ECN Downgraded by DBRS to Pfd-4(high)

December 7th, 2021

DBRS has announced that it:

downgraded the ratings of ECN Capital Corp. (ECN or the Company), including the Company’s Long-Term Issuer Rating to BB (high) and Preferred Shares Rating to Pfd-4 (high). The trend for the ratings is Stable. The rating actions follow the Company’s sale of its Service Finance Company, LLC (Service Finance) business to Truist Bank. The Intrinsic Assessment (IA) for ECN is BB (high) and the Support Assessment is SA3, resulting in the Company’s Long-Term Issuer Rating being equalized with the IA. With these rating actions, ECN’s ratings are removed from Under Review with Negative Implications, where they were placed on August 11, 2021.

KEY RATING CONSIDERATIONS
The ratings downgrade considers the impact of the sale of Service Finance on ECN’s credit fundamentals, including its franchise strength, and earnings generation. With the sale of Service Finance, the Company’s scope of operations and product/services diversity has moderated, increasing ECN’s susceptibility to business and economic downturns. Additionally, the loss of Service Finance’s earning contributions reduces ECN’s earnings capacity, organic capital generation, and to a degree, the Company’s ability to absorb unexpected future losses. The ratings also consider the Company’s ongoing solidly run, asset light businesses, Triad Financial Services, Inc. (Triad) and Kessler Financial Services LLC (Kessler), which are both leaders in their respective niche sectors and contribute to ECN’s satisfactory earnings generation. The Company’s ratings also reflect ECN’s sound credit position, as well as its solid funding and acceptable capital profiles.

The Stable trend, reflects our view that the Company’s credit fundamentals will remain satisfactory, despite the potential for Coronavirus Disease (COVID-19) pandemic related flareups. We expect some moderation in housing demand in 2022, but expect Triad to generate good operating performance as demand for manufactured housing will continue to be supported by affordability issues in the U.S. housing market as well as Triad’s top tier market position. The Stable trend also considers our expectations that Kessler will continue to generate solid results in 2022, especially as marketing services and transaction services benefit from increasing client activity and new partner programs are brought on board, including improving traction with the Company’s Credit Card Investment Management platform.

RATING DRIVERS
A more diverse product mix along with sustained improvements in adjusted profitability and statutory earnings, while maintaining disciplined capital management and risk aversion, would result in an upgrade of the ratings.

Should capital levels not match the Company’s risk position, credit risk on the balance sheet become more pronounced, or if there were partner funding disruptions, the ratings would be downgraded.

RATING RATIONALE
With the sale of Service Finance, ECN’s franchise fundamentals have somewhat weakened, as the transaction reduces the Company’s scope of business, product/services diversity, and to a degree its growth potential. As such, we view ECN as being more prone to negative macroeconomic conditions. Nonetheless, the Company’s ongoing franchise reflects two businesses that are leaders in their respective sectors, including Triad, which provides manufactured home loans and home – land loans, and Kessler, a manager, adviser and structuring partner to credit card issuers, banks, credit unions, and payment networks. The Company’s ratings also consider ECN’s solid management team, which has considerable experience and deep industry knowledge.

Capital is acceptable for its rating level, and we anticipate that ECN will continue to maintain appropriate capital levels to match its risk position. That said, capital generation has somewhat moderated with the sale of Service Finance. Finally, we note that the gains from the sale of Service Finance will be distributed to common shareholders.

Affected issues are ECN.PR.A and ECN.PR.C. Note that ECN.PR.A has been called for redemption.

December 7, 2021

December 7th, 2021
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 3.08 % 3.58 % 51,741 19.98 1 5.1241 % 2,834.8
FixedFloater 0.00 % 0.00 % 0 0.00 0 2.3424 % 5,087.5
Floater 3.13 % 3.11 % 83,720 19.37 3 2.3424 % 2,931.9
OpRet 0.00 % 0.00 % 0 0.00 0 -0.0351 % 3,663.6
SplitShare 4.68 % 4.29 % 50,782 3.81 5 -0.0351 % 4,375.1
Interest-Bearing 0.00 % 0.00 % 0 0.00 0 -0.0351 % 3,413.6
Perpetual-Premium 5.15 % -0.74 % 46,035 0.09 28 0.0239 % 3,249.0
Perpetual-Discount 4.74 % 4.88 % 65,740 15.61 6 0.7994 % 3,819.0
FixedReset Disc 3.97 % 4.07 % 124,479 17.37 37 -1.0212 % 2,780.3
Insurance Straight 4.99 % 4.51 % 93,461 4.01 20 0.8432 % 3,638.1
FloatingReset 2.52 % 2.13 % 38,415 22.14 2 -0.7665 % 2,732.0
FixedReset Prem 4.71 % 3.85 % 117,226 2.46 33 0.4258 % 2,713.7
FixedReset Bank Non 0.00 % 0.00 % 0 0.00 0 -1.0212 % 2,842.1
FixedReset Ins Non 4.12 % 3.82 % 94,293 17.25 19 0.4499 % 2,927.4
Performance Highlights
Issue Index Change Notes
TRP.PR.G FixedReset Disc -46.62 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-12-07
Maturity Price : 12.17
Evaluated at bid price : 12.17
Bid-YTW : 8.38 %
FTS.PR.H FixedReset Disc -2.29 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-12-07
Maturity Price : 16.25
Evaluated at bid price : 16.25
Bid-YTW : 4.10 %
TRP.PR.F FloatingReset -2.15 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-12-07
Maturity Price : 16.80
Evaluated at bid price : 16.80
Bid-YTW : 2.89 %
TD.PF.M FixedReset Prem -1.31 % YTW SCENARIO
Maturity Type : Call
Maturity Date : 2024-07-31
Maturity Price : 25.00
Evaluated at bid price : 26.30
Bid-YTW : 3.26 %
RY.PR.J FixedReset Disc -1.23 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-12-07
Maturity Price : 22.91
Evaluated at bid price : 24.00
Bid-YTW : 4.07 %
BAM.PR.C Floater 1.02 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-12-07
Maturity Price : 13.92
Evaluated at bid price : 13.92
Bid-YTW : 3.11 %
NA.PR.E FixedReset Prem 1.02 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-12-07
Maturity Price : 23.66
Evaluated at bid price : 24.76
Bid-YTW : 3.99 %
MFC.PR.B Insurance Straight 1.02 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-12-07
Maturity Price : 24.46
Evaluated at bid price : 24.70
Bid-YTW : 4.71 %
BAM.PF.A FixedReset Prem 1.02 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-12-07
Maturity Price : 23.50
Evaluated at bid price : 24.65
Bid-YTW : 4.41 %
RY.PR.M FixedReset Disc 1.04 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-12-07
Maturity Price : 22.97
Evaluated at bid price : 24.25
Bid-YTW : 3.84 %
BMO.PR.E FixedReset Prem 1.05 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-12-07
Maturity Price : 23.63
Evaluated at bid price : 25.11
Bid-YTW : 4.04 %
MFC.PR.K FixedReset Ins Non 1.05 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-12-07
Maturity Price : 23.59
Evaluated at bid price : 23.95
Bid-YTW : 3.81 %
BIP.PR.A FixedReset Prem 1.06 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-12-07
Maturity Price : 22.78
Evaluated at bid price : 23.75
Bid-YTW : 4.94 %
SLF.PR.G FixedReset Ins Non 1.16 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-12-07
Maturity Price : 17.50
Evaluated at bid price : 17.50
Bid-YTW : 3.74 %
TD.PF.C FixedReset Disc 1.17 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-12-07
Maturity Price : 23.06
Evaluated at bid price : 24.23
Bid-YTW : 3.73 %
TRP.PR.C FixedReset Disc 1.35 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-12-07
Maturity Price : 15.00
Evaluated at bid price : 15.00
Bid-YTW : 4.54 %
BAM.PR.R FixedReset Disc 1.48 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-12-07
Maturity Price : 19.95
Evaluated at bid price : 19.95
Bid-YTW : 4.54 %
BAM.PF.G FixedReset Disc 1.54 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-12-07
Maturity Price : 22.41
Evaluated at bid price : 23.05
Bid-YTW : 4.39 %
BAM.PF.J FixedReset Prem 1.79 % YTW SCENARIO
Maturity Type : Call
Maturity Date : 2022-12-31
Maturity Price : 25.00
Evaluated at bid price : 25.65
Bid-YTW : 3.12 %
MFC.PR.I FixedReset Ins Non 1.82 % YTW SCENARIO
Maturity Type : Call
Maturity Date : 2022-09-19
Maturity Price : 25.00
Evaluated at bid price : 25.15
Bid-YTW : 3.41 %
TD.PF.E FixedReset Prem 2.08 % YTW SCENARIO
Maturity Type : Call
Maturity Date : 2025-10-31
Maturity Price : 25.00
Evaluated at bid price : 24.50
Bid-YTW : 3.91 %
MFC.PR.F FixedReset Ins Non 2.48 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-12-07
Maturity Price : 18.60
Evaluated at bid price : 18.60
Bid-YTW : 3.62 %
TRP.PR.B FixedReset Disc 3.13 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-12-07
Maturity Price : 13.85
Evaluated at bid price : 13.85
Bid-YTW : 4.47 %
CU.PR.G Perpetual-Discount 3.87 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-12-07
Maturity Price : 23.61
Evaluated at bid price : 23.89
Bid-YTW : 4.72 %
BAM.PR.E Ratchet 5.12 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-12-07
Maturity Price : 25.00
Evaluated at bid price : 19.90
Bid-YTW : 3.58 %
BAM.PR.X FixedReset Disc 5.15 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-12-07
Maturity Price : 17.35
Evaluated at bid price : 17.35
Bid-YTW : 4.63 %
BAM.PR.K Floater 6.11 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-12-07
Maturity Price : 13.90
Evaluated at bid price : 13.90
Bid-YTW : 3.11 %
IFC.PR.E Insurance Straight 15.73 % YTW SCENARIO
Maturity Type : Call
Maturity Date : 2026-06-30
Maturity Price : 25.00
Evaluated at bid price : 25.75
Bid-YTW : 4.73 %
Volume Highlights
Issue Index Shares
Traded
Notes
SLF.PR.I FixedReset Ins Non 125,700 YTW SCENARIO
Maturity Type : Call
Maturity Date : 2022-01-30
Maturity Price : 25.00
Evaluated at bid price : 24.97
Bid-YTW : 2.94 %
MFC.PR.K FixedReset Ins Non 63,900 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-12-07
Maturity Price : 23.59
Evaluated at bid price : 23.95
Bid-YTW : 3.81 %
GWO.PR.F Insurance Straight 54,706 YTW SCENARIO
Maturity Type : Call
Maturity Date : 2022-01-06
Maturity Price : 25.00
Evaluated at bid price : 24.97
Bid-YTW : 2.66 %
CM.PR.O FixedReset Disc 39,600 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-12-07
Maturity Price : 23.03
Evaluated at bid price : 24.00
Bid-YTW : 3.82 %
BAM.PR.X FixedReset Disc 28,300 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-12-07
Maturity Price : 17.35
Evaluated at bid price : 17.35
Bid-YTW : 4.63 %
FTS.PR.H FixedReset Disc 27,400 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-12-07
Maturity Price : 16.25
Evaluated at bid price : 16.25
Bid-YTW : 4.10 %
There were 20 other index-included issues trading in excess of 10,000 shares.
Wide Spread Highlights
Issue Index Quote Data and Yield Notes
TRP.PR.G FixedReset Disc Quote: 12.17 – 23.15
Spot Rate : 10.9800
Average : 7.7770

