November 30, 2022

November 30th, 2022

TXPR closed at 557.30, up 0.72% on the day. Volume today was 2.01-million, third-highest of the past 21 trading days.

CPD closed at 11.15, up 1.09% on the day. Volume was 194,590, second-highest of the past 21 trading days.

ZPR closed at 9.30, up 1.31% on the day. Volume was 244,270, a little above the median of the past 21 trading days.

Five-year Canada yields were down to 3.18% today.

A “risk-on” day was attributed to remarks by Powell:

Jerome H. Powell, the Federal Reserve chair, signaled on Wednesday that the central bank could slow its rapid pace of interest rate increases at its December meeting while making clear that borrowing costs have farther to climb as policymakers remain concerned about a sustained bout of inflation.

Investors cheered his comments, with stocks surging at the mere hint that the Fed’s supersize rate increases could soon taper off even as Mr. Powell underlined that he and his colleagues were focused on raising rates high enough to tame inflation, rather than on how fast they got there.

The S&P 500 climbed more than 3 percent, the index’s best day in over two weeks. The Nasdaq composite index, which is particularly sensitive to changing views on interest rates, rose 4.4 percent.

“My colleagues and I do not want to over-tighten,” Mr. Powell said, referring to rate increases that tighten the flow of money too much. “Cutting rates is not something we want to do soon. So that’s why we’re slowing down, and going to try to find our way to what that right level is.”

Still, Mr. Powell and his colleagues are trying to strike a balance. Even as they lay the groundwork to imminently slow down, they want to make it clear that they are not giving up on their campaign against rapid price increases.

“Consumer spending has remained resilient” and is “supported by labor income growth and still elevated savings,” Lisa D. Cook, a Fed governor, said during a speech in Michigan on Wednesday. “How far we go, and how long we keep rates restrictive, will depend on observed progress in bringing down inflation.”

The road to slower inflation could be a long one. Mr. Powell pushed back on any notion that a recent moderation in price increases is a sure sign that price jumps will return to more acceptable levels soon.

“Down months in the data have often been followed by renewed increases,” he said. And while many economists expect inflation to moderate next year, “forecasts have been predicting just such a decline for more than a year, while inflation has moved stubbornly sideways.”

I was all set to report stunning success in my campaign for more precise yield-to-maturity reporting for ZLC, given a recent eMail received from BMO:

Further to your inquiry. I have been informed we are working on a fix for our site to have an as of date for Weighted average yield to maturity, added. Each ETF may differ, however I believe ZLC is weekly.

… but BMO has taken the wind out of my sails by implementing this within a few days of letting me know; readers can now expect weekly amusement from my adjustment of the reported yields. I will be continuing the use of ZLC as my benchmark for long corporate yields as:

  • It has been hallowed by years of use
  • It’s investible by retail
  • It’s a good fund

PerpetualDiscounts now yield 6.52%, equivalent to 8.48% interest at the standard equivalency factor of 1.3x. Long corporates yielded 4.97% on 2022-11-25 and since then the closing price has changed from 15.24 to 15.12, a decline of 79bp in price, with a Duration of 12.31 (BMO doesn’t specify whether this is Macaulay or Modified Duration; I will assume Modified) which implies an increase in yield of about 6bp since 11/25 to 5.03%, so the pre-tax interest-equivalent spread (in this context, the “Seniority Spread”) has widened slightly to 345bp from the 340bp reported November 23.

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 1.2679 % 2,379.5
FixedFloater 0.00 % 0.00 % 0 0.00 0 1.2679 % 4,563.9
Floater 8.41 % 8.61 % 38,889 10.65 2 1.2679 % 2,630.2
OpRet 0.00 % 0.00 % 0 0.00 0 0.1063 % 3,283.0
SplitShare 5.18 % 7.44 % 48,628 2.78 8 0.1063 % 3,920.6
Interest-Bearing 0.00 % 0.00 % 0 0.00 0 0.1063 % 3,059.0
Perpetual-Premium 0.00 % 0.00 % 0 0.00 0 0.6857 % 2,668.7
Perpetual-Discount 6.38 % 6.52 % 88,434 13.14 34 0.6857 % 2,910.0
FixedReset Disc 5.44 % 7.49 % 92,164 12.19 63 0.7201 % 2,218.2
Insurance Straight 6.32 % 6.46 % 98,132 13.18 18 0.8138 % 2,846.1
FloatingReset 9.31 % 9.68 % 45,189 9.89 2 0.5168 % 2,525.9
FixedReset Prem 6.51 % 6.18 % 415,699 4.20 1 -0.0392 % 2,374.2
FixedReset Bank Non 0.00 % 0.00 % 0 0.00 0 0.7201 % 2,267.4
FixedReset Ins Non 5.40 % 7.52 % 47,521 12.31 14 0.7092 % 2,326.3
Performance Highlights
Issue Index Change Notes
BAM.PF.C Perpetual-Discount -1.79 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-11-30
Maturity Price : 19.15
Evaluated at bid price : 19.15
Bid-YTW : 6.46 %
SLF.PR.D Insurance Straight 1.00 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-11-30
Maturity Price : 18.18
Evaluated at bid price : 18.18
Bid-YTW : 6.13 %
BAM.PF.J FixedReset Disc 1.04 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-11-30
Maturity Price : 22.88
Evaluated at bid price : 24.25
Bid-YTW : 6.54 %
MFC.PR.K FixedReset Ins Non 1.05 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-11-30
Maturity Price : 18.25
Evaluated at bid price : 18.25
Bid-YTW : 7.42 %
MIC.PR.A Perpetual-Discount 1.08 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-11-30
Maturity Price : 18.75
Evaluated at bid price : 18.75
Bid-YTW : 7.37 %
RY.PR.J FixedReset Disc 1.08 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-11-30
Maturity Price : 18.65
Evaluated at bid price : 18.65
Bid-YTW : 7.42 %
CCS.PR.C Insurance Straight 1.08 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-11-30
Maturity Price : 19.50
Evaluated at bid price : 19.50
Bid-YTW : 6.42 %
PWF.PR.G Perpetual-Discount 1.10 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-11-30
Maturity Price : 22.71
Evaluated at bid price : 23.00
Bid-YTW : 6.49 %
GWO.PR.P Insurance Straight 1.11 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-11-30
Maturity Price : 20.92
Evaluated at bid price : 20.92
Bid-YTW : 6.59 %
IFC.PR.E Insurance Straight 1.13 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-11-30
Maturity Price : 20.55
Evaluated at bid price : 20.55
Bid-YTW : 6.46 %
IAF.PR.I FixedReset Ins Non 1.16 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-11-30
Maturity Price : 21.52
Evaluated at bid price : 21.85
Bid-YTW : 6.82 %
PWF.PR.E Perpetual-Discount 1.19 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-11-30
Maturity Price : 21.25
Evaluated at bid price : 21.25
Bid-YTW : 6.56 %
BAM.PF.B FixedReset Disc 1.19 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-11-30
Maturity Price : 17.81
Evaluated at bid price : 17.81
Bid-YTW : 8.15 %
GWO.PR.T Insurance Straight 1.21 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-11-30
Maturity Price : 20.15
Evaluated at bid price : 20.15
Bid-YTW : 6.52 %
TD.PF.I FixedReset Disc 1.21 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-11-30
Maturity Price : 23.18
Evaluated at bid price : 25.05
Bid-YTW : 6.23 %
RY.PR.O Perpetual-Discount 1.22 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-11-30
Maturity Price : 21.51
Evaluated at bid price : 21.51
Bid-YTW : 5.74 %
BAM.PR.K Floater 1.22 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-11-30
Maturity Price : 12.40
Evaluated at bid price : 12.40
Bid-YTW : 8.61 %
PWF.PR.O Perpetual-Discount 1.23 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-11-30
Maturity Price : 22.04
Evaluated at bid price : 22.27
Bid-YTW : 6.59 %
SLF.PR.J FloatingReset 1.25 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-11-30
Maturity Price : 15.45
Evaluated at bid price : 15.45
Bid-YTW : 8.98 %
BAM.PR.B Floater 1.31 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-11-30
Maturity Price : 12.36
Evaluated at bid price : 12.36
Bid-YTW : 8.64 %
SLF.PR.C Insurance Straight 1.39 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-11-30
Maturity Price : 18.30
Evaluated at bid price : 18.30
Bid-YTW : 6.09 %
GWO.PR.G Insurance Straight 1.40 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-11-30
Maturity Price : 20.30
Evaluated at bid price : 20.30
Bid-YTW : 6.54 %
TRP.PR.A FixedReset Disc 1.41 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-11-30
Maturity Price : 14.38
Evaluated at bid price : 14.38
Bid-YTW : 8.52 %
FTS.PR.M FixedReset Disc 1.42 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-11-30
Maturity Price : 17.15
Evaluated at bid price : 17.15
Bid-YTW : 8.00 %
BAM.PF.I FixedReset Disc 1.50 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-11-30
Maturity Price : 21.90
Evaluated at bid price : 22.33
Bid-YTW : 7.46 %
GWO.PR.I Insurance Straight 1.51 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-11-30
Maturity Price : 18.17
Evaluated at bid price : 18.17
Bid-YTW : 6.32 %
TD.PF.J FixedReset Disc 1.53 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-11-30
Maturity Price : 21.52
Evaluated at bid price : 21.85
Bid-YTW : 6.82 %
TRP.PR.G FixedReset Disc 1.58 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-11-30
Maturity Price : 16.71
Evaluated at bid price : 16.71
Bid-YTW : 8.32 %
SLF.PR.G FixedReset Ins Non 1.62 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-11-30
Maturity Price : 13.21
Evaluated at bid price : 13.21
Bid-YTW : 7.82 %
MFC.PR.F FixedReset Ins Non 1.62 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-11-30
Maturity Price : 13.20
Evaluated at bid price : 13.20
Bid-YTW : 7.74 %
BAM.PF.H FixedReset Disc 1.67 % YTW SCENARIO
Maturity Type : Call
Maturity Date : 2025-12-31
Maturity Price : 25.00
Evaluated at bid price : 24.40
Bid-YTW : 6.21 %
MFC.PR.L FixedReset Ins Non 1.74 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-11-30
Maturity Price : 17.00
Evaluated at bid price : 17.00
Bid-YTW : 7.70 %
BAM.PR.Z FixedReset Disc 1.78 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-11-30
Maturity Price : 21.48
Evaluated at bid price : 21.78
Bid-YTW : 7.19 %
TRP.PR.E FixedReset Disc 1.84 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-11-30
Maturity Price : 15.50
Evaluated at bid price : 15.50
Bid-YTW : 8.69 %
BAM.PR.M Perpetual-Discount 1.84 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-11-30
Maturity Price : 19.35
Evaluated at bid price : 19.35
Bid-YTW : 6.26 %
TRP.PR.D FixedReset Disc 1.85 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-11-30
Maturity Price : 15.99
Evaluated at bid price : 15.99
Bid-YTW : 8.60 %
TRP.PR.B FixedReset Disc 1.89 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-11-30
Maturity Price : 11.35
Evaluated at bid price : 11.35
Bid-YTW : 8.74 %
TRP.PR.C FixedReset Disc 1.92 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-11-30
Maturity Price : 12.21
Evaluated at bid price : 12.21
Bid-YTW : 8.49 %
PWF.PR.F Perpetual-Discount 2.00 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-11-30
Maturity Price : 20.40
Evaluated at bid price : 20.40
Bid-YTW : 6.52 %
PWF.PF.A Perpetual-Discount 2.01 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-11-30
Maturity Price : 17.75
Evaluated at bid price : 17.75
Bid-YTW : 6.43 %
BAM.PR.X FixedReset Disc 2.05 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-11-30
Maturity Price : 16.41
Evaluated at bid price : 16.41
Bid-YTW : 7.61 %
BAM.PR.T FixedReset Disc 2.19 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-11-30
Maturity Price : 15.40
Evaluated at bid price : 15.40
Bid-YTW : 8.25 %
RY.PR.N Perpetual-Discount 2.35 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-11-30
Maturity Price : 21.75
Evaluated at bid price : 21.75
Bid-YTW : 5.68 %
RY.PR.M FixedReset Disc 2.50 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-11-30
Maturity Price : 18.45
Evaluated at bid price : 18.45
Bid-YTW : 7.20 %
GWO.PR.N FixedReset Ins Non 2.51 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-11-30
Maturity Price : 13.05
Evaluated at bid price : 13.05
Bid-YTW : 7.62 %
IFC.PR.K Perpetual-Discount 2.57 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-11-30
Maturity Price : 20.78
Evaluated at bid price : 20.78
Bid-YTW : 6.45 %
IFC.PR.C FixedReset Disc 2.86 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-11-30
Maturity Price : 18.00
Evaluated at bid price : 18.00
Bid-YTW : 7.41 %
CU.PR.I FixedReset Disc 2.94 % YTW SCENARIO
Maturity Type : Call
Maturity Date : 2025-12-01
Maturity Price : 25.00
Evaluated at bid price : 24.50
Bid-YTW : 5.25 %
GWO.PR.H Insurance Straight 3.74 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-11-30
Maturity Price : 19.20
Evaluated at bid price : 19.20
Bid-YTW : 6.33 %
Volume Highlights
Issue Index Shares
Traded
Notes
MFC.PR.B Insurance Straight 177,606 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-11-30
Maturity Price : 18.75
Evaluated at bid price : 18.75
Bid-YTW : 6.23 %
MFC.PR.C Insurance Straight 176,743 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-11-30
Maturity Price : 18.18
Evaluated at bid price : 18.18
Bid-YTW : 6.21 %
TRP.PR.D FixedReset Disc 139,000 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-11-30
Maturity Price : 15.99
Evaluated at bid price : 15.99
Bid-YTW : 8.60 %
TRP.PR.E FixedReset Disc 118,945 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-11-30
Maturity Price : 15.50
Evaluated at bid price : 15.50
Bid-YTW : 8.69 %
NA.PR.E FixedReset Disc 67,600 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-11-30
Maturity Price : 20.50
Evaluated at bid price : 20.50
Bid-YTW : 7.12 %
BAM.PF.D Perpetual-Discount 66,958 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-11-30
Maturity Price : 19.24
Evaluated at bid price : 19.24
Bid-YTW : 6.50 %
There were 18 other index-included issues trading in excess of 10,000 shares.
Wide Spread Highlights
Issue Index Quote Data and Yield Notes
GWO.PR.N FixedReset Ins Non Quote: 13.05 – 15.51
Spot Rate : 2.4600
Average : 1.4152

