Market Action

February 16, 2022

PerpetualDiscounts now yield 4.95%, equivalent to 6.44% interest at the standard equivalency factor of 1.3x. Long corporates now yield 3.82%, so the pre-tax interest-equivalent spread (in this context, the “Seniority Spread”) has widened to 260bp from the 250bp reported February 9.

HIMIPref™ Preferred Indices
These values reflect the December 2008 revision of the HIMIPref™ Indices
Values are provisional and are finalized monthly
Index Mean
Current
Yield
(at bid)		 Median
YTW		 Median
Average
Trading
Value		 Median
Mod Dur
(YTW)		 Issues Day’s Perf. Index Value
Ratchet 3.02 % 3.48 % 39,612 20.08 1 0.4453 % 2,891.8
FixedFloater 0.00 % 0.00 % 0 0.00 0 -0.5747 % 5,571.8
Floater 2.86 % 2.88 % 66,398 19.99 3 -0.5747 % 3,211.1
OpRet 0.00 % 0.00 % 0 0.00 0 0.0392 % 3,661.1
SplitShare 4.63 % 4.35 % 32,652 3.61 6 0.0392 % 4,372.2
Interest-Bearing 0.00 % 0.00 % 0 0.00 0 0.0392 % 3,411.3
Perpetual-Premium 5.24 % -5.83 % 55,708 0.09 22 -0.1817 % 3,209.0
Perpetual-Discount 4.89 % 4.95 % 58,970 15.58 11 2.8592 % 3,764.7
FixedReset Disc 4.05 % 4.49 % 116,272 16.27 44 -1.4063 % 2,770.7
Insurance Straight 5.02 % 4.81 % 85,126 15.46 18 0.5078 % 3,573.3
FloatingReset 2.72 % 3.09 % 50,723 19.47 2 0.0551 % 2,949.6
FixedReset Prem 4.79 % 3.87 % 112,492 2.07 26 -0.0954 % 2,697.2
FixedReset Bank Non 0.00 % 0.00 % 0 0.00 0 -1.4063 % 2,832.2
FixedReset Ins Non 4.14 % 4.38 % 78,055 16.32 17 -0.2592 % 2,934.0
Performance Highlights
Issue Index Change Notes
CM.PR.Q FixedReset Disc -17.92 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-02-16
Maturity Price : 19.70
Evaluated at bid price : 19.70
Bid-YTW : 5.51 %
BAM.PR.T FixedReset Disc -6.12 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-02-16
Maturity Price : 20.25
Evaluated at bid price : 20.25
Bid-YTW : 5.17 %
BMO.PR.S FixedReset Disc -5.78 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-02-16
Maturity Price : 21.59
Evaluated at bid price : 22.00
Bid-YTW : 4.67 %
TRP.PR.B FixedReset Disc -5.36 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-02-16
Maturity Price : 13.25
Evaluated at bid price : 13.25
Bid-YTW : 5.40 %
BAM.PF.B FixedReset Disc -4.84 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-02-16
Maturity Price : 21.60
Evaluated at bid price : 22.01
Bid-YTW : 5.10 %
TD.PF.A FixedReset Disc -4.16 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-02-16
Maturity Price : 22.04
Evaluated at bid price : 22.35
Bid-YTW : 4.49 %
BAM.PR.Z FixedReset Disc -3.81 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-02-16
Maturity Price : 23.12
Evaluated at bid price : 23.72
Bid-YTW : 5.07 %
GWO.PR.Y Insurance Straight -3.08 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-02-16
Maturity Price : 22.92
Evaluated at bid price : 23.31
Bid-YTW : 4.87 %
GWO.PR.N FixedReset Ins Non -2.90 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-02-16
Maturity Price : 16.75
Evaluated at bid price : 16.75
Bid-YTW : 4.29 %
CIU.PR.A Perpetual-Discount -2.69 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-02-16
Maturity Price : 23.20
Evaluated at bid price : 23.50
Bid-YTW : 4.89 %
TRP.PR.C FixedReset Disc -1.90 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-02-16
Maturity Price : 15.50
Evaluated at bid price : 15.50
Bid-YTW : 4.97 %
FTS.PR.G FixedReset Disc -1.89 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-02-16
Maturity Price : 21.46
Evaluated at bid price : 21.80
Bid-YTW : 4.56 %
BAM.PR.M Perpetual-Discount -1.88 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-02-16
Maturity Price : 23.20
Evaluated at bid price : 23.50
Bid-YTW : 5.11 %
IFC.PR.C FixedReset Disc -1.86 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-02-16
Maturity Price : 22.66
Evaluated at bid price : 23.70
Bid-YTW : 4.45 %
SLF.PR.C Insurance Straight -1.85 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-02-16
Maturity Price : 23.12
Evaluated at bid price : 23.38
Bid-YTW : 4.81 %
SLF.PR.D Insurance Straight -1.68 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-02-16
Maturity Price : 23.15
Evaluated at bid price : 23.45
Bid-YTW : 4.79 %
POW.PR.D Perpetual-Premium -1.61 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-02-16
Maturity Price : 24.15
Evaluated at bid price : 24.40
Bid-YTW : 5.17 %
SLF.PR.E Insurance Straight -1.54 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-02-16
Maturity Price : 23.30
Evaluated at bid price : 23.58
Bid-YTW : 4.82 %
SLF.PR.G FixedReset Ins Non -1.41 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-02-16
Maturity Price : 17.50
Evaluated at bid price : 17.50
Bid-YTW : 4.31 %
MFC.PR.F FixedReset Ins Non -1.31 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-02-16
Maturity Price : 18.06
Evaluated at bid price : 18.06
Bid-YTW : 4.25 %
GWO.PR.R Insurance Straight -1.25 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-02-16
Maturity Price : 24.15
Evaluated at bid price : 24.40
Bid-YTW : 4.97 %
PWF.PR.P FixedReset Disc -1.14 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-02-16
Maturity Price : 17.30
Evaluated at bid price : 17.30
Bid-YTW : 4.55 %
TRP.PR.A FixedReset Disc -1.11 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-02-16
Maturity Price : 18.79
Evaluated at bid price : 18.79
Bid-YTW : 4.99 %
BMO.PR.T FixedReset Disc -1.04 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-02-16
Maturity Price : 22.44
Evaluated at bid price : 22.90
Bid-YTW : 4.36 %
FTS.PR.H FixedReset Disc -1.00 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-02-16
Maturity Price : 16.83
Evaluated at bid price : 16.83
Bid-YTW : 4.50 %
TD.PF.E FixedReset Disc 1.61 % YTW SCENARIO
Maturity Type : Call
Maturity Date : 2025-10-31
Maturity Price : 25.00
Evaluated at bid price : 24.05
Bid-YTW : 4.43 %
GWO.PR.I Insurance Straight 26.67 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-02-16
Maturity Price : 23.48
Evaluated at bid price : 23.75
Bid-YTW : 4.79 %
PWF.PF.A Perpetual-Discount 60.00 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-02-16
Maturity Price : 23.64
Evaluated at bid price : 24.00
Bid-YTW : 4.71 %
Volume Highlights
Issue Index Shares
Traded		 Notes
BMO.PR.C FixedReset Prem 1,236,480 YTW SCENARIO
Maturity Type : Call
Maturity Date : 2022-05-25
Maturity Price : 25.00
Evaluated at bid price : 25.06
Bid-YTW : 3.20 %
CM.PR.Y FixedReset Prem 201,400 YTW SCENARIO
Maturity Type : Call
Maturity Date : 2024-07-31
Maturity Price : 25.00
Evaluated at bid price : 25.90
Bid-YTW : 3.75 %
CM.PR.R FixedReset Prem 156,463 YTW SCENARIO
Maturity Type : Call
Maturity Date : 2022-07-31
Maturity Price : 25.00
Evaluated at bid price : 25.16
Bid-YTW : 3.54 %
BMO.PR.B FixedReset Disc 47,200 YTW SCENARIO
Maturity Type : Call
Maturity Date : 2022-03-27
Maturity Price : 25.00
Evaluated at bid price : 24.99
Bid-YTW : 4.14 %
RY.PR.M FixedReset Disc 46,018 YTW SCENARIO
Maturity Type : Call
Maturity Date : 2025-11-24
Maturity Price : 25.00
Evaluated at bid price : 24.15
Bid-YTW : 3.98 %
TD.PF.I FixedReset Prem 43,100 YTW SCENARIO
Maturity Type : Call
Maturity Date : 2022-10-31
Maturity Price : 25.00
Evaluated at bid price : 25.25
Bid-YTW : 3.37 %
There were 18 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: 19.70 – 24.05
Spot Rate : 4.3500
Average : 2.4223

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-02-16
Maturity Price : 19.70
Evaluated at bid price : 19.70
Bid-YTW : 5.51 %
BMO.PR.S FixedReset Disc Quote: 22.00 – 23.35
Spot Rate : 1.3500
Average : 0.7933

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-02-16
Maturity Price : 21.59
Evaluated at bid price : 22.00
Bid-YTW : 4.67 %
BAM.PR.T FixedReset Disc Quote: 20.25 – 21.66
Spot Rate : 1.4100
Average : 0.9130

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-02-16
Maturity Price : 20.25
Evaluated at bid price : 20.25
Bid-YTW : 5.17 %
TD.PF.A FixedReset Disc Quote: 22.35 – 23.35
Spot Rate : 1.0000
Average : 0.5790

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-02-16
Maturity Price : 22.04
Evaluated at bid price : 22.35
Bid-YTW : 4.49 %
BAM.PF.G FixedReset Disc Quote: 20.75 – 23.00
Spot Rate : 2.2500
Average : 1.8300

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-02-16
Maturity Price : 20.75
Evaluated at bid price : 20.75
Bid-YTW : 5.36 %
BAM.PR.C Floater Quote: 14.99 – 15.99
Spot Rate : 1.0000
Average : 0.5963

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-02-16
Maturity Price : 14.99
Evaluated at bid price : 14.99
Bid-YTW : 2.88 %
Market Action

