Archive for January, 2022

January 18, 2022

Tuesday, January 18th, 2022
HIMIPref™ Preferred Indices
These values reflect the December 2008 revision of the HIMIPref™ Indices

Values are provisional and are finalized monthly
Index Mean
Current
Yield
(at bid)
Median
YTW
Median
Average
Trading
Value
Median
Mod Dur
(YTW)
Issues Day’s Perf. Index Value
Ratchet 3.03 % 3.50 % 40,891 20.06 1 -0.2956 % 2,883.3
FixedFloater 0.00 % 0.00 % 0 0.00 0 0.8613 % 5,367.4
Floater 2.97 % 2.97 % 49,880 19.80 3 0.8613 % 3,093.3
OpRet 0.00 % 0.00 % 0 0.00 0 -0.0326 % 3,653.7
SplitShare 4.70 % 4.40 % 30,559 3.56 6 -0.0326 % 4,363.3
Interest-Bearing 0.00 % 0.00 % 0 0.00 0 -0.0326 % 3,404.4
Perpetual-Premium 5.15 % -8.83 % 51,043 0.09 24 -0.1303 % 3,257.3
Perpetual-Discount 4.69 % 4.78 % 51,618 15.83 7 -0.1332 % 3,878.3
FixedReset Disc 3.95 % 4.03 % 114,282 16.77 46 1.1689 % 2,875.9
Insurance Straight 4.87 % 4.38 % 81,146 0.44 17 -0.0117 % 3,672.6
FloatingReset 2.67 % 2.99 % 39,191 19.75 2 0.7826 % 2,926.8
FixedReset Prem 4.73 % 2.98 % 106,107 1.75 25 0.0483 % 2,731.6
FixedReset Bank Non 0.00 % 0.00 % 0 0.00 0 1.1689 % 2,939.7
FixedReset Ins Non 4.06 % 3.81 % 68,666 16.92 17 0.2655 % 2,993.5
Performance Highlights
Issue Index Change Notes
TD.PF.E FixedReset Disc -2.87 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-01-18
Maturity Price : 22.91
Evaluated at bid price : 24.07
Bid-YTW : 4.29 %
RY.PR.P Perpetual-Premium -1.77 % YTW SCENARIO
Maturity Type : Call
Maturity Date : 2022-02-24
Maturity Price : 25.75
Evaluated at bid price : 26.06
Bid-YTW : 0.78 %
RS.PR.A SplitShare -1.51 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-12-31
Maturity Price : 10.00
Evaluated at bid price : 10.45
Bid-YTW : 4.05 %
CU.PR.C FixedReset Disc -1.44 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-01-18
Maturity Price : 22.40
Evaluated at bid price : 23.25
Bid-YTW : 4.24 %
GWO.PR.S Insurance Straight -1.16 % YTW SCENARIO
Maturity Type : Call
Maturity Date : 2022-06-30
Maturity Price : 25.25
Evaluated at bid price : 25.50
Bid-YTW : 3.56 %
BIP.PR.A FixedReset Disc 1.02 % YTW SCENARIO
Maturity Type : Call
Maturity Date : 2025-06-30
Maturity Price : 25.00
Evaluated at bid price : 24.75
Bid-YTW : 4.37 %
MFC.PR.F FixedReset Ins Non 1.19 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-01-18
Maturity Price : 18.72
Evaluated at bid price : 18.72
Bid-YTW : 3.82 %
TRP.PR.F FloatingReset 1.22 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-01-18
Maturity Price : 18.30
Evaluated at bid price : 18.30
Bid-YTW : 2.99 %
BAM.PR.C Floater 1.34 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-01-18
Maturity Price : 14.35
Evaluated at bid price : 14.35
Bid-YTW : 3.00 %
BAM.PR.T FixedReset Disc 6.19 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-01-18
Maturity Price : 21.61
Evaluated at bid price : 21.61
Bid-YTW : 4.52 %
RY.PR.M FixedReset Disc 85.92 % YTW SCENARIO
Maturity Type : Call
Maturity Date : 2025-11-24
Maturity Price : 25.00
Evaluated at bid price : 24.30
Bid-YTW : 3.93 %
Volume Highlights
Issue Index Shares
Traded
Notes
RY.PR.P Perpetual-Premium 30,010 YTW SCENARIO
Maturity Type : Call
Maturity Date : 2022-02-24
Maturity Price : 25.75
Evaluated at bid price : 26.06
Bid-YTW : 0.78 %
CU.PR.C FixedReset Disc 25,500 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-01-18
Maturity Price : 22.40
Evaluated at bid price : 23.25
Bid-YTW : 4.24 %
BMO.PR.T FixedReset Disc 19,939 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-01-18
Maturity Price : 23.22
Evaluated at bid price : 24.41
Bid-YTW : 3.83 %
BMO.PR.S FixedReset Disc 19,174 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-01-18
Maturity Price : 23.35
Evaluated at bid price : 24.59
Bid-YTW : 3.91 %
GWO.PR.R Insurance Straight 15,080 YTW SCENARIO
Maturity Type : Call
Maturity Date : 2022-02-17
Maturity Price : 25.00
Evaluated at bid price : 25.17
Bid-YTW : -0.59 %
CU.PR.J Perpetual-Premium 14,704 YTW SCENARIO
Maturity Type : Call
Maturity Date : 2031-03-01
Maturity Price : 25.00
Evaluated at bid price : 25.31
Bid-YTW : 4.68 %
There were 5 other index-included issues trading in excess of 10,000 shares.
Wide Spread Highlights
Issue Index Quote Data and Yield Notes
TRP.PR.G FixedReset Disc Quote: 12.50 – 24.55
Spot Rate : 12.0500
Average : 9.4920

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-01-18
Maturity Price : 12.50
Evaluated at bid price : 12.50
Bid-YTW : 8.51 %

TD.PF.E FixedReset Disc Quote: 24.07 – 24.95
Spot Rate : 0.8800
Average : 0.5845

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-01-18
Maturity Price : 22.91
Evaluated at bid price : 24.07
Bid-YTW : 4.29 %

SLF.PR.H FixedReset Ins Non Quote: 22.30 – 23.50
Spot Rate : 1.2000
Average : 1.0570

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-01-18
Maturity Price : 21.86
Evaluated at bid price : 22.30
Bid-YTW : 3.98 %

CU.PR.F Perpetual-Discount Quote: 24.49 – 25.00
Spot Rate : 0.5100
Average : 0.4215

