IFC.PR.A To Reset to 4.841%

December 1st, 2022

Intact Financial Corporation has announced:

that it does not intend to exercise its right to redeem all or any part of the currently outstanding Non-cumulative Rate Reset Class A Shares Series 1 of IFC (the “Series 1 Preferred Shares”) (TSX: IFC.PR.A) on December 31, 2022. As a result, subject to certain conditions set out in the prospectus dated July 5, 2011 relating to the issuance of the Series 1 Preferred Shares (the “Prospectus”), the holders of the Series 1 Preferred Shares will have the right, at their option, to elect to convert all or any of their Series 1 Preferred Shares into Non-cumulative Floating Rate Class A Shares Series 2 of IFC (the “Series 2 Preferred Shares”) on a one-for-one basis on December 31, 2022. Holders who do not exercise their right to convert their Series 1 Preferred Shares into Series 2 Preferred Shares on such date will retain their Series 1 Preferred Shares, unless automatically converted in accordance with the conditions below.

With respect to any Series 1 Preferred Shares that may remain outstanding after December 31, 2022, commencing as of such date, holders thereof will be entitled to receive fixed non-cumulative preferential cash dividends on a quarterly basis, as and when declared by the Board of Directors of IFC. The annual dividend rate for the Series 1 Preferred Shares for the five-year period from and including December 31, 2022 to but excluding December 31, 2027 will be 4.841%, as determined in accordance with the terms of the Series 1 Preferred Shares.

With respect to any Series 2 Preferred Shares that may be issued on December 31, 2022, holders thereof will be entitled to receive floating rate non-cumulative preferential cash dividends on a quarterly basis, as and when declared by the Board of Directors of IFC. The dividend rate for the Series 2 Preferred Shares for the 3-month floating rate period from and including December 31, 2022 to but excluding March 31, 2023 will be 1.44321% (5.853% on an annualized basis), as determined in accordance with the terms of the Series 2 Preferred Shares (the “Floating Quarterly Dividend Rate”). The Floating Quarterly Dividend Rate will be reset every quarter.

The foregoing conversion right for the Series 1 Preferred Shares is subject to the conditions that: (i) if IFC determines that there would be less than 1,000,000 Series 1 Preferred Shares outstanding on December 31, 2022, then all remaining Series 1 Preferred Shares will automatically be converted into an equal number of Series 2 Preferred Shares on December 31, 2022, and (ii) alternatively, if IFC determines that there would be less than 1,000,000 Series 2 Preferred Shares outstanding on December 31, 2022, then no Series 1 Preferred Shares will be converted into Series 2 Preferred Shares. In either case, IFC will give written notice to that effect to any registered holders of Series 1 Preferred Shares on or before December 23, 2022.

The Series 1 Preferred Shares are issued in “book entry only” form and must be purchased or transferred through a participant in the CDS depository service (“CDS Participant”). All rights of holders of Series 1 Preferred Shares must be exercised through CDS or the CDS Participant through which the Series 1 Preferred Shares are held. The deadline for the registered shareholder of any Series 1 Preferred Shares to provide notice of exercise of the right to convert is 5:00 p.m. (ET) on December 16, 2022. Any notices received after this deadline will not be valid. As such, beneficial holders of Series 1 Preferred Shares who wish to exercise their right to convert their shares during the conversion period, which will run from Thursday, December 1, 2022 until 5:00 p.m. (ET) on Friday, December 16, 2022, should contact their broker or other intermediary for more information and it is recommended that this be done well in advance of the deadline in order to provide the broker or other intermediary with time to complete the necessary steps.

Holders of the Series 1 Preferred Shares and the Series 2 Preferred Shares (if issued on December 31, 2022) will have the opportunity to convert their shares again on December 31, 2027, and every five years thereafter as long as the shares remain outstanding. Subject to certain conditions described in the Prospectus, IFC may redeem the Series 1 Preferred Shares, in whole or in part, on December 31, 2027 and on December 31 every five years thereafter and may redeem the Series 2 Preferred Shares (if issued), in whole or in part, on any date after December 31, 2022.

The Toronto Stock Exchange (“TSX”) has conditionally approved the listing of the Series 2 Preferred Shares effective on conversion. Listing of the Series 2 Preferred Shares is subject to IFC fulfilling all the listing requirements of the TSX.

