Archive for November, 2021

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November 22, 2021

Monday, November 22nd, 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 2.97 % 3.40 % 45,515 20.16 1 0.1456 % 2,938.8
FixedFloater 0.00 % 0.00 % 0 0.00 0 -0.0231 % 5,372.4
Floater 2.97 % 2.99 % 88,786 19.70 3 -0.0231 % 3,096.1
OpRet 0.00 % 0.00 % 0 0.00 0 -0.2289 % 3,672.2
SplitShare 4.67 % 4.19 % 57,250 3.85 5 -0.2289 % 4,385.3
Interest-Bearing 0.00 % 0.00 % 0 0.00 0 -0.2289 % 3,421.6
Perpetual-Premium 5.14 % -7.96 % 46,027 0.09 29 -0.0942 % 3,272.7
Perpetual-Discount 4.66 % 4.58 % 68,863 15.77 6 -0.0470 % 3,884.8
FixedReset Disc 3.78 % 3.96 % 121,954 17.06 37 -0.2189 % 2,921.7
Insurance Straight 4.93 % 4.15 % 90,216 3.26 20 0.0000 % 3,685.9
FloatingReset 2.41 % 2.69 % 28,780 20.49 2 0.4695 % 2,952.8
FixedReset Prem 4.64 % 3.16 % 121,870 2.28 33 -0.0165 % 2,750.4
FixedReset Bank Non 0.00 % 0.00 % 0 0.00 0 -0.2189 % 2,986.6
FixedReset Ins Non 4.02 % 3.84 % 88,476 16.82 19 -0.0423 % 3,001.8
Performance Highlights
Issue Index Change Notes
TRP.PR.D FixedReset Disc -2.68 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-11-22
Maturity Price : 21.41
Evaluated at bid price : 21.75
Bid-YTW : 4.51 %
BAM.PR.X FixedReset Disc -2.15 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-11-22
Maturity Price : 18.20
Evaluated at bid price : 18.20
Bid-YTW : 4.61 %
SLF.PR.J FloatingReset -1.96 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-11-22
Maturity Price : 17.55
Evaluated at bid price : 17.55
Bid-YTW : 2.15 %
PWF.PR.T FixedReset Disc -1.88 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-11-22
Maturity Price : 23.36
Evaluated at bid price : 24.53
Bid-YTW : 3.96 %
RS.PR.A SplitShare -1.78 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-12-31
Maturity Price : 10.00
Evaluated at bid price : 10.48
Bid-YTW : 4.20 %
BAM.PR.R FixedReset Disc -1.66 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-11-22
Maturity Price : 20.76
Evaluated at bid price : 20.76
Bid-YTW : 4.50 %
BAM.PR.T FixedReset Disc -1.16 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-11-22
Maturity Price : 21.30
Evaluated at bid price : 21.30
Bid-YTW : 4.56 %
GWO.PR.Y Insurance Straight 1.30 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-11-22
Maturity Price : 24.59
Evaluated at bid price : 24.98
Bid-YTW : 4.54 %
TRP.PR.F FloatingReset 2.84 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-11-22
Maturity Price : 18.83
Evaluated at bid price : 18.83
Bid-YTW : 2.69 %
Volume Highlights
Issue Index Shares
Traded		 Notes
TD.PF.A FixedReset Disc 189,099 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-11-22
Maturity Price : 23.20
Evaluated at bid price : 24.50
Bid-YTW : 3.76 %
TD.PF.B FixedReset Disc 67,493 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-11-22
Maturity Price : 23.26
Evaluated at bid price : 24.55
Bid-YTW : 3.79 %
BMO.PR.B FixedReset Prem 58,634 YTW SCENARIO
Maturity Type : Call
Maturity Date : 2022-02-25
Maturity Price : 25.00
Evaluated at bid price : 25.22
Bid-YTW : 1.30 %
TD.PF.C FixedReset Disc 42,686 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-11-22
Maturity Price : 23.22
Evaluated at bid price : 24.65
Bid-YTW : 3.77 %
NA.PR.W FixedReset Disc 42,155 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-11-22
Maturity Price : 23.24
Evaluated at bid price : 24.71
Bid-YTW : 3.75 %
RY.PR.S FixedReset Prem 26,927 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-11-22
Maturity Price : 23.64
Evaluated at bid price : 25.35
Bid-YTW : 3.85 %
There were 11 other index-included issues trading in excess of 10,000 shares.
Wide Spread Highlights
Issue Index Quote Data and Yield Notes
TRP.PR.D FixedReset Disc Quote: 21.75 – 22.55
Spot Rate : 0.8000
Average : 0.5561

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-11-22
Maturity Price : 21.41
Evaluated at bid price : 21.75
Bid-YTW : 4.51 %
PVS.PR.I SplitShare Quote: 25.75 – 26.40
Spot Rate : 0.6500
Average : 0.4299

YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-10-31
Maturity Price : 25.00
Evaluated at bid price : 25.75
Bid-YTW : 3.89 %
BAM.PR.X FixedReset Disc Quote: 18.20 – 18.90
Spot Rate : 0.7000
Average : 0.5225

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-11-22
Maturity Price : 18.20
Evaluated at bid price : 18.20
Bid-YTW : 4.61 %
RS.PR.A SplitShare Quote: 10.48 – 11.27
Spot Rate : 0.7900
Average : 0.6323

YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-12-31
Maturity Price : 10.00
Evaluated at bid price : 10.48
Bid-YTW : 4.20 %
BAM.PR.R FixedReset Disc Quote: 20.76 – 21.15
Spot Rate : 0.3900
Average : 0.2503

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-11-22
Maturity Price : 20.76
Evaluated at bid price : 20.76
Bid-YTW : 4.50 %
IFC.PR.E Insurance Straight Quote: 26.30 – 26.90
Spot Rate : 0.6000
Average : 0.4710

YTW SCENARIO
Maturity Type : Call
Maturity Date : 2025-06-30
Maturity Price : 25.25
Evaluated at bid price : 26.30
Bid-YTW : 4.15 %

Posted in Market Action | No Comments »