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-01-18
Maturity Price : 24.19
Evaluated at bid price : 24.49
Bid-YTW : 4.64 %

CU.PR.J Perpetual-Premium Quote: 25.31 – 25.75
Spot Rate : 0.4400
Average : 0.3561

YTW SCENARIO
Maturity Type : Call
Maturity Date : 2031-03-01
Maturity Price : 25.00
Evaluated at bid price : 25.31
Bid-YTW : 4.68 %

MFC.PR.M FixedReset Ins Non Quote: 23.70 – 24.40
Spot Rate : 0.7000
Average : 0.6180

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-01-18
Maturity Price : 22.84
Evaluated at bid price : 23.70
Bid-YTW : 4.09 %

January 17, 2022

Monday, January 17th, 2022
HIMIPref™ Preferred Indices
These values reflect the December 2008 revision of the HIMIPref™ Indices

Values are provisional and are finalized monthly
Index Mean
Current
Yield
(at bid)
Median
YTW
Median
Average
Trading
Value
Median
Mod Dur
(YTW)
Issues Day’s Perf. Index Value
Ratchet 3.02 % 3.48 % 40,930 20.08 1 0.4453 % 2,891.8
FixedFloater 0.00 % 0.00 % 0 0.00 0 -1.0594 % 5,321.6
Floater 2.99 % 2.99 % 51,889 19.75 3 -1.0594 % 3,066.9
OpRet 0.00 % 0.00 % 0 0.00 0 0.0784 % 3,654.9
SplitShare 4.70 % 4.44 % 30,243 3.57 6 0.0784 % 4,364.7
Interest-Bearing 0.00 % 0.00 % 0 0.00 0 0.0784 % 3,405.5
Perpetual-Premium 5.15 % -15.77 % 50,761 0.09 24 0.1060 % 3,261.6
Perpetual-Discount 4.68 % 4.80 % 52,129 15.78 7 0.1276 % 3,883.4
FixedReset Disc 4.00 % 4.00 % 118,790 16.79 46 -2.0273 % 2,842.6
Insurance Straight 4.87 % 4.21 % 81,216 0.44 17 0.0187 % 3,673.1
FloatingReset 2.69 % 3.03 % 37,804 19.66 2 0.0559 % 2,904.1
FixedReset Prem 4.73 % 3.03 % 107,277 1.75 25 -0.1260 % 2,730.3
FixedReset Bank Non 0.00 % 0.00 % 0 0.00 0 -2.0273 % 2,905.8
FixedReset Ins Non 4.07 % 3.86 % 70,986 16.92 17 -0.3377 % 2,985.6
Performance Highlights
Issue Index Change Notes
TRP.PR.G FixedReset Disc -48.35 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-01-17
Maturity Price : 12.50
Evaluated at bid price : 12.50
Bid-YTW : 8.51 %
RY.PR.M FixedReset Disc -46.43 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-01-17
Maturity Price : 13.07
Evaluated at bid price : 13.07
Bid-YTW : 7.54 %
BAM.PR.T FixedReset Disc -5.26 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-01-17
Maturity Price : 20.35
Evaluated at bid price : 20.35
Bid-YTW : 4.80 %
SLF.PR.H FixedReset Ins Non -3.00 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-01-17
Maturity Price : 21.87
Evaluated at bid price : 22.31
Bid-YTW : 3.97 %
MFC.PR.F FixedReset Ins Non -2.68 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-01-17
Maturity Price : 18.50
Evaluated at bid price : 18.50
Bid-YTW : 3.86 %
BAM.PR.C Floater -2.07 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-01-17
Maturity Price : 14.16
Evaluated at bid price : 14.16
Bid-YTW : 3.04 %
TRP.PR.B FixedReset Disc -1.42 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-01-17
Maturity Price : 14.55
Evaluated at bid price : 14.55
Bid-YTW : 4.56 %
TD.PF.A FixedReset Disc 1.00 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-01-17
Maturity Price : 23.09
Evaluated at bid price : 24.19
Bid-YTW : 3.84 %
FTS.PR.K FixedReset Disc 1.10 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-01-17
Maturity Price : 21.60
Evaluated at bid price : 22.01
Bid-YTW : 4.16 %
CU.PR.C FixedReset Disc 1.86 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-01-17
Maturity Price : 22.57
Evaluated at bid price : 23.59
Bid-YTW : 4.17 %
BAM.PF.G FixedReset Disc 2.65 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-01-17
Maturity Price : 22.73
Evaluated at bid price : 23.61
Bid-YTW : 4.41 %
BAM.PF.F FixedReset Disc 3.21 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-01-17
Maturity Price : 23.09
Evaluated at bid price : 24.15
Bid-YTW : 4.49 %
Volume Highlights
Issue Index Shares
Traded
Notes
GWO.PR.I Insurance Straight 44,600 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-01-17
Maturity Price : 24.21
Evaluated at bid price : 24.50
Bid-YTW : 4.61 %
TD.PF.J FixedReset Prem 19,050 YTW SCENARIO
Maturity Type : Call
Maturity Date : 2023-04-30
Maturity Price : 25.00
Evaluated at bid price : 25.50
Bid-YTW : 2.96 %
BAM.PF.C Perpetual-Premium 16,538 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-01-17
Maturity Price : 24.79
Evaluated at bid price : 25.02
Bid-YTW : 4.88 %
TD.PF.E FixedReset Disc 15,900 YTW SCENARIO
Maturity Type : Call
Maturity Date : 2025-10-31
Maturity Price : 25.00
Evaluated at bid price : 24.78
Bid-YTW : 3.47 %
BAM.PR.Z FixedReset Disc 12,850 YTW SCENARIO
Maturity Type : Call
Maturity Date : 2022-12-31
Maturity Price : 25.00
Evaluated at bid price : 25.15
Bid-YTW : 4.30 %
MFC.PR.Q FixedReset Ins Non 11,508 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-01-17
Maturity Price : 23.83
Evaluated at bid price : 25.19
Bid-YTW : 4.07 %
There were 0 other index-included issues trading in excess of 10,000 shares.
Wide Spread Highlights
Issue Index Quote Data and Yield Notes
RY.PR.M FixedReset Disc Quote: 13.07 – 24.80
Spot Rate : 11.7300
Average : 6.2842

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-01-17
Maturity Price : 13.07
Evaluated at bid price : 13.07
Bid-YTW : 7.54 %