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-11-30
Maturity Price : 13.05
Evaluated at bid price : 13.05
Bid-YTW : 7.62 %

TD.PF.K FixedReset Disc Quote: 20.35 – 21.25
Spot Rate : 0.9000
Average : 0.6094

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-11-30
Maturity Price : 20.35
Evaluated at bid price : 20.35
Bid-YTW : 7.16 %

BAM.PR.R FixedReset Disc Quote: 14.30 – 15.07
Spot Rate : 0.7700
Average : 0.5459

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-11-30
Maturity Price : 14.30
Evaluated at bid price : 14.30
Bid-YTW : 8.74 %

TRP.PR.C FixedReset Disc Quote: 12.21 – 13.70
Spot Rate : 1.4900
Average : 1.2774

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-11-30
Maturity Price : 12.21
Evaluated at bid price : 12.21
Bid-YTW : 8.49 %

TD.PF.I FixedReset Disc Quote: 25.05 – 25.69
Spot Rate : 0.6400
Average : 0.4434

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-11-30
Maturity Price : 23.18
Evaluated at bid price : 25.05
Bid-YTW : 6.23 %

BAM.PR.B Floater Quote: 12.36 – 12.90
Spot Rate : 0.5400
Average : 0.3531

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-11-30
Maturity Price : 12.36
Evaluated at bid price : 12.36
Bid-YTW : 8.64 %

November 29, 2022

November 29th, 2022

TXPR closed at 553.30, up 0.68% on the day. Volume today was 2.48-million, highest of the past 21 trading days.

CPD closed at 11.03, up 1.01% on the day. Volume was 122,060, near the median of the past 21 trading days.

ZPR closed at 9.18, up 0.88% on the day. Volume was 300,490, fourth-highest of the past 21 trading days.

Five-year Canada yields were up a bit to 3.26% 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 0.6173 % 2,349.7
FixedFloater 0.00 % 0.00 % 0 0.00 0 0.6173 % 4,506.8
Floater 8.52 % 8.71 % 40,506 10.55 2 0.6173 % 2,597.3
OpRet 0.00 % 0.00 % 0 0.00 0 -0.1605 % 3,279.5
SplitShare 5.19 % 7.38 % 47,578 2.79 8 -0.1605 % 3,916.4
Interest-Bearing 0.00 % 0.00 % 0 0.00 0 -0.1605 % 3,055.7
Perpetual-Premium 0.00 % 0.00 % 0 0.00 0 0.7548 % 2,650.5
Perpetual-Discount 6.43 % 6.57 % 89,436 13.10 34 0.7548 % 2,890.2
FixedReset Disc 5.47 % 7.52 % 93,202 12.15 63 0.6252 % 2,202.3
Insurance Straight 6.38 % 6.53 % 97,802 13.08 18 0.6112 % 2,823.1
FloatingReset 9.36 % 9.66 % 47,060 9.91 2 -0.4502 % 2,512.9
FixedReset Prem 6.50 % 6.16 % 420,743 4.20 1 0.0000 % 2,375.2
FixedReset Bank Non 0.00 % 0.00 % 0 0.00 0 0.6252 % 2,251.2
FixedReset Ins Non 5.44 % 7.57 % 46,519 12.25 14 0.9185 % 2,309.9
Performance Highlights
Issue Index Change Notes
PVS.PR.G SplitShare -1.90 % YTW SCENARIO
Maturity Type : Option Certainty
Maturity Date : 2026-02-28
Maturity Price : 25.00
Evaluated at bid price : 23.25
Bid-YTW : 7.37 %
PVS.PR.J SplitShare -1.48 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2028-02-29
Maturity Price : 25.00
Evaluated at bid price : 21.25
Bid-YTW : 7.97 %
IFC.PR.I Perpetual-Discount -1.39 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-11-29
Maturity Price : 21.25
Evaluated at bid price : 21.25
Bid-YTW : 6.48 %
PWF.PF.A Perpetual-Discount -1.14 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-11-29
Maturity Price : 17.40
Evaluated at bid price : 17.40
Bid-YTW : 6.56 %
IFC.PR.E Insurance Straight -1.12 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-11-29
Maturity Price : 20.32
Evaluated at bid price : 20.32
Bid-YTW : 6.53 %
MFC.PR.F FixedReset Ins Non 1.01 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-11-29
Maturity Price : 12.99
Evaluated at bid price : 12.99
Bid-YTW : 7.85 %
CM.PR.Y FixedReset Disc 1.02 % YTW SCENARIO
Maturity Type : Call
Maturity Date : 2024-07-31
Maturity Price : 25.00
Evaluated at bid price : 24.70
Bid-YTW : 6.25 %
TRP.PR.A FixedReset Disc 1.03 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-11-29
Maturity Price : 14.18
Evaluated at bid price : 14.18
Bid-YTW : 8.63 %
PWF.PR.L Perpetual-Discount 1.08 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-11-29
Maturity Price : 19.65
Evaluated at bid price : 19.65
Bid-YTW : 6.58 %
BAM.PR.Z FixedReset Disc 1.09 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-11-29
Maturity Price : 21.40
Evaluated at bid price : 21.40
Bid-YTW : 7.33 %
BAM.PF.A FixedReset Disc 1.09 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-11-29
Maturity Price : 19.41
Evaluated at bid price : 19.41
Bid-YTW : 7.97 %
FTS.PR.F Perpetual-Discount 1.23 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-11-29
Maturity Price : 19.80
Evaluated at bid price : 19.80
Bid-YTW : 6.23 %
BAM.PF.J FixedReset Disc 1.27 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-11-29
Maturity Price : 22.77
Evaluated at bid price : 24.00
Bid-YTW : 6.62 %
BIP.PR.F FixedReset Disc 1.43 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-11-29
Maturity Price : 19.50
Evaluated at bid price : 19.50
Bid-YTW : 7.79 %
BAM.PF.D Perpetual-Discount 1.47 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-11-29
Maturity Price : 19.37
Evaluated at bid price : 19.37
Bid-YTW : 6.45 %
BAM.PR.T FixedReset Disc 1.48 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-11-29
Maturity Price : 15.07
Evaluated at bid price : 15.07
Bid-YTW : 8.42 %
BMO.PR.E FixedReset Disc 1.52 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-11-29
Maturity Price : 21.42
Evaluated at bid price : 21.42
Bid-YTW : 6.87 %
TD.PF.A FixedReset Disc 1.64 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-11-29
Maturity Price : 17.34
Evaluated at bid price : 17.34
Bid-YTW : 7.62 %
BAM.PF.B FixedReset Disc 1.73 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-11-29
Maturity Price : 17.60
Evaluated at bid price : 17.60
Bid-YTW : 8.25 %
BIP.PR.E FixedReset Disc 1.78 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-11-29
Maturity Price : 21.57
Evaluated at bid price : 21.57
Bid-YTW : 7.21 %
TD.PF.C FixedReset Disc 1.81 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-11-29
Maturity Price : 17.46
Evaluated at bid price : 17.46
Bid-YTW : 7.58 %
MFC.PR.L FixedReset Ins Non 1.89 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-11-29
Maturity Price : 16.71
Evaluated at bid price : 16.71
Bid-YTW : 7.83 %
IFC.PR.G FixedReset Ins Non 1.95 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-11-29
Maturity Price : 19.82
Evaluated at bid price : 19.82
Bid-YTW : 7.39 %
BAM.PR.M Perpetual-Discount 2.04 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-11-29
Maturity Price : 19.00
Evaluated at bid price : 19.00
Bid-YTW : 6.38 %
TRP.PR.B FixedReset Disc 2.05 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-11-29
Maturity Price : 11.14
Evaluated at bid price : 11.14
Bid-YTW : 8.89 %
GWO.PR.R Insurance Straight 2.07 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-11-29
Maturity Price : 18.76
Evaluated at bid price : 18.76
Bid-YTW : 6.53 %
PWF.PR.G Perpetual-Discount 2.11 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-11-29
Maturity Price : 22.49
Evaluated at bid price : 22.75
Bid-YTW : 6.56 %
PWF.PR.R Perpetual-Discount 2.18 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-11-29
Maturity Price : 21.10
Evaluated at bid price : 21.10
Bid-YTW : 6.61 %
GWO.PR.L Insurance Straight 2.30 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-11-29
Maturity Price : 21.56
Evaluated at bid price : 21.82
Bid-YTW : 6.59 %
BAM.PF.G FixedReset Disc 2.35 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-11-29
Maturity Price : 16.12
Evaluated at bid price : 16.12
Bid-YTW : 8.70 %
TD.PF.B FixedReset Disc 2.37 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-11-29
Maturity Price : 17.70
Evaluated at bid price : 17.70
Bid-YTW : 7.56 %
TD.PF.D FixedReset Disc 2.48 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-11-29
Maturity Price : 19.42
Evaluated at bid price : 19.42
Bid-YTW : 7.17 %
TRP.PR.C FixedReset Disc 2.48 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-11-29
Maturity Price : 11.98
Evaluated at bid price : 11.98
Bid-YTW : 8.64 %
MFC.PR.N FixedReset Ins Non 2.51 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-11-29
Maturity Price : 17.12
Evaluated at bid price : 17.12
Bid-YTW : 7.66 %
SLF.PR.H FixedReset Ins Non 2.61 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-11-29
Maturity Price : 15.75
Evaluated at bid price : 15.75
Bid-YTW : 7.57 %
BAM.PF.F FixedReset Disc 2.76 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-11-29
Maturity Price : 17.47
Evaluated at bid price : 17.47
Bid-YTW : 8.46 %
PVS.PR.K SplitShare 2.90 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2029-05-31
Maturity Price : 25.00
Evaluated at bid price : 21.30
Bid-YTW : 7.38 %
BAM.PF.C Perpetual-Discount 3.78 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-11-29
Maturity Price : 19.50
Evaluated at bid price : 19.50
Bid-YTW : 6.34 %
POW.PR.D Perpetual-Discount 4.10 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-11-29
Maturity Price : 19.57
Evaluated at bid price : 19.57
Bid-YTW : 6.50 %
CCS.PR.C Insurance Straight 4.53 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-11-29
Maturity Price : 19.60
Evaluated at bid price : 19.60
Bid-YTW : 6.51 %
RY.PR.M FixedReset Disc 5.20 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-11-29
Maturity Price : 18.00
Evaluated at bid price : 18.00
Bid-YTW : 7.37 %
PWF.PR.S Perpetual-Discount 8.45 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-11-29
Maturity Price : 18.60
Evaluated at bid price : 18.60
Bid-YTW : 6.54 %
Volume Highlights
Issue Index Shares
Traded
Notes
BAM.PR.M Perpetual-Discount 90,375 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-11-29
Maturity Price : 19.00
Evaluated at bid price : 19.00
Bid-YTW : 6.38 %
PWF.PR.S Perpetual-Discount 86,730 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-11-29
Maturity Price : 18.60
Evaluated at bid price : 18.60
Bid-YTW : 6.54 %
TRP.PR.A FixedReset Disc 62,960 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-11-29
Maturity Price : 14.18
Evaluated at bid price : 14.18
Bid-YTW : 8.63 %
TD.PF.C FixedReset Disc 43,730 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-11-29
Maturity Price : 17.46
Evaluated at bid price : 17.46
Bid-YTW : 7.58 %
IFC.PR.E Insurance Straight 38,067 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-11-29
Maturity Price : 20.32
Evaluated at bid price : 20.32
Bid-YTW : 6.53 %
TD.PF.B FixedReset Disc 32,350 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-11-29
Maturity Price : 17.70
Evaluated at bid price : 17.70
Bid-YTW : 7.56 %
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.E FixedReset Disc Quote: 15.22 – 19.40
Spot Rate : 4.1800
Average : 2.2492

