PrefBlog

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 %

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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!

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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!

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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 %

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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 %

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