TRP.PR.G FixedReset Disc Quote: 12.50 – 24.50
Spot Rate : 12.0000
Average : 6.6873

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-01-17
Maturity Price : 12.50
Evaluated at bid price : 12.50
Bid-YTW : 8.51 %

FTS.PR.M FixedReset Disc Quote: 23.65 – 24.75
Spot Rate : 1.1000
Average : 0.6277

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-01-17
Maturity Price : 22.82
Evaluated at bid price : 23.65
Bid-YTW : 4.25 %

SLF.PR.H FixedReset Ins Non Quote: 22.31 – 23.50
Spot Rate : 1.1900
Average : 0.9002

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-01-17
Maturity Price : 21.87
Evaluated at bid price : 22.31
Bid-YTW : 3.97 %

MFC.PR.L FixedReset Ins Non Quote: 22.77 – 23.49
Spot Rate : 0.7200
Average : 0.5416

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-01-17
Maturity Price : 22.36
Evaluated at bid price : 22.77
Bid-YTW : 4.10 %

BAM.PR.T FixedReset Disc Quote: 20.35 – 21.60
Spot Rate : 1.2500
Average : 1.0742

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-01-17
Maturity Price : 20.35
Evaluated at bid price : 20.35
Bid-YTW : 4.80 %

January PrefLetter Released!

Monday, January 17th, 2022

The January, 2022, 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 January 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 January, 2022, issue, while the “Next Edition” will be the February, 2022, issue, scheduled to be prepared as of the close February 11, 2022, and eMailed to subscribers prior to market-opening on February 14.

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?).

MAPF Performance : December, 2021

Saturday, January 15th, 2022

Malachite Aggressive Preferred Fund’s Net Asset Value per Unit as of the close December 31, 2021, was $10.7432 after a dividend distribution of 0.106613 per Unit.

Returns to December 31, 2021
Period MAPF TXPR*
Total Return
CPD – according to Blackrock
One Month -0.25% +1.33% N/A
Three Months +0.86% +1.62% N/A
One Year +33.23% +19.35% +18.65%
Two Years (annualized) +21.87% +12.56% N/A
Three Years (annualized) +13.33% +9.45% +8.79%
Four Years (annualized) +7.00% +4.82% N/A
Five Years (annualized) +9.78% +6.52% +5.96%
Six Years (annualized) +10.02% +6.60% N/A
Seven Years (annualized) +5.35% +3.21% N/A
Eight Years (annualized) +6.23% +3.66% N/A
Nine Years (annualized) +5.02% +2.94% N/A
Ten Years (annualized) +5.77% +3.19% +2.69%
Eleven Years (annualized) +5.40% +3.42%  
Twelve Years (annualized) +6.27% +3.78%  
Thirteen Years (annualized) +10.00% +5.40%  
Fourteen Years (annualized) +8.94% +3.63%  
Fifteen Years (annualized) +8.20%    
Sixteen Years (annualized) +8.12%    
Seventeen Years (annualized) +7.99%    
Eighteen Years (annualized) +8.29%    
Nineteen Years (annualized) +9.49%    
Twenty Years (annualized) +9.06%    
MAPF returns assume reinvestment of distributions, and are shown after expenses but before fees.
The BMO Capital Markets “50” Preferred Share Index is no longer being calculated. The final performance report incorporating this venerable index was published as of December, 2020.
“TXPR” is the S&P/TSX Preferred Share Index. It is calculated without accounting for fees, but does assume reinvestment of dividends.
CPD Returns are for the NAV and are after all fees and expenses. Reinvestment of dividends is assumed.
Figures for National Bank Preferred Equity Income Fund (formerly Omega Preferred Equity) (which are after all fees and expenses) for 1-, 3- and 12-months are +0.77%, +1.72% and +24.51%, respectively, according to Globe & Mail / Fundata after all fees & expenses. Three year performance is +11.18%; five year is +7.66%; ten year is +4.29%

Figures from Morningstar are no longer conveniently available.

Manulife Preferred Income Class Adv has been terminated by Manulife. The performance of this fund was last reported here in March, 2018.
Figures for Horizons Active Preferred Share ETF (HPR) (which are after all fees and expenses) for 1-, 3- and 12-months are +1.10%, +2.00% & +24.57%, respectively. Three year performance is +10.62%, five-year is +7.08%
Figures for National Bank Preferred Equity Fund (formerly Altamira Preferred Equity Fund) are +1.07%, +2.03% and +24/88% for one-, three- and twelve months, respectively. Three year performance is +10.82%; five-year is +7.30%.

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

The last time Altamira Preferred Equity Fund’s performance was reported here was April, 2014; performance under the National Bank banner was first reported here May, 2014.

The figures for the NAV of BMO S&P/TSX Laddered Preferred Share Index ETF (ZPR) is +23.50% for the past twelve months. Two year performance is +14.44%, three year is +10.05%, five year is +6.69%.
Figures for Fiera Canadian Preferred Share Class Cg Series F, (formerly Natixis Canadian Preferred Share Class Series F) (formerly NexGen Canadian Preferred Share Tax Managed Fund) are no longer available as the Fund is now the property of Canoe Financial. The last reported performance for the merged fund was May 2020.
Figures for BMO Preferred Share Fund (advisor series) according to BMO are +0.78%, +0.62% and +15.95% for the past one-, three- and twelve-months, respectively. Two year performance is +10.84%; three year is +6.90%; five-year is +3.57%.
Figures for PowerShares Canadian Preferred Share Index Class, Series F (PPS) are +20.32% for the past twelve months. The three-year figure is +9.06%; five years is +6.52%; ten-year is +2.97%
Figures for the First Asset Preferred Share Investment Trust (PSF.UN) are no longer available since the fund has merged with First Asset Preferred Share ETF (FPR).

Performance for the fund was last reported here in September, 2016; the first report of unavailability was in October, 2016.