November 19, 2021

Friday, November 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 2.97 % 3.41 % 47,278 20.16 1 -0.0970 % 2,934.6
FixedFloater 0.00 % 0.00 % 0 0.00 0 -0.0691 % 5,373.6
Floater 2.97 % 2.98 % 87,437 19.73 3 -0.0691 % 3,096.8
OpRet 0.00 % 0.00 % 0 0.00 0 -0.2014 % 3,680.6
SplitShare 4.66 % 4.24 % 57,996 3.81 5 -0.2014 % 4,395.4
Interest-Bearing 0.00 % 0.00 % 0 0.00 0 -0.2014 % 3,429.5
Perpetual-Premium 5.13 % -9.89 % 46,704 0.09 29 -0.0646 % 3,275.8
Perpetual-Discount 4.66 % 4.58 % 68,444 15.83 6 0.0269 % 3,886.7
FixedReset Disc 3.77 % 3.82 % 120,444 17.20 37 -0.1312 % 2,928.1
Insurance Straight 4.93 % 4.37 % 88,472 3.27 20 -0.2108 % 3,685.9
FloatingReset 2.46 % 2.81 % 27,271 20.18 2 -0.9573 % 2,939.0
FixedReset Prem 4.64 % 3.04 % 123,757 2.29 33 -0.0826 % 2,750.8
FixedReset Bank Non 0.00 % 0.00 % 0 0.00 0 -0.1312 % 2,993.1
FixedReset Ins Non 4.01 % 3.76 % 89,266 16.94 19 -0.0868 % 3,003.1
Performance Highlights
Issue Index Change Notes
SLF.PR.G FixedReset Ins Non -2.14 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-11-19
Maturity Price : 18.25
Evaluated at bid price : 18.25
Bid-YTW : 3.74 %
TRP.PR.F FloatingReset -1.88 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-11-19
Maturity Price : 18.31
Evaluated at bid price : 18.31
Bid-YTW : 2.81 %
BAM.PR.X FixedReset Disc -1.59 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-11-19
Maturity Price : 18.60
Evaluated at bid price : 18.60
Bid-YTW : 4.45 %
TRP.PR.C FixedReset Disc -1.55 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-11-19
Maturity Price : 15.90
Evaluated at bid price : 15.90
Bid-YTW : 4.41 %
TD.PF.I FixedReset Prem -1.49 % YTW SCENARIO
Maturity Type : Call
Maturity Date : 2022-10-31
Maturity Price : 25.00
Evaluated at bid price : 25.12
Bid-YTW : 4.25 %
CU.PR.C FixedReset Disc -1.45 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-11-19
Maturity Price : 22.34
Evaluated at bid price : 23.16
Bid-YTW : 4.13 %
BIP.PR.A FixedReset Prem -1.38 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-11-19
Maturity Price : 23.01
Evaluated at bid price : 24.26
Bid-YTW : 4.97 %
GWO.PR.Y Insurance Straight -1.36 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-11-19
Maturity Price : 24.28
Evaluated at bid price : 24.66
Bid-YTW : 4.60 %
FTS.PR.K FixedReset Disc -1.35 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-11-19
Maturity Price : 21.59
Evaluated at bid price : 22.00
Bid-YTW : 4.04 %
GWO.PR.S Insurance Straight -1.24 % YTW SCENARIO
Maturity Type : Call
Maturity Date : 2023-06-30
Maturity Price : 25.00
Evaluated at bid price : 25.50
Bid-YTW : 4.46 %
Volume Highlights
Issue Index Shares
Traded		 Notes
BAM.PR.K Floater 145,700 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-11-19
Maturity Price : 14.50
Evaluated at bid price : 14.50
Bid-YTW : 2.98 %
CM.PR.O FixedReset Disc 122,475 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-11-19
Maturity Price : 23.31
Evaluated at bid price : 24.66
Bid-YTW : 3.77 %
CM.PR.R FixedReset Prem 111,665 YTW SCENARIO
Maturity Type : Call
Maturity Date : 2022-07-31
Maturity Price : 25.00
Evaluated at bid price : 25.41
Bid-YTW : 2.42 %
BAM.PR.C Floater 107,300 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-11-19
Maturity Price : 14.35
Evaluated at bid price : 14.35
Bid-YTW : 3.01 %
BAM.PR.B Floater 80,226 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-11-19
Maturity Price : 14.53
Evaluated at bid price : 14.53
Bid-YTW : 2.97 %
TD.PF.M FixedReset Prem 38,600 YTW SCENARIO
Maturity Type : Call
Maturity Date : 2024-07-31
Maturity Price : 25.00
Evaluated at bid price : 26.80
Bid-YTW : 2.44 %
There were 13 other index-included issues trading in excess of 10,000 shares.
Wide Spread Highlights
Issue Index Quote Data and Yield Notes
SLF.PR.H FixedReset Ins Non Quote: 23.07 – 23.75
Spot Rate : 0.6800
Average : 0.4976

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-11-19
Maturity Price : 22.32
Evaluated at bid price : 23.07
Bid-YTW : 3.76 %
CU.PR.C FixedReset Disc Quote: 23.16 – 23.70
Spot Rate : 0.5400
Average : 0.3581

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-11-19
Maturity Price : 22.34
Evaluated at bid price : 23.16
Bid-YTW : 4.13 %
TD.PF.I FixedReset Prem Quote: 25.12 – 25.57
Spot Rate : 0.4500
Average : 0.2730

YTW SCENARIO
Maturity Type : Call
Maturity Date : 2022-10-31
Maturity Price : 25.00
Evaluated at bid price : 25.12
Bid-YTW : 4.25 %
TRP.PR.F FloatingReset Quote: 18.31 – 18.80
Spot Rate : 0.4900
Average : 0.3220

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-11-19
Maturity Price : 18.31
Evaluated at bid price : 18.31
Bid-YTW : 2.81 %
TRP.PR.A FixedReset Disc Quote: 19.91 – 20.53
Spot Rate : 0.6200
Average : 0.4786

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-11-19
Maturity Price : 19.91
Evaluated at bid price : 19.91
Bid-YTW : 4.35 %
RS.PR.A SplitShare Quote: 10.67 – 11.27
Spot Rate : 0.6000
Average : 0.4595

YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-12-31
Maturity Price : 10.00
Evaluated at bid price : 10.67
Bid-YTW : 3.69 %

Posted in Market Action | No Comments »

November 18, 2021

Thursday, November 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 2.97 % 3.41 % 47,394 20.16 1 0.0971 % 2,937.4
FixedFloater 0.00 % 0.00 % 0 0.00 0 -0.2528 % 5,377.3
Floater 2.96 % 2.98 % 80,809 19.73 3 -0.2528 % 3,099.0
OpRet 0.00 % 0.00 % 0 0.00 0 -0.0077 % 3,688.0
SplitShare 4.65 % 4.32 % 57,199 3.81 5 -0.0077 % 4,404.3
Interest-Bearing 0.00 % 0.00 % 0 0.00 0 -0.0077 % 3,436.4
Perpetual-Premium 5.13 % -11.05 % 48,638 0.09 29 -0.0013 % 3,277.9
Perpetual-Discount 4.66 % 4.59 % 70,905 15.80 6 -0.1811 % 3,885.6
FixedReset Disc 3.77 % 3.85 % 120,359 17.20 37 0.0674 % 2,932.0
Insurance Straight 4.92 % 4.25 % 88,445 3.47 20 0.0079 % 3,693.6
FloatingReset 2.44 % 2.75 % 28,365 20.32 2 -0.4628 % 2,967.4
FixedReset Prem 4.64 % 3.02 % 123,306 2.29 33 0.1217 % 2,753.1
FixedReset Bank Non 0.00 % 0.00 % 0 0.00 0 0.0674 % 2,997.0
FixedReset Ins Non 4.01 % 3.77 % 90,094 16.97 19 0.2611 % 3,005.7
Performance Highlights
Issue Index Change Notes
IFC.PR.A FixedReset Ins Non -1.38 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-11-18
Maturity Price : 21.50
Evaluated at bid price : 21.50
Bid-YTW : 3.78 %
FTS.PR.H FixedReset Disc -1.15 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-11-18
Maturity Price : 17.15
Evaluated at bid price : 17.15
Bid-YTW : 4.00 %
SLF.PR.H FixedReset Ins Non -1.07 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-11-18
Maturity Price : 22.34
Evaluated at bid price : 23.10
Bid-YTW : 3.76 %
BAM.PF.F FixedReset Disc -1.03 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-11-18
Maturity Price : 22.99
Evaluated at bid price : 24.00
Bid-YTW : 4.46 %
TRP.PR.B FixedReset Disc 1.72 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-11-18
Maturity Price : 14.76
Evaluated at bid price : 14.76
Bid-YTW : 4.38 %
TRP.PR.D FixedReset Disc 1.86 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-11-18
Maturity Price : 22.11
Evaluated at bid price : 22.41
Bid-YTW : 4.33 %
BAM.PR.Z FixedReset Prem 3.10 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-11-18
Maturity Price : 24.63
Evaluated at bid price : 24.95
Bid-YTW : 4.51 %
SLF.PR.G FixedReset Ins Non 3.32 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-11-18
Maturity Price : 18.65
Evaluated at bid price : 18.65
Bid-YTW : 3.66 %
GWO.PR.N FixedReset Ins Non 6.52 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-11-18
Maturity Price : 17.15
Evaluated at bid price : 17.15
Bid-YTW : 3.77 %
Volume Highlights
Issue Index Shares
Traded		 Notes
BNS.PR.H FixedReset Prem 66,475 YTW SCENARIO
Maturity Type : Call
Maturity Date : 2022-01-26
Maturity Price : 25.00
Evaluated at bid price : 25.22
Bid-YTW : 1.73 %
TRP.PR.K FixedReset Prem 60,000 YTW SCENARIO
Maturity Type : Call
Maturity Date : 2022-05-31
Maturity Price : 25.00
Evaluated at bid price : 25.22
Bid-YTW : 3.02 %
RY.PR.Z FixedReset Disc 39,802 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-11-18
Maturity Price : 23.26
Evaluated at bid price : 24.45
Bid-YTW : 3.70 %
MFC.PR.Q FixedReset Ins Non 34,850 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-11-18
Maturity Price : 23.81
Evaluated at bid price : 25.28
Bid-YTW : 4.00 %
TRP.PR.E FixedReset Disc 25,200 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-11-18
Maturity Price : 21.76
Evaluated at bid price : 22.00
Bid-YTW : 4.36 %
NA.PR.S FixedReset Disc 23,900 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-11-18
Maturity Price : 23.40
Evaluated at bid price : 24.81
Bid-YTW : 3.85 %
There were 12 other index-included issues trading in excess of 10,000 shares.
Wide Spread Highlights
Issue Index Quote Data and Yield Notes
SLF.PR.I FixedReset Ins Non Quote: 25.18 – 25.93
Spot Rate : 0.7500
Average : 0.4112

YTW SCENARIO
Maturity Type : Call
Maturity Date : 2021-12-31
Maturity Price : 25.00
Evaluated at bid price : 25.18
Bid-YTW : 1.93 %
BAM.PF.F FixedReset Disc Quote: 24.00 – 24.50
Spot Rate : 0.5000
Average : 0.3215

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-11-18
Maturity Price : 22.99
Evaluated at bid price : 24.00
Bid-YTW : 4.46 %
CU.PR.F Perpetual-Discount Quote: 24.50 – 24.90
Spot Rate : 0.4000
Average : 0.2624

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-11-18
Maturity Price : 24.23
Evaluated at bid price : 24.50
Bid-YTW : 4.59 %
MIC.PR.A Perpetual-Premium Quote: 27.41 – 27.85
Spot Rate : 0.4400
Average : 0.3148

YTW SCENARIO
Maturity Type : Call
Maturity Date : 2026-03-31
Maturity Price : 26.00
Evaluated at bid price : 27.41
Bid-YTW : 4.03 %
BAM.PR.B Floater Quote: 14.50 – 15.30
Spot Rate : 0.8000
Average : 0.6864

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-11-18
Maturity Price : 14.50
Evaluated at bid price : 14.50
Bid-YTW : 2.98 %
IFC.PR.A FixedReset Ins Non Quote: 21.50 – 21.90
Spot Rate : 0.4000
Average : 0.2872

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-11-18
Maturity Price : 21.50
Evaluated at bid price : 21.50
Bid-YTW : 3.78 %

Posted in Market Action | 2 Comments »

November 17, 2021

Thursday, November 18th, 2021

PerpetualDiscounts now yield 4.56%, equivalent to 5.93% interest at the standard equivalency factor of 1.3x. Long corporates now yield 3.46%, so the pre-tax interest-equivalent spread (in this context, the “Seniority Spread”) has widened to 245bp from the 230bp reported August 25 (which was affected by technical factors as virtually all so-called PerpetualDiscounts were trading at a premium at that time).

