpetual-Discount -1.78 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-04-23
Maturity Price : 16.60
Evaluated at bid price : 16.60
Bid-YTW : 6.82 %
BIP.PR.A FixedReset Disc -1.53 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-04-23
Maturity Price : 19.99
Evaluated at bid price : 19.99
Bid-YTW : 8.98 %
GWO.PR.M Insurance Straight -1.15 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-04-23
Maturity Price : 21.50
Evaluated at bid price : 21.50
Bid-YTW : 6.83 %
RY.PR.N Perpetual-Discount -1.10 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-04-23
Maturity Price : 22.13
Evaluated at bid price : 22.40
Bid-YTW : 5.55 %
GWO.PR.Y Insurance Straight 1.03 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-04-23
Maturity Price : 16.73
Evaluated at bid price : 16.73
Bid-YTW : 6.81 %
MFC.PR.F FixedReset Ins Non 1.10 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-04-23
Maturity Price : 15.67
Evaluated at bid price : 15.67
Bid-YTW : 7.74 %
MFC.PR.Q FixedReset Ins Non 1.12 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-04-23
Maturity Price : 21.49
Evaluated at bid price : 21.75
Bid-YTW : 7.28 %
MIC.PR.A Perpetual-Discount 1.28 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-04-23
Maturity Price : 19.00
Evaluated at bid price : 19.00
Bid-YTW : 7.20 %
MFC.PR.L FixedReset Ins Non 1.34 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-04-23
Maturity Price : 21.10
Evaluated at bid price : 21.10
Bid-YTW : 7.19 %
RY.PR.J FixedReset Disc 1.42 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-04-23
Maturity Price : 23.07
Evaluated at bid price : 23.60
Bid-YTW : 6.79 %
BIP.PR.E FixedReset Disc 1.45 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-04-23
Maturity Price : 21.06
Evaluated at bid price : 21.06
Bid-YTW : 8.15 %
SLF.PR.E Insurance Straight 2.00 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-04-23
Maturity Price : 17.87
Evaluated at bid price : 17.87
Bid-YTW : 6.37 %
Volume Highlights
Issue Index Shares
Traded		 Notes
RY.PR.H FixedReset Disc 213,416 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-04-23
Maturity Price : 23.26
Evaluated at bid price : 24.15
Bid-YTW : 6.32 %
RY.PR.Z FixedReset Disc 187,625 YTW SCENARIO
Maturity Type : Call
Maturity Date : 2024-05-24
Maturity Price : 25.00
Evaluated at bid price : 25.11
Bid-YTW : 5.60 %
CM.PR.P FixedReset Disc 163,218 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-04-23
Maturity Price : 22.52
Evaluated at bid price : 23.11
Bid-YTW : 6.43 %
FTS.PR.M FixedReset Disc 103,594 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-04-23
Maturity Price : 19.16
Evaluated at bid price : 19.16
Bid-YTW : 8.26 %
BN.PR.B Floater 57,246 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-04-23
Maturity Price : 12.45
Evaluated at bid price : 12.45
Bid-YTW : 10.31 %
FFH.PR.M FixedReset Disc 53,050 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-04-23
Maturity Price : 23.07
Evaluated at bid price : 23.65
Bid-YTW : 8.15 %
There were 13 other index-included issues trading in excess of 10,000 shares.
Wide Spread Highlights
Issue Index Quote Data and Yield Notes
IFC.PR.C FixedReset Ins Non Quote: 20.40 – 22.50
Spot Rate : 2.1000
Average : 1.1656

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

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

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

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

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

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

Posted in Market Action | No Comments »

April 22, 2024

April 22nd, 2024

I will never whine about debugging problems again:

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

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

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

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

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

HIMIPref™ Preferred Indices
These values reflect the December 2008 revision of the HIMIPref™ Indices
Values are provisional and are finalized monthly
Index Mean
Current
Yield
(at bid)		 Median
YTW		 Median
Average
Trading
Value		 Median
Mod Dur
(YTW)		 Issues Day’s Perf. Index Value
Ratchet 0.00 % 0.00 % 0 0.00 0 -0.4032 % 2,358.5
FixedFloater 0.00 % 0.00 % 0 0.00 0 -0.4032 % 4,523.7
Floater 10.20 % 10.39 % 49,438 9.22 1 -0.4032 % 2,607.0
OpRet 0.00 % 0.00 % 0 0.00 0 0.0898 % 3,433.4
SplitShare 4.90 % 7.10 % 32,820 1.74 7 0.0898 % 4,100.2
Interest-Bearing 0.00 % 0.00 % 0 0.00 0 0.0898 % 3,199.1
Perpetual-Premium 0.00 % 0.00 % 0 0.00 0 0.4003 % 2,570.1
Perpetual-Discount 6.69 % 6.87 % 46,346 12.76 29 0.4003 % 2,802.6
FixedReset Disc 5.27 % 7.41 % 111,098 11.92 57 -0.1120 % 2,523.5
Insurance Straight 6.66 % 6.79 % 56,758 12.81 21 -0.2757 % 2,726.0
FloatingReset 9.58 % 9.60 % 26,799 9.85 2 -0.1314 % 2,672.2
FixedReset Prem 6.38 % 6.55 % 201,818 3.15 3 0.1060 % 2,521.5
FixedReset Bank Non 0.00 % 0.00 % 0 0.00 0 -0.1120 % 2,579.6
FixedReset Ins Non 5.35 % 7.46 % 70,970 12.28 14 0.0437 % 2,654.8
Performance Highlights
Issue Index Change Notes
CU.PR.C FixedReset Disc -2.42 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-04-22
Maturity Price : 19.78
Evaluated at bid price : 19.78
Bid-YTW : 7.72 %
GWO.PR.G Insurance Straight -2.16 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-04-22
Maturity Price : 19.01
Evaluated at bid price : 19.01
Bid-YTW : 6.93 %
SLF.PR.C Insurance Straight -2.07 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-04-22
Maturity Price : 17.50
Evaluated at bid price : 17.50
Bid-YTW : 6.44 %
GWO.PR.S Insurance Straight -1.64 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-04-22
Maturity Price : 19.21
Evaluated at bid price : 19.21
Bid-YTW : 6.92 %
GWO.PR.Y Insurance Straight -1.60 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-04-22
Maturity Price : 16.56
Evaluated at bid price : 16.56
Bid-YTW : 6.88 %
BN.PF.B FixedReset Disc -1.16 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-04-22
Maturity Price : 18.70
Evaluated at bid price : 18.70
Bid-YTW : 8.60 %
PWF.PR.Z Perpetual-Discount -1.16 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-04-22
Maturity Price : 18.73
Evaluated at bid price : 18.73
Bid-YTW : 6.92 %
BIP.PR.E FixedReset Disc -1.14 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-04-22
Maturity Price : 20.76
Evaluated at bid price : 20.76
Bid-YTW : 8.27 %
GWO.PR.R Insurance Straight -1.12 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-04-22
Maturity Price : 17.67
Evaluated at bid price : 17.67
Bid-YTW : 6.88 %
BN.PF.E FixedReset Disc 1.07 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-04-22
Maturity Price : 17.00
Evaluated at bid price : 17.00
Bid-YTW : 9.22 %
GWO.PR.I Insurance Straight 1.07 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-04-22
Maturity Price : 16.95
Evaluated at bid price : 16.95
Bid-YTW : 6.72 %
GWO.PR.M Insurance Straight 1.16 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-04-22
Maturity Price : 21.49
Evaluated at bid price : 21.75
Bid-YTW : 6.74 %
CU.PR.G Perpetual-Discount 1.43 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-04-22
Maturity Price : 17.01
Evaluated at bid price : 17.01
Bid-YTW : 6.74 %
CU.PR.J Perpetual-Discount 2.51 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-04-22
Maturity Price : 17.95
Evaluated at bid price : 17.95
Bid-YTW : 6.74 %
POW.PR.C Perpetual-Discount 3.92 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-04-22
Maturity Price : 21.49
Evaluated at bid price : 21.75
Bid-YTW : 6.72 %
PWF.PR.E Perpetual-Discount 7.56 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-04-22
Maturity Price : 20.06
Evaluated at bid price : 20.06
Bid-YTW : 6.90 %
Volume Highlights
Issue Index Shares
Traded		 Notes
CM.PR.T FixedReset Disc 148,000 YTW SCENARIO
Maturity Type : Call
Maturity Date : 2024-05-30
Maturity Price : 25.00
Evaluated at bid price : 24.97
Bid-YTW : 5.60 %
TD.PF.L FixedReset Prem 133,000 YTW SCENARIO
Maturity Type : Call
Maturity Date : 2024-05-30
Maturity Price : 25.00
Evaluated at bid price : 24.97
Bid-YTW : 5.32 %
RY.PR.H FixedReset Disc 128,000 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-04-22
Maturity Price : 23.21
Evaluated at bid price : 24.10
Bid-YTW : 6.33 %
FFH.PR.I FixedReset Disc 35,900 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-04-22
Maturity Price : 18.15
Evaluated at bid price : 18.15
Bid-YTW : 8.71 %
GWO.PR.T Insurance Straight 34,600 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-04-22
Maturity Price : 19.01
Evaluated at bid price : 19.01
Bid-YTW : 6.86 %
TD.PF.M FixedReset Disc 34,400 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-04-22
Maturity Price : 24.01
Evaluated at bid price : 24.80
Bid-YTW : 7.40 %
There were 8 other index-included issues trading in excess of 10,000 shares.
Wide Spread Highlights
Issue Index Quote Data and Yield Notes
BN.PR.M Perpetual-Discount Quote: 17.05 – 18.30
Spot Rate : 1.2500
Average : 0.8250

