November 26, 2021

November 26th, 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 % 3.45 % 51,116 20.10 1 -0.7282 % 2,913.2
FixedFloater 0.00 % 0.00 % 0 0.00 0 -2.5872 % 5,223.7
Floater 3.05 % 3.05 % 88,214 19.53 3 -2.5872 % 3,010.5
OpRet 0.00 % 0.00 % 0 0.00 0 -0.1006 % 3,686.9
SplitShare 4.65 % 4.06 % 57,800 3.84 5 -0.1006 % 4,402.9
Interest-Bearing 0.00 % 0.00 % 0 0.00 0 -0.1006 % 3,435.3
Perpetual-Premium 5.12 % -8.80 % 45,122 0.09 28 -0.1074 % 3,267.2
Perpetual-Discount 4.72 % 4.87 % 70,154 15.67 6 -0.3458 % 3,837.8
FixedReset Disc 3.83 % 3.87 % 129,050 16.82 37 -0.9672 % 2,887.4
Insurance Straight 4.97 % 4.49 % 91,279 3.44 20 -0.8792 % 3,651.0
FloatingReset 2.43 % 2.74 % 29,394 20.36 2 -1.1787 % 2,926.0
FixedReset Prem 4.66 % 3.55 % 122,352 2.28 33 -0.2533 % 2,738.9
FixedReset Bank Non 0.00 % 0.00 % 0 0.00 0 -0.9672 % 2,951.5
FixedReset Ins Non 4.05 % 3.94 % 103,263 16.81 19 -0.6903 % 2,973.6
Performance Highlights
Issue Index Change Notes
IFC.PR.E Insurance Straight -15.40 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-11-26
Maturity Price : 21.95
Evaluated at bid price : 22.25
Bid-YTW : 5.93 %
BAM.PR.K Floater -4.76 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-11-26
Maturity Price : 13.81
Evaluated at bid price : 13.81
Bid-YTW : 3.13 %
MFC.PR.F FixedReset Ins Non -4.36 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-11-26
Maturity Price : 17.98
Evaluated at bid price : 17.98
Bid-YTW : 3.95 %
TRP.PR.B FixedReset Disc -4.11 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-11-26
Maturity Price : 14.00
Evaluated at bid price : 14.00
Bid-YTW : 4.69 %
BAM.PF.F FixedReset Disc -2.83 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-11-26
Maturity Price : 22.66
Evaluated at bid price : 23.34
Bid-YTW : 4.67 %
TRP.PR.G FixedReset Disc -2.69 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-11-26
Maturity Price : 22.64
Evaluated at bid price : 23.55
Bid-YTW : 4.46 %
BAM.PR.X FixedReset Disc -2.67 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-11-26
Maturity Price : 18.20
Evaluated at bid price : 18.20
Bid-YTW : 4.62 %
TRP.PR.A FixedReset Disc -2.37 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-11-26
Maturity Price : 19.33
Evaluated at bid price : 19.33
Bid-YTW : 4.54 %
CU.PR.C FixedReset Disc -2.35 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-11-26
Maturity Price : 22.17
Evaluated at bid price : 22.85
Bid-YTW : 4.26 %
PWF.PR.P FixedReset Disc -2.22 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-11-26
Maturity Price : 17.60
Evaluated at bid price : 17.60
Bid-YTW : 4.14 %
TRP.PR.C FixedReset Disc -2.19 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-11-26
Maturity Price : 15.65
Evaluated at bid price : 15.65
Bid-YTW : 4.55 %
BAM.PR.T FixedReset Disc -2.12 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-11-26
Maturity Price : 20.75
Evaluated at bid price : 20.75
Bid-YTW : 4.68 %
GWO.PR.N FixedReset Ins Non -1.99 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-11-26
Maturity Price : 17.20
Evaluated at bid price : 17.20
Bid-YTW : 3.84 %
BAM.PR.Z FixedReset Prem -1.81 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-11-26
Maturity Price : 23.88
Evaluated at bid price : 24.35
Bid-YTW : 4.67 %
BAM.PR.R FixedReset Disc -1.73 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-11-26
Maturity Price : 20.41
Evaluated at bid price : 20.41
Bid-YTW : 4.58 %
SLF.PR.J FloatingReset -1.57 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-11-26
Maturity Price : 17.55
Evaluated at bid price : 17.55
Bid-YTW : 2.13 %
BAM.PR.C Floater -1.53 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-11-26
Maturity Price : 14.16
Evaluated at bid price : 14.16
Bid-YTW : 3.05 %
BAM.PR.M Perpetual-Discount -1.48 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-11-26
Maturity Price : 24.34
Evaluated at bid price : 24.65
Bid-YTW : 4.88 %
BAM.PR.B Floater -1.46 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-11-26
Maturity Price : 14.20
Evaluated at bid price : 14.20
Bid-YTW : 3.05 %
IFC.PR.A FixedReset Ins Non -1.45 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-11-26
Maturity Price : 21.11
Evaluated at bid price : 21.11
Bid-YTW : 3.91 %
BAM.PF.B FixedReset Disc -1.36 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-11-26
Maturity Price : 22.66
Evaluated at bid price : 23.22
Bid-YTW : 4.55 %
PWF.PR.T FixedReset Disc -1.34 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-11-26
Maturity Price : 23.27
Evaluated at bid price : 24.32
Bid-YTW : 4.01 %
BAM.PF.E FixedReset Disc -1.32 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-11-26
Maturity Price : 21.42
Evaluated at bid price : 21.75
Bid-YTW : 4.62 %
SLF.PR.H FixedReset Ins Non -1.32 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-11-26
Maturity Price : 21.98
Evaluated at bid price : 22.50
Bid-YTW : 3.88 %
BAM.PF.H FixedReset Prem -1.27 % YTW SCENARIO
Maturity Type : Call
Maturity Date : 2025-12-31
Maturity Price : 25.00
Evaluated at bid price : 27.30
Bid-YTW : 2.83 %
FTS.PR.G FixedReset Disc -1.24 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-11-26
Maturity Price : 21.77
Evaluated at bid price : 22.26
Bid-YTW : 4.17 %
BAM.PR.N Perpetual-Discount -1.21 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-11-26
Maturity Price : 24.25
Evaluated at bid price : 24.55
Bid-YTW : 4.90 %
BAM.PF.G FixedReset Disc -1.05 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-11-26
Maturity Price : 22.65
Evaluated at bid price : 23.50
Bid-YTW : 4.42 %
CIU.PR.A Perpetual-Premium -1.02 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-11-26
Maturity Price : 24.00
Evaluated at bid price : 24.25
Bid-YTW : 4.75 %
Volume Highlights
Issue Index Shares
Traded
Notes
PWF.PF.A Perpetual-Discount 46,753 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-11-26
Maturity Price : 24.37
Evaluated at bid price : 24.77
Bid-YTW : 4.57 %
MFC.PR.G FixedReset Ins Non 36,200 YTW SCENARIO
Maturity Type : Call
Maturity Date : 2022-01-18
Maturity Price : 25.00
Evaluated at bid price : 25.22
Bid-YTW : 3.79 %
MFC.PR.H FixedReset Ins Non 31,700 YTW SCENARIO
Maturity Type : Call
Maturity Date : 2022-03-19
Maturity Price : 25.00
Evaluated at bid price : 25.30
Bid-YTW : 3.04 %
TD.PF.A FixedReset Disc 29,948 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-11-26
Maturity Price : 23.17
Evaluated at bid price : 24.41
Bid-YTW : 3.79 %
BNS.PR.I FixedReset Prem 25,214 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-11-26
Maturity Price : 23.71
Evaluated at bid price : 25.50
Bid-YTW : 3.89 %
BMO.PR.W FixedReset Disc 24,200 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-11-26
Maturity Price : 23.14
Evaluated at bid price : 24.38
Bid-YTW : 3.79 %
There were 15 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 – 26.98
Spot Rate : 4.7300
Average : 2.7644

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-11-26
Maturity Price : 21.95
Evaluated at bid price : 22.25
Bid-YTW : 5.93 %

MFC.PR.F FixedReset Ins Non Quote: 17.98 – 18.98
Spot Rate : 1.0000
Average : 0.6100

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-11-26
Maturity Price : 17.98
Evaluated at bid price : 17.98
Bid-YTW : 3.95 %

PVS.PR.G SplitShare Quote: 25.75 – 27.00
Spot Rate : 1.2500
Average : 0.9152

YTW SCENARIO
Maturity Type : Option Certainty
Maturity Date : 2026-02-28
Maturity Price : 25.00
Evaluated at bid price : 25.75
Bid-YTW : 4.11 %

BAM.PR.M Perpetual-Discount Quote: 24.65 – 25.50
Spot Rate : 0.8500
Average : 0.5568

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-11-26
Maturity Price : 24.34
Evaluated at bid price : 24.65
Bid-YTW : 4.88 %

BAM.PF.F FixedReset Disc Quote: 23.34 – 24.00
Spot Rate : 0.6600
Average : 0.3853

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-11-26
Maturity Price : 22.66
Evaluated at bid price : 23.34
Bid-YTW : 4.67 %

BAM.PR.K Floater Quote: 13.81 – 14.43
Spot Rate : 0.6200
Average : 0.3803

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-11-26
Maturity Price : 13.81
Evaluated at bid price : 13.81
Bid-YTW : 3.13 %

ECN.PR.A To Be Redeemed

November 26th, 2021

ECN Capital Corp. has announced:

that it intends, in accordance with the terms of the Cumulative 5-Year Minimum Rate Reset Preferred Shares, Series A (the “Series A Shares”) as set out in the Company’s articles, to redeem all of the Company’s issued and outstanding Series A Shares. The 3,843,100 Series A Shares will be redeemed on December 31, 2021 (the “Redemption Date”) for a redemption price equal to $25.00 per Series A Share, together with all accrued and unpaid dividends up to but excluding the Redemption Date (the “Redemption Price”), less any tax required to be deducted and withheld by the Company.

As previously announced, the Company’s Board of Directors has declared a dividend of $0.40625 per Series A Share for the fourth quarter of 2021 payable on the Redemption Date to holders of record as of the close of business on December 15, 2021. This will be the final quarterly dividend on the Series A Shares, although holders will receive on redemption of the Series A Shares all accrued and unpaid dividends up to but excluding the Redemption Date.

The Company has provided notice today of the Redemption Price and the Redemption Date to the sole registered holder of the Series A Shares in accordance with the terms of the Series A Shares as set out in the Company’s articles. Non-registered holders of Series A Shares should contact their broker or other intermediary for information regarding the redemption process for the Series A Shares in which they hold a beneficial interest. The Company’s transfer agent for the Series A Shares is Computershare Investor Services Inc. Questions regarding the redemption process may be directed to Computershare Investor Services Inc. at 1-800-564-6253 or by email to corporateactions@computershare.com.

ECN.PR.A is a FixedReset, 6.50%+544M650, that commenced trading 2016-12-2 after being announced 2016-11-23. It has been tracked by HIMIPref™ but relegated to the Scraps index on credit concerns.

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

November 25, 2021

November 25th, 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 2.97 % 3.41 % 48,924 20.14 1 -0.0485 % 2,934.6
FixedFloater 0.00 % 0.00 % 0 0.00 0 -0.2075 % 5,362.5
Floater 2.97 % 3.00 % 86,476 19.67 3 -0.2075 % 3,090.4
OpRet 0.00 % 0.00 % 0 0.00 0 0.0000 % 3,690.6
SplitShare 4.64 % 4.05 % 58,325 3.84 5 0.0000 % 4,407.3
Interest-Bearing 0.00 % 0.00 % 0 0.00 0 0.0000 % 3,438.8
Perpetual-Premium 5.11 % -8.96 % 45,033 0.09 28 0.0810 % 3,270.7
Perpetual-Discount 4.70 % 4.81 % 72,763 15.77 6 0.0814 % 3,851.1
FixedReset Disc 3.79 % 3.94 % 125,669 17.01 37 0.0511 % 2,915.6
Insurance Straight 4.93 % 4.16 % 90,945 3.25 20 0.0593 % 3,683.4
FloatingReset 2.41 % 2.71 % 29,347 20.42 2 1.0246 % 2,960.9
FixedReset Prem 4.65 % 3.29 % 120,908 2.28 33 -0.0769 % 2,745.9
FixedReset Bank Non 0.00 % 0.00 % 0 0.00 0 0.0511 % 2,980.4
FixedReset Ins Non 4.03 % 3.86 % 100,083 16.81 19 -0.1071 % 2,994.3
Performance Highlights
Issue Index Change Notes
TRP.PR.E FixedReset Disc -2.28 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-11-25
Maturity Price : 21.43
Evaluated at bid price : 21.43
Bid-YTW : 4.55 %
TRP.PR.D FixedReset Disc -1.67 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-11-25
Maturity Price : 21.41
Evaluated at bid price : 21.75
Bid-YTW : 4.51 %
CU.PR.I FixedReset Prem -1.32 % YTW SCENARIO
Maturity Type : Call
Maturity Date : 2025-12-01
Maturity Price : 25.00
Evaluated at bid price : 26.25
Bid-YTW : 3.16 %
BAM.PF.B FixedReset Disc -1.30 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-11-25
Maturity Price : 22.85
Evaluated at bid price : 23.54
Bid-YTW : 4.48 %
CU.PR.G Perpetual-Discount -1.19 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-11-25
Maturity Price : 23.72
Evaluated at bid price : 24.00
Bid-YTW : 4.69 %
BAM.PR.M Perpetual-Discount 1.50 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-11-25
Maturity Price : 24.80
Evaluated at bid price : 25.02
Bid-YTW : 4.81 %
TRP.PR.F FloatingReset 1.86 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-11-25
Maturity Price : 18.65
Evaluated at bid price : 18.65
Bid-YTW : 2.71 %
BAM.PR.X FixedReset Disc 2.75 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-11-25
Maturity Price : 18.70
Evaluated at bid price : 18.70
Bid-YTW : 4.49 %
TRP.PR.G FixedReset Disc 5.22 % YTW SCENARIO
Maturity Type : Call
Maturity Date : 2025-11-30
Maturity Price : 25.00
Evaluated at bid price : 24.20
Bid-YTW : 4.24 %
Volume Highlights
Issue Index Shares
Traded
Notes
TD.PF.J FixedReset Prem 26,900 YTW SCENARIO
Maturity Type : Call
Maturity Date : 2023-04-30
Maturity Price : 25.00
Evaluated at bid price : 25.34
Bid-YTW : 3.95 %
BAM.PR.N Perpetual-Discount 26,500 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-11-25
Maturity Price : 24.60
Evaluated at bid price : 24.85
Bid-YTW : 4.84 %
PWF.PF.A Perpetual-Discount 26,050 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-11-25
Maturity Price : 24.35
Evaluated at bid price : 24.75
Bid-YTW : 4.58 %
RY.PR.Z FixedReset Disc 25,500 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-11-25
Maturity Price : 23.28
Evaluated at bid price : 24.50
Bid-YTW : 3.74 %
NA.PR.E FixedReset Prem 15,660 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-11-25
Maturity Price : 23.82
Evaluated at bid price : 25.20
Bid-YTW : 4.04 %
TD.PF.A FixedReset Disc 12,600 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-11-25
Maturity Price : 23.22
Evaluated at bid price : 24.55
Bid-YTW : 3.76 %
There were 3 other index-included issues trading in excess of 10,000 shares.
Wide Spread Highlights
Issue Index Quote Data and Yield Notes
CU.PR.C FixedReset Disc Quote: 23.40 – 24.97
Spot Rate : 1.5700
Average : 1.0381

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-11-25
Maturity Price : 22.68
Evaluated at bid price : 23.40
Bid-YTW : 4.15 %

SLF.PR.D Insurance Straight Quote: 24.65 – 25.88
Spot Rate : 1.2300
Average : 0.7217

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-11-25
Maturity Price : 24.34
Evaluated at bid price : 24.65
Bid-YTW : 4.49 %

PVS.PR.G SplitShare Quote: 25.80 – 26.69
Spot Rate : 0.8900
Average : 0.5482

YTW SCENARIO
Maturity Type : Option Certainty
Maturity Date : 2026-02-28
Maturity Price : 25.00
Evaluated at bid price : 25.80
Bid-YTW : 4.06 %

TRP.PR.E FixedReset Disc Quote: 21.43 – 22.30
Spot Rate : 0.8700
Average : 0.5659

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-11-25
Maturity Price : 21.43
Evaluated at bid price : 21.43
Bid-YTW : 4.55 %

TRP.PR.C FixedReset Disc Quote: 16.00 – 17.00
Spot Rate : 1.0000
Average : 0.7323

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-11-25
Maturity Price : 16.00
Evaluated at bid price : 16.00
Bid-YTW : 4.45 %

CU.PR.G Perpetual-Discount Quote: 24.00 – 25.00
Spot Rate : 1.0000
Average : 0.8257

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-11-25
Maturity Price : 23.72
Evaluated at bid price : 24.00
Bid-YTW : 4.69 %

November 24, 2021

November 24th, 2021

PerpetualDiscounts now yield 4.84%, equivalent to 6.29% interest at the standard equivalency factor of 1.3x. Long corporates now yield 3.51%, so the pre-tax interest-equivalent spread (in this context, the “Seniority Spread”) has rocketted to 280bp from the 245bp reported November 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 2.97 % 3.41 % 49,115 20.15 1 0.0000 % 2,936.0
FixedFloater 0.00 % 0.00 % 0 0.00 0 -0.2300 % 5,373.6
Floater 2.97 % 2.98 % 87,532 19.72 3 -0.2300 % 3,096.8
OpRet 0.00 % 0.00 % 0 0.00 0 0.1356 % 3,690.6
SplitShare 4.64 % 4.05 % 57,998 3.85 5 0.1356 % 4,407.3
Interest-Bearing 0.00 % 0.00 % 0 0.00 0 0.1356 % 3,438.8
Perpetual-Premium 5.12 % -8.19 % 44,942 0.09 28 -0.1074 % 3,268.0
Perpetual-Discount 4.71 % 4.84 % 67,673 15.70 6 -0.0136 % 3,848.0
FixedReset Disc 3.79 % 3.96 % 124,689 17.01 37 1.1423 % 2,914.1
Insurance Straight 4.93 % 4.16 % 89,592 3.25 20 0.0376 % 3,681.2
FloatingReset 2.43 % 2.77 % 29,422 20.28 2 -1.0685 % 2,930.9
FixedReset Prem 4.65 % 3.09 % 121,852 2.28 33 -0.0059 % 2,748.0
FixedReset Bank Non 0.00 % 0.00 % 0 0.00 0 1.1423 % 2,978.8
FixedReset Ins Non 4.02 % 3.90 % 101,411 16.81 19 0.0469 % 2,997.5
Performance Highlights
Issue Index Change Notes
BAM.PR.X FixedReset Disc -2.62 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-11-24
Maturity Price : 18.20
Evaluated at bid price : 18.20
Bid-YTW : 4.62 %
TRP.PR.F FloatingReset -1.82 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-11-24
Maturity Price : 18.31
Evaluated at bid price : 18.31
Bid-YTW : 2.77 %
MIC.PR.A Perpetual-Premium -1.28 % YTW SCENARIO
Maturity Type : Call
Maturity Date : 2029-03-31
Maturity Price : 25.25
Evaluated at bid price : 27.04
Bid-YTW : 4.37 %
TRP.PR.B FixedReset Disc 1.24 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-11-24
Maturity Price : 14.69
Evaluated at bid price : 14.69
Bid-YTW : 4.47 %
BAM.PF.B FixedReset Disc 1.32 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-11-24
Maturity Price : 23.01
Evaluated at bid price : 23.85
Bid-YTW : 4.41 %
TRP.PR.C FixedReset Disc 1.45 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-11-24
Maturity Price : 16.13
Evaluated at bid price : 16.13
Bid-YTW : 4.42 %
BAM.PR.R FixedReset Disc 2.32 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-11-24
Maturity Price : 20.77
Evaluated at bid price : 20.77
Bid-YTW : 4.50 %
TRP.PR.G FixedReset Disc 74.64 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-11-24
Maturity Price : 22.34
Evaluated at bid price : 23.00
Bid-YTW : 4.58 %
Volume Highlights
Issue Index Shares
Traded
Notes
MFC.PR.H FixedReset Ins Non 168,200 YTW SCENARIO
Maturity Type : Call
Maturity Date : 2022-03-19
Maturity Price : 25.00
Evaluated at bid price : 25.32
Bid-YTW : 2.73 %
FTS.PR.K FixedReset Disc 37,100 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-11-24
Maturity Price : 21.52
Evaluated at bid price : 21.90
Bid-YTW : 4.12 %
BAM.PF.F FixedReset Disc 33,370 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-11-24
Maturity Price : 23.03
Evaluated at bid price : 24.07
Bid-YTW : 4.50 %
TD.PF.D FixedReset Disc 29,200 YTW SCENARIO
Maturity Type : Call
Maturity Date : 2025-07-31
Maturity Price : 25.00
Evaluated at bid price : 24.85
Bid-YTW : 3.45 %
PWF.PF.A Perpetual-Discount 29,000 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-11-24
Maturity Price : 24.31
Evaluated at bid price : 24.70
Bid-YTW : 4.59 %
CM.PR.P FixedReset Disc 25,012 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-11-24
Maturity Price : 23.24
Evaluated at bid price : 24.69
Bid-YTW : 3.77 %
There were 14 other index-included issues trading in excess of 10,000 shares.
Wide Spread Highlights
Issue Index Quote Data and Yield Notes
CU.PR.F Perpetual-Discount Quote: 24.30 – 25.00
Spot Rate : 0.7000
Average : 0.4597

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-11-24
Maturity Price : 24.04
Evaluated at bid price : 24.30
Bid-YTW : 4.64 %

CU.PR.E Perpetual-Premium Quote: 25.12 – 25.70
Spot Rate : 0.5800
Average : 0.3579

YTW SCENARIO
Maturity Type : Call
Maturity Date : 2021-12-24
Maturity Price : 25.00
Evaluated at bid price : 25.12
Bid-YTW : -2.07 %

TRP.PR.F FloatingReset Quote: 18.31 – 18.90
Spot Rate : 0.5900
Average : 0.4025

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-11-24
Maturity Price : 18.31
Evaluated at bid price : 18.31
Bid-YTW : 2.77 %

MIC.PR.A Perpetual-Premium Quote: 27.04 – 27.58
Spot Rate : 0.5400
Average : 0.3717

YTW SCENARIO
Maturity Type : Call
Maturity Date : 2029-03-31
Maturity Price : 25.25
Evaluated at bid price : 27.04
Bid-YTW : 4.37 %

CU.PR.C FixedReset Disc Quote: 23.40 – 24.00
Spot Rate : 0.6000
Average : 0.4549

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-11-24
Maturity Price : 22.68
Evaluated at bid price : 23.40
Bid-YTW : 4.15 %

BAM.PR.M Perpetual-Discount Quote: 24.65 – 25.25
Spot Rate : 0.6000
Average : 0.4603

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-11-24
Maturity Price : 24.34
Evaluated at bid price : 24.65
Bid-YTW : 4.87 %

SBC To Split Capital Units, Issue Preferreds

November 24th, 2021

Brompton Group has announced:

Brompton Split Banc Corp. (the “Company”) is pleased to announce its intention to effect a stock split of its Class A shares (the “Share Split”) as well as a concurrent private placement of preferred shares (the “Private Placement”) due to the Company’s strong performance. The Company expects that the Share Split should result in an overall increase in the dollar amount of distributions to be paid to holders of Class A shares by approximately 25% because the Company will maintain its policy to pay monthly dividends on the Class A shares of $0.10 per share. The Company intends to announce the final number of Class A shares and Preferred shares expected to be outstanding following the Share Split and Private Placement by way of press release on or about December 1, 2021.

It is the Company’s intention that Class A shareholders of record on or about Tuesday, December 14, 2021 will receive additional Class A shares pursuant to the Share Split. The number of preferred shares offered in the Private Placement will be an amount such that following the Share Split there will be an equal number of Class A and preferred shares outstanding. The Company expects that the Share Split and the Private Placement will result in an approximately 25% increase in the number of outstanding Class A shares and preferred shares. The Share Split and the Private Placement are subject to regulatory approval as well as the approval of the Toronto Stock Exchange (the “TSX”).

Following the Share Split, Class A shareholders will continue to receive the currently targeted monthly distribution of $0.10 per Class A share, although Class A shares per investor should reflect a balance which is 25% higher than prior to the Share Split. As such, existing Class A shareholders are expected to be provided with an effective increase in monthly cash distributions equal to approximately 25%. The Company provides a distribution reinvestment plan, on a commission-free basis, for Class A shareholders that wish to reinvest distributions and realize the benefits of compound growth.

Following the completion of the Share Split and the Private Placement, the preferred shares are expected to have downside protection from a decline in the value of the Company’s portfolio of approximately 56%.(1)

Over the last 10 years, the Class A shares have delivered a 17.8% per annum total return based on NAV, outperforming the S&P/TSX Capped Financials Index by 5.1% per annum and the S&P/TSX Composite Index by 9.0% per annum.(2)

Since inception, Class A shareholders have received cash distributions of $18.75 per Class A share.

The preferred shares have delivered a 4.9% per annum total return over the last 10 years based on NAV, outperforming the S&P/TSX Preferred Share Index by 1.5% per annum with lower volatility.(2)

The Company invests, on an approximately equal weighted basis, in a portfolio (the “Portfolio”) consisting of common shares of the six largest Canadian banks (currently, Royal Bank of Canada, The Bank of Nova Scotia, National Bank of Canada, The Toronto-Dominion Bank, Canadian Imperial Bank of Commerce and Bank of Montreal). In addition, the Company may hold up to 10% of the total assets of the Portfolio in investments in global financial companies for the purposes of enhanced diversification and return potential.

New Issue: CU Straight Perpetual, 4.75%

November 23rd, 2021

Canadian Utilities Limited has announced:

it has entered into an agreement with a syndicate of underwriters co-led by BMO Capital Markets and RBC Capital Markets, and including TD Securities Inc., Scotia Capital Inc., CIBC World Markets Inc., National Bank Financial and iA Private Wealth Inc. The underwriters have agreed to buy 7,000,000 4.75% Cumulative Redeemable Second Preferred Shares Series HH at a price of $25.00 per share for aggregate gross proceeds of $175,000,000. The proceeds will be used for capital expenditures, to repay indebtedness and for other general corporate purposes.

Canadian Utilities Limited has granted the Underwriters an option, exercisable, in whole or in part, at any time until and including 30 days following the closing of the Offering, to purchase, at the offering price, an additional 1,050,000 Series HH Preferred Shares, to cover over-allotments, if any. Should the option be fully exercised, the total gross proceeds of the Series HH Preferred Share offering will be $201,250,000.

The Series HH Preferred Shares will be issued to the public at a price of $25.00 per share and holders will be entitled to receive fixed cumulative preferential cash dividends, payable quarterly as and when declared by the Board of Directors of the Corporation at an annual rate of $1.1875 per share, to yield 4.75% annually. On or after March 1, 2027, the Corporation may redeem the Series HH Preferred Shares in whole or in part from time to time, at $26.00 per share if redeemed during the 12 months commencing March 1, 2027, at $25.75 per share if redeemed during the 12 months commencing March 1, 2028, at $25.50 per share if redeemed during the 12 months commencing March 1, 2029, at $25.25 per share if redeemed during the 12 months commencing March 1, 2030, and at $25.00 per share if redeemed on or after March 1, 2031, in each case together with all accrued and unpaid dividends up to but excluding the date fixed for redemption.

The offering is being made only in the provinces of Canada by means of a short form prospectus and the closing date of the issue is expected to be on or about December 9, 2021.

Thanks to Assiduous Readern Peculiar_Investor for ensuring I was aware of this!

November 23, 2021

November 23rd, 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 2.97 % 3.41 % 45,658 20.15 1 -0.0969 % 2,936.0
FixedFloater 0.00 % 0.00 % 0 0.00 0 0.2536 % 5,386.0
Floater 2.96 % 2.98 % 88,672 19.72 3 0.2536 % 3,104.0
OpRet 0.00 % 0.00 % 0 0.00 0 0.3656 % 3,685.6
SplitShare 4.65 % 4.05 % 58,943 3.85 5 0.3656 % 4,401.4
Interest-Bearing 0.00 % 0.00 % 0 0.00 0 0.3656 % 3,434.1
Perpetual-Premium 5.14 % -8.35 % 44,872 0.09 29 -0.0350 % 3,271.5
Perpetual-Discount 4.71 % 4.85 % 69,397 15.70 6 -0.9342 % 3,848.5
FixedReset Disc 3.83 % 3.87 % 125,930 17.00 37 -1.3850 % 2,881.2
Insurance Straight 4.93 % 3.97 % 89,563 0.59 20 -0.1639 % 3,679.8
FloatingReset 2.40 % 2.71 % 29,233 20.42 2 0.3299 % 2,962.5
FixedReset Prem 4.65 % 3.08 % 122,045 2.28 33 -0.0815 % 2,748.1
FixedReset Bank Non 0.00 % 0.00 % 0 0.00 0 -1.3850 % 2,945.2
FixedReset Ins Non 4.02 % 3.89 % 93,903 16.87 19 -0.1917 % 2,996.1
Performance Highlights
Issue Index Change Notes
TRP.PR.G FixedReset Disc -45.98 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-11-23
Maturity Price : 13.17
Evaluated at bid price : 13.17
Bid-YTW : 7.95 %
BAM.PR.M Perpetual-Discount -2.38 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-11-23
Maturity Price : 24.34
Evaluated at bid price : 24.65
Bid-YTW : 4.87 %
BAM.PR.R FixedReset Disc -2.22 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-11-23
Maturity Price : 20.30
Evaluated at bid price : 20.30
Bid-YTW : 4.60 %
FTS.PR.J Perpetual-Premium -2.18 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-11-23
Maturity Price : 24.42
Evaluated at bid price : 24.70
Bid-YTW : 4.81 %
SLF.PR.H FixedReset Ins Non -1.99 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-11-23
Maturity Price : 22.08
Evaluated at bid price : 22.65
Bid-YTW : 3.85 %
TRP.PR.B FixedReset Disc -1.76 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-11-23
Maturity Price : 14.51
Evaluated at bid price : 14.51
Bid-YTW : 4.53 %
FTS.PR.G FixedReset Disc -1.58 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-11-23
Maturity Price : 22.15
Evaluated at bid price : 22.47
Bid-YTW : 4.14 %
IFC.PR.A FixedReset Ins Non -1.35 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-11-23
Maturity Price : 21.21
Evaluated at bid price : 21.21
Bid-YTW : 3.89 %
BAM.PF.B FixedReset Disc -1.30 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-11-23
Maturity Price : 22.84
Evaluated at bid price : 23.54
Bid-YTW : 4.48 %
IFC.PR.F Insurance Straight -1.23 % YTW SCENARIO
Maturity Type : Call
Maturity Date : 2025-09-30
Maturity Price : 25.25
Evaluated at bid price : 25.80
Bid-YTW : 4.88 %
CU.PR.G Perpetual-Discount -1.22 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-11-23
Maturity Price : 24.00
Evaluated at bid price : 24.29
Bid-YTW : 4.63 %
CU.PR.I FixedReset Prem -1.12 % YTW SCENARIO
Maturity Type : Call
Maturity Date : 2025-12-01
Maturity Price : 25.00
Evaluated at bid price : 26.60
Bid-YTW : 2.80 %
SLF.PR.C Insurance Straight 1.13 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-11-23
Maturity Price : 24.46
Evaluated at bid price : 24.70
Bid-YTW : 4.49 %
SLF.PR.G FixedReset Ins Non 1.18 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-11-23
Maturity Price : 18.30
Evaluated at bid price : 18.30
Bid-YTW : 3.75 %
GWO.PR.N FixedReset Ins Non 1.45 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-11-23
Maturity Price : 17.50
Evaluated at bid price : 17.50
Bid-YTW : 3.75 %
TRP.PR.D FixedReset Disc 1.70 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-11-23
Maturity Price : 21.67
Evaluated at bid price : 22.12
Bid-YTW : 4.43 %
PVS.PR.J SplitShare 1.99 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2028-02-29
Maturity Price : 25.00
Evaluated at bid price : 25.60
Bid-YTW : 3.96 %
BAM.PR.X FixedReset Disc 2.69 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-11-23
Maturity Price : 18.69
Evaluated at bid price : 18.69
Bid-YTW : 4.49 %
SLF.PR.J FloatingReset 2.79 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-11-23
Maturity Price : 17.85
Evaluated at bid price : 17.85
Bid-YTW : 2.09 %
Volume Highlights
Issue Index Shares
Traded
Notes
BMO.PR.C FixedReset Prem 273,100 YTW SCENARIO
Maturity Type : Call
Maturity Date : 2022-05-25
Maturity Price : 25.00
Evaluated at bid price : 25.27
Bid-YTW : 2.27 %
SLF.PR.D Insurance Straight 191,950 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-11-23
Maturity Price : 24.34
Evaluated at bid price : 24.65
Bid-YTW : 4.49 %
MFC.PR.R FixedReset Ins Non 99,616 YTW SCENARIO
Maturity Type : Call
Maturity Date : 2022-03-19
Maturity Price : 25.00
Evaluated at bid price : 25.40
Bid-YTW : 2.53 %
RY.PR.Z FixedReset Disc 82,500 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-11-23
Maturity Price : 23.30
Evaluated at bid price : 24.55
Bid-YTW : 3.73 %
PWF.PF.A Perpetual-Discount 61,430 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-11-23
Maturity Price : 24.30
Evaluated at bid price : 24.69
Bid-YTW : 4.59 %
FTS.PR.M FixedReset Disc 61,390 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-11-23
Maturity Price : 22.57
Evaluated at bid price : 23.23
Bid-YTW : 4.27 %
There were 26 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: 13.17 – 24.42
Spot Rate : 11.2500
Average : 5.9125

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-11-23
Maturity Price : 13.17
Evaluated at bid price : 13.17
Bid-YTW : 7.95 %

SLF.PR.H FixedReset Ins Non Quote: 22.65 – 24.00
Spot Rate : 1.3500
Average : 0.9315

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-11-23
Maturity Price : 22.08
Evaluated at bid price : 22.65
Bid-YTW : 3.85 %

BAM.PR.R FixedReset Disc Quote: 20.30 – 21.15
Spot Rate : 0.8500
Average : 0.5639

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-11-23
Maturity Price : 20.30
Evaluated at bid price : 20.30
Bid-YTW : 4.60 %

TRP.PR.C FixedReset Disc Quote: 15.90 – 17.00
Spot Rate : 1.1000
Average : 0.8761

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-11-23
Maturity Price : 15.90
Evaluated at bid price : 15.90
Bid-YTW : 4.48 %

BAM.PR.B Floater Quote: 14.60 – 15.30
Spot Rate : 0.7000
Average : 0.4923

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-11-23
Maturity Price : 14.60
Evaluated at bid price : 14.60
Bid-YTW : 2.96 %

TRP.PR.A FixedReset Disc Quote: 19.80 – 20.53
Spot Rate : 0.7300
Average : 0.5281

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-11-23
Maturity Price : 19.80
Evaluated at bid price : 19.80
Bid-YTW : 4.43 %

November 22, 2021

November 22nd, 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 2.97 % 3.40 % 45,515 20.16 1 0.1456 % 2,938.8
FixedFloater 0.00 % 0.00 % 0 0.00 0 -0.0231 % 5,372.4
Floater 2.97 % 2.99 % 88,786 19.70 3 -0.0231 % 3,096.1
OpRet 0.00 % 0.00 % 0 0.00 0 -0.2289 % 3,672.2
SplitShare 4.67 % 4.19 % 57,250 3.85 5 -0.2289 % 4,385.3
Interest-Bearing 0.00 % 0.00 % 0 0.00 0 -0.2289 % 3,421.6
Perpetual-Premium 5.14 % -7.96 % 46,027 0.09 29 -0.0942 % 3,272.7
Perpetual-Discount 4.66 % 4.58 % 68,863 15.77 6 -0.0470 % 3,884.8
FixedReset Disc 3.78 % 3.96 % 121,954 17.06 37 -0.2189 % 2,921.7
Insurance Straight 4.93 % 4.15 % 90,216 3.26 20 0.0000 % 3,685.9
FloatingReset 2.41 % 2.69 % 28,780 20.49 2 0.4695 % 2,952.8
FixedReset Prem 4.64 % 3.16 % 121,870 2.28 33 -0.0165 % 2,750.4
FixedReset Bank Non 0.00 % 0.00 % 0 0.00 0 -0.2189 % 2,986.6
FixedReset Ins Non 4.02 % 3.84 % 88,476 16.82 19 -0.0423 % 3,001.8
Performance Highlights
Issue Index Change Notes
TRP.PR.D FixedReset Disc -2.68 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-11-22
Maturity Price : 21.41
Evaluated at bid price : 21.75
Bid-YTW : 4.51 %
BAM.PR.X FixedReset Disc -2.15 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-11-22
Maturity Price : 18.20
Evaluated at bid price : 18.20
Bid-YTW : 4.61 %
SLF.PR.J FloatingReset -1.96 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-11-22
Maturity Price : 17.55
Evaluated at bid price : 17.55
Bid-YTW : 2.15 %
PWF.PR.T FixedReset Disc -1.88 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-11-22
Maturity Price : 23.36
Evaluated at bid price : 24.53
Bid-YTW : 3.96 %
RS.PR.A SplitShare -1.78 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-12-31
Maturity Price : 10.00
Evaluated at bid price : 10.48
Bid-YTW : 4.20 %
BAM.PR.R FixedReset Disc -1.66 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-11-22
Maturity Price : 20.76
Evaluated at bid price : 20.76
Bid-YTW : 4.50 %
BAM.PR.T FixedReset Disc -1.16 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-11-22
Maturity Price : 21.30
Evaluated at bid price : 21.30
Bid-YTW : 4.56 %
GWO.PR.Y Insurance Straight 1.30 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-11-22
Maturity Price : 24.59
Evaluated at bid price : 24.98
Bid-YTW : 4.54 %
TRP.PR.F FloatingReset 2.84 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-11-22
Maturity Price : 18.83
Evaluated at bid price : 18.83
Bid-YTW : 2.69 %
Volume Highlights
Issue Index Shares
Traded
Notes
TD.PF.A FixedReset Disc 189,099 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-11-22
Maturity Price : 23.20
Evaluated at bid price : 24.50
Bid-YTW : 3.76 %
TD.PF.B FixedReset Disc 67,493 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-11-22
Maturity Price : 23.26
Evaluated at bid price : 24.55
Bid-YTW : 3.79 %
BMO.PR.B FixedReset Prem 58,634 YTW SCENARIO
Maturity Type : Call
Maturity Date : 2022-02-25
Maturity Price : 25.00
Evaluated at bid price : 25.22
Bid-YTW : 1.30 %
TD.PF.C FixedReset Disc 42,686 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-11-22
Maturity Price : 23.22
Evaluated at bid price : 24.65
Bid-YTW : 3.77 %
NA.PR.W FixedReset Disc 42,155 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-11-22
Maturity Price : 23.24
Evaluated at bid price : 24.71
Bid-YTW : 3.75 %
RY.PR.S FixedReset Prem 26,927 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-11-22
Maturity Price : 23.64
Evaluated at bid price : 25.35
Bid-YTW : 3.85 %
There were 11 other index-included issues trading in excess of 10,000 shares.
Wide Spread Highlights
Issue Index Quote Data and Yield Notes
TRP.PR.D FixedReset Disc Quote: 21.75 – 22.55
Spot Rate : 0.8000
Average : 0.5561

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-11-22
Maturity Price : 21.41
Evaluated at bid price : 21.75
Bid-YTW : 4.51 %

PVS.PR.I SplitShare Quote: 25.75 – 26.40
Spot Rate : 0.6500
Average : 0.4299

YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-10-31
Maturity Price : 25.00
Evaluated at bid price : 25.75
Bid-YTW : 3.89 %

BAM.PR.X FixedReset Disc Quote: 18.20 – 18.90
Spot Rate : 0.7000
Average : 0.5225

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-11-22
Maturity Price : 18.20
Evaluated at bid price : 18.20
Bid-YTW : 4.61 %

RS.PR.A SplitShare Quote: 10.48 – 11.27
Spot Rate : 0.7900
Average : 0.6323

YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-12-31
Maturity Price : 10.00
Evaluated at bid price : 10.48
Bid-YTW : 4.20 %

BAM.PR.R FixedReset Disc Quote: 20.76 – 21.15
Spot Rate : 0.3900
Average : 0.2503

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-11-22
Maturity Price : 20.76
Evaluated at bid price : 20.76
Bid-YTW : 4.50 %

IFC.PR.E Insurance Straight Quote: 26.30 – 26.90
Spot Rate : 0.6000
Average : 0.4710

YTW SCENARIO
Maturity Type : Call
Maturity Date : 2025-06-30
Maturity Price : 25.25
Evaluated at bid price : 26.30
Bid-YTW : 4.15 %

November 19, 2021

November 19th, 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 2.97 % 3.41 % 47,278 20.16 1 -0.0970 % 2,934.6
FixedFloater 0.00 % 0.00 % 0 0.00 0 -0.0691 % 5,373.6
Floater 2.97 % 2.98 % 87,437 19.73 3 -0.0691 % 3,096.8
OpRet 0.00 % 0.00 % 0 0.00 0 -0.2014 % 3,680.6
SplitShare 4.66 % 4.24 % 57,996 3.81 5 -0.2014 % 4,395.4
Interest-Bearing 0.00 % 0.00 % 0 0.00 0 -0.2014 % 3,429.5
Perpetual-Premium 5.13 % -9.89 % 46,704 0.09 29 -0.0646 % 3,275.8
Perpetual-Discount 4.66 % 4.58 % 68,444 15.83 6 0.0269 % 3,886.7
FixedReset Disc 3.77 % 3.82 % 120,444 17.20 37 -0.1312 % 2,928.1
Insurance Straight 4.93 % 4.37 % 88,472 3.27 20 -0.2108 % 3,685.9
FloatingReset 2.46 % 2.81 % 27,271 20.18 2 -0.9573 % 2,939.0
FixedReset Prem 4.64 % 3.04 % 123,757 2.29 33 -0.0826 % 2,750.8
FixedReset Bank Non 0.00 % 0.00 % 0 0.00 0 -0.1312 % 2,993.1
FixedReset Ins Non 4.01 % 3.76 % 89,266 16.94 19 -0.0868 % 3,003.1
Performance Highlights
Issue Index Change Notes
SLF.PR.G FixedReset Ins Non -2.14 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-11-19
Maturity Price : 18.25
Evaluated at bid price : 18.25
Bid-YTW : 3.74 %
TRP.PR.F FloatingReset -1.88 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-11-19
Maturity Price : 18.31
Evaluated at bid price : 18.31
Bid-YTW : 2.81 %
BAM.PR.X FixedReset Disc -1.59 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-11-19
Maturity Price : 18.60
Evaluated at bid price : 18.60
Bid-YTW : 4.45 %
TRP.PR.C FixedReset Disc -1.55 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-11-19
Maturity Price : 15.90
Evaluated at bid price : 15.90
Bid-YTW : 4.41 %
TD.PF.I FixedReset Prem -1.49 % YTW SCENARIO
Maturity Type : Call
Maturity Date : 2022-10-31
Maturity Price : 25.00
Evaluated at bid price : 25.12
Bid-YTW : 4.25 %
CU.PR.C FixedReset Disc -1.45 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-11-19
Maturity Price : 22.34
Evaluated at bid price : 23.16
Bid-YTW : 4.13 %
BIP.PR.A FixedReset Prem -1.38 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-11-19
Maturity Price : 23.01
Evaluated at bid price : 24.26
Bid-YTW : 4.97 %
GWO.PR.Y Insurance Straight -1.36 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-11-19
Maturity Price : 24.28
Evaluated at bid price : 24.66
Bid-YTW : 4.60 %
FTS.PR.K FixedReset Disc -1.35 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-11-19
Maturity Price : 21.59
Evaluated at bid price : 22.00
Bid-YTW : 4.04 %
GWO.PR.S Insurance Straight -1.24 % YTW SCENARIO
Maturity Type : Call
Maturity Date : 2023-06-30
Maturity Price : 25.00
Evaluated at bid price : 25.50
Bid-YTW : 4.46 %
Volume Highlights
Issue Index Shares
Traded
Notes
BAM.PR.K Floater 145,700 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-11-19
Maturity Price : 14.50
Evaluated at bid price : 14.50
Bid-YTW : 2.98 %
CM.PR.O FixedReset Disc 122,475 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-11-19
Maturity Price : 23.31
Evaluated at bid price : 24.66
Bid-YTW : 3.77 %
CM.PR.R FixedReset Prem 111,665 YTW SCENARIO
Maturity Type : Call
Maturity Date : 2022-07-31
Maturity Price : 25.00
Evaluated at bid price : 25.41
Bid-YTW : 2.42 %
BAM.PR.C Floater 107,300 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-11-19
Maturity Price : 14.35
Evaluated at bid price : 14.35
Bid-YTW : 3.01 %
BAM.PR.B Floater 80,226 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-11-19
Maturity Price : 14.53
Evaluated at bid price : 14.53
Bid-YTW : 2.97 %
TD.PF.M FixedReset Prem 38,600 YTW SCENARIO
Maturity Type : Call
Maturity Date : 2024-07-31
Maturity Price : 25.00
Evaluated at bid price : 26.80
Bid-YTW : 2.44 %
There were 13 other index-included issues trading in excess of 10,000 shares.
Wide Spread Highlights
Issue Index Quote Data and Yield Notes
SLF.PR.H FixedReset Ins Non Quote: 23.07 – 23.75
Spot Rate : 0.6800
Average : 0.4976

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-11-19
Maturity Price : 22.32
Evaluated at bid price : 23.07
Bid-YTW : 3.76 %

CU.PR.C FixedReset Disc Quote: 23.16 – 23.70
Spot Rate : 0.5400
Average : 0.3581

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-11-19
Maturity Price : 22.34
Evaluated at bid price : 23.16
Bid-YTW : 4.13 %

TD.PF.I FixedReset Prem Quote: 25.12 – 25.57
Spot Rate : 0.4500
Average : 0.2730

YTW SCENARIO
Maturity Type : Call
Maturity Date : 2022-10-31
Maturity Price : 25.00
Evaluated at bid price : 25.12
Bid-YTW : 4.25 %

TRP.PR.F FloatingReset Quote: 18.31 – 18.80
Spot Rate : 0.4900
Average : 0.3220

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-11-19
Maturity Price : 18.31
Evaluated at bid price : 18.31
Bid-YTW : 2.81 %

TRP.PR.A FixedReset Disc Quote: 19.91 – 20.53
Spot Rate : 0.6200
Average : 0.4786

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-11-19
Maturity Price : 19.91
Evaluated at bid price : 19.91
Bid-YTW : 4.35 %

RS.PR.A SplitShare Quote: 10.67 – 11.27
Spot Rate : 0.6000
Average : 0.4595

YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-12-31
Maturity Price : 10.00
Evaluated at bid price : 10.67
Bid-YTW : 3.69 %

November 18, 2021

November 18th, 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 2.97 % 3.41 % 47,394 20.16 1 0.0971 % 2,937.4
FixedFloater 0.00 % 0.00 % 0 0.00 0 -0.2528 % 5,377.3
Floater 2.96 % 2.98 % 80,809 19.73 3 -0.2528 % 3,099.0
OpRet 0.00 % 0.00 % 0 0.00 0 -0.0077 % 3,688.0
SplitShare 4.65 % 4.32 % 57,199 3.81 5 -0.0077 % 4,404.3
Interest-Bearing 0.00 % 0.00 % 0 0.00 0 -0.0077 % 3,436.4
Perpetual-Premium 5.13 % -11.05 % 48,638 0.09 29 -0.0013 % 3,277.9
Perpetual-Discount 4.66 % 4.59 % 70,905 15.80 6 -0.1811 % 3,885.6
FixedReset Disc 3.77 % 3.85 % 120,359 17.20 37 0.0674 % 2,932.0
Insurance Straight 4.92 % 4.25 % 88,445 3.47 20 0.0079 % 3,693.6
FloatingReset 2.44 % 2.75 % 28,365 20.32 2 -0.4628 % 2,967.4
FixedReset Prem 4.64 % 3.02 % 123,306 2.29 33 0.1217 % 2,753.1
FixedReset Bank Non 0.00 % 0.00 % 0 0.00 0 0.0674 % 2,997.0
FixedReset Ins Non 4.01 % 3.77 % 90,094 16.97 19 0.2611 % 3,005.7
Performance Highlights
Issue Index Change Notes
IFC.PR.A FixedReset Ins Non -1.38 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-11-18
Maturity Price : 21.50
Evaluated at bid price : 21.50
Bid-YTW : 3.78 %
FTS.PR.H FixedReset Disc -1.15 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-11-18
Maturity Price : 17.15
Evaluated at bid price : 17.15
Bid-YTW : 4.00 %
SLF.PR.H FixedReset Ins Non -1.07 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-11-18
Maturity Price : 22.34
Evaluated at bid price : 23.10
Bid-YTW : 3.76 %
BAM.PF.F FixedReset Disc -1.03 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-11-18
Maturity Price : 22.99
Evaluated at bid price : 24.00
Bid-YTW : 4.46 %
TRP.PR.B FixedReset Disc 1.72 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-11-18
Maturity Price : 14.76
Evaluated at bid price : 14.76
Bid-YTW : 4.38 %
TRP.PR.D FixedReset Disc 1.86 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-11-18
Maturity Price : 22.11
Evaluated at bid price : 22.41
Bid-YTW : 4.33 %
BAM.PR.Z FixedReset Prem 3.10 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-11-18
Maturity Price : 24.63
Evaluated at bid price : 24.95
Bid-YTW : 4.51 %
SLF.PR.G FixedReset Ins Non 3.32 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-11-18
Maturity Price : 18.65
Evaluated at bid price : 18.65
Bid-YTW : 3.66 %
GWO.PR.N FixedReset Ins Non 6.52 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-11-18
Maturity Price : 17.15
Evaluated at bid price : 17.15
Bid-YTW : 3.77 %
Volume Highlights
Issue Index Shares
Traded
Notes
BNS.PR.H FixedReset Prem 66,475 YTW SCENARIO
Maturity Type : Call
Maturity Date : 2022-01-26
Maturity Price : 25.00
Evaluated at bid price : 25.22
Bid-YTW : 1.73 %
TRP.PR.K FixedReset Prem 60,000 YTW SCENARIO
Maturity Type : Call
Maturity Date : 2022-05-31
Maturity Price : 25.00
Evaluated at bid price : 25.22
Bid-YTW : 3.02 %
RY.PR.Z FixedReset Disc 39,802 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-11-18
Maturity Price : 23.26
Evaluated at bid price : 24.45
Bid-YTW : 3.70 %
MFC.PR.Q FixedReset Ins Non 34,850 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-11-18
Maturity Price : 23.81
Evaluated at bid price : 25.28
Bid-YTW : 4.00 %
TRP.PR.E FixedReset Disc 25,200 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-11-18
Maturity Price : 21.76
Evaluated at bid price : 22.00
Bid-YTW : 4.36 %
NA.PR.S FixedReset Disc 23,900 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-11-18
Maturity Price : 23.40
Evaluated at bid price : 24.81
Bid-YTW : 3.85 %
There were 12 other index-included issues trading in excess of 10,000 shares.
Wide Spread Highlights
Issue Index Quote Data and Yield Notes
SLF.PR.I FixedReset Ins Non Quote: 25.18 – 25.93
Spot Rate : 0.7500
Average : 0.4112

YTW SCENARIO
Maturity Type : Call
Maturity Date : 2021-12-31
Maturity Price : 25.00
Evaluated at bid price : 25.18
Bid-YTW : 1.93 %

BAM.PF.F FixedReset Disc Quote: 24.00 – 24.50
Spot Rate : 0.5000
Average : 0.3215

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-11-18
Maturity Price : 22.99
Evaluated at bid price : 24.00
Bid-YTW : 4.46 %

CU.PR.F Perpetual-Discount Quote: 24.50 – 24.90
Spot Rate : 0.4000
Average : 0.2624

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-11-18
Maturity Price : 24.23
Evaluated at bid price : 24.50
Bid-YTW : 4.59 %

MIC.PR.A Perpetual-Premium Quote: 27.41 – 27.85
Spot Rate : 0.4400
Average : 0.3148

YTW SCENARIO
Maturity Type : Call
Maturity Date : 2026-03-31
Maturity Price : 26.00
Evaluated at bid price : 27.41
Bid-YTW : 4.03 %

BAM.PR.B Floater Quote: 14.50 – 15.30
Spot Rate : 0.8000
Average : 0.6864

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-11-18
Maturity Price : 14.50
Evaluated at bid price : 14.50
Bid-YTW : 2.98 %

IFC.PR.A FixedReset Ins Non Quote: 21.50 – 21.90
Spot Rate : 0.4000
Average : 0.2872

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-11-18
Maturity Price : 21.50
Evaluated at bid price : 21.50
Bid-YTW : 3.78 %