February 15, 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 3.03 % 3.51 % 41,224 20.05 1 0.0495 % 2,879.0
FixedFloater 0.00 % 0.00 % 0 0.00 0 -0.0221 % 5,604.0
Floater 2.84 % 2.86 % 62,985 20.04 3 -0.0221 % 3,229.6
OpRet 0.00 % 0.00 % 0 0.00 0 0.0327 % 3,659.7
SplitShare 4.63 % 4.39 % 33,899 3.61 6 0.0327 % 4,370.4
Interest-Bearing 0.00 % 0.00 % 0 0.00 0 0.0327 % 3,410.0
Perpetual-Premium 5.23 % -11.32 % 56,317 0.09 22 0.1099 % 3,214.9
Perpetual-Discount 5.03 % 4.95 % 57,366 15.55 11 -0.8712 % 3,660.1
FixedReset Disc 4.00 % 4.46 % 115,923 16.43 44 -0.4100 % 2,810.2
Insurance Straight 5.04 % 4.75 % 86,196 15.12 18 -1.0434 % 3,555.3
FloatingReset 2.72 % 3.09 % 49,916 19.47 2 0.1103 % 2,947.9
FixedReset Prem 4.79 % 3.74 % 116,529 2.08 26 0.0621 % 2,699.8
FixedReset Bank Non 0.00 % 0.00 % 0 0.00 0 -0.4100 % 2,872.6
FixedReset Ins Non 4.13 % 4.38 % 78,076 16.32 17 -0.2687 % 2,941.6
Performance Highlights
Issue Index Change Notes
PWF.PF.A Perpetual-Discount -38.14 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-02-15
Maturity Price : 15.00
Evaluated at bid price : 15.00
Bid-YTW : 7.60 %
GWO.PR.I Insurance Straight -21.71 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-02-15
Maturity Price : 18.75
Evaluated at bid price : 18.75
Bid-YTW : 6.10 %
BAM.PF.G FixedReset Disc -5.68 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-02-15
Maturity Price : 20.75
Evaluated at bid price : 20.75
Bid-YTW : 5.36 %
TD.PF.E FixedReset Disc -3.19 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-02-15
Maturity Price : 22.73
Evaluated at bid price : 23.67
Bid-YTW : 4.63 %
BAM.PR.X FixedReset Disc -2.49 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-02-15
Maturity Price : 18.00
Evaluated at bid price : 18.00
Bid-YTW : 5.08 %
MFC.PR.M FixedReset Ins Non -1.72 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-02-15
Maturity Price : 22.39
Evaluated at bid price : 22.90
Bid-YTW : 4.53 %
IFC.PR.E Insurance Straight -1.56 % YTW SCENARIO
Maturity Type : Call
Maturity Date : 2026-06-30
Maturity Price : 25.00
Evaluated at bid price : 25.30
Bid-YTW : 5.09 %
TRP.PR.B FixedReset Disc -1.41 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-02-15
Maturity Price : 14.00
Evaluated at bid price : 14.00
Bid-YTW : 5.12 %
MFC.PR.N FixedReset Ins Non -1.29 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-02-15
Maturity Price : 22.37
Evaluated at bid price : 22.90
Bid-YTW : 4.44 %
CM.PR.O FixedReset Disc -1.14 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-02-15
Maturity Price : 22.77
Evaluated at bid price : 23.43
Bid-YTW : 4.34 %
IFC.PR.A FixedReset Ins Non -1.03 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-02-15
Maturity Price : 21.12
Evaluated at bid price : 21.12
Bid-YTW : 4.24 %
CU.PR.J Perpetual-Premium 1.10 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-02-15
Maturity Price : 24.37
Evaluated at bid price : 24.75
Bid-YTW : 4.79 %
MFC.PR.C Insurance Straight 1.15 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-02-15
Maturity Price : 23.41
Evaluated at bid price : 23.70
Bid-YTW : 4.81 %
SLF.PR.C Insurance Straight 1.28 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-02-15
Maturity Price : 23.55
Evaluated at bid price : 23.82
Bid-YTW : 4.72 %
PWF.PR.L Perpetual-Premium 1.29 % YTW SCENARIO
Maturity Type : Call
Maturity Date : 2022-03-17
Maturity Price : 25.00
Evaluated at bid price : 25.12
Bid-YTW : 1.63 %
SLF.PR.D Insurance Straight 1.49 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-02-15
Maturity Price : 23.58
Evaluated at bid price : 23.85
Bid-YTW : 4.71 %
BAM.PR.N Perpetual-Discount 3.68 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-02-15
Maturity Price : 23.68
Evaluated at bid price : 23.95
Bid-YTW : 5.01 %
PWF.PR.K Perpetual-Discount 3.77 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-02-15
Maturity Price : 24.50
Evaluated at bid price : 24.75
Bid-YTW : 5.03 %
BAM.PF.B FixedReset Disc 5.09 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-02-15
Maturity Price : 22.81
Evaluated at bid price : 23.13
Bid-YTW : 4.86 %
BAM.PR.M Perpetual-Discount 28.97 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-02-15
Maturity Price : 23.68
Evaluated at bid price : 23.95
Bid-YTW : 5.01 %
Volume Highlights
Issue Index Shares
Traded		 Notes
RY.PR.Z FixedReset Disc 190,537 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-02-15
Maturity Price : 23.05
Evaluated at bid price : 23.35
Bid-YTW : 4.27 %
MFC.PR.R FixedReset Ins Non 130,475 YTW SCENARIO
Maturity Type : Call
Maturity Date : 2022-03-19
Maturity Price : 25.00
Evaluated at bid price : 25.26
Bid-YTW : 1.76 %
TRP.PR.K FixedReset Prem 98,550 YTW SCENARIO
Maturity Type : Call
Maturity Date : 2022-05-31
Maturity Price : 25.00
Evaluated at bid price : 25.06
Bid-YTW : 3.57 %
MFC.PR.Q FixedReset Ins Non 55,100 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-02-15
Maturity Price : 23.76
Evaluated at bid price : 24.94
Bid-YTW : 4.40 %
CM.PR.R FixedReset Prem 51,910 YTW SCENARIO
Maturity Type : Call
Maturity Date : 2022-07-31
Maturity Price : 25.00
Evaluated at bid price : 25.15
Bid-YTW : 3.61 %
TD.PF.L FixedReset Prem 50,250 YTW SCENARIO
Maturity Type : Call
Maturity Date : 2024-04-30
Maturity Price : 25.00
Evaluated at bid price : 25.95
Bid-YTW : 3.51 %
There were 10 other index-included issues trading in excess of 10,000 shares.
Wide Spread Highlights
Issue Index Quote Data and Yield Notes
PWF.PF.A Perpetual-Discount Quote: 15.00 – 24.40
Spot Rate : 9.4000
Average : 5.0257

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-02-15
Maturity Price : 15.00
Evaluated at bid price : 15.00
Bid-YTW : 7.60 %
GWO.PR.I Insurance Straight Quote: 18.75 – 24.20
Spot Rate : 5.4500
Average : 2.9707

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-02-15
Maturity Price : 18.75
Evaluated at bid price : 18.75
Bid-YTW : 6.10 %
BAM.PF.G FixedReset Disc Quote: 20.75 – 22.75
Spot Rate : 2.0000
Average : 1.3694

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-02-15
Maturity Price : 20.75
Evaluated at bid price : 20.75
Bid-YTW : 5.36 %
TD.PF.E FixedReset Disc Quote: 23.67 – 24.67
Spot Rate : 1.0000
Average : 0.6087

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-02-15
Maturity Price : 22.73
Evaluated at bid price : 23.67
Bid-YTW : 4.63 %
BAM.PR.X FixedReset Disc Quote: 18.00 – 19.24
Spot Rate : 1.2400
Average : 0.9160

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-02-15
Maturity Price : 18.00
Evaluated at bid price : 18.00
Bid-YTW : 5.08 %
CU.PR.I FixedReset Prem Quote: 25.60 – 26.50
Spot Rate : 0.9000
Average : 0.6149

YTW SCENARIO
Maturity Type : Call
Maturity Date : 2025-12-01
Maturity Price : 25.00
Evaluated at bid price : 25.60
Bid-YTW : 3.78 %
Market Action