For more information on the terms of, and risks associated with an investment in, the Series 1 Preferred Shares and the Series 2 Preferred Shares, please see IFC’s prospectus dated July 5, 2011 which is available on www.sedar.com.

IFC.PR.A was issued as a FixedReset, 4.20%+172, that commenced trading 2011-7-12 after being announced 2011-6-22. IFC.PR.A reset at 3.396% effective December 31, 2017, and I recommended against conversion. There was no conversion. The issue is tracked by HIMIPref™ and has been assigned to the FixedReset subindex.

December 1, 2022

December 1st, 2022

Amortization times for variable rate mortgages are increasing:

The growing proportion of mortgages with long amortizations gives an indication of the number of borrowers who could face significant hikes to monthly payments when they renew their loans. Currently, the bulk of variable-rate borrowers have fixed monthly payments and are not seeing their payment immediately spike with every Bank of Canada interest rate hike. But when they renew their mortgage, they will face a much higher monthly payment.

At Royal Bank of Canada, Bank of Montreal and Canadian Imperial Bank of Commerce, the percentage of mortgages with an amortization of more than 30 years has grown to around 30 per cent as of the end of October, according to their quarterly results released this week. (RBC hit 27 per cent, BMO reached 31.3 per cent and CIBC was at 30 per cent.)

That is a huge jump compared to October of last year, when the three banks had no mortgages with an amortization above 30 years, according to their financial disclosures.

At the end of July, mortgages with terms of over 30 years accounted for one quarter of the three banks’ residential mortgage portfolios. At the end of April, those loans made up 10.6 per cent of BMO’s portfolio, and 12 per cent of mortgages at RBC and CIBC.

Toronto-Dominion Bank’s financial report disclosed that 28.9 per cent of its mortgages had terms over 30 years as of the end of October. Previously, TD has not disclosed amortization periods that have stretched beyond the mortgage’s original contract. Its second and third quarter results showed the share of mortgages with their original amortizations, and only 1 per cent of its loans had terms greater than 30 years.