Figures for Lysander-Slater Preferred Share Dividend Fund (Class F) according to the company are +1.04%, +1.64% and +28.51% for the past one, three and twelve months, respectively. Three year performance is +9.18%, five-year is +5.45%.
Figures for the Desjardins Canadian Preferred Share Fund A Class (A Class), as reported by the company are +0.99%, +1.35% and +19.38% for the past one, three and twelve months, respectively. Two year performance is +11.98%, three-year is +7.99%, five-year is +5.09%
Figures for the RBC Canadian Preferred Share ETF (RPF) as reported by Morningstar are +1.15%, +1.75% and +23.85% for the past one, three and twelve months, respectively. Three-year performance is +9.80%; five-year is +6.68%
Figures for the Dynamic Active Preferred Shares ETF (DXP) are +1.4%, +2.3% and +28.3% for the past one, three and twelve months, respectively. Three-year performance is +12.0%

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

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

In November, 2019, the assumption of DeemedRetraction for insurance issues was cancelled in the wake of the IAIS decision included in ICS 2.0. This resulted in a large drop in the yield calculated for these issues

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

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

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

January 14, 2022

Friday, January 14th, 2022
HIMIPref™ Preferred Indices
These values reflect the December 2008 revision of the HIMIPref™ Indices

Values are provisional and are finalized monthly
Index Mean
Current
Yield
(at bid)
Median
YTW
Median
Average
Trading
Value
Median
Mod Dur
(YTW)
Issues Day’s Perf. Index Value
Ratchet 3.03 % 3.51 % 42,416 20.06 1 -0.4434 % 2,879.0
FixedFloater 0.00 % 0.00 % 0 0.00 0 0.2540 % 5,378.6
Floater 2.96 % 2.98 % 52,156 19.79 3 0.2540 % 3,099.7
OpRet 0.00 % 0.00 % 0 0.00 0 -0.8001 % 3,652.0
SplitShare 4.70 % 4.44 % 31,481 3.58 6 -0.8001 % 4,361.3
Interest-Bearing 0.00 % 0.00 % 0 0.00 0 -0.8001 % 3,402.9
Perpetual-Premium 5.15 % -15.28 % 48,334 0.09 24 -0.0293 % 3,258.1
Perpetual-Discount 4.69 % 4.81 % 49,579 15.78 7 0.2441 % 3,878.5
FixedReset Disc 3.92 % 3.92 % 117,213 16.60 46 0.4444 % 2,901.5
Insurance Straight 4.87 % 4.21 % 82,189 0.45 17 -0.1191 % 3,672.4
FloatingReset 2.69 % 3.02 % 35,551 19.68 2 0.1400 % 2,902.5
FixedReset Prem 4.72 % 2.94 % 108,427 1.72 25 0.0903 % 2,733.8
FixedReset Bank Non 0.00 % 0.00 % 0 0.00 0 0.4444 % 2,965.9
FixedReset Ins Non 4.06 % 3.77 % 73,496 16.94 17 0.7490 % 2,995.7
Performance Highlights
Issue Index Change Notes
RS.PR.A SplitShare -3.55 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-12-31
Maturity Price : 10.00
Evaluated at bid price : 10.61
Bid-YTW : 3.61 %
BAM.PF.G FixedReset Disc -2.54 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-01-14
Maturity Price : 22.39
Evaluated at bid price : 23.00
Bid-YTW : 4.55 %
PVS.PR.J SplitShare -1.18 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2028-02-29
Maturity Price : 25.00
Evaluated at bid price : 25.10
Bid-YTW : 4.44 %
TD.PF.A FixedReset Disc -1.03 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-01-14
Maturity Price : 22.98
Evaluated at bid price : 23.95
Bid-YTW : 3.88 %
BAM.PR.Z FixedReset Disc 1.00 % YTW SCENARIO
Maturity Type : Call
Maturity Date : 2022-12-31
Maturity Price : 25.00
Evaluated at bid price : 25.25
Bid-YTW : 3.83 %
TRP.PR.A FixedReset Disc 1.14 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-01-14
Maturity Price : 19.52
Evaluated at bid price : 19.52
Bid-YTW : 4.49 %
IFC.PR.A FixedReset Ins Non 1.21 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-01-14
Maturity Price : 21.47
Evaluated at bid price : 21.80
Bid-YTW : 3.77 %
TD.PF.D FixedReset Disc 1.43 % YTW SCENARIO
Maturity Type : Call
Maturity Date : 2025-07-31
Maturity Price : 25.00
Evaluated at bid price : 24.75
Bid-YTW : 3.48 %
TRP.PR.B FixedReset Disc 1.79 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-01-14
Maturity Price : 14.76
Evaluated at bid price : 14.76
Bid-YTW : 4.49 %
TRP.PR.C FixedReset Disc 1.84 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-01-14
Maturity Price : 16.60
Evaluated at bid price : 16.60
Bid-YTW : 4.32 %
BAM.PR.T FixedReset Disc 2.29 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-01-14
Maturity Price : 21.48
Evaluated at bid price : 21.48
Bid-YTW : 4.54 %
CU.PR.G Perpetual-Discount 2.29 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-01-14
Maturity Price : 24.26
Evaluated at bid price : 24.55
Bid-YTW : 4.63 %
TRP.PR.D FixedReset Disc 2.50 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-01-14
Maturity Price : 21.39
Evaluated at bid price : 21.71
Bid-YTW : 4.52 %
FTS.PR.H FixedReset Disc 2.86 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-01-14
Maturity Price : 17.25
Evaluated at bid price : 17.25
Bid-YTW : 4.11 %
GWO.PR.N FixedReset Ins Non 2.88 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-01-14
Maturity Price : 17.85
Evaluated at bid price : 17.85
Bid-YTW : 3.73 %
BAM.PF.B FixedReset Disc 3.02 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-01-14
Maturity Price : 23.06
Evaluated at bid price : 23.90
Bid-YTW : 4.39 %
SLF.PR.H FixedReset Ins Non 3.14 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-01-14
Maturity Price : 22.29
Evaluated at bid price : 23.00
Bid-YTW : 3.83 %
MFC.PR.F FixedReset Ins Non 3.88 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-01-14
Maturity Price : 19.01
Evaluated at bid price : 19.01
Bid-YTW : 3.76 %
PWF.PR.P FixedReset Disc 4.00 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-01-14
Maturity Price : 18.20
Evaluated at bid price : 18.20
Bid-YTW : 4.03 %
Volume Highlights
Issue Index Shares
Traded
Notes
BNS.PR.H FixedReset Disc 139,170 YTW SCENARIO
Maturity Type : Call
Maturity Date : 2022-02-25
Maturity Price : 25.00
Evaluated at bid price : 24.99
Bid-YTW : 3.72 %
BAM.PF.I FixedReset Prem 39,300 YTW SCENARIO
Maturity Type : Call
Maturity Date : 2022-03-31
Maturity Price : 25.00
Evaluated at bid price : 25.20
Bid-YTW : 1.83 %
TD.PF.K FixedReset Prem 35,700 YTW SCENARIO
Maturity Type : Call
Maturity Date : 2023-10-31
Maturity Price : 25.00
Evaluated at bid price : 25.32
Bid-YTW : 3.91 %
BAM.PR.T FixedReset Disc 25,000 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-01-14
Maturity Price : 21.48
Evaluated at bid price : 21.48
Bid-YTW : 4.54 %
MFC.PR.M FixedReset Ins Non 23,150 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-01-14
Maturity Price : 22.84
Evaluated at bid price : 23.70
Bid-YTW : 4.09 %
TRP.PR.A FixedReset Disc 21,200 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-01-14
Maturity Price : 19.52
Evaluated at bid price : 19.52
Bid-YTW : 4.49 %
There were 10 other index-included issues trading in excess of 10,000 shares.
Wide Spread Highlights
Issue Index Quote Data and Yield Notes
BAM.PF.G FixedReset Disc Quote: 23.00 – 23.95
Spot Rate : 0.9500
Average : 0.6639