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-12-07
Maturity Price : 12.17
Evaluated at bid price : 12.17
Bid-YTW : 8.38 %

GWO.PR.N FixedReset Ins Non Quote: 16.50 – 17.52
Spot Rate : 1.0200
Average : 0.6984

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-12-07
Maturity Price : 16.50
Evaluated at bid price : 16.50
Bid-YTW : 3.77 %

PVS.PR.I SplitShare Quote: 25.25 – 26.25
Spot Rate : 1.0000
Average : 0.7294

YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-10-31
Maturity Price : 25.00
Evaluated at bid price : 25.25
Bid-YTW : 4.49 %

TRP.PR.E FixedReset Disc Quote: 20.52 – 21.59
Spot Rate : 1.0700
Average : 0.8211

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-12-07
Maturity Price : 20.52
Evaluated at bid price : 20.52
Bid-YTW : 4.59 %

TRP.PR.F FloatingReset Quote: 16.80 – 18.50
Spot Rate : 1.7000
Average : 1.4580

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-12-07
Maturity Price : 16.80
Evaluated at bid price : 16.80
Bid-YTW : 2.89 %

SLF.PR.H FixedReset Ins Non Quote: 22.12 – 22.80
Spot Rate : 0.6800
Average : 0.4422

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-12-07
Maturity Price : 21.73
Evaluated at bid price : 22.12
Bid-YTW : 3.82 %

December 6, 2021

December 6th, 2021

This is worth highlighting … How the Wealth Was Won: Factors Shares as Market Fundamentals by Daniel L. Greenwald, Martin Lettau, and Sydney C. Ludvigson, NBER Working Paper No. 25769:

Why do stocks rise and fall? From 1989 to 2017, $34 trillion of real equity wealth (2017:Q4 dollars) was created by the U.S. corporate sector. We estimate that 44% of this increase was attributable to a reallocation of rewards to shareholders in a decelerating economy, primarily at the expense of labor compensation. Economic growth accounted for just 25%, followed by a lower risk price (18%), and lower interest rates (14%). The period 1952 to 1988 experienced less than one third of the growth in market equity, but economic growth accounted for more than 100% of it.

One last trip to the trough for the Baby Boomers? Or is that real estate?

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 3.24 % 3.83 % 51,452 19.69 1 -0.3684 % 2,696.7
FixedFloater 0.00 % 0.00 % 0 0.00 0 -2.2173 % 4,971.0
Floater 3.21 % 3.27 % 84,976 18.99 3 -2.2173 % 2,864.8
OpRet 0.00 % 0.00 % 0 0.00 0 -0.3805 % 3,664.9
SplitShare 4.68 % 4.21 % 51,457 3.81 5 -0.3805 % 4,376.6
Interest-Bearing 0.00 % 0.00 % 0 0.00 0 -0.3805 % 3,414.8
Perpetual-Premium 5.15 % 1.00 % 43,078 0.09 28 0.1252 % 3,248.2
Perpetual-Discount 4.78 % 4.89 % 65,999 15.62 6 -0.6572 % 3,788.7
FixedReset Disc 3.93 % 4.06 % 125,415 17.32 37 1.8337 % 2,809.0
Insurance Straight 5.03 % 4.52 % 92,315 13.86 20 -0.4658 % 3,607.7
FloatingReset 2.50 % 2.83 % 30,007 20.19 2 -0.9635 % 2,753.1
FixedReset Prem 4.73 % 3.98 % 117,610 3.64 33 0.0662 % 2,702.2
FixedReset Bank Non 0.00 % 0.00 % 0 0.00 0 1.8337 % 2,871.4
FixedReset Ins Non 4.14 % 3.92 % 92,616 17.24 19 -0.0069 % 2,914.3
Performance Highlights
Issue Index Change Notes
IFC.PR.E Insurance Straight -12.47 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-12-06
Maturity Price : 21.95
Evaluated at bid price : 22.25
Bid-YTW : 5.95 %
BAM.PR.K Floater -5.76 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-12-06
Maturity Price : 13.10
Evaluated at bid price : 13.10
Bid-YTW : 3.31 %
BAM.PR.X FixedReset Disc -5.61 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-12-06
Maturity Price : 16.50
Evaluated at bid price : 16.50
Bid-YTW : 4.87 %
CU.PR.G Perpetual-Discount -3.56 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-12-06
Maturity Price : 22.72
Evaluated at bid price : 23.00
Bid-YTW : 4.91 %
IFC.PR.A FixedReset Ins Non -1.77 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-12-06
Maturity Price : 19.93
Evaluated at bid price : 19.93
Bid-YTW : 3.96 %
BAM.PF.J FixedReset Prem -1.75 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-12-06
Maturity Price : 23.97
Evaluated at bid price : 25.20
Bid-YTW : 4.72 %
RS.PR.A SplitShare -1.67 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-12-31
Maturity Price : 10.00
Evaluated at bid price : 10.57
Bid-YTW : 4.00 %
SLF.PR.J FloatingReset -1.47 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-12-06
Maturity Price : 16.75
Evaluated at bid price : 16.75
Bid-YTW : 2.14 %
SLF.PR.G FixedReset Ins Non -1.14 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-12-06
Maturity Price : 17.30
Evaluated at bid price : 17.30
Bid-YTW : 3.78 %
FTS.PR.F Perpetual-Premium 1.01 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-12-06
Maturity Price : 24.68
Evaluated at bid price : 25.00
Bid-YTW : 4.92 %
GWO.PR.Y Insurance Straight 1.06 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-12-06
Maturity Price : 24.38
Evaluated at bid price : 24.76
Bid-YTW : 4.53 %
BMO.PR.Y FixedReset Disc 1.16 % YTW SCENARIO
Maturity Type : Call
Maturity Date : 2025-08-25
Maturity Price : 25.00
Evaluated at bid price : 24.38
Bid-YTW : 3.82 %
TRP.PR.E FixedReset Disc 1.29 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-12-06
Maturity Price : 20.42
Evaluated at bid price : 20.42
Bid-YTW : 4.62 %
TRP.PR.B FixedReset Disc 1.36 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-12-06
Maturity Price : 13.43
Evaluated at bid price : 13.43
Bid-YTW : 4.61 %
NA.PR.C FixedReset Prem 1.41 % YTW SCENARIO
Maturity Type : Call
Maturity Date : 2022-11-15
Maturity Price : 25.00
Evaluated at bid price : 25.25
Bid-YTW : 3.67 %
NA.PR.G FixedReset Prem 1.53 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-12-06
Maturity Price : 23.67
Evaluated at bid price : 25.18
Bid-YTW : 4.12 %
GWO.PR.T Insurance Straight 1.57 % YTW SCENARIO
Maturity Type : Call
Maturity Date : 2025-06-30
Maturity Price : 25.25
Evaluated at bid price : 25.90
Bid-YTW : 4.24 %
TD.PF.J FixedReset Prem 1.62 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-12-06
Maturity Price : 23.78
Evaluated at bid price : 25.04
Bid-YTW : 4.07 %
MFC.PR.F FixedReset Ins Non 1.68 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-12-06
Maturity Price : 18.15
Evaluated at bid price : 18.15
Bid-YTW : 3.71 %
PWF.PR.S Perpetual-Premium 1.80 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-12-06
Maturity Price : 24.58
Evaluated at bid price : 24.85
Bid-YTW : 4.87 %
TD.PF.D FixedReset Disc 2.07 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-12-06
Maturity Price : 22.95
Evaluated at bid price : 24.13
Bid-YTW : 4.08 %
TRP.PR.C FixedReset Disc 2.99 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-12-06
Maturity Price : 14.80
Evaluated at bid price : 14.80
Bid-YTW : 4.60 %
CM.PR.O FixedReset Disc 3.46 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-12-06
Maturity Price : 22.98
Evaluated at bid price : 23.90
Bid-YTW : 3.84 %
RY.PR.J FixedReset Disc 4.07 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-12-06
Maturity Price : 23.04
Evaluated at bid price : 24.30
Bid-YTW : 4.00 %
BAM.PR.R FixedReset Disc 5.76 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-12-06
Maturity Price : 19.66
Evaluated at bid price : 19.66
Bid-YTW : 4.61 %
TRP.PR.G FixedReset Disc 87.35 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-12-06
Maturity Price : 22.22
Evaluated at bid price : 22.80
Bid-YTW : 4.50 %
Volume Highlights
Issue Index Shares
Traded
Notes
SLF.PR.I FixedReset Ins Non 103,300 YTW SCENARIO
Maturity Type : Call
Maturity Date : 2022-01-30
Maturity Price : 25.00
Evaluated at bid price : 24.97
Bid-YTW : 2.89 %
BAM.PR.X FixedReset Disc 88,990 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-12-06
Maturity Price : 16.50
Evaluated at bid price : 16.50
Bid-YTW : 4.87 %
GWO.PR.Y Insurance Straight 51,131 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-12-06
Maturity Price : 24.38
Evaluated at bid price : 24.76
Bid-YTW : 4.53 %
BAM.PF.I FixedReset Prem 39,700 YTW SCENARIO
Maturity Type : Call
Maturity Date : 2022-03-31
Maturity Price : 25.00
Evaluated at bid price : 25.31
Bid-YTW : 3.73 %
TD.PF.J FixedReset Prem 29,619 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-12-06
Maturity Price : 23.78
Evaluated at bid price : 25.04
Bid-YTW : 4.07 %
NA.PR.E FixedReset Prem 28,992 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-12-06
Maturity Price : 24.15
Evaluated at bid price : 24.51
Bid-YTW : 4.08 %
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.E Insurance Straight Quote: 22.25 – 26.14
Spot Rate : 3.8900
Average : 2.7609