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

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

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

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

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

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

Posted in Market Action | No Comments »

Is There Hope for the Expectations Hypothesis?

April 19th, 2024

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

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

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

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

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

They conclude:

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

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

Posted in Interesting External Papers | No Comments »

April 19, 2024

April 19th, 2024
HIMIPref™ Preferred Indices
These values reflect the December 2008 revision of the HIMIPref™ Indices
Values are provisional and are finalized monthly
Index Mean
Current
Yield
(at bid)		 Median
YTW		 Median
Average
Trading
Value		 Median
Mod Dur
(YTW)		 Issues Day’s Perf. Index Value
Ratchet 0.00 % 0.00 % 0 0.00 0 0.4862 % 2,368.1
FixedFloater 0.00 % 0.00 % 0 0.00 0 0.4862 % 4,542.0
Floater 10.16 % 10.34 % 50,169 9.27 1 0.4862 % 2,617.6
OpRet 0.00 % 0.00 % 0 0.00 0 0.0180 % 3,430.3
SplitShare 4.91 % 7.12 % 32,947 1.75 7 0.0180 % 4,096.5
Interest-Bearing 0.00 % 0.00 % 0 0.00 0 0.0180 % 3,196.2
Perpetual-Premium 0.00 % 0.00 % 0 0.00 0 -1.1565 % 2,559.9
Perpetual-Discount 6.72 % 6.84 % 47,442 12.79 29 -1.1565 % 2,791.4
FixedReset Disc 5.27 % 7.31 % 112,307 12.06 57 -0.1119 % 2,526.4
Insurance Straight 6.64 % 6.79 % 56,079 12.81 21 -0.8129 % 2,733.6
FloatingReset 9.55 % 9.53 % 27,026 9.92 2 0.0000 % 2,675.8
FixedReset Prem 6.39 % 6.52 % 199,679 3.16 3 0.0663 % 2,518.9
FixedReset Bank Non 0.00 % 0.00 % 0 0.00 0 -0.1119 % 2,582.5
FixedReset Ins Non 5.36 % 7.36 % 71,546 12.33 14 -0.1670 % 2,653.6
Performance Highlights
Issue Index Change Notes
PWF.PR.E Perpetual-Discount -8.44 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-04-19
Maturity Price : 18.65
Evaluated at bid price : 18.65
Bid-YTW : 7.42 %
POW.PR.C Perpetual-Discount -4.82 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-04-19
Maturity Price : 20.93
Evaluated at bid price : 20.93
Bid-YTW : 6.99 %
SLF.PR.E Insurance Straight -2.77 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-04-19
Maturity Price : 17.52
Evaluated at bid price : 17.52
Bid-YTW : 6.50 %
MFC.PR.B Insurance Straight -2.53 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-04-19
Maturity Price : 18.13
Evaluated at bid price : 18.13
Bid-YTW : 6.50 %
SLF.PR.D Insurance Straight -2.44 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-04-19
Maturity Price : 17.56
Evaluated at bid price : 17.56
Bid-YTW : 6.41 %
FTS.PR.H FixedReset Disc -2.34 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-04-19
Maturity Price : 15.00
Evaluated at bid price : 15.00
Bid-YTW : 8.32 %
GWO.PR.M Insurance Straight -2.27 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-04-19
Maturity Price : 21.50
Evaluated at bid price : 21.50
Bid-YTW : 6.83 %
POW.PR.B Perpetual-Discount -1.85 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-04-19
Maturity Price : 19.62
Evaluated at bid price : 19.62
Bid-YTW : 6.88 %
GWO.PR.I Insurance Straight -1.76 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-04-19
Maturity Price : 16.77
Evaluated at bid price : 16.77
Bid-YTW : 6.79 %
CU.PR.J Perpetual-Discount -1.74 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-04-19
Maturity Price : 17.51
Evaluated at bid price : 17.51
Bid-YTW : 6.91 %
GWO.PR.H Insurance Straight -1.71 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-04-19
Maturity Price : 17.81
Evaluated at bid price : 17.81
Bid-YTW : 6.89 %
GWO.PR.T Insurance Straight -1.55 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-04-19
Maturity Price : 19.00
Evaluated at bid price : 19.00
Bid-YTW : 6.86 %
BN.PF.E FixedReset Disc -1.52 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-04-19
Maturity Price : 16.82
Evaluated at bid price : 16.82
Bid-YTW : 9.18 %