HIMIPref™ Preferred Indices
These values reflect the December 2008 revision of the HIMIPref™ Indices
Values are provisional and are finalized monthly
Index Mean
Current
Yield
(at bid)		 Median
YTW		 Median
Average
Trading
Value		 Median
Mod Dur
(YTW)		 Issues Day’s Perf. Index Value
Ratchet 2.97 % 3.41 % 45,624 20.16 1 0.0000 % 2,934.6
FixedFloater 0.00 % 0.00 % 0 0.00 0 0.1150 % 5,391.0
Floater 2.96 % 2.98 % 78,926 19.74 3 0.1150 % 3,106.8
OpRet 0.00 % 0.00 % 0 0.00 0 -0.2857 % 3,688.3
SplitShare 4.65 % 4.31 % 56,795 3.82 5 -0.2857 % 4,404.6
Interest-Bearing 0.00 % 0.00 % 0 0.00 0 -0.2857 % 3,436.7
Perpetual-Premium 5.13 % -8.77 % 48,335 0.09 29 0.0606 % 3,277.9
Perpetual-Discount 4.65 % 4.56 % 73,817 15.84 6 0.2218 % 3,892.7
FixedReset Disc 3.77 % 3.85 % 121,485 17.17 37 0.1030 % 2,930.0
Insurance Straight 4.92 % 4.13 % 89,333 3.27 20 0.0532 % 3,693.4
FloatingReset 2.43 % 2.73 % 28,717 20.39 2 -0.3256 % 2,981.2
FixedReset Prem 4.65 % 3.13 % 124,822 2.30 33 -0.0874 % 2,749.8
FixedReset Bank Non 0.00 % 0.00 % 0 0.00 0 0.1030 % 2,995.0
FixedReset Ins Non 4.02 % 3.78 % 93,677 16.98 19 -0.4067 % 2,997.9
Performance Highlights
Issue Index Change Notes
GWO.PR.N FixedReset Ins Non -7.47 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-11-17
Maturity Price : 16.10
Evaluated at bid price : 16.10
Bid-YTW : 4.01 %
BAM.PR.Z FixedReset Prem -3.39 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-11-17
Maturity Price : 23.72
Evaluated at bid price : 24.20
Bid-YTW : 4.64 %
FTS.PR.K FixedReset Disc -1.55 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-11-17
Maturity Price : 22.01
Evaluated at bid price : 22.25
Bid-YTW : 4.01 %
PVS.PR.J SplitShare -1.54 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2028-02-29
Maturity Price : 25.00
Evaluated at bid price : 25.01
Bid-YTW : 4.58 %
SLF.PR.G FixedReset Ins Non -1.37 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-11-17
Maturity Price : 18.05
Evaluated at bid price : 18.05
Bid-YTW : 3.78 %
FTS.PR.G FixedReset Disc -1.26 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-11-17
Maturity Price : 22.46
Evaluated at bid price : 22.81
Bid-YTW : 4.02 %
BAM.PF.D Perpetual-Premium -1.21 % YTW SCENARIO
Maturity Type : Call
Maturity Date : 2022-09-30
Maturity Price : 25.00
Evaluated at bid price : 25.24
Bid-YTW : 4.56 %
TRP.PR.A FixedReset Disc -1.00 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-11-17
Maturity Price : 19.80
Evaluated at bid price : 19.80
Bid-YTW : 4.37 %
BAM.PR.R FixedReset Disc 1.00 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-11-17
Maturity Price : 21.15
Evaluated at bid price : 21.15
Bid-YTW : 4.37 %
TRP.PR.E FixedReset Disc 2.55 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-11-17
Maturity Price : 21.83
Evaluated at bid price : 22.10
Bid-YTW : 4.34 %
PWF.PR.P FixedReset Disc 9.55 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-11-17
Maturity Price : 18.24
Evaluated at bid price : 18.24
Bid-YTW : 3.94 %
Volume Highlights
Issue Index Shares
Traded		 Notes
MFC.PR.G FixedReset Ins Non 224,540 YTW SCENARIO
Maturity Type : Call
Maturity Date : 2021-12-19
Maturity Price : 25.00
Evaluated at bid price : 25.21
Bid-YTW : 1.47 %
TRP.PR.B FixedReset Disc 105,100 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-11-17
Maturity Price : 14.51
Evaluated at bid price : 14.51
Bid-YTW : 4.45 %
BMO.PR.S FixedReset Disc 62,990 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-11-17
Maturity Price : 23.34
Evaluated at bid price : 24.65
Bid-YTW : 3.79 %
TD.PF.C FixedReset Disc 60,900 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-11-17
Maturity Price : 23.19
Evaluated at bid price : 24.57
Bid-YTW : 3.74 %
BAM.PR.R FixedReset Disc 46,905 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-11-17
Maturity Price : 21.15
Evaluated at bid price : 21.15
Bid-YTW : 4.37 %
RY.PR.H FixedReset Disc 43,125 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-11-17
Maturity Price : 23.24
Evaluated at bid price : 24.52
Bid-YTW : 3.72 %
There were 20 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: 16.10 – 17.65
Spot Rate : 1.5500
Average : 0.9404

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-11-17
Maturity Price : 16.10
Evaluated at bid price : 16.10
Bid-YTW : 4.01 %
BAM.PR.Z FixedReset Prem Quote: 24.20 – 25.05
Spot Rate : 0.8500
Average : 0.4903