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-11-29
Maturity Price : 15.22
Evaluated at bid price : 15.22
Bid-YTW : 8.84 %

CU.PR.H Perpetual-Discount Quote: 20.06 – 22.10
Spot Rate : 2.0400
Average : 1.1559

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-11-29
Maturity Price : 20.06
Evaluated at bid price : 20.06
Bid-YTW : 6.60 %

IFC.PR.E Insurance Straight Quote: 20.32 – 22.05
Spot Rate : 1.7300
Average : 1.0327

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-11-29
Maturity Price : 20.32
Evaluated at bid price : 20.32
Bid-YTW : 6.53 %

TRP.PR.C FixedReset Disc Quote: 11.98 – 13.70
Spot Rate : 1.7200
Average : 1.0443

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-11-29
Maturity Price : 11.98
Evaluated at bid price : 11.98
Bid-YTW : 8.64 %

BAM.PF.A FixedReset Disc Quote: 19.41 – 20.55
Spot Rate : 1.1400
Average : 0.6361

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-11-29
Maturity Price : 19.41
Evaluated at bid price : 19.41
Bid-YTW : 7.97 %

SLF.PR.G FixedReset Ins Non Quote: 13.00 – 14.28
Spot Rate : 1.2800
Average : 0.7782

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-11-29
Maturity Price : 13.00
Evaluated at bid price : 13.00
Bid-YTW : 7.94 %

November 28, 2022

November 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 0.2889 % 2,335.3
FixedFloater 0.00 % 0.00 % 0 0.00 0 0.2889 % 4,479.1
Floater 8.57 % 8.77 % 55,697 10.50 2 0.2889 % 2,581.4
OpRet 0.00 % 0.00 % 0 0.00 0 0.0191 % 3,284.7
SplitShare 5.18 % 7.47 % 47,233 2.79 8 0.0191 % 3,922.7
Interest-Bearing 0.00 % 0.00 % 0 0.00 0 0.0191 % 3,060.6
Perpetual-Premium 0.00 % 0.00 % 0 0.00 0 -0.2741 % 2,630.6
Perpetual-Discount 6.47 % 6.59 % 88,524 13.01 34 -0.2741 % 2,868.6
FixedReset Disc 5.51 % 7.59 % 92,491 12.04 63 0.1115 % 2,188.7
Insurance Straight 6.41 % 6.62 % 97,978 12.96 18 -0.6331 % 2,806.0
FloatingReset 9.32 % 9.84 % 44,518 9.56 2 -0.4800 % 2,524.3
FixedReset Prem 6.50 % 6.16 % 418,852 4.20 1 0.0784 % 2,375.2
FixedReset Bank Non 0.00 % 0.00 % 0 0.00 0 0.1115 % 2,237.2
FixedReset Ins Non 5.49 % 7.60 % 47,211 12.25 14 -0.1528 % 2,288.9
Performance Highlights
Issue Index Change Notes
RY.PR.M FixedReset Disc -5.68 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-11-28
Maturity Price : 17.11
Evaluated at bid price : 17.11
Bid-YTW : 7.73 %
PWF.PR.S Perpetual-Discount -5.25 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-11-28
Maturity Price : 17.15
Evaluated at bid price : 17.15
Bid-YTW : 7.10 %
CCS.PR.C Insurance Straight -4.77 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-11-28
Maturity Price : 18.75
Evaluated at bid price : 18.75
Bid-YTW : 6.81 %
POW.PR.D Perpetual-Discount -3.84 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-11-28
Maturity Price : 18.80
Evaluated at bid price : 18.80
Bid-YTW : 6.77 %
PVS.PR.K SplitShare -3.72 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2029-05-31
Maturity Price : 25.00
Evaluated at bid price : 20.70
Bid-YTW : 7.91 %
PVS.PR.J SplitShare -1.95 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2028-02-29
Maturity Price : 25.00
Evaluated at bid price : 21.57
Bid-YTW : 7.64 %
MFC.PR.N FixedReset Ins Non -1.94 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-11-28
Maturity Price : 16.70
Evaluated at bid price : 16.70
Bid-YTW : 7.85 %
MFC.PR.L FixedReset Ins Non -1.86 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-11-28
Maturity Price : 16.40
Evaluated at bid price : 16.40
Bid-YTW : 7.97 %
SLF.PR.H FixedReset Ins Non -1.60 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-11-28
Maturity Price : 15.35
Evaluated at bid price : 15.35
Bid-YTW : 7.75 %
PWF.PR.L Perpetual-Discount -1.57 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-11-28
Maturity Price : 19.44
Evaluated at bid price : 19.44
Bid-YTW : 6.65 %
GWO.PR.R Insurance Straight -1.55 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-11-28
Maturity Price : 18.38
Evaluated at bid price : 18.38
Bid-YTW : 6.66 %
GWO.PR.G Insurance Straight -1.49 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-11-28
Maturity Price : 19.88
Evaluated at bid price : 19.88
Bid-YTW : 6.67 %
TRP.PR.C FixedReset Disc -1.43 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-11-28
Maturity Price : 11.69
Evaluated at bid price : 11.69
Bid-YTW : 8.83 %
PWF.PR.R Perpetual-Discount -1.34 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-11-28
Maturity Price : 20.65
Evaluated at bid price : 20.65
Bid-YTW : 6.75 %
BIP.PR.F FixedReset Disc -1.31 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-11-28
Maturity Price : 19.54
Evaluated at bid price : 19.54
Bid-YTW : 7.92 %
SLF.PR.G FixedReset Ins Non -1.29 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-11-28
Maturity Price : 13.00
Evaluated at bid price : 13.00
Bid-YTW : 7.94 %
PWF.PR.G Perpetual-Discount -1.20 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-11-28
Maturity Price : 22.05
Evaluated at bid price : 22.28
Bid-YTW : 6.70 %
BAM.PF.G FixedReset Disc -1.19 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-11-28
Maturity Price : 15.75
Evaluated at bid price : 15.75
Bid-YTW : 8.89 %
GWO.PR.P Insurance Straight -1.16 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-11-28
Maturity Price : 20.52
Evaluated at bid price : 20.52
Bid-YTW : 6.72 %
PWF.PR.K Perpetual-Discount -1.06 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-11-28
Maturity Price : 18.75
Evaluated at bid price : 18.75
Bid-YTW : 6.69 %
TD.PF.D FixedReset Disc 1.01 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-11-28
Maturity Price : 18.95
Evaluated at bid price : 18.95
Bid-YTW : 7.34 %
TD.PF.L FixedReset Disc 1.09 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-11-28
Maturity Price : 22.81
Evaluated at bid price : 23.25
Bid-YTW : 6.92 %
BAM.PF.E FixedReset Disc 1.29 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-11-28
Maturity Price : 15.76
Evaluated at bid price : 15.76
Bid-YTW : 8.63 %
RY.PR.J FixedReset Disc 1.31 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-11-28
Maturity Price : 18.60
Evaluated at bid price : 18.60
Bid-YTW : 7.44 %
MFC.PR.Q FixedReset Ins Non 1.35 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-11-28
Maturity Price : 18.75
Evaluated at bid price : 18.75
Bid-YTW : 7.69 %
IFC.PR.I Perpetual-Discount 1.75 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-11-28
Maturity Price : 21.28
Evaluated at bid price : 21.55
Bid-YTW : 6.38 %
BAM.PR.R FixedReset Disc 1.78 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-11-28
Maturity Price : 14.30
Evaluated at bid price : 14.30
Bid-YTW : 8.74 %
BMO.PR.F FixedReset Disc 1.79 % YTW SCENARIO
Maturity Type : Call
Maturity Date : 2024-05-25
Maturity Price : 25.00
Evaluated at bid price : 24.50
Bid-YTW : 6.60 %
PVS.PR.I SplitShare 1.91 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-10-31
Maturity Price : 25.00
Evaluated at bid price : 23.45
Bid-YTW : 7.13 %
BAM.PF.C Perpetual-Discount 2.06 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-11-28
Maturity Price : 18.79
Evaluated at bid price : 18.79
Bid-YTW : 6.59 %
IAF.PR.I FixedReset Ins Non 2.13 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-11-28
Maturity Price : 21.55
Evaluated at bid price : 21.55
Bid-YTW : 6.92 %
BAM.PF.D Perpetual-Discount 2.19 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-11-28
Maturity Price : 19.09
Evaluated at bid price : 19.09
Bid-YTW : 6.55 %
PVS.PR.G SplitShare 2.82 % YTW SCENARIO
Maturity Type : Option Certainty
Maturity Date : 2026-02-28
Maturity Price : 25.00
Evaluated at bid price : 23.70
Bid-YTW : 6.71 %
Volume Highlights
Issue Index Shares
Traded
Notes
NA.PR.W FixedReset Disc 87,350 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-11-28
Maturity Price : 16.71
Evaluated at bid price : 16.71
Bid-YTW : 7.88 %
IFC.PR.G FixedReset Ins Non 85,500 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-11-28
Maturity Price : 19.44
Evaluated at bid price : 19.44
Bid-YTW : 7.53 %
TRP.PR.D FixedReset Disc 59,400 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-11-28
Maturity Price : 15.70
Evaluated at bid price : 15.70
Bid-YTW : 8.76 %
CU.PR.J Perpetual-Discount 36,750 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-11-28
Maturity Price : 18.30
Evaluated at bid price : 18.30
Bid-YTW : 6.54 %
BMO.PR.E FixedReset Disc 34,535 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-11-28
Maturity Price : 21.10
Evaluated at bid price : 21.10
Bid-YTW : 6.97 %
BAM.PR.T FixedReset Disc 30,600 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-11-28
Maturity Price : 14.85
Evaluated at bid price : 14.85
Bid-YTW : 8.54 %
There were 27 other index-included issues trading in excess of 10,000 shares.
Wide Spread Highlights
Issue Index Quote Data and Yield Notes
RY.PR.M FixedReset Disc Quote: 17.11 – 18.79
Spot Rate : 1.6800
Average : 1.0597

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-11-28
Maturity Price : 17.11
Evaluated at bid price : 17.11
Bid-YTW : 7.73 %

GWO.PR.M Insurance Straight Quote: 22.25 – 23.60
Spot Rate : 1.3500
Average : 0.7926

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-11-28
Maturity Price : 22.01
Evaluated at bid price : 22.25
Bid-YTW : 6.64 %

PWF.PR.S Perpetual-Discount Quote: 17.15 – 18.80
Spot Rate : 1.6500
Average : 1.1318

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-11-28
Maturity Price : 17.15
Evaluated at bid price : 17.15
Bid-YTW : 7.10 %

CCS.PR.C Insurance Straight Quote: 18.75 – 20.15
Spot Rate : 1.4000
Average : 0.8954

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-11-28
Maturity Price : 18.75
Evaluated at bid price : 18.75
Bid-YTW : 6.81 %

SLF.PR.J FloatingReset Quote: 15.30 – 16.10
Spot Rate : 0.8000
Average : 0.4947

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-11-28
Maturity Price : 15.30
Evaluated at bid price : 15.30
Bid-YTW : 9.07 %

SLF.PR.C Insurance Straight Quote: 18.04 – 18.82
Spot Rate : 0.7800
Average : 0.4970

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-11-28
Maturity Price : 18.04
Evaluated at bid price : 18.04
Bid-YTW : 6.17 %

NPI.PR.C To Be Redeemed

November 28th, 2022

Northland Power Inc. has announced:

that it intends to redeem all of its 4,800,000 issued and outstanding Cumulative Rate Reset Preferred Shares, Series 3 (the “Series 3 Preferred Shares”) on January 3, 2023 (the “Redemption Date”) at a price of $25.00 per Series 3 Preferred Share together with all accrued and unpaid dividends thereon up to, but excluding, December 31, 2022 (less any tax required to be deducted or withheld by the Company) (the “Redemption Price”) for an aggregate total of $121.5 million.