POW.PR.A Perpetual-Discount -1.44 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-04-19
Maturity Price : 20.60
Evaluated at bid price : 20.60
Bid-YTW : 6.86 %
POW.PR.G Perpetual-Discount -1.40 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-04-19
Maturity Price : 20.49
Evaluated at bid price : 20.49
Bid-YTW : 6.90 %
BN.PR.N Perpetual-Discount -1.30 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-04-19
Maturity Price : 16.65
Evaluated at bid price : 16.65
Bid-YTW : 7.23 %
PWF.PR.S Perpetual-Discount -1.29 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-04-19
Maturity Price : 17.62
Evaluated at bid price : 17.62
Bid-YTW : 6.85 %
FFH.PR.M FixedReset Disc -1.25 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-04-19
Maturity Price : 23.08
Evaluated at bid price : 23.65
Bid-YTW : 8.05 %
GWO.PR.Q Insurance Straight -1.24 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-04-19
Maturity Price : 19.08
Evaluated at bid price : 19.08
Bid-YTW : 6.83 %
GWO.PR.L Insurance Straight -1.19 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-04-19
Maturity Price : 20.75
Evaluated at bid price : 20.75
Bid-YTW : 6.89 %
BN.PF.D Perpetual-Discount -1.16 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-04-19
Maturity Price : 17.10
Evaluated at bid price : 17.10
Bid-YTW : 7.26 %
GWO.PR.P Insurance Straight -1.10 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-04-19
Maturity Price : 19.81
Evaluated at bid price : 19.81
Bid-YTW : 6.90 %
PWF.PR.R Perpetual-Discount -1.08 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-04-19
Maturity Price : 20.18
Evaluated at bid price : 20.18
Bid-YTW : 6.86 %
FFH.PR.C FixedReset Disc -1.07 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-04-19
Maturity Price : 21.27
Evaluated at bid price : 21.27
Bid-YTW : 8.08 %
PWF.PR.K Perpetual-Discount -1.03 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-04-19
Maturity Price : 18.18
Evaluated at bid price : 18.18
Bid-YTW : 6.85 %
TD.PF.D FixedReset Disc 1.05 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-04-19
Maturity Price : 22.54
Evaluated at bid price : 22.99
Bid-YTW : 6.76 %
CM.PR.O FixedReset Disc 1.14 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-04-19
Maturity Price : 23.03
Evaluated at bid price : 23.97
Bid-YTW : 6.24 %
CU.PR.C FixedReset Disc 1.30 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-04-19
Maturity Price : 20.27
Evaluated at bid price : 20.27
Bid-YTW : 7.44 %
BN.PF.J FixedReset Disc 1.45 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-04-19
Maturity Price : 20.95
Evaluated at bid price : 20.95
Bid-YTW : 8.06 %
BN.PF.F FixedReset Disc 1.82 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-04-19
Maturity Price : 19.60
Evaluated at bid price : 19.60
Bid-YTW : 8.44 %
MFC.PR.C Insurance Straight 4.67 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-04-19
Maturity Price : 17.93
Evaluated at bid price : 17.93
Bid-YTW : 6.36 %
Volume Highlights
Issue Index Shares
Traded		 Notes
CU.PR.G Perpetual-Discount 269,375 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-04-19
Maturity Price : 16.77
Evaluated at bid price : 16.77
Bid-YTW : 6.84 %
GWO.PR.T Insurance Straight 248,864 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-04-19
Maturity Price : 19.00
Evaluated at bid price : 19.00
Bid-YTW : 6.86 %
FTS.PR.H FixedReset Disc 239,147 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-04-19
Maturity Price : 15.00
Evaluated at bid price : 15.00
Bid-YTW : 8.32 %
FFH.PR.G FixedReset Disc 224,728 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-04-19
Maturity Price : 17.58
Evaluated at bid price : 17.58
Bid-YTW : 8.55 %
IFC.PR.I Insurance Straight 183,796 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-04-19
Maturity Price : 20.01
Evaluated at bid price : 20.01
Bid-YTW : 6.83 %
RY.PR.H FixedReset Disc 99,066 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-04-19
Maturity Price : 23.14
Evaluated at bid price : 24.02
Bid-YTW : 6.25 %
There were 41 other index-included issues trading in excess of 10,000 shares.
Wide Spread Highlights
Issue Index Quote Data and Yield Notes
PWF.PR.E Perpetual-Discount Quote: 18.65 – 20.69
Spot Rate : 2.0400
Average : 1.1408