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-11-17
Maturity Price : 23.72
Evaluated at bid price : 24.20
Bid-YTW : 4.64 %
CU.PR.E Perpetual-Premium Quote: 25.27 – 25.90
Spot Rate : 0.6300
Average : 0.3862

YTW SCENARIO
Maturity Type : Call
Maturity Date : 2021-12-17
Maturity Price : 25.00
Evaluated at bid price : 25.27
Bid-YTW : -10.20 %
SLF.PR.G FixedReset Ins Non Quote: 18.05 – 18.75
Spot Rate : 0.7000
Average : 0.4986

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-11-17
Maturity Price : 18.05
Evaluated at bid price : 18.05
Bid-YTW : 3.78 %
BAM.PR.B Floater Quote: 14.55 – 15.30
Spot Rate : 0.7500
Average : 0.5618

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-11-17
Maturity Price : 14.55
Evaluated at bid price : 14.55
Bid-YTW : 2.97 %
PVS.PR.J SplitShare Quote: 25.01 – 25.50
Spot Rate : 0.4900
Average : 0.3258

YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2028-02-29
Maturity Price : 25.00
Evaluated at bid price : 25.01
Bid-YTW : 4.58 %

Posted in Market Action | No Comments »

November 16, 2021

Tuesday, November 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 1 -1.0471 % 2,934.6
FixedFloater 0.00 % 0.00 % 0 0.00 0 -1.0471 % 5,384.8
Floater 2.96 % 2.98 % 79,934 19.74 3 -1.0471 % 3,103.3
OpRet 0.00 % 0.00 % 0 0.00 0 -0.1542 % 3,698.9
SplitShare 4.63 % 4.29 % 57,593 3.82 5 -0.1542 % 4,417.2
Interest-Bearing 0.00 % 0.00 % 0 0.00 0 -0.1542 % 3,446.5
Perpetual-Premium 5.13 % -8.20 % 50,332 0.09 29 -0.0363 % 3,276.0
Perpetual-Discount 4.66 % 4.58 % 74,929 15.78 6 0.2358 % 3,884.0
FixedReset Disc 3.77 % 3.85 % 119,694 17.17 37 -0.6082 % 2,927.0
Insurance Straight 4.92 % 4.51 % 93,030 3.47 20 0.0079 % 3,691.4
FloatingReset 2.42 % 2.72 % 26,537 20.40 2 0.4361 % 2,991.0
FixedReset Prem 4.64 % 3.00 % 122,112 1.99 33 -0.0743 % 2,752.2
FixedReset Bank Non 0.00 % 0.00 % 0 0.00 0 -0.6082 % 2,991.9
FixedReset Ins Non 4.00 % 3.73 % 92,600 16.98 19 0.1424 % 3,010.1
Performance Highlights
Issue Index Change Notes
PWF.PR.P FixedReset Disc -8.62 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-11-16
Maturity Price : 16.65
Evaluated at bid price : 16.65
Bid-YTW : 4.30 %
TRP.PR.C FixedReset Disc -2.51 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-11-16
Maturity Price : 15.90
Evaluated at bid price : 15.90
Bid-YTW : 4.41 %
TRP.PR.B FixedReset Disc -1.89 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-11-16
Maturity Price : 14.51
Evaluated at bid price : 14.51
Bid-YTW : 4.45 %
BAM.PF.A FixedReset Prem -1.87 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-11-16
Maturity Price : 23.69
Evaluated at bid price : 25.20
Bid-YTW : 4.37 %
BAM.PR.R FixedReset Disc -1.74 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-11-16
Maturity Price : 20.94
Evaluated at bid price : 20.94
Bid-YTW : 4.41 %
NA.PR.S FixedReset Disc -1.35 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-11-16
Maturity Price : 23.40
Evaluated at bid price : 24.81
Bid-YTW : 3.84 %
SLF.PR.G FixedReset Ins Non -1.35 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-11-16
Maturity Price : 18.30
Evaluated at bid price : 18.30
Bid-YTW : 3.73 %
TRP.PR.D FixedReset Disc -1.35 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-11-16
Maturity Price : 21.59
Evaluated at bid price : 22.00
Bid-YTW : 4.40 %
BAM.PR.C Floater -1.24 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-11-16
Maturity Price : 14.35
Evaluated at bid price : 14.35
Bid-YTW : 3.01 %
BAM.PR.B Floater -1.22 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-11-16
Maturity Price : 14.62
Evaluated at bid price : 14.62
Bid-YTW : 2.95 %
TRP.PR.A FixedReset Disc 1.01 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-11-16
Maturity Price : 20.00
Evaluated at bid price : 20.00
Bid-YTW : 4.32 %
MFC.PR.N FixedReset Ins Non 1.21 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-11-16
Maturity Price : 23.06
Evaluated at bid price : 24.29
Bid-YTW : 3.83 %
Volume Highlights
Issue Index Shares
Traded		 Notes
MFC.PR.H FixedReset Ins Non 315,344 YTW SCENARIO
Maturity Type : Call
Maturity Date : 2022-03-19
Maturity Price : 25.00
Evaluated at bid price : 25.29
Bid-YTW : 2.91 %
PWF.PR.I Perpetual-Premium 141,195 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-11-16
Maturity Price : 24.68
Evaluated at bid price : 24.99
Bid-YTW : 6.05 %
BNS.PR.H FixedReset Prem 89,375 YTW SCENARIO
Maturity Type : Call
Maturity Date : 2022-01-26
Maturity Price : 25.00
Evaluated at bid price : 25.22
Bid-YTW : 1.68 %
TD.PF.C FixedReset Disc 62,750 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-11-16
Maturity Price : 23.21
Evaluated at bid price : 24.63
Bid-YTW : 3.73 %
RY.PR.S FixedReset Prem 57,950 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-11-16
Maturity Price : 23.64
Evaluated at bid price : 25.35
Bid-YTW : 3.80 %
BMO.PR.S FixedReset Disc 46,900 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-11-16
Maturity Price : 23.36
Evaluated at bid price : 24.71
Bid-YTW : 3.77 %
There were 19 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 – 18.70
Spot Rate : 2.0500
Average : 1.3786