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-12-06
Maturity Price : 21.95
Evaluated at bid price : 22.25
Bid-YTW : 5.95 %

CIU.PR.A Perpetual-Premium Quote: 23.80 – 25.20
Spot Rate : 1.4000
Average : 0.8847

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-12-06
Maturity Price : 23.53
Evaluated at bid price : 23.80
Bid-YTW : 4.85 %

BAM.PR.X FixedReset Disc Quote: 16.50 – 17.99
Spot Rate : 1.4900
Average : 1.1048

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-12-06
Maturity Price : 16.50
Evaluated at bid price : 16.50
Bid-YTW : 4.87 %

BAM.PR.K Floater Quote: 13.10 – 14.30
Spot Rate : 1.2000
Average : 0.8399

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-12-06
Maturity Price : 13.10
Evaluated at bid price : 13.10
Bid-YTW : 3.31 %

NA.PR.E FixedReset Prem Quote: 24.51 – 25.30
Spot Rate : 0.7900
Average : 0.4940

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-12-06
Maturity Price : 24.15
Evaluated at bid price : 24.51
Bid-YTW : 4.08 %

CU.PR.G Perpetual-Discount Quote: 23.00 – 24.00
Spot Rate : 1.0000
Average : 0.7188

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-12-06
Maturity Price : 22.72
Evaluated at bid price : 23.00
Bid-YTW : 4.91 %