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-01-14
Maturity Price : 22.39
Evaluated at bid price : 23.00
Bid-YTW : 4.55 %

MFC.PR.M FixedReset Ins Non Quote: 23.70 – 24.50
Spot Rate : 0.8000
Average : 0.5919

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-01-14
Maturity Price : 22.84
Evaluated at bid price : 23.70
Bid-YTW : 4.09 %

RS.PR.A SplitShare Quote: 10.61 – 11.15
Spot Rate : 0.5400
Average : 0.3779

YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-12-31
Maturity Price : 10.00
Evaluated at bid price : 10.61
Bid-YTW : 3.61 %

BAM.PF.F FixedReset Disc Quote: 23.40 – 24.60
Spot Rate : 1.2000
Average : 1.0463

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-01-14
Maturity Price : 22.71
Evaluated at bid price : 23.40
Bid-YTW : 4.65 %

TD.PF.A FixedReset Disc Quote: 23.95 – 24.38
Spot Rate : 0.4300
Average : 0.3154

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-01-14
Maturity Price : 22.98
Evaluated at bid price : 23.95
Bid-YTW : 3.88 %

CM.PR.T FixedReset Prem Quote: 26.00 – 26.40
Spot Rate : 0.4000
Average : 0.3075

YTW SCENARIO
Maturity Type : Call
Maturity Date : 2024-04-30
Maturity Price : 25.00
Evaluated at bid price : 26.00
Bid-YTW : 3.31 %

January 13, 2022

Friday, January 14th, 2022
HIMIPref™ Preferred Indices
These values reflect the December 2008 revision of the HIMIPref™ Indices

Values are provisional and are finalized monthly
Index Mean
Current
Yield
(at bid)
Median
YTW
Median
Average
Trading
Value
Median
Mod Dur
(YTW)
Issues Day’s Perf. Index Value
Ratchet 3.02 % 3.48 % 42,006 20.09 1 -0.4902 % 2,891.8
FixedFloater 0.00 % 0.00 % 0 0.00 0 -0.1614 % 5,364.9
Floater 2.97 % 2.98 % 50,983 19.79 3 -0.1614 % 3,091.8
OpRet 0.00 % 0.00 % 0 0.00 0 1.0143 % 3,681.5
SplitShare 4.66 % 4.43 % 30,957 3.60 6 1.0143 % 4,396.5
Interest-Bearing 0.00 % 0.00 % 0 0.00 0 1.0143 % 3,430.3
Perpetual-Premium 5.15 % -16.89 % 49,214 0.09 24 0.0750 % 3,259.1
Perpetual-Discount 4.70 % 4.79 % 50,090 15.78 7 -0.3706 % 3,869.1
FixedReset Disc 3.93 % 3.92 % 118,879 16.84 46 -0.1140 % 2,888.6
Insurance Straight 4.87 % 0.90 % 81,351 0.46 17 0.0771 % 3,676.8
FloatingReset 2.63 % 2.96 % 35,350 19.83 2 0.7050 % 2,898.4
FixedReset Prem 4.73 % 3.03 % 108,621 1.76 25 0.0016 % 2,731.3
FixedReset Bank Non 0.00 % 0.00 % 0 0.00 0 -0.1140 % 2,952.8
FixedReset Ins Non 4.09 % 3.93 % 73,589 17.03 17 -0.4650 % 2,973.4
Performance Highlights
Issue Index Change Notes
MFC.PR.F FixedReset Ins Non -4.24 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-01-13
Maturity Price : 18.30
Evaluated at bid price : 18.30
Bid-YTW : 3.86 %
SLF.PR.H FixedReset Ins Non -4.00 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-01-13
Maturity Price : 21.86
Evaluated at bid price : 22.30
Bid-YTW : 3.94 %
BAM.PF.F FixedReset Disc -3.03 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-01-13
Maturity Price : 22.71
Evaluated at bid price : 23.40
Bid-YTW : 4.62 %
CU.PR.G Perpetual-Discount -2.24 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-01-13
Maturity Price : 23.73
Evaluated at bid price : 24.00
Bid-YTW : 4.73 %
FTS.PR.H FixedReset Disc -2.04 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-01-13
Maturity Price : 16.77
Evaluated at bid price : 16.77
Bid-YTW : 4.18 %
TRP.PR.C FixedReset Disc -1.27 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-01-13
Maturity Price : 16.30
Evaluated at bid price : 16.30
Bid-YTW : 4.35 %
BAM.PR.K Floater -1.03 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-01-13
Maturity Price : 14.35
Evaluated at bid price : 14.35
Bid-YTW : 3.00 %
BAM.PR.X FixedReset Disc -1.00 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-01-13
Maturity Price : 18.80
Evaluated at bid price : 18.80
Bid-YTW : 4.44 %
TRP.PR.F FloatingReset 1.40 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-01-13
Maturity Price : 18.05
Evaluated at bid price : 18.05
Bid-YTW : 2.96 %
BAM.PF.B FixedReset Disc 1.53 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-01-13
Maturity Price : 22.89
Evaluated at bid price : 23.20
Bid-YTW : 4.52 %
RS.PR.A SplitShare 5.97 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-12-31
Maturity Price : 10.00
Evaluated at bid price : 11.00
Bid-YTW : 2.60 %
Volume Highlights
Issue Index Shares
Traded
Notes
TD.PF.L FixedReset Prem 58,115 YTW SCENARIO
Maturity Type : Call
Maturity Date : 2024-04-30
Maturity Price : 25.00
Evaluated at bid price : 26.18
Bid-YTW : 2.96 %
PWF.PF.A Perpetual-Discount 46,350 YTW SCENARIO
Maturity Type : Call
Maturity Date : 2030-01-31
Maturity Price : 25.00
Evaluated at bid price : 25.12
Bid-YTW : 4.42 %
TRP.PR.C FixedReset Disc 44,436 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-01-13
Maturity Price : 16.30
Evaluated at bid price : 16.30
Bid-YTW : 4.35 %
CM.PR.R FixedReset Prem 42,837 YTW SCENARIO
Maturity Type : Call
Maturity Date : 2022-07-31
Maturity Price : 25.00
Evaluated at bid price : 25.23
Bid-YTW : 2.41 %
IFC.PR.C FixedReset Disc 41,160 YTW SCENARIO
Maturity Type : Call
Maturity Date : 2026-09-30
Maturity Price : 25.00
Evaluated at bid price : 25.10
Bid-YTW : 3.41 %
TD.PF.E FixedReset Disc 39,948 YTW SCENARIO
Maturity Type : Call
Maturity Date : 2025-10-31
Maturity Price : 25.00
Evaluated at bid price : 24.80
Bid-YTW : 3.44 %
There were 33 other index-included issues trading in excess of 10,000 shares.
Wide Spread Highlights
Issue Index Quote Data and Yield Notes
BAM.PR.T FixedReset Disc Quote: 21.00 – 22.99
Spot Rate : 1.9900
Average : 1.3324