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-11-16
Maturity Price : 16.65
Evaluated at bid price : 16.65
Bid-YTW : 4.30 %
TRP.PR.C FixedReset Disc Quote: 15.90 – 16.48
Spot Rate : 0.5800
Average : 0.3593

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-11-16
Maturity Price : 15.90
Evaluated at bid price : 15.90
Bid-YTW : 4.41 %
RS.PR.A SplitShare Quote: 10.67 – 11.27
Spot Rate : 0.6000
Average : 0.3856

YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-12-31
Maturity Price : 10.00
Evaluated at bid price : 10.67
Bid-YTW : 3.69 %
BAM.PF.A FixedReset Prem Quote: 25.20 – 25.70
Spot Rate : 0.5000
Average : 0.3010

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-11-16
Maturity Price : 23.69
Evaluated at bid price : 25.20
Bid-YTW : 4.37 %
FTS.PR.F Perpetual-Premium Quote: 25.25 – 25.90
Spot Rate : 0.6500
Average : 0.5131

YTW SCENARIO
Maturity Type : Call
Maturity Date : 2021-12-16
Maturity Price : 25.00
Evaluated at bid price : 25.25
Bid-YTW : -9.44 %
TRP.PR.A FixedReset Disc Quote: 20.00 – 20.53
Spot Rate : 0.5300
Average : 0.4040

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-11-16
Maturity Price : 20.00
Evaluated at bid price : 20.00
Bid-YTW : 4.32 %

Posted in Market Action | No Comments »

November 15, 2021

Monday, November 15th, 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 2.9288 % 2,965.6
FixedFloater 0.00 % 0.00 % 0 0.00 0 2.9288 % 5,441.7
Floater 2.93 % 2.96 % 80,670 19.79 3 2.9288 % 3,136.1
OpRet 0.00 % 0.00 % 0 0.00 0 0.2318 % 3,704.6
SplitShare 4.63 % 4.28 % 57,091 3.82 5 0.2318 % 4,424.1
Interest-Bearing 0.00 % 0.00 % 0 0.00 0 0.2318 % 3,451.8
Perpetual-Premium 5.08 % -4.89 % 52,254 0.09 32 -0.1113 % 3,277.2
Perpetual-Discount 4.71 % 4.59 % 2,017,802 16.17 2 -0.2032 % 3,874.9
FixedReset Disc 3.77 % 3.85 % 116,367 16.99 40 0.2472 % 2,944.9
Insurance Straight 4.92 % 4.51 % 93,546 3.47 20 -0.1280 % 3,691.1
FloatingReset 2.43 % 2.73 % 26,310 20.40 2 1.6343 % 2,978.0
FixedReset Prem 4.70 % 2.75 % 119,616 1.77 30 -0.0285 % 2,754.2
FixedReset Bank Non 0.00 % 0.00 % 0 0.00 0 0.2472 % 3,010.3
FixedReset Ins Non 4.01 % 3.72 % 92,798 16.93 19 -0.1711 % 3,005.8
Performance Highlights
Issue Index Change Notes
PWF.PR.P FixedReset Disc -1.51 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-11-15
Maturity Price : 18.22
Evaluated at bid price : 18.22
Bid-YTW : 3.94 %
PWF.PR.L Perpetual-Premium -1.36 % YTW SCENARIO
Maturity Type : Call
Maturity Date : 2021-12-15
Maturity Price : 25.00
Evaluated at bid price : 25.35
Bid-YTW : -9.09 %
MFC.PR.N FixedReset Ins Non -1.32 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-11-15
Maturity Price : 22.93
Evaluated at bid price : 24.00
Bid-YTW : 3.89 %
TRP.PR.E FixedReset Disc -1.19 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-11-15
Maturity Price : 21.27
Evaluated at bid price : 21.55
Bid-YTW : 4.44 %
IFC.PR.A FixedReset Ins Non -1.18 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-11-15
Maturity Price : 21.39
Evaluated at bid price : 21.70
Bid-YTW : 3.72 %
IFC.PR.F Insurance Straight -1.10 % YTW SCENARIO
Maturity Type : Call
Maturity Date : 2025-09-30
Maturity Price : 25.25
Evaluated at bid price : 26.10
Bid-YTW : 4.51 %
BAM.PR.N Perpetual-Premium -1.07 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-11-15
Maturity Price : 24.62
Evaluated at bid price : 24.88
Bid-YTW : 4.82 %
TRP.PR.G FixedReset Disc 1.16 % YTW SCENARIO
Maturity Type : Call
Maturity Date : 2025-11-30
Maturity Price : 25.00
Evaluated at bid price : 24.42
Bid-YTW : 3.96 %
FTS.PR.H FixedReset Disc 1.21 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-11-15
Maturity Price : 17.57
Evaluated at bid price : 17.57
Bid-YTW : 3.94 %
BAM.PR.C Floater 1.25 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-11-15
Maturity Price : 14.53
Evaluated at bid price : 14.53
Bid-YTW : 2.97 %
BAM.PR.B Floater 1.51 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-11-15
Maturity Price : 14.80
Evaluated at bid price : 14.80
Bid-YTW : 2.92 %
CU.PR.C FixedReset Disc 1.73 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-11-15
Maturity Price : 22.82
Evaluated at bid price : 23.55
Bid-YTW : 4.07 %
TRP.PR.B FixedReset Disc 1.93 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-11-15
Maturity Price : 14.79
Evaluated at bid price : 14.79
Bid-YTW : 4.37 %
TRP.PR.F FloatingReset 2.84 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-11-15
Maturity Price : 18.83
Evaluated at bid price : 18.83
Bid-YTW : 2.73 %
TRP.PR.D FixedReset Disc 5.34 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-11-15
Maturity Price : 22.03
Evaluated at bid price : 22.30
Bid-YTW : 4.35 %
BAM.PR.K Floater 6.18 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-11-15
Maturity Price : 14.60
Evaluated at bid price : 14.60
Bid-YTW : 2.96 %
Volume Highlights
Issue Index Shares
Traded		 Notes
RY.PR.H FixedReset Disc 32,821 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-11-15
Maturity Price : 23.28
Evaluated at bid price : 24.63
Bid-YTW : 3.69 %
TD.PF.A FixedReset Disc 28,000 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-11-15
Maturity Price : 23.17
Evaluated at bid price : 24.43
Bid-YTW : 3.73 %
PWF.PF.A Perpetual-Discount 27,517 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-11-15
Maturity Price : 24.23
Evaluated at bid price : 24.62
Bid-YTW : 4.59 %
CM.PR.Q FixedReset Disc 23,700 YTW SCENARIO
Maturity Type : Call
Maturity Date : 2025-07-31
Maturity Price : 25.00
Evaluated at bid price : 24.75
Bid-YTW : 3.49 %
RY.PR.Z FixedReset Disc 22,000 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-11-15
Maturity Price : 23.26
Evaluated at bid price : 24.46
Bid-YTW : 3.69 %
TD.PF.J FixedReset Prem 15,200 YTW SCENARIO
Maturity Type : Call
Maturity Date : 2023-04-30
Maturity Price : 25.00
Evaluated at bid price : 25.45
Bid-YTW : 3.56 %
There were 10 other index-included issues trading in excess of 10,000 shares.
Wide Spread Highlights
Issue Index Quote Data and Yield Notes
IFC.PR.G FixedReset Ins Non Quote: 25.21 – 25.75
Spot Rate : 0.5400
Average : 0.3677

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-11-15
Maturity Price : 23.77
Evaluated at bid price : 25.21
Bid-YTW : 4.02 %
BAM.PR.B Floater Quote: 14.80 – 15.50
Spot Rate : 0.7000
Average : 0.5478

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-11-15
Maturity Price : 14.80
Evaluated at bid price : 14.80
Bid-YTW : 2.92 %
MFC.PR.N FixedReset Ins Non Quote: 24.00 – 24.45
Spot Rate : 0.4500
Average : 0.3059

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-11-15
Maturity Price : 22.93
Evaluated at bid price : 24.00
Bid-YTW : 3.89 %
IFC.PR.E Insurance Straight Quote: 26.30 – 26.99
Spot Rate : 0.6900
Average : 0.5501

YTW SCENARIO
Maturity Type : Call
Maturity Date : 2023-06-30
Maturity Price : 25.75
Evaluated at bid price : 26.30
Bid-YTW : 4.12 %
PWF.PR.P FixedReset Disc Quote: 18.22 – 19.00
Spot Rate : 0.7800
Average : 0.6425

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-11-15
Maturity Price : 18.22
Evaluated at bid price : 18.22
Bid-YTW : 3.94 %
PWF.PR.L Perpetual-Premium Quote: 25.35 – 25.75
Spot Rate : 0.4000
Average : 0.2724

YTW SCENARIO
Maturity Type : Call
Maturity Date : 2021-12-15
Maturity Price : 25.00
Evaluated at bid price : 25.35
Bid-YTW : -9.09 %

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November PrefLetter Released!

Monday, November 15th, 2021

The November, 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 November 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 November, 2021, issue, while the “Next Edition” will be the December, 2021, issue, scheduled to be prepared as of the close December 10, 2021, and eMailed to subscribers prior to market-opening on December 13.

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?).

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SBN.PR.A : Term Extension

Sunday, November 14th, 2021

Strathbridge Asset Management Inc. has announced (on October 29):

S Split Corp. (the “Fund”) announced today that the term of the Fund is being extended automatically for an additional seven-year period beyond the November 30, 2021 termination date to November 30, 2028 as provided for in its articles of incorporation. In connection with the automatic extension of the term, holders of Class A shares and Preferred shares have a special retraction right (“Special Retraction Right”) to permit holders of such securities to retract such shares on November 30, 2021 on the terms on which such shares would have been redeemed had the term of the Fund not been extended.

Retraction payments for Class A shares and Preferred shares tendered pursuant to the Special Retraction Right will be made no later than 10 business days following the retraction date of November 30, 2021, provided that such securities have been surrendered for retraction on or prior to 5:00 p.m. (Toronto time) on November 16, 2021. If more Class A shares than Preferred shares are retracted under the Special Retraction Right, the Fund will redeem Preferred shares on a pro rata basis to ensure an equal number of Class A shares and Preferred shares remain outstanding. Conversely, if more Preferred shares than Class A shares are retracted under the Special Retraction Right, the Fund will consolidate the Class A shares to ensure an equal number of Class A shares and Preferred sharesremain outstanding. Notice of such retraction or consolidation, will be made via press release on or before November 19, 2021.

The Fund is a split share corporation which invests in a portfolio of common shares of The Bank of Nova Scotia (“BNS”). Preferred share distributions of $0.525 per share per annum are paid monthly for a yield of 5.25% on the $10.00 issue price. Class A share distributions are calculated and paid each month in an amount targeted to be 6.0% per annum of the net asset value (“NAV”) of the Class A shares.

For further information, please contact Investor Relations at 416.681.3966, toll free at 1.800.725.7172 or visit www.strathbridge.com.

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CPX.PR.G To Be Redeemed

Saturday, November 13th, 2021

Capital Power Corporation has announced (on November 5):

that it intends to redeem all of its 8,000,000 issued and outstanding 6.00% Cumulative Minimum Rate Reset Preference Shares, Series 7 (Series 7 Shares) (TSX: CPX.PR.G) on December 31, 2021 (Redemption Date) at a price of $25.00 per share (Redemption Price) for an aggregate total of $200 million, less any tax required to be deducted and withheld by the Company.

As previously announced, the Company’s Board of Directors has declared a quarterly dividend of $0.375 per Series 7 Share payable on December 31, 2021 (Q4 2021 Quarterly Dividend). This will be the final quarterly dividend on the Series 7 Shares and, as the Redemption Date is also a dividend payment date, the Redemption Price will not include the Q4 2021 Quarterly Dividend. Instead, the Q4 2021 Quarterly Dividend will be paid on the Redemption Date separately to shareholders of record as of December 16, 2021.