December 3, 2021

December 3rd, 2021
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 3.22 % 3.81 % 52,196 19.72 1 -2.8630 % 2,706.6
FixedFloater 0.00 % 0.00 % 0 0.00 0 -0.7977 % 5,083.8
Floater 3.13 % 3.12 % 86,085 19.37 3 -0.7977 % 2,929.8
OpRet 0.00 % 0.00 % 0 0.00 0 0.0233 % 3,678.9
SplitShare 4.66 % 4.19 % 52,304 3.82 5 0.0233 % 4,393.4
Interest-Bearing 0.00 % 0.00 % 0 0.00 0 0.0233 % 3,427.9
Perpetual-Premium 5.15 % 0.51 % 44,402 0.09 28 -0.2652 % 3,244.1
Perpetual-Discount 4.75 % 4.88 % 66,426 15.61 6 -0.3411 % 3,813.8
FixedReset Disc 4.00 % 4.13 % 126,566 17.09 37 -1.4945 % 2,758.5
Insurance Straight 5.01 % 4.55 % 95,597 4.08 20 -0.0020 % 3,624.6
FloatingReset 2.53 % 2.87 % 30,461 20.08 2 -1.1544 % 2,779.9
FixedReset Prem 4.73 % 4.02 % 114,724 3.64 33 -0.7490 % 2,700.4
FixedReset Bank Non 0.00 % 0.00 % 0 0.00 0 -1.4945 % 2,819.7
FixedReset Ins Non 4.14 % 3.91 % 93,406 17.08 19 -0.5433 % 2,914.5
Performance Highlights
Issue Index Change Notes
BAM.PR.R FixedReset Disc -7.97 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-12-03
Maturity Price : 18.59
Evaluated at bid price : 18.59
Bid-YTW : 4.93 %
RY.PR.J FixedReset Disc -4.73 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-12-03
Maturity Price : 22.59
Evaluated at bid price : 23.35
Bid-YTW : 4.25 %
CM.PR.O FixedReset Disc -4.39 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-12-03
Maturity Price : 22.54
Evaluated at bid price : 23.10
Bid-YTW : 4.05 %
TRP.PR.E FixedReset Disc -3.95 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-12-03
Maturity Price : 20.16
Evaluated at bid price : 20.16
Bid-YTW : 4.74 %
BAM.PR.X FixedReset Disc -3.43 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-12-03
Maturity Price : 17.48
Evaluated at bid price : 17.48
Bid-YTW : 4.67 %
BAM.PF.F FixedReset Disc -2.89 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-12-03
Maturity Price : 22.36
Evaluated at bid price : 22.84
Bid-YTW : 4.69 %
BAM.PR.E Ratchet -2.86 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-12-03
Maturity Price : 25.00
Evaluated at bid price : 19.00
Bid-YTW : 3.81 %
TD.PF.D FixedReset Disc -2.72 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-12-03
Maturity Price : 22.72
Evaluated at bid price : 23.64
Bid-YTW : 4.24 %
TRP.PR.A FixedReset Disc -2.56 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-12-03
Maturity Price : 17.91
Evaluated at bid price : 17.91
Bid-YTW : 4.71 %
GWO.PR.N FixedReset Ins Non -2.41 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-12-03
Maturity Price : 16.22
Evaluated at bid price : 16.22
Bid-YTW : 3.91 %
TD.PF.J FixedReset Prem -2.26 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-12-03
Maturity Price : 24.30
Evaluated at bid price : 24.64
Bid-YTW : 4.25 %
TD.PF.E FixedReset Prem -2.24 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-12-03
Maturity Price : 22.86
Evaluated at bid price : 24.00
Bid-YTW : 4.22 %
CM.PR.S FixedReset Prem -2.04 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-12-03
Maturity Price : 24.08
Evaluated at bid price : 24.50
Bid-YTW : 4.02 %
NA.PR.S FixedReset Disc -2.02 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-12-03
Maturity Price : 23.16
Evaluated at bid price : 24.20
Bid-YTW : 3.94 %
PWF.PR.P FixedReset Disc -2.00 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-12-03
Maturity Price : 16.66
Evaluated at bid price : 16.66
Bid-YTW : 4.25 %
NA.PR.C FixedReset Prem -1.97 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-12-03
Maturity Price : 24.52
Evaluated at bid price : 24.90
Bid-YTW : 4.88 %
GWO.PR.T Insurance Straight -1.92 % YTW SCENARIO
Maturity Type : Call
Maturity Date : 2026-06-30
Maturity Price : 25.00
Evaluated at bid price : 25.50
Bid-YTW : 4.60 %
TRP.PR.B FixedReset Disc -1.85 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-12-03
Maturity Price : 13.25
Evaluated at bid price : 13.25
Bid-YTW : 4.75 %
MFC.PR.N FixedReset Ins Non -1.81 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-12-03
Maturity Price : 22.59
Evaluated at bid price : 23.31
Bid-YTW : 3.95 %
NA.PR.E FixedReset Prem -1.76 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-12-03
Maturity Price : 24.15
Evaluated at bid price : 24.51
Bid-YTW : 4.14 %
TRP.PR.D FixedReset Disc -1.76 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-12-03
Maturity Price : 20.63
Evaluated at bid price : 20.63
Bid-YTW : 4.68 %
FTS.PR.K FixedReset Disc -1.70 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-12-03
Maturity Price : 21.40
Evaluated at bid price : 21.40
Bid-YTW : 4.15 %
IFC.PR.G FixedReset Ins Non -1.65 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-12-03
Maturity Price : 24.17
Evaluated at bid price : 24.50
Bid-YTW : 4.18 %
CM.PR.Y FixedReset Prem -1.53 % YTW SCENARIO
Maturity Type : Call
Maturity Date : 2024-07-31
Maturity Price : 25.00
Evaluated at bid price : 25.80
Bid-YTW : 4.10 %
FTS.PR.M FixedReset Disc -1.52 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-12-03
Maturity Price : 22.22
Evaluated at bid price : 22.65
Bid-YTW : 4.31 %
NA.PR.G FixedReset Prem -1.51 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-12-03
Maturity Price : 23.52
Evaluated at bid price : 24.80
Bid-YTW : 4.26 %
BMO.PR.E FixedReset Prem -1.51 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-12-03
Maturity Price : 23.52
Evaluated at bid price : 24.80
Bid-YTW : 4.16 %
RY.PR.M FixedReset Disc -1.44 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-12-03
Maturity Price : 22.81
Evaluated at bid price : 23.90
Bid-YTW : 3.96 %
TRP.PR.F FloatingReset -1.43 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-12-03
Maturity Price : 17.25
Evaluated at bid price : 17.25
Bid-YTW : 2.87 %
BAM.PR.K Floater -1.42 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-12-03
Maturity Price : 13.90
Evaluated at bid price : 13.90
Bid-YTW : 3.11 %
BAM.PF.A FixedReset Prem -1.41 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-12-03
Maturity Price : 23.39
Evaluated at bid price : 24.40
Bid-YTW : 4.52 %
CM.PR.T FixedReset Prem -1.41 % YTW SCENARIO
Maturity Type : Call
Maturity Date : 2024-04-30
Maturity Price : 25.00
Evaluated at bid price : 25.88
Bid-YTW : 3.90 %
BMO.PR.W FixedReset Disc -1.40 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-12-03
Maturity Price : 22.94
Evaluated at bid price : 23.91
Bid-YTW : 3.80 %
FTS.PR.F Perpetual-Premium -1.39 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-12-03
Maturity Price : 24.50
Evaluated at bid price : 24.75
Bid-YTW : 4.97 %
FTS.PR.G FixedReset Disc -1.35 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-12-03
Maturity Price : 21.56
Evaluated at bid price : 21.95
Bid-YTW : 4.13 %
PWF.PR.T FixedReset Disc -1.26 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-12-03
Maturity Price : 23.19
Evaluated at bid price : 23.50
Bid-YTW : 4.11 %
CM.PR.P FixedReset Disc -1.23 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-12-03
Maturity Price : 22.95
Evaluated at bid price : 24.00
Bid-YTW : 3.83 %
BMO.PR.Y FixedReset Disc -1.23 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-12-03
Maturity Price : 22.93
Evaluated at bid price : 24.10
Bid-YTW : 4.02 %
BIP.PR.F FixedReset Prem -1.14 % YTW SCENARIO
Maturity Type : Call
Maturity Date : 2023-12-31
Maturity Price : 25.00
Evaluated at bid price : 25.11
Bid-YTW : 4.71 %
MIC.PR.A Perpetual-Premium -1.12 % YTW SCENARIO
Maturity Type : Call
Maturity Date : 2030-03-31
Maturity Price : 25.00
Evaluated at bid price : 26.50
Bid-YTW : 4.69 %
FTS.PR.J Perpetual-Premium -1.09 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-12-03
Maturity Price : 24.21
Evaluated at bid price : 24.50
Bid-YTW : 4.86 %
IFC.PR.A FixedReset Ins Non -1.02 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-12-03
Maturity Price : 20.29
Evaluated at bid price : 20.29
Bid-YTW : 3.96 %
BAM.PF.E FixedReset Disc 1.67 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-12-03
Maturity Price : 21.30
Evaluated at bid price : 21.30
Bid-YTW : 4.65 %
IFC.PR.E Insurance Straight 3.76 % YTW SCENARIO
Maturity Type : Call
Maturity Date : 2026-06-30
Maturity Price : 25.00
Evaluated at bid price : 25.42
Bid-YTW : 5.05 %
Volume Highlights
Issue Index Shares
Traded
Notes
BNS.PR.H FixedReset Prem 311,530 YTW SCENARIO
Maturity Type : Call
Maturity Date : 2022-01-26
Maturity Price : 25.00
Evaluated at bid price : 25.26
Bid-YTW : 1.13 %
BAM.PR.X FixedReset Disc 149,600 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-12-03
Maturity Price : 17.48
Evaluated at bid price : 17.48
Bid-YTW : 4.67 %
CM.PR.R FixedReset Prem 103,739 YTW SCENARIO
Maturity Type : Call
Maturity Date : 2022-07-31
Maturity Price : 25.00
Evaluated at bid price : 25.30
Bid-YTW : 3.24 %
RY.PR.H FixedReset Disc 38,200 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-12-03
Maturity Price : 23.09
Evaluated at bid price : 24.15
Bid-YTW : 3.76 %
GWO.PR.F Insurance Straight 32,158 YTW SCENARIO
Maturity Type : Call
Maturity Date : 2022-01-02
Maturity Price : 25.00
Evaluated at bid price : 24.97
Bid-YTW : 1.86 %
CM.PR.S FixedReset Prem 31,198 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-12-03
Maturity Price : 24.08
Evaluated at bid price : 24.50
Bid-YTW : 4.02 %
There were 28 other index-included issues trading in excess of 10,000 shares.
Wide Spread Highlights
Issue Index Quote Data and Yield Notes
TRP.PR.G FixedReset Disc Quote: 12.17 – 23.50
Spot Rate : 11.3300
Average : 8.8865

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-12-03
Maturity Price : 12.17
Evaluated at bid price : 12.17
Bid-YTW : 8.46 %

BAM.PR.E Ratchet Quote: 19.00 – 21.00
Spot Rate : 2.0000
Average : 1.3701

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-12-03
Maturity Price : 25.00
Evaluated at bid price : 19.00
Bid-YTW : 3.81 %

RY.PR.J FixedReset Disc Quote: 23.35 – 24.35
Spot Rate : 1.0000
Average : 0.6352

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-12-03
Maturity Price : 22.59
Evaluated at bid price : 23.35
Bid-YTW : 4.25 %

BAM.PR.R FixedReset Disc Quote: 18.59 – 19.96
Spot Rate : 1.3700
Average : 1.0143

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-12-03
Maturity Price : 18.59
Evaluated at bid price : 18.59
Bid-YTW : 4.93 %

TD.PF.D FixedReset Disc Quote: 23.64 – 24.75
Spot Rate : 1.1100
Average : 0.7719

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-12-03
Maturity Price : 22.72
Evaluated at bid price : 23.64
Bid-YTW : 4.24 %

GWO.PR.T Insurance Straight Quote: 25.50 – 26.65
Spot Rate : 1.1500
Average : 0.8280

YTW SCENARIO
Maturity Type : Call
Maturity Date : 2026-06-30
Maturity Price : 25.00
Evaluated at bid price : 25.50
Bid-YTW : 4.60 %

BNS.PR.H To Be Redeemed

December 2nd, 2021

The Bank of Nova Scotia has announced:

its intention to redeem all outstanding Non-cumulative 5-Year Rate Reset Preferred Shares Series 38 (Non-Viability Contingent Capital (NVCC)) (“Series 38 Shares”) of Scotiabank on January 27, 2022 at a price equal to $25.00 per share together with declared and unpaid dividends to the Redemption Date (the “Redemption Price”). Formal notice will be issued to the shareholders in accordance with the share conditions.

The redemption has been approved by the Office of the Superintendent of Financial Institutions and will be financed out of the general funds of Scotiabank. This redemption is part of the Bank’s ongoing management of its Tier 1 capital.