February 14, 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 3.03 % 3.51 % 41,805 20.05 1 -0.0495 % 2,877.6
FixedFloater 0.00 % 0.00 % 0 0.00 0 -0.5713 % 5,605.3
Floater 2.84 % 2.87 % 62,315 20.02 3 -0.5713 % 3,230.3
OpRet 0.00 % 0.00 % 0 0.00 0 -0.0327 % 3,658.5
SplitShare 4.63 % 4.43 % 32,933 3.62 6 -0.0327 % 4,369.0
Interest-Bearing 0.00 % 0.00 % 0 0.00 0 -0.0327 % 3,408.9
Perpetual-Premium 5.24 % -11.15 % 56,764 0.09 22 -0.2372 % 3,211.4
Perpetual-Discount 4.99 % 4.92 % 59,338 15.63 11 -3.2334 % 3,692.3
FixedReset Disc 3.98 % 4.39 % 117,764 16.36 44 -0.6373 % 2,821.8
Insurance Straight 4.99 % 4.76 % 88,115 15.49 18 0.9716 % 3,592.8
FloatingReset 2.72 % 3.09 % 51,945 19.45 2 -0.7659 % 2,944.7
FixedReset Prem 4.79 % 3.82 % 107,929 2.08 26 -0.1452 % 2,698.1
FixedReset Bank Non 0.00 % 0.00 % 0 0.00 0 -0.6373 % 2,884.4
FixedReset Ins Non 4.12 % 4.40 % 72,308 16.31 17 -0.1508 % 2,949.5
Performance Highlights
Issue Index Change Notes
BAM.PR.M Perpetual-Discount -23.52 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-02-14
Maturity Price : 18.57
Evaluated at bid price : 18.57
Bid-YTW : 6.51 %
BAM.PF.B FixedReset Disc -4.72 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-02-14
Maturity Price : 21.60
Evaluated at bid price : 22.01
Bid-YTW : 5.10 %
PWF.PR.K Perpetual-Discount -4.18 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-02-14
Maturity Price : 23.58
Evaluated at bid price : 23.85
Bid-YTW : 5.22 %
BAM.PF.G FixedReset Disc -3.68 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-02-14
Maturity Price : 21.72
Evaluated at bid price : 22.00
Bid-YTW : 5.04 %
BAM.PF.C Perpetual-Discount -2.89 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-02-14
Maturity Price : 23.62
Evaluated at bid price : 23.90
Bid-YTW : 5.13 %
CU.PR.G Perpetual-Discount -2.52 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-02-14
Maturity Price : 23.34
Evaluated at bid price : 23.60
Bid-YTW : 4.77 %
GWO.PR.Y Insurance Straight -2.08 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-02-14
Maturity Price : 23.66
Evaluated at bid price : 24.00
Bid-YTW : 4.73 %
TD.PF.C FixedReset Disc -2.00 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-02-14
Maturity Price : 22.45
Evaluated at bid price : 23.01
Bid-YTW : 4.38 %
TD.PF.J FixedReset Prem -1.98 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-02-14
Maturity Price : 24.46
Evaluated at bid price : 24.80
Bid-YTW : 4.58 %
BAM.PR.X FixedReset Disc -1.86 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-02-14
Maturity Price : 18.46
Evaluated at bid price : 18.46
Bid-YTW : 4.95 %
TRP.PR.E FixedReset Disc -1.42 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-02-14
Maturity Price : 20.85
Evaluated at bid price : 20.85
Bid-YTW : 4.97 %
BMO.PR.S FixedReset Disc -1.39 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-02-14
Maturity Price : 22.82
Evaluated at bid price : 23.47
Bid-YTW : 4.35 %
CM.PR.T FixedReset Prem -1.35 % YTW SCENARIO
Maturity Type : Call
Maturity Date : 2024-04-30
Maturity Price : 25.00
Evaluated at bid price : 25.65
Bid-YTW : 4.10 %
BAM.PR.N Perpetual-Discount -1.32 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-02-14
Maturity Price : 22.82
Evaluated at bid price : 23.10
Bid-YTW : 5.20 %
TRP.PR.D FixedReset Disc -1.32 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-02-14
Maturity Price : 20.92
Evaluated at bid price : 20.92
Bid-YTW : 5.02 %
BAM.PF.E FixedReset Disc -1.27 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-02-14
Maturity Price : 21.40
Evaluated at bid price : 21.73
Bid-YTW : 4.91 %
PWF.PR.P FixedReset Disc -1.24 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-02-14
Maturity Price : 17.50
Evaluated at bid price : 17.50
Bid-YTW : 4.50 %
SLF.PR.C Insurance Straight -1.22 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-02-14
Maturity Price : 23.22
Evaluated at bid price : 23.52
Bid-YTW : 4.78 %
PWF.PR.L Perpetual-Premium -1.20 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-02-14
Maturity Price : 24.55
Evaluated at bid price : 24.80
Bid-YTW : 5.17 %
GWO.PR.I Insurance Straight -1.16 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-02-14
Maturity Price : 23.68
Evaluated at bid price : 23.95
Bid-YTW : 4.74 %
BAM.PR.T FixedReset Disc -1.15 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-02-14
Maturity Price : 21.50
Evaluated at bid price : 21.50
Bid-YTW : 4.87 %
MFC.PR.L FixedReset Ins Non -1.10 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-02-14
Maturity Price : 22.13
Evaluated at bid price : 22.43
Bid-YTW : 4.45 %
FTS.PR.H FixedReset Disc -1.06 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-02-14
Maturity Price : 17.15
Evaluated at bid price : 17.15
Bid-YTW : 4.42 %
BMO.PR.W FixedReset Disc -1.06 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-02-14
Maturity Price : 22.64
Evaluated at bid price : 23.30
Bid-YTW : 4.28 %
PWF.PR.T FixedReset Disc -1.04 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-02-14
Maturity Price : 23.36
Evaluated at bid price : 23.70
Bid-YTW : 4.43 %
BMO.PR.Y FixedReset Disc 1.09 % YTW SCENARIO
Maturity Type : Call
Maturity Date : 2025-08-25
Maturity Price : 25.00
Evaluated at bid price : 24.01
Bid-YTW : 4.27 %
RY.PR.M FixedReset Disc 1.30 % YTW SCENARIO
Maturity Type : Call
Maturity Date : 2025-11-24
Maturity Price : 25.00
Evaluated at bid price : 24.15
Bid-YTW : 3.97 %
CU.PR.E Perpetual-Premium 1.55 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-02-14
Maturity Price : 24.64
Evaluated at bid price : 24.90
Bid-YTW : 4.92 %
RY.PR.J FixedReset Disc 1.58 % YTW SCENARIO
Maturity Type : Call
Maturity Date : 2025-05-24
Maturity Price : 25.00
Evaluated at bid price : 24.41
Bid-YTW : 3.96 %
BAM.PF.A FixedReset Prem 2.50 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-02-14
Maturity Price : 23.53
Evaluated at bid price : 24.60
Bid-YTW : 4.83 %
SLF.PR.D Insurance Straight 5.52 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-02-14
Maturity Price : 23.20
Evaluated at bid price : 23.50
Bid-YTW : 4.78 %
MFC.PR.B Insurance Straight 22.79 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-02-14
Maturity Price : 23.49
Evaluated at bid price : 23.76
Bid-YTW : 4.96 %
Volume Highlights
Issue Index Shares
Traded		 Notes
MFC.PR.R FixedReset Ins Non 174,100 YTW SCENARIO
Maturity Type : Call
Maturity Date : 2022-03-19
Maturity Price : 25.00
Evaluated at bid price : 25.26
Bid-YTW : 1.70 %
CM.PR.R FixedReset Prem 156,100 YTW SCENARIO
Maturity Type : Call
Maturity Date : 2022-07-31
Maturity Price : 25.00
Evaluated at bid price : 25.18
Bid-YTW : 3.32 %
TRP.PR.K FixedReset Prem 95,195 YTW SCENARIO
Maturity Type : Call
Maturity Date : 2022-05-31
Maturity Price : 25.00
Evaluated at bid price : 25.06
Bid-YTW : 3.54 %
TD.PF.M FixedReset Prem 41,564 YTW SCENARIO
Maturity Type : Call
Maturity Date : 2024-07-31
Maturity Price : 25.00
Evaluated at bid price : 26.20
Bid-YTW : 3.16 %
TD.PF.I FixedReset Prem 33,500 YTW SCENARIO
Maturity Type : Call
Maturity Date : 2022-10-31
Maturity Price : 25.00
Evaluated at bid price : 25.21
Bid-YTW : 3.57 %
SLF.PR.J FloatingReset 32,477 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-02-14
Maturity Price : 18.12
Evaluated at bid price : 18.12
Bid-YTW : 2.39 %
There were 24 other index-included issues trading in excess of 10,000 shares.
Wide Spread Highlights
Issue Index Quote Data and Yield Notes
BAM.PR.M Perpetual-Discount Quote: 18.57 – 24.40
Spot Rate : 5.8300
Average : 3.1218

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-02-14
Maturity Price : 18.57
Evaluated at bid price : 18.57
Bid-YTW : 6.51 %
BAM.PF.B FixedReset Disc Quote: 22.01 – 23.64
Spot Rate : 1.6300
Average : 1.0473

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-02-14
Maturity Price : 21.60
Evaluated at bid price : 22.01
Bid-YTW : 5.10 %
PWF.PR.K Perpetual-Discount Quote: 23.85 – 24.85
Spot Rate : 1.0000
Average : 0.5880

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-02-14
Maturity Price : 23.58
Evaluated at bid price : 23.85
Bid-YTW : 5.22 %
BAM.PF.C Perpetual-Discount Quote: 23.90 – 24.85
Spot Rate : 0.9500
Average : 0.6083

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-02-14
Maturity Price : 23.62
Evaluated at bid price : 23.90
Bid-YTW : 5.13 %
BAM.PF.G FixedReset Disc Quote: 22.00 – 23.00
Spot Rate : 1.0000
Average : 0.6781

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-02-14
Maturity Price : 21.72
Evaluated at bid price : 22.00
Bid-YTW : 5.04 %
BAM.PR.N Perpetual-Discount Quote: 23.10 – 24.32
Spot Rate : 1.2200
Average : 0.9132

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-02-14
Maturity Price : 22.82
Evaluated at bid price : 23.10
Bid-YTW : 5.20 %
PrefLetter

February PrefLetter Slightly Delayed

Some of you will have noticed that the PrefLetter website has been down for about a week now. This is due to a major upgrade of the ‘plumbing’ – backup, SQL version, PHP version, WordPress version, you name it, we got it – which, unfortunately did not proceed without hiccups.

One of those hiccups has prevented the sending of the February PrefLetter, which has been prepared but my access to the distribution software has been impaired.

I hope to have this cleared up shortly, but I need to discuss details with my server-guy, who is not currently available.

I regret the delay.

Market Action

February 11, 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 3.03 % 3.50 % 41,585 20.06 1 -1.0284 % 2,879.0
FixedFloater 0.00 % 0.00 % 0 0.00 0 -0.6115 % 5,637.5
Floater 2.83 % 2.85 % 61,742 20.09 3 -0.6115 % 3,248.9
OpRet 0.00 % 0.00 % 0 0.00 0 -0.0653 % 3,659.7
SplitShare 4.63 % 4.43 % 31,698 3.63 6 -0.0653 % 4,370.4
Interest-Bearing 0.00 % 0.00 % 0 0.00 0 -0.0653 % 3,410.0
Perpetual-Premium 5.23 % -5.07 % 55,336 0.09 22 -0.5965 % 3,219.0
Perpetual-Discount 4.83 % 4.87 % 59,867 15.71 11 -0.8912 % 3,815.6
FixedReset Disc 3.95 % 4.43 % 118,188 16.44 44 -0.7933 % 2,839.9
Insurance Straight 5.04 % 4.69 % 84,494 13.67 18 -2.4895 % 3,558.2
FloatingReset 2.70 % 3.07 % 52,681 19.52 2 0.3018 % 2,967.4
FixedReset Prem 4.78 % 3.78 % 106,227 1.78 26 -0.4186 % 2,702.1
FixedReset Bank Non 0.00 % 0.00 % 0 0.00 0 -0.7933 % 2,902.9
FixedReset Ins Non 4.11 % 4.30 % 73,446 16.36 17 -0.4705 % 2,954.0
Performance Highlights
Issue Index Change Notes
MFC.PR.B Insurance Straight -21.98 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-02-11
Maturity Price : 19.35
Evaluated at bid price : 19.35
Bid-YTW : 6.12 %
SLF.PR.D Insurance Straight -9.06 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-02-11
Maturity Price : 22.04
Evaluated at bid price : 22.27
Bid-YTW : 5.05 %
BAM.PF.A FixedReset Prem -4.38 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-02-11
Maturity Price : 23.62
Evaluated at bid price : 24.00
Bid-YTW : 4.99 %
MFC.PR.C Insurance Straight -4.11 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-02-11
Maturity Price : 23.31
Evaluated at bid price : 23.59
Bid-YTW : 4.82 %
BAM.PR.N Perpetual-Discount -4.10 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-02-11
Maturity Price : 23.15
Evaluated at bid price : 23.41
Bid-YTW : 5.13 %
BAM.PR.R FixedReset Disc -3.61 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-02-11
Maturity Price : 20.05
Evaluated at bid price : 20.05
Bid-YTW : 4.93 %
FTS.PR.J Perpetual-Premium -2.62 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-02-11
Maturity Price : 23.95
Evaluated at bid price : 24.20
Bid-YTW : 4.99 %
TRP.PR.A FixedReset Disc -2.58 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-02-11
Maturity Price : 18.90
Evaluated at bid price : 18.90
Bid-YTW : 4.96 %
SLF.PR.C Insurance Straight -2.54 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-02-11
Maturity Price : 23.54
Evaluated at bid price : 23.81
Bid-YTW : 4.72 %
CU.PR.I FixedReset Prem -2.11 % YTW SCENARIO
Maturity Type : Call
Maturity Date : 2025-12-01
Maturity Price : 25.00
Evaluated at bid price : 25.55
Bid-YTW : 3.83 %
CU.PR.E Perpetual-Premium -2.08 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-02-11
Maturity Price : 24.23
Evaluated at bid price : 24.52
Bid-YTW : 4.99 %
SLF.PR.E Insurance Straight -2.07 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-02-11
Maturity Price : 23.84
Evaluated at bid price : 24.09
Bid-YTW : 4.72 %
BMO.PR.Y FixedReset Disc -2.06 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-02-11
Maturity Price : 22.79
Evaluated at bid price : 23.75
Bid-YTW : 4.43 %
BNS.PR.I FixedReset Prem -2.04 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-02-11
Maturity Price : 23.60
Evaluated at bid price : 25.00
Bid-YTW : 4.25 %
BAM.PF.B FixedReset Disc -2.04 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-02-11
Maturity Price : 22.79
Evaluated at bid price : 23.10
Bid-YTW : 4.86 %
GWO.PR.H Insurance Straight -1.95 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-02-11
Maturity Price : 24.30
Evaluated at bid price : 24.61
Bid-YTW : 4.98 %
TRP.PR.G FixedReset Disc -1.83 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-02-11
Maturity Price : 22.68
Evaluated at bid price : 23.60
Bid-YTW : 4.69 %
RY.PR.H FixedReset Disc -1.81 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-02-11
Maturity Price : 22.68
Evaluated at bid price : 23.30
Bid-YTW : 4.29 %
FTS.PR.F Perpetual-Premium -1.78 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-02-11
Maturity Price : 24.64
Evaluated at bid price : 24.90
Bid-YTW : 5.00 %
BAM.PF.F FixedReset Disc -1.63 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-02-11
Maturity Price : 22.84
Evaluated at bid price : 23.61
Bid-YTW : 4.87 %
NA.PR.W FixedReset Disc -1.58 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-02-11
Maturity Price : 22.79
Evaluated at bid price : 23.62
Bid-YTW : 4.23 %
TRP.PR.E FixedReset Disc -1.58 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-02-11
Maturity Price : 21.15
Evaluated at bid price : 21.15
Bid-YTW : 4.90 %
TRP.PR.D FixedReset Disc -1.58 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-02-11
Maturity Price : 21.20
Evaluated at bid price : 21.20
Bid-YTW : 4.95 %
PWF.PR.F Perpetual-Premium -1.56 % YTW SCENARIO
Maturity Type : Call
Maturity Date : 2022-03-13
Maturity Price : 25.00
Evaluated at bid price : 25.25
Bid-YTW : -5.07 %
BAM.PR.T FixedReset Disc -1.49 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-02-11
Maturity Price : 21.45
Evaluated at bid price : 21.75
Bid-YTW : 4.79 %
MFC.PR.M FixedReset Ins Non -1.48 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-02-11
Maturity Price : 22.66
Evaluated at bid price : 23.35
Bid-YTW : 4.43 %
PWF.PR.T FixedReset Disc -1.44 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-02-11
Maturity Price : 23.62
Evaluated at bid price : 23.95
Bid-YTW : 4.39 %
TD.PF.A FixedReset Disc -1.43 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-02-11
Maturity Price : 22.71
Evaluated at bid price : 23.40
Bid-YTW : 4.26 %
TD.PF.C FixedReset Disc -1.43 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-02-11
Maturity Price : 22.72
Evaluated at bid price : 23.48
Bid-YTW : 4.28 %
MFC.PR.K FixedReset Ins Non -1.40 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-02-11
Maturity Price : 23.46
Evaluated at bid price : 23.86
Bid-YTW : 4.30 %
RY.PR.J FixedReset Disc -1.40 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-02-11
Maturity Price : 22.95
Evaluated at bid price : 24.03
Bid-YTW : 4.44 %
CU.PR.J Perpetual-Premium -1.32 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-02-11
Maturity Price : 24.29
Evaluated at bid price : 24.67
Bid-YTW : 4.80 %
MFC.PR.N FixedReset Ins Non -1.28 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-02-11
Maturity Price : 22.52
Evaluated at bid price : 23.15
Bid-YTW : 4.39 %
NA.PR.S FixedReset Disc -1.27 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-02-11
Maturity Price : 23.13
Evaluated at bid price : 24.05
Bid-YTW : 4.32 %
BMO.PR.T FixedReset Disc -1.27 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-02-11
Maturity Price : 22.74
Evaluated at bid price : 23.40
Bid-YTW : 4.24 %
BAM.PF.D Perpetual-Premium -1.24 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-02-11
Maturity Price : 24.31
Evaluated at bid price : 24.62
Bid-YTW : 5.03 %
TD.PF.D FixedReset Disc -1.23 % YTW SCENARIO
Maturity Type : Call
Maturity Date : 2025-07-31
Maturity Price : 25.00
Evaluated at bid price : 24.10
Bid-YTW : 4.38 %
PWF.PF.A Perpetual-Discount -1.22 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-02-11
Maturity Price : 23.88
Evaluated at bid price : 24.25
Bid-YTW : 4.65 %
IFC.PR.G FixedReset Ins Non -1.14 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-02-11
Maturity Price : 23.81
Evaluated at bid price : 25.11
Bid-YTW : 4.36 %
IAF.PR.B Insurance Straight -1.13 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-02-11
Maturity Price : 24.19
Evaluated at bid price : 24.45
Bid-YTW : 4.75 %
EMA.PR.L Perpetual-Discount -1.11 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-02-11
Maturity Price : 23.78
Evaluated at bid price : 24.13
Bid-YTW : 4.77 %
CU.PR.C FixedReset Disc -1.08 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-02-11
Maturity Price : 22.18
Evaluated at bid price : 22.85
Bid-YTW : 4.58 %
CM.PR.P FixedReset Disc -1.05 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-02-11
Maturity Price : 22.78
Evaluated at bid price : 23.60
Bid-YTW : 4.25 %
BAM.PR.C Floater -1.04 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-02-11
Maturity Price : 15.19
Evaluated at bid price : 15.19
Bid-YTW : 2.84 %
CU.PR.F Perpetual-Discount -1.04 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-02-11
Maturity Price : 23.64
Evaluated at bid price : 23.90
Bid-YTW : 4.70 %
BAM.PR.E Ratchet -1.03 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-02-11
Maturity Price : 25.00
Evaluated at bid price : 20.21
Bid-YTW : 3.50 %
RY.PR.Z FixedReset Disc -1.02 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-02-11
Maturity Price : 22.71
Evaluated at bid price : 23.28
Bid-YTW : 4.26 %
TD.PF.E FixedReset Disc -1.02 % YTW SCENARIO
Maturity Type : Call
Maturity Date : 2025-10-31
Maturity Price : 25.00
Evaluated at bid price : 24.35
Bid-YTW : 4.05 %
BAM.PR.X FixedReset Disc 1.13 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-02-11
Maturity Price : 18.81
Evaluated at bid price : 18.81
Bid-YTW : 4.86 %
BAM.PF.E FixedReset Disc 2.61 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-02-11
Maturity Price : 21.75
Evaluated at bid price : 22.01
Bid-YTW : 4.85 %
TRP.PR.C FixedReset Disc 5.29 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-02-11
Maturity Price : 16.11
Evaluated at bid price : 16.11
Bid-YTW : 4.78 %
Volume Highlights
Issue Index Shares
Traded		 Notes
NA.PR.C FixedReset Prem 90,680 YTW SCENARIO
Maturity Type : Call
Maturity Date : 2022-11-15
Maturity Price : 25.00
Evaluated at bid price : 25.17
Bid-YTW : 3.51 %
RY.PR.J FixedReset Disc 46,600 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-02-11
Maturity Price : 22.95
Evaluated at bid price : 24.03
Bid-YTW : 4.44 %
NA.PR.W FixedReset Disc 45,900 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-02-11
Maturity Price : 22.79
Evaluated at bid price : 23.62
Bid-YTW : 4.23 %
TD.PF.M FixedReset Prem 42,850 YTW SCENARIO
Maturity Type : Call
Maturity Date : 2024-07-31
Maturity Price : 25.00
Evaluated at bid price : 26.26
Bid-YTW : 3.05 %
TD.PF.I FixedReset Prem 32,547 YTW SCENARIO
Maturity Type : Call
Maturity Date : 2022-10-31
Maturity Price : 25.00
Evaluated at bid price : 25.15
Bid-YTW : 3.87 %
TD.PF.E FixedReset Disc 30,100 YTW SCENARIO
Maturity Type : Call
Maturity Date : 2025-10-31
Maturity Price : 25.00
Evaluated at bid price : 24.35
Bid-YTW : 4.05 %
There were 24 other index-included issues trading in excess of 10,000 shares.
Wide Spread Highlights
Issue Index Quote Data and Yield Notes
MFC.PR.B Insurance Straight Quote: 19.35 – 24.03
Spot Rate : 4.6800
Average : 2.5332

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-02-11
Maturity Price : 19.35
Evaluated at bid price : 19.35
Bid-YTW : 6.12 %
SLF.PR.D Insurance Straight Quote: 22.27 – 24.03
Spot Rate : 1.7600
Average : 1.0231

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-02-11
Maturity Price : 22.04
Evaluated at bid price : 22.27
Bid-YTW : 5.05 %
BAM.PF.A FixedReset Prem Quote: 24.00 – 25.14
Spot Rate : 1.1400
Average : 0.6339

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-02-11
Maturity Price : 23.62
Evaluated at bid price : 24.00
Bid-YTW : 4.99 %
BAM.PR.N Perpetual-Discount Quote: 23.41 – 24.41
Spot Rate : 1.0000
Average : 0.5769

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-02-11
Maturity Price : 23.15
Evaluated at bid price : 23.41
Bid-YTW : 5.13 %
PWF.PR.F Perpetual-Premium Quote: 25.25 – 25.96
Spot Rate : 0.7100
Average : 0.4156

YTW SCENARIO
Maturity Type : Call
Maturity Date : 2022-03-13
Maturity Price : 25.00
Evaluated at bid price : 25.25
Bid-YTW : -5.07 %
SLF.PR.E Insurance Straight Quote: 24.09 – 25.00
Spot Rate : 0.9100
Average : 0.6551

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-02-11
Maturity Price : 23.84
Evaluated at bid price : 24.09
Bid-YTW : 4.72 %
Market Action

February 10, 2022

US inflation has recorded a 40-year high:

The Canadian dollar CADUSD weakened against the greenback on Thursday as data showing that U.S. inflation soared to a 40-year high in January raised expectations for aggressive interest rate hikes by the Federal Reserve.

U.S. bond yields climbed and the greenback rallied against a basket of major currencies as the U.S. consumer price index climbed at an annual rate of 7.5 per cent, fueling speculation of a 50 basis points interest rate hike from the Fed next month.

The NYT reports signs of spreading:

More worrying were the report’s details, which showed inflation moving beyond pandemic-affected goods and services, a sign that rapid gains could prove longer lasting and harder to shake off.
…
Lately, it is more than just shortages of goods at play. Price gains are increasingly hitting consumers in hard-to-avoid ways as they show up in necessities: January’s inflation reading was driven by food, electricity and shelter costs, the Bureau of Labor Statistics said.
…
After Thursday’s report, investors expected the Fed to withdraw economic support even more quickly. Markets braced for a half-percentage-point increase in the federal funds rate at the central bank’s meeting next month — double the usual increment.

The inflation reading sent stocks down and government bond yields up. The S&P 500 dropped 1.8 percent, while the Nasdaq composite fell 2.1 percent. The yield on 10-year U.S. Treasury notes rose 0.1 percentage points, to about 2.03 percent, the highest level since November 2019.

GOC-5 hit 1.84% today; the highest in the BOC’s weekly series since 2019-2-13.

HIMIPref™ Preferred Indices
These values reflect the December 2008 revision of the HIMIPref™ Indices
Values are provisional and are finalized monthly
Index Mean
Current
Yield
(at bid)		 Median
YTW		 Median
Average
Trading
Value		 Median
Mod Dur
(YTW)		 Issues Day’s Perf. Index Value
Ratchet 3.00 % 3.45 % 41,482 20.12 1 0.5416 % 2,908.9
FixedFloater 0.00 % 0.00 % 0 0.00 0 0.3067 % 5,672.1
Floater 2.81 % 2.83 % 62,607 20.15 3 0.3067 % 3,268.9
OpRet 0.00 % 0.00 % 0 0.00 0 0.1832 % 3,662.1
SplitShare 4.63 % 4.35 % 32,190 3.63 6 0.1832 % 4,373.3
Interest-Bearing 0.00 % 0.00 % 0 0.00 0 0.1832 % 3,412.2
Perpetual-Premium 5.20 % -15.55 % 55,685 0.09 22 -0.1035 % 3,238.3
Perpetual-Discount 4.79 % 4.74 % 60,682 15.74 11 -0.1224 % 3,849.9
FixedReset Disc 3.92 % 4.21 % 116,938 16.49 44 -0.3261 % 2,862.6
Insurance Straight 4.91 % 4.60 % 80,975 15.66 18 -0.1728 % 3,649.0
FloatingReset 2.67 % 3.02 % 53,021 19.64 2 0.0000 % 2,958.5
FixedReset Prem 4.76 % 3.55 % 104,163 1.78 26 0.0015 % 2,713.4
FixedReset Bank Non 0.00 % 0.00 % 0 0.00 0 -0.3261 % 2,926.2
FixedReset Ins Non 4.09 % 4.14 % 73,077 16.55 17 0.0585 % 2,968.0
Performance Highlights
Issue Index Change Notes
BAM.PF.E FixedReset Disc -3.81 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-02-10
Maturity Price : 21.45
Evaluated at bid price : 21.45
Bid-YTW : 4.88 %
BAM.PR.Z FixedReset Disc -2.07 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-02-10
Maturity Price : 24.18
Evaluated at bid price : 24.65
Bid-YTW : 4.76 %
MFC.PR.F FixedReset Ins Non -1.98 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-02-10
Maturity Price : 18.30
Evaluated at bid price : 18.30
Bid-YTW : 4.07 %
RY.PR.M FixedReset Disc -1.81 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-02-10
Maturity Price : 22.80
Evaluated at bid price : 23.84
Bid-YTW : 4.20 %
BAM.PR.X FixedReset Disc -1.69 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-02-10
Maturity Price : 18.60
Evaluated at bid price : 18.60
Bid-YTW : 4.75 %
SLF.PR.G FixedReset Ins Non -1.39 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-02-10
Maturity Price : 17.75
Evaluated at bid price : 17.75
Bid-YTW : 4.11 %
RY.PR.Z FixedReset Disc -1.38 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-02-10
Maturity Price : 22.85
Evaluated at bid price : 23.52
Bid-YTW : 4.09 %
FTS.PR.H FixedReset Disc -1.13 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-02-10
Maturity Price : 17.50
Evaluated at bid price : 17.50
Bid-YTW : 4.23 %
BMO.PR.Y FixedReset Disc 1.04 % YTW SCENARIO
Maturity Type : Call
Maturity Date : 2025-08-25
Maturity Price : 25.00
Evaluated at bid price : 24.25
Bid-YTW : 3.95 %
IFC.PR.A FixedReset Ins Non 1.85 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-02-10
Maturity Price : 21.50
Evaluated at bid price : 21.50
Bid-YTW : 4.02 %
Volume Highlights
Issue Index Shares
Traded		 Notes
TD.PF.B FixedReset Disc 103,600 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-02-10
Maturity Price : 22.90
Evaluated at bid price : 23.68
Bid-YTW : 4.13 %
PWF.PR.S Perpetual-Discount 68,822 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-02-10
Maturity Price : 24.53
Evaluated at bid price : 24.83
Bid-YTW : 4.85 %
TD.PF.J FixedReset Prem 50,800 YTW SCENARIO
Maturity Type : Call
Maturity Date : 2023-04-30
Maturity Price : 25.00
Evaluated at bid price : 25.30
Bid-YTW : 3.80 %
NA.PR.W FixedReset Disc 44,703 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-02-10
Maturity Price : 22.97
Evaluated at bid price : 24.00
Bid-YTW : 4.04 %
GWO.PR.I Insurance Straight 42,265 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-02-10
Maturity Price : 23.98
Evaluated at bid price : 24.23
Bid-YTW : 4.69 %
CM.PR.P FixedReset Disc 40,300 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-02-10
Maturity Price : 22.91
Evaluated at bid price : 23.85
Bid-YTW : 4.09 %
There were 12 other index-included issues trading in excess of 10,000 shares.
Wide Spread Highlights
Issue Index Quote Data and Yield Notes
BAM.PF.E FixedReset Disc Quote: 21.45 – 22.50
Spot Rate : 1.0500
Average : 0.7497

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-02-10
Maturity Price : 21.45
Evaluated at bid price : 21.45
Bid-YTW : 4.88 %
BAM.PR.Z FixedReset Disc Quote: 24.65 – 25.20
Spot Rate : 0.5500
Average : 0.3437

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-02-10
Maturity Price : 24.18
Evaluated at bid price : 24.65
Bid-YTW : 4.76 %
RY.PR.M FixedReset Disc Quote: 23.84 – 24.35
Spot Rate : 0.5100
Average : 0.3043

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-02-10
Maturity Price : 22.80
Evaluated at bid price : 23.84
Bid-YTW : 4.20 %
MFC.PR.F FixedReset Ins Non Quote: 18.30 – 18.83
Spot Rate : 0.5300
Average : 0.3599

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-02-10
Maturity Price : 18.30
Evaluated at bid price : 18.30
Bid-YTW : 4.07 %
BAM.PF.B FixedReset Disc Quote: 23.58 – 24.01
Spot Rate : 0.4300
Average : 0.2643

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-02-10
Maturity Price : 23.26
Evaluated at bid price : 23.58
Bid-YTW : 4.64 %
TRP.PR.E FixedReset Disc Quote: 21.49 – 22.02
Spot Rate : 0.5300
Average : 0.3665

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-02-10
Maturity Price : 21.49
Evaluated at bid price : 21.49
Bid-YTW : 4.70 %
Market Action

February 9, 2022

PerpetualDiscounts now yield 4.87%, equivalent to 6.33% interest at the standard equivalency factor of 1.3x. Long corporates now yield 3.82%, so the pre-tax interest-equivalent spread (in this context, the “Seniority Spread”) has widened to 250bp from the 240bp reported February 2.

HIMIPref™ Preferred Indices
These values reflect the December 2008 revision of the HIMIPref™ Indices
Values are provisional and are finalized monthly
Index Mean
Current
Yield
(at bid)		 Median
YTW		 Median
Average
Trading
Value		 Median
Mod Dur
(YTW)		 Issues Day’s Perf. Index Value
Ratchet 3.02 % 3.48 % 41,567 20.09 1 -0.1966 % 2,893.2
FixedFloater 0.00 % 0.00 % 0 0.00 0 0.1975 % 5,654.8
Floater 2.82 % 2.84 % 62,435 20.11 3 0.1975 % 3,258.9
OpRet 0.00 % 0.00 % 0 0.00 0 0.0458 % 3,655.4
SplitShare 4.64 % 4.42 % 33,412 3.37 6 0.0458 % 4,365.3
Interest-Bearing 0.00 % 0.00 % 0 0.00 0 0.0458 % 3,406.0
Perpetual-Premium 5.19 % -14.37 % 54,198 0.09 22 0.1572 % 3,241.7
Perpetual-Discount 4.78 % 4.87 % 62,668 15.72 11 0.0928 % 3,854.7
FixedReset Disc 3.91 % 4.26 % 117,208 16.44 44 -0.0966 % 2,872.0
Insurance Straight 4.91 % 4.58 % 81,079 15.66 18 0.1042 % 3,655.4
FloatingReset 2.67 % 3.03 % 53,300 19.63 2 -0.2736 % 2,958.5
FixedReset Prem 4.76 % 3.58 % 104,260 1.86 26 -0.1444 % 2,713.4
FixedReset Bank Non 0.00 % 0.00 % 0 0.00 0 -0.0966 % 2,935.7
FixedReset Ins Non 4.10 % 4.12 % 72,542 16.59 17 0.0535 % 2,966.2
Performance Highlights
Issue Index Change Notes
TRP.PR.C FixedReset Disc -5.56 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-02-09
Maturity Price : 15.30
Evaluated at bid price : 15.30
Bid-YTW : 4.88 %
BAM.PR.T FixedReset Disc -1.81 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-02-09
Maturity Price : 21.79
Evaluated at bid price : 22.22
Bid-YTW : 4.54 %
NA.PR.C FixedReset Prem -1.70 % YTW SCENARIO
Maturity Type : Call
Maturity Date : 2022-11-15
Maturity Price : 25.00
Evaluated at bid price : 24.90
Bid-YTW : 4.95 %
BMO.PR.Y FixedReset Disc -1.44 % YTW SCENARIO
Maturity Type : Call
Maturity Date : 2025-08-25
Maturity Price : 25.00
Evaluated at bid price : 24.00
Bid-YTW : 4.26 %
IFC.PR.A FixedReset Ins Non -1.36 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-02-09
Maturity Price : 21.11
Evaluated at bid price : 21.11
Bid-YTW : 4.10 %
BAM.PF.E FixedReset Disc 1.13 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-02-09
Maturity Price : 21.96
Evaluated at bid price : 22.30
Bid-YTW : 4.67 %
SLF.PR.G FixedReset Ins Non 1.29 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-02-09
Maturity Price : 18.00
Evaluated at bid price : 18.00
Bid-YTW : 4.05 %
POW.PR.D Perpetual-Premium 2.14 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-02-09
Maturity Price : 24.55
Evaluated at bid price : 24.80
Bid-YTW : 5.08 %
FTS.PR.H FixedReset Disc 2.31 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-02-09
Maturity Price : 17.70
Evaluated at bid price : 17.70
Bid-YTW : 4.18 %
Volume Highlights
Issue Index Shares
Traded		 Notes
RY.PR.J FixedReset Disc 352,788 YTW SCENARIO
Maturity Type : Call
Maturity Date : 2025-05-24
Maturity Price : 25.00
Evaluated at bid price : 24.37
Bid-YTW : 4.00 %
RY.PR.Z FixedReset Disc 232,346 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-02-09
Maturity Price : 23.02
Evaluated at bid price : 23.85
Bid-YTW : 4.02 %
BAM.PR.T FixedReset Disc 140,412 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-02-09
Maturity Price : 21.79
Evaluated at bid price : 22.22
Bid-YTW : 4.54 %
PWF.PR.S Perpetual-Discount 63,630 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-02-09
Maturity Price : 24.47
Evaluated at bid price : 24.75
Bid-YTW : 4.87 %
TD.PF.D FixedReset Disc 58,450 YTW SCENARIO
Maturity Type : Call
Maturity Date : 2025-07-31
Maturity Price : 25.00
Evaluated at bid price : 24.40
Bid-YTW : 3.99 %
BMO.PR.E FixedReset Prem 56,296 YTW SCENARIO
Maturity Type : Call
Maturity Date : 2023-11-25
Maturity Price : 25.00
Evaluated at bid price : 25.45
Bid-YTW : 3.72 %
There were 33 other index-included issues trading in excess of 10,000 shares.
Wide Spread Highlights
Issue Index Quote Data and Yield Notes
BAM.PF.G FixedReset Disc Quote: 23.04 – 23.91
Spot Rate : 0.8700
Average : 0.4914

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-02-09
Maturity Price : 22.42
Evaluated at bid price : 23.04
Bid-YTW : 4.68 %
PWF.PR.L Perpetual-Premium Quote: 25.11 – 26.11
Spot Rate : 1.0000
Average : 0.6360

YTW SCENARIO
Maturity Type : Call
Maturity Date : 2022-03-11
Maturity Price : 25.00
Evaluated at bid price : 25.11
Bid-YTW : 1.10 %
TRP.PR.C FixedReset Disc Quote: 15.30 – 16.50
Spot Rate : 1.2000
Average : 0.9110

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-02-09
Maturity Price : 15.30
Evaluated at bid price : 15.30
Bid-YTW : 4.88 %
PVS.PR.G SplitShare Quote: 25.50 – 26.10
Spot Rate : 0.6000
Average : 0.4043

YTW SCENARIO
Maturity Type : Option Certainty
Maturity Date : 2026-02-28
Maturity Price : 25.00
Evaluated at bid price : 25.50
Bid-YTW : 4.62 %
SLF.PR.G FixedReset Ins Non Quote: 18.00 – 18.66
Spot Rate : 0.6600
Average : 0.4718

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-02-09
Maturity Price : 18.00
Evaluated at bid price : 18.00
Bid-YTW : 4.05 %
CM.PR.Y FixedReset Prem Quote: 26.25 – 26.99
Spot Rate : 0.7400
Average : 0.5535

YTW SCENARIO
Maturity Type : Call
Maturity Date : 2024-07-31
Maturity Price : 25.00
Evaluated at bid price : 26.25
Bid-YTW : 3.13 %
Market Action

February 8, 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 3.01 % 3.47 % 40,605 20.10 1 0.1969 % 2,898.9
FixedFloater 0.00 % 0.00 % 0 0.00 0 0.2641 % 5,643.7
Floater 2.82 % 2.84 % 62,434 20.11 3 0.2641 % 3,252.5
OpRet 0.00 % 0.00 % 0 0.00 0 0.0262 % 3,653.7
SplitShare 4.64 % 4.43 % 33,111 3.37 6 0.0262 % 4,363.3
Interest-Bearing 0.00 % 0.00 % 0 0.00 0 0.0262 % 3,404.4
Perpetual-Premium 5.20 % -14.54 % 51,729 0.09 22 -0.1784 % 3,236.6
Perpetual-Discount 4.78 % 4.86 % 63,397 15.73 11 -0.1261 % 3,851.1
FixedReset Disc 3.91 % 4.24 % 112,425 16.45 44 0.2707 % 2,874.7
Insurance Straight 4.91 % 4.59 % 80,098 15.65 18 -0.2588 % 3,651.6
FloatingReset 2.66 % 3.03 % 55,233 19.63 2 -0.5983 % 2,966.6
FixedReset Prem 4.76 % 3.37 % 102,764 1.79 26 -0.1397 % 2,717.3
FixedReset Bank Non 0.00 % 0.00 % 0 0.00 0 0.2707 % 2,938.6
FixedReset Ins Non 4.10 % 4.10 % 69,659 16.58 17 -0.1348 % 2,964.6
Performance Highlights
Issue Index Change Notes
POW.PR.D Perpetual-Premium -3.84 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-02-08
Maturity Price : 24.03
Evaluated at bid price : 24.28
Bid-YTW : 5.19 %
TRP.PR.B FixedReset Disc -1.71 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-02-08
Maturity Price : 14.35
Evaluated at bid price : 14.35
Bid-YTW : 4.83 %
SLF.PR.G FixedReset Ins Non -1.55 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-02-08
Maturity Price : 17.77
Evaluated at bid price : 17.77
Bid-YTW : 4.10 %
BMO.PR.S FixedReset Disc -1.03 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-02-08
Maturity Price : 23.07
Evaluated at bid price : 23.95
Bid-YTW : 4.13 %
IFC.PR.A FixedReset Ins Non 1.37 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-02-08
Maturity Price : 21.40
Evaluated at bid price : 21.40
Bid-YTW : 4.04 %
CU.PR.C FixedReset Disc 1.40 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-02-08
Maturity Price : 22.32
Evaluated at bid price : 23.10
Bid-YTW : 4.39 %
BAM.PR.Z FixedReset Disc 2.03 % YTW SCENARIO
Maturity Type : Call
Maturity Date : 2022-12-31
Maturity Price : 25.00
Evaluated at bid price : 25.15
Bid-YTW : 4.59 %
BAM.PF.E FixedReset Disc 2.56 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-02-08
Maturity Price : 21.78
Evaluated at bid price : 22.05
Bid-YTW : 4.72 %
BAM.PR.T FixedReset Disc 3.81 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-02-08
Maturity Price : 22.05
Evaluated at bid price : 22.63
Bid-YTW : 4.44 %
BAM.PR.X FixedReset Disc 5.00 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-02-08
Maturity Price : 18.90
Evaluated at bid price : 18.90
Bid-YTW : 4.67 %
TRP.PR.C FixedReset Disc 5.88 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-02-08
Maturity Price : 16.20
Evaluated at bid price : 16.20
Bid-YTW : 4.61 %
Volume Highlights
Issue Index Shares
Traded		 Notes
MFC.PR.Q FixedReset Ins Non 284,100 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-02-08
Maturity Price : 23.76
Evaluated at bid price : 24.95
Bid-YTW : 4.27 %
MFC.PR.R FixedReset Ins Non 180,600 YTW SCENARIO
Maturity Type : Call
Maturity Date : 2022-03-19
Maturity Price : 25.00
Evaluated at bid price : 25.24
Bid-YTW : 2.19 %
BMO.PR.B FixedReset Disc 108,100 YTW SCENARIO
Maturity Type : Call
Maturity Date : 2022-03-27
Maturity Price : 25.00
Evaluated at bid price : 24.98
Bid-YTW : 3.75 %
TD.PF.C FixedReset Disc 103,902 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-02-08
Maturity Price : 22.92
Evaluated at bid price : 23.87
Bid-YTW : 4.08 %
BMO.PR.C FixedReset Prem 102,096 YTW SCENARIO
Maturity Type : Call
Maturity Date : 2022-05-25
Maturity Price : 25.00
Evaluated at bid price : 25.13
Bid-YTW : 1.98 %
SLF.PR.H FixedReset Ins Non 60,200 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-02-08
Maturity Price : 22.07
Evaluated at bid price : 22.62
Bid-YTW : 4.04 %
There were 20 other index-included issues trading in excess of 10,000 shares.
Wide Spread Highlights
Issue Index Quote Data and Yield Notes
POW.PR.D Perpetual-Premium Quote: 24.28 – 25.26
Spot Rate : 0.9800
Average : 0.5370

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-02-08
Maturity Price : 24.03
Evaluated at bid price : 24.28
Bid-YTW : 5.19 %
CM.PR.T FixedReset Prem Quote: 25.89 – 26.55
Spot Rate : 0.6600
Average : 0.4676

YTW SCENARIO
Maturity Type : Call
Maturity Date : 2024-04-30
Maturity Price : 25.00
Evaluated at bid price : 25.89
Bid-YTW : 3.62 %
BAM.PF.F FixedReset Disc Quote: 23.85 – 24.35
Spot Rate : 0.5000
Average : 0.4079

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-02-08
Maturity Price : 22.96
Evaluated at bid price : 23.85
Bid-YTW : 4.70 %
GWO.PR.S Insurance Straight Quote: 25.50 – 25.85
Spot Rate : 0.3500
Average : 0.2703

YTW SCENARIO
Maturity Type : Call
Maturity Date : 2022-06-30
Maturity Price : 25.25
Evaluated at bid price : 25.50
Bid-YTW : 4.09 %
TRP.PR.B FixedReset Disc Quote: 14.35 – 14.60
Spot Rate : 0.2500
Average : 0.1814

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-02-08
Maturity Price : 14.35
Evaluated at bid price : 14.35
Bid-YTW : 4.83 %
SLF.PR.C Insurance Straight Quote: 24.43 – 24.70
Spot Rate : 0.2700
Average : 0.2073

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-02-08
Maturity Price : 24.17
Evaluated at bid price : 24.43
Bid-YTW : 4.59 %
Market Action