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-04-19
Maturity Price : 18.65
Evaluated at bid price : 18.65
Bid-YTW : 7.42 %
BN.PF.A FixedReset Disc Quote: 21.00 – 22.70
Spot Rate : 1.7000
Average : 1.2978

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-04-19
Maturity Price : 21.00
Evaluated at bid price : 21.00
Bid-YTW : 8.04 %
POW.PR.C Perpetual-Discount Quote: 20.93 – 21.93
Spot Rate : 1.0000
Average : 0.6061

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-04-19
Maturity Price : 20.93
Evaluated at bid price : 20.93
Bid-YTW : 6.99 %
TD.PF.E FixedReset Disc Quote: 22.89 – 23.95
Spot Rate : 1.0600
Average : 0.7505

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-04-19
Maturity Price : 22.49
Evaluated at bid price : 22.89
Bid-YTW : 6.81 %
SLF.PR.E Insurance Straight Quote: 17.52 – 18.17
Spot Rate : 0.6500
Average : 0.4389

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-04-19
Maturity Price : 17.52
Evaluated at bid price : 17.52
Bid-YTW : 6.50 %
PVS.PR.J SplitShare Quote: 22.90 – 23.75
Spot Rate : 0.8500
Average : 0.6392

YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2028-02-29
Maturity Price : 25.00
Evaluated at bid price : 22.90
Bid-YTW : 7.12 %

Posted in Market Action | No Comments »

April 18, 2024

April 18th, 2024
HIMIPref™ Preferred Indices
These values reflect the December 2008 revision of the HIMIPref™ Indices
Values are provisional and are finalized monthly
Index Mean
Current
Yield
(at bid)		 Median
YTW		 Median
Average
Trading
Value		 Median
Mod Dur
(YTW)		 Issues Day’s Perf. Index Value
Ratchet 0.00 % 0.00 % 0 0.00 0 -0.5641 % 2,356.6
FixedFloater 0.00 % 0.00 % 0 0.00 0 -0.5641 % 4,520.0
Floater 10.21 % 10.39 % 49,009 9.23 1 -0.5641 % 2,604.9
OpRet 0.00 % 0.00 % 0 0.00 0 -0.0778 % 3,429.7
SplitShare 4.91 % 7.13 % 34,299 1.75 7 -0.0778 % 4,095.7
Interest-Bearing 0.00 % 0.00 % 0 0.00 0 -0.0778 % 3,195.7
Perpetual-Premium 0.00 % 0.00 % 0 0.00 0 -0.1269 % 2,589.9
Perpetual-Discount 6.64 % 6.77 % 45,062 12.88 29 -0.1269 % 2,824.1
FixedReset Disc 5.26 % 7.31 % 108,772 12.08 57 0.0706 % 2,529.2
Insurance Straight 6.58 % 6.74 % 51,990 12.87 21 -0.4720 % 2,756.0
FloatingReset 9.55 % 9.53 % 28,112 9.92 2 -0.2621 % 2,675.8
FixedReset Prem 6.39 % 6.53 % 198,199 3.16 3 0.1460 % 2,517.2
FixedReset Bank Non 0.00 % 0.00 % 0 0.00 0 0.0706 % 2,585.4
FixedReset Ins Non 5.35 % 7.39 % 71,296 12.41 14 0.4707 % 2,658.1
Performance Highlights
Issue Index Change Notes
MFC.PR.C Insurance Straight -5.15 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-04-18
Maturity Price : 17.13
Evaluated at bid price : 17.13
Bid-YTW : 6.66 %
TD.PF.D FixedReset Disc -2.49 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-04-18
Maturity Price : 22.33
Evaluated at bid price : 22.75
Bid-YTW : 6.83 %
GWO.PR.L Insurance Straight -1.41 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-04-18
Maturity Price : 21.00
Evaluated at bid price : 21.00
Bid-YTW : 6.81 %
GWO.PR.Y Insurance Straight -1.23 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-04-18
Maturity Price : 16.81
Evaluated at bid price : 16.81
Bid-YTW : 6.77 %
POW.PR.D Perpetual-Discount -1.16 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-04-18
Maturity Price : 18.78
Evaluated at bid price : 18.78
Bid-YTW : 6.72 %
GWO.PR.M Insurance Straight -1.12 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-04-18
Maturity Price : 21.75
Evaluated at bid price : 22.00
Bid-YTW : 6.66 %
MFC.PR.L FixedReset Ins Non 1.12 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-04-18
Maturity Price : 20.75
Evaluated at bid price : 20.75
Bid-YTW : 7.19 %
BN.PF.E FixedReset Disc 1.73 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-04-18
Maturity Price : 17.08
Evaluated at bid price : 17.08
Bid-YTW : 9.04 %
MFC.PR.I FixedReset Ins Non 2.07 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-04-18
Maturity Price : 22.21
Evaluated at bid price : 22.71
Bid-YTW : 7.18 %
RY.PR.O Perpetual-Discount 2.72 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-04-18
Maturity Price : 22.37
Evaluated at bid price : 22.65
Bid-YTW : 5.48 %
Volume Highlights
Issue Index Shares
Traded		 Notes
FTS.PR.M FixedReset Disc 312,600 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-04-18
Maturity Price : 19.23
Evaluated at bid price : 19.23
Bid-YTW : 8.10 %
RY.PR.Z FixedReset Disc 271,520 YTW SCENARIO
Maturity Type : Call
Maturity Date : 2024-05-24
Maturity Price : 25.00
Evaluated at bid price : 25.10
Bid-YTW : 5.22 %
NA.PR.E FixedReset Disc 250,997 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-04-18
Maturity Price : 21.89
Evaluated at bid price : 22.30
Bid-YTW : 6.92 %
CM.PR.T FixedReset Disc 244,400 YTW SCENARIO
Maturity Type : Call
Maturity Date : 2024-05-30
Maturity Price : 25.00
Evaluated at bid price : 24.96
Bid-YTW : 5.42 %
BMO.PR.T FixedReset Disc 194,172 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-04-18
Maturity Price : 23.43
Evaluated at bid price : 24.29
Bid-YTW : 6.16 %
BN.PR.N Perpetual-Discount 113,150 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-04-18
Maturity Price : 16.87
Evaluated at bid price : 16.87
Bid-YTW : 7.13 %
NA.PR.S FixedReset Disc 108,872 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-04-18
Maturity Price : 22.27
Evaluated at bid price : 23.00
Bid-YTW : 6.63 %
POW.PR.D Perpetual-Discount 108,100 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-04-18
Maturity Price : 18.78
Evaluated at bid price : 18.78
Bid-YTW : 6.72 %
There were 20 other index-included issues trading in excess of 10,000 shares.
Wide Spread Highlights
Issue Index Quote Data and Yield Notes
BN.PF.G FixedReset Disc Quote: 17.60 – 19.00
Spot Rate : 1.4000
Average : 0.9228

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-04-18
Maturity Price : 17.60
Evaluated at bid price : 17.60
Bid-YTW : 9.03 %
MFC.PR.C Insurance Straight Quote: 17.13 – 18.13
Spot Rate : 1.0000
Average : 0.5861

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-04-18
Maturity Price : 17.13
Evaluated at bid price : 17.13
Bid-YTW : 6.66 %
GWO.PR.R Insurance Straight Quote: 18.00 – 18.90
Spot Rate : 0.9000
Average : 0.6676

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-04-18
Maturity Price : 18.00
Evaluated at bid price : 18.00
Bid-YTW : 6.75 %
GWO.PR.Y Insurance Straight Quote: 16.81 – 17.40
Spot Rate : 0.5900
Average : 0.3951

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-04-18
Maturity Price : 16.81
Evaluated at bid price : 16.81
Bid-YTW : 6.77 %
BN.PR.X FixedReset Disc Quote: 15.30 – 15.87
Spot Rate : 0.5700
Average : 0.4008

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-04-18
Maturity Price : 15.30
Evaluated at bid price : 15.30
Bid-YTW : 8.78 %
BN.PR.B Floater Quote: 12.34 – 12.65
Spot Rate : 0.3100
Average : 0.2105

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-04-18
Maturity Price : 12.34
Evaluated at bid price : 12.34
Bid-YTW : 10.39 %

Posted in Market Action | No Comments »

April 17, 2024

April 17th, 2024

PerpetualDiscounts now yield 6.75%, equivalent to 8.78% interest at the standard equivalency factor of 1.3x. Long corporates yielded 5.18% on 2024-4-5 and since then the closing price of ZLC has changed from 14.79 to 14.62, a decrease of 115bp in price, implying an increase of yields of 9bp (BMO reports a duration of 12.33, but don’t disclose whether this is Macaulay or Modified; I will assume Modified) to 5.27%. Therefore, the pre-tax interest-equivalent spread (in this context, the “Seniority Spread”) has widened slightly (and perhaps spuriously) to 350bp from the 345bp reported April 10.

HIMIPref™ Preferred Indices
These values reflect the December 2008 revision of the HIMIPref™ Indices
Values are provisional and are finalized monthly
Index Mean
Current
Yield
(at bid)		 Median
YTW		 Median
Average
Trading
Value		 Median
Mod Dur
(YTW)		 Issues Day’s Perf. Index Value
Ratchet 0.00 % 0.00 % 0 0.00 0 0.0000 % 2,370.0
FixedFloater 0.00 % 0.00 % 0 0.00 0 0.0000 % 4,545.6
Floater 10.15 % 10.33 % 45,677 9.28 1 0.0000 % 2,619.7
OpRet 0.00 % 0.00 % 0 0.00 0 0.0419 % 3,432.3
SplitShare 4.90 % 7.09 % 31,755 1.75 7 0.0419 % 4,098.9
Interest-Bearing 0.00 % 0.00 % 0 0.00 0 0.0419 % 3,198.2
Perpetual-Premium 0.00 % 0.00 % 0 0.00 0 0.0286 % 2,593.1
Perpetual-Discount 6.63 % 6.75 % 45,341 12.91 29 0.0286 % 2,827.7
FixedReset Disc 5.26 % 7.31 % 109,312 12.09 57 0.2587 % 2,527.4
Insurance Straight 6.55 % 6.71 % 53,643 12.92 21 0.3232 % 2,769.1
FloatingReset 9.53 % 9.48 % 29,155 9.96 2 0.1312 % 2,682.8
FixedReset Prem 6.40 % 6.56 % 205,858 3.16 3 0.2129 % 2,513.5
FixedReset Bank Non 0.00 % 0.00 % 0 0.00 0 0.2587 % 2,583.5
FixedReset Ins Non 5.37 % 7.40 % 70,853 12.30 14 -0.0036 % 2,645.6
Performance Highlights
Issue Index Change Notes
BN.PR.M Perpetual-Discount -1.91 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-04-17
Maturity Price : 16.97
Evaluated at bid price : 16.97
Bid-YTW : 7.08 %
MFC.PR.I FixedReset Ins Non -1.46 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-04-17
Maturity Price : 21.90
Evaluated at bid price : 22.25
Bid-YTW : 7.33 %
NA.PR.S FixedReset Disc 1.01 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-04-17
Maturity Price : 22.23
Evaluated at bid price : 22.93
Bid-YTW : 6.65 %
BN.PF.B FixedReset Disc 1.07 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-04-17
Maturity Price : 18.86
Evaluated at bid price : 18.86
Bid-YTW : 8.44 %
MFC.PR.C Insurance Straight 1.18 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-04-17
Maturity Price : 18.06
Evaluated at bid price : 18.06
Bid-YTW : 6.31 %
CCS.PR.C Insurance Straight 1.18 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-04-17
Maturity Price : 18.88
Evaluated at bid price : 18.88
Bid-YTW : 6.70 %
FTS.PR.H FixedReset Disc 1.18 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-04-17
Maturity Price : 15.43
Evaluated at bid price : 15.43
Bid-YTW : 8.09 %
SLF.PR.D Insurance Straight 1.18 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-04-17
Maturity Price : 18.00
Evaluated at bid price : 18.00
Bid-YTW : 6.25 %
BN.PR.Z FixedReset Disc 1.20 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-04-17
Maturity Price : 19.38
Evaluated at bid price : 19.38
Bid-YTW : 8.53 %
CU.PR.C FixedReset Disc 1.37 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-04-17
Maturity Price : 19.98
Evaluated at bid price : 19.98
Bid-YTW : 7.55 %
MFC.PR.B Insurance Straight 1.42 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-04-17
Maturity Price : 18.55
Evaluated at bid price : 18.55
Bid-YTW : 6.35 %
RY.PR.M FixedReset Disc 1.55 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-04-17
Maturity Price : 22.61
Evaluated at bid price : 23.00
Bid-YTW : 6.60 %
CM.PR.P FixedReset Disc 1.64 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-04-17
Maturity Price : 22.22
Evaluated at bid price : 22.96
Bid-YTW : 6.36 %
RY.PR.S FixedReset Disc 1.94 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-04-17
Maturity Price : 22.65
Evaluated at bid price : 23.70
Bid-YTW : 6.44 %
RY.PR.N Perpetual-Discount 2.25 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-04-17
Maturity Price : 22.42
Evaluated at bid price : 22.70
Bid-YTW : 5.47 %
IFC.PR.F Insurance Straight 2.59 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-04-17
Maturity Price : 19.80
Evaluated at bid price : 19.80
Bid-YTW : 6.77 %
Volume Highlights
Issue Index Shares
Traded		 Notes
RY.PR.Z FixedReset Disc 1,250,934 YTW SCENARIO
Maturity Type : Call
Maturity Date : 2024-05-24
Maturity Price : 25.00
Evaluated at bid price : 25.10
Bid-YTW : 5.08 %
CM.PR.T FixedReset Disc 223,296 YTW SCENARIO
Maturity Type : Call
Maturity Date : 2024-05-30
Maturity Price : 25.00
Evaluated at bid price : 24.95
Bid-YTW : 5.64 %
RY.PR.J FixedReset Disc 128,122 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-04-17
Maturity Price : 23.15
Evaluated at bid price : 23.68
Bid-YTW : 6.67 %
RY.PR.H FixedReset Disc 125,463 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-04-17
Maturity Price : 23.33
Evaluated at bid price : 24.20
Bid-YTW : 6.20 %
BMO.PR.T FixedReset Disc 82,510 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-04-17
Maturity Price : 23.47
Evaluated at bid price : 24.32
Bid-YTW : 6.15 %
TD.PF.L FixedReset Prem 69,950 YTW SCENARIO
Maturity Type : Call
Maturity Date : 2024-05-30
Maturity Price : 25.00
Evaluated at bid price : 24.95
Bid-YTW : 5.39 %
There were 17 other index-included issues trading in excess of 10,000 shares.
Wide Spread Highlights
Issue Index Quote Data and Yield Notes
TD.PF.E FixedReset Disc Quote: 23.11 – 23.95
Spot Rate : 0.8400
Average : 0.6208

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-04-17
Maturity Price : 22.70
Evaluated at bid price : 23.11
Bid-YTW : 6.74 %
BN.PR.M Perpetual-Discount Quote: 16.97 – 17.60
Spot Rate : 0.6300
Average : 0.4665

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-04-17
Maturity Price : 16.97
Evaluated at bid price : 16.97
Bid-YTW : 7.08 %
CCS.PR.C Insurance Straight Quote: 18.88 – 20.00
Spot Rate : 1.1200
Average : 0.9832

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-04-17
Maturity Price : 18.88
Evaluated at bid price : 18.88
Bid-YTW : 6.70 %
BN.PF.A FixedReset Disc Quote: 21.05 – 22.67
Spot Rate : 1.6200
Average : 1.5004

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-04-17
Maturity Price : 21.05
Evaluated at bid price : 21.05
Bid-YTW : 8.02 %
NA.PR.G FixedReset Prem Quote: 25.12 – 25.47
Spot Rate : 0.3500
Average : 0.2470

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-04-17
Maturity Price : 23.23
Evaluated at bid price : 25.12
Bid-YTW : 6.56 %
TD.PF.J FixedReset Disc Quote: 23.20 – 23.59
Spot Rate : 0.3900
Average : 0.2904

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-04-17
Maturity Price : 22.45
Evaluated at bid price : 23.20
Bid-YTW : 6.74 %

Posted in Market Action | 1 Comment »

RY.PR.Z To Be Redeemed

April 16th, 2024

Royal Bank of Canada has announced:

its intention to redeem all of its issued and outstanding Non-Viability Contingent Capital (NVCC) Non-Cumulative 5-Year Rate Reset First Preferred Shares, Series AZ (Series AZ shares) (TSX: RY.PR.Z) on May 24, 2024, for cash at a redemption price of $25.00 per share to be paid on May 24, 2024.

There are 20,000,000 Series AZ shares outstanding, representing $500 million of capital. The redemptions will be financed out of the general corporate funds of Royal Bank of Canada.

The final quarterly dividend of $0.23125 for each of the Series AZ shares will be paid separately from the redemption price for each of the Series AZ Shares and in the usual manner on May 24, 2024 to shareholders of record at the close of business on April 25, 2024. After such dividend payments, the holders of Series AZ shares will cease to be entitled to dividends.

RY.PR.Z is a NVCC-compliant FixedReset, 4.00%+221, that commenced trading 2014-1-30 after being announced 2014-1-21. The extension was announced 2019-4-12. The issue reset At 3.700% effective May 24, 2019. I recommended against conversion and there was no conversion. This issue is tracked by HIMIPref™ and is assigned to the FixedReset-Discount subindex.

Thanks to Assiduous Readers Peculiar_Investor and bluehawk for bringing this to my attention!

Posted in Issue Comments | 9 Comments »

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