On November 30, 2021, the Board of Directors of Scotiabank declared quarterly dividends of $0.3031250 per Series 38 Share. This will be the final dividend on the Series 38 Shares and will be paid on January 27, 2022, to shareholders of record at the close of business on January 4, 2022, as previously announced. Subsequent to this final dividend payment, the Series 38 Shares will cease to be entitled to dividends.

BNS.PR.H is a FixedReset, 4.85%+419, NVCC, that commenced trading 2016-9-16 after being announced 2016-9-7. It is tracked by HIMIPref™ and has is assigned to the FixedReset-Premium subindex.

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

December 2, 2021

December 2nd, 2021
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 3.13 % 3.66 % 54,208 19.89 1 -4.3521 % 2,786.4
FixedFloater 0.00 % 0.00 % 0 0.00 0 -1.0760 % 5,124.6
Floater 3.11 % 3.09 % 86,724 19.44 3 -1.0760 % 2,953.3
OpRet 0.00 % 0.00 % 0 0.00 0 0.2257 % 3,678.0
SplitShare 4.66 % 4.20 % 53,046 3.82 5 0.2257 % 4,392.3
Interest-Bearing 0.00 % 0.00 % 0 0.00 0 0.2257 % 3,427.1
Perpetual-Premium 5.14 % -0.32 % 43,511 0.09 28 -0.0715 % 3,252.7
Perpetual-Discount 4.73 % 4.86 % 66,445 15.65 6 0.1777 % 3,826.9
FixedReset Disc 3.94 % 4.06 % 125,954 17.14 37 -1.7897 % 2,800.3
Insurance Straight 5.01 % 4.51 % 93,762 14.73 20 -0.3322 % 3,624.7
FloatingReset 2.50 % 2.83 % 30,921 20.19 2 -1.0283 % 2,812.4
FixedReset Prem 4.70 % 3.84 % 114,047 2.47 33 -0.0597 % 2,720.8
FixedReset Bank Non 0.00 % 0.00 % 0 0.00 0 -1.7897 % 2,862.5
FixedReset Ins Non 4.11 % 3.89 % 97,033 17.11 19 -0.4681 % 2,930.4
Performance Highlights
Issue Index Change Notes
TRP.PR.G FixedReset Disc -47.09 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-12-02
Maturity Price : 12.17
Evaluated at bid price : 12.17
Bid-YTW : 8.46 %
TRP.PR.C FixedReset Disc -5.15 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-12-02
Maturity Price : 14.37
Evaluated at bid price : 14.37
Bid-YTW : 4.81 %
BAM.PR.E Ratchet -4.35 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-12-02
Maturity Price : 25.00
Evaluated at bid price : 19.56
Bid-YTW : 3.66 %
BAM.PF.E FixedReset Disc -3.68 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-12-02
Maturity Price : 20.95
Evaluated at bid price : 20.95
Bid-YTW : 4.73 %
BAM.PR.B Floater -3.64 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-12-02
Maturity Price : 13.25
Evaluated at bid price : 13.25
Bid-YTW : 3.27 %
BAM.PR.T FixedReset Disc -3.22 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-12-02
Maturity Price : 20.15
Evaluated at bid price : 20.15
Bid-YTW : 4.71 %
CU.PR.C FixedReset Disc -2.84 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-12-02
Maturity Price : 21.76
Evaluated at bid price : 22.20
Bid-YTW : 4.30 %
MFC.PR.F FixedReset Ins Non -2.76 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-12-02
Maturity Price : 17.99
Evaluated at bid price : 17.99
Bid-YTW : 3.80 %
MFC.PR.M FixedReset Ins Non -2.33 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-12-02
Maturity Price : 22.69
Evaluated at bid price : 23.45
Bid-YTW : 4.00 %
MFC.PR.L FixedReset Ins Non -2.17 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-12-02
Maturity Price : 22.52
Evaluated at bid price : 23.04
Bid-YTW : 3.89 %
TRP.PR.F FloatingReset -2.02 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-12-02
Maturity Price : 17.50
Evaluated at bid price : 17.50
Bid-YTW : 2.83 %
BAM.PF.G FixedReset Disc -1.93 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-12-02
Maturity Price : 22.29
Evaluated at bid price : 22.85
Bid-YTW : 4.48 %
TRP.PR.B FixedReset Disc -1.82 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-12-02
Maturity Price : 13.50
Evaluated at bid price : 13.50
Bid-YTW : 4.67 %
MFC.PR.K FixedReset Ins Non -1.66 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-12-02
Maturity Price : 23.28
Evaluated at bid price : 23.65
Bid-YTW : 3.91 %
BMO.PR.S FixedReset Disc -1.64 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-12-02
Maturity Price : 23.06
Evaluated at bid price : 24.00
Bid-YTW : 3.88 %
BAM.PR.X FixedReset Disc -1.63 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-12-02
Maturity Price : 18.10
Evaluated at bid price : 18.10
Bid-YTW : 4.51 %
PWF.PR.T FixedReset Disc -1.24 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-12-02
Maturity Price : 23.50
Evaluated at bid price : 23.80
Bid-YTW : 4.06 %
MIC.PR.A Perpetual-Premium -1.18 % YTW SCENARIO
Maturity Type : Call
Maturity Date : 2030-03-31
Maturity Price : 25.00
Evaluated at bid price : 26.80
Bid-YTW : 4.52 %
CM.PR.Q FixedReset Disc -1.10 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-12-02
Maturity Price : 22.99
Evaluated at bid price : 24.23
Bid-YTW : 4.09 %
PVS.PR.J SplitShare -1.03 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2028-02-29
Maturity Price : 25.00
Evaluated at bid price : 25.04
Bid-YTW : 4.38 %
TD.PF.D FixedReset Disc -1.02 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-12-02
Maturity Price : 23.02
Evaluated at bid price : 24.30
Bid-YTW : 4.09 %
GWO.PR.G Insurance Straight 1.01 % YTW SCENARIO
Maturity Type : Call
Maturity Date : 2022-01-01
Maturity Price : 25.00
Evaluated at bid price : 25.25
Bid-YTW : -11.59 %
FTS.PR.K FixedReset Disc 1.26 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-12-02
Maturity Price : 21.43
Evaluated at bid price : 21.77
Bid-YTW : 4.05 %
TRP.PR.E FixedReset Disc 1.50 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-12-02
Maturity Price : 20.99
Evaluated at bid price : 20.99
Bid-YTW : 4.55 %
BIP.PR.F FixedReset Prem 1.56 % YTW SCENARIO
Maturity Type : Call
Maturity Date : 2023-12-31
Maturity Price : 25.00
Evaluated at bid price : 25.40
Bid-YTW : 4.11 %
RS.PR.A SplitShare 1.70 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-12-31
Maturity Price : 10.00
Evaluated at bid price : 10.75
Bid-YTW : 3.52 %
TRP.PR.D FixedReset Disc 1.79 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-12-02
Maturity Price : 21.00
Evaluated at bid price : 21.00
Bid-YTW : 4.60 %
IFC.PR.G FixedReset Ins Non 2.93 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-12-02
Maturity Price : 23.67
Evaluated at bid price : 24.91
Bid-YTW : 4.05 %
CM.PR.O FixedReset Disc 3.65 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-12-02
Maturity Price : 23.10
Evaluated at bid price : 24.16
Bid-YTW : 3.83 %
TRP.PR.A FixedReset Disc 4.43 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-12-02
Maturity Price : 18.38
Evaluated at bid price : 18.38
Bid-YTW : 4.59 %
IFC.PR.E Insurance Straight 10.11 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-12-02
Maturity Price : 24.01
Evaluated at bid price : 24.50
Bid-YTW : 5.38 %
Volume Highlights
Issue Index Shares
Traded
Notes
SLF.PR.C Insurance Straight 59,324 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-12-02
Maturity Price : 24.26
Evaluated at bid price : 24.56
Bid-YTW : 4.51 %
SLF.PR.I FixedReset Ins Non 23,925 YTW SCENARIO
Maturity Type : Call
Maturity Date : 2022-01-30
Maturity Price : 25.00
Evaluated at bid price : 24.97
Bid-YTW : 2.69 %
RY.PR.H FixedReset Disc 23,312 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-12-02
Maturity Price : 23.13
Evaluated at bid price : 24.25
Bid-YTW : 3.74 %
CM.PR.Q FixedReset Disc 21,035 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-12-02
Maturity Price : 22.99
Evaluated at bid price : 24.23
Bid-YTW : 4.09 %
RY.PR.Z FixedReset Disc 20,120 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-12-02
Maturity Price : 23.15
Evaluated at bid price : 24.20
Bid-YTW : 3.71 %
NA.PR.E FixedReset Prem 17,400 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-12-02
Maturity Price : 23.73
Evaluated at bid price : 24.95
Bid-YTW : 4.00 %
There were 10 other index-included issues trading in excess of 10,000 shares.
Wide Spread Highlights
Issue Index Quote Data and Yield Notes
TRP.PR.G FixedReset Disc Quote: 12.17 – 23.50
Spot Rate : 11.3300
Average : 6.2074

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-12-02
Maturity Price : 12.17
Evaluated at bid price : 12.17
Bid-YTW : 8.46 %

TRP.PR.C FixedReset Disc Quote: 14.37 – 15.35
Spot Rate : 0.9800
Average : 0.6310

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-12-02
Maturity Price : 14.37
Evaluated at bid price : 14.37
Bid-YTW : 4.81 %

IFC.PR.I Perpetual-Premium Quote: 26.55 – 27.60
Spot Rate : 1.0500
Average : 0.7062

YTW SCENARIO
Maturity Type : Call
Maturity Date : 2029-03-31
Maturity Price : 25.00
Evaluated at bid price : 26.55
Bid-YTW : 4.58 %

BAM.PR.E Ratchet Quote: 19.56 – 20.56
Spot Rate : 1.0000
Average : 0.6794

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-12-02
Maturity Price : 25.00
Evaluated at bid price : 19.56
Bid-YTW : 3.66 %

GWO.PR.N FixedReset Ins Non Quote: 16.62 – 17.49
Spot Rate : 0.8700
Average : 0.5609

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-12-02
Maturity Price : 16.62
Evaluated at bid price : 16.62
Bid-YTW : 3.82 %

BAM.PR.B Floater Quote: 13.25 – 14.34
Spot Rate : 1.0900
Average : 0.7926

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-12-02
Maturity Price : 13.25
Evaluated at bid price : 13.25
Bid-YTW : 3.27 %

December 1, 2021

December 1st, 2021
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 3.00 % 3.44 % 55,052 20.15 1 0.0000 % 2,913.2
FixedFloater 0.00 % 0.00 % 0 0.00 0 -0.1194 % 5,180.4
Floater 3.08 % 3.09 % 88,920 19.43 3 -0.1194 % 2,985.5
OpRet 0.00 % 0.00 % 0 0.00 0 -0.0972 % 3,669.7
SplitShare 4.67 % 4.13 % 55,045 3.83 5 -0.0972 % 4,382.4
Interest-Bearing 0.00 % 0.00 % 0 0.00 0 -0.0972 % 3,419.4
Perpetual-Premium 5.14 % -2.73 % 45,308 0.09 28 -0.1540 % 3,255.1
Perpetual-Discount 4.74 % 4.88 % 65,740 15.61 6 -0.5168 % 3,820.1
FixedReset Disc 3.87 % 3.96 % 126,466 17.07 37 -0.6410 % 2,851.3
Insurance Straight 4.99 % 4.52 % 92,153 13.88 20 1.2748 % 3,636.7
FloatingReset 2.48 % 2.77 % 31,180 20.34 2 0.0000 % 2,841.6
FixedReset Prem 4.69 % 3.76 % 118,466 2.48 33 0.0430 % 2,722.4
FixedReset Bank Non 0.00 % 0.00 % 0 0.00 0 -0.6410 % 2,914.6
FixedReset Ins Non 4.09 % 3.82 % 97,259 17.12 19 -0.3464 % 2,944.2
Performance Highlights
Issue Index Change Notes
TRP.PR.A FixedReset Disc -7.12 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-12-01
Maturity Price : 17.60
Evaluated at bid price : 17.60
Bid-YTW : 4.79 %
CM.PR.O FixedReset Disc -4.97 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-12-01
Maturity Price : 22.67
Evaluated at bid price : 23.31
Bid-YTW : 4.01 %
PWF.PR.P FixedReset Disc -3.46 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-12-01
Maturity Price : 17.00
Evaluated at bid price : 17.00
Bid-YTW : 4.17 %
IFC.PR.G FixedReset Ins Non -3.39 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-12-01
Maturity Price : 23.83
Evaluated at bid price : 24.20
Bid-YTW : 4.23 %
BAM.PF.H FixedReset Prem -2.91 % YTW SCENARIO
Maturity Type : Call
Maturity Date : 2025-12-31
Maturity Price : 25.00
Evaluated at bid price : 26.05
Bid-YTW : 4.13 %
TRP.PR.D FixedReset Disc -2.60 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-12-01
Maturity Price : 20.63
Evaluated at bid price : 20.63
Bid-YTW : 4.68 %
TRP.PR.C FixedReset Disc -2.26 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-12-01
Maturity Price : 15.15
Evaluated at bid price : 15.15
Bid-YTW : 4.57 %
TRP.PR.E FixedReset Disc -2.04 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-12-01
Maturity Price : 20.68
Evaluated at bid price : 20.68
Bid-YTW : 4.62 %
CU.PR.I FixedReset Prem -1.84 % YTW SCENARIO
Maturity Type : Call
Maturity Date : 2025-12-01
Maturity Price : 25.00
Evaluated at bid price : 25.62
Bid-YTW : 3.85 %
FTS.PR.K FixedReset Disc -1.83 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-12-01
Maturity Price : 21.50
Evaluated at bid price : 21.50
Bid-YTW : 4.13 %
MFC.PR.K FixedReset Ins Non -1.43 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-12-01
Maturity Price : 23.70
Evaluated at bid price : 24.05
Bid-YTW : 3.84 %
PWF.PR.T FixedReset Disc -1.31 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-12-01
Maturity Price : 23.17
Evaluated at bid price : 24.10
Bid-YTW : 3.96 %
TD.PF.B FixedReset Disc -1.22 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-12-01
Maturity Price : 23.12
Evaluated at bid price : 24.20
Bid-YTW : 3.77 %
GWO.PR.N FixedReset Ins Non -1.18 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-12-01
Maturity Price : 16.80
Evaluated at bid price : 16.80
Bid-YTW : 3.81 %
RY.PR.J FixedReset Disc -1.09 % YTW SCENARIO
Maturity Type : Call
Maturity Date : 2025-05-24
Maturity Price : 25.00
Evaluated at bid price : 24.52
Bid-YTW : 3.83 %
FTS.PR.M FixedReset Disc -1.08 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-12-01
Maturity Price : 22.44
Evaluated at bid price : 23.00
Bid-YTW : 4.23 %
CU.PR.F Perpetual-Discount -1.07 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-12-01
Maturity Price : 23.68
Evaluated at bid price : 23.99
Bid-YTW : 4.70 %
RY.PR.M FixedReset Disc -1.02 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-12-01
Maturity Price : 22.92
Evaluated at bid price : 24.15
Bid-YTW : 3.91 %
BMO.PR.W FixedReset Disc -1.02 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-12-01
Maturity Price : 23.09
Evaluated at bid price : 24.25
Bid-YTW : 3.73 %
RY.PR.Z FixedReset Disc 1.12 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-12-01
Maturity Price : 23.23
Evaluated at bid price : 24.37
Bid-YTW : 3.68 %
BAM.PF.B FixedReset Disc 1.30 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-12-01
Maturity Price : 22.72
Evaluated at bid price : 23.31
Bid-YTW : 4.44 %
BAM.PF.A FixedReset Prem 1.56 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-12-01
Maturity Price : 23.55
Evaluated at bid price : 24.78
Bid-YTW : 4.43 %
BAM.PR.X FixedReset Disc 1.66 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-12-01
Maturity Price : 18.40
Evaluated at bid price : 18.40
Bid-YTW : 4.44 %
BIP.PR.F FixedReset Prem 5.84 % YTW SCENARIO
Maturity Type : Call
Maturity Date : 2023-12-31
Maturity Price : 25.00
Evaluated at bid price : 25.01
Bid-YTW : 4.90 %
BAM.PF.G FixedReset Disc 7.08 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-12-01
Maturity Price : 22.55
Evaluated at bid price : 23.30
Bid-YTW : 4.38 %
MFC.PR.C Insurance Straight 13.00 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-12-01
Maturity Price : 24.00
Evaluated at bid price : 24.25
Bid-YTW : 4.64 %
MFC.PR.B Insurance Straight 13.79 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-12-01
Maturity Price : 24.50
Evaluated at bid price : 24.75
Bid-YTW : 4.70 %
Volume Highlights
Issue Index Shares
Traded
Notes
SLF.PR.I FixedReset Ins Non 814,390 YTW SCENARIO
Maturity Type : Call
Maturity Date : 2021-12-31
Maturity Price : 25.00
Evaluated at bid price : 24.96
Bid-YTW : 1.96 %
MFC.PR.G FixedReset Ins Non 84,200 YTW SCENARIO
Maturity Type : Call
Maturity Date : 2022-01-18
Maturity Price : 25.00
Evaluated at bid price : 24.98
Bid-YTW : 3.06 %
TD.PF.A FixedReset Disc 65,212 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-12-01
Maturity Price : 23.12
Evaluated at bid price : 24.29
Bid-YTW : 3.72 %
GWO.PR.P Insurance Straight 50,400 YTW SCENARIO
Maturity Type : Call
Maturity Date : 2021-12-31
Maturity Price : 25.00
Evaluated at bid price : 25.53
Bid-YTW : -9.06 %
NA.PR.E FixedReset Prem 47,300 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-12-01
Maturity Price : 23.71
Evaluated at bid price : 24.91
Bid-YTW : 4.01 %
TRP.PR.D FixedReset Disc 33,716 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-12-01
Maturity Price : 20.63
Evaluated at bid price : 20.63
Bid-YTW : 4.68 %
There were 14 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: 22.25 – 26.28
Spot Rate : 4.0300
Average : 3.4086

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-12-01
Maturity Price : 21.95
Evaluated at bid price : 22.25
Bid-YTW : 5.94 %

CM.PR.O FixedReset Disc Quote: 23.31 – 24.31
Spot Rate : 1.0000
Average : 0.5685

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-12-01
Maturity Price : 22.67
Evaluated at bid price : 23.31
Bid-YTW : 4.01 %

IFC.PR.G FixedReset Ins Non Quote: 24.20 – 25.20
Spot Rate : 1.0000
Average : 0.6412

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-12-01
Maturity Price : 23.83
Evaluated at bid price : 24.20
Bid-YTW : 4.23 %

PWF.PR.P FixedReset Disc Quote: 17.00 – 17.75
Spot Rate : 0.7500
Average : 0.5194

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-12-01
Maturity Price : 17.00
Evaluated at bid price : 17.00
Bid-YTW : 4.17 %

CU.PR.F Perpetual-Discount Quote: 23.99 – 24.80
Spot Rate : 0.8100
Average : 0.5861

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-12-01
Maturity Price : 23.68
Evaluated at bid price : 23.99
Bid-YTW : 4.70 %

TRP.PR.A FixedReset Disc Quote: 17.60 – 18.60
Spot Rate : 1.0000
Average : 0.7890

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-12-01
Maturity Price : 17.60
Evaluated at bid price : 17.60
Bid-YTW : 4.79 %

SLF.PR.I To Be Redeemed

November 30th, 2021

Sun Life Financial Inc. has announced:

its intention to redeem its $300 million principal amount of issued and outstanding Class A Non-Cumulative Rate Reset Preferred Shares Series 12R (the “Series 12R Shares”) on December 31, 2021 (the “Redemption Date”).

The Series 12R Shares will be redeemed at Sun Life Financial Inc.’s option on the Redemption Date at a redemption price of $25.00 per share, together with all declared and unpaid dividends on such share to but excluding the Redemption Date. Notice will be delivered to the holders of the Series 12R Shares in accordance with the terms governing the Series 12R Shares.

Separately from the payment of the redemption price, the final quarterly dividend of $0.237875 per share for the Series 12R Shares will be paid in the usual manner on December 31, 2021, to shareholders of record on November 24, 2021.

SLF.PR.I was issued a FixedReset 4.25%+273, that commenced trading 2011-11-10 after being announced 2011-11-3. Notice of extension was given in 2016 and the issue reset to 3.806%. I recommended against conversion and there was no conversion.

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

November 30, 2021

November 30th, 2021
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 3.00 % 3.44 % 55,314 20.15 1 0.0000 % 2,913.2
FixedFloater 0.00 % 0.00 % 0 0.00 0 -1.8978 % 5,186.6
Floater 3.07 % 3.09 % 89,920 19.43 3 -1.8978 % 2,989.0
OpRet 0.00 % 0.00 % 0 0.00 0 0.1870 % 3,673.3
SplitShare 4.67 % 4.12 % 57,195 3.83 5 0.1870 % 4,386.7
Interest-Bearing 0.00 % 0.00 % 0 0.00 0 0.1870 % 3,422.7
Perpetual-Premium 5.13 % -7.25 % 45,570 0.08 28 -0.1719 % 3,260.1
Perpetual-Discount 4.72 % 4.88 % 66,565 15.63 6 0.0340 % 3,839.9
FixedReset Disc 3.85 % 3.88 % 125,678 17.00 37 -0.4746 % 2,869.7
Insurance Straight 5.06 % 4.54 % 92,230 13.88 20 -2.3491 % 3,591.0
FloatingReset 2.48 % 2.77 % 31,283 20.34 2 -1.1296 % 2,841.6
FixedReset Prem 4.69 % 3.79 % 121,625 2.49 33 -0.4565 % 2,721.3
FixedReset Bank Non 0.00 % 0.00 % 0 0.00 0 -0.4746 % 2,933.4
FixedReset Ins Non 4.08 % 3.82 % 98,555 17.11 19 -0.8575 % 2,954.4
Performance Highlights
Issue Index Change Notes
IFC.PR.E Insurance Straight -14.49 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-11-30
Maturity Price : 21.95
Evaluated at bid price : 22.25
Bid-YTW : 5.94 %
MFC.PR.C Insurance Straight -12.51 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-11-30
Maturity Price : 21.46
Evaluated at bid price : 21.46
Bid-YTW : 5.26 %
MFC.PR.B Insurance Straight -12.33 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-11-30
Maturity Price : 21.49
Evaluated at bid price : 21.75
Bid-YTW : 5.35 %
BIP.PR.F FixedReset Prem -7.01 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-11-30
Maturity Price : 23.31
Evaluated at bid price : 23.63
Bid-YTW : 5.38 %
BAM.PF.G FixedReset Disc -6.25 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-11-30
Maturity Price : 21.42
Evaluated at bid price : 21.76
Bid-YTW : 4.72 %
BAM.PR.B Floater -2.88 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-11-30
Maturity Price : 13.85
Evaluated at bid price : 13.85
Bid-YTW : 3.12 %
IFC.PR.A FixedReset Ins Non -2.60 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-11-30
Maturity Price : 20.60
Evaluated at bid price : 20.60
Bid-YTW : 3.90 %
SLF.PR.J FloatingReset -2.28 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-11-30
Maturity Price : 17.15
Evaluated at bid price : 17.15
Bid-YTW : 2.15 %
BAM.PF.A FixedReset Prem -2.01 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-11-30
Maturity Price : 23.39
Evaluated at bid price : 24.40
Bid-YTW : 4.52 %
SLF.PR.G FixedReset Ins Non -1.96 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-11-30
Maturity Price : 17.50
Evaluated at bid price : 17.50
Bid-YTW : 3.81 %
TRP.PR.B FixedReset Disc -1.86 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-11-30
Maturity Price : 13.73
Evaluated at bid price : 13.73
Bid-YTW : 4.59 %
TRP.PR.E FixedReset Disc -1.81 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-11-30
Maturity Price : 21.11
Evaluated at bid price : 21.11
Bid-YTW : 4.52 %
RY.PR.Z FixedReset Disc -1.63 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-11-30
Maturity Price : 23.11
Evaluated at bid price : 24.10
Bid-YTW : 3.73 %
BAM.PR.C Floater -1.62 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-11-30
Maturity Price : 13.99
Evaluated at bid price : 13.99
Bid-YTW : 3.09 %
TD.PF.D FixedReset Disc -1.53 % YTW SCENARIO
Maturity Type : Call
Maturity Date : 2025-07-31
Maturity Price : 25.00
Evaluated at bid price : 24.50
Bid-YTW : 3.88 %
BAM.PF.H FixedReset Prem -1.51 % YTW SCENARIO
Maturity Type : Call
Maturity Date : 2025-12-31
Maturity Price : 25.00
Evaluated at bid price : 26.83
Bid-YTW : 3.31 %
TRP.PR.G FixedReset Disc -1.50 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-11-30
Maturity Price : 22.34
Evaluated at bid price : 23.00
Bid-YTW : 4.50 %
FTS.PR.H FixedReset Disc -1.47 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-11-30
Maturity Price : 16.75
Evaluated at bid price : 16.75
Bid-YTW : 4.04 %
PWF.PR.S Perpetual-Premium -1.36 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-11-30
Maturity Price : 24.35
Evaluated at bid price : 24.60
Bid-YTW : 4.92 %
BAM.PR.K Floater -1.20 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-11-30
Maturity Price : 14.03
Evaluated at bid price : 14.03
Bid-YTW : 3.08 %
TD.PF.E FixedReset Prem -1.17 % YTW SCENARIO
Maturity Type : Call
Maturity Date : 2025-10-31
Maturity Price : 25.00
Evaluated at bid price : 24.55
Bid-YTW : 3.83 %
CM.PR.T FixedReset Prem 1.27 % YTW SCENARIO
Maturity Type : Call
Maturity Date : 2024-04-30
Maturity Price : 25.00
Evaluated at bid price : 26.25
Bid-YTW : 3.26 %
BAM.PR.T FixedReset Disc 2.17 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-11-30
Maturity Price : 20.75
Evaluated at bid price : 20.75
Bid-YTW : 4.57 %
Volume Highlights
Issue Index Shares
Traded
Notes
MFC.PR.R FixedReset Ins Non 56,460 YTW SCENARIO
Maturity Type : Call
Maturity Date : 2022-03-19
Maturity Price : 25.00
Evaluated at bid price : 25.15
Bid-YTW : 1.99 %
MFC.PR.H FixedReset Ins Non 44,069 YTW SCENARIO
Maturity Type : Call
Maturity Date : 2022-03-19
Maturity Price : 25.00
Evaluated at bid price : 25.03
Bid-YTW : 3.17 %
BMO.PR.B FixedReset Prem 40,919 YTW SCENARIO
Maturity Type : Call
Maturity Date : 2022-02-25
Maturity Price : 25.00
Evaluated at bid price : 25.17
Bid-YTW : 2.27 %
IFC.PR.E Insurance Straight 34,300 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-11-30
Maturity Price : 21.95
Evaluated at bid price : 22.25
Bid-YTW : 5.94 %
BNS.PR.H FixedReset Prem 32,933 YTW SCENARIO
Maturity Type : Call
Maturity Date : 2022-01-26
Maturity Price : 25.00
Evaluated at bid price : 25.23
Bid-YTW : 1.84 %
RY.PR.Z FixedReset Disc 25,487 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-11-30
Maturity Price : 23.11
Evaluated at bid price : 24.10
Bid-YTW : 3.73 %
There were 12 other index-included issues trading in excess of 10,000 shares.
Wide Spread Highlights
Issue Index Quote Data and Yield Notes
MFC.PR.B Insurance Straight Quote: 21.75 – 25.15
Spot Rate : 3.4000
Average : 1.8232

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-11-30
Maturity Price : 21.49
Evaluated at bid price : 21.75
Bid-YTW : 5.35 %

MFC.PR.C Insurance Straight Quote: 21.46 – 24.54
Spot Rate : 3.0800
Average : 1.6599

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-11-30
Maturity Price : 21.46
Evaluated at bid price : 21.46
Bid-YTW : 5.26 %

IFC.PR.E Insurance Straight Quote: 22.25 – 26.20
Spot Rate : 3.9500
Average : 2.7273

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-11-30
Maturity Price : 21.95
Evaluated at bid price : 22.25
Bid-YTW : 5.94 %

BIP.PR.F FixedReset Prem Quote: 23.63 – 25.50
Spot Rate : 1.8700
Average : 1.0576

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-11-30
Maturity Price : 23.31
Evaluated at bid price : 23.63
Bid-YTW : 5.38 %

BAM.PF.G FixedReset Disc Quote: 21.76 – 23.60
Spot Rate : 1.8400
Average : 1.1293

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-11-30
Maturity Price : 21.42
Evaluated at bid price : 21.76
Bid-YTW : 4.72 %

TRP.PR.B FixedReset Disc Quote: 13.73 – 15.00
Spot Rate : 1.2700
Average : 0.7983

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-11-30
Maturity Price : 13.73
Evaluated at bid price : 13.73
Bid-YTW : 4.59 %

November 29, 2021

November 29th, 2021
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 3.00 % 3.44 % 51,124 20.16 1 0.0000 % 2,913.2
FixedFloater 0.00 % 0.00 % 0 0.00 0 1.2094 % 5,286.9
Floater 3.01 % 3.04 % 87,061 19.56 3 1.2094 % 3,046.9
OpRet 0.00 % 0.00 % 0 0.00 0 -0.5539 % 3,666.4
SplitShare 4.67 % 4.18 % 57,708 3.83 5 -0.5539 % 4,378.5
Interest-Bearing 0.00 % 0.00 % 0 0.00 0 -0.5539 % 3,416.3
Perpetual-Premium 5.12 % -7.41 % 46,143 0.09 28 -0.0447 % 3,265.7
Perpetual-Discount 4.72 % 4.86 % 67,648 15.67 6 0.0204 % 3,838.6
FixedReset Disc 3.83 % 3.82 % 125,761 17.03 37 -0.1392 % 2,883.4
Insurance Straight 4.94 % 4.50 % 91,430 3.43 20 0.7216 % 3,677.3
FloatingReset 2.45 % 2.77 % 30,124 20.34 2 -1.7753 % 2,874.1
FixedReset Prem 4.67 % 3.37 % 121,470 2.27 33 -0.1887 % 2,733.7
FixedReset Bank Non 0.00 % 0.00 % 0 0.00 0 -0.1392 % 2,947.4
FixedReset Ins Non 4.05 % 3.83 % 99,473 17.00 19 0.2137 % 2,980.0
Performance Highlights
Issue Index Change Notes
TRP.PR.F FloatingReset -2.72 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-11-29
Maturity Price : 17.86
Evaluated at bid price : 17.86
Bid-YTW : 2.77 %
BAM.PR.T FixedReset Disc -2.12 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-11-29
Maturity Price : 20.31
Evaluated at bid price : 20.31
Bid-YTW : 4.67 %
TRP.PR.A FixedReset Disc -1.72 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-11-29
Maturity Price : 18.78
Evaluated at bid price : 18.78
Bid-YTW : 4.49 %
PVS.PR.J SplitShare -1.63 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2028-02-29
Maturity Price : 25.00
Evaluated at bid price : 25.30
Bid-YTW : 4.19 %
TRP.PR.D FixedReset Disc -1.39 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-11-29
Maturity Price : 21.30
Evaluated at bid price : 21.30
Bid-YTW : 4.53 %
BAM.PF.G FixedReset Disc -1.23 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-11-29
Maturity Price : 22.50
Evaluated at bid price : 23.21
Bid-YTW : 4.40 %
CU.PR.I FixedReset Prem -1.10 % YTW SCENARIO
Maturity Type : Call
Maturity Date : 2025-12-01
Maturity Price : 25.00
Evaluated at bid price : 26.10
Bid-YTW : 3.33 %
BAM.PF.F FixedReset Disc 1.71 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-11-29
Maturity Price : 22.87
Evaluated at bid price : 23.74
Bid-YTW : 4.49 %
BAM.PR.K Floater 2.82 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-11-29
Maturity Price : 14.20
Evaluated at bid price : 14.20
Bid-YTW : 3.05 %
MFC.PR.F FixedReset Ins Non 3.28 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-11-29
Maturity Price : 18.57
Evaluated at bid price : 18.57
Bid-YTW : 3.73 %
IFC.PR.E Insurance Straight 16.94 % YTW SCENARIO
Maturity Type : Call
Maturity Date : 2025-06-30
Maturity Price : 25.25
Evaluated at bid price : 26.02
Bid-YTW : 4.51 %
Volume Highlights
Issue Index Shares
Traded
Notes
BMO.PR.T FixedReset Disc 51,800 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-11-29
Maturity Price : 23.19
Evaluated at bid price : 24.40
Bid-YTW : 3.68 %
RY.PR.H FixedReset Disc 39,785 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-11-29
Maturity Price : 23.24
Evaluated at bid price : 24.50
Bid-YTW : 3.68 %
BNS.PR.I FixedReset Prem 27,675 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-11-29
Maturity Price : 23.73
Evaluated at bid price : 25.54
Bid-YTW : 3.79 %
PWF.PF.A Perpetual-Discount 26,200 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-11-29
Maturity Price : 24.31
Evaluated at bid price : 24.71
Bid-YTW : 4.59 %
RY.PR.J FixedReset Disc 25,000 YTW SCENARIO
Maturity Type : Call
Maturity Date : 2025-05-24
Maturity Price : 25.00
Evaluated at bid price : 24.79
Bid-YTW : 3.48 %
BMO.PR.F FixedReset Prem 23,550 YTW SCENARIO
Maturity Type : Call
Maturity Date : 2024-05-25
Maturity Price : 25.00
Evaluated at bid price : 26.35
Bid-YTW : 2.87 %
There were 8 other index-included issues trading in excess of 10,000 shares.
Wide Spread Highlights
Issue Index Quote Data and Yield Notes
TRP.PR.A FixedReset Disc Quote: 18.78 – 20.33
Spot Rate : 1.5500
Average : 1.0373

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-11-29
Maturity Price : 18.78
Evaluated at bid price : 18.78
Bid-YTW : 4.49 %

TRP.PR.D FixedReset Disc Quote: 21.30 – 22.55
Spot Rate : 1.2500
Average : 0.7627

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-11-29
Maturity Price : 21.30
Evaluated at bid price : 21.30
Bid-YTW : 4.53 %

BAM.PR.T FixedReset Disc Quote: 20.31 – 21.50
Spot Rate : 1.1900
Average : 0.7628

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-11-29
Maturity Price : 20.31
Evaluated at bid price : 20.31
Bid-YTW : 4.67 %

CU.PR.C FixedReset Disc Quote: 22.85 – 24.43
Spot Rate : 1.5800
Average : 1.2222

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-11-29
Maturity Price : 22.17
Evaluated at bid price : 22.85
Bid-YTW : 4.15 %

RS.PR.A SplitShare Quote: 10.42 – 11.25
Spot Rate : 0.8300
Average : 0.5488

YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-12-31
Maturity Price : 10.00
Evaluated at bid price : 10.42
Bid-YTW : 4.38 %

CU.PR.I FixedReset Prem Quote: 26.10 – 26.68
Spot Rate : 0.5800
Average : 0.3797

YTW SCENARIO
Maturity Type : Call
Maturity Date : 2025-12-01
Maturity Price : 25.00
Evaluated at bid price : 26.10
Bid-YTW : 3.33 %