February 7, 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 3.02 % 3.48 % 40,838 20.09 1 -0.0984 % 2,893.2
FixedFloater 0.00 % 0.00 % 0 0.00 0 0.0661 % 5,628.8
Floater 2.83 % 2.85 % 57,947 20.09 3 0.0661 % 3,243.9
OpRet 0.00 % 0.00 % 0 0.00 0 0.1377 % 3,652.8
SplitShare 4.64 % 4.43 % 34,483 3.38 6 0.1377 % 4,362.2
Interest-Bearing 0.00 % 0.00 % 0 0.00 0 0.1377 % 3,403.5
Perpetual-Premium 5.19 % -14.70 % 54,633 0.09 22 -0.0749 % 3,242.4
Perpetual-Discount 4.78 % 4.87 % 58,704 15.72 11 -0.0482 % 3,855.9
FixedReset Disc 3.92 % 4.19 % 110,773 16.45 44 -0.4425 % 2,867.0
Insurance Straight 4.90 % 4.56 % 79,989 15.65 18 -0.1082 % 3,661.0
FloatingReset 2.64 % 3.00 % 55,988 19.70 2 0.7673 % 2,984.5
FixedReset Prem 4.75 % 3.11 % 101,217 1.79 26 -0.2277 % 2,721.1
FixedReset Bank Non 0.00 % 0.00 % 0 0.00 0 -0.4425 % 2,930.6
FixedReset Ins Non 4.09 % 4.10 % 64,718 16.58 17 -0.0330 % 2,968.6
Performance Highlights
Issue Index Change Notes
TRP.PR.C FixedReset Disc -6.59 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-02-07
Maturity Price : 15.30
Evaluated at bid price : 15.30
Bid-YTW : 4.87 %
CU.PR.C FixedReset Disc -1.81 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-02-07
Maturity Price : 22.13
Evaluated at bid price : 22.78
Bid-YTW : 4.46 %
BAM.PR.Z FixedReset Disc -1.79 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-02-07
Maturity Price : 24.18
Evaluated at bid price : 24.65
Bid-YTW : 4.76 %
CM.PR.P FixedReset Disc -1.57 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-02-07
Maturity Price : 22.91
Evaluated at bid price : 23.85
Bid-YTW : 4.08 %
BNS.PR.I FixedReset Prem -1.47 % YTW SCENARIO
Maturity Type : Call
Maturity Date : 2024-01-27
Maturity Price : 25.00
Evaluated at bid price : 25.50
Bid-YTW : 3.89 %
FTS.PR.G FixedReset Disc -1.39 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-02-07
Maturity Price : 22.40
Evaluated at bid price : 22.78
Bid-YTW : 4.30 %
TRP.PR.E FixedReset Disc -1.34 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-02-07
Maturity Price : 21.31
Evaluated at bid price : 21.31
Bid-YTW : 4.74 %
BAM.PR.R FixedReset Disc -1.19 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-02-07
Maturity Price : 20.80
Evaluated at bid price : 20.80
Bid-YTW : 4.65 %
GWO.PR.S Insurance Straight -1.16 % YTW SCENARIO
Maturity Type : Call
Maturity Date : 2022-06-30
Maturity Price : 25.25
Evaluated at bid price : 25.50
Bid-YTW : 4.06 %
FTS.PR.K FixedReset Disc -1.13 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-02-07
Maturity Price : 21.45
Evaluated at bid price : 21.80
Bid-YTW : 4.37 %
CU.PR.I FixedReset Prem -1.10 % YTW SCENARIO
Maturity Type : Call
Maturity Date : 2025-12-01
Maturity Price : 25.00
Evaluated at bid price : 26.06
Bid-YTW : 3.25 %
CM.PR.T FixedReset Prem -1.07 % YTW SCENARIO
Maturity Type : Call
Maturity Date : 2024-04-30
Maturity Price : 25.00
Evaluated at bid price : 26.00
Bid-YTW : 3.41 %
BAM.PR.T FixedReset Disc -1.04 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-02-07
Maturity Price : 21.49
Evaluated at bid price : 21.80
Bid-YTW : 4.63 %
Volume Highlights
Issue Index Shares
Traded		 Notes
BNS.PR.I FixedReset Prem 169,650 YTW SCENARIO
Maturity Type : Call
Maturity Date : 2024-01-27
Maturity Price : 25.00
Evaluated at bid price : 25.50
Bid-YTW : 3.89 %
TRP.PR.B FixedReset Disc 53,000 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-02-07
Maturity Price : 14.60
Evaluated at bid price : 14.60
Bid-YTW : 4.75 %
TD.PF.A FixedReset Disc 36,580 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-02-07
Maturity Price : 22.91
Evaluated at bid price : 23.79
Bid-YTW : 4.06 %
BAM.PR.T FixedReset Disc 31,681 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-02-07
Maturity Price : 21.49
Evaluated at bid price : 21.80
Bid-YTW : 4.63 %
MFC.PR.I FixedReset Ins Non 23,600 YTW SCENARIO
Maturity Type : Call
Maturity Date : 2022-09-19
Maturity Price : 25.00
Evaluated at bid price : 25.22
Bid-YTW : 3.91 %
TRP.PR.K FixedReset Prem 18,280 YTW SCENARIO
Maturity Type : Call
Maturity Date : 2022-05-31
Maturity Price : 25.00
Evaluated at bid price : 25.14
Bid-YTW : 2.27 %
There were 6 other index-included issues trading in excess of 10,000 shares.
Wide Spread Highlights
Issue Index Quote Data and Yield Notes
TRP.PR.C FixedReset Disc Quote: 15.30 – 16.55
Spot Rate : 1.2500
Average : 0.8069

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-02-07
Maturity Price : 15.30
Evaluated at bid price : 15.30
Bid-YTW : 4.87 %
BAM.PR.R FixedReset Disc Quote: 20.80 – 21.40
Spot Rate : 0.6000
Average : 0.4434

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-02-07
Maturity Price : 20.80
Evaluated at bid price : 20.80
Bid-YTW : 4.65 %
CM.PR.P FixedReset Disc Quote: 23.85 – 24.25
Spot Rate : 0.4000
Average : 0.2461

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-02-07
Maturity Price : 22.91
Evaluated at bid price : 23.85
Bid-YTW : 4.08 %
IFC.PR.A FixedReset Ins Non Quote: 21.11 – 21.75
Spot Rate : 0.6400
Average : 0.4870

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-02-07
Maturity Price : 21.11
Evaluated at bid price : 21.11
Bid-YTW : 4.09 %
SLF.PR.G FixedReset Ins Non Quote: 18.05 – 18.50
Spot Rate : 0.4500
Average : 0.3151

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-02-07
Maturity Price : 18.05
Evaluated at bid price : 18.05
Bid-YTW : 4.04 %
FTS.PR.H FixedReset Disc Quote: 17.30 – 18.00
Spot Rate : 0.7000
Average : 0.5741

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-02-07
Maturity Price : 17.30
Evaluated at bid price : 17.30
Bid-YTW : 4.28 %
MAPF

MAPF Performance : January, 2022

Malachite Aggressive Preferred Fund’s Net Asset Value per Unit as of the close January 31, 2022, was $10.9511.

Returns to January 31, 2022
Period MAPF TXPR*
Total Return		 CPD – according to Blackrock
One Month +1.94% -0.02% N/A
Three Months -0.27% -0.21% N/A
One Year +30.45% +16.34% +15.68%
Two Years (annualized) +22.69% +12.52% N/A
Three Years (annualized) +14.84% +9.62% +8.96%
Four Years (annualized) +6.25% +4.41% N/A
Five Years (annualized) +8.97% +5.68% +5.09%
Six Years (annualized) +13.08% +8.56% N/A
Seven Years (annualized) +6.55% +3.91% N/A
Eight Years (annualized) +6.33% +3.54% N/A
Nine Years (annualized) +5.18% +2.86% N/A
Ten Years (annualized) +5.36% +3.01% +2.51%
Eleven Years (annualized) +5.29% +3.34%  
Twelve Years (annualized) +6.28% +3.80%  
Thirteen Years (annualized) +9.32% +5.13%  
Fourteen Years (annualized) +8.99% +3.63%  
Fifteen Years (annualized) +8.41%    
Sixteen Years (annualized) +8.23%    
Seventeen Years (annualized) +8.09%    
Eighteen Years (annualized) +8.28%    
Nineteen Years (annualized) +9.20%    
Twenty Years (annualized) +8.87%    
MAPF returns assume reinvestment of distributions, and are shown after expenses but before fees.
The BMO Capital Markets “50” Preferred Share Index is no longer being calculated. The final performance report incorporating this venerable index was published as of December, 2020.
“TXPR” is the S&P/TSX Preferred Share Index. It is calculated without accounting for fees, but does assume reinvestment of dividends.
CPD Returns are for the NAV and are after all fees and expenses. Reinvestment of dividends is assumed.
Figures for National Bank Preferred Equity Income Fund (formerly Omega Preferred Equity) (which are after all fees and expenses) for 1-, 3- and 12-months are +0.59%, -0.12% and +21.32%, respectively, according to Globe & Mail / Fundata after all fees & expenses. Three year performance is +11.50%; five year is +7.06%; ten year is +4.15%

Figures from Morningstar are no longer conveniently available.
Manulife Preferred Income Class Adv has been terminated by Manulife. The performance of this fund was last reported here in March, 2018.
Figures for Horizons Active Preferred Share ETF (HPR) (which are after all fees and expenses) for 1-, 3- and 12-months are +0.18%, -0.34% & +20.97%, respectively. Three year performance is +10.85%, five-year is +6.17%
Figures for National Bank Preferred Equity Fund (formerly Altamira Preferred Equity Fund) are +0.17%, -0.50% and +21.17% for one-, three- and twelve months, respectively. Three year performance is +11.01%; five-year is +6.36%.

Acccording to the fund’s fact sheet as of June 30, 2016, the fund’s inception date was October 30, 2015. I do not know how they justify this nonsensical statement, but will assume that prior performance is being suppressed in some perfectly legal manner that somebody at National considers ethical.

The last time Altamira Preferred Equity Fund’s performance was reported here was April, 2014; performance under the National Bank banner was first reported here May, 2014.
The figures for the NAV of BMO S&P/TSX Laddered Preferred Share Index ETF (ZPR) is +19.69% for the past twelve months. Two year performance is +14.71%, three year is +10.35%, five year is +5.80%.
Figures for Fiera Canadian Preferred Share Class Cg Series F, (formerly Natixis Canadian Preferred Share Class Series F) (formerly NexGen Canadian Preferred Share Tax Managed Fund) are no longer available as the Fund is now the property of Canoe Financial. The last reported performance for the merged fund was May 2020.
Figures for BMO Preferred Share Fund (advisor series) according to BMO are -0.10%, -0.71% and +13.03% for the past one-, three- and twelve-months, respectively. Two year performance is +10.87%; three year is +7.18%; five-year is +2.73%.
Figures for PowerShares Canadian Preferred Share Index Class, Series F (PPS) are +17.27% for the past twelve months. The three-year figure is +9.33%; five years is +5.40%; ten-year is +2.86%
Figures for the First Asset Preferred Share Investment Trust (PSF.UN) are no longer available since the fund has merged with First Asset Preferred Share ETF (FPR).

Performance for the fund was last reported here in September, 2016; the first report of unavailability was in October, 2016.
Figures for Lysander-Slater Preferred Share Dividend Fund (Class F) according to the company are +0.56%, -0.05% and +24.38% for the past one, three and twelve months, respectively. Three year performance is +9.52%, five-year is +5.20%.
Figures for the Desjardins Canadian Preferred Share Fund A Class (A Class), as reported by the company are +0.14%, -0.43% and +16.49% for the past one, three and twelve months, respectively. Two year performance is +12.06%, three-year is +8.27%, five-year is +4.23%
Figures for the RBC Canadian Preferred Share ETF (RPF) as reported by Morningstar are +0.23%, -0.40% and +20.02% for the past one, three and twelve months, respectively. Three-year performance is +10.19%; five-year is +5.69%
Figures for the Dynamic Active Preferred Shares ETF (DXP) are +0.5%, -0.1% and +24.0% for the past one, three and twelve months, respectively. Three-year performance is +12.3%; five-year is +7.3%
Calculation of MAPF Sustainable Income Per Unit
Month NAVPU Portfolio
Average
YTW		 Leverage
Divisor		 Securities
Average
YTW		 Capital
Gains
Multiplier		 Sustainable
Income
per
current
Unit
June, 2007 9.3114 5.16% 1.03 5.01% 1.3240 0.3524
September 9.1489 5.35% 0.98 5.46% 1.3240 0.3773
December, 2007 9.0070 5.53% 0.942 5.87% 1.3240 0.3993
March, 2008 8.8512 6.17% 1.047 5.89% 1.3240 0.3938
June 8.3419 6.034% 0.952 6.338% 1.3240 $0.3993
September 8.1886 7.108% 0.969 7.335% 1.3240 $0.4537
December, 2008 8.0464 9.24% 1.008 9.166% 1.3240 $0.5571
March 2009 $8.8317 8.60% 0.995 8.802% 1.3240 $0.5872
June 10.9846 7.05% 0.999 7.057% 1.3240 $0.5855
September 12.3462 6.03% 0.998 6.042% 1.3240 $0.5634
December 2009 10.5662 5.74% 0.981 5.851% 1.1141 $0.5549
March 2010 10.2497 6.03% 0.992 6.079% 1.1141 $0.5593
June 10.5770 5.96% 0.996 5.984% 1.1141 $0.5681
September 11.3901 5.43% 0.980 5.540% 1.1141 $0.5664
December 2010 10.7659 5.37% 0.993 5.408% 1.0298 $0.5654
March, 2011 11.0560 6.00% 0.994 5.964% 1.0298 $0.6403
June 11.1194 5.87% 1.018 5.976% 1.0298 $0.6453
September 10.2709 6.10%
Note		 1.001 6.106% 1.0298 $0.6090
December, 2011 10.0793 5.63%
Note		 1.031 5.805% 1.0000 $0.5851
March, 2012 10.3944 5.13%
Note		 0.996 5.109% 1.0000 $0.5310
June 10.2151 5.32%
Note		 1.012 5.384% 1.0000 $0.5500
September 10.6703 4.61%
Note		 0.997 4.624% 1.0000 $0.4934
December, 2012 10.8307 4.24% 0.989 4.287% 1.0000 $0.4643
March, 2013 10.9033 3.87% 0.996 3.886% 1.0000 $0.4237
June 10.3261 4.81% 0.998 4.80% 1.0000 $0.4957
September 10.0296 5.62% 0.996 5.643% 1.0000 $0.5660
December, 2013 9.8717 6.02% 1.008 5.972% 1.0000 $0.5895
March, 2014 10.2233 5.55% 0.998 5.561% 1.0000 $0.5685
June 10.5877 5.09% 0.998 5.100% 1.0000 $0.5395
September 10.4601 5.28% 0.997 5.296% 1.0000 $0.5540
December, 2014 10.5701 4.83% 1.009 4.787% 1.0000 $0.5060
March, 2015 9.9573 4.99% 1.001 4.985% 1.0000 $0.4964
June, 2015 9.4181 5.55% 1.002 5.539% 1.0000 $0.5217
September 7.8140 6.98% 0.999 6.987% 1.0000 $0.5460
December, 2015 8.1379 6.85% 0.997 6.871% 1.0000 $0.5592
March, 2016 7.4416 7.79% 0.998 7.805% 1.0000 $0.5808
June 7.6704 7.67% 1.011 7.587% 1.0000 $0.5819
September 8.0590 7.35% 0.993 7.402% 1.0000 $0.5965
December, 2016 8.5844 7.24% 0.990 7.313% 1.0000 $0.6278
March, 2017 9.3984 6.26% 0.994 6.298% 1.0000 $0.5919
June 9.5313 6.41% 0.998 6.423% 1.0000 $0.6122
September 9.7129 6.56% 0.998 6.573% 1.0000 $0.6384
December, 2017 10.0566 6.06% 1.004 6.036% 1.0000 $0.6070
March, 2018 10.2701 6.22% 1.007 6.177% 1.0000 $0.6344
June 10.2518 6.22% 0.995 6.251% 1.0000 $0.6408
September 10.2965 6.62% 1.018 6.503% 1.0000 $0.6696
December, 2018 8.6875 7.16% 0.997 7.182% 1.0000 $0.6240
March, 2019 8.4778 7.09% 1.007 7.041% 1.0000 $0.5969
June 8.0896 7.33% 0.996 7.359% 1.0000 $0.5953
September 7.7948 7.96% 0.998 7.976% 1.0000 $0.6217
December, 2019 8.0900 6.03% 0.995 6.060% 1.0000 $0.4903
March 5.5596 7.04% 1.006 6.998% 1.0000 $0.3891
June 6.3568 6.10% 0.9900 6.162% 1.0000 $0.3917
September 7.2852 5.32% 1.00 5.320% 1.0000 $0.3876
December, 2020 8.3947 4.46% 0.999 4.464% 1.0000 $0.3747
March, 2021 9.6473 4.48% 0.996 4.498% 1.0000 $0.4339
June 10.3712 3.92% 0.985 3.980% 1.0000 $0.4127
September, 2021 10.7572 4.08% 1.017 4.012% 1.0000 $0.4316
December, 2021 10.7432 4.31% 0.999 4.314% 1.0000 $0.4635
January, 2022 10.9511 4.56% 0.999 4.565% 1.0000 $0.4999
NAVPU is shown after quarterly distributions of dividend income and annual distribution of capital gains.
Portfolio YTW includes cash (or margin borrowing), with an assumed interest rate of 0.00%
The Leverage Divisor indicates the level of cash in the account: if the portfolio is 1% in cash, the Leverage Divisor will be 0.99
Securities YTW divides “Portfolio YTW” by the “Leverage Divisor” to show the average YTW on the securities held; this assumes that the cash is invested in (or raised from) all securities held, in proportion to their holdings.
The Capital Gains Multiplier adjusts for the effects of Capital Gains Dividends. On 2009-12-31, there was a capital gains distribution of $1.989262 which is assumed for this purpose to have been reinvested at the final price of $10.5662. Thus, a holder of one unit pre-distribution would have held 1.1883 units post-distribution; the CG Multiplier reflects this to make the time-series comparable. Note that Dividend Distributions are not assumed to be reinvested.
Sustainable Income is the resultant estimate of the fund’s dividend income per current unit, before fees and expenses. Note that a “current unit” includes reinvestment of prior capital gains; a unitholder would have had the calculated sustainable income with only, say, 0.9 units in the past which, with reinvestment of capital gains, would become 1.0 current units.
DeemedRetractibles are comprised of all Straight Perpetuals (both PerpetualDiscount and PerpetualPremium) issued by BMO, BNS, CM, ELF, GWO, HSB, IAG, MFC, NA, RY, SLF and TD, which are not exchangable into common at the option of the company or the regulator (definition refined in May, 2011). These issues are analyzed as if their prospectuses included a requirement to redeem at par on or prior to 2022-1-31 (banks) or the Deemed Maturity date for insurers and insurance holding companies (see below)), in addition to the call schedule explicitly defined. See the Deemed Retractible Review: September 2016 for the rationale behind this analysis.

The same reasoning is also applied to FixedResets from these issuers, other than explicitly defined NVCC from banks.

In November, 2019, the assumption of DeemedRetraction for insurance issues was cancelled in the wake of the IAIS decision included in ICS 2.0. This resulted in a large drop in the yield calculated for these issues
The Deemed Maturity date for insurers was set at 2022-1-31 at the commencement of the process in February, 2011. It was extended to 2025-1-31 in April, 2013 and to 2030-1-31 in December, 2018. In November, 2019, the assumption of DeemedRetraction was cancelled in the wake of the IAIS decision included in ICS 2.0.
Yields for September, 2011, to January, 2012, were calculated by imposing a cap of 10% on the yields of YLO issues held, in order to avoid their extremely high calculated yields distorting the calculation and to reflect the uncertainty in the marketplace that these yields will be realized. From February to September 2012, yields on these issues have been set to zero. All YLO issues held were sold in October 2012.

These calculations were performed assuming constant contemporary GOC-5 and 3-Month Bill rates, as follows:

Canada Yields Assumed in Calculations
Month-end GOC-5 3-Month Bill
September, 2015 0.78% 0.40%
December, 2015 0.71% 0.46%
March, 2016 0.70% 0.44%
June 0.57% 0.47%
September 0.58% 0.53%
December, 2016 1.16% 0.47%
March, 2017 1.08% 0.55%
June 1.35% 0.69%
September 1.79% 0.97%
December, 2017 1.83% 1.00%
March, 2018 2.06% 1.08%
June 1.95% 1.22%
September 2.33% 1.55%
December, 2018 1.88% 1.65%
March, 2019 1.46% 1.66%
June 1.34% 1.66%
September 1.41% 1.66%
December, 2019 1.68% 1.68%
March, 2020 0.57% 0.21%
June 0.37% 0.21%
September 0.35% 0.14%
December, 2020 0.42% 0.08%
March, 2021 0.94% 0.09%
June 0.93% 0.13%
September 1.07% 0.13%
December, 2021 1.31% 0.16%
January, 2022 1.64% 0.30%