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-01-13
Maturity Price : 21.00
Evaluated at bid price : 21.00
Bid-YTW : 4.60 %

SLF.PR.H FixedReset Ins Non Quote: 22.30 – 23.45
Spot Rate : 1.1500
Average : 0.7279

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-01-13
Maturity Price : 21.86
Evaluated at bid price : 22.30
Bid-YTW : 3.94 %

GWO.PR.N FixedReset Ins Non Quote: 17.35 – 18.35
Spot Rate : 1.0000
Average : 0.6042

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-01-13
Maturity Price : 17.35
Evaluated at bid price : 17.35
Bid-YTW : 3.79 %

MFC.PR.F FixedReset Ins Non Quote: 18.30 – 19.39
Spot Rate : 1.0900
Average : 0.7701

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-01-13
Maturity Price : 18.30
Evaluated at bid price : 18.30
Bid-YTW : 3.86 %

BAM.PF.F FixedReset Disc Quote: 23.40 – 24.59
Spot Rate : 1.1900
Average : 0.8777

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-01-13
Maturity Price : 22.71
Evaluated at bid price : 23.40
Bid-YTW : 4.62 %

TRP.PR.D FixedReset Disc Quote: 21.18 – 22.00
Spot Rate : 0.8200
Average : 0.6129

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-01-13
Maturity Price : 21.18
Evaluated at bid price : 21.18
Bid-YTW : 4.62 %

January 12, 2022

Wednesday, January 12th, 2022

PerpetualDiscounts now yield 4.80%, equivalent to 6.24% interest at the standard equivalency factor of 1.3x. Long corporates now yield 3.28%, so the pre-tax interest-equivalent spread (in this context, the “Seniority Spread”) has widened to 295bp from the 285bp reported January 5.

HIMIPref™ Preferred Indices
These values reflect the December 2008 revision of the HIMIPref™ Indices