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 -0.2019 % 2,374.7
FixedFloater 0.00 % 0.00 % 0 0.00 0 -0.2019 % 4,554.7
Floater 8.43 % 8.60 % 39,114 10.65 2 -0.2019 % 2,624.9
OpRet 0.00 % 0.00 % 0 0.00 0 0.0681 % 3,285.2
SplitShare 5.18 % 7.52 % 48,906 2.78 8 0.0681 % 3,923.2
Interest-Bearing 0.00 % 0.00 % 0 0.00 0 0.0681 % 3,061.1
Perpetual-Premium 0.00 % 0.00 % 0 0.00 0 0.2519 % 2,675.4
Perpetual-Discount 6.37 % 6.51 % 90,533 13.15 34 0.2519 % 2,917.4
FixedReset Disc 5.42 % 7.44 % 91,404 12.26 63 0.2611 % 2,224.0
Insurance Straight 6.37 % 6.45 % 101,253 13.33 18 -0.7561 % 2,824.6
FloatingReset 9.35 % 9.72 % 45,603 9.85 2 -0.3856 % 2,516.1
FixedReset Prem 6.50 % 6.16 % 414,874 4.19 1 0.0784 % 2,376.1
FixedReset Bank Non 0.00 % 0.00 % 0 0.00 0 0.2611 % 2,273.4
FixedReset Ins Non 5.40 % 7.59 % 46,866 12.27 14 -0.0692 % 2,324.7
Performance Highlights
Issue Index Change Notes
BAM.PR.T FixedReset Disc -3.57 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-12-01
Maturity Price : 14.85
Evaluated at bid price : 14.85
Bid-YTW : 8.55 %
SLF.PR.H FixedReset Ins Non -3.15 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-12-01
Maturity Price : 15.35
Evaluated at bid price : 15.35
Bid-YTW : 7.75 %
BAM.PF.B FixedReset Disc -3.03 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-12-01
Maturity Price : 17.27
Evaluated at bid price : 17.27
Bid-YTW : 8.41 %
GWO.PR.H Insurance Straight -2.81 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-12-01
Maturity Price : 18.66
Evaluated at bid price : 18.66
Bid-YTW : 6.51 %
BAM.PF.G FixedReset Disc -2.72 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-12-01
Maturity Price : 15.75
Evaluated at bid price : 15.75
Bid-YTW : 8.90 %
MIC.PR.A Perpetual-Discount -2.08 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-12-01
Maturity Price : 18.36
Evaluated at bid price : 18.36
Bid-YTW : 7.53 %
TRP.PR.E FixedReset Disc -1.94 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-12-01
Maturity Price : 15.20
Evaluated at bid price : 15.20
Bid-YTW : 8.86 %
CU.PR.I FixedReset Disc -1.55 % YTW SCENARIO
Maturity Type : Call
Maturity Date : 2025-12-01
Maturity Price : 25.00
Evaluated at bid price : 24.12
Bid-YTW : 5.83 %
BAM.PR.M Perpetual-Discount -1.55 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-12-01
Maturity Price : 19.05
Evaluated at bid price : 19.05
Bid-YTW : 6.36 %
PVS.PR.G SplitShare -1.50 % YTW SCENARIO
Maturity Type : Option Certainty
Maturity Date : 2026-02-28
Maturity Price : 25.00
Evaluated at bid price : 23.05
Bid-YTW : 7.68 %
BAM.PF.A FixedReset Disc -1.48 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-12-01
Maturity Price : 19.26
Evaluated at bid price : 19.26
Bid-YTW : 8.04 %
GWO.PR.I Insurance Straight -1.48 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-12-01
Maturity Price : 17.62
Evaluated at bid price : 17.62
Bid-YTW : 6.40 %
BAM.PF.H FixedReset Disc -1.19 % YTW SCENARIO
Maturity Type : Call
Maturity Date : 2025-12-31
Maturity Price : 25.00
Evaluated at bid price : 24.11
Bid-YTW : 6.65 %
IAF.PR.I FixedReset Ins Non -1.14 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-12-01
Maturity Price : 21.60
Evaluated at bid price : 21.60
Bid-YTW : 6.91 %
MFC.PR.F FixedReset Ins Non -1.14 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-12-01
Maturity Price : 13.05
Evaluated at bid price : 13.05
Bid-YTW : 7.82 %
BAM.PF.J FixedReset Disc -1.03 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-12-01
Maturity Price : 22.77
Evaluated at bid price : 24.00
Bid-YTW : 6.62 %
PWF.PF.A Perpetual-Discount -1.01 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-12-01
Maturity Price : 17.57
Evaluated at bid price : 17.57
Bid-YTW : 6.49 %
BAM.PF.E FixedReset Disc 1.01 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-12-01
Maturity Price : 16.00
Evaluated at bid price : 16.00
Bid-YTW : 8.51 %
CIU.PR.A Perpetual-Discount 1.02 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-12-01
Maturity Price : 17.80
Evaluated at bid price : 17.80
Bid-YTW : 6.51 %
BIP.PR.F FixedReset Disc 1.03 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-12-01
Maturity Price : 19.70
Evaluated at bid price : 19.70
Bid-YTW : 7.72 %
BAM.PR.X FixedReset Disc 1.04 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-12-01
Maturity Price : 16.58
Evaluated at bid price : 16.58
Bid-YTW : 7.53 %
GWO.PR.P Insurance Straight 1.04 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-12-01
Maturity Price : 20.80
Evaluated at bid price : 20.80
Bid-YTW : 6.50 %
CU.PR.F Perpetual-Discount 1.13 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-12-01
Maturity Price : 17.95
Evaluated at bid price : 17.95
Bid-YTW : 6.32 %
CU.PR.H Perpetual-Discount 1.19 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-12-01
Maturity Price : 20.36
Evaluated at bid price : 20.36
Bid-YTW : 6.50 %
FTS.PR.G FixedReset Disc 1.23 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-12-01
Maturity Price : 17.26
Evaluated at bid price : 17.26
Bid-YTW : 7.75 %
TD.PF.C FixedReset Disc 1.26 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-12-01
Maturity Price : 17.70
Evaluated at bid price : 17.70
Bid-YTW : 7.49 %
IFC.PR.G FixedReset Ins Non 1.27 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-12-01
Maturity Price : 20.00
Evaluated at bid price : 20.00
Bid-YTW : 7.32 %
PWF.PR.K Perpetual-Discount 1.27 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-12-01
Maturity Price : 19.17
Evaluated at bid price : 19.17
Bid-YTW : 6.55 %
RY.PR.O Perpetual-Discount 1.35 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-12-01
Maturity Price : 21.80
Evaluated at bid price : 21.80
Bid-YTW : 5.67 %
RY.PR.Z FixedReset Disc 1.38 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-12-01
Maturity Price : 17.66
Evaluated at bid price : 17.66
Bid-YTW : 7.51 %
BAM.PR.R FixedReset Disc 1.40 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-12-01
Maturity Price : 14.50
Evaluated at bid price : 14.50
Bid-YTW : 8.63 %
BAM.PR.Z FixedReset Disc 1.47 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-12-01
Maturity Price : 21.71
Evaluated at bid price : 22.10
Bid-YTW : 7.08 %
MFC.PR.J FixedReset Ins Non 1.52 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-12-01
Maturity Price : 20.10
Evaluated at bid price : 20.10
Bid-YTW : 7.27 %
GWO.PR.M Insurance Straight 1.53 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-12-01
Maturity Price : 22.15
Evaluated at bid price : 22.43
Bid-YTW : 6.46 %
PWF.PR.T FixedReset Disc 1.65 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-12-01
Maturity Price : 18.45
Evaluated at bid price : 18.45
Bid-YTW : 7.53 %
TD.PF.E FixedReset Disc 2.01 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-12-01
Maturity Price : 19.80
Evaluated at bid price : 19.80
Bid-YTW : 7.07 %
PVS.PR.K SplitShare 2.08 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2029-05-31
Maturity Price : 25.00
Evaluated at bid price : 21.60
Bid-YTW : 7.13 %
TRP.PR.D FixedReset Disc 2.56 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-12-01
Maturity Price : 16.40
Evaluated at bid price : 16.40
Bid-YTW : 8.39 %
IFC.PR.I Perpetual-Discount 3.33 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-12-01
Maturity Price : 21.69
Evaluated at bid price : 22.00
Bid-YTW : 6.24 %
BAM.PF.F FixedReset Disc 3.87 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-12-01
Maturity Price : 18.00
Evaluated at bid price : 18.00
Bid-YTW : 8.22 %
Volume Highlights
Issue Index Shares
Traded
Notes
GWO.PR.I Insurance Straight 165,295 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-12-01
Maturity Price : 17.62
Evaluated at bid price : 17.62
Bid-YTW : 6.40 %
GWO.PR.Y Insurance Straight 150,027 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-12-01
Maturity Price : 17.65
Evaluated at bid price : 17.65
Bid-YTW : 6.39 %
BAM.PF.D Perpetual-Discount 69,317 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-12-01
Maturity Price : 19.20
Evaluated at bid price : 19.20
Bid-YTW : 6.51 %
TRP.PR.G FixedReset Disc 48,500 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-12-01
Maturity Price : 16.81
Evaluated at bid price : 16.81
Bid-YTW : 8.27 %
NA.PR.G FixedReset Disc 45,575 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-12-01
Maturity Price : 20.77
Evaluated at bid price : 20.77
Bid-YTW : 7.21 %
RY.PR.Z FixedReset Disc 43,930 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-12-01
Maturity Price : 17.66
Evaluated at bid price : 17.66
Bid-YTW : 7.51 %
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: 15.20 – 19.40
Spot Rate : 4.2000
Average : 2.7707

