June 28, 2022

June 28th, 2022
HIMIPref™ Preferred Indices
These values reflect the December 2008 revision of the HIMIPref™ Indices

Values are provisional and are finalized monthly
Index Mean
Current
Yield
(at bid)
Median
YTW
Median
Average
Trading
Value
Median
Mod Dur
(YTW)
Issues Day’s Perf. Index Value
Ratchet 0.00 % 0.00 % 0 0.00 0 -0.9446 % 2,484.3
FixedFloater 0.00 % 0.00 % 0 0.00 0 -0.9446 % 4,764.9
Floater 5.01 % 5.01 % 45,701 15.49 3 -0.9446 % 2,746.0
OpRet 0.00 % 0.00 % 0 0.00 0 0.1655 % 3,463.8
SplitShare 4.91 % 5.64 % 45,136 3.15 8 0.1655 % 4,136.5
Interest-Bearing 0.00 % 0.00 % 0 0.00 0 0.1655 % 3,227.4
Perpetual-Premium 6.08 % 6.19 % 78,067 13.52 2 -0.3726 % 2,844.8
Perpetual-Discount 6.01 % 6.11 % 63,547 13.73 34 -0.3312 % 3,089.7
FixedReset Disc 4.67 % 6.48 % 117,811 13.44 57 -0.1192 % 2,498.2
Insurance Straight 6.06 % 6.10 % 91,642 13.77 19 -1.0029 % 2,968.0
FloatingReset 5.86 % 6.17 % 46,884 13.65 2 -0.4328 % 2,614.3
FixedReset Prem 5.07 % 4.87 % 137,622 1.98 9 0.1849 % 2,602.8
FixedReset Bank Non 0.00 % 0.00 % 0 0.00 0 -0.1192 % 2,553.7
FixedReset Ins Non 4.59 % 6.40 % 70,171 13.53 15 0.5552 % 2,613.9
Performance Highlights
Issue Index Change Notes
IFC.PR.K Perpetual-Discount -4.22 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-06-28
Maturity Price : 21.31
Evaluated at bid price : 21.31
Bid-YTW : 6.20 %
GWO.PR.R Insurance Straight -3.54 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-06-28
Maturity Price : 19.05
Evaluated at bid price : 19.05
Bid-YTW : 6.35 %
RY.PR.J FixedReset Disc -3.32 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-06-28
Maturity Price : 20.69
Evaluated at bid price : 20.69
Bid-YTW : 6.68 %
RY.PR.O Perpetual-Discount -2.21 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-06-28
Maturity Price : 22.75
Evaluated at bid price : 23.00
Bid-YTW : 5.38 %
IFC.PR.F Insurance Straight -2.19 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-06-28
Maturity Price : 21.61
Evaluated at bid price : 21.91
Bid-YTW : 6.07 %
GWO.PR.M Insurance Straight -2.04 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-06-28
Maturity Price : 22.82
Evaluated at bid price : 23.10
Bid-YTW : 6.31 %
BAM.PR.X FixedReset Disc -2.00 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-06-28
Maturity Price : 17.15
Evaluated at bid price : 17.15
Bid-YTW : 7.40 %
RY.PR.Z FixedReset Disc -1.91 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-06-28
Maturity Price : 20.50
Evaluated at bid price : 20.50
Bid-YTW : 6.48 %
SLF.PR.C Insurance Straight -1.88 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-06-28
Maturity Price : 18.84
Evaluated at bid price : 18.84
Bid-YTW : 5.95 %
SLF.PR.E Insurance Straight -1.80 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-06-28
Maturity Price : 19.10
Evaluated at bid price : 19.10
Bid-YTW : 5.93 %
GWO.PR.Y Insurance Straight -1.79 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-06-28
Maturity Price : 18.11
Evaluated at bid price : 18.11
Bid-YTW : 6.26 %
SLF.PR.D Insurance Straight -1.56 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-06-28
Maturity Price : 18.90
Evaluated at bid price : 18.90
Bid-YTW : 5.93 %
POW.PR.D Perpetual-Discount -1.44 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-06-28
Maturity Price : 20.50
Evaluated at bid price : 20.50
Bid-YTW : 6.12 %
GWO.PR.L Insurance Straight -1.43 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-06-28
Maturity Price : 22.44
Evaluated at bid price : 22.70
Bid-YTW : 6.25 %
BAM.PR.K Floater -1.38 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-06-28
Maturity Price : 12.84
Evaluated at bid price : 12.84
Bid-YTW : 5.05 %
IFC.PR.E Insurance Straight -1.34 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-06-28
Maturity Price : 21.72
Evaluated at bid price : 22.05
Bid-YTW : 5.92 %
MFC.PR.M FixedReset Ins Non -1.30 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-06-28
Maturity Price : 19.03
Evaluated at bid price : 19.03
Bid-YTW : 7.04 %
BIP.PR.A FixedReset Disc -1.21 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-06-28
Maturity Price : 20.40
Evaluated at bid price : 20.40
Bid-YTW : 7.67 %
POW.PR.A Perpetual-Discount -1.03 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-06-28
Maturity Price : 22.72
Evaluated at bid price : 23.01
Bid-YTW : 6.09 %
CU.PR.J Perpetual-Discount -1.01 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-06-28
Maturity Price : 19.70
Evaluated at bid price : 19.70
Bid-YTW : 6.11 %
FTS.PR.G FixedReset Disc -1.00 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-06-28
Maturity Price : 19.80
Evaluated at bid price : 19.80
Bid-YTW : 6.78 %
PVS.PR.K SplitShare 1.04 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2029-05-31
Maturity Price : 25.00
Evaluated at bid price : 23.42
Bid-YTW : 5.64 %
NA.PR.S FixedReset Disc 1.14 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-06-28
Maturity Price : 21.25
Evaluated at bid price : 21.25
Bid-YTW : 6.51 %
CM.PR.Q FixedReset Disc 1.33 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-06-28
Maturity Price : 21.28
Evaluated at bid price : 21.28
Bid-YTW : 6.40 %
BAM.PF.C Perpetual-Discount 1.43 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-06-28
Maturity Price : 19.86
Evaluated at bid price : 19.86
Bid-YTW : 6.15 %
RY.PR.N Perpetual-Discount 1.52 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-06-28
Maturity Price : 23.01
Evaluated at bid price : 23.41
Bid-YTW : 5.28 %
MFC.PR.J FixedReset Ins Non 1.53 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-06-28
Maturity Price : 22.67
Evaluated at bid price : 23.30
Bid-YTW : 6.26 %
BAM.PF.D Perpetual-Discount 1.57 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-06-28
Maturity Price : 20.06
Evaluated at bid price : 20.06
Bid-YTW : 6.15 %
IFC.PR.A FixedReset Ins Non 1.73 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-06-28
Maturity Price : 19.44
Evaluated at bid price : 19.44
Bid-YTW : 6.35 %
MFC.PR.N FixedReset Ins Non 2.06 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-06-28
Maturity Price : 18.82
Evaluated at bid price : 18.82
Bid-YTW : 6.98 %
MFC.PR.K FixedReset Ins Non 2.41 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-06-28
Maturity Price : 21.25
Evaluated at bid price : 21.25
Bid-YTW : 6.40 %
Volume Highlights
Issue Index Shares
Traded
Notes
CM.PR.R FixedReset Disc 249,950 YTW SCENARIO
Maturity Type : Call
Maturity Date : 2022-07-31
Maturity Price : 25.00
Evaluated at bid price : 24.94
Bid-YTW : 3.08 %
FTS.PR.H FixedReset Disc 200,005 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-06-28
Maturity Price : 14.70
Evaluated at bid price : 14.70
Bid-YTW : 7.11 %
PWF.PR.P FixedReset Disc 200,000 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-06-28
Maturity Price : 14.25
Evaluated at bid price : 14.25
Bid-YTW : 7.31 %
CU.PR.I FixedReset Prem 150,600 YTW SCENARIO
Maturity Type : Call
Maturity Date : 2025-12-01
Maturity Price : 25.00
Evaluated at bid price : 25.20
Bid-YTW : 4.37 %
TRP.PR.C FixedReset Disc 102,600 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-06-28
Maturity Price : 13.51
Evaluated at bid price : 13.51
Bid-YTW : 7.66 %
BAM.PF.I FixedReset Prem 69,825 YTW SCENARIO
Maturity Type : Call
Maturity Date : 2027-03-31
Maturity Price : 25.00
Evaluated at bid price : 26.14
Bid-YTW : 4.34 %
There were 19 other index-included issues trading in excess of 10,000 shares.
Wide Spread Highlights
Issue Index Quote Data and Yield Notes
SLF.PR.J FloatingReset Quote: 15.81 – 25.00
Spot Rate : 9.1900
Average : 5.1755