Values are provisional and are finalized monthly
Index Mean
Current
Yield
(at bid)
Median
YTW
Median
Average
Trading
Value
Median
Mod Dur
(YTW)
Issues Day’s Perf. Index Value
Ratchet 3.00 % 3.45 % 41,622 20.11 1 0.0490 % 2,906.1
FixedFloater 0.00 % 0.00 % 0 0.00 0 0.3470 % 5,373.6
Floater 2.97 % 2.98 % 52,622 19.79 3 0.3470 % 3,096.8
OpRet 0.00 % 0.00 % 0 0.00 0 -0.5014 % 3,644.5
SplitShare 4.71 % 4.43 % 29,739 3.58 6 -0.5014 % 4,352.3
Interest-Bearing 0.00 % 0.00 % 0 0.00 0 -0.5014 % 3,395.9
Perpetual-Premium 5.15 % -17.53 % 49,479 0.09 24 -0.0375 % 3,256.6
Perpetual-Discount 4.68 % 4.80 % 47,038 15.79 7 0.9175 % 3,883.4
FixedReset Disc 3.93 % 3.93 % 116,463 16.80 46 0.1095 % 2,891.9
Insurance Straight 4.87 % 3.39 % 82,269 0.46 17 -0.0467 % 3,673.9
FloatingReset 2.64 % 3.01 % 34,847 19.73 2 0.7100 % 2,878.1
FixedReset Prem 4.73 % 2.96 % 105,106 1.76 25 -0.0918 % 2,731.3
FixedReset Bank Non 0.00 % 0.00 % 0 0.00 0 0.1095 % 2,956.1
FixedReset Ins Non 4.07 % 3.77 % 70,219 17.01 17 0.2102 % 2,987.3
Performance Highlights
Issue Index Change Notes
BAM.PF.B FixedReset Disc -3.79 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-01-12
Maturity Price : 22.56
Evaluated at bid price : 22.85
Bid-YTW : 4.59 %
RS.PR.A SplitShare -2.26 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-12-31
Maturity Price : 10.00
Evaluated at bid price : 10.38
Bid-YTW : 4.22 %
MFC.PR.L FixedReset Ins Non -1.35 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-01-12
Maturity Price : 22.25
Evaluated at bid price : 22.60
Bid-YTW : 4.10 %
TD.PF.J FixedReset Prem -1.29 % YTW SCENARIO
Maturity Type : Call
Maturity Date : 2023-04-30
Maturity Price : 25.00
Evaluated at bid price : 25.19
Bid-YTW : 3.91 %
NA.PR.E FixedReset Disc -1.15 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-01-12
Maturity Price : 23.75
Evaluated at bid price : 24.90
Bid-YTW : 4.07 %
BMO.PR.W FixedReset Disc -1.06 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-01-12
Maturity Price : 23.10
Evaluated at bid price : 24.24
Bid-YTW : 3.84 %
PWF.PF.A Perpetual-Discount 1.12 % YTW SCENARIO
Maturity Type : Call
Maturity Date : 2030-01-31
Maturity Price : 25.00
Evaluated at bid price : 25.18
Bid-YTW : 4.38 %
TRP.PR.D FixedReset Disc 1.14 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-01-12
Maturity Price : 21.29
Evaluated at bid price : 21.29
Bid-YTW : 4.59 %
TD.PF.M FixedReset Prem 1.23 % YTW SCENARIO
Maturity Type : Call
Maturity Date : 2024-07-31
Maturity Price : 25.00
Evaluated at bid price : 26.32
Bid-YTW : 2.85 %
IFC.PR.A FixedReset Ins Non 1.45 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-01-12
Maturity Price : 21.40
Evaluated at bid price : 21.71
Bid-YTW : 3.74 %
CU.PR.G Perpetual-Discount 2.29 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-01-12
Maturity Price : 24.25
Evaluated at bid price : 24.55
Bid-YTW : 4.62 %
BAM.PR.R FixedReset Disc 2.49 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-01-12
Maturity Price : 21.01
Evaluated at bid price : 21.01
Bid-YTW : 4.42 %
TRP.PR.B FixedReset Disc 2.49 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-01-12
Maturity Price : 14.40
Evaluated at bid price : 14.40
Bid-YTW : 4.54 %
CU.PR.F Perpetual-Discount 2.85 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-01-12
Maturity Price : 24.33
Evaluated at bid price : 24.58
Bid-YTW : 4.62 %
BAM.PF.F FixedReset Disc 3.12 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-01-12
Maturity Price : 23.08
Evaluated at bid price : 24.13
Bid-YTW : 4.45 %
MFC.PR.F FixedReset Ins Non 4.43 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-01-12
Maturity Price : 19.11
Evaluated at bid price : 19.11
Bid-YTW : 3.70 %
TRP.PR.C FixedReset Disc 7.91 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-01-12
Maturity Price : 16.51
Evaluated at bid price : 16.51
Bid-YTW : 4.29 %
Volume Highlights
Issue Index Shares
Traded
Notes
MFC.PR.Q FixedReset Ins Non 60,300 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-01-12
Maturity Price : 23.83
Evaluated at bid price : 25.20
Bid-YTW : 4.02 %
BAM.PF.E FixedReset Disc 52,902 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-01-12
Maturity Price : 21.73
Evaluated at bid price : 22.00
Bid-YTW : 4.54 %
MFC.PR.K FixedReset Ins Non 51,400 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-01-12
Maturity Price : 23.89
Evaluated at bid price : 24.24
Bid-YTW : 3.92 %
CM.PR.P FixedReset Disc 45,153 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-01-12
Maturity Price : 23.12
Evaluated at bid price : 24.35
Bid-YTW : 3.80 %
TD.PF.C FixedReset Disc 29,500 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-01-12
Maturity Price : 23.15
Evaluated at bid price : 24.41
Bid-YTW : 3.79 %
RY.PR.M FixedReset Disc 28,400 YTW SCENARIO
Maturity Type : Call
Maturity Date : 2025-11-24
Maturity Price : 25.00
Evaluated at bid price : 24.44
Bid-YTW : 3.76 %
There were 22 other index-included issues trading in excess of 10,000 shares.
Wide Spread Highlights
Issue Index Quote Data and Yield Notes
CU.PR.J Perpetual-Premium Quote: 25.25 – 25.79
Spot Rate : 0.5400
Average : 0.3192

YTW SCENARIO
Maturity Type : Call
Maturity Date : 2031-03-01
Maturity Price : 25.00
Evaluated at bid price : 25.25
Bid-YTW : 4.70 %

BAM.PF.B FixedReset Disc Quote: 22.85 – 23.75
Spot Rate : 0.9000
Average : 0.6816

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-01-12
Maturity Price : 22.56
Evaluated at bid price : 22.85
Bid-YTW : 4.59 %

PWF.PR.F Perpetual-Premium Quote: 25.75 – 26.25
Spot Rate : 0.5000
Average : 0.3367

YTW SCENARIO
Maturity Type : Call
Maturity Date : 2022-02-11
Maturity Price : 25.00
Evaluated at bid price : 25.75
Bid-YTW : -31.47 %

BMO.PR.F FixedReset Prem Quote: 26.28 – 26.74
Spot Rate : 0.4600
Average : 0.3204

YTW SCENARIO
Maturity Type : Call
Maturity Date : 2024-05-25
Maturity Price : 25.00
Evaluated at bid price : 26.28
Bid-YTW : 3.15 %

NA.PR.E FixedReset Disc Quote: 24.90 – 25.45
Spot Rate : 0.5500
Average : 0.4107

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-01-12
Maturity Price : 23.75
Evaluated at bid price : 24.90
Bid-YTW : 4.07 %

MFC.PR.N FixedReset Ins Non Quote: 23.52 – 23.99
Spot Rate : 0.4700
Average : 0.3523

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-01-12
Maturity Price : 22.71
Evaluated at bid price : 23.52
Bid-YTW : 4.01 %

RS.PR.A : Name Change

Tuesday, January 11th, 2022

Middlefield has not bothered to announce the recent name change of Real Estate Split Corp. (formerly Real Estate & E-Commerce Split Corp.). To get the details, one must visit SEDAR and search for “Real Estate Split Corp. (formerly Real Estate & E-Commerce Split Corp.) Jan 6 2022 09:36:30 ET Other securityholders documents – English PDF 169 K” to get a link to a document that the Canadian Securities Administrators won’t allow me to link to because we’re all stupid investor scum and should not bother ourselves with complicated documents.

Oh, Canada!

