July 17, 2024

July 17th, 2024

PerpetualDiscounts now yield 6.48%, equivalent to 8.42% interest at the standard equivalency factor of 1.3x. Long corporates yielded 5.12% on 2024-6-30 (sic! That was a Sunday. I am assuming 2024-6-28) and since then the closing price of ZLC has changed from 14.82 to 15.10, an increase of 189bp in price, implying a decrease of yields of 15bp (BMO reports a duration of 12.33, but don’t disclose whether this is Macaulay or Modified; I will assume Modified) to 4.97%. Therefore, the pre-tax interest-equivalent spread (in this context, the “Seniority Spread”) has remained steady at the 345bp reported July 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 -0.0875 % 2,178.0
FixedFloater 0.00 % 0.00 % 0 0.00 0 -0.0875 % 4,177.4
Floater 10.65 % 10.85 % 24,203 8.91 2 -0.0875 % 2,407.4
OpRet 0.00 % 0.00 % 0 0.00 0 0.0411 % 3,498.4
SplitShare 4.78 % 6.79 % 28,549 1.23 6 0.0411 % 4,177.9
Interest-Bearing 0.00 % 0.00 % 0 0.00 0 0.0411 % 3,259.7
Perpetual-Premium 0.00 % 0.00 % 0 0.00 0 0.0475 % 2,720.1
Perpetual-Discount 6.33 % 6.48 % 56,010 13.25 28 0.0475 % 2,966.1
FixedReset Disc 5.13 % 7.04 % 114,203 12.49 49 0.2293 % 2,638.0
Insurance Straight 6.14 % 6.37 % 60,336 13.38 21 -0.5406 % 2,910.7
FloatingReset 9.18 % 8.93 % 29,761 10.44 4 0.1797 % 2,791.4
FixedReset Prem 5.84 % 6.22 % 254,057 11.92 8 -0.2127 % 2,528.8
FixedReset Bank Non 0.00 % 0.00 % 0 0.00 0 0.2293 % 2,696.5
FixedReset Ins Non 5.22 % 6.61 % 93,336 13.21 14 0.3235 % 2,814.0
Performance Highlights
Issue Index Change Notes
GWO.PR.T Insurance Straight -15.34 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-07-17
Maturity Price : 17.05
Evaluated at bid price : 17.05
Bid-YTW : 7.65 %
BN.PR.X FixedReset Disc -1.96 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-07-17
Maturity Price : 16.01
Evaluated at bid price : 16.01
Bid-YTW : 8.03 %
FTS.PR.H FixedReset Disc -1.39 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-07-17
Maturity Price : 14.95
Evaluated at bid price : 14.95
Bid-YTW : 7.87 %
GWO.PR.P Insurance Straight -1.32 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-07-17
Maturity Price : 20.90
Evaluated at bid price : 20.90
Bid-YTW : 6.53 %
BIP.PR.E FixedReset Disc -1.28 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-07-17
Maturity Price : 21.91
Evaluated at bid price : 22.29
Bid-YTW : 7.34 %
BN.PR.T FixedReset Disc -1.26 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-07-17
Maturity Price : 16.40
Evaluated at bid price : 16.40
Bid-YTW : 8.21 %
BIK.PR.A FixedReset Prem -1.14 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-07-17
Maturity Price : 23.27
Evaluated at bid price : 25.26
Bid-YTW : 7.35 %
POW.PR.A Perpetual-Discount -1.10 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-07-17
Maturity Price : 21.39
Evaluated at bid price : 21.66
Bid-YTW : 6.50 %
MFC.PR.Q FixedReset Ins Non 1.08 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-07-17
Maturity Price : 22.57
Evaluated at bid price : 23.40
Bid-YTW : 6.41 %
MFC.PR.M FixedReset Ins Non 1.30 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-07-17
Maturity Price : 21.47
Evaluated at bid price : 21.78
Bid-YTW : 6.61 %
GWO.PR.I Insurance Straight 1.46 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-07-17
Maturity Price : 18.04
Evaluated at bid price : 18.04
Bid-YTW : 6.31 %
FTS.PR.M FixedReset Disc 1.51 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-07-17
Maturity Price : 20.20
Evaluated at bid price : 20.20
Bid-YTW : 7.33 %
BIP.PR.A FixedReset Disc 1.58 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-07-17
Maturity Price : 22.61
Evaluated at bid price : 23.15
Bid-YTW : 7.34 %
RY.PR.S FixedReset Disc 1.71 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-07-17
Maturity Price : 23.16
Evaluated at bid price : 24.92
Bid-YTW : 5.85 %
BN.PR.R FixedReset Disc 2.03 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-07-17
Maturity Price : 16.58
Evaluated at bid price : 16.58
Bid-YTW : 8.12 %
BN.PF.F FixedReset Disc 2.34 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-07-17
Maturity Price : 20.16
Evaluated at bid price : 20.16
Bid-YTW : 7.82 %
CU.PR.C FixedReset Disc 6.74 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-07-17
Maturity Price : 20.75
Evaluated at bid price : 20.75
Bid-YTW : 6.97 %
Volume Highlights
Issue Index Shares
Traded
Notes
TD.PF.B FixedReset Prem 604,274 YTW SCENARIO
Maturity Type : Call
Maturity Date : 2024-08-30
Maturity Price : 25.00
Evaluated at bid price : 24.95
Bid-YTW : 5.60 %
CM.PR.O FixedReset Disc 563,700 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-07-17
Maturity Price : 23.97
Evaluated at bid price : 24.95
Bid-YTW : 5.72 %
BMO.PR.T FixedReset Disc 311,800 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-07-17
Maturity Price : 24.01
Evaluated at bid price : 25.00
Bid-YTW : 5.66 %
TD.PF.I FixedReset Prem 127,300 YTW SCENARIO
Maturity Type : Call
Maturity Date : 2027-10-31
Maturity Price : 25.00
Evaluated at bid price : 25.30
Bid-YTW : 5.86 %
RY.PR.J FixedReset Disc 116,317 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-07-17
Maturity Price : 23.56
Evaluated at bid price : 24.14
Bid-YTW : 6.24 %
FTS.PR.M FixedReset Disc 71,875 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-07-17
Maturity Price : 20.20
Evaluated at bid price : 20.20
Bid-YTW : 7.33 %
There were 23 other index-included issues trading in excess of 10,000 shares.
Wide Spread Highlights
Issue Index Quote Data and Yield Notes
GWO.PR.Y Insurance Straight Quote: 17.82 – 22.20
Spot Rate : 4.3800
Average : 2.3268

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-07-17
Maturity Price : 17.82
Evaluated at bid price : 17.82
Bid-YTW : 6.38 %

GWO.PR.T Insurance Straight Quote: 17.05 – 20.31
Spot Rate : 3.2600
Average : 1.8238

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-07-17
Maturity Price : 17.05
Evaluated at bid price : 17.05
Bid-YTW : 7.65 %

MFC.PR.M FixedReset Ins Non Quote: 21.78 – 22.78
Spot Rate : 1.0000
Average : 0.6853

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-07-17
Maturity Price : 21.47
Evaluated at bid price : 21.78
Bid-YTW : 6.61 %

IFC.PR.E Insurance Straight Quote: 21.50 – 23.22
Spot Rate : 1.7200
Average : 1.4502

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-07-17
Maturity Price : 21.50
Evaluated at bid price : 21.50
Bid-YTW : 6.11 %

BN.PR.X FixedReset Disc Quote: 16.01 – 16.80
Spot Rate : 0.7900
Average : 0.6204

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-07-17
Maturity Price : 16.01
Evaluated at bid price : 16.01
Bid-YTW : 8.03 %

NA.PR.W FixedReset Disc Quote: 22.05 – 22.51
Spot Rate : 0.4600
Average : 0.3010

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-07-17
Maturity Price : 21.65
Evaluated at bid price : 22.05
Bid-YTW : 6.33 %

July 16, 2024

July 16th, 2024

Canadian inflation came in low:

The Consumer Price Index rose 2.7 per cent in June on an annual basis, down from 2.9 per cent in May, Statistics Canada said Tuesday in a report. Financial analysts were expecting the inflation rate to ease to 2.8 per cent.

This is the sixth consecutive month that inflation has fallen within the Bank of Canada’s target range of 1 per cent to 3 per cent. Moreover, it’s the fifth out of six months this year that headline inflation has proven soft, relative to expectations on Bay Street.

On a month-to-month basis, consumer prices fell 0.1 per cent in June, without adjustments for seasonality.

There were several contributors to the weaker reading. For example, gasoline prices fell 3.1 per cent in June from May, while prices for travel tours tumbled by 11.1 per cent.

… this had an immediate effect on the money market:


Pre-announcement

Post-announcement

But the IMF warns us not to expect too much:

The International Monetary Fund has warned that stubborn inflation could keep interest rates higher for longer than expected, increasing fiscal and financial risks around the world.

Persistently high prices for services — which include haircuts, hotels and restaurants — as well as escalating trade tensions are propping up inflation and raising the prospect that interest rates will stay high for a while yet, the IMF cautioned Tuesday in its latest World Economic Outlook.

The warning highlights that the global economy is not yet in the clear when it comes to inflation, which explains the caution on the part of central banks in cutting interest rates. High borrowing costs, in turn, are prolonging the squeeze on household and business finances.

The agency blamed sticky services price inflation for “holding up progress” on reducing overall inflation. “Risks of persistent inflation in the services sector are tied to both wage- and price-setting, given that labor accounts for a high share of the costs in that sector,” it noted.

“The escalation of trade tensions could further raise near-term risks to inflation by increasing the cost of imported goods.”

So: when in doubt – shop!

Wall Street is cheering after fresh data showed American consumers aren’t tapping out quite yet, despite a disappointing few months for retailers.

US retail spending has been mostly flat since the beginning of the year, holding steady in June, the Commerce Department reported Tuesday. Consumer spending is American’s main economic engine, powering two-thirds of the US economy. Retail sales, which capture spending on goods and food services, make up a big chunk of overall spending.

June’s reading was better than the outright decline economists projected in a FactSet poll — a shift from prior months when retail sales consistently came in worse than expected. The figures are adjusted for seasonal swings but not inflation.

US consumers’ surprising show of resilience helped send stocks higher on Tuesday, with the Dow reaching a new record.

Sales at gas stations declined the most last month, dropping 3% from May. Spending at car dealerships and on automotive parts also fell markedly in June, reflecting the cyberattack on CDK Global, a software provider for dealerships. Excluding spending at gas stations and on cars, sales were up a solid 0.8% in June.

Meanwhile, online sales were up a healthy 1.9% in June. The strength from that category could persist in July due to Amazon’s annual deal event known as Prime Day. Sales at home improvement stores were also robust last month, rising 1.4%

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 0.3072 % 2,179.9
FixedFloater 0.00 % 0.00 % 0 0.00 0 0.3072 % 4,181.0
Floater 10.64 % 10.81 % 87,574 8.93 2 0.3072 % 2,409.6
OpRet 0.00 % 0.00 % 0 0.00 0 0.2818 % 3,497.0
SplitShare 4.78 % 6.72 % 28,785 1.23 6 0.2818 % 4,176.2
Interest-Bearing 0.00 % 0.00 % 0 0.00 0 0.2818 % 3,258.4
Perpetual-Premium 0.00 % 0.00 % 0 0.00 0 0.0917 % 2,718.8
Perpetual-Discount 6.33 % 6.47 % 56,115 13.27 28 0.0917 % 2,964.7
FixedReset Disc 5.14 % 7.06 % 112,654 12.48 49 0.0928 % 2,631.9
Insurance Straight 6.10 % 6.37 % 61,022 13.39 21 0.3216 % 2,926.6
FloatingReset 9.19 % 8.95 % 30,968 10.43 4 -0.6122 % 2,786.4
FixedReset Prem 5.83 % 6.20 % 258,391 3.94 8 0.0148 % 2,534.2
FixedReset Bank Non 0.00 % 0.00 % 0 0.00 0 0.0928 % 2,690.4
FixedReset Ins Non 5.24 % 6.62 % 94,319 13.12 14 0.0448 % 2,804.9
Performance Highlights
Issue Index Change Notes
CU.PR.C FixedReset Disc -6.54 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-07-16
Maturity Price : 19.44
Evaluated at bid price : 19.44
Bid-YTW : 7.44 %
BN.PF.F FixedReset Disc -3.34 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-07-16
Maturity Price : 19.70
Evaluated at bid price : 19.70
Bid-YTW : 8.00 %
RY.PR.S FixedReset Disc -1.80 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-07-16
Maturity Price : 23.01
Evaluated at bid price : 24.50
Bid-YTW : 5.97 %
GWO.PR.I Insurance Straight -1.77 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-07-16
Maturity Price : 17.78
Evaluated at bid price : 17.78
Bid-YTW : 6.40 %
FFH.PR.J FloatingReset -1.26 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-07-16
Maturity Price : 19.55
Evaluated at bid price : 19.55
Bid-YTW : 9.77 %
BN.PF.C Perpetual-Discount -1.09 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-07-16
Maturity Price : 18.15
Evaluated at bid price : 18.15
Bid-YTW : 6.76 %
GWO.PR.H Insurance Straight 1.15 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-07-16
Maturity Price : 19.30
Evaluated at bid price : 19.30
Bid-YTW : 6.35 %
POW.PR.A Perpetual-Discount 1.15 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-07-16
Maturity Price : 21.65
Evaluated at bid price : 21.90
Bid-YTW : 6.43 %
BN.PR.X FixedReset Disc 1.18 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-07-16
Maturity Price : 16.33
Evaluated at bid price : 16.33
Bid-YTW : 7.87 %
BN.PR.T FixedReset Disc 1.28 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-07-16
Maturity Price : 16.61
Evaluated at bid price : 16.61
Bid-YTW : 8.11 %
GWO.PR.P Insurance Straight 1.29 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-07-16
Maturity Price : 21.18
Evaluated at bid price : 21.18
Bid-YTW : 6.45 %
SLF.PR.C Insurance Straight 1.32 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-07-16
Maturity Price : 19.20
Evaluated at bid price : 19.20
Bid-YTW : 5.85 %
SLF.PR.D Insurance Straight 1.32 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-07-16
Maturity Price : 19.16
Evaluated at bid price : 19.16
Bid-YTW : 5.87 %
PVS.PR.J SplitShare 1.93 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2028-02-29
Maturity Price : 25.00
Evaluated at bid price : 23.75
Bid-YTW : 6.14 %
BIP.PR.E FixedReset Disc 7.01 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-07-16
Maturity Price : 22.11
Evaluated at bid price : 22.58
Bid-YTW : 7.23 %
Volume Highlights
Issue Index Shares
Traded
Notes
CM.PR.O FixedReset Disc 175,200 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-07-16
Maturity Price : 23.96
Evaluated at bid price : 24.94
Bid-YTW : 5.72 %
TD.PF.C FixedReset Disc 106,924 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-07-16
Maturity Price : 23.31
Evaluated at bid price : 24.05
Bid-YTW : 5.81 %
TD.PF.M FixedReset Prem 101,200 YTW SCENARIO
Maturity Type : Call
Maturity Date : 2024-08-30
Maturity Price : 25.00
Evaluated at bid price : 24.94
Bid-YTW : 6.69 %
GWO.PR.P Insurance Straight 76,260 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-07-16
Maturity Price : 21.18
Evaluated at bid price : 21.18
Bid-YTW : 6.45 %
CM.PR.S FixedReset Disc 75,600 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-07-16
Maturity Price : 24.19
Evaluated at bid price : 24.19
Bid-YTW : 6.09 %
SLF.PR.G FixedReset Ins Non 75,014 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-07-16
Maturity Price : 17.12
Evaluated at bid price : 17.12
Bid-YTW : 6.79 %
There were 17 other index-included issues trading in excess of 10,000 shares.
Wide Spread Highlights
Issue Index Quote Data and Yield Notes
IFC.PR.E Insurance Straight Quote: 21.35 – 23.22
Spot Rate : 1.8700
Average : 1.1545

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-07-16
Maturity Price : 21.35
Evaluated at bid price : 21.35
Bid-YTW : 6.15 %

CU.PR.C FixedReset Disc Quote: 19.44 – 21.05
Spot Rate : 1.6100
Average : 1.0306

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-07-16
Maturity Price : 19.44
Evaluated at bid price : 19.44
Bid-YTW : 7.44 %

GWO.PR.G Insurance Straight Quote: 20.46 – 21.41
Spot Rate : 0.9500
Average : 0.5774

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-07-16
Maturity Price : 20.46
Evaluated at bid price : 20.46
Bid-YTW : 6.42 %

BN.PF.F FixedReset Disc Quote: 19.70 – 20.55
Spot Rate : 0.8500
Average : 0.6016

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-07-16
Maturity Price : 19.70
Evaluated at bid price : 19.70
Bid-YTW : 8.00 %

PVS.PR.J SplitShare Quote: 23.75 – 24.90
Spot Rate : 1.1500
Average : 0.9098

YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2028-02-29
Maturity Price : 25.00
Evaluated at bid price : 23.75
Bid-YTW : 6.14 %

GWO.PR.I Insurance Straight Quote: 17.78 – 18.50
Spot Rate : 0.7200
Average : 0.5530

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-07-16
Maturity Price : 17.78
Evaluated at bid price : 17.78
Bid-YTW : 6.40 %

July 15, 2024

July 15th, 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 -0.8268 % 2,173.2
FixedFloater 0.00 % 0.00 % 0 0.00 0 -0.8268 % 4,168.2
Floater 10.67 % 10.82 % 24,559 8.93 2 -0.8268 % 2,402.2
OpRet 0.00 % 0.00 % 0 0.00 0 -0.1373 % 3,487.2
SplitShare 4.79 % 6.83 % 31,322 1.24 6 -0.1373 % 4,164.4
Interest-Bearing 0.00 % 0.00 % 0 0.00 0 -0.1373 % 3,249.2
Perpetual-Premium 0.00 % 0.00 % 0 0.00 0 0.3147 % 2,716.3
Perpetual-Discount 6.34 % 6.49 % 51,925 13.27 28 0.3147 % 2,962.0
FixedReset Disc 5.14 % 7.05 % 113,063 12.49 49 0.3658 % 2,629.5
Insurance Straight 6.12 % 6.37 % 60,113 13.39 21 -0.1477 % 2,917.2
FloatingReset 9.14 % 8.89 % 30,921 10.49 4 1.9506 % 2,803.5
FixedReset Prem 5.83 % 6.19 % 253,025 3.94 8 0.0693 % 2,533.9
FixedReset Bank Non 0.00 % 0.00 % 0 0.00 0 0.3658 % 2,687.9
FixedReset Ins Non 5.24 % 6.62 % 94,872 13.13 14 0.8052 % 2,803.6
Performance Highlights
Issue Index Change Notes
BIP.PR.E FixedReset Disc -6.22 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-07-15
Maturity Price : 21.10
Evaluated at bid price : 21.10
Bid-YTW : 7.77 %
BN.PR.Z FixedReset Disc -3.16 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-07-15
Maturity Price : 20.25
Evaluated at bid price : 20.25
Bid-YTW : 7.88 %
PVS.PR.J SplitShare -1.69 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2028-02-29
Maturity Price : 25.00
Evaluated at bid price : 23.30
Bid-YTW : 6.73 %
BN.PR.B Floater -1.48 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-07-15
Maturity Price : 11.35
Evaluated at bid price : 11.35
Bid-YTW : 10.91 %
IFC.PR.F Insurance Straight -1.18 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-07-15
Maturity Price : 21.79
Evaluated at bid price : 21.79
Bid-YTW : 6.14 %
MFC.PR.Q FixedReset Ins Non -1.07 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-07-15
Maturity Price : 22.43
Evaluated at bid price : 23.15
Bid-YTW : 6.48 %
FFH.PR.J FloatingReset 1.02 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-07-15
Maturity Price : 19.80
Evaluated at bid price : 19.80
Bid-YTW : 9.65 %
FFH.PR.H FloatingReset 1.07 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-07-15
Maturity Price : 18.90
Evaluated at bid price : 18.90
Bid-YTW : 9.72 %
FFH.PR.G FixedReset Disc 1.07 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-07-15
Maturity Price : 17.89
Evaluated at bid price : 17.89
Bid-YTW : 8.01 %
GWO.PR.I Insurance Straight 1.12 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-07-15
Maturity Price : 18.10
Evaluated at bid price : 18.10
Bid-YTW : 6.28 %
BN.PF.D Perpetual-Discount 1.15 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-07-15
Maturity Price : 18.50
Evaluated at bid price : 18.50
Bid-YTW : 6.70 %
BN.PF.E FixedReset Disc 1.28 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-07-15
Maturity Price : 18.99
Evaluated at bid price : 18.99
Bid-YTW : 7.75 %
PWF.PR.L Perpetual-Discount 1.33 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-07-15
Maturity Price : 19.86
Evaluated at bid price : 19.86
Bid-YTW : 6.45 %
CU.PR.G Perpetual-Discount 1.42 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-07-15
Maturity Price : 17.80
Evaluated at bid price : 17.80
Bid-YTW : 6.43 %
MIC.PR.A Perpetual-Discount 1.76 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-07-15
Maturity Price : 19.69
Evaluated at bid price : 19.69
Bid-YTW : 6.94 %
BIP.PR.B FixedReset Disc 2.01 % YTW SCENARIO
Maturity Type : Call
Maturity Date : 2025-12-31
Maturity Price : 25.00
Evaluated at bid price : 24.33
Bid-YTW : 7.68 %
CM.PR.P FixedReset Disc 2.34 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-07-15
Maturity Price : 23.31
Evaluated at bid price : 24.05
Bid-YTW : 5.80 %
CU.PR.C FixedReset Disc 3.17 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-07-15
Maturity Price : 20.80
Evaluated at bid price : 20.80
Bid-YTW : 6.95 %
SLF.PR.H FixedReset Ins Non 4.94 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-07-15
Maturity Price : 19.74
Evaluated at bid price : 19.74
Bid-YTW : 6.62 %
SLF.PR.J FloatingReset 6.75 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-07-15
Maturity Price : 17.40
Evaluated at bid price : 17.40
Bid-YTW : 8.86 %
TD.PF.D FixedReset Disc 7.92 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-07-15
Maturity Price : 23.31
Evaluated at bid price : 23.85
Bid-YTW : 6.28 %
IFC.PR.C FixedReset Ins Non 8.33 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-07-15
Maturity Price : 20.80
Evaluated at bid price : 20.80
Bid-YTW : 6.86 %
PWF.PR.P FixedReset Disc 9.38 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-07-15
Maturity Price : 15.40
Evaluated at bid price : 15.40
Bid-YTW : 7.60 %
Volume Highlights
Issue Index Shares
Traded
Notes
TD.PF.C FixedReset Disc 295,000 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-07-15
Maturity Price : 23.29
Evaluated at bid price : 24.03
Bid-YTW : 5.81 %
TD.PF.A FixedReset Disc 71,800 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-07-15
Maturity Price : 23.45
Evaluated at bid price : 24.35
Bid-YTW : 5.74 %
BMO.PR.T FixedReset Disc 58,900 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-07-15
Maturity Price : 24.06
Evaluated at bid price : 25.02
Bid-YTW : 5.65 %
TD.PF.E FixedReset Disc 41,400 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-07-15
Maturity Price : 23.27
Evaluated at bid price : 23.74
Bid-YTW : 6.34 %
BN.PF.G FixedReset Disc 35,000 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-07-15
Maturity Price : 18.86
Evaluated at bid price : 18.86
Bid-YTW : 8.06 %
NA.PR.G FixedReset Prem 27,700 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-07-15
Maturity Price : 23.27
Evaluated at bid price : 25.16
Bid-YTW : 6.30 %
There were 10 other index-included issues trading in excess of 10,000 shares.
Wide Spread Highlights
Issue Index Quote Data and Yield Notes
BIP.PR.E FixedReset Disc Quote: 21.10 – 22.75
Spot Rate : 1.6500
Average : 1.0006