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-12-01
Maturity Price : 15.20
Evaluated at bid price : 15.20
Bid-YTW : 8.86 %

RY.PR.S FixedReset Disc Quote: 20.85 – 22.80
Spot Rate : 1.9500
Average : 1.0870

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-12-01
Maturity Price : 20.85
Evaluated at bid price : 20.85
Bid-YTW : 6.70 %

CU.PR.E Perpetual-Discount Quote: 19.07 – 22.00
Spot Rate : 2.9300
Average : 2.2718

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-12-01
Maturity Price : 19.07
Evaluated at bid price : 19.07
Bid-YTW : 6.48 %

BAM.PR.T FixedReset Disc Quote: 14.85 – 16.00
Spot Rate : 1.1500
Average : 0.7376

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-12-01
Maturity Price : 14.85
Evaluated at bid price : 14.85
Bid-YTW : 8.55 %

PWF.PF.A Perpetual-Discount Quote: 17.57 – 18.65
Spot Rate : 1.0800
Average : 0.6884

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-12-01
Maturity Price : 17.57
Evaluated at bid price : 17.57
Bid-YTW : 6.49 %

GWO.PR.M Insurance Straight Quote: 22.43 – 23.60
Spot Rate : 1.1700
Average : 0.8090

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-12-01
Maturity Price : 22.15
Evaluated at bid price : 22.43
Bid-YTW : 6.46 %

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 %