The Company has provided notice today of the Redemption Price and the Redemption Date to the sole registered holder of the Series 7 Shares in accordance with their terms. Non-registered holders of Series 7 Shares should contact their broker or other intermediary for information regarding the redemption process for the Series 7 Shares in which they hold a beneficial interest.

CPX.PR.G is a FixedReset, 6.00%+526M600, that commenced trading 2016-10-4 after being announced 2016-9-22. It has been tracked by HIMIPref™ but relegated to the Scraps index on credit concerns.

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

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November 12, 2021

Saturday, November 13th, 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 0.1878 % 2,881.2
FixedFloater 0.00 % 0.00 % 0 0.00 0 0.1878 % 5,286.9
Floater 3.01 % 3.01 % 79,551 19.67 3 0.1878 % 3,046.9
OpRet 0.00 % 0.00 % 0 0.00 0 -0.2005 % 3,696.0
SplitShare 4.64 % 4.30 % 58,000 3.83 5 -0.2005 % 4,413.8
Interest-Bearing 0.00 % 0.00 % 0 0.00 0 -0.2005 % 3,443.8
Perpetual-Premium 5.07 % -3.99 % 52,246 0.09 32 0.1028 % 3,280.8
Perpetual-Discount 4.70 % 4.59 % 2,045,606 16.18 2 0.0406 % 3,882.8
FixedReset Disc 3.78 % 3.85 % 117,274 17.00 40 -0.2336 % 2,937.6
Insurance Straight 4.91 % 3.46 % 92,581 0.62 20 0.0986 % 3,695.8
FloatingReset 2.47 % 2.80 % 27,337 20.20 2 1.1204 % 2,930.1
FixedReset Prem 4.70 % 2.78 % 121,159 1.94 30 -0.0685 % 2,755.0
FixedReset Bank Non 0.00 % 0.00 % 0 0.00 0 -0.2336 % 3,002.8
FixedReset Ins Non 4.00 % 3.72 % 92,362 16.98 19 -0.0666 % 3,011.0
Performance Highlights
Issue Index Change Notes
TRP.PR.D FixedReset Disc -5.91 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-11-12
Maturity Price : 21.17
Evaluated at bid price : 21.17
Bid-YTW : 4.60 %
CU.PR.C FixedReset Disc -1.49 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-11-12
Maturity Price : 22.33
Evaluated at bid price : 23.15
Bid-YTW : 4.13 %
BIP.PR.A FixedReset Disc -1.41 % YTW SCENARIO
Maturity Type : Call
Maturity Date : 2025-06-30
Maturity Price : 25.00
Evaluated at bid price : 24.55
Bid-YTW : 4.69 %
TD.PF.K FixedReset Prem -1.02 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-11-12
Maturity Price : 23.68
Evaluated at bid price : 25.25
Bid-YTW : 4.01 %
TRP.PR.F FloatingReset 1.72 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-11-12
Maturity Price : 18.31
Evaluated at bid price : 18.31
Bid-YTW : 2.80 %
CU.PR.F Perpetual-Premium 2.29 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-11-12
Maturity Price : 24.28
Evaluated at bid price : 24.55
Bid-YTW : 4.58 %
Volume Highlights
Issue Index Shares
Traded		 Notes
RY.PR.H FixedReset Disc 141,494 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-11-12
Maturity Price : 23.23
Evaluated at bid price : 24.51
Bid-YTW : 3.72 %
SLF.PR.J FloatingReset 124,100 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-11-12
Maturity Price : 17.79
Evaluated at bid price : 17.79
Bid-YTW : 2.16 %
NA.PR.W FixedReset Disc 49,089 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-11-12
Maturity Price : 23.21
Evaluated at bid price : 24.65
Bid-YTW : 3.71 %
PWF.PR.S Perpetual-Premium 33,200 YTW SCENARIO
Maturity Type : Call
Maturity Date : 2022-04-30
Maturity Price : 25.00
Evaluated at bid price : 25.15
Bid-YTW : 3.80 %
PWF.PR.P FixedReset Disc 23,500 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-11-12
Maturity Price : 18.50
Evaluated at bid price : 18.50
Bid-YTW : 3.88 %
RY.PR.Z FixedReset Disc 23,254 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-11-12
Maturity Price : 23.25
Evaluated at bid price : 24.45
Bid-YTW : 3.69 %
There were 12 other index-included issues trading in excess of 10,000 shares.
Wide Spread Highlights
Issue Index Quote Data and Yield Notes
TRP.PR.D FixedReset Disc Quote: 21.17 – 22.54
Spot Rate : 1.3700
Average : 0.7556

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-11-12
Maturity Price : 21.17
Evaluated at bid price : 21.17
Bid-YTW : 4.60 %
CU.PR.I FixedReset Prem Quote: 26.70 – 27.49
Spot Rate : 0.7900
Average : 0.5131

YTW SCENARIO
Maturity Type : Call
Maturity Date : 2025-12-01
Maturity Price : 25.00
Evaluated at bid price : 26.70
Bid-YTW : 2.67 %
IFC.PR.I Perpetual-Premium Quote: 26.64 – 27.70
Spot Rate : 1.0600
Average : 0.8846

YTW SCENARIO
Maturity Type : Call
Maturity Date : 2029-03-31
Maturity Price : 25.00
Evaluated at bid price : 26.64
Bid-YTW : 4.48 %
FTS.PR.F Perpetual-Premium Quote: 25.61 – 26.10
Spot Rate : 0.4900
Average : 0.3226

YTW SCENARIO
Maturity Type : Call
Maturity Date : 2021-12-12
Maturity Price : 25.00
Evaluated at bid price : 25.61
Bid-YTW : -12.41 %
BAM.PR.K Floater Quote: 13.75 – 15.00
Spot Rate : 1.2500
Average : 1.1150

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-11-12
Maturity Price : 13.75
Evaluated at bid price : 13.75
Bid-YTW : 3.14 %
TD.PF.E FixedReset Disc Quote: 25.00 – 25.35
Spot Rate : 0.3500
Average : 0.2464

YTW SCENARIO
Maturity Type : Call
Maturity Date : 2025-10-31
Maturity Price : 25.00
Evaluated at bid price : 25.00
Bid-YTW : 3.28 %

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