January 11, 2022

Tuesday, January 11th, 2022
HIMIPref™ Preferred Indices
These values reflect the December 2008 revision of the HIMIPref™ Indices

Values are provisional and are finalized monthly
Index Mean
Current
Yield
(at bid)
Median
YTW
Median
Average
Trading
Value
Median
Mod Dur
(YTW)
Issues Day’s Perf. Index Value
Ratchet 3.00 % 3.46 % 40,825 20.11 1 0.7411 % 2,904.6
FixedFloater 0.00 % 0.00 % 0 0.00 0 0.1158 % 5,355.0
Floater 2.98 % 2.99 % 52,478 19.77 3 0.1158 % 3,086.1
OpRet 0.00 % 0.00 % 0 0.00 0 0.6092 % 3,662.9
SplitShare 4.69 % 4.33 % 30,976 3.59 6 0.6092 % 4,374.3
Interest-Bearing 0.00 % 0.00 % 0 0.00 0 0.6092 % 3,413.0
Perpetual-Premium 5.15 % -14.56 % 47,960 0.09 24 0.2976 % 3,257.8
Perpetual-Discount 4.73 % 4.80 % 45,233 15.80 7 -0.0117 % 3,848.1
FixedReset Disc 3.93 % 3.90 % 117,297 16.75 46 1.2254 % 2,888.8
Insurance Straight 4.87 % 0.97 % 82,411 0.46 17 0.4811 % 3,675.6
FloatingReset 2.66 % 3.03 % 34,259 19.67 2 0.0568 % 2,857.8
FixedReset Prem 4.72 % 2.86 % 105,494 1.72 25 -0.2281 % 2,733.8
FixedReset Bank Non 0.00 % 0.00 % 0 0.00 0 1.2254 % 2,952.9
FixedReset Ins Non 4.08 % 3.86 % 67,211 17.00 17 -0.2803 % 2,981.0
Performance Highlights
Issue Index Change Notes
MFC.PR.F FixedReset Ins Non -3.48 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-01-11
Maturity Price : 18.30
Evaluated at bid price : 18.30
Bid-YTW : 3.86 %
BAM.PF.F FixedReset Disc -2.30 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-01-11
Maturity Price : 22.71
Evaluated at bid price : 23.40
Bid-YTW : 4.61 %
MFC.PR.M FixedReset Ins Non -1.88 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-01-11
Maturity Price : 22.73
Evaluated at bid price : 23.50
Bid-YTW : 4.10 %
CM.PR.Y FixedReset Prem -1.84 % YTW SCENARIO
Maturity Type : Call
Maturity Date : 2024-07-31
Maturity Price : 25.00
Evaluated at bid price : 26.21
Bid-YTW : 3.09 %
TD.PF.D FixedReset Disc -1.61 % YTW SCENARIO
Maturity Type : Call
Maturity Date : 2025-07-31
Maturity Price : 25.00
Evaluated at bid price : 24.40
Bid-YTW : 3.90 %
NA.PR.G FixedReset Prem -1.52 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-01-11
Maturity Price : 23.70
Evaluated at bid price : 25.21
Bid-YTW : 4.21 %
MFC.PR.Q FixedReset Ins Non -1.37 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-01-11
Maturity Price : 23.82
Evaluated at bid price : 25.17
Bid-YTW : 4.03 %
TRP.PR.D FixedReset Disc -1.22 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-01-11
Maturity Price : 21.05
Evaluated at bid price : 21.05
Bid-YTW : 4.64 %
TD.PF.L FixedReset Prem -1.09 % YTW SCENARIO
Maturity Type : Call
Maturity Date : 2024-04-30
Maturity Price : 25.00
Evaluated at bid price : 26.31
Bid-YTW : 2.72 %
POW.PR.G Perpetual-Premium 1.10 % YTW SCENARIO
Maturity Type : Call
Maturity Date : 2022-02-10
Maturity Price : 25.00
Evaluated at bid price : 25.62
Bid-YTW : -23.48 %
SLF.PR.D Insurance Straight 1.15 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-01-11
Maturity Price : 24.32
Evaluated at bid price : 24.63
Bid-YTW : 4.53 %
FTS.PR.H FixedReset Disc 1.29 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-01-11
Maturity Price : 17.25
Evaluated at bid price : 17.25
Bid-YTW : 4.06 %
SLF.PR.C Insurance Straight 1.53 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-01-11
Maturity Price : 24.27
Evaluated at bid price : 24.57
Bid-YTW : 4.54 %
GWO.PR.H Insurance Straight 1.61 % YTW SCENARIO
Maturity Type : Call
Maturity Date : 2022-02-10
Maturity Price : 25.00
Evaluated at bid price : 25.20
Bid-YTW : -3.07 %
FTS.PR.G FixedReset Disc 1.79 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-01-11
Maturity Price : 22.43
Evaluated at bid price : 22.80
Bid-YTW : 4.09 %
RS.PR.A SplitShare 2.31 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-12-31
Maturity Price : 10.00
Evaluated at bid price : 10.62
Bid-YTW : 3.58 %
IFC.PR.A FixedReset Ins Non 2.39 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-01-11
Maturity Price : 21.40
Evaluated at bid price : 21.40
Bid-YTW : 3.82 %
BAM.PR.X FixedReset Disc 2.93 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-01-11
Maturity Price : 18.99
Evaluated at bid price : 18.99
Bid-YTW : 4.39 %
BAM.PF.B FixedReset Disc 3.98 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-01-11
Maturity Price : 22.98
Evaluated at bid price : 23.75
Bid-YTW : 4.38 %
TRP.PR.G FixedReset Disc 93.20 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-01-11
Maturity Price : 22.93
Evaluated at bid price : 24.15
Bid-YTW : 4.35 %
Volume Highlights
Issue Index Shares
Traded
Notes
BMO.PR.D FixedReset Prem 101,100 YTW SCENARIO
Maturity Type : Call
Maturity Date : 2022-08-25
Maturity Price : 25.00
Evaluated at bid price : 25.36
Bid-YTW : 3.01 %
BMO.PR.C FixedReset Prem 97,180 YTW SCENARIO
Maturity Type : Call
Maturity Date : 2022-05-25
Maturity Price : 25.00
Evaluated at bid price : 25.33
Bid-YTW : 2.45 %
BAM.PF.A FixedReset Disc 74,500 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-01-11
Maturity Price : 23.75
Evaluated at bid price : 25.25
Bid-YTW : 4.37 %
MFC.PR.R FixedReset Ins Non 55,400 YTW SCENARIO
Maturity Type : Call
Maturity Date : 2022-03-19
Maturity Price : 25.00
Evaluated at bid price : 25.20
Bid-YTW : 2.14 %
BMO.PR.B FixedReset Prem 53,740 YTW SCENARIO
Maturity Type : Call
Maturity Date : 2022-02-25
Maturity Price : 25.00
Evaluated at bid price : 25.25
Bid-YTW : 1.79 %
BAM.PR.Z FixedReset Disc 40,100 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-01-11
Maturity Price : 23.97
Evