Archive for October, 2021

October 20, 2021

Wednesday, October 20th, 2021
HIMIPref™ Preferred Indices
These values reflect the December 2008 revision of the HIMIPref™ Indices

Values are provisional and are finalized monthly
Index Mean
Current
Yield
(at bid)
Median
YTW
Median
Average
Trading
Value
Median
Mod Dur
(YTW)
Issues Day’s Perf. Index Value
Ratchet 0.00 % 0.00 % 0 0.00 0 0.0491 % 2,753.0
FixedFloater 0.00 % 0.00 % 0 0.00 0 0.0491 % 5,051.5
Floater 3.15 % 3.18 % 54,547 19.28 3 0.0491 % 2,911.2
OpRet 0.00 % 0.00 % 0 0.00 0 -0.1375 % 3,733.3
SplitShare 4.59 % 4.06 % 55,100 3.90 5 -0.1375 % 4,458.3
Interest-Bearing 0.00 % 0.00 % 0 0.00 0 -0.1375 % 3,478.6
Perpetual-Premium 5.07 % -9.25 % 55,954 0.09 32 -0.0171 % 3,281.0
Perpetual-Discount 4.70 % 4.83 % 36,977 15.81 2 -0.0203 % 3,878.8
FixedReset Disc 3.83 % 3.72 % 103,425 17.08 40 0.1606 % 2,899.8
Insurance Straight 4.89 % -2.12 % 80,396 0.09 20 0.6973 % 3,710.1
FloatingReset 2.55 % 2.85 % 25,391 20.12 2 3.0928 % 2,840.8
FixedReset Prem 4.70 % 2.87 % 127,293 1.97 31 0.0250 % 2,760.7
FixedReset Bank Non 0.00 % 0.00 % 0 0.00 0 0.1606 % 2,964.2
FixedReset Ins Non 4.04 % 3.65 % 106,712 17.36 19 -0.0090 % 2,980.5
Performance Highlights
Issue Index Change Notes
RS.PR.A SplitShare -1.79 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-12-31
Maturity Price : 10.00
Evaluated at bid price : 11.00
Bid-YTW : 2.80 %
BNS.PR.I FixedReset Prem -1.56 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-10-20
Maturity Price : 23.62
Evaluated at bid price : 25.30
Bid-YTW : 3.68 %
BAM.PF.B FixedReset Disc -1.05 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-10-20
Maturity Price : 22.83
Evaluated at bid price : 23.55
Bid-YTW : 4.21 %
MIC.PR.A Perpetual-Premium 1.59 % YTW SCENARIO
Maturity Type : Call
Maturity Date : 2026-03-31
Maturity Price : 26.00
Evaluated at bid price : 27.43
Bid-YTW : 3.93 %
TRP.PR.F FloatingReset 5.88 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-10-20
Maturity Price : 18.00
Evaluated at bid price : 18.00
Bid-YTW : 2.85 %
MFC.PR.B Insurance Straight 14.32 % YTW SCENARIO
Maturity Type : Call
Maturity Date : 2021-11-19
Maturity Price : 25.00
Evaluated at bid price : 25.15
Bid-YTW : 2.15 %
Volume Highlights
Issue Index Shares
Traded
Notes
BMO.PR.C FixedReset Prem 324,897 YTW SCENARIO
Maturity Type : Call
Maturity Date : 2022-05-25
Maturity Price : 25.00
Evaluated at bid price : 25.43
Bid-YTW : 2.72 %
PWF.PF.A Perpetual-Discount 95,564 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-10-20
Maturity Price : 24.12
Evaluated at bid price : 24.50
Bid-YTW : 4.60 %
TD.PF.J FixedReset Prem 56,352 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-10-20
Maturity Price : 23.80
Evaluated at bid price : 25.21
Bid-YTW : 3.91 %
CM.PR.O FixedReset Disc 52,300 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-10-20
Maturity Price : 23.15
Evaluated at bid price : 24.31
Bid-YTW : 3.64 %
CM.PR.R FixedReset Prem 46,827 YTW SCENARIO
Maturity Type : Call
Maturity Date : 2022-07-31
Maturity Price : 25.00
Evaluated at bid price : 25.41
Bid-YTW : 2.16 %
NA.PR.G FixedReset Prem 40,000 YTW SCENARIO
Maturity Type : Call
Maturity Date : 2023-11-15
Maturity Price : 25.00
Evaluated at bid price : 25.52
Bid-YTW : 3.75 %
There were 13 other index-included issues trading in excess of 10,000 shares.
Wide Spread Highlights
Issue Index Quote Data and Yield Notes
MFC.PR.F FixedReset Ins Non Quote: 17.20 – 18.70
Spot Rate : 1.5000
Average : 1.2446

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-10-20
Maturity Price : 17.20
Evaluated at bid price : 17.20
Bid-YTW : 3.83 %

BNS.PR.I FixedReset Prem Quote: 25.30 – 25.75
Spot Rate : 0.4500
Average : 0.2632

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-10-20
Maturity Price : 23.62
Evaluated at bid price : 25.30
Bid-YTW : 3.68 %

BIP.PR.B FixedReset Prem Quote: 26.36 – 26.80
Spot Rate : 0.4400
Average : 0.2741

YTW SCENARIO
Maturity Type : Call
Maturity Date : 2025-12-31
Maturity Price : 25.00
Evaluated at bid price : 26.36
Bid-YTW : 4.18 %

TRP.PR.E FixedReset Disc Quote: 21.80 – 22.38
Spot Rate : 0.5800
Average : 0.4318

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-10-20
Maturity Price : 21.45
Evaluated at bid price : 21.80
Bid-YTW : 4.17 %

BAM.PF.B FixedReset Disc Quote: 23.55 – 24.00
Spot Rate : 0.4500
Average : 0.3038

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-10-20
Maturity Price : 22.83
Evaluated at bid price : 23.55
Bid-YTW : 4.21 %

CIU.PR.A Perpetual-Premium Quote: 24.90 – 25.35
Spot Rate : 0.4500
Average : 0.3100

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-10-20
Maturity Price : 24.64
Evaluated at bid price : 24.90
Bid-YTW : 4.67 %

October 19, 2021

Tuesday, October 19th, 2021
HIMIPref™ Preferred Indices
These values reflect the December 2008 revision of the HIMIPref™ Indices

Values are provisional and are finalized monthly
Index Mean
Current
Yield
(at bid)
Median
YTW
Median
Average
Trading
Value
Median
Mod Dur
(YTW)
Issues Day’s Perf. Index Value
Ratchet 0.00 % 0.00 % 0 0.00 0 2.0786 % 2,751.6
FixedFloater 0.00 % 0.00 % 0 0.00 0 2.0786 % 5,049.1
Floater 3.16 % 3.18 % 52,921 19.29 3 2.0786 % 2,909.8
OpRet 0.00 % 0.00 % 0 0.00 0 0.3066 % 3,738.4
SplitShare 4.58 % 4.20 % 55,917 3.90 5 0.3066 % 4,464.5
Interest-Bearing 0.00 % 0.00 % 0 0.00 0 0.3066 % 3,483.4
Perpetual-Premium 5.07 % -9.40 % 56,144 0.09 32 -0.0929 % 3,281.6
Perpetual-Discount 4.70 % 4.82 % 37,130 15.82 2 0.1221 % 3,879.6
FixedReset Disc 3.83 % 3.71 % 101,476 17.20 40 -0.1132 % 2,895.2
Insurance Straight 4.93 % -0.04 % 80,479 0.09 20 -0.7177 % 3,684.4
FloatingReset 2.63 % 3.02 % 26,353 19.69 2 0.0000 % 2,755.6
FixedReset Prem 4.70 % 2.90 % 127,839 1.51 31 -0.0912 % 2,760.1
FixedReset Bank Non 0.00 % 0.00 % 0 0.00 0 -0.1132 % 2,959.5
FixedReset Ins Non 4.04 % 3.64 % 101,025 17.36 19 -0.4112 % 2,980.8
Performance Highlights
Issue Index Change Notes
MFC.PR.B Insurance Straight -12.46 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-10-19
Maturity Price : 21.75
Evaluated at bid price : 22.00
Bid-YTW : 5.33 %
MFC.PR.F FixedReset Ins Non -7.77 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-10-19
Maturity Price : 17.20
Evaluated at bid price : 17.20
Bid-YTW : 3.83 %
MIC.PR.A Perpetual-Premium -1.85 % YTW SCENARIO
Maturity Type : Call
Maturity Date : 2029-03-31
Maturity Price : 25.25
Evaluated at bid price : 27.00
Bid-YTW : 4.32 %
GWO.PR.N FixedReset Ins Non -1.84 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-10-19
Maturity Price : 17.05
Evaluated at bid price : 17.05
Bid-YTW : 3.55 %
CU.PR.C FixedReset Disc 1.01 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-10-19
Maturity Price : 22.25
Evaluated at bid price : 23.00
Bid-YTW : 3.98 %
TD.PF.A FixedReset Disc 1.05 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-10-19
Maturity Price : 23.04
Evaluated at bid price : 24.15
Bid-YTW : 3.59 %
BAM.PR.B Floater 1.11 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-10-19
Maturity Price : 13.65
Evaluated at bid price : 13.65
Bid-YTW : 3.16 %
RS.PR.A SplitShare 1.82 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-12-31
Maturity Price : 10.00
Evaluated at bid price : 11.20
Bid-YTW : 2.32 %
BAM.PR.K Floater 4.87 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-10-19
Maturity Price : 13.56
Evaluated at bid price : 13.56
Bid-YTW : 3.18 %
Volume Highlights
Issue Index Shares
Traded
Notes
TD.PF.H FixedReset Prem 199,800 YTW SCENARIO
Maturity Type : Call
Maturity Date : 2021-11-30
Maturity Price : 25.00
Evaluated at bid price : 24.98
Bid-YTW : 4.19 %
TD.PF.C FixedReset Disc 154,109 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-10-19
Maturity Price : 23.19
Evaluated at bid price : 24.59
Bid-YTW : 3.55 %
BAM.PR.C Floater 96,050 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-10-19
Maturity Price : 13.55
Evaluated at bid price : 13.55
Bid-YTW : 3.18 %
PWF.PF.A Perpetual-Discount 85,120 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-10-19
Maturity Price : 24.09
Evaluated at bid price : 24.47
Bid-YTW : 4.60 %
PWF.PR.T FixedReset Disc 74,900 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-10-19
Maturity Price : 23.33
Evaluated at bid price : 24.51
Bid-YTW : 3.71 %
TRP.PR.K FixedReset Prem 47,100 YTW SCENARIO
Maturity Type : Call
Maturity Date : 2022-05-31
Maturity Price : 25.00
Evaluated at bid price : 25.60
Bid-YTW : 2.12 %
There were 14 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: 22.00 – 25.30
Spot Rate : 3.3000
Average : 1.8057

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-10-19
Maturity Price : 21.75
Evaluated at bid price : 22.00
Bid-YTW : 5.33 %

MFC.PR.F FixedReset Ins Non Quote: 17.20 – 18.75
Spot Rate : 1.5500
Average : 0.9646

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-10-19
Maturity Price : 17.20
Evaluated at bid price : 17.20
Bid-YTW : 3.83 %

PWF.PR.P FixedReset Disc Quote: 16.65 – 18.54
Spot Rate : 1.8900
Average : 1.4759

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-10-19
Maturity Price : 16.65
Evaluated at bid price : 16.65
Bid-YTW : 4.05 %

CU.PR.F Perpetual-Premium Quote: 24.98 – 25.79
Spot Rate : 0.8100
Average : 0.5539

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-10-19
Maturity Price : 24.73
Evaluated at bid price : 24.98
Bid-YTW : 4.55 %

GWO.PR.N FixedReset Ins Non Quote: 17.05 – 17.89
Spot Rate : 0.8400
Average : 0.6275

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-10-19
Maturity Price : 17.05
Evaluated at bid price : 17.05
Bid-YTW : 3.55 %

MIC.PR.A Perpetual-Premium Quote: 27.00 – 27.70
Spot Rate : 0.7000
Average : 0.4875

YTW SCENARIO
Maturity Type : Call
Maturity Date : 2029-03-31
Maturity Price : 25.25
Evaluated at bid price : 27.00
Bid-YTW : 4.32 %

October 18, 2021

Monday, October 18th, 2021
HIMIPref™ Preferred Indices
These values reflect the December 2008 revision of the HIMIPref™ Indices

Values are provisional and are finalized monthly
Index Mean
Current
Yield
(at bid)
Median
YTW
Median
Average
Trading
Value
Median
Mod Dur
(YTW)
Issues Day’s Perf. Index Value
Ratchet 0.00 % 0.00 % 0 0.00 0 -0.5232 % 2,695.6
FixedFloater 0.00 % 0.00 % 0 0.00 0 -0.5232 % 4,946.3
Floater 3.22 % 3.19 % 50,569 19.25 3 -0.5232 % 2,850.5
OpRet 0.00 % 0.00 % 0 0.00 0 -0.0383 % 3,727.0
SplitShare 4.60 % 4.18 % 52,476 3.90 5 -0.0383 % 4,450.8
Interest-Bearing 0.00 % 0.00 % 0 0.00 0 -0.0383 % 3,472.7
Perpetual-Premium 5.06 % -12.30 % 57,029 0.09 32 -0.0049 % 3,284.6
Perpetual-Discount 4.71 % 4.83 % 38,664 15.81 2 -0.4055 % 3,874.9
FixedReset Disc 3.83 % 3.72 % 102,871 17.20 40 -0.3155 % 2,898.5
Insurance Straight 4.89 % -0.18 % 79,363 0.09 20 0.7886 % 3,711.0
FloatingReset 2.63 % 3.02 % 27,431 19.69 2 -2.6942 % 2,755.6
FixedReset Prem 4.69 % 2.77 % 128,158 1.52 31 -0.0200 % 2,762.6
FixedReset Bank Non 0.00 % 0.00 % 0 0.00 0 -0.3155 % 2,962.8
FixedReset Ins Non 4.03 % 3.60 % 100,215 17.35 19 0.0201 % 2,993.1
Performance Highlights
Issue Index Change Notes
PWF.PR.P FixedReset Disc -7.65 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-10-18
Maturity Price : 16.65
Evaluated at bid price : 16.65
Bid-YTW : 4.05 %
TRP.PR.F FloatingReset -4.44 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-10-18
Maturity Price : 17.00
Evaluated at bid price : 17.00
Bid-YTW : 3.02 %
BAM.PR.R FixedReset Disc -2.88 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-10-18
Maturity Price : 20.20
Evaluated at bid price : 20.20
Bid-YTW : 4.36 %
BAM.PR.T FixedReset Disc -2.55 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-10-18
Maturity Price : 20.60
Evaluated at bid price : 20.60
Bid-YTW : 4.39 %
SLF.PR.H FixedReset Ins Non -1.93 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-10-18
Maturity Price : 22.22
Evaluated at bid price : 22.90
Bid-YTW : 3.61 %
RY.PR.M FixedReset Disc -1.29 % YTW SCENARIO
Maturity Type : Call
Maturity Date : 2025-11-24
Maturity Price : 25.00
Evaluated at bid price : 24.45
Bid-YTW : 3.72 %
TD.PF.A FixedReset Disc -1.24 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-10-18
Maturity Price : 22.92
Evaluated at bid price : 23.90
Bid-YTW : 3.64 %
BAM.PR.K Floater -1.22 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-10-18
Maturity Price : 12.93
Evaluated at bid price : 12.93
Bid-YTW : 3.34 %
IFC.PR.G FixedReset Ins Non -1.16 % YTW SCENARIO
Maturity Type : Call
Maturity Date : 2023-06-30
Maturity Price : 25.00
Evaluated at bid price : 25.55
Bid-YTW : 3.74 %
GWO.PR.Y Insurance Straight -1.12 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-10-18
Maturity Price : 24.28
Evaluated at bid price : 24.65
Bid-YTW : 4.57 %
CU.PR.C FixedReset Disc -1.00 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-10-18
Maturity Price : 22.12
Evaluated at bid price : 22.77
Bid-YTW : 4.03 %
BAM.PR.Z FixedReset Disc 1.02 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-10-18
Maturity Price : 24.46
Evaluated at bid price : 24.80
Bid-YTW : 4.32 %
GWO.PR.F Insurance Straight 1.31 % YTW SCENARIO
Maturity Type : Call
Maturity Date : 2021-11-17
Maturity Price : 25.00
Evaluated at bid price : 26.20
Bid-YTW : -42.42 %
MFC.PR.F FixedReset Ins Non 1.69 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-10-18
Maturity Price : 18.65
Evaluated at bid price : 18.65
Bid-YTW : 3.53 %
IFC.PR.E Insurance Straight 17.98 % YTW SCENARIO
Maturity Type : Call
Maturity Date : 2022-06-30
Maturity Price : 26.00
Evaluated at bid price : 26.25
Bid-YTW : 4.01 %
Volume Highlights
Issue Index Shares
Traded
Notes
PWF.PF.A Perpetual-Discount 272,220 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-10-18
Maturity Price : 24.07
Evaluated at bid price : 24.45
Bid-YTW : 4.61 %
CM.PR.P FixedReset Disc 62,830 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-10-18
Maturity Price : 23.08
Evaluated at bid price : 24.33
Bid-YTW : 3.60 %
IFC.PR.I Perpetual-Premium 41,878 YTW SCENARIO
Maturity Type : Call
Maturity Date : 2029-03-31
Maturity Price : 25.00
Evaluated at bid price : 26.49
Bid-YTW : 4.52 %
GWO.PR.Y Insurance Straight 37,250 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-10-18
Maturity Price : 24.28
Evaluated at bid price : 24.65
Bid-YTW : 4.57 %
MFC.PR.N FixedReset Ins Non 34,050 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-10-18
Maturity Price : 23.05
Evaluated at bid price : 24.30
Bid-YTW : 3.64 %
RY.PR.Z FixedReset Disc 33,309 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-10-18
Maturity Price : 23.20
Evaluated at bid price : 24.35
Bid-YTW : 3.57 %
There were 20 other index-included issues trading in excess of 10,000 shares.
Wide Spread Highlights
Issue Index Quote Data and Yield Notes
PWF.PR.P FixedReset Disc Quote: 16.65 – 18.25
Spot Rate : 1.6000
Average : 1.0219

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-10-18
Maturity Price : 16.65
Evaluated at bid price : 16.65
Bid-YTW : 4.05 %

IFC.PR.I Perpetual-Premium Quote: 26.49 – 27.69
Spot Rate : 1.2000
Average : 0.8536

YTW SCENARIO
Maturity Type : Call
Maturity Date : 2029-03-31
Maturity Price : 25.00
Evaluated at bid price : 26.49
Bid-YTW : 4.52 %

TRP.PR.F FloatingReset Quote: 17.00 – 18.39
Spot Rate : 1.3900
Average : 1.0798

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-10-18
Maturity Price : 17.00
Evaluated at bid price : 17.00
Bid-YTW : 3.02 %

BAM.PR.T FixedReset Disc Quote: 20.60 – 21.45
Spot Rate : 0.8500
Average : 0.5521

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-10-18
Maturity Price : 20.60
Evaluated at bid price : 20.60
Bid-YTW : 4.39 %

IFC.PR.G FixedReset Ins Non Quote: 25.55 – 26.23
Spot Rate : 0.6800
Average : 0.4215

YTW SCENARIO
Maturity Type : Call
Maturity Date : 2023-06-30
Maturity Price : 25.00
Evaluated at bid price : 25.55
Bid-YTW : 3.74 %

BAM.PR.R FixedReset Disc Quote: 20.20 – 20.92
Spot Rate : 0.7200
Average : 0.4643

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-10-18
Maturity Price : 20.20
Evaluated at bid price : 20.20
Bid-YTW : 4.36 %

PWF.PF.A Soft On Reasonable Volume

Saturday, October 16th, 2021

Power Corporation of Canada and Power Financial Corporation have announced:

the closing of Power Financial’s previously announced offering of 8,000,000 4.50% Non-Cumulative First Preferred Shares, Series 23 in the capital of Power Financial (the “Series 23 Shares”) priced at $25.00 per share for gross proceeds of $200 million. The issue was bought by a syndicate of underwriters led by BMO Capital Markets, RBC Capital Markets and Scotiabank.

The Series 23 Shares will be listed and posted for trading on the Toronto Stock Exchange under the symbol “PWF.PF.A”. The net proceeds of this offering will be used by Power Financial for general corporate purposes. Power Financial intends to redeem all of its outstanding $200 million 6.00% Non-Cumulative First Preferred Shares, Series I.

PWF.PF.A is a Straight Perpetual, 4.50%, announced 2021-10-6. It will be tracked by HIMIPref™ and has been assigned to the PerpetualDiscount subindex.

The issue traded 736,260 shares today in a range of 24.65-83 before closing at 24.65-80. Vital statistics are:

PWF.PF.A Perpetual-Discount YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-10-15
Maturity Price : 24.26
Evaluated at bid price : 24.65
Bid-YTW : 4.56 %

October 15, 2021

Saturday, October 16th, 2021
HIMIPref™ Preferred Indices
These values reflect the December 2008 revision of the HIMIPref™ Indices

Values are provisional and are finalized monthly
Index Mean
Current
Yield
(at bid)
Median
YTW
Median
Average
Trading
Value
Median
Mod Dur
(YTW)
Issues Day’s Perf. Index Value
Ratchet 0.00 % 0.00 % 0 0.00 0 -1.1330 % 2,709.8
FixedFloater 0.00 % 0.00 % 0 0.00 0 -1.1330 % 4,972.3
Floater 3.20 % 3.20 % 50,779 19.23 3 -1.1330 % 2,865.5
OpRet 0.00 % 0.00 % 0 0.00 0 0.1150 % 3,728.4
SplitShare 4.60 % 4.16 % 52,157 3.91 5 0.1150 % 4,452.5
Interest-Bearing 0.00 % 0.00 % 0 0.00 0 0.1150 % 3,474.1
Perpetual-Premium 5.06 % -10.03 % 56,801 0.09 32 -0.1305 % 3,284.8
Perpetual-Discount 4.69 % 4.83 % 35,968 15.82 2 -1.4986 % 3,890.7
FixedReset Disc 3.87 % 3.66 % 101,975 17.35 41 0.4196 % 2,907.6
Insurance Straight 4.93 % -1.00 % 80,370 0.09 20 -0.9107 % 3,682.0
FloatingReset 2.54 % 2.87 % 28,553 20.08 2 1.1598 % 2,831.9
FixedReset Prem 4.69 % 2.89 % 128,877 1.53 31 0.0150 % 2,763.1
FixedReset Bank Non 0.00 % 0.00 % 0 0.00 0 0.4196 % 2,972.2
FixedReset Ins Non 4.03 % 3.50 % 99,093 17.50 19 0.4717 % 2,992.5
Performance Highlights
Issue Index Change Notes
IFC.PR.E Insurance Straight -15.24 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-10-15
Maturity Price : 21.94
Evaluated at bid price : 22.25
Bid-YTW : 5.89 %
BAM.PR.K Floater -3.75 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-10-15
Maturity Price : 13.09
Evaluated at bid price : 13.09
Bid-YTW : 3.29 %
GWO.PR.F Insurance Straight -1.93 % YTW SCENARIO
Maturity Type : Call
Maturity Date : 2021-11-14
Maturity Price : 25.00
Evaluated at bid price : 25.86
Bid-YTW : -29.88 %
RY.PR.M FixedReset Disc 1.31 % YTW SCENARIO
Maturity Type : Call
Maturity Date : 2025-11-24
Maturity Price : 25.00
Evaluated at bid price : 24.77
Bid-YTW : 3.37 %
FTS.PR.M FixedReset Disc 1.52 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-10-15
Maturity Price : 22.65
Evaluated at bid price : 23.40
Bid-YTW : 3.96 %
IFC.PR.G FixedReset Ins Non 1.57 % YTW SCENARIO
Maturity Type : Call
Maturity Date : 2023-06-30
Maturity Price : 25.00
Evaluated at bid price : 25.85
Bid-YTW : 2.99 %
BAM.PR.X FixedReset Disc 1.67 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-10-15
Maturity Price : 18.30
Evaluated at bid price : 18.30
Bid-YTW : 4.12 %
GWO.PR.N FixedReset Ins Non 2.26 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-10-15
Maturity Price : 17.20
Evaluated at bid price : 17.20
Bid-YTW : 3.43 %
SLF.PR.J FloatingReset 2.40 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-10-15
Maturity Price : 17.10
Evaluated at bid price : 17.10
Bid-YTW : 2.23 %
BAM.PR.R FixedReset Disc 2.97 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-10-15
Maturity Price : 20.80
Evaluated at bid price : 20.80
Bid-YTW : 4.16 %
MFC.PR.F FixedReset Ins Non 6.63 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-10-15
Maturity Price : 18.34
Evaluated at bid price : 18.34
Bid-YTW : 3.51 %
TRP.PR.C FixedReset Disc 6.87 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-10-15
Maturity Price : 16.03
Evaluated at bid price : 16.03
Bid-YTW : 4.02 %
Volume Highlights
Issue Index Shares
Traded
Notes
PWF.PF.A Perpetual-Discount 736,260 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-10-15
Maturity Price : 24.26
Evaluated at bid price : 24.65
Bid-YTW : 4.56 %
MFC.PR.K FixedReset Ins Non 288,189 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-10-15
Maturity Price : 23.35
Evaluated at bid price : 24.37
Bid-YTW : 3.55 %
IFC.PR.I Perpetual-Premium 175,711 YTW SCENARIO
Maturity Type : Call
Maturity Date : 2029-03-31
Maturity Price : 25.00
Evaluated at bid price : 26.40
Bid-YTW : 4.57 %
SLF.PR.G FixedReset Ins Non 170,665 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-10-15
Maturity Price : 17.80
Evaluated at bid price : 17.80
Bid-YTW : 3.49 %
CU.PR.E Perpetual-Premium 164,182 YTW SCENARIO
Maturity Type : Call
Maturity Date : 2021-11-14
Maturity Price : 25.00
Evaluated at bid price : 25.20
Bid-YTW : 2.34 %
PWF.PR.H Perpetual-Premium 163,384 YTW SCENARIO
Maturity Type : Call
Maturity Date : 2021-11-14
Maturity Price : 25.00
Evaluated at bid price : 25.40
Bid-YTW : -15.97 %
IFC.PR.F Insurance Straight 162,291 YTW SCENARIO
Maturity Type : Call
Maturity Date : 2025-09-30
Maturity Price : 25.25
Evaluated at bid price : 26.00
Bid-YTW : 4.51 %
BIP.PR.B FixedReset Prem 142,258 YTW SCENARIO
Maturity Type : Call
Maturity Date : 2025-12-31
Maturity Price : 25.00
Evaluated at bid price : 25.97
Bid-YTW : 4.57 %
There were 32 other index-included issues trading in excess of 10,000 shares.
Wide Spread Highlights
Issue Index Quote Data and Yield Notes
IFC.PR.E Insurance Straight Quote: 22.25 – 26.60
Spot Rate : 4.3500
Average : 2.4368

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-10-15
Maturity Price : 21.94
Evaluated at bid price : 22.25
Bid-YTW : 5.89 %

TRP.PR.F FloatingReset Quote: 17.79 – 18.86
Spot Rate : 1.0700
Average : 0.7396

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-10-15
Maturity Price : 17.79
Evaluated at bid price : 17.79
Bid-YTW : 2.87 %

GWO.PR.F Insurance Straight Quote: 25.86 – 26.43
Spot Rate : 0.5700
Average : 0.3376

YTW SCENARIO
Maturity Type : Call
Maturity Date : 2021-11-14
Maturity Price : 25.00
Evaluated at bid price : 25.86
Bid-YTW : -29.88 %

BAM.PF.D Perpetual-Premium Quote: 25.03 – 25.58
Spot Rate : 0.5500
Average : 0.3680

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-10-15
Maturity Price : 24.72
Evaluated at bid price : 25.03
Bid-YTW : 4.92 %

BAM.PR.K Floater Quote: 13.09 – 13.64
Spot Rate : 0.5500
Average : 0.3685

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-10-15
Maturity Price : 13.09
Evaluated at bid price : 13.09
Bid-YTW : 3.29 %

FTS.PR.F Perpetual-Premium Quote: 25.65 – 26.31
Spot Rate : 0.6600
Average : 0.4828

YTW SCENARIO
Maturity Type : Call
Maturity Date : 2021-11-14
Maturity Price : 25.00
Evaluated at bid price : 25.65
Bid-YTW : -18.33 %

October 14, 2021

Thursday, October 14th, 2021
HIMIPref™ Preferred Indices
These values reflect the December 2008 revision of the HIMIPref™ Indices

Values are provisional and are finalized monthly
Index Mean
Current
Yield
(at bid)
Median
YTW
Median
Average
Trading
Value
Median
Mod Dur
(YTW)
Issues Day’s Perf. Index Value
Ratchet 0.00 % 0.00 % 0 0.00 0 0.6695 % 2,740.8
FixedFloater 0.00 % 0.00 % 0 0.00 0 0.6695 % 5,029.2
Floater 3.17 % 3.18 % 49,501 19.29 3 0.6695 % 2,898.4
OpRet 0.00 % 0.00 % 0 0.00 0 -0.0575 % 3,724.1
SplitShare 4.60 % 4.18 % 50,198 3.91 5 -0.0575 % 4,447.4
Interest-Bearing 0.00 % 0.00 % 0 0.00 0 -0.0575 % 3,470.1
Perpetual-Premium 5.06 % -13.88 % 55,819 0.09 32 -0.0329 % 3,289.1
Perpetual-Discount 4.81 % 4.82 % 36,479 15.83 1 -0.2424 % 3,949.9
FixedReset Disc 3.87 % 3.67 % 96,752 17.37 41 0.2769 % 2,895.5
Insurance Straight 4.89 % -1.20 % 81,016 0.09 20 -0.0841 % 3,715.8
FloatingReset 2.57 % 2.87 % 28,110 20.08 2 -0.8908 % 2,799.4
FixedReset Prem 4.69 % 2.84 % 128,225 1.99 31 0.0963 % 2,762.7
FixedReset Bank Non 0.00 % 0.00 % 0 0.00 0 0.2769 % 2,959.8
FixedReset Ins Non 4.05 % 3.52 % 94,545 17.54 19 -0.0090 % 2,978.4
Performance Highlights
Issue Index Change Notes
TRP.PR.C FixedReset Disc -4.21 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-10-14
Maturity Price : 15.00
Evaluated at bid price : 15.00
Bid-YTW : 4.29 %
BAM.PR.R FixedReset Disc -2.88 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-10-14
Maturity Price : 20.20
Evaluated at bid price : 20.20
Bid-YTW : 4.29 %
IFC.PR.F Insurance Straight -2.05 % YTW SCENARIO
Maturity Type : Call
Maturity Date : 2025-09-30
Maturity Price : 25.25
Evaluated at bid price : 25.82
Bid-YTW : 4.71 %
IFC.PR.A FixedReset Ins Non -1.36 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-10-14
Maturity Price : 21.11
Evaluated at bid price : 21.11
Bid-YTW : 3.52 %
SLF.PR.J FloatingReset -1.18 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-10-14
Maturity Price : 16.70
Evaluated at bid price : 16.70
Bid-YTW : 2.28 %
BAM.PR.N Perpetual-Premium -1.15 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-10-14
Maturity Price : 24.60
Evaluated at bid price : 24.86
Bid-YTW : 4.80 %
BAM.PF.D Perpetual-Premium -1.15 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-10-14
Maturity Price : 24.70
Evaluated at bid price : 25.00
Bid-YTW : 4.92 %
PVS.PR.J SplitShare -1.14 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2028-02-29
Maturity Price : 25.00
Evaluated at bid price : 25.21
Bid-YTW : 4.35 %
GWO.PR.T Insurance Straight -1.12 % YTW SCENARIO
Maturity Type : Call
Maturity Date : 2022-06-30
Maturity Price : 26.00
Evaluated at bid price : 26.40
Bid-YTW : 3.06 %
BAM.PR.X FixedReset Disc -1.10 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-10-14
Maturity Price : 18.00
Evaluated at bid price : 18.00
Bid-YTW : 4.19 %
TRP.PR.A FixedReset Disc 1.04 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-10-14
Maturity Price : 19.45
Evaluated at bid price : 19.45
Bid-YTW : 4.12 %
TRP.PR.B FixedReset Disc 1.22 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-10-14
Maturity Price : 14.05
Evaluated at bid price : 14.05
Bid-YTW : 4.18 %
RS.PR.A SplitShare 1.38 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-12-31
Maturity Price : 10.00
Evaluated at bid price : 11.00
Bid-YTW : 2.79 %
FTS.PR.K FixedReset Disc 1.40 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-10-14
Maturity Price : 21.45
Evaluated at bid price : 21.80
Bid-YTW : 3.84 %
NA.PR.W FixedReset Disc 1.44 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-10-14
Maturity Price : 23.18
Evaluated at bid price : 24.60
Bid-YTW : 3.46 %
BAM.PR.B Floater 1.50 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-10-14
Maturity Price : 13.55
Evaluated at bid price : 13.55
Bid-YTW : 3.18 %
CU.PR.C FixedReset Disc 1.78 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-10-14
Maturity Price : 22.16
Evaluated at bid price : 22.84
Bid-YTW : 3.93 %
BAM.PR.T FixedReset Disc 3.45 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-10-14
Maturity Price : 21.00
Evaluated at bid price : 21.00
Bid-YTW : 4.21 %
PWF.PR.P FixedReset Disc 8.71 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-10-14
Maturity Price : 18.10
Evaluated at bid price : 18.10
Bid-YTW : 3.64 %
Volume Highlights
Issue Index Shares
Traded
Notes
GWO.PR.Y Insurance Straight 162,378 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-10-14
Maturity Price : 24.57
Evaluated at bid price : 24.96
Bid-YTW : 4.51 %
BNS.PR.H FixedReset Prem 130,885 YTW SCENARIO
Maturity Type : Call
Maturity Date : 2022-01-26
Maturity Price : 25.00
Evaluated at bid price : 25.20
Bid-YTW : 1.43 %
PWF.PR.H Perpetual-Premium 62,800 YTW SCENARIO
Maturity Type : Call
Maturity Date : 2021-11-13
Maturity Price : 25.00
Evaluated at bid price : 25.38
Bid-YTW : -15.26 %
BAM.PR.C Floater 50,785 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-10-14
Maturity Price : 13.45
Evaluated at bid price : 13.45
Bid-YTW : 3.20 %
PWF.PR.P FixedReset Disc 49,500 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-10-14
Maturity Price : 18.10
Evaluated at bid price : 18.10
Bid-YTW : 3.64 %
SLF.PR.G FixedReset Ins Non 47,240 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-10-14
Maturity Price : 17.85
Evaluated at bid price : 17.85
Bid-YTW : 3.48 %
There were 27 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: 15.00 – 16.02
Spot Rate : 1.0200
Average : 0.6282

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-10-14
Maturity Price : 15.00
Evaluated at bid price : 15.00
Bid-YTW : 4.29 %

BAM.PR.R FixedReset Disc Quote: 20.20 – 20.75
Spot Rate : 0.5500
Average : 0.3310

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-10-14
Maturity Price : 20.20
Evaluated at bid price : 20.20
Bid-YTW : 4.29 %

RY.PR.N Perpetual-Premium Quote: 26.20 – 26.85
Spot Rate : 0.6500
Average : 0.4816

YTW SCENARIO
Maturity Type : Call
Maturity Date : 2021-11-24
Maturity Price : 25.75
Evaluated at bid price : 26.20
Bid-YTW : -4.77 %

SLF.PR.J FloatingReset Quote: 16.70 – 17.30
Spot Rate : 0.6000
Average : 0.4641

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-10-14
Maturity Price : 16.70
Evaluated at bid price : 16.70
Bid-YTW : 2.28 %

MFC.PR.F FixedReset Ins Non Quote: 17.20 – 18.45
Spot Rate : 1.2500
Average : 1.1175

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-10-14
Maturity Price : 17.20
Evaluated at bid price : 17.20
Bid-YTW : 3.74 %

BMO.PR.W FixedReset Disc Quote: 24.50 – 24.93
Spot Rate : 0.4300
Average : 0.2981

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-10-14
Maturity Price : 23.17
Evaluated at bid price : 24.50
Bid-YTW : 3.50 %

October 13, 2021

Wednesday, October 13th, 2021

Long corporates are now at 3.53%.

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 0.5736 % 2,722.6
FixedFloater 0.00 % 0.00 % 0 0.00 0 0.5736 % 4,995.8
Floater 3.19 % 3.20 % 48,991 19.25 3 0.5736 % 2,879.1
OpRet 0.00 % 0.00 % 0 0.00 0 0.2690 % 3,726.3
SplitShare 4.60 % 4.04 % 48,771 3.92 5 0.2690 % 4,450.0
Interest-Bearing 0.00 % 0.00 % 0 0.00 0 0.2690 % 3,472.1
Perpetual-Premium 5.06 % -10.80 % 57,483 0.09 32 -0.0488 % 3,290.2
Perpetual-Discount 0.00 % 0.00 % 0 0.00 1 -0.0488 % 3,959.5
FixedReset Disc 3.88 % 3.83 % 97,166 17.32 41 -0.5985 % 2,887.5
Insurance Straight 4.88 % -0.35 % 84,372 0.09 20 0.0137 % 3,719.0
FloatingReset 2.55 % 2.85 % 28,498 20.13 2 0.8696 % 2,824.6
FixedReset Prem 4.70 % 2.85 % 129,759 1.53 31 -0.1112 % 2,760.1
FixedReset Bank Non 0.00 % 0.00 % 0 0.00 0 -0.5985 % 2,951.6
FixedReset Ins Non 4.05 % 3.55 % 94,995 17.56 19 -0.4828 % 2,978.7
Performance Highlights
Issue Index Change Notes
PWF.PR.P FixedReset Disc -7.55 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-10-13
Maturity Price : 16.65
Evaluated at bid price : 16.65
Bid-YTW : 3.96 %
MFC.PR.F FixedReset Ins Non -5.55 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-10-13
Maturity Price : 17.20
Evaluated at bid price : 17.20
Bid-YTW : 3.74 %
BAM.PR.T FixedReset Disc -4.02 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-10-13
Maturity Price : 20.30
Evaluated at bid price : 20.30
Bid-YTW : 4.35 %
NA.PR.W FixedReset Disc -1.66 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-10-13
Maturity Price : 23.04
Evaluated at bid price : 24.25
Bid-YTW : 3.52 %
CU.PR.C FixedReset Disc -1.58 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-10-13
Maturity Price : 21.91
Evaluated at bid price : 22.44
Bid-YTW : 4.01 %
BAM.PR.B Floater -1.48 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-10-13
Maturity Price : 13.35
Evaluated at bid price : 13.35
Bid-YTW : 3.23 %
FTS.PR.K FixedReset Disc -1.42 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-10-13
Maturity Price : 21.50
Evaluated at bid price : 21.50
Bid-YTW : 3.92 %
IFC.PR.I Perpetual-Premium -1.29 % YTW SCENARIO
Maturity Type : Call
Maturity Date : 2027-03-31
Maturity Price : 25.50
Evaluated at bid price : 26.75
Bid-YTW : 4.35 %
FTS.PR.H FixedReset Disc -1.28 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-10-13
Maturity Price : 16.15
Evaluated at bid price : 16.15
Bid-YTW : 3.91 %
SLF.PR.H FixedReset Ins Non -1.23 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-10-13
Maturity Price : 22.39
Evaluated at bid price : 23.20
Bid-YTW : 3.48 %
RY.PR.M FixedReset Disc -1.21 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-10-13
Maturity Price : 23.02
Evaluated at bid price : 24.41
Bid-YTW : 3.68 %
TRP.PR.A FixedReset Disc -1.13 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-10-13
Maturity Price : 19.25
Evaluated at bid price : 19.25
Bid-YTW : 4.16 %
BAM.PF.G FixedReset Disc -1.07 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-10-13
Maturity Price : 22.45
Evaluated at bid price : 23.15
Bid-YTW : 4.18 %
GWO.PR.N FixedReset Ins Non -1.06 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-10-13
Maturity Price : 16.82
Evaluated at bid price : 16.82
Bid-YTW : 3.50 %
BAM.PF.A FixedReset Prem -1.02 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-10-13
Maturity Price : 23.63
Evaluated at bid price : 25.11
Bid-YTW : 4.10 %
BAM.PF.H FixedReset Prem -1.01 % YTW SCENARIO
Maturity Type : Call
Maturity Date : 2025-12-31
Maturity Price : 25.00
Evaluated at bid price : 27.50
Bid-YTW : 2.55 %
BAM.PR.Z FixedReset Disc -1.00 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-10-13
Maturity Price : 24.27
Evaluated at bid price : 24.65
Bid-YTW : 4.26 %
SLF.PR.J FloatingReset 2.42 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-10-13
Maturity Price : 16.90
Evaluated at bid price : 16.90
Bid-YTW : 2.26 %
BAM.PR.K Floater 3.05 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-10-13
Maturity Price : 13.50
Evaluated at bid price : 13.50
Bid-YTW : 3.19 %
Volume Highlights
Issue Index Shares
Traded
Notes
BNS.PR.H FixedReset Prem 58,300 YTW SCENARIO
Maturity Type : Call
Maturity Date : 2022-01-26
Maturity Price : 25.00
Evaluated at bid price : 25.19
Bid-YTW : 1.55 %
BMO.PR.S FixedReset Disc 54,900 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-10-13
Maturity Price : 23.31
Evaluated at bid price : 24.62
Bid-YTW : 3.57 %
IFC.PR.F Insurance Straight 51,800 YTW SCENARIO
Maturity Type : Call
Maturity Date : 2022-09-30
Maturity Price : 26.00
Evaluated at bid price : 26.36
Bid-YTW : 3.85 %
TRP.PR.D FixedReset Disc 47,300 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-10-13
Maturity Price : 21.66
Evaluated at bid price : 22.10
Bid-YTW : 4.07 %
GWO.PR.N FixedReset Ins Non 46,200 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-10-13
Maturity Price : 16.82
Evaluated at bid price : 16.82
Bid-YTW : 3.50 %
GWO.PR.Y Insurance Straight 41,310 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-10-13
Maturity Price : 24.54
Evaluated at bid price : 24.93
Bid-YTW : 4.52 %
There were 18 other index-included issues trading in excess of 10,000 shares.
Wide Spread Highlights
Issue Index Quote Data and Yield Notes
PWF.PR.P FixedReset Disc Quote: 16.65 – 18.23
Spot Rate : 1.5800
Average : 1.0569

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-10-13
Maturity Price : 16.65
Evaluated at bid price : 16.65
Bid-YTW : 3.96 %

MFC.PR.F FixedReset Ins Non Quote: 17.20 – 18.50
Spot Rate : 1.3000
Average : 0.9722

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-10-13
Maturity Price : 17.20
Evaluated at bid price : 17.20
Bid-YTW : 3.74 %

BAM.PR.T FixedReset Disc Quote: 20.30 – 21.20
Spot Rate : 0.9000
Average : 0.6117

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-10-13
Maturity Price : 20.30
Evaluated at bid price : 20.30
Bid-YTW : 4.35 %

NA.PR.W FixedReset Disc Quote: 24.25 – 24.68
Spot Rate : 0.4300
Average : 0.2544

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-10-13
Maturity Price : 23.04
Evaluated at bid price : 24.25
Bid-YTW : 3.52 %

FTS.PR.K FixedReset Disc Quote: 21.50 – 22.00
Spot Rate : 0.5000
Average : 0.3286

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-10-13
Maturity Price : 21.50
Evaluated at bid price : 21.50
Bid-YTW : 3.92 %

BAM.PF.H FixedReset Prem Quote: 27.50 – 27.94
Spot Rate : 0.4400
Average : 0.2801

YTW SCENARIO
Maturity Type : Call
Maturity Date : 2025-12-31
Maturity Price : 25.00
Evaluated at bid price : 27.50
Bid-YTW : 2.55 %

RY On Review-Positive At Moody’s

Tuesday, October 12th, 2021

Moody’s Investors Service has announced that it:

has today placed on review for upgrade all long-term ratings and assessments of Royal Bank of Canada (RBC), including the a3 standalone baseline credit assessment (BCA), the Aa2 deposit rating and Counterparty Risk Rating, and the Aa2(cr) Counterparty Risk Assessments. The bank’s Prime-1 short term ratings and Prime-1(cr) short-term Counterparty Risk Assessment were affirmed.

RBC’s strong credit profile reflects its position as a diversified universal bank with leading market shares across many retail products and services in its home market and a growing presence in the US through its California-based private and commercial bank, City National Bank (LT deposits Aa3 stable, BCA a2), which RBC acquired in 2015. RBC’s diversified business mix, which also includes a major commitment to capital markets, and wealth and asset management businesses, has extended the bank’s competitive advantage over many of its peers. This business mix has also produced a sturdy buffer against the greater volatility of RBC’s capital markets activity through various economic cycles. The steady profitability generated by RBC’s businesses enables the bank to consistently reinvest to drive organic business growth as well as develop leading digital customer solutions and capabilities, further supporting its strong competitive position.

RBC’s a3 BCA could be upgraded if Moody’s assesses that the bank will likely continue to demonstrate a resilient operating performance that reflects a superior diversity of business mix relative to many similarly rated global peers, and stability in its risk profile , while maintaining its capital level above 12% tangible common equity as a percentage of risk-weighted assets. A higher BCA would likely lead to a ratings upgrade. The ratings could be confirmed at their existing level should the bank’s earnings and capital base not demonstrate the level of resilience expected by Moody’s when stressed under various scenarios.

The review for upgrade indicates that rating downgrades are unlikely over the next 12-18 months. However, RBC’s a3 BCA could be downgraded if the bank increases risk appetite leading to credit quality deterioration or the bank increased the size of its capital markets operations relative to its retail and commercial banking businesses. A significant further deterioration in the domestic operating environment or any material regulatory, compliance or risk management failures could also lead to a downgrade of the bank’s BCA. A lower BCA would likely lead to a ratings downgrade.

Affected issues are: RY.PR.H, RY.PR.J, RY.PR.M, RY.PR.N, RY.PR.O, RY.PR.P, RY.PR.S and RY.PR.Z .

October 12, 2021

Tuesday, October 12th, 2021
HIMIPref™ Preferred Indices
These values reflect the December 2008 revision of the HIMIPref™ Indices

Values are provisional and are finalized monthly
Index Mean
Current
Yield
(at bid)
Median
YTW
Median
Average
Trading
Value
Median
Mod Dur
(YTW)
Issues Day’s Perf. Index Value
Ratchet 0.00 % 0.00 % 0 0.00 0 0.0000 % 2,707.1
FixedFloater 0.00 % 0.00 % 0 0.00 0 0.0000 % 4,967.3
Floater 3.21 % 3.20 % 47,951 19.24 3 0.0000 % 2,862.7
OpRet 0.00 % 0.00 % 0 0.00 0 0.5479 % 3,716.3
SplitShare 4.62 % 3.77 % 48,781 3.79 6 0.5479 % 4,438.0
Interest-Bearing 0.00 % 0.00 % 0 0.00 0 0.5479 % 3,462.7
Perpetual-Premium 5.05 % -4.55 % 57,265 0.09 34 -0.2782 % 3,291.8
Perpetual-Discount 0.00 % 0.00 % 0 0.00 0 -0.2782 % 3,961.4
FixedReset Disc 3.84 % 3.66 % 97,597 17.40 39 0.4312 % 2,904.9
Insurance Straight 4.88 % -1.96 % 85,326 0.09 20 -0.0235 % 3,718.5
FloatingReset 2.82 % 2.83 % 28,526 20.17 1 1.6949 % 2,800.2
FixedReset Prem 4.66 % 2.90 % 132,351 1.99 33 0.0812 % 2,763.1
FixedReset Bank Non 0.00 % 0.00 % 0 0.00 0 0.4312 % 2,969.4
FixedReset Ins Non 4.03 % 3.49 % 94,423 17.56 19 0.5483 % 2,993.1
Performance Highlights
Issue Index Change Notes
BAM.PR.M Perpetual-Premium -2.04 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-10-12
Maturity Price : 24.68
Evaluated at bid price : 25.00
Bid-YTW : 4.77 %
RY.PR.P Perpetual-Premium -1.25 % YTW SCENARIO
Maturity Type : Call
Maturity Date : 2021-11-11
Maturity Price : 26.00
Evaluated at bid price : 26.87
Bid-YTW : -25.13 %
CU.PR.H Perpetual-Premium -1.15 % YTW SCENARIO
Maturity Type : Call
Maturity Date : 2023-09-01
Maturity Price : 25.25
Evaluated at bid price : 25.81
Bid-YTW : 4.32 %
BAM.PF.B FixedReset Disc 1.06 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-10-12
Maturity Price : 22.99
Evaluated at bid price : 23.85
Bid-YTW : 4.07 %
IFC.PR.I Perpetual-Premium 1.08 % YTW SCENARIO
Maturity Type : Call
Maturity Date : 2025-03-31
Maturity Price : 26.00
Evaluated at bid price : 27.10
Bid-YTW : 3.96 %
BAM.PR.T FixedReset Disc 1.15 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-10-12
Maturity Price : 21.15
Evaluated at bid price : 21.15
Bid-YTW : 4.18 %
CU.PR.C FixedReset Disc 1.29 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-10-12
Maturity Price : 22.13
Evaluated at bid price : 22.80
Bid-YTW : 3.93 %
FTS.PR.H FixedReset Disc 1.30 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-10-12
Maturity Price : 16.36
Evaluated at bid price : 16.36
Bid-YTW : 3.86 %
FTS.PR.G FixedReset Disc 1.39 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-10-12
Maturity Price : 22.29
Evaluated at bid price : 22.61
Bid-YTW : 3.81 %
CM.PR.Q FixedReset Disc 1.42 % YTW SCENARIO
Maturity Type : Call
Maturity Date : 2025-07-31
Maturity Price : 25.00
Evaluated at bid price : 24.95
Bid-YTW : 3.17 %
TRP.PR.F FloatingReset 1.69 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-10-12
Maturity Price : 18.00
Evaluated at bid price : 18.00
Bid-YTW : 2.83 %
RS.PR.A SplitShare 2.67 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-12-31
Maturity Price : 10.00
Evaluated at bid price : 10.75
Bid-YTW : 3.39 %
SLF.PR.G FixedReset Ins Non 2.89 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-10-12
Maturity Price : 17.80
Evaluated at bid price : 17.80
Bid-YTW : 3.49 %
MFC.PR.F FixedReset Ins Non 5.87 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-10-12
Maturity Price : 18.21
Evaluated at bid price : 18.21
Bid-YTW : 3.53 %
Volume Highlights
Issue Index Shares
Traded
Notes
GWO.PR.Y Insurance Straight 158,496 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-10-12
Maturity Price : 24.51
Evaluated at bid price : 24.90
Bid-YTW : 4.52 %
RS.PR.A SplitShare 69,400 YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-12-31
Maturity Price : 10.00
Evaluated at bid price : 10.75
Bid-YTW : 3.39 %
TD.PF.D FixedReset Disc 54,380 YTW SCENARIO
Maturity Type : Call
Maturity Date : 2025-07-31
Maturity Price : 25.00
Evaluated at bid price : 24.86
Bid-YTW : 3.33 %
TD.PF.L FixedReset Prem 43,490 YTW SCENARIO
Maturity Type : Call
Maturity Date : 2024-04-30
Maturity Price : 25.00
Evaluated at bid price : 26.35
Bid-YTW : 2.89 %
TRP.PR.C FixedReset Disc 33,280 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-10-12
Maturity Price : 15.73
Evaluated at bid price : 15.73
Bid-YTW : 4.09 %
PWF.PR.F Perpetual-Premium 21,415 YTW SCENARIO
Maturity Type : Call
Maturity Date : 2021-11-11
Maturity Price : 25.00
Evaluated at bid price : 25.40
Bid-YTW : -16.67 %
There were 12 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: 17.00 – 18.30
Spot Rate : 1.3000
Average : 0.8086

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-10-12
Maturity Price : 17.00
Evaluated at bid price : 17.00
Bid-YTW : 3.46 %

PWF.PR.Z Perpetual-Premium Quote: 25.84 – 26.60
Spot Rate : 0.7600
Average : 0.4830

YTW SCENARIO
Maturity Type : Call
Maturity Date : 2025-07-31
Maturity Price : 25.25
Evaluated at bid price : 25.84
Bid-YTW : 4.38 %

CU.PR.H Perpetual-Premium Quote: 25.81 – 26.45
Spot Rate : 0.6400
Average : 0.4818

YTW SCENARIO
Maturity Type : Call
Maturity Date : 2023-09-01
Maturity Price : 25.25
Evaluated at bid price : 25.81
Bid-YTW : 4.32 %

BAM.PR.M Perpetual-Premium Quote: 25.00 – 25.50
Spot Rate : 0.5000
Average : 0.3438

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-10-12
Maturity Price : 24.68
Evaluated at bid price : 25.00
Bid-YTW : 4.77 %

PVS.PR.J SplitShare Quote: 25.40 – 25.80
Spot Rate : 0.4000
Average : 0.2476

YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2028-02-29
Maturity Price : 25.00
Evaluated at bid price : 25.40
Bid-YTW : 4.21 %

CU.PR.F Perpetual-Premium Quote: 25.23 – 25.79
Spot Rate : 0.5600
Average : 0.4155

YTW SCENARIO
Maturity Type : Call
Maturity Date : 2022-06-01
Maturity Price : 25.00
Evaluated at bid price : 25.23
Bid-YTW : 3.88 %

October PrefLetter Released!

Monday, October 11th, 2021

The October, 2021, edition of PrefLetter has been released and is now available for purchase as the “Previous edition”. Those who subscribe for a full year receive the “Previous edition” as a bonus.

The October edition is somewhat foreshortened, but contains the most critical elements.

PrefLetter may now be purchased by all Canadian residents.

Until further notice, the “Previous Edition” will refer to the October, 2021, issue, while the “Next Edition” will be the November, 2021, issue, scheduled to be prepared as of the close November 12, 2021, and eMailed to subscribers prior to market-opening on November 15.

PrefLetter is intended for long term investors seeking issues to buy-and-hold. At least one recommendation from each of the major preferred share sectors is included and discussed.

Note: My verbosity has grown by such leaps and bounds that it is no longer possible to deliver PrefLetter as an eMail attachment – it’s just too big for my software! Instead, I have sent passwords – click on the link in your eMail and your copy will download.

Note: There have been problems lately with corporate eMail protection systems that substitute “safe” links for the links sent in the eMails; the problem being that the “safe” links do not work and an error is generated by my software. To avoid possible problems and delays, please subscribe through an eMail account that is not “protected” by such software.

Note: The PrefLetter website has a Subscriber Download Feature. If you have not received your copy, try it!

Note: PrefLetter eMails sometimes runs afoul of spam filters. If you have not received your copy within fifteen minutes of a release notice such as this one, please double check your (company’s) spam filtering policy and your spam repository – there are some hints in the post Sympatico Spam Filters out of Control. If it’s not there, contact me and I’ll get you your copy … somehow!

Note: There have been scattered complaints regarding inability to open PrefLetter in Acrobat Reader, despite my practice of including myself on the subscription list and immediately checking the copy received. I have had the occasional difficulty reading US Government documents, which I was able to resolve by downloading and installing the latest version of Adobe Reader. Also, note that so far, all complaints have been from users of Yahoo Mail. Try saving it to disk first, before attempting to open it.

Note: There have been other scattered complaints that double-clicking on the links in the “PrefLetter Download” email results in a message that the password has already been used. I have been able to reproduce this problem in my own eMail software … the problem is double-clicking. What happens is the first click opens the link and the second click finds that the password has already been used and refuses to work properly. So the moral of the story is: Don’t be a dick! Single Click!

Note: Assiduous Reader DG informs me:

In case you have any other Apple users: you need to install a free App from the apple store called “FileApp”. It comes with it’s own tutorial and allows you to download and save a PDF file.

However, Assiduous Reader Adrian informs me in the comments to the January 2015 release:

Some nitpicking for DG:
FileApp costs $1.19 in the Apple Store.

But Adrian2 now advises:

Well, as of now, FileApp is free (again?).