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-06-28
Maturity Price : 15.81
Evaluated at bid price : 15.81
Bid-YTW : 5.58 %

MFC.PR.L FixedReset Ins Non Quote: 18.75 – 24.35
Spot Rate : 5.6000
Average : 4.5078

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-06-28
Maturity Price : 18.75
Evaluated at bid price : 18.75
Bid-YTW : 6.99 %

TRP.PR.C FixedReset Disc Quote: 13.51 – 17.00
Spot Rate : 3.4900
Average : 2.7509

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-06-28
Maturity Price : 13.51
Evaluated at bid price : 13.51
Bid-YTW : 7.66 %

PWF.PR.H Perpetual-Discount Quote: 23.70 – 25.18
Spot Rate : 1.4800
Average : 0.8657

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-06-28
Maturity Price : 23.41
Evaluated at bid price : 23.70
Bid-YTW : 6.17 %

POW.PR.A Perpetual-Discount Quote: 23.01 – 24.29
Spot Rate : 1.2800
Average : 0.7277

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-06-28
Maturity Price : 22.72
Evaluated at bid price : 23.01
Bid-YTW : 6.09 %

BMO.PR.W FixedReset Disc Quote: 20.25 – 22.35
Spot Rate : 2.1000
Average : 1.5544

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-06-28
Maturity Price : 20.25
Evaluated at bid price : 20.25
Bid-YTW : 6.52 %

Research : DeemedRetractible Conversion

June 28th, 2022

CIBC was able to change the status of some of its preferred shares from DeemedRetractible to NVCC without a shareholder vote in 2011. This short essay looked at the implications of this move for other issues.

Look for the research link!

June 27, 2022

June 27th, 2022
HIMIPref™ Preferred Indices
These values reflect the December 2008 revision of the HIMIPref™ Indices

Values are provisional and are finalized monthly
Index Mean
Current
Yield
(at bid)
Median
YTW
Median
Average
Trading
Value
Median
Mod Dur
(YTW)
Issues Day’s Perf. Index Value
Ratchet 0.00 % 0.00 % 0 0.00 0 -0.3054 % 2,508.0
FixedFloater 0.00 % 0.00 % 0 0.00 0 -0.3054 % 4,810.3
Floater 4.96 % 4.97 % 47,650 15.55 3 -0.3054 % 2,772.2
OpRet 0.00 % 0.00 % 0 0.00 0 0.2280 % 3,458.0
SplitShare 4.92 % 5.82 % 45,590 3.15 8 0.2280 % 4,129.6
Interest-Bearing 0.00 % 0.00 % 0 0.00 0 0.2280 % 3,222.1
Perpetual-Premium 6.05 % 6.17 % 81,036 13.55 2 -0.4943 % 2,855.4
Perpetual-Discount 5.99 % 6.08 % 65,554 13.71 34 -0.1715 % 3,100.0
FixedReset Disc 4.67 % 6.47 % 119,500 13.45 57 -0.0380 % 2,501.2
Insurance Straight 6.00 % 6.12 % 93,227 13.77 19 -0.1779 % 2,998.0
FloatingReset 5.83 % 6.11 % 48,509 13.74 2 0.9046 % 2,625.7
FixedReset Prem 5.08 % 4.93 % 136,536 1.98 9 -0.0748 % 2,598.0
FixedReset Bank Non 0.00 % 0.00 % 0 0.00 0 -0.0380 % 2,556.7
FixedReset Ins Non 4.62 % 6.45 % 70,688 13.39 15 -1.1538 % 2,599.5
Performance Highlights
Issue Index Change Notes
MFC.PR.N FixedReset Ins Non -6.21 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-06-27
Maturity Price : 18.44
Evaluated at bid price : 18.44
Bid-YTW : 7.12 %
IFC.PR.C FixedReset Disc -5.21 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-06-27
Maturity Price : 18.01
Evaluated at bid price : 18.01
Bid-YTW : 7.29 %
MFC.PR.J FixedReset Ins Non -2.88 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-06-27
Maturity Price : 22.22
Evaluated at bid price : 22.95
Bid-YTW : 6.35 %
MFC.PR.M FixedReset Ins Non -2.82 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-06-27
Maturity Price : 19.28
Evaluated at bid price : 19.28
Bid-YTW : 6.95 %
BMO.PR.W FixedReset Disc -2.17 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-06-27
Maturity Price : 20.25
Evaluated at bid price : 20.25
Bid-YTW : 6.52 %
RY.PR.S FixedReset Disc -2.08 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-06-27
Maturity Price : 23.10
Evaluated at bid price : 23.50
Bid-YTW : 5.95 %
RY.PR.N Perpetual-Discount -1.91 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-06-27
Maturity Price : 22.81
Evaluated at bid price : 23.06
Bid-YTW : 5.37 %
BIP.PR.F FixedReset Disc -1.83 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-06-27
Maturity Price : 22.70
Evaluated at bid price : 23.12
Bid-YTW : 6.56 %
CU.PR.H Perpetual-Discount -1.77 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-06-27
Maturity Price : 21.70
Evaluated at bid price : 21.70
Bid-YTW : 6.12 %
IFC.PR.A FixedReset Ins Non -1.75 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-06-27
Maturity Price : 19.11
Evaluated at bid price : 19.11
Bid-YTW : 6.45 %
BAM.PF.E FixedReset Disc -1.70 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-06-27
Maturity Price : 18.45
Evaluated at bid price : 18.45
Bid-YTW : 7.29 %
MFC.PR.K FixedReset Ins Non -1.66 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-06-27
Maturity Price : 20.75
Evaluated at bid price : 20.75
Bid-YTW : 6.55 %
MFC.PR.L FixedReset Ins Non -1.58 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-06-27
Maturity Price : 18.73
Evaluated at bid price : 18.73
Bid-YTW : 7.00 %
IAF.PR.I FixedReset Ins Non -1.48 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-06-27
Maturity Price : 23.37
Evaluated at bid price : 24.00
Bid-YTW : 6.18 %
PVS.PR.K SplitShare -1.36 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2029-05-31
Maturity Price : 25.00
Evaluated at bid price : 23.18
Bid-YTW : 5.82 %
NA.PR.S FixedReset Disc -1.36 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-06-27
Maturity Price : 21.01
Evaluated at bid price : 21.01
Bid-YTW : 6.58 %
ELF.PR.H Perpetual-Discount -1.36 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-06-27
Maturity Price : 22.98
Evaluated at bid price : 23.25
Bid-YTW : 6.03 %
TD.PF.D FixedReset Disc -1.15 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-06-27
Maturity Price : 21.44
Evaluated at bid price : 21.44
Bid-YTW : 6.43 %
GWO.PR.P Insurance Straight -1.12 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-06-27
Maturity Price : 21.81
Evaluated at bid price : 22.05
Bid-YTW : 6.15 %
IFC.PR.E Insurance Straight -1.11 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-06-27
Maturity Price : 22.07
Evaluated at bid price : 22.35
Bid-YTW : 5.84 %
PWF.PR.L Perpetual-Discount -1.09 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-06-27
Maturity Price : 20.80
Evaluated at bid price : 20.80
Bid-YTW : 6.25 %
CU.PR.J Perpetual-Discount 1.02 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-06-27
Maturity Price : 19.90
Evaluated at bid price : 19.90
Bid-YTW : 6.04 %
PWF.PR.P FixedReset Disc 1.06 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-06-27
Maturity Price : 14.30
Evaluated at bid price : 14.30
Bid-YTW : 7.29 %
CCS.PR.C Insurance Straight 1.38 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-06-27
Maturity Price : 21.30
Evaluated at bid price : 21.30
Bid-YTW : 5.91 %
BAM.PF.G FixedReset Disc 1.45 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-06-27
Maturity Price : 18.95
Evaluated at bid price : 18.95
Bid-YTW : 7.32 %
BMO.PR.S FixedReset Disc 1.46 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-06-27
Maturity Price : 21.50
Evaluated at bid price : 21.50
Bid-YTW : 6.32 %
TRP.PR.F FloatingReset 1.47 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-06-27
Maturity Price : 16.55
Evaluated at bid price : 16.55
Bid-YTW : 6.11 %
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 : 25.10
Bid-YTW : 4.75 %
CU.PR.G Perpetual-Discount 1.60 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-06-27
Maturity Price : 19.05
Evaluated at bid price : 19.05
Bid-YTW : 5.98 %
TRP.PR.D FixedReset Disc 2.01 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-06-27
Maturity Price : 18.80
Evaluated at bid price : 18.80
Bid-YTW : 7.32 %
PVS.PR.J SplitShare 2.03 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2028-02-29
Maturity Price : 25.00
Evaluated at bid price : 23.12
Bid-YTW : 6.07 %
CM.PR.O FixedReset Disc 2.11 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-06-27
Maturity Price : 21.16
Evaluated at bid price : 21.16
Bid-YTW : 6.27 %
IFC.PR.G FixedReset Ins Non 2.28 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-06-27
Maturity Price : 21.88
Evaluated at bid price : 22.40
Bid-YTW : 6.43 %
BAM.PR.X FixedReset Disc 2.88 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-06-27
Maturity Price : 17.50
Evaluated at bid price : 17.50
Bid-YTW : 7.25 %
RY.PR.M FixedReset Disc 3.29 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-06-27
Maturity Price : 20.73
Evaluated at bid price : 20.73
Bid-YTW : 6.41 %
RY.PR.H FixedReset Disc 4.59 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-06-27
Maturity Price : 21.20
Evaluated at bid price : 21.20
Bid-YTW : 6.27 %
Volume Highlights
Issue Index Shares
Traded
Notes
CM.PR.R FixedReset Disc 246,701 YTW SCENARIO
Maturity Type : Call
Maturity Date : 2022-07-31
Maturity Price : 25.00
Evaluated at bid price : 24.93
Bid-YTW : 3.43 %
PWF.PR.H Perpetual-Discount 130,812 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-06-27
Maturity Price : 23.41
Evaluated at bid price : 23.70
Bid-YTW : 6.17 %
BMO.PR.T FixedReset Disc 121,400 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-06-27
Maturity Price : 20.65
Evaluated at bid price : 20.65
Bid-YTW : 6.41 %
CM.PR.O FixedReset Disc 108,925 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-06-27
Maturity Price : 21.16
Evaluated at bid price : 21.16
Bid-YTW : 6.27 %
PWF.PR.S Perpetual-Discount 74,000 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-06-27
Maturity Price : 19.86
Evaluated at bid price : 19.86
Bid-YTW : 6.16 %
PWF.PR.O Perpetual-Discount 68,760 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-06-27
Maturity Price : 23.48
Evaluated at bid price : 23.75
Bid-YTW : 6.21 %
There were 13 other index-included issues trading in excess of 10,000 shares.
Wide Spread Highlights
Issue Index Quote Data and Yield Notes
MFC.PR.L FixedReset Ins Non Quote: 18.73 – 24.35
Spot Rate : 5.6200
Average : 3.3104

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-06-27
Maturity Price : 18.73
Evaluated at bid price : 18.73
Bid-YTW : 7.00 %

TRP.PR.C FixedReset Disc Quote: 13.55 – 17.00
Spot Rate : 3.4500
Average : 1.9405

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-06-27
Maturity Price : 13.55
Evaluated at bid price : 13.55
Bid-YTW : 7.64 %

IFC.PR.G FixedReset Ins Non Quote: 22.40 – 24.85
Spot Rate : 2.4500
Average : 1.6669

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-06-27
Maturity Price : 21.88
Evaluated at bid price : 22.40
Bid-YTW : 6.43 %

CU.PR.J Perpetual-Discount Quote: 19.90 – 21.99
Spot Rate : 2.0900
Average : 1.3155

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-06-27
Maturity Price : 19.90
Evaluated at bid price : 19.90
Bid-YTW : 6.04 %

BAM.PF.B FixedReset Disc Quote: 20.00 – 22.54
Spot Rate : 2.5400
Average : 1.7975

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-06-27
Maturity Price : 20.00
Evaluated at bid price : 20.00
Bid-YTW : 7.15 %

BAM.PR.T FixedReset Disc Quote: 17.46 – 20.00
Spot Rate : 2.5400
Average : 1.8869

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-06-27
Maturity Price : 17.46
Evaluated at bid price : 17.46
Bid-YTW : 7.21 %

Research : Dividend Capture

June 25th, 2022

As I state in the introduction to this essay:

Dividend Capture is an investment strategy that is based on the idea that market inefficiencies and differential taxation of capital gains and dividends can be exploited to produce excess returns by owning a security for a short period of time that includes the ex-Dividend date. One recommended strategy is to “Buy the stock the day before it goes X, capture the dividend, and sell it the next day. This is the most common Dividend Capture strategy, and the subject of the most academic research (Campbell and Beranck 1955, Durand and May 1960, etc). While the market is rising, this is the simplest, most efficient and least volatile way to capture dividends.”

I discuss various examples of Dividend Capture and examine the usefulness of the concept in the Canadian preferred share market.

Look for the research link!

June 24, 2022

June 24th, 2022

TXPR closed at 619.18, up 1.53% on the day. Volume today was 781,400, second-lowest of the past 21 trading days.

CPD closed at 12.24, unchanged on the day. Volume was 125,610, third-highest of the past 21 trading days.

ZPR closed at 10.30 up 0.78% on the day. Volume of 142,060 was third-lowest of the past 21 trading days.

Five-year Canada yields were up a bit to 3.24% today.

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

Values are provisional and are finalized monthly
Index Mean
Current
Yield
(at bid)
Median
YTW
Median
Average
Trading
Value
Median
Mod Dur
(YTW)
Issues Day’s Perf. Index Value
Ratchet 0.00 % 0.00 % 0 0.00 0 0.5116 % 2,515.7
FixedFloater 0.00 % 0.00 % 0 0.00 0 0.5116 % 4,825.0
Floater 4.94 % 4.95 % 49,665 15.60 3 0.5116 % 2,780.7
OpRet 0.00 % 0.00 % 0 0.00 0 0.3458 % 3,450.2
SplitShare 4.93 % 5.57 % 44,993 3.16 8 0.3458 % 4,120.3
Interest-Bearing 0.00 % 0.00 % 0 0.00 0 0.3458 % 3,214.8
Perpetual-Premium 6.02 % 6.11 % 77,414 13.65 2 0.5176 % 2,869.6
Perpetual-Discount 5.98 % 6.07 % 66,443 13.77 34 0.9200 % 3,105.3
FixedReset Disc 4.66 % 6.40 % 119,220 13.53 57 0.7459 % 2,502.2
Insurance Straight 5.99 % 6.08 % 91,904 13.82 19 0.4671 % 3,003.4
FloatingReset 5.89 % 6.20 % 48,873 13.62 2 0.7859 % 2,602.2
FixedReset Prem 5.07 % 5.34 % 138,727 1.97 9 0.2779 % 2,600.0
FixedReset Bank Non 0.00 % 0.00 % 0 0.00 0 0.7459 % 2,557.7
FixedReset Ins Non 4.56 % 6.38 % 73,601 13.64 15 0.7494 % 2,629.8
Performance Highlights
Issue Index Change Notes
GWO.PR.M Insurance Straight -1.33 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-06-24
Maturity Price : 23.39
Evaluated at bid price : 23.68
Bid-YTW : 6.15 %
BAM.PR.X FixedReset Disc -1.28 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-06-24
Maturity Price : 17.01
Evaluated at bid price : 17.01
Bid-YTW : 7.38 %
IFC.PR.K Perpetual-Discount -1.12 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-06-24
Maturity Price : 21.75
Evaluated at bid price : 22.05
Bid-YTW : 5.97 %
BIP.PR.B FixedReset Prem 1.01 % YTW SCENARIO
Maturity Type : Call
Maturity Date : 2025-12-31
Maturity Price : 25.00
Evaluated at bid price : 25.00
Bid-YTW : 5.51 %
SLF.PR.E Insurance Straight 1.04 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-06-24
Maturity Price : 19.40
Evaluated at bid price : 19.40
Bid-YTW : 5.83 %
BNS.PR.I FixedReset Disc 1.05 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-06-24
Maturity Price : 23.61
Evaluated at bid price : 24.00
Bid-YTW : 5.86 %
TD.PF.A FixedReset Disc 1.06 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-06-24
Maturity Price : 20.93
Evaluated at bid price : 20.93
Bid-YTW : 6.24 %
RY.PR.N Perpetual-Discount 1.07 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-06-24
Maturity Price : 23.08
Evaluated at bid price : 23.51
Bid-YTW : 5.25 %
PWF.PR.L Perpetual-Discount 1.11 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-06-24
Maturity Price : 21.03
Evaluated at bid price : 21.03
Bid-YTW : 6.18 %
IFC.PR.E Insurance Straight 1.12 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-06-24
Maturity Price : 22.25
Evaluated at bid price : 22.60
Bid-YTW : 5.77 %
PWF.PR.K Perpetual-Discount 1.14 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-06-24
Maturity Price : 20.35
Evaluated at bid price : 20.35
Bid-YTW : 6.20 %
TD.PF.M FixedReset Prem 1.17 % YTW SCENARIO
Maturity Type : Call
Maturity Date : 2024-07-31
Maturity Price : 25.00
Evaluated at bid price : 25.09
Bid-YTW : 5.34 %
CU.PR.G Perpetual-Discount 1.19 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-06-24
Maturity Price : 18.75
Evaluated at bid price : 18.75
Bid-YTW : 6.07 %
IFC.PR.I Perpetual-Discount 1.20 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-06-24
Maturity Price : 22.38
Evaluated at bid price : 22.77
Bid-YTW : 5.94 %
GWO.PR.Q Insurance Straight 1.20 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-06-24
Maturity Price : 21.05
Evaluated at bid price : 21.05
Bid-YTW : 6.16 %
TD.PF.D FixedReset Disc 1.21 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-06-24
Maturity Price : 21.37
Evaluated at bid price : 21.69
Bid-YTW : 6.30 %
PWF.PR.F Perpetual-Discount 1.22 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-06-24
Maturity Price : 21.34
Evaluated at bid price : 21.61
Bid-YTW : 6.17 %
PWF.PF.A Perpetual-Discount 1.37 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-06-24
Maturity Price : 18.55
Evaluated at bid price : 18.55
Bid-YTW : 6.18 %
GWO.PR.Y Insurance Straight 1.53 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-06-24
Maturity Price : 18.60
Evaluated at bid price : 18.60
Bid-YTW : 6.09 %
BAM.PR.M Perpetual-Discount 1.55 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-06-24
Maturity Price : 19.70
Evaluated at bid price : 19.70
Bid-YTW : 6.07 %
TRP.PR.F FloatingReset 1.56 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-06-24
Maturity Price : 16.31
Evaluated at bid price : 16.31
Bid-YTW : 6.20 %
FTS.PR.G FixedReset Disc 1.57 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-06-24
Maturity Price : 20.07
Evaluated at bid price : 20.07
Bid-YTW : 6.63 %
IFC.PR.A FixedReset Ins Non 1.67 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-06-24
Maturity Price : 19.45
Evaluated at bid price : 19.45
Bid-YTW : 6.28 %
RY.PR.S FixedReset Disc 1.69 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-06-24
Maturity Price : 23.62
Evaluated at bid price : 24.00
Bid-YTW : 5.78 %
TRP.PR.C FixedReset Disc 1.73 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-06-24
Maturity Price : 13.49
Evaluated at bid price : 13.49
Bid-YTW : 7.60 %
POW.PR.G Perpetual-Discount 1.96 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-06-24
Maturity Price : 23.15
Evaluated at bid price : 23.45
Bid-YTW : 5.97 %
CU.PR.D Perpetual-Discount 2.11 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-06-24
Maturity Price : 20.35
Evaluated at bid price : 20.35
Bid-YTW : 6.09 %
PWF.PR.T FixedReset Disc 2.12 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-06-24
Maturity Price : 20.73
Evaluated at bid price : 20.73
Bid-YTW : 6.63 %
MFC.PR.M FixedReset Ins Non 2.27 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-06-24
Maturity Price : 19.84
Evaluated at bid price : 19.84
Bid-YTW : 6.70 %
BAM.PF.E FixedReset Disc 2.29 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-06-24
Maturity Price : 18.77
Evaluated at bid price : 18.77
Bid-YTW : 7.11 %
GWO.PR.S Insurance Straight 2.38 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-06-24
Maturity Price : 21.50
Evaluated at bid price : 21.50
Bid-YTW : 6.14 %
GWO.PR.N FixedReset Ins Non 2.61 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-06-24
Maturity Price : 13.75
Evaluated at bid price : 13.75
Bid-YTW : 6.98 %
CU.PR.F Perpetual-Discount 2.63 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-06-24
Maturity Price : 19.10
Evaluated at bid price : 19.10
Bid-YTW : 5.96 %
FTS.PR.M FixedReset Disc 2.80 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-06-24
Maturity Price : 20.20
Evaluated at bid price : 20.20
Bid-YTW : 6.75 %
PVS.PR.K SplitShare 3.07 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2029-05-31
Maturity Price : 25.00
Evaluated at bid price : 23.50
Bid-YTW : 5.57 %
CU.PR.C FixedReset Disc 3.07 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-06-24
Maturity Price : 21.50
Evaluated at bid price : 21.80
Bid-YTW : 6.34 %
CU.PR.H Perpetual-Discount 3.22 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-06-24
Maturity Price : 22.09
Evaluated at bid price : 22.09
Bid-YTW : 6.01 %
TRP.PR.A FixedReset Disc 3.23 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-06-24
Maturity Price : 16.00
Evaluated at bid price : 16.00
Bid-YTW : 7.55 %
IFC.PR.C FixedReset Disc 3.49 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-06-24
Maturity Price : 19.00
Evaluated at bid price : 19.00
Bid-YTW : 6.88 %
BAM.PR.T FixedReset Disc 3.90 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-06-24
Maturity Price : 17.59
Evaluated at bid price : 17.59
Bid-YTW : 7.11 %
MFC.PR.N FixedReset Ins Non 4.63 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-06-24
Maturity Price : 19.66
Evaluated at bid price : 19.66
Bid-YTW : 6.64 %
TRP.PR.E FixedReset Disc 7.41 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-06-24
Maturity Price : 18.26
Evaluated at bid price : 18.26
Bid-YTW : 7.32 %
MIC.PR.A Perpetual-Discount 9.37 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-06-24
Maturity Price : 21.30
Evaluated at bid price : 21.60
Bid-YTW : 6.27 %
Volume Highlights
Issue Index Shares
Traded
Notes
BMO.PR.T FixedReset Disc 34,300 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-06-24
Maturity Price : 20.65
Evaluated at bid price : 20.65
Bid-YTW : 6.36 %
CM.PR.S FixedReset Disc 30,000 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-06-24
Maturity Price : 22.36
Evaluated at bid price : 23.21
Bid-YTW : 6.08 %
PWF.PR.S Perpetual-Discount 29,030 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-06-24
Maturity Price : 19.90
Evaluated at bid price : 19.90
Bid-YTW : 6.14 %
CM.PR.R FixedReset Disc 26,100 YTW SCENARIO
Maturity Type : Call
Maturity Date : 2022-07-31
Maturity Price : 25.00
Evaluated at bid price : 25.20
Bid-YTW : 3.32 %
PWF.PR.O Perpetual-Discount 22,900 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-06-24
Maturity Price : 23.53
Evaluated at bid price : 23.80
Bid-YTW : 6.19 %
CU.PR.I FixedReset Prem 21,900 YTW SCENARIO
Maturity Type : Call
Maturity Date : 2025-12-01
Maturity Price : 25.00
Evaluated at bid price : 25.10
Bid-YTW : 4.48 %
There were 10 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: 22.60 – 23.98
Spot Rate : 1.3800
Average : 0.9558

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-06-24
Maturity Price : 22.25
Evaluated at bid price : 22.60
Bid-YTW : 5.77 %

CM.PR.O FixedReset Disc Quote: 20.95 – 22.00
Spot Rate : 1.0500
Average : 0.7119

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-06-24
Maturity Price : 20.95
Evaluated at bid price : 20.95
Bid-YTW : 6.36 %

BAM.PR.X FixedReset Disc Quote: 17.01 – 18.00
Spot Rate : 0.9900
Average : 0.7710

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-06-24
Maturity Price : 17.01
Evaluated at bid price : 17.01
Bid-YTW : 7.38 %

TRP.PR.B FixedReset Disc Quote: 12.81 – 14.29
Spot Rate : 1.4800
Average : 1.2721

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-06-24
Maturity Price : 12.81
Evaluated at bid price : 12.81
Bid-YTW : 7.64 %

IFC.PR.G FixedReset Ins Non Quote: 21.90 – 22.90
Spot Rate : 1.0000
Average : 0.8082

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-06-24
Maturity Price : 21.54
Evaluated at bid price : 21.90
Bid-YTW : 6.52 %

BAM.PR.N Perpetual-Discount Quote: 19.21 – 19.83
Spot Rate : 0.6200
Average : 0.4337

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-06-24
Maturity Price : 19.21
Evaluated at bid price : 19.21
Bid-YTW : 6.22 %

Research : Annuities, Part 2

June 24th, 2022

This essay extends the prior discussion of annuities presented in Annuities Part 1 and The Annuity Decision.

A retirement calculator is provided and discussed, with notes on its design, shortcomings and potential for future enhancements.

I conclude in part:

My advice is to remain as flexible as possible. Retirement plans should be updated annually, while eschewing the temptation to over-manage one’s assets. Investors should focus on a 15-year plan (at the most) rather than a 30-year plan, while keeping a sharp eye not on the prospects for ruin, but for the prospects of large cuts in final results.

If, for instance, the first 15 years of retirement investment go badly, there is no need to continue with the same allocation for the next 15; and this should be recognized at year zero. In year 15 an annuity will be a lot cheaper than it is at year zero, and risk should be assessed with this in mind. In many cases, I suggest, an annuity purchase should be deferred, using the potential for annuity purchase as a safety net for one’s retirement planning. After all, they grow a bit cheaper every day of your life! They also represent an irreversible decision – so plan to drop off your cheque on your way home from the doctor’s office, not on the way there!

Cash is important. If at all possible, withdrawals from the portfolio should be funded by portfolio income; if there is a shortfall, consider shifting to higher yielding assets (without assuming too much risk, of course! It should be recognized that a higher cash yield will result in a lower expected capital gain). If that still does not solve the problem, an annuity should be considered.

And, by all means, don’t take this or any other financial projection too seriously. They are useful as background, to allow you to play with the effects of different decisions, but they all rely on highly uncertain predictions of future events. Remember: I didn’t predict a wave of revolts across the Middle East this year – and neither did anybody else.

Look for the research link!

CM.PR.R To Be Redeemed

June 23rd, 2022

Canadian Imperial Bank of Commerce has announced:

its intention to redeem all of its issued and outstanding Non-cumulative Class A Preferred Shares Series 45 (TSX: CM.PR.R) for cash. The redemption will occur on July 29, 2022. The redemption price is $25.00 per Series 45 share.

The $0.275000 quarterly dividend announced on May 26, 2022 will be the final dividend on the Series 45 shares and will be paid on July 28, 2022, covering the period to July 31, 2022, to shareholders of record on June 28, 2022.

Holders of the Series 45 shares should contact the financial institution, broker or other intermediary through which they hold the shares to confirm how they will receive their redemption proceeds.

CM.PR.R is a FixedReset, 4.40%+338, NVCC Compliant issue that commenced trading 2017-6-2 after being announced 2017-05-25. It has been tracked by HIMIPref™ and is currently part of the FixedResets (Discount) subindex.

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

June 23, 2022

June 23rd, 2022

TXPR closed at 609.84, down 0.70% on the day. Volume today was 2.58-million, third-highest of the past 21 trading days.

CPD closed at 12.24, down 0.08% on the day. Volume was 87,630, above the median of the past 21 trading days.

ZPR closed at 10.22 down 0.58% on the day. Volume of 211,150 was below the median of the past 21 trading days.

Five-year Canada yields were down sharply to 3.21% today; the volatility is amazing:

U.S. Treasury yields fell to their lowest levels in almost two weeks on Thursday, as data from the euro area stoked worries about a sharp slowdown in the global economy.

Euro zone business growth has slowed significantly this month – and by much more than expected – as consumers concerned about soaring bills opted to stay at home and defer purchases to save money, a survey showed on Thursday.

In London trade, the 10-year Treasury yield fell to 3.087 % , its lowest level in almost two weeks. It was down 6 bps on the day and followed sharp falls in bond yields across the euro area.

S&P Global’s flash euro zone Composite Purchasing Managers’ Index (PMI), seen as a good gauge of overall economic health, slumped to 51.9 in June from 54.8 in May, far below the 54.0 predicted in a Reuters poll.

Since hitting its highest since 2011 early last week, the benchmark 10-year Treasury yield has tumbled around 40 bps, highlighting investor uncertainty in the wake of aggressive monetary tightening from the Federal Reserve

There’s a lot of weeping and wailing about how abnormally high interests rates are right now:

Rising rates could bake higher expenses into family finances for years. With a fixed-rate mortgage, you are locking in today’s higher payments in for whatever term you choose. From that perspective, the familiar old five-year fixed rate mortgage doesn’t look great.

Higher mortgage costs also make houses less affordable to buy, which is itself a retirement problem. In no way does a home guarantee a financially secure retirement. But if you do own one, you have a valuable asset to sell in order to free up money for retirement costs like care provided through in-home services or nursing homes.

A return to normal inflation levels and an interest rate reversal would help avert this crisis, but we have a broader affordability problem to contend with in the form of lifestyle inflation.

I don’t get it. I don’t see anything abnormal at all about GOC-5 yields in the 3.00%-3.50% range when inflation is at 2% (or at least is projected to be there, according to the Canada Break-Even Inflation Rate). What I think is abnormal is fourteen years of ridiculously low yields, negative real yields, even negative NOMINAL yields, for heavens sake. Hell, it used to be that a negative yield on US Treasury Bills was breathlessly mentioned in textbooks as a gross aberation that only existed fleetingly due to special conditions in the Great Depression. And after reading this factoid, you checked it with a puzzled frown. Now, not so much.

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

Values are provisional and are finalized monthly
Index Mean
Current
Yield
(at bid)
Median
YTW
Median
Average
Trading
Value
Median
Mod Dur
(YTW)
Issues Day’s Perf. Index Value
Ratchet 0.00 % 0.00 % 0 0.00 0 0.1024 % 2,502.9
FixedFloater 0.00 % 0.00 % 0 0.00 0 0.1024 % 4,800.5
Floater 4.97 % 4.98 % 50,100 15.55 3 0.1024 % 2,766.5
OpRet 0.00 % 0.00 % 0 0.00 0 -0.5919 % 3,438.3
SplitShare 4.95 % 6.04 % 43,939 3.16 8 -0.5919 % 4,106.1
Interest-Bearing 0.00 % 0.00 % 0 0.00 0 -0.5919 % 3,203.7
Perpetual-Premium 6.06 % 6.14 % 78,594 13.60 2 -0.6173 % 2,854.8
Perpetual-Discount 6.03 % 6.15 % 66,956 13.68 34 -0.4489 % 3,077.0
FixedReset Disc 4.70 % 6.41 % 121,105 13.48 57 -0.5125 % 2,483.6
Insurance Straight 6.02 % 6.07 % 87,547 13.82 19 0.3741 % 2,989.4
FloatingReset 5.93 % 6.30 % 50,870 13.48 2 -2.8702 % 2,581.9
FixedReset Prem 5.09 % 5.57 % 135,830 1.97 9 0.0485 % 2,592.8
FixedReset Bank Non 0.00 % 0.00 % 0 0.00 0 -0.5125 % 2,538.8
FixedReset Ins Non 4.60 % 6.39 % 76,328 13.60 15 -1.4767 % 2,610.2
Performance Highlights
Issue Index Change Notes
IFC.PR.C FixedReset Disc -10.09 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-06-23
Maturity Price : 18.36
Evaluated at bid price : 18.36
Bid-YTW : 7.10 %
MIC.PR.A Perpetual-Discount -8.78 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-06-23
Maturity Price : 19.75
Evaluated at bid price : 19.75
Bid-YTW : 6.88 %
TRP.PR.E FixedReset Disc -7.31 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-06-23
Maturity Price : 17.00
Evaluated at bid price : 17.00
Bid-YTW : 7.86 %
GWO.PR.N FixedReset Ins Non -4.96 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-06-23
Maturity Price : 13.40
Evaluated at bid price : 13.40
Bid-YTW : 7.15 %
MFC.PR.N FixedReset Ins Non -4.62 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-06-23
Maturity Price : 18.79
Evaluated at bid price : 18.79
Bid-YTW : 6.93 %
PWF.PR.P FixedReset Disc -4.27 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-06-23
Maturity Price : 14.12
Evaluated at bid price : 14.12
Bid-YTW : 7.31 %
TRP.PR.F FloatingReset -3.25 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-06-23
Maturity Price : 16.06
Evaluated at bid price : 16.06
Bid-YTW : 6.30 %
TRP.PR.A FixedReset Disc -3.13 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-06-23
Maturity Price : 15.50
Evaluated at bid price : 15.50
Bid-YTW : 7.79 %
MFC.PR.M FixedReset Ins Non -3.00 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-06-23
Maturity Price : 19.40
Evaluated at bid price : 19.40
Bid-YTW : 6.85 %
CU.PR.G Perpetual-Discount -2.98 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-06-23
Maturity Price : 18.53
Evaluated at bid price : 18.53
Bid-YTW : 6.14 %
MFC.PR.F FixedReset Ins Non -2.83 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-06-23
Maturity Price : 14.77
Evaluated at bid price : 14.77
Bid-YTW : 6.87 %
RY.PR.M FixedReset Disc -2.81 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-06-23
Maturity Price : 20.07
Evaluated at bid price : 20.07
Bid-YTW : 6.55 %
PWF.PF.A Perpetual-Discount -2.66 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-06-23
Maturity Price : 18.30
Evaluated at bid price : 18.30
Bid-YTW : 6.26 %
SLF.PR.J FloatingReset -2.48 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-06-23
Maturity Price : 15.75
Evaluated at bid price : 15.75
Bid-YTW : 5.60 %
IFC.PR.A FixedReset Ins Non -2.40 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-06-23
Maturity Price : 19.13
Evaluated at bid price : 19.13
Bid-YTW : 6.38 %
MFC.PR.L FixedReset Ins Non -2.38 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-06-23
Maturity Price : 18.85
Evaluated at bid price : 18.85
Bid-YTW : 6.89 %
BIP.PR.F FixedReset Disc -2.32 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-06-23
Maturity Price : 23.11
Evaluated at bid price : 23.54
Bid-YTW : 6.39 %
RY.PR.H FixedReset Disc -2.16 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-06-23
Maturity Price : 20.40
Evaluated at bid price : 20.40
Bid-YTW : 6.46 %
CU.PR.H Perpetual-Discount -2.06 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-06-23
Maturity Price : 21.40
Evaluated at bid price : 21.40
Bid-YTW : 6.21 %
BAM.PR.T FixedReset Disc -2.03 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-06-23
Maturity Price : 16.93
Evaluated at bid price : 16.93
Bid-YTW : 7.37 %
MFC.PR.K FixedReset Ins Non -2.00 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-06-23
Maturity Price : 21.07
Evaluated at bid price : 21.07
Bid-YTW : 6.39 %
BIP.PR.A FixedReset Disc -1.87 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-06-23
Maturity Price : 20.50
Evaluated at bid price : 20.50
Bid-YTW : 7.58 %
GWO.PR.S Insurance Straight -1.82 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-06-23
Maturity Price : 21.00
Evaluated at bid price : 21.00
Bid-YTW : 6.29 %
RY.PR.N Perpetual-Discount -1.69 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-06-23
Maturity Price : 22.91
Evaluated at bid price : 23.26
Bid-YTW : 5.31 %
CU.PR.C FixedReset Disc -1.67 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-06-23
Maturity Price : 21.15
Evaluated at bid price : 21.15
Bid-YTW : 6.55 %
PVS.PR.K SplitShare -1.51 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2029-05-31
Maturity Price : 25.00
Evaluated at bid price : 22.80
Bid-YTW : 6.09 %
TRP.PR.D FixedReset Disc -1.45 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-06-23
Maturity Price : 18.30
Evaluated at bid price : 18.30
Bid-YTW : 7.46 %
BIP.PR.E FixedReset Disc -1.40 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-06-23
Maturity Price : 22.57
Evaluated at bid price : 23.17
Bid-YTW : 6.62 %
CU.PR.D Perpetual-Discount -1.29 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-06-23
Maturity Price : 19.93
Evaluated at bid price : 19.93
Bid-YTW : 6.22 %
BAM.PF.G FixedReset Disc -1.26 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-06-23
Maturity Price : 18.85
Evaluated at bid price : 18.85
Bid-YTW : 7.30 %
PVS.PR.G SplitShare -1.23 % YTW SCENARIO
Maturity Type : Option Certainty
Maturity Date : 2026-02-28
Maturity Price : 25.00
Evaluated at bid price : 24.10
Bid-YTW : 6.11 %
BAM.PR.R FixedReset Disc -1.22 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-06-23
Maturity Price : 16.94
Evaluated at bid price : 16.94
Bid-YTW : 7.26 %
SLF.PR.H FixedReset Ins Non -1.13 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-06-23
Maturity Price : 17.45
Evaluated at bid price : 17.45
Bid-YTW : 6.79 %
POW.PR.G Perpetual-Discount -1.08 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-06-23
Maturity Price : 22.71
Evaluated at bid price : 23.00
Bid-YTW : 6.09 %
FTS.PR.M FixedReset Disc -1.06 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-06-23
Maturity Price : 19.65
Evaluated at bid price : 19.65
Bid-YTW : 6.94 %
TRP.PR.C FixedReset Disc -1.04 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-06-23
Maturity Price : 13.26
Evaluated at bid price : 13.26
Bid-YTW : 7.72 %
IFC.PR.G FixedReset Ins Non -1.03 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-06-23
Maturity Price : 21.68
Evaluated at bid price : 22.10
Bid-YTW : 6.46 %
BIP.PR.B FixedReset Prem -1.00 % YTW SCENARIO
Maturity Type : Call
Maturity Date : 2025-12-31
Maturity Price : 25.00
Evaluated at bid price : 24.75
Bid-YTW : 5.82 %
BAM.PF.D Perpetual-Discount 1.02 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-06-23
Maturity Price : 19.85
Evaluated at bid price : 19.85
Bid-YTW : 6.21 %
GWO.PR.M Insurance Straight 1.05 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-06-23
Maturity Price : 23.69
Evaluated at bid price : 24.00
Bid-YTW : 6.06 %
BAM.PR.Z FixedReset Disc 1.06 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-06-23
Maturity Price : 23.00
Evaluated at bid price : 23.75
Bid-YTW : 6.42 %
CCS.PR.C Insurance Straight 1.15 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-06-23
Maturity Price : 21.02
Evaluated at bid price : 21.02
Bid-YTW : 5.98 %
GWO.PR.Y Insurance Straight 1.16 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-06-23
Maturity Price : 18.32
Evaluated at bid price : 18.32
Bid-YTW : 6.18 %
RY.PR.Z FixedReset Disc 1.22 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-06-23
Maturity Price : 20.75
Evaluated at bid price : 20.75
Bid-YTW : 6.34 %
GWO.PR.R Insurance Straight 1.34 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-06-23
Maturity Price : 19.60
Evaluated at bid price : 19.60
Bid-YTW : 6.16 %
POW.PR.A Perpetual-Discount 1.39 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-06-23
Maturity Price : 23.06
Evaluated at bid price : 23.32
Bid-YTW : 6.01 %
POW.PR.D Perpetual-Discount 1.45 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-06-23
Maturity Price : 21.00
Evaluated at bid price : 21.00
Bid-YTW : 5.97 %
MFC.PR.B Insurance Straight 1.80 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-06-23
Maturity Price : 19.75
Evaluated at bid price : 19.75
Bid-YTW : 5.93 %
CM.PR.O FixedReset Disc 2.18 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-06-23
Maturity Price : 21.05
Evaluated at bid price : 21.05
Bid-YTW : 6.33 %
BMO.PR.T FixedReset Disc 2.52 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-06-23
Maturity Price : 20.71
Evaluated at bid price : 20.71
Bid-YTW : 6.34 %
Volume Highlights
Issue Index Shares
Traded
Notes
CM.PR.R FixedReset Disc 810,300 YTW SCENARIO
Maturity Type : Call
Maturity Date : 2022-07-31
Maturity Price : 25.00
Evaluated at bid price : 25.20
Bid-YTW : 3.23 %
BMO.PR.T FixedReset Disc 103,700 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-06-23
Maturity Price : 20.71
Evaluated at bid price : 20.71
Bid-YTW : 6.34 %
TD.PF.A FixedReset Disc 81,575 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-06-23
Maturity Price : 20.71
Evaluated at bid price : 20.71
Bid-YTW : 6.31 %
BMO.PR.W FixedReset Disc 50,600 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-06-23
Maturity Price : 20.70
Evaluated at bid price : 20.70
Bid-YTW : 6.33 %
PWF.PF.A Perpetual-Discount 42,951 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-06-23
Maturity Price : 18.30
Evaluated at bid price : 18.30
Bid-YTW : 6.26 %
RY.PR.H FixedReset Disc 42,587 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-06-23
Maturity Price : 20.40
Evaluated at bid price : 20.40
Bid-YTW : 6.46 %
There were 25 other index-included issues trading in excess of 10,000 shares.
Wide Spread Highlights
Issue Index Quote Data and Yield Notes
MIC.PR.A Perpetual-Discount Quote: 19.75 – 22.83
Spot Rate : 3.0800
Average : 1.7463

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-06-23
Maturity Price : 19.75
Evaluated at bid price : 19.75
Bid-YTW : 6.88 %

BAM.PF.B FixedReset Disc Quote: 20.06 – 22.54
Spot Rate : 2.4800
Average : 1.5901

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-06-23
Maturity Price : 20.06
Evaluated at bid price : 20.06
Bid-YTW : 7.07 %

BAM.PR.T FixedReset Disc Quote: 16.93 – 20.05
Spot Rate : 3.1200
Average : 2.2684

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-06-23
Maturity Price : 16.93
Evaluated at bid price : 16.93
Bid-YTW : 7.37 %

IFC.PR.C FixedReset Disc Quote: 18.36 – 20.44
Spot Rate : 2.0800
Average : 1.3675

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-06-23
Maturity Price : 18.36
Evaluated at bid price : 18.36
Bid-YTW : 7.10 %

TRP.PR.E FixedReset Disc Quote: 17.00 – 19.50
Spot Rate : 2.5000
Average : 1.8099

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-06-23
Maturity Price : 17.00
Evaluated at bid price : 17.00
Bid-YTW : 7.86 %

RY.PR.J FixedReset Disc Quote: 21.50 – 23.10
Spot Rate : 1.6000
Average : 0.9593

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-06-23
Maturity Price : 21.50
Evaluated at bid price : 21.50
Bid-YTW : 6.39 %

Research : Risk, Reward, DeemedRetractibles

June 23rd, 2022

My introduction to this essay says it all, I think:

I didn’t really want to write about this topic again, for the third time running, but it is important to the analysis of the Canadian preferred share market now and will probably remain important for the next ten years – so it’s best if we get things started on a solid footing.

Additionally, it became plain to me from the response to the last edition1 that not only did readers want to hear more about this big change in the markets, but that I was insufficiently clear in parts of my discussion for many – so I will commence this appendix with a recapitulation of OSFI’s advisory and draft advisory released February 4, 2011 and how this affects analysis.

The first two articles in the series are available HERE and HERE.

Look for the research link!

June 22, 2022

June 23rd, 2022

TXPR closed at 614.13, down 0.80% on the day. Volume today was 2.06-million, well above the median of the past 21 trading days.

CPD closed at 12.25, down 1.05% on the day. Volume was 50,219, well below the median of the past 21 trading days.

ZPR closed at 10.28 down 0.77% on the day. Volume of 149,563 was below the median of the past 21 trading days.

Five-year Canada yields were up to 3.33% today.

Sorry that this is late: I had other things to do last night.

So, how about that Canadian inflation, eh?:

The consumer price index (CPI) rose 7.7 per cent in May from a year earlier, rising from April’s 6.8-per-cent pace, Statistics Canada said on Wednesday. It was the highest inflation rate since 1983 and part of a broader surge in prices that’s taken hold in advanced economies.

The recent jump in energy prices, stoked by the Russia-Ukraine war, is having a tangible effect on the numbers. Gasoline prices rose 12 per cent in May alone and were up 48 per cent from a year earlier; the national average price for regular unleaded remains north of $2 a litre.

So there’s another crypto company in trouble:

TSX-listed Voyager Digital Ltd.’s VOYG-T stock lost half its value in a single day after management warned of a potential default on a US$655-million loan to a troubled hedge fund, as investors continue to fear financial contagion owing to the crypto sector’s recent crash.

Voyager, which went public in Canada in 2019, was historically known for its trading venue that allows retail and institutional investors to buy and sell cryptocurrencies. Lately, however, the company has expanded its operations, and one of its newer divisions offers loans to institutional borrowers. At the end of March, Voyager had lent $2-billion worth of crypto assets, according to its quarterly filings.

On Wednesday, Voyager disclosed that it has lent US$655-million to Three Arrows Capital, a hedge fund known for trading cryptocurrencies, in the form of 15,250 bitcoin and US$350-million worth of USDC, another cryptocurrency.

According to their latest financials (SEDAR Voyager Digital Ltd. May 16 2022 07:30:45 ET Interim financial statements/report – EnglishPDF 606 K) they have loaned $2-billion in crypto while holding $227-million collateral. Sounds like the sooner these guys go bankrupt, the better.

Westjet’s unique take on planning has given me an idea for a new business:

On Wednesday, WestJet’s vice-president of government relations, Andrew Gibbons, said the airline is “disappointed” that the new rule unfairly makes it the “sole provider of reimbursement” for delays it cannot control. He said the airline relies on government agencies, NAV Canada, Canada Border Services Agency and Canadian Air Transport Security Authority (CATSA) to provide a seamless experience for travelers. These are the agencies that are understaffed and blamed for much of the delays at airports, particularly Toronto Pearson.

My idea is to offer valet parking at municipal lots downtown during sports events and other times of high demand; I figure I should be able to sell at least 5,000 tickets on busy days. Customers will not, of course, be refunded if I cannot actually park the cars due to the small number of such spots actually available; capacity is the government’s problem and I rely on them to provide a seamless experience for my customers.

PerpetualDiscounts now yield 6.14%, equivalent to 7.98% interest at the standard equivalency factor of 1.3x. Long corporates now yield 5.37%, so the pre-tax interest-equivalent spread (in this context, the “Seniority Spread”) has narrow sharply to 260bp from the 285bp reported June 15.

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

Values are provisional and are finalized monthly
Index Mean
Current
Yield
(at bid)
Median
YTW
Median
Average
Trading
Value
Median
Mod Dur
(YTW)
Issues Day’s Perf. Index Value
Ratchet 0.00 % 0.00 % 0 0.00 0 -1.8351 % 2,500.3
FixedFloater 0.00 % 0.00 % 0 0.00 0 -1.8351 % 4,795.6
Floater 4.97 % 4.99 % 50,375 15.54 3 -1.8351 % 2,763.7
OpRet 0.00 % 0.00 % 0 0.00 0 -0.5015 % 3,458.8
SplitShare 4.92 % 5.72 % 40,706 3.17 8 -0.5015 % 4,130.5
Interest-Bearing 0.00 % 0.00 % 0 0.00 0 -0.5015 % 3,222.8
Perpetual-Premium 6.02 % 6.09 % 78,762 13.68 2 -1.1391 % 2,872.6
Perpetual-Discount 6.00 % 6.14 % 64,219 13.70 34 -0.8679 % 3,090.9
FixedReset Disc 4.67 % 6.66 % 114,383 13.26 57 -0.5711 % 2,496.4
Insurance Straight 6.04 % 6.13 % 84,548 13.74 19 -0.8536 % 2,978.3
FloatingReset 5.53 % 5.86 % 49,279 14.12 2 0.2756 % 2,658.2
FixedReset Prem 5.09 % 5.48 % 135,611 1.97 9 0.2655 % 2,591.5
FixedReset Bank Non 0.00 % 0.00 % 0 0.00 0 -0.5711 % 2,551.9
FixedReset Ins Non 4.53 % 6.51 % 76,173 13.35 15 -0.8589 % 2,649.4
Performance Highlights
Issue Index Change Notes
BIP.PR.A FixedReset Disc -2.88 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-06-22
Maturity Price : 20.89
Evaluated at bid price : 20.89
Bid-YTW : 7.65 %
TRP.PR.D FixedReset Disc -2.77 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-06-22
Maturity Price : 18.57
Evaluated at bid price : 18.57
Bid-YTW : 7.62 %
MFC.PR.L FixedReset Ins Non -2.62 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-06-22
Maturity Price : 19.31
Evaluated at bid price : 19.31
Bid-YTW : 6.99 %
CU.PR.F Perpetual-Discount -2.62 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-06-22
Maturity Price : 18.61
Evaluated at bid price : 18.61
Bid-YTW : 6.12 %
TRP.PR.B FixedReset Disc -2.57 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-06-22
Maturity Price : 12.87
Evaluated at bid price : 12.87
Bid-YTW : 7.93 %
MFC.PR.F FixedReset Ins Non -2.56 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-06-22
Maturity Price : 15.20
Evaluated at bid price : 15.20
Bid-YTW : 6.95 %
MFC.PR.M FixedReset Ins Non -2.44 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-06-22
Maturity Price : 20.00
Evaluated at bid price : 20.00
Bid-YTW : 6.88 %
BAM.PF.E FixedReset Disc -2.39 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-06-22
Maturity Price : 18.35
Evaluated at bid price : 18.35
Bid-YTW : 7.51 %
BAM.PR.K Floater -2.26 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-06-22
Maturity Price : 13.00
Evaluated at bid price : 13.00
Bid-YTW : 4.99 %
BAM.PR.T FixedReset Disc -2.21 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-06-22
Maturity Price : 17.28
Evaluated at bid price : 17.28
Bid-YTW : 7.44 %
TRP.PR.C FixedReset Disc -2.19 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-06-22
Maturity Price : 13.40
Evaluated at bid price : 13.40
Bid-YTW : 7.94 %
PWF.PR.P FixedReset Disc -2.19 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-06-22
Maturity Price : 14.75
Evaluated at bid price : 14.75
Bid-YTW : 7.29 %
PWF.PR.F Perpetual-Discount -2.11 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-06-22
Maturity Price : 21.29
Evaluated at bid price : 21.29
Bid-YTW : 6.28 %
GWO.PR.Y Insurance Straight -2.11 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-06-22
Maturity Price : 18.11
Evaluated at bid price : 18.11
Bid-YTW : 6.25 %
POW.PR.B Perpetual-Discount -2.04 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-06-22
Maturity Price : 21.30
Evaluated at bid price : 21.57
Bid-YTW : 6.20 %
BAM.PR.R FixedReset Disc -2.00 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-06-22
Maturity Price : 17.15
Evaluated at bid price : 17.15
Bid-YTW : 7.41 %
BAM.PR.X FixedReset Disc -1.98 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-06-22
Maturity Price : 17.33
Evaluated at bid price : 17.33
Bid-YTW : 7.58 %
BMO.PR.T FixedReset Disc -1.94 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-06-22
Maturity Price : 20.20
Evaluated at bid price : 20.20
Bid-YTW : 6.73 %
MFC.PR.N FixedReset Ins Non -1.94 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-06-22
Maturity Price : 19.70
Evaluated at bid price : 19.70
Bid-YTW : 6.86 %
CM.PR.O FixedReset Disc -1.90 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-06-22
Maturity Price : 20.60
Evaluated at bid price : 20.60
Bid-YTW : 6.70 %
BAM.PR.B Floater -1.81 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-06-22
Maturity Price : 13.00
Evaluated at bid price : 13.00
Bid-YTW : 4.99 %
MFC.PR.B Insurance Straight -1.77 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-06-22
Maturity Price : 19.40
Evaluated at bid price : 19.40
Bid-YTW : 6.04 %
FTS.PR.H FixedReset Disc -1.75 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-06-22
Maturity Price : 14.60
Evaluated at bid price : 14.60
Bid-YTW : 7.38 %
CCS.PR.C Insurance Straight -1.75 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-06-22
Maturity Price : 20.78
Evaluated at bid price : 20.78
Bid-YTW : 6.05 %
MFC.PR.Q FixedReset Ins Non -1.74 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-06-22
Maturity Price : 22.57
Evaluated at bid price : 23.10
Bid-YTW : 6.41 %
GWO.PR.R Insurance Straight -1.53 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-06-22
Maturity Price : 19.34
Evaluated at bid price : 19.34
Bid-YTW : 6.24 %
PVS.PR.J SplitShare -1.52 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2028-02-29
Maturity Price : 25.00
Evaluated at bid price : 22.65
Bid-YTW : 6.47 %
CU.PR.D Perpetual-Discount -1.51 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-06-22
Maturity Price : 20.19
Evaluated at bid price : 20.19
Bid-YTW : 6.14 %
BAM.PR.C Floater -1.44 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-06-22
Maturity Price : 13.05
Evaluated at bid price : 13.05
Bid-YTW : 4.97 %
GWO.PR.S Insurance Straight -1.43 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-06-22
Maturity Price : 21.39
Evaluated at bid price : 21.39
Bid-YTW : 6.17 %
PVS.PR.H SplitShare -1.40 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2027-02-28
Maturity Price : 25.00
Evaluated at bid price : 23.92
Bid-YTW : 5.85 %
SLF.PR.E Insurance Straight -1.39 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-06-22
Maturity Price : 19.21
Evaluated at bid price : 19.21
Bid-YTW : 5.89 %
BAM.PF.D Perpetual-Discount -1.31 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-06-22
Maturity Price : 19.65
Evaluated at bid price : 19.65
Bid-YTW : 6.27 %
PWF.PR.E Perpetual-Discount -1.27 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-06-22
Maturity Price : 22.22
Evaluated at bid price : 22.50
Bid-YTW : 6.21 %
BAM.PF.A FixedReset Disc -1.26 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-06-22
Maturity Price : 21.63
Evaluated at bid price : 22.03
Bid-YTW : 7.09 %
FTS.PR.J Perpetual-Discount -1.24 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-06-22
Maturity Price : 19.90
Evaluated at bid price : 19.90
Bid-YTW : 6.04 %
BNS.PR.I FixedReset Disc -1.24 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-06-22
Maturity Price : 23.56
Evaluated at bid price : 23.95
Bid-YTW : 6.09 %
GWO.PR.Q Insurance Straight -1.23 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-06-22
Maturity Price : 20.82
Evaluated at bid price : 20.82
Bid-YTW : 6.22 %
SLF.PR.G FixedReset Ins Non -1.20 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-06-22
Maturity Price : 14.76
Evaluated at bid price : 14.76
Bid-YTW : 7.20 %
IFC.PR.G FixedReset Ins Non -1.19 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-06-22
Maturity Price : 21.83
Evaluated at bid price : 22.33
Bid-YTW : 6.63 %
PWF.PR.L Perpetual-Discount -1.19 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-06-22
Maturity Price : 20.80
Evaluated at bid price : 20.80
Bid-YTW : 6.24 %
GWO.PR.G Insurance Straight -1.18 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-06-22
Maturity Price : 21.00
Evaluated at bid price : 21.00
Bid-YTW : 6.23 %
NA.PR.S FixedReset Disc -1.13 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-06-22
Maturity Price : 21.00
Evaluated at bid price : 21.00
Bid-YTW : 6.76 %
SLF.PR.H FixedReset Ins Non -1.12 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-06-22
Maturity Price : 17.65
Evaluated at bid price : 17.65
Bid-YTW : 6.94 %
BIP.PR.E FixedReset Disc -1.05 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-06-22
Maturity Price : 22.87
Evaluated at bid price : 23.50
Bid-YTW : 6.76 %
ELF.PR.H Perpetual-Discount -1.05 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-06-22
Maturity Price : 23.25
Evaluated at bid price : 23.55
Bid-YTW : 5.94 %
SLF.PR.C Insurance Straight -1.04 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-06-22
Maturity Price : 19.05
Evaluated at bid price : 19.05
Bid-YTW : 5.87 %
CM.PR.Q FixedReset Disc 1.05 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-06-22
Maturity Price : 21.26
Evaluated at bid price : 21.26
Bid-YTW : 6.62 %
IFC.PR.E Insurance Straight 1.13 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-06-22
Maturity Price : 22.06
Evaluated at bid price : 22.35
Bid-YTW : 5.83 %
IFC.PR.F Insurance Straight 1.36 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-06-22
Maturity Price : 22.08
Evaluated at bid price : 22.40
Bid-YTW : 5.93 %
FTS.PR.K FixedReset Disc 1.36 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-06-22
Maturity Price : 18.60
Evaluated at bid price : 18.60
Bid-YTW : 7.21 %
MFC.PR.K FixedReset Ins Non 2.14 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-06-22
Maturity Price : 21.50
Evaluated at bid price : 21.50
Bid-YTW : 6.51 %
BAM.PF.I FixedReset Prem 2.16 % YTW SCENARIO
Maturity Type : Call
Maturity Date : 2027-03-31
Maturity Price : 25.00
Evaluated at bid price : 26.07
Bid-YTW : 4.39 %
Volume Highlights
Issue Index Shares
Traded
Notes
IAF.PR.G FixedReset Ins Non 220,000 YTW SCENARIO
Maturity Type : Call
Maturity Date : 2022-07-30
Maturity Price : 25.00
Evaluated at bid price : 24.98
Bid-YTW : 3.78 %
RS.PR.A SplitShare 118,833 YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-12-31
Maturity Price : 10.00
Evaluated at bid price : 10.04
Bid-YTW : 5.47 %
BAM.PF.F FixedReset Disc 103,000 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-06-22
Maturity Price : 20.06
Evaluated at bid price : 20.06
Bid-YTW : 7.44 %
MFC.PR.J FixedReset Ins Non 59,000 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-06-22
Maturity Price : 22.88
Evaluated at bid price : 23.52
Bid-YTW : 6.38 %
IFC.PR.G FixedReset Ins Non 53,100 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-06-22
Maturity Price : 21.83
Evaluated at bid price : 22.33
Bid-YTW : 6.63 %
CM.PR.R FixedReset Disc 48,300 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-06-22
Maturity Price : 24.10
Evaluated at bid price : 25.05
Bid-YTW : 6.83 %
There were 20 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: 17.65 – 23.50
Spot Rate : 5.8500
Average : 4.1905

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-06-22
Maturity Price : 17.65
Evaluated at bid price : 17.65
Bid-YTW : 6.94 %

BAM.PR.K Floater Quote: 13.00 – 15.31
Spot Rate : 2.3100
Average : 1.3184

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-06-22
Maturity Price : 13.00
Evaluated at bid price : 13.00
Bid-YTW : 4.99 %

BAM.PF.E FixedReset Disc Quote: 18.35 – 20.90
Spot Rate : 2.5500
Average : 1.6646

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-06-22
Maturity Price : 18.35
Evaluated at bid price : 18.35
Bid-YTW : 7.51 %

MFC.PR.L FixedReset Ins Non Quote: 19.31 – 22.00
Spot Rate : 2.6900
Average : 1.9184

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-06-22
Maturity Price : 19.31
Evaluated at bid price : 19.31
Bid-YTW : 6.99 %

IFC.PR.I Perpetual-Discount Quote: 22.50 – 24.74
Spot Rate : 2.2400
Average : 1.6008

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-06-22
Maturity Price : 22.16
Evaluated at bid price : 22.50
Bid-YTW : 6.02 %

PWF.PR.Z Perpetual-Discount Quote: 21.20 – 23.00
Spot Rate : 1.8000
Average : 1.2304

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-06-22
Maturity Price : 21.20
Evaluated at bid price : 21.20
Bid-YTW : 6.18 %