The final quarterly dividend of $0.3175 per Series 3 Preferred Share payable on December 30, 2022 will be the final quarterly dividend on the Series 3 Preferred Shares and shall be considered to be an accrued and unpaid dividend and included in the Redemption Price.

The Company has provided notice today of the Redemption Price and the Redemption Date to the sole registered holder of the Series 3 Preferred Shares in accordance with their terms. Non-registered holders of Series 3 Preferred Shares should contact their broker or other intermediary for information regarding the redemption process for the Series 3 Preferred Shares in which they hold a beneficial interest.

After the Series 3 Preferred Shares are redeemed, holders of Series 3 Preferred shares will cease to be entitled to distributions of dividends and will not be entitled to exercise any rights as holders other than to receive the Redemption Price.

NPI.PR.C was issued as a FixedReset, 5.00%+346, that commenced trading 2012-5-24 after being announced 2012-5-14. It reset to 5.08% effective 2018-1-1 and I recommended against conversion. It has been tracked by HIMIPref™ but relegated to the Scraps index on credit concerns.

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

November 25, 2022

November 25th, 2022

Tax-loss selling season is gearing up; there are some interesting changes occuring in relative valuation at the moment. Nothing huge, nothing widespread – but enough to be noticable and, I hope, profitable!

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 0.3313 % 2,328.6
FixedFloater 0.00 % 0.00 % 0 0.00 0 0.3313 % 4,466.2
Floater 8.59 % 8.80 % 55,643 10.48 2 0.3313 % 2,573.9
OpRet 0.00 % 0.00 % 0 0.00 0 0.2401 % 3,284.1
SplitShare 5.18 % 7.19 % 47,052 2.80 8 0.2401 % 3,921.9
Interest-Bearing 0.00 % 0.00 % 0 0.00 0 0.2401 % 3,060.1
Perpetual-Premium 0.00 % 0.00 % 0 0.00 0 0.7179 % 2,637.9
Perpetual-Discount 6.46 % 6.59 % 88,595 13.07 34 0.7179 % 2,876.5
FixedReset Disc 5.51 % 7.68 % 91,038 11.90 63 0.4115 % 2,186.2
Insurance Straight 6.37 % 6.55 % 95,093 13.06 18 0.6139 % 2,823.9
FloatingReset 9.22 % 9.78 % 43,527 9.62 2 -0.6675 % 2,536.4
FixedReset Prem 6.65 % 6.30 % 422,051 4.19 1 0.3937 % 2,373.3
FixedReset Bank Non 0.00 % 0.00 % 0 0.00 0 0.4115 % 2,234.8
FixedReset Ins Non 5.48 % 7.74 % 46,573 12.07 14 0.1862 % 2,292.4
Performance Highlights
Issue Index Change Notes
SLF.PR.J FloatingReset -1.59 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-11-25
Maturity Price : 15.45
Evaluated at bid price : 15.45
Bid-YTW : 8.92 %
BAM.PF.D Perpetual-Discount -1.32 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-11-25
Maturity Price : 18.68
Evaluated at bid price : 18.68
Bid-YTW : 6.69 %
PVS.PR.G SplitShare -1.12 % YTW SCENARIO
Maturity Type : Option Certainty
Maturity Date : 2026-02-28
Maturity Price : 25.00
Evaluated at bid price : 23.05
Bid-YTW : 7.64 %
PVS.PR.I SplitShare -1.03 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-10-31
Maturity Price : 25.00
Evaluated at bid price : 23.01
Bid-YTW : 7.83 %
MFC.PR.J FixedReset Ins Non -1.02 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-11-25
Maturity Price : 19.40
Evaluated at bid price : 19.40
Bid-YTW : 7.71 %
BAM.PR.T FixedReset Disc 1.02 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-11-25
Maturity Price : 14.85
Evaluated at bid price : 14.85
Bid-YTW : 8.69 %
PWF.PR.K Perpetual-Discount 1.07 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-11-25
Maturity Price : 18.95
Evaluated at bid price : 18.95
Bid-YTW : 6.62 %
GWO.PR.Y Insurance Straight 1.08 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-11-25
Maturity Price : 17.74
Evaluated at bid price : 17.74
Bid-YTW : 6.46 %
BMO.PR.S FixedReset Disc 1.12 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-11-25
Maturity Price : 18.05
Evaluated at bid price : 18.05
Bid-YTW : 7.68 %
PWF.PR.G Perpetual-Discount 1.12 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-11-25
Maturity Price : 22.28
Evaluated at bid price : 22.55
Bid-YTW : 6.61 %
SLF.PR.D Insurance Straight 1.17 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-11-25
Maturity Price : 18.09
Evaluated at bid price : 18.09
Bid-YTW : 6.15 %
PVS.PR.K SplitShare 1.18 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2029-05-31
Maturity Price : 25.00
Evaluated at bid price : 21.50
Bid-YTW : 7.19 %
SLF.PR.E Insurance Straight 1.21 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-11-25
Maturity Price : 18.44
Evaluated at bid price : 18.44
Bid-YTW : 6.10 %
CIU.PR.A Perpetual-Discount 1.26 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-11-25
Maturity Price : 17.69
Evaluated at bid price : 17.69
Bid-YTW : 6.55 %
PVS.PR.J SplitShare 1.38 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2028-02-29
Maturity Price : 25.00
Evaluated at bid price : 22.00
Bid-YTW : 7.19 %
CU.PR.F Perpetual-Discount 1.43 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-11-25
Maturity Price : 17.75
Evaluated at bid price : 17.75
Bid-YTW : 6.38 %
SLF.PR.H FixedReset Ins Non 1.63 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-11-25
Maturity Price : 15.60
Evaluated at bid price : 15.60
Bid-YTW : 7.78 %
MFC.PR.B Insurance Straight 1.68 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-11-25
Maturity Price : 18.75
Evaluated at bid price : 18.75
Bid-YTW : 6.22 %
ELF.PR.H Perpetual-Discount 1.68 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-11-25
Maturity Price : 21.15
Evaluated at bid price : 21.15
Bid-YTW : 6.61 %
POW.PR.D Perpetual-Discount 1.72 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-11-25
Maturity Price : 19.55
Evaluated at bid price : 19.55
Bid-YTW : 6.50 %
IFC.PR.E Insurance Straight 1.74 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-11-25
Maturity Price : 20.45
Evaluated at bid price : 20.45
Bid-YTW : 6.48 %
CU.PR.G Perpetual-Discount 1.85 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-11-25
Maturity Price : 17.65
Evaluated at bid price : 17.65
Bid-YTW : 6.42 %
PWF.PF.A Perpetual-Discount 1.85 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-11-25
Maturity Price : 17.58
Evaluated at bid price : 17.58
Bid-YTW : 6.48 %
RY.PR.N Perpetual-Discount 1.93 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-11-25
Maturity Price : 21.10
Evaluated at bid price : 21.10
Bid-YTW : 5.85 %
RY.PR.O Perpetual-Discount 2.18 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-11-25
Maturity Price : 21.10
Evaluated at bid price : 21.10
Bid-YTW : 5.85 %
PWF.PR.L Perpetual-Discount 2.28 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-11-25
Maturity Price : 19.75
Evaluated at bid price : 19.75
Bid-YTW : 6.54 %
RY.PR.M FixedReset Disc 6.08 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-11-25
Maturity Price : 18.14
Evaluated at bid price : 18.14
Bid-YTW : 7.46 %
TRP.PR.G FixedReset Disc 16.49 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-11-25
Maturity Price : 16.25
Evaluated at bid price : 16.25
Bid-YTW : 8.67 %
Volume Highlights
Issue Index Shares
Traded
Notes
GWO.PR.M Insurance Straight 77,918 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-11-25
Maturity Price : 21.94
Evaluated at bid price : 22.17
Bid-YTW : 6.66 %
TRP.PR.D FixedReset Disc 45,051 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-11-25
Maturity Price : 15.70
Evaluated at bid price : 15.70
Bid-YTW : 8.95 %
NA.PR.C FixedReset Prem 36,300 YTW SCENARIO
Maturity Type : Call
Maturity Date : 2027-11-15
Maturity Price : 25.00
Evaluated at bid price : 25.50
Bid-YTW : 6.30 %
NA.PR.S FixedReset Disc 33,900 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-11-25
Maturity Price : 17.07
Evaluated at bid price : 17.07
Bid-YTW : 8.26 %
CU.PR.I FixedReset Disc 32,900 YTW SCENARIO
Maturity Type : Call
Maturity Date : 2025-12-01
Maturity Price : 25.00
Evaluated at bid price : 23.61
Bid-YTW : 6.57 %
CU.PR.G Perpetual-Discount 27,284 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-11-25
Maturity Price : 17.65
Evaluated at bid price : 17.65
Bid-YTW : 6.42 %
There were 21 other index-included issues trading in excess of 10,000 shares.
Wide Spread Highlights
Issue Index Quote Data and Yield Notes
PVS.PR.I SplitShare Quote: 23.01 – 24.25
Spot Rate : 1.2400
Average : 0.7264

YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-10-31
Maturity Price : 25.00
Evaluated at bid price : 23.01
Bid-YTW : 7.83 %

GWO.PR.Y Insurance Straight Quote: 17.74 – 19.05
Spot Rate : 1.3100
Average : 0.8249

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-11-25
Maturity Price : 17.74
Evaluated at bid price : 17.74
Bid-YTW : 6.46 %

BAM.PR.N Perpetual-Discount Quote: 18.65 – 19.65
Spot Rate : 1.0000
Average : 0.5990

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-11-25
Maturity Price : 18.65
Evaluated at bid price : 18.65
Bid-YTW : 6.49 %

PVS.PR.G SplitShare Quote: 23.05 – 23.84
Spot Rate : 0.7900
Average : 0.5135

YTW SCENARIO
Maturity Type : Option Certainty
Maturity Date : 2026-02-28
Maturity Price : 25.00
Evaluated at bid price : 23.05
Bid-YTW : 7.64 %

BAM.PF.F FixedReset Disc Quote: 17.09 – 18.26
Spot Rate : 1.1700
Average : 0.9391

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-11-25
Maturity Price : 17.09
Evaluated at bid price : 17.09
Bid-YTW : 8.82 %

MFC.PR.L FixedReset Ins Non Quote: 16.71 – 17.27
Spot Rate : 0.5600
Average : 0.3641

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-11-25
Maturity Price : 16.71
Evaluated at bid price : 16.71
Bid-YTW : 8.01 %

November 24, 2022

November 24th, 2022

There’s trouble with variable rate mortgages:

The most common variable-rate product has fixed monthly payments. With every interest rate hike, more of the borrower’s monthly payment goes toward interest. However, when the monthly payment no longer covers any principal, the borrower hits what is known as a trigger rate, and their monthly payment rises. In some cases, the lender allows the borrower to shift the interest onto the principal, which increases the size of the mortgage.

Fifty per cent of these variable-rate mortgage holders have already reached their trigger rate, according to estimates from a new Bank of Canada research paper published Tuesday. That share will rise to 65 per cent by the middle of next year as the central bank continues to hike interest rates to rein in inflation.

“The bottom line is that mortgage costs for some Canadians have already increased, and they will likely increase for others in time, making home ownership more expensive.” [Bank of Canada senior deputy governor] Ms. [Carolyn] Rogers said.

About 670,000 variable-rate mortgages have been issued since the start of the pandemic, according to the Bank of Canada. Variable-rate mortgages accounted for around 50 per cent of all mortgages issued since mid-2021, compared to an average of 20 per cent in the years before the pandemic.

“This is not a large share of households, but it is larger than it would have been based on historical trends,” Ms. Rogers said.

Borrowers have sought the variable-rate products because borrowing costs have typically been cheaper than fixed-rate mortgages. Part of the motivation was that federal banking rules require borrowers to prove they can make their monthly mortgage payments at an interest rate at least two percentage points higher than their actual mortgage contract

Less formally, my brother tells me that the forums on Reddit are filled with plaintive wails that the poster has a variable rate mortgage and doesn’t know what to do. The thing about our collective huge debt to income ratio is that it won’t take a lot of pressure to cause a lot of pain.

However, the Junior Republicans are eagerly seeking to cement themselves in as the Party of Stupid:

The Conservatives, led by Mr. Scheer, dialled in on the Bank of Canada losing money for the first time in its 87-year history. The central bank’s balance sheet expanded massively during the pandemic, as a result of its government bond-buying program, also known as quantitative easing, or QE. Now the rapid rise in interest rates has created a mismatch on its balance sheet.

The bank is paying a higher rate of interest on some $200-billion worth of commercial bank deposits held at the central bank than it is earning on the government bonds it bought during the pandemic, resulting in net interest losses. It estimates it will lose between $5-billion and $6-billion in the next year or two, before returning to profitability in 2024 or 2025.

Because the bank is not allowed to retain its earnings and it does not have a reserve fund, the Department of Finance needs to decide whether to cover the bank’s losses directly or come up with some other method that would allow it to make up for the losses once it returns to profitability.

The Conservatives have long criticized the bank’s QE program, and Mr. Scheer said the central bank appears to need a “bailout.” Mr. Macklem said that it was largely an “accounting issue,” and pointed to several solutions that are being developed by other central banks.

“Whatever solution is chosen, it’s not going to affect how we run monetary policy,” he said.

So … um … why don’t we run monetary policy by determining what policy will cause the BoC to make massive profits and then following that? Then we’ll all be rich! This would, quite possibly, be a good way to opt out of inflation. For real, this time.

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 0.4158 % 2,320.9
FixedFloater 0.00 % 0.00 % 0 0.00 0 0.4158 % 4,451.5
Floater 8.62 % 8.81 % 44,336 10.47 2 0.4158 % 2,565.4
OpRet 0.00 % 0.00 % 0 0.00 0 1.3941 % 3,276.3
SplitShare 5.19 % 7.41 % 46,299 2.80 8 1.3941 % 3,912.6
Interest-Bearing 0.00 % 0.00 % 0 0.00 0 1.3941 % 3,052.7
Perpetual-Premium 0.00 % 0.00 % 0 0.00 0 0.9522 % 2,619.1
Perpetual-Discount 6.50 % 6.63 % 88,047 13.00 34 0.9522 % 2,856.0
FixedReset Disc 5.54 % 7.74 % 91,389 11.91 63 0.0939 % 2,177.3
Insurance Straight 6.41 % 6.60 % 92,331 13.00 18 1.1428 % 2,806.6
FloatingReset 9.16 % 9.80 % 43,097 9.60 2 -0.4430 % 2,553.5
FixedReset Prem 6.67 % 6.39 % 411,919 4.20 1 -0.3922 % 2,364.0
FixedReset Bank Non 0.00 % 0.00 % 0 0.00 0 0.0939 % 2,225.6
FixedReset Ins Non 5.49 % 7.76 % 46,946 12.02 14 0.0207 % 2,288.1
Performance Highlights
Issue Index Change Notes
TRP.PR.G FixedReset Disc -12.81 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-11-24
Maturity Price : 13.95
Evaluated at bid price : 13.95
Bid-YTW : 9.99 %
RY.PR.M FixedReset Disc -4.84 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-11-24
Maturity Price : 17.10
Evaluated at bid price : 17.10
Bid-YTW : 7.87 %
RY.PR.O Perpetual-Discount -1.90 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-11-24
Maturity Price : 20.65
Evaluated at bid price : 20.65
Bid-YTW : 5.98 %
MFC.PR.J FixedReset Ins Non -1.80 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-11-24
Maturity Price : 19.60
Evaluated at bid price : 19.60
Bid-YTW : 7.63 %
SLF.PR.H FixedReset Ins Non -1.73 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-11-24
Maturity Price : 15.35
Evaluated at bid price : 15.35
Bid-YTW : 7.90 %
TRP.PR.A FixedReset Disc -1.25 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-11-24
Maturity Price : 14.18
Evaluated at bid price : 14.18
Bid-YTW : 8.96 %
CCS.PR.C Insurance Straight -1.21 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-11-24
Maturity Price : 19.62
Evaluated at bid price : 19.62
Bid-YTW : 6.50 %
FTS.PR.K FixedReset Disc -1.19 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-11-24
Maturity Price : 15.82
Evaluated at bid price : 15.82
Bid-YTW : 8.40 %
PWF.PR.F Perpetual-Discount 1.01 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-11-24
Maturity Price : 19.95
Evaluated at bid price : 19.95
Bid-YTW : 6.67 %
PWF.PR.O Perpetual-Discount 1.01 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-11-24
Maturity Price : 21.69
Evaluated at bid price : 21.94
Bid-YTW : 6.68 %
CM.PR.Q FixedReset Disc 1.02 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-11-24
Maturity Price : 18.74
Evaluated at bid price : 18.74
Bid-YTW : 7.48 %
CM.PR.P FixedReset Disc 1.05 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-11-24
Maturity Price : 17.28
Evaluated at bid price : 17.28
Bid-YTW : 7.78 %
PWF.PR.L Perpetual-Discount 1.10 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-11-24
Maturity Price : 19.31
Evaluated at bid price : 19.31
Bid-YTW : 6.69 %
GWO.PR.M Insurance Straight 1.14 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-11-24
Maturity Price : 21.97
Evaluated at bid price : 22.20
Bid-YTW : 6.65 %
MFC.PR.N FixedReset Ins Non 1.19 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-11-24
Maturity Price : 16.95
Evaluated at bid price : 16.95
Bid-YTW : 7.90 %
GWO.PR.S Insurance Straight 1.21 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-11-24
Maturity Price : 20.05
Evaluated at bid price : 20.05
Bid-YTW : 6.68 %
GWO.PR.I Insurance Straight 1.25 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-11-24
Maturity Price : 17.77
Evaluated at bid price : 17.77
Bid-YTW : 6.45 %
POW.PR.D Perpetual-Discount 1.26 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-11-24
Maturity Price : 19.22
Evaluated at bid price : 19.22
Bid-YTW : 6.61 %
BMO.PR.F FixedReset Disc 1.27 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-11-24
Maturity Price : 23.59
Evaluated at bid price : 24.00
Bid-YTW : 7.01 %
GWO.PR.G Insurance Straight 1.27 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-11-24
Maturity Price : 20.00
Evaluated at bid price : 20.00
Bid-YTW : 6.63 %
POW.PR.A Perpetual-Discount 1.28 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-11-24
Maturity Price : 21.30
Evaluated at bid price : 21.30
Bid-YTW : 6.68 %
FTS.PR.F Perpetual-Discount 1.29 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-11-24
Maturity Price : 19.60
Evaluated at bid price : 19.60
Bid-YTW : 6.29 %
BAM.PR.M Perpetual-Discount 1.32 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-11-24
Maturity Price : 18.49
Evaluated at bid price : 18.49
Bid-YTW : 6.55 %
PVS.PR.G SplitShare 1.35 % YTW SCENARIO
Maturity Type : Option Certainty
Maturity Date : 2026-02-28
Maturity Price : 25.00
Evaluated at bid price : 23.31
Bid-YTW : 7.25 %
MIC.PR.A Perpetual-Discount 1.37 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-11-24
Maturity Price : 18.55
Evaluated at bid price : 18.55
Bid-YTW : 7.44 %
CU.PR.F Perpetual-Discount 1.39 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-11-24
Maturity Price : 17.50
Evaluated at bid price : 17.50
Bid-YTW : 6.47 %
PWF.PR.Z Perpetual-Discount 1.40 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-11-24
Maturity Price : 19.61
Evaluated at bid price : 19.61
Bid-YTW : 6.65 %
POW.PR.G Perpetual-Discount 1.43 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-11-24
Maturity Price : 21.30
Evaluated at bid price : 21.30
Bid-YTW : 6.68 %
BIP.PR.F FixedReset Disc 1.44 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-11-24
Maturity Price : 19.71
Evaluated at bid price : 19.71
Bid-YTW : 8.01 %
GWO.PR.P Insurance Straight 1.47 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-11-24
Maturity Price : 20.75
Evaluated at bid price : 20.75
Bid-YTW : 6.64 %
BAM.PF.E FixedReset Disc 1.50 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-11-24
Maturity Price : 15.60
Evaluated at bid price : 15.60
Bid-YTW : 8.88 %
BAM.PR.N Perpetual-Discount 1.53 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-11-24
Maturity Price : 18.55
Evaluated at bid price : 18.55
Bid-YTW : 6.53 %
PVS.PR.F SplitShare 1.56 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2024-09-30
Maturity Price : 25.00
Evaluated at bid price : 24.02
Bid-YTW : 7.04 %
GWO.PR.H Insurance Straight 1.57 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-11-24
Maturity Price : 18.80
Evaluated at bid price : 18.80
Bid-YTW : 6.58 %
MFC.PR.B Insurance Straight 1.60 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-11-24
Maturity Price : 18.44
Evaluated at bid price : 18.44
Bid-YTW : 6.32 %
GWO.PR.Q Insurance Straight 1.65 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-11-24
Maturity Price : 19.75
Evaluated at bid price : 19.75
Bid-YTW : 6.65 %
SLF.PR.D Insurance Straight 1.65 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-11-24
Maturity Price : 17.88
Evaluated at bid price : 17.88
Bid-YTW : 6.23 %
IAF.PR.I FixedReset Ins Non 1.66 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-11-24
Maturity Price : 21.15
Evaluated at bid price : 21.15
Bid-YTW : 7.22 %
CM.PR.Y FixedReset Disc 1.67 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-11-24
Maturity Price : 24.01
Evaluated at bid price : 24.35
Bid-YTW : 7.00 %
PVS.PR.K SplitShare 1.67 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2029-05-31
Maturity Price : 25.00
Evaluated at bid price : 21.25
Bid-YTW : 7.41 %
GWO.PR.Y Insurance Straight 1.74 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-11-24
Maturity Price : 17.55
Evaluated at bid price : 17.55
Bid-YTW : 6.54 %
POW.PR.B Perpetual-Discount 1.79 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-11-24
Maturity Price : 20.50
Evaluated at bid price : 20.50
Bid-YTW : 6.63 %
BAM.PF.C Perpetual-Discount 1.92 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-11-24
Maturity Price : 18.58
Evaluated at bid price : 18.58
Bid-YTW : 6.66 %
GWO.PR.R Insurance Straight 1.92 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-11-24
Maturity Price : 18.55
Evaluated at bid price : 18.55
Bid-YTW : 6.60 %
GWO.PR.T Insurance Straight 2.00 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-11-24
Maturity Price : 19.85
Evaluated at bid price : 19.85
Bid-YTW : 6.61 %
CU.PR.H Perpetual-Discount 2.01 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-11-24
Maturity Price : 20.35
Evaluated at bid price : 20.35
Bid-YTW : 6.49 %
CU.PR.J Perpetual-Discount 2.01 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-11-24
Maturity Price : 18.30
Evaluated at bid price : 18.30
Bid-YTW : 6.53 %
SLF.PR.E Insurance Straight 2.07 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-11-24
Maturity Price : 18.22
Evaluated at bid price : 18.22
Bid-YTW : 6.18 %
BAM.PF.D Perpetual-Discount 2.77 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-11-24
Maturity Price : 18.93
Evaluated at bid price : 18.93
Bid-YTW : 6.60 %
CU.PR.E Perpetual-Discount 4.96 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-11-24
Maturity Price : 18.82
Evaluated at bid price : 18.82
Bid-YTW : 6.55 %
PVS.PR.J SplitShare 7.16 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2028-02-29
Maturity Price : 25.00
Evaluated at bid price : 21.70
Bid-YTW : 7.49 %
TD.PF.D FixedReset Disc 7.20 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-11-24
Maturity Price : 18.76
Evaluated at bid price : 18.76
Bid-YTW : 7.55 %
Volume Highlights
Issue Index Shares
Traded
Notes
GWO.PR.L Insurance Straight 84,214 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-11-24
Maturity Price : 21.28
Evaluated at bid price : 21.55
Bid-YTW : 6.67 %
TD.PF.I FixedReset Disc 67,000 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-11-24
Maturity Price : 22.98
Evaluated at bid price : 24.48
Bid-YTW : 6.49 %
MIC.PR.A Perpetual-Discount 41,000 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-11-24
Maturity Price : 18.55
Evaluated at bid price : 18.55
Bid-YTW : 7.44 %
NA.PR.C FixedReset Prem 38,965 YTW SCENARIO
Maturity Type : Call
Maturity Date : 2027-11-15
Maturity Price : 25.00
Evaluated at bid price : 25.40
Bid-YTW : 6.39 %
PWF.PR.L Perpetual-Discount 38,528 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-11-24
Maturity Price : 19.31
Evaluated at bid price : 19.31
Bid-YTW : 6.69 %
BAM.PR.N Perpetual-Discount 37,016 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-11-24
Maturity Price : 18.55
Evaluated at bid price : 18.55
Bid-YTW : 6.53 %
There were 35 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: 13.95 – 16.40
Spot Rate : 2.4500
Average : 1.4059

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-11-24
Maturity Price : 13.95
Evaluated at bid price : 13.95
Bid-YTW : 9.99 %

BAM.PF.F FixedReset Disc Quote: 17.01 – 18.20
Spot Rate : 1.1900
Average : 0.6860

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-11-24
Maturity Price : 17.01
Evaluated at bid price : 17.01
Bid-YTW : 8.86 %

CU.PR.E Perpetual-Discount Quote: 18.82 – 22.00
Spot Rate : 3.1800
Average : 2.7542

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-11-24
Maturity Price : 18.82
Evaluated at bid price : 18.82
Bid-YTW : 6.55 %

GWO.PR.P Insurance Straight Quote: 20.75 – 21.50
Spot Rate : 0.7500
Average : 0.4632

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-11-24
Maturity Price : 20.75
Evaluated at bid price : 20.75
Bid-YTW : 6.64 %

RY.PR.M FixedReset Disc Quote: 17.10 – 18.15
Spot Rate : 1.0500
Average : 0.7847

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-11-24
Maturity Price : 17.10
Evaluated at bid price : 17.10
Bid-YTW : 7.87 %

PWF.PR.S Perpetual-Discount Quote: 18.06 – 18.74
Spot Rate : 0.6800
Average : 0.4689

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-11-24
Maturity Price : 18.06
Evaluated at bid price : 18.06
Bid-YTW : 6.73 %

November 23, 2022

November 24th, 2022

PerpetualDiscounts now yield 6.70%, equivalent to 8.71% interest at the standard equivalency factor of 1.3x. Long corporates now yield 5.32%, so the pre-tax interest-equivalent spread (in this context, the “Seniority Spread”) has widened to 340bp from the 310bp reported November 16. However, I suspect that the “Weighted Average Yield to Maturity” reported by BMO on their ZLC page is not kept current; anything to withhold information from the masses is good business for the banks! I’ve sent an inquiry; we’ll just see what kind of answer I get! So far, I’ve simply gotten the run-around, since BMO is of course a bank, which means their staff is not only completely untrained, but is left hanging out to dry when they yell for help. My guy’s trying hard, but I may have to write a letter for them to file after sending me a soothing response.

Assiduous Reader KC has, however eMailed me to suggest an alternative: the ICE BofA 10+ Year Canada Corporate Index (F9C0). This is under serious consideration.

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 -0.0831 % 2,311.3
FixedFloater 0.00 % 0.00 % 0 0.00 0 -0.0831 % 4,433.1
Floater 8.66 % 8.85 % 53,202 10.44 2 -0.0831 % 2,554.8
OpRet 0.00 % 0.00 % 0 0.00 0 -0.9127 % 3,231.2
SplitShare 5.26 % 7.71 % 44,621 2.80 8 -0.9127 % 3,858.8
Interest-Bearing 0.00 % 0.00 % 0 0.00 0 -0.9127 % 3,010.8
Perpetual-Premium 0.00 % 0.00 % 0 0.00 0 0.4252 % 2,594.4
Perpetual-Discount 6.57 % 6.70 % 83,930 12.90 34 0.4252 % 2,829.0
FixedReset Disc 5.54 % 7.75 % 92,281 11.89 63 0.2064 % 2,175.2
Insurance Straight 6.49 % 6.68 % 92,533 12.89 18 0.5629 % 2,774.9
FloatingReset 9.12 % 9.71 % 41,624 9.68 2 0.7974 % 2,564.8
FixedReset Prem 6.65 % 6.29 % 400,267 4.20 1 -0.7782 % 2,373.3
FixedReset Bank Non 0.00 % 0.00 % 0 0.00 0 0.2064 % 2,223.5
FixedReset Ins Non 5.49 % 7.75 % 47,170 12.05 14 -0.4123 % 2,287.7
Performance Highlights
Issue Index Change Notes
PVS.PR.J SplitShare -5.81 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2028-02-29
Maturity Price : 25.00
Evaluated at bid price : 20.25
Bid-YTW : 9.02 %
CU.PR.E Perpetual-Discount -2.34 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-11-23
Maturity Price : 17.93
Evaluated at bid price : 17.93
Bid-YTW : 6.88 %
TRP.PR.G FixedReset Disc -1.96 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-11-23
Maturity Price : 16.00
Evaluated at bid price : 16.00
Bid-YTW : 8.80 %
BAM.PF.E FixedReset Disc -1.79 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-11-23
Maturity Price : 15.37
Evaluated at bid price : 15.37
Bid-YTW : 9.01 %
PVS.PR.K SplitShare -1.69 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2029-05-31
Maturity Price : 25.00
Evaluated at bid price : 20.90
Bid-YTW : 7.71 %
IAF.PR.I FixedReset Ins Non -1.63 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-11-23
Maturity Price : 21.10
Evaluated at bid price : 21.10
Bid-YTW : 7.35 %
TD.PF.L FixedReset Disc -1.55 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-11-23
Maturity Price : 22.48
Evaluated at bid price : 22.89
Bid-YTW : 7.16 %
MFC.PR.Q FixedReset Ins Non -1.29 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-11-23
Maturity Price : 18.43
Evaluated at bid price : 18.43
Bid-YTW : 8.00 %
NA.PR.W FixedReset Disc -1.13 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-11-23
Maturity Price : 16.56
Evaluated at bid price : 16.56
Bid-YTW : 8.12 %
PVS.PR.F SplitShare -1.05 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2024-09-30
Maturity Price : 25.00
Evaluated at bid price : 23.65
Bid-YTW : 7.93 %
PWF.PR.S Perpetual-Discount 1.11 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-11-23
Maturity Price : 18.24
Evaluated at bid price : 18.24
Bid-YTW : 6.66 %
MFC.PR.C Insurance Straight 1.14 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-11-23
Maturity Price : 17.80
Evaluated at bid price : 17.80
Bid-YTW : 6.34 %
POW.PR.D Perpetual-Discount 1.17 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-11-23
Maturity Price : 18.98
Evaluated at bid price : 18.98
Bid-YTW : 6.69 %
NA.PR.G FixedReset Disc 1.19 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-11-23
Maturity Price : 20.35
Evaluated at bid price : 20.35
Bid-YTW : 7.51 %
PWF.PR.P FixedReset Disc 1.22 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-11-23
Maturity Price : 12.40
Evaluated at bid price : 12.40
Bid-YTW : 8.67 %
GWO.PR.P Insurance Straight 1.24 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-11-23
Maturity Price : 20.45
Evaluated at bid price : 20.45
Bid-YTW : 6.73 %
BAM.PR.X FixedReset Disc 1.27 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-11-23
Maturity Price : 16.00
Evaluated at bid price : 16.00
Bid-YTW : 7.95 %
GWO.PR.G Insurance Straight 1.28 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-11-23
Maturity Price : 19.75
Evaluated at bid price : 19.75
Bid-YTW : 6.71 %
SLF.PR.J FloatingReset 1.29 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-11-23
Maturity Price : 15.70
Evaluated at bid price : 15.70
Bid-YTW : 8.78 %
BAM.PF.C Perpetual-Discount 1.33 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-11-23
Maturity Price : 18.23
Evaluated at bid price : 18.23
Bid-YTW : 6.78 %
TRP.PR.B FixedReset Disc 1.37 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-11-23
Maturity Price : 11.11
Evaluated at bid price : 11.11
Bid-YTW : 9.22 %
BAM.PR.T FixedReset Disc 1.38 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-11-23
Maturity Price : 14.71
Evaluated at bid price : 14.71
Bid-YTW : 8.76 %
CU.PR.G Perpetual-Discount 1.53 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-11-23
Maturity Price : 17.30
Evaluated at bid price : 17.30
Bid-YTW : 6.55 %
PWF.PF.A Perpetual-Discount 1.54 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-11-23
Maturity Price : 17.12
Evaluated at bid price : 17.12
Bid-YTW : 6.66 %
TRP.PR.C FixedReset Disc 1.63 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-11-23
Maturity Price : 11.85
Evaluated at bid price : 11.85
Bid-YTW : 8.92 %
RY.PR.N Perpetual-Discount 1.71 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-11-23
Maturity Price : 20.76
Evaluated at bid price : 20.76
Bid-YTW : 5.94 %
BAM.PF.I FixedReset Disc 1.77 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-11-23
Maturity Price : 21.51
Evaluated at bid price : 21.79
Bid-YTW : 7.75 %
CM.PR.T FixedReset Disc 1.94 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-11-23
Maturity Price : 22.67
Evaluated at bid price : 23.10
Bid-YTW : 7.11 %
TRP.PR.A FixedReset Disc 2.06 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-11-23
Maturity Price : 14.36
Evaluated at bid price : 14.36
Bid-YTW : 8.85 %
CCS.PR.C Insurance Straight 2.11 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-11-23
Maturity Price : 19.86
Evaluated at bid price : 19.86
Bid-YTW : 6.41 %
BAM.PR.N Perpetual-Discount 2.76 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-11-23
Maturity Price : 18.27
Evaluated at bid price : 18.27
Bid-YTW : 6.63 %
RY.PR.O Perpetual-Discount 2.93 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-11-23
Maturity Price : 21.05
Evaluated at bid price : 21.05
Bid-YTW : 5.86 %
BAM.PF.G FixedReset Disc 3.97 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-11-23
Maturity Price : 15.70
Evaluated at bid price : 15.70
Bid-YTW : 9.08 %
RY.PR.M FixedReset Disc 5.09 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-11-23
Maturity Price : 17.97
Evaluated at bid price : 17.97
Bid-YTW : 7.51 %
Volume Highlights
Issue Index Shares
Traded
Notes
IFC.PR.K Perpetual-Discount 94,498 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-11-23
Maturity Price : 20.30
Evaluated at bid price : 20.30
Bid-YTW : 6.59 %
MFC.PR.C Insurance Straight 85,477 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-11-23
Maturity Price : 17.80
Evaluated at bid price : 17.80
Bid-YTW : 6.34 %
GWO.PR.T Insurance Straight 57,220 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-11-23
Maturity Price : 19.46
Evaluated at bid price : 19.46
Bid-YTW : 6.75 %
BAM.PF.J FixedReset Disc 53,700 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-11-23
Maturity Price : 22.54
Evaluated at bid price : 23.50
Bid-YTW : 6.92 %
GWO.PR.L Insurance Straight 43,400 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-11-23
Maturity Price : 21.46
Evaluated at bid price : 21.46
Bid-YTW : 6.71 %
CU.PR.F Perpetual-Discount 41,275 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-11-23
Maturity Price : 17.26
Evaluated at bid price : 17.26
Bid-YTW : 6.56 %
There were 35 other index-included issues trading in excess of 10,000 shares.
Wide Spread Highlights
Issue Index Quote Data and Yield Notes
CU.PR.E Perpetual-Discount Quote: 17.93 – 22.00
Spot Rate : 4.0700
Average : 2.2873

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-11-23
Maturity Price : 17.93
Evaluated at bid price : 17.93
Bid-YTW : 6.88 %

PVS.PR.J SplitShare Quote: 20.25 – 22.25
Spot Rate : 2.0000
Average : 1.1875

YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2028-02-29
Maturity Price : 25.00
Evaluated at bid price : 20.25
Bid-YTW : 9.02 %

PVS.PR.H SplitShare Quote: 22.15 – 23.65
Spot Rate : 1.5000
Average : 1.0953

YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2027-02-28
Maturity Price : 25.00
Evaluated at bid price : 22.15
Bid-YTW : 7.90 %

CU.PR.G Perpetual-Discount Quote: 17.30 – 18.35
Spot Rate : 1.0500
Average : 0.6574

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-11-23
Maturity Price : 17.30
Evaluated at bid price : 17.30
Bid-YTW : 6.55 %

RY.PR.O Perpetual-Discount Quote: 21.05 – 23.50
Spot Rate : 2.4500
Average : 2.1754

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-11-23
Maturity Price : 21.05
Evaluated at bid price : 21.05
Bid-YTW : 5.86 %

BMO.PR.F FixedReset Disc Quote: 23.70 – 24.60
Spot Rate : 0.9000
Average : 0.6363

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-11-23
Maturity Price : 23.27
Evaluated at bid price : 23.70
Bid-YTW : 7.10 %

November 22, 2022

November 22nd, 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 0.5010 % 2,313.2
FixedFloater 0.00 % 0.00 % 0 0.00 0 0.5010 % 4,436.8
Floater 8.65 % 8.85 % 53,565 10.44 2 0.5010 % 2,556.9
OpRet 0.00 % 0.00 % 0 0.00 0 0.3880 % 3,261.0
SplitShare 5.21 % 7.51 % 43,812 2.81 8 0.3880 % 3,894.3
Interest-Bearing 0.00 % 0.00 % 0 0.00 0 0.3880 % 3,038.5
Perpetual-Premium 0.00 % 0.00 % 0 0.00 0 0.4239 % 2,583.4
Perpetual-Discount 6.59 % 6.74 % 81,992 12.87 34 0.4239 % 2,817.0
FixedReset Disc 5.55 % 7.81 % 92,711 11.90 63 0.1202 % 2,170.7
Insurance Straight 6.52 % 6.72 % 85,984 12.84 18 0.0910 % 2,759.4
FloatingReset 9.19 % 9.74 % 41,295 9.65 2 -0.1274 % 2,544.5
FixedReset Prem 6.60 % 6.10 % 402,116 4.21 1 1.5008 % 2,391.9
FixedReset Bank Non 0.00 % 0.00 % 0 0.00 0 0.1202 % 2,218.9
FixedReset Ins Non 5.47 % 7.79 % 45,847 12.07 14 0.4306 % 2,297.1
Performance Highlights
Issue Index Change Notes
TD.PF.D FixedReset Disc -6.72 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-11-22
Maturity Price : 17.50
Evaluated at bid price : 17.50
Bid-YTW : 8.06 %
BAM.PF.G FixedReset Disc -3.94 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-11-22
Maturity Price : 15.10
Evaluated at bid price : 15.10
Bid-YTW : 9.42 %
BAM.PF.I FixedReset Disc -1.79 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-11-22
Maturity Price : 21.41
Evaluated at bid price : 21.41
Bid-YTW : 7.89 %
TRP.PR.B FixedReset Disc -1.53 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-11-22
Maturity Price : 10.96
Evaluated at bid price : 10.96
Bid-YTW : 9.33 %
MFC.PR.Q FixedReset Ins Non -1.37 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-11-22
Maturity Price : 18.67
Evaluated at bid price : 18.67
Bid-YTW : 7.89 %
BNS.PR.I FixedReset Disc -1.32 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-11-22
Maturity Price : 20.22
Evaluated at bid price : 20.22
Bid-YTW : 7.16 %
PVS.PR.I SplitShare -1.02 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-10-31
Maturity Price : 25.00
Evaluated at bid price : 23.27
Bid-YTW : 7.38 %
TD.PF.E FixedReset Disc 1.00 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-11-22
Maturity Price : 19.15
Evaluated at bid price : 19.15
Bid-YTW : 7.43 %
PVS.PR.G SplitShare 1.14 % YTW SCENARIO
Maturity Type : Option Certainty
Maturity Date : 2026-02-28
Maturity Price : 25.00
Evaluated at bid price : 23.01
Bid-YTW : 7.68 %
MFC.PR.F FixedReset Ins Non 1.17 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-11-22
Maturity Price : 12.95
Evaluated at bid price : 12.95
Bid-YTW : 8.05 %
MFC.PR.K FixedReset Ins Non 1.28 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-11-22
Maturity Price : 18.13
Evaluated at bid price : 18.13
Bid-YTW : 7.64 %
TRP.PR.F FloatingReset 1.34 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-11-22
Maturity Price : 15.85
Evaluated at bid price : 15.85
Bid-YTW : 9.74 %
POW.PR.B Perpetual-Discount 1.41 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-11-22
Maturity Price : 20.14
Evaluated at bid price : 20.14
Bid-YTW : 6.75 %
CU.PR.F Perpetual-Discount 1.47 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-11-22
Maturity Price : 17.25
Evaluated at bid price : 17.25
Bid-YTW : 6.56 %
SLF.PR.G FixedReset Ins Non 1.49 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-11-22
Maturity Price : 13.08
Evaluated at bid price : 13.08
Bid-YTW : 8.09 %
NA.PR.C FixedReset Prem 1.50 % YTW SCENARIO
Maturity Type : Call
Maturity Date : 2027-11-15
Maturity Price : 25.00
Evaluated at bid price : 25.70
Bid-YTW : 6.10 %
TD.PF.L FixedReset Disc 1.53 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-11-22
Maturity Price : 22.81
Evaluated at bid price : 23.25
Bid-YTW : 7.05 %
CM.PR.Y FixedReset Disc 1.55 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-11-22
Maturity Price : 23.81
Evaluated at bid price : 24.17
Bid-YTW : 7.05 %
SLF.PR.H FixedReset Ins Non 1.72 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-11-22
Maturity Price : 15.53
Evaluated at bid price : 15.53
Bid-YTW : 7.81 %
BAM.PR.M Perpetual-Discount 1.79 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-11-22
Maturity Price : 18.20
Evaluated at bid price : 18.20
Bid-YTW : 6.65 %
TD.PF.M FixedReset Disc 2.08 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-11-22
Maturity Price : 23.63
Evaluated at bid price : 24.00
Bid-YTW : 7.06 %
BAM.PR.R FixedReset Disc 2.26 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-11-22
Maturity Price : 14.01
Evaluated at bid price : 14.01
Bid-YTW : 9.07 %
BIP.PR.E FixedReset Disc 2.42 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-11-22
Maturity Price : 21.20
Evaluated at bid price : 21.20
Bid-YTW : 7.58 %
MFC.PR.L FixedReset Ins Non 2.70 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-11-22
Maturity Price : 16.74
Evaluated at bid price : 16.74
Bid-YTW : 7.99 %
PVS.PR.H SplitShare 3.53 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2027-02-28
Maturity Price : 25.00
Evaluated at bid price : 22.00
Bid-YTW : 8.07 %
BMO.PR.Y FixedReset Disc 6.93 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-11-22
Maturity Price : 18.05
Evaluated at bid price : 18.05
Bid-YTW : 7.65 %
Volume Highlights
Issue Index Shares
Traded
Notes
TRP.PR.B FixedReset Disc 329,500 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-11-22
Maturity Price : 10.96
Evaluated at bid price : 10.96
Bid-YTW : 9.33 %
TRP.PR.A FixedReset Disc 251,380 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-11-22
Maturity Price : 14.07
Evaluated at bid price : 14.07
Bid-YTW : 8.97 %
MFC.PR.I FixedReset Ins Non 76,700 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-11-22
Maturity Price : 21.75
Evaluated at bid price : 22.15
Bid-YTW : 6.93 %
TD.PF.C FixedReset Disc 58,200 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-11-22
Maturity Price : 17.05
Evaluated at bid price : 17.05
Bid-YTW : 7.92 %
TRP.PR.D FixedReset Disc 39,075 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-11-22
Maturity Price : 15.54
Evaluated at bid price : 15.54
Bid-YTW : 9.04 %
FTS.PR.G FixedReset Disc 35,400 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-11-22
Maturity Price : 17.07
Evaluated at bid price : 17.07
Bid-YTW : 8.02 %
There were 20 other index-included issues trading in excess of 10,000 shares.
Wide Spread Highlights
Issue Index Quote Data and Yield Notes
CM.PR.Q FixedReset Disc Quote: 18.45 – 22.15
Spot Rate : 3.7000
Average : 2.1426

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-11-22
Maturity Price : 18.45
Evaluated at bid price : 18.45
Bid-YTW : 7.59 %

RY.PR.O Perpetual-Discount Quote: 20.45 – 23.50
Spot Rate : 3.0500
Average : 1.8744

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-11-22
Maturity Price : 20.45
Evaluated at bid price : 20.45
Bid-YTW : 6.03 %

TD.PF.B FixedReset Disc Quote: 17.24 – 18.50
Spot Rate : 1.2600
Average : 0.7607

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-11-22
Maturity Price : 17.24
Evaluated at bid price : 17.24
Bid-YTW : 7.92 %

TD.PF.D FixedReset Disc Quote: 17.50 – 19.00
Spot Rate : 1.5000
Average : 1.0787

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-11-22
Maturity Price : 17.50
Evaluated at bid price : 17.50
Bid-YTW : 8.06 %

BAM.PF.G FixedReset Disc Quote: 15.10 – 16.09
Spot Rate : 0.9900
Average : 0.7102

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-11-22
Maturity Price : 15.10
Evaluated at bid price : 15.10
Bid-YTW : 9.42 %

BAM.PR.K Floater Quote: 12.02 – 13.10
Spot Rate : 1.0800
Average : 0.8176

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-11-22
Maturity Price : 12.02
Evaluated at bid price : 12.02
Bid-YTW : 8.87 %

November 21, 2022

November 22nd, 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 -0.4158 % 2,301.7
FixedFloater 0.00 % 0.00 % 0 0.00 0 -0.4158 % 4,414.6
Floater 8.70 % 8.88 % 43,530 10.41 2 -0.4158 % 2,544.2
OpRet 0.00 % 0.00 % 0 0.00 0 -2.3536 % 3,248.4
SplitShare 5.23 % 7.66 % 41,978 2.81 8 -2.3536 % 3,879.2
Interest-Bearing 0.00 % 0.00 % 0 0.00 0 -2.3536 % 3,026.7
Perpetual-Premium 0.00 % 0.00 % 0 0.00 0 -0.0759 % 2,572.5
Perpetual-Discount 6.62 % 6.77 % 81,941 12.82 34 -0.0759 % 2,805.1
FixedReset Disc 5.56 % 7.77 % 92,953 11.93 63 -0.5101 % 2,168.1
Insurance Straight 6.53 % 6.74 % 85,111 12.81 18 -0.1962 % 2,756.9
FloatingReset 9.18 % 8.95 % 43,716 10.35 2 0.5767 % 2,547.8
FixedReset Prem 6.69 % 6.46 % 401,737 4.20 1 0.0000 % 2,356.6
FixedReset Bank Non 0.00 % 0.00 % 0 0.00 0 -0.5101 % 2,216.3
FixedReset Ins Non 5.49 % 7.78 % 45,294 12.07 14 -1.1905 % 2,287.3
Performance Highlights
Issue Index Change Notes
BMO.PR.Y FixedReset Disc -5.91 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-11-21
Maturity Price : 16.88
Evaluated at bid price : 16.88
Bid-YTW : 8.15 %
PVS.PR.H SplitShare -4.30 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2027-02-28
Maturity Price : 25.00
Evaluated at bid price : 21.25
Bid-YTW : 9.00 %
RY.PR.M FixedReset Disc -4.20 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-11-21
Maturity Price : 17.10
Evaluated at bid price : 17.10
Bid-YTW : 7.87 %
PVS.PR.G SplitShare -3.13 % YTW SCENARIO
Maturity Type : Option Certainty
Maturity Date : 2026-02-28
Maturity Price : 25.00
Evaluated at bid price : 22.75
Bid-YTW : 8.06 %
TRP.PR.C FixedReset Disc -2.51 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-11-21
Maturity Price : 11.65
Evaluated at bid price : 11.65
Bid-YTW : 9.06 %
MIC.PR.A Perpetual-Discount -2.40 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-11-21
Maturity Price : 18.30
Evaluated at bid price : 18.30
Bid-YTW : 7.53 %
BMO.PR.E FixedReset Disc -2.36 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-11-21
Maturity Price : 21.09
Evaluated at bid price : 21.09
Bid-YTW : 7.12 %
BAM.PR.T FixedReset Disc -2.36 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-11-21
Maturity Price : 14.50
Evaluated at bid price : 14.50
Bid-YTW : 8.88 %
BAM.PR.R FixedReset Disc -2.21 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-11-21
Maturity Price : 13.70
Evaluated at bid price : 13.70
Bid-YTW : 9.26 %
MFC.PR.M FixedReset Ins Non -2.01 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-11-21
Maturity Price : 17.40
Evaluated at bid price : 17.40
Bid-YTW : 7.84 %
BIP.PR.E FixedReset Disc -1.99 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-11-21
Maturity Price : 20.70
Evaluated at bid price : 20.70
Bid-YTW : 7.77 %
BIP.PR.A FixedReset Disc -1.89 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-11-21
Maturity Price : 16.63
Evaluated at bid price : 16.63
Bid-YTW : 9.65 %
NA.PR.S FixedReset Disc -1.68 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-11-21
Maturity Price : 16.96
Evaluated at bid price : 16.96
Bid-YTW : 8.30 %
BAM.PR.B Floater -1.65 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-11-21
Maturity Price : 11.95
Evaluated at bid price : 11.95
Bid-YTW : 8.92 %
MFC.PR.L FixedReset Ins Non -1.57 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-11-21
Maturity Price : 16.30
Evaluated at bid price : 16.30
Bid-YTW : 8.20 %
TD.PF.L FixedReset Disc -1.55 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-11-21
Maturity Price : 22.49
Evaluated at bid price : 22.90
Bid-YTW : 7.15 %
POW.PR.D Perpetual-Discount -1.52 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-11-21
Maturity Price : 18.76
Evaluated at bid price : 18.76
Bid-YTW : 6.77 %
BAM.PF.A FixedReset Disc -1.49 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-11-21
Maturity Price : 19.11
Evaluated at bid price : 19.11
Bid-YTW : 8.26 %
PVS.PR.J SplitShare -1.46 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2028-02-29
Maturity Price : 25.00
Evaluated at bid price : 21.65
Bid-YTW : 7.52 %
TD.PF.M FixedReset Disc -1.43 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-11-21
Maturity Price : 23.12
Evaluated at bid price : 23.51
Bid-YTW : 7.21 %
IFC.PR.G FixedReset Ins Non -1.42 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-11-21
Maturity Price : 19.37
Evaluated at bid price : 19.37
Bid-YTW : 7.72 %
BAM.PR.X FixedReset Disc -1.25 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-11-21
Maturity Price : 15.80
Evaluated at bid price : 15.80
Bid-YTW : 8.04 %
FTS.PR.G FixedReset Disc -1.16 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-11-21
Maturity Price : 17.05
Evaluated at bid price : 17.05
Bid-YTW : 8.03 %
CM.PR.T FixedReset Disc -1.05 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-11-21
Maturity Price : 22.27
Evaluated at bid price : 22.66
Bid-YTW : 7.25 %
MFC.PR.K FixedReset Ins Non -1.00 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-11-21
Maturity Price : 17.90
Evaluated at bid price : 17.90
Bid-YTW : 7.74 %
GWO.PR.Y Insurance Straight 1.06 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-11-21
Maturity Price : 17.20
Evaluated at bid price : 17.20
Bid-YTW : 6.67 %
BIP.PR.B FixedReset Disc 1.11 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-11-21
Maturity Price : 22.33
Evaluated at bid price : 22.85
Bid-YTW : 8.13 %
PWF.PR.T FixedReset Disc 1.12 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-11-21
Maturity Price : 18.10
Evaluated at bid price : 18.10
Bid-YTW : 7.84 %
TD.PF.E FixedReset Disc 1.12 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-11-21
Maturity Price : 18.96
Evaluated at bid price : 18.96
Bid-YTW : 7.49 %
RY.PR.S FixedReset Disc 1.13 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-11-21
Maturity Price : 20.53
Evaluated at bid price : 20.53
Bid-YTW : 6.94 %
SLF.PR.J FloatingReset 1.16 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-11-21
Maturity Price : 15.75
Evaluated at bid price : 15.75
Bid-YTW : 8.95 %
FTS.PR.K FixedReset Disc 1.25 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-11-21
Maturity Price : 16.20
Evaluated at bid price : 16.20
Bid-YTW : 8.20 %
MFC.PR.J FixedReset Ins Non 1.37 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-11-21
Maturity Price : 20.13
Evaluated at bid price : 20.13
Bid-YTW : 7.42 %
TD.PF.D FixedReset Disc 1.96 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-11-21
Maturity Price : 18.76
Evaluated at bid price : 18.76
Bid-YTW : 7.54 %
POW.PR.G Perpetual-Discount 2.70 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-11-21
Maturity Price : 20.95
Evaluated at bid price : 20.95
Bid-YTW : 6.79 %
FTS.PR.H FixedReset Disc 2.92 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-11-21
Maturity Price : 12.35
Evaluated at bid price : 12.35
Bid-YTW : 8.65 %
Volume Highlights
Issue Index Shares
Traded
Notes
TD.PF.C FixedReset Disc 109,828 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-11-21
Maturity Price : 16.98
Evaluated at bid price : 16.98
Bid-YTW : 7.95 %
FTS.PR.M FixedReset Disc 58,131 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-11-21
Maturity Price : 17.00
Evaluated at bid price : 17.00
Bid-YTW : 8.23 %
BAM.PR.Z FixedReset Disc 58,025 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-11-21
Maturity Price : 21.05
Evaluated at bid price : 21.05
Bid-YTW : 7.61 %
CU.PR.G Perpetual-Discount 47,600 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-11-21
Maturity Price : 16.99
Evaluated at bid price : 16.99
Bid-YTW : 6.66 %
GWO.PR.G Insurance Straight 43,348 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-11-21
Maturity Price : 19.48
Evaluated at bid price : 19.48
Bid-YTW : 6.80 %
GWO.PR.M Insurance Straight 36,445 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-11-21
Maturity Price : 21.43
Evaluated at bid price : 21.69
Bid-YTW : 6.80 %
There were 20 other index-included issues trading in excess of 10,000 shares.
Wide Spread Highlights
Issue Index Quote Data and Yield Notes
BMO.PR.Y FixedReset Disc Quote: 16.88 – 18.23
Spot Rate : 1.3500
Average : 0.8946

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-11-21
Maturity Price : 16.88
Evaluated at bid price : 16.88
Bid-YTW : 8.15 %

GWO.PR.H Insurance Straight Quote: 18.31 – 19.40
Spot Rate : 1.0900
Average : 0.6391

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-11-21
Maturity Price : 18.31
Evaluated at bid price : 18.31
Bid-YTW : 6.75 %

RY.PR.M FixedReset Disc Quote: 17.10 – 18.15
Spot Rate : 1.0500
Average : 0.6820

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-11-21
Maturity Price : 17.10
Evaluated at bid price : 17.10
Bid-YTW : 7.87 %

SLF.PR.G FixedReset Ins Non Quote: 13.00 – 13.89
Spot Rate : 0.8900
Average : 0.5914

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-11-21
Maturity Price : 13.00
Evaluated at bid price : 13.00
Bid-YTW : 8.20 %

MFC.PR.K FixedReset Ins Non Quote: 17.90 – 18.90
Spot Rate : 1.0000
Average : 0.7419

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-11-21
Maturity Price : 17.90
Evaluated at bid price : 17.90
Bid-YTW : 7.74 %

FTS.PR.F Perpetual-Discount Quote: 19.31 – 19.99
Spot Rate : 0.6800
Average : 0.4258

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-11-21
Maturity Price : 19.31
Evaluated at bid price : 19.31
Bid-YTW : 6.38 %

SBC.PR.A Suffers ~41% Retraction; Resells Shares

November 18th, 2022

Brompton Group has announced (on 2022-11-16):

Brompton Split Banc Corp. (the “Company”) is pleased to announce it is undertaking a treasury offering of preferred shares (“Preferred Shares”) (the “Offering”).

The sales period for this offering will end no later than 9:00 a.m. (ET) on Friday, November 18, 2022. The offering is expected to close on or about November 24, 2022 and is subject to certain closing conditions including approval by the Toronto Stock Exchange (“TSX”).

The Preferred Shares will be offered at a price of $9.55 per Preferred Share for a yield to maturity of 7.5%.
(1) The closing price on the TSX for the Preferred Shares on November 15, 2022 was $9.64. The offering is being led by RBC Capital Markets.

The investment objectives for the Preferred Shares are to provide holders with fixed cumulative preferential quarterly cash distributions and to return the original $10.00 issue price to holders of Preferred Shares on the maturity date. On March 24, 2022, the Company announced that the Board of Directors approved an extension of the maturity date of the Company for an additional 5-year term to November 29, 2027. On September 26, 2022, the Company announced that the distribution rate for the Preferred Shares for the new 5-year term from November 30, 2022 to November 29, 2027 will be $0.625 per annum.

Based on the most recently calculated net asset value per unit of the Company on November 10, 2022, the Preferred Shares have downside protection from a decline in the value of the Company’s portfolio of approximately 51%. The Preferred Shares have delivered a 5.1% per annum total return over the last 5 years, outperforming the S&P/TSX Preferred Share Index by 4.7% per annum.(1) The Preferred Shares have a DBRS rating of Pfd-3(high).

The Company received retraction notices from certain holders of Preferred Shares in connection with the non-concurrent retraction right on November 29, 2022. The Company is offering Preferred Shares under the Offering in order to, to the extent possible, have a matched number of Preferred Shares and Class A Shares of the Company (“Class A Shares”) outstanding following the nonconcurrent retraction and secure term financing for the Class A shareholders for the next 5-year term ending on November 29, 2027. Class A shareholders enjoy the opportunity for enhanced capital appreciation because of the leverage provided by the Preferred Shares. Class A Shares have generated a 14% per annum return over the past 10 years, outperforming the S&P/TSX Capped Financials Index by 3.1% per annum. (1)

The Company invests in a portfolio (the “Portfolio”) consisting of common shares of the six largest Canadian banks: 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 purpose of enhanced diversification and return potential.

They have now announced:

Brompton Split Banc Corp. (the “Company”) is pleased to announce a successful treasury offering of preferred shares (“Preferred Shares”). Gross proceeds of the offering are expected to be approximately $74 million. The offering is expected to close on or about November 24, 2022 and is subject to certain closing conditions. Following closing of the offering and after giving effect to the November 29, 2022 non-concurrent retraction it is
expected that there will be a matched number of Preferred Shares and class A shares of the Company outstanding. The Company has granted the Agents (as defined below) an over-allotment option, exercisable for 30 days following the closing date of the offering, to purchase additional Preferred Shares up to such number as is equal to 15% of the number of Preferred Shares issued at the closing of the offering.

The “nonconcurrent retraction” mentioned in the first press release is the Special Retraction granted to the preferred shareholders in lieu of the previously scheduled maturity. It will be remembered that the preferreds reset to 6.25% effective 2022-11-30, up from 5.00% for the past five years. At the time, this rate was, perhaps, a little on the skimpy side but still within reasonable bounds; but by mid-October times had changed and much better yields were available elsewhere. Hence, a big retraction at par.

$74-million at a price of 9.55 implies that this offering totalled about 7.75-million shares; the 2022-9-30 Fund Profile implies that about 18.6-million shares were outstanding at that time. Hence, a 41% retraction rate (assuming that this issuance precisely covers the retraction); and the non-exercising shareholders should kick themselves, because they could have retracted at $10.00 and repurchased at $9.55, which is good business. The shares traded in a range of 9.41-49 today.

One can calculate how much the company lost on this deal fairly easily (don’t forget underwriting commissions!), but management will argue that boosting the dividend to a level at which retractions would be negligible would cost the company more. It’s also true, of course, that if they had restored the equality of Capital Units and Preferreds by consolidating the former, this would have meant reduced assets in the fund and, alas, reduced fees.

Thanks to assiduous readers EW and JD for bringing this to my attention!