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-07-15
Maturity Price : 21.10
Evaluated at bid price : 21.10
Bid-YTW : 7.77 %

MFC.PR.M FixedReset Ins Non Quote: 21.60 – 22.60
Spot Rate : 1.0000
Average : 0.6037

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-07-15
Maturity Price : 21.60
Evaluated at bid price : 21.60
Bid-YTW : 6.68 %

IFC.PR.I Insurance Straight Quote: 22.25 – 23.47
Spot Rate : 1.2200
Average : 0.8697

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-07-15
Maturity Price : 21.94
Evaluated at bid price : 22.25
Bid-YTW : 6.11 %

FTS.PR.J Perpetual-Discount Quote: 19.15 – 19.98
Spot Rate : 0.8300
Average : 0.5263

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-07-15
Maturity Price : 19.15
Evaluated at bid price : 19.15
Bid-YTW : 6.30 %

BN.PR.Z FixedReset Disc Quote: 20.25 – 21.25
Spot Rate : 1.0000
Average : 0.6996

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-07-15
Maturity Price : 20.25
Evaluated at bid price : 20.25
Bid-YTW : 7.88 %

IFC.PR.F Insurance Straight Quote: 21.79 – 22.99
Spot Rate : 1.2000
Average : 0.9175

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-07-15
Maturity Price : 21.79
Evaluated at bid price : 21.79
Bid-YTW : 6.14 %

July PrefLetter Released!

July 14th, 2024

The July, 2024, 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 July, 2024, issue, while the “next” edition will be the August, 2024, issue scheduled to be prepared as of the close August 9, and emailed to subscribers prior to the market-opening on August 12. 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.

July 12, 2024

July 12th, 2024
HIMIPref™ Preferred Indices
These values reflect the December 2008 revision of the HIMIPref™ Indices

Values are provisional and are finalized monthly
Index Mean
Current
Yield
(at bid)
Median
YTW
Median
Average
Trading
Value
Median
Mod Dur
(YTW)
Issues Day’s Perf. Index Value
Ratchet 0.00 % 0.00 % 0 0.00 0 0.3055 % 2,191.3
FixedFloater 0.00 % 0.00 % 0 0.00 0 0.3055 % 4,203.0
Floater 10.59 % 10.73 % 88,770 9.00 2 0.3055 % 2,422.2
OpRet 0.00 % 0.00 % 0 0.00 0 0.0412 % 3,492.0
SplitShare 4.79 % 6.76 % 32,609 1.24 6 0.0412 % 4,170.1
Interest-Bearing 0.00 % 0.00 % 0 0.00 0 0.0412 % 3,253.7
Perpetual-Premium 0.00 % 0.00 % 0 0.00 0 0.0920 % 2,707.8
Perpetual-Discount 6.36 % 6.50 % 50,679 13.24 28 0.0920 % 2,952.7
FixedReset Disc 5.16 % 7.05 % 117,469 12.46 49 -0.2186 % 2,619.9
Insurance Straight 6.11 % 6.36 % 59,466 13.40 21 0.4427 % 2,921.5
FloatingReset 9.31 % 9.46 % 31,306 10.00 4 -1.0932 % 2,749.9
FixedReset Prem 5.83 % 6.18 % 262,925 2.99 8 -0.0643 % 2,532.1
FixedReset Bank Non 0.00 % 0.00 % 0 0.00 0 -0.2186 % 2,678.1
FixedReset Ins Non 5.11 % 6.65 % 97,830 13.23 14 -0.2009 % 2,781.2
Performance Highlights
Issue Index Change Notes
IFC.PR.C FixedReset Ins Non -7.25 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-07-12
Maturity Price : 19.20
Evaluated at bid price : 19.20
Bid-YTW : 7.41 %
PWF.PR.P FixedReset Disc -7.19 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-07-12
Maturity Price : 14.08
Evaluated at bid price : 14.08
Bid-YTW : 8.27 %
TD.PF.D FixedReset Disc -7.14 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-07-12
Maturity Price : 21.68
Evaluated at bid price : 22.10
Bid-YTW : 6.77 %
SLF.PR.J FloatingReset -5.78 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-07-12
Maturity Price : 16.30
Evaluated at bid price : 16.30
Bid-YTW : 9.46 %
MFC.PR.I FixedReset Ins Non -3.92 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-07-12
Maturity Price : 22.59
Evaluated at bid price : 23.30
Bid-YTW : 6.71 %
CU.PR.C FixedReset Disc -2.84 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-07-12
Maturity Price : 20.16
Evaluated at bid price : 20.16
Bid-YTW : 7.17 %
BIP.PR.B FixedReset Disc -2.53 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-07-12
Maturity Price : 23.42
Evaluated at bid price : 23.85
Bid-YTW : 8.09 %
CM.PR.P FixedReset Disc -2.08 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-07-12
Maturity Price : 22.78
Evaluated at bid price : 23.50
Bid-YTW : 5.93 %
FTS.PR.M FixedReset Disc -1.35 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-07-12
Maturity Price : 19.75
Evaluated at bid price : 19.75
Bid-YTW : 7.49 %
FTS.PR.J Perpetual-Discount -1.29 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-07-12
Maturity Price : 19.06
Evaluated at bid price : 19.06
Bid-YTW : 6.33 %
PWF.PR.Z Perpetual-Discount -1.23 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-07-12
Maturity Price : 20.15
Evaluated at bid price : 20.15
Bid-YTW : 6.41 %
BN.PR.R FixedReset Disc -1.22 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-07-12
Maturity Price : 16.15
Evaluated at bid price : 16.15
Bid-YTW : 8.32 %
BN.PF.E FixedReset Disc -1.11 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-07-12
Maturity Price : 18.75
Evaluated at bid price : 18.75
Bid-YTW : 7.84 %
BN.PR.N Perpetual-Discount 1.07 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-07-12
Maturity Price : 17.90
Evaluated at bid price : 17.90
Bid-YTW : 6.71 %
IFC.PR.I Insurance Straight 1.14 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-07-12
Maturity Price : 21.94
Evaluated at bid price : 22.25
Bid-YTW : 6.11 %
NA.PR.E FixedReset Disc 1.44 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-07-12
Maturity Price : 22.83
Evaluated at bid price : 23.90
Bid-YTW : 6.17 %
IFC.PR.F Insurance Straight 1.66 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-07-12
Maturity Price : 22.05
Evaluated at bid price : 22.05
Bid-YTW : 6.07 %
MFC.PR.B Insurance Straight 1.82 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-07-12
Maturity Price : 19.60
Evaluated at bid price : 19.60
Bid-YTW : 6.00 %
BN.PF.C Perpetual-Discount 1.94 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-07-12
Maturity Price : 18.35
Evaluated at bid price : 18.35
Bid-YTW : 6.68 %
PWF.PR.T FixedReset Disc 5.83 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-07-12
Maturity Price : 21.51
Evaluated at bid price : 21.80
Bid-YTW : 6.58 %
IFC.PR.A FixedReset Ins Non 8.00 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-07-12
Maturity Price : 18.90
Evaluated at bid price : 18.90
Bid-YTW : 6.77 %
Volume Highlights
Issue Index Shares
Traded
Notes
TD.PF.B FixedReset Prem 391,614 YTW SCENARIO
Maturity Type : Call
Maturity Date : 2024-08-30
Maturity Price : 25.00
Evaluated at bid price : 24.94
Bid-YTW : 5.33 %
RY.PR.H FixedReset Prem 300,361 YTW SCENARIO
Maturity Type : Call
Maturity Date : 2024-08-24
Maturity Price : 25.00
Evaluated at bid price : 25.07
Bid-YTW : 5.41 %
CM.PR.O FixedReset Disc 288,700 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-07-12
Maturity Price : 23.97
Evaluated at bid price : 24.93
Bid-YTW : 5.72 %
TD.PF.M FixedReset Prem 259,500 YTW SCENARIO
Maturity Type : Call
Maturity Date : 2024-08-30
Maturity Price : 25.00
Evaluated at bid price : 24.93
Bid-YTW : 6.45 %
IFC.PR.G FixedReset Ins Non 114,500 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-07-12
Maturity Price : 22.36
Evaluated at bid price : 23.02
Bid-YTW : 6.52 %
MFC.PR.N FixedReset Ins Non 94,000 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-07-12
Maturity Price : 21.24
Evaluated at bid price : 21.24
Bid-YTW : 6.67 %
There were 29 other index-included issues trading in excess of 10,000 shares.
Wide Spread Highlights
Issue Index Quote Data and Yield Notes
IFC.PR.C FixedReset Ins Non Quote: 19.20 – 20.98
Spot Rate : 1.7800
Average : 1.0753

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

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

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

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

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

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

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

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

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

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

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

July 11, 2024

July 11th, 2024

So, there was good inflation news from the US:

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

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

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

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

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

Five-year Canadas are now at 3.44%.

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

Values are provisional and are finalized monthly
Index Mean
Current
Yield
(at bid)
Median
YTW
Median
Average
Trading
Value
Median
Mod Dur
(YTW)
Issues Day’s Perf. Index Value
Ratchet 0.00 % 0.00 % 0 0.00 0 1.2821 % 2,184.7
FixedFloater 0.00 % 0.00 % 0 0.00 0 1.2821 % 4,190.2
Floater 10.62 % 10.77 % 88,548 8.98 2 1.2821 % 2,414.8
OpRet 0.00 % 0.00 % 0 0.00 0 -0.1372 % 3,490.5
SplitShare 4.79 % 6.67 % 27,532 1.25 6 -0.1372 % 4,168.4
Interest-Bearing 0.00 % 0.00 % 0 0.00 0 -0.1372 % 3,252.4
Perpetual-Premium 0.00 % 0.00 % 0 0.00 0 0.3534 % 2,705.3
Perpetual-Discount 6.36 % 6.50 % 51,784 13.21 28 0.3534 % 2,950.0
FixedReset Disc 5.15 % 7.14 % 111,942 12.36 49 0.5244 % 2,625.7
Insurance Straight 6.14 % 6.38 % 61,478 13.38 21 0.3141 % 2,908.6
FloatingReset 9.25 % 8.95 % 32,569 10.45 4 -0.5500 % 2,780.3
FixedReset Prem 5.83 % 6.22 % 264,879 3.95 8 -0.0593 % 2,533.7
FixedReset Bank Non 0.00 % 0.00 % 0 0.00 0 0.5244 % 2,683.9
FixedReset Ins Non 5.10 % 6.75 % 100,887 13.15 14 -0.1867 % 2,786.8
Performance Highlights
Issue Index Change Notes
IFC.PR.A FixedReset Ins Non -8.38 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-07-11
Maturity Price : 17.50
Evaluated at bid price : 17.50
Bid-YTW : 7.39 %
PWF.PR.T FixedReset Disc -4.19 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-07-11
Maturity Price : 20.60
Evaluated at bid price : 20.60
Bid-YTW : 7.04 %
BN.PR.X FixedReset Disc -3.03 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-07-11
Maturity Price : 16.00
Evaluated at bid price : 16.00
Bid-YTW : 8.12 %
PWF.PR.G Perpetual-Discount -2.17 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-07-11
Maturity Price : 22.28
Evaluated at bid price : 22.55
Bid-YTW : 6.55 %
SLF.PR.J FloatingReset -2.15 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-07-11
Maturity Price : 17.30
Evaluated at bid price : 17.30
Bid-YTW : 8.95 %
MIC.PR.A Perpetual-Discount -1.43 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-07-11
Maturity Price : 19.31
Evaluated at bid price : 19.31
Bid-YTW : 7.07 %
BN.PF.H FixedReset Disc -1.22 % YTW SCENARIO
Maturity Type : Call
Maturity Date : 2025-12-31
Maturity Price : 25.00
Evaluated at bid price : 24.20
Bid-YTW : 7.48 %
GWO.PR.N FixedReset Ins Non -1.22 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-07-11
Maturity Price : 14.60
Evaluated at bid price : 14.60
Bid-YTW : 7.67 %
CU.PR.C FixedReset Disc -1.19 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-07-11
Maturity Price : 20.75
Evaluated at bid price : 20.75
Bid-YTW : 7.04 %
FFH.PR.G FixedReset Disc -1.12 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-07-11
Maturity Price : 17.71
Evaluated at bid price : 17.71
Bid-YTW : 8.19 %
TD.PF.E FixedReset Disc 1.07 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-07-11
Maturity Price : 23.08
Evaluated at bid price : 23.55
Bid-YTW : 6.46 %
FFH.PR.C FixedReset Disc 1.09 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-07-11
Maturity Price : 21.76
Evaluated at bid price : 22.20
Bid-YTW : 7.46 %
FFH.PR.K FixedReset Disc 1.12 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-07-11
Maturity Price : 21.34
Evaluated at bid price : 21.65
Bid-YTW : 7.69 %
BN.PR.K Floater 1.15 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-07-11
Maturity Price : 11.43
Evaluated at bid price : 11.43
Bid-YTW : 10.82 %
IFC.PR.G FixedReset Ins Non 1.33 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-07-11
Maturity Price : 22.22
Evaluated at bid price : 22.80
Bid-YTW : 6.66 %
BN.PR.B Floater 1.41 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-07-11
Maturity Price : 11.48
Evaluated at bid price : 11.48
Bid-YTW : 10.77 %
NA.PR.S FixedReset Disc 1.42 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-07-11
Maturity Price : 22.62
Evaluated at bid price : 23.64
Bid-YTW : 6.28 %
CCS.PR.C Insurance Straight 1.54 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-07-11
Maturity Price : 19.80
Evaluated at bid price : 19.80
Bid-YTW : 6.38 %
PWF.PR.Z Perpetual-Discount 1.59 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-07-11
Maturity Price : 20.40
Evaluated at bid price : 20.40
Bid-YTW : 6.33 %
IFC.PR.E Insurance Straight 1.66 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-07-11
Maturity Price : 21.41
Evaluated at bid price : 21.41
Bid-YTW : 6.13 %
PWF.PR.F Perpetual-Discount 1.75 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-07-11
Maturity Price : 20.35
Evaluated at bid price : 20.35
Bid-YTW : 6.47 %
BN.PR.Z FixedReset Disc 3.77 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-07-11
Maturity Price : 20.91
Evaluated at bid price : 20.91
Bid-YTW : 7.69 %
MFC.PR.I FixedReset Ins Non 3.94 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-07-11
Maturity Price : 23.06
Evaluated at bid price : 24.25
Bid-YTW : 6.49 %
PWF.PR.L Perpetual-Discount 4.71 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-07-11
Maturity Price : 19.58
Evaluated at bid price : 19.58
Bid-YTW : 6.54 %
TD.PF.D FixedReset Disc 6.54 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-07-11
Maturity Price : 23.26
Evaluated at bid price : 23.80
Bid-YTW : 6.36 %
PWF.PR.P FixedReset Disc 7.74 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-07-11
Maturity Price : 15.17
Evaluated at bid price : 15.17
Bid-YTW : 7.81 %
NA.PR.E FixedReset Disc 23.61 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-07-11
Maturity Price : 22.66
Evaluated at bid price : 23.56
Bid-YTW : 6.34 %
Volume Highlights
Issue Index Shares
Traded
Notes
CM.PR.O FixedReset Disc 252,167 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-07-11
Maturity Price : 23.96
Evaluated at bid price : 24.92
Bid-YTW : 5.80 %
CM.PR.P FixedReset Disc 204,732 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-07-11
Maturity Price : 23.27
Evaluated at bid price : 24.00
Bid-YTW : 5.89 %
MFC.PR.M FixedReset Ins Non 101,300 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-07-11
Maturity Price : 21.33
Evaluated at bid price : 21.60
Bid-YTW : 6.75 %
TD.PF.C FixedReset Disc 97,800 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-07-11
Maturity Price : 23.17
Evaluated at bid price : 23.91
Bid-YTW : 5.92 %
TD.PF.B FixedReset Prem 85,119 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-07-11
Maturity Price : 23.96
Evaluated at bid price : 24.92
Bid-YTW : 5.75 %
RY.PR.J FixedReset Disc 68,718 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-07-11
Maturity Price : 23.39
Evaluated at bid price : 23.98
Bid-YTW : 6.35 %
There were 16 other index-included issues trading in excess of 10,000 shares.
Wide Spread Highlights
Issue Index Quote Data and Yield Notes
IFC.PR.A FixedReset Ins Non Quote: 17.50 – 19.06
Spot Rate : 1.5600
Average : 1.0358

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

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

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

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

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

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

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

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

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

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

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

July 10, 2024

July 10th, 2024

I’ve updated the EQB LRCN post again.

PerpetualDiscounts now yield 6.52%, equivalent to 8.48% interest at the standard equivalency factor of 1.3x. Long corporates yielded 5.12% on 2024-6-30 (sic! That was a Sunday. I am assuming 2024-6-28) and since then the closing price of ZLC has changed from 14.82 to 14.94, an increase of 81bp in price, implying a decrease of yields of 7bp (BMO reports a duration of 12.33, but don’t disclose whether this is Macaulay or Modified; I will assume Modified) to 5.05%. Therefore, the pre-tax interest-equivalent spread (in this context, the “Seniority Spread”) has widened slighly (and perhaps spuriously) to 345bp from the 340bp reported July 3.

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

Values are provisional and are finalized monthly
Index Mean
Current
Yield
(at bid)
Median
YTW
Median
Average
Trading
Value
Median
Mod Dur
(YTW)
Issues Day’s Perf. Index Value
Ratchet 0.00 % 0.00 % 0 0.00 0 -0.4401 % 2,157.0
FixedFloater 0.00 % 0.00 % 0 0.00 0 -0.4401 % 4,137.2
Floater 10.75 % 10.92 % 89,259 8.87 2 -0.4401 % 2,384.3
OpRet 0.00 % 0.00 % 0 0.00 0 0.0069 % 3,495.3
SplitShare 4.78 % 6.59 % 27,226 1.25 6 0.0069 % 4,174.2
Interest-Bearing 0.00 % 0.00 % 0 0.00 0 0.0069 % 3,256.8
Perpetual-Premium 0.00 % 0.00 % 0 0.00 0 -0.5686 % 2,695.7
Perpetual-Discount 6.38 % 6.52 % 51,902 13.19 28 -0.5686 % 2,939.6
FixedReset Disc 5.18 % 7.00 % 111,689 12.26 49 -1.0888 % 2,612.0
Insurance Straight 6.16 % 6.45 % 61,128 13.28 21 0.0898 % 2,899.5
FloatingReset 9.20 % 8.99 % 32,984 10.40 4 0.5919 % 2,795.7
FixedReset Prem 5.82 % 6.16 % 245,155 3.95 8 -0.4724 % 2,535.2
FixedReset Bank Non 0.00 % 0.00 % 0 0.00 0 -1.0888 % 2,669.9
FixedReset Ins Non 5.09 % 6.75 % 104,635 13.08 14 -0.5809 % 2,792.1
Performance Highlights
Issue Index Change Notes
NA.PR.E FixedReset Disc -21.24 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-07-10
Maturity Price : 19.06
Evaluated at bid price : 19.06
Bid-YTW : 7.88 %
PWF.PR.P FixedReset Disc -7.76 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-07-10
Maturity Price : 14.08
Evaluated at bid price : 14.08
Bid-YTW : 8.38 %
TD.PF.D FixedReset Disc -6.08 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-07-10
Maturity Price : 21.84
Evaluated at bid price : 22.34
Bid-YTW : 6.77 %
BN.PR.Z FixedReset Disc -4.50 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-07-10
Maturity Price : 20.15
Evaluated at bid price : 20.15
Bid-YTW : 7.98 %
MFC.PR.I FixedReset Ins Non -4.19 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-07-10
Maturity Price : 22.61
Evaluated at bid price : 23.33
Bid-YTW : 6.77 %
IFC.PR.G FixedReset Ins Non -3.23 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-07-10
Maturity Price : 22.03
Evaluated at bid price : 22.50
Bid-YTW : 6.75 %
NA.PR.S FixedReset Disc -2.39 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-07-10
Maturity Price : 22.45
Evaluated at bid price : 23.31
Bid-YTW : 6.38 %
PVS.PR.K SplitShare -1.86 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2029-05-31
Maturity Price : 25.00
Evaluated at bid price : 23.21
Bid-YTW : 6.31 %
TD.PF.E FixedReset Disc -1.54 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-07-10
Maturity Price : 22.83
Evaluated at bid price : 23.30
Bid-YTW : 6.52 %
TD.PF.I FixedReset Prem -1.36 % YTW SCENARIO
Maturity Type : Call
Maturity Date : 2027-10-31
Maturity Price : 25.00
Evaluated at bid price : 25.42
Bid-YTW : 5.66 %
IFC.PR.F Insurance Straight -1.24 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-07-10
Maturity Price : 21.48
Evaluated at bid price : 21.48
Bid-YTW : 6.23 %
BN.PR.K Floater -1.05 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-07-10
Maturity Price : 11.30
Evaluated at bid price : 11.30
Bid-YTW : 10.94 %
BN.PF.J FixedReset Disc -1.04 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-07-10
Maturity Price : 22.33
Evaluated at bid price : 22.91
Bid-YTW : 7.15 %
GWO.PR.G Insurance Straight 1.04 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-07-10
Maturity Price : 20.35
Evaluated at bid price : 20.35
Bid-YTW : 6.45 %
GWO.PR.L Insurance Straight 1.06 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-07-10
Maturity Price : 21.75
Evaluated at bid price : 22.00
Bid-YTW : 6.47 %
SLF.PR.J FloatingReset 1.32 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-07-10
Maturity Price : 17.68
Evaluated at bid price : 17.68
Bid-YTW : 8.75 %
PWF.PR.S Perpetual-Discount 1.33 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-07-10
Maturity Price : 18.70
Evaluated at bid price : 18.70
Bid-YTW : 6.44 %
PWF.PR.G Perpetual-Discount 1.38 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-07-10
Maturity Price : 22.77
Evaluated at bid price : 23.05
Bid-YTW : 6.41 %
IFC.PR.A FixedReset Ins Non 2.41 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-07-10
Maturity Price : 19.10
Evaluated at bid price : 19.10
Bid-YTW : 6.77 %
BN.PR.X FixedReset Disc 3.13 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-07-10
Maturity Price : 16.50
Evaluated at bid price : 16.50
Bid-YTW : 7.87 %
IFC.PR.E Insurance Straight 3.49 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-07-10
Maturity Price : 21.06
Evaluated at bid price : 21.06
Bid-YTW : 6.23 %
Volume Highlights
Issue Index Shares
Traded
Notes
BN.PF.C Perpetual-Discount 70,798 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-07-10
Maturity Price : 17.98
Evaluated at bid price : 17.98
Bid-YTW : 6.81 %
FFH.PR.C FixedReset Disc 55,300 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-07-10
Maturity Price : 21.59
Evaluated at bid price : 21.96
Bid-YTW : 7.54 %
MFC.PR.F FixedReset Ins Non 52,595 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-07-10
Maturity Price : 16.99
Evaluated at bid price : 16.99
Bid-YTW : 6.75 %
RY.PR.M FixedReset Disc 51,299 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-07-10
Maturity Price : 23.04
Evaluated at bid price : 23.50
Bid-YTW : 6.24 %
CU.PR.C FixedReset Disc 37,900 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-07-10
Maturity Price : 21.00
Evaluated at bid price : 21.00
Bid-YTW : 6.95 %
MFC.PR.K FixedReset Ins Non 36,100 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-07-10
Maturity Price : 22.83
Evaluated at bid price : 23.99
Bid-YTW : 6.15 %
There were 14 other index-included issues trading in excess of 10,000 shares.
Wide Spread Highlights
Issue Index Quote Data and Yield Notes
NA.PR.E FixedReset Disc Quote: 19.06 – 24.05
Spot Rate : 4.9900
Average : 2.6523

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

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

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

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

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

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

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

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

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

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

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

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

July 9th, 2024

Bank of Montreal has announced (bolding added):

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

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

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

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

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

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

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

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

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

July 9, 2024

July 9th, 2024

The EQB LRCNs were issued today:

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

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

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

Values are provisional and are finalized monthly
Index Mean
Current
Yield
(at bid)
Median
YTW
Median
Average
Trading
Value
Median
Mod Dur
(YTW)
Issues Day’s Perf. Index Value
Ratchet 0.00 % 0.00 % 0 0.00 0 0.6200 % 2,166.6
FixedFloater 0.00 % 0.00 % 0 0.00 0 0.6200 % 4,155.4
Floater 10.71 % 10.82 % 25,241 8.95 2 0.6200 % 2,394.8
OpRet 0.00 % 0.00 % 0 0.00 0 -0.0274 % 3,495.1
SplitShare 4.78 % 6.69 % 32,376 1.25 6 -0.0274 % 4,173.9
Interest-Bearing 0.00 % 0.00 % 0 0.00 0 -0.0274 % 3,256.6
Perpetual-Premium 0.00 % 0.00 % 0 0.00 0 0.0937 % 2,711.2
Perpetual-Discount 6.35 % 6.52 % 52,667 13.10 28 0.0937 % 2,956.4
FixedReset Disc 5.12 % 6.86 % 112,494 12.25 49 0.6035 % 2,640.7
Insurance Straight 6.16 % 6.44 % 61,128 13.29 21 0.0662 % 2,896.9
FloatingReset 9.25 % 9.08 % 32,779 10.34 4 0.3486 % 2,779.2
FixedReset Prem 5.80 % 6.16 % 245,038 3.00 8 0.0689 % 2,547.3
FixedReset Bank Non 0.00 % 0.00 % 0 0.00 0 0.6035 % 2,699.3
FixedReset Ins Non 5.06 % 6.72 % 105,084 13.12 14 0.7410 % 2,808.4
Performance Highlights
Issue Index Change Notes
PWF.PR.L Perpetual-Discount -4.18 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-07-09
Maturity Price : 19.02
Evaluated at bid price : 19.02
Bid-YTW : 6.86 %
PVS.PR.I SplitShare -1.22 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-10-31
Maturity Price : 25.00
Evaluated at bid price : 24.30
Bid-YTW : 7.41 %
MFC.PR.Q FixedReset Ins Non -1.07 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-07-09
Maturity Price : 22.43
Evaluated at bid price : 23.15
Bid-YTW : 6.54 %
GWO.PR.L Insurance Straight -1.05 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-07-09
Maturity Price : 21.51
Evaluated at bid price : 21.77
Bid-YTW : 6.54 %
FTS.PR.K FixedReset Disc -1.01 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-07-09
Maturity Price : 19.65
Evaluated at bid price : 19.65
Bid-YTW : 7.14 %
BMO.PR.W FixedReset Disc 1.03 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-07-09
Maturity Price : 23.80
Evaluated at bid price : 24.57
Bid-YTW : 5.80 %
BN.PF.A FixedReset Disc 1.03 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-07-09
Maturity Price : 22.00
Evaluated at bid price : 22.48
Bid-YTW : 7.28 %
SLF.PR.D Insurance Straight 1.06 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-07-09
Maturity Price : 19.07
Evaluated at bid price : 19.07
Bid-YTW : 5.89 %
SLF.PR.E Insurance Straight 1.06 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-07-09
Maturity Price : 19.00
Evaluated at bid price : 19.00
Bid-YTW : 5.97 %
BN.PF.G FixedReset Disc 1.07 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-07-09
Maturity Price : 18.85
Evaluated at bid price : 18.85
Bid-YTW : 8.15 %
FFH.PR.I FixedReset Disc 1.08 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-07-09
Maturity Price : 18.71
Evaluated at bid price : 18.71
Bid-YTW : 8.07 %
GWO.PR.N FixedReset Ins Non 1.15 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-07-09
Maturity Price : 14.92
Evaluated at bid price : 14.92
Bid-YTW : 7.51 %
BN.PF.F FixedReset Disc 1.19 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-07-09
Maturity Price : 20.49
Evaluated at bid price : 20.49
Bid-YTW : 7.78 %
MFC.PR.L FixedReset Ins Non 1.24 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-07-09
Maturity Price : 21.70
Evaluated at bid price : 22.08
Bid-YTW : 6.45 %
BN.PR.K Floater 1.24 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-07-09
Maturity Price : 11.42
Evaluated at bid price : 11.42
Bid-YTW : 10.82 %
PWF.PR.F Perpetual-Discount 1.28 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-07-09
Maturity Price : 20.50
Evaluated at bid price : 20.50
Bid-YTW : 6.55 %
PWF.PR.R Perpetual-Discount 1.33 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-07-09
Maturity Price : 21.40
Evaluated at bid price : 21.40
Bid-YTW : 6.57 %
FFH.PR.G FixedReset Disc 1.37 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-07-09
Maturity Price : 17.81
Evaluated at bid price : 17.81
Bid-YTW : 8.14 %
FFH.PR.D FloatingReset 1.53 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-07-09
Maturity Price : 21.90
Evaluated at bid price : 21.90
Bid-YTW : 9.08 %
PWF.PR.T FixedReset Disc 1.58 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-07-09
Maturity Price : 21.57
Evaluated at bid price : 21.88
Bid-YTW : 6.74 %
FFH.PR.C FixedReset Disc 1.71 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-07-09
Maturity Price : 21.66
Evaluated at bid price : 22.05
Bid-YTW : 7.51 %
MFC.PR.I FixedReset Ins Non 1.88 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-07-09
Maturity Price : 23.10
Evaluated at bid price : 24.35
Bid-YTW : 6.46 %
BN.PF.B FixedReset Disc 1.90 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-07-09
Maturity Price : 20.37
Evaluated at bid price : 20.37
Bid-YTW : 7.61 %
BIP.PR.A FixedReset Disc 2.02 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-07-09
Maturity Price : 22.07
Evaluated at bid price : 22.71
Bid-YTW : 7.55 %
BIP.PR.F FixedReset Disc 2.63 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-07-09
Maturity Price : 21.50
Evaluated at bid price : 21.50
Bid-YTW : 7.55 %
CM.PR.Q FixedReset Disc 3.03 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-07-09
Maturity Price : 23.26
Evaluated at bid price : 23.80
Bid-YTW : 6.36 %
IFC.PR.A FixedReset Ins Non 5.85 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-07-09
Maturity Price : 18.65
Evaluated at bid price : 18.65
Bid-YTW : 6.93 %
PWF.PR.P FixedReset Disc 9.38 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-07-09
Maturity Price : 15.40
Evaluated at bid price : 15.40
Bid-YTW : 7.76 %
Volume Highlights
Issue Index Shares
Traded
Notes
BMO.PR.W FixedReset Disc 156,300 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-07-09
Maturity Price : 23.80
Evaluated at bid price : 24.57
Bid-YTW : 5.80 %
BMO.PR.T FixedReset Disc 145,700 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-07-09
Maturity Price : 23.92
Evaluated at bid price : 24.91
Bid-YTW : 5.75 %
BN.PR.B Floater 144,600 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-07-09
Maturity Price : 11.30
Evaluated at bid price : 11.30
Bid-YTW : 10.94 %
IAF.PR.B Insurance Straight 113,400 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-07-09
Maturity Price : 24.80
Evaluated at bid price : 25.02
Bid-YTW : 4.62 %
TD.PF.C FixedReset Disc 104,550 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-07-09
Maturity Price : 23.40
Evaluated at bid price : 24.12
Bid-YTW : 5.93 %
CM.PR.O FixedReset Disc 95,250 YTW SCENARIO
Maturity Type : Call
Maturity Date : 2024-08-30
Maturity Price : 25.00
Evaluated at bid price : 24.93
Bid-YTW : 5.73 %
There were 27 other index-included issues trading in excess of 10,000 shares.
Wide Spread Highlights
Issue Index Quote Data and Yield Notes
IFC.PR.F Insurance Straight Quote: 21.75 – 23.60
Spot Rate : 1.8500
Average : 1.4059

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

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

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

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

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

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

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

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

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

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

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

July 8, 2024

July 8th, 2024

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

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

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

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

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

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

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

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

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

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

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

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

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

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

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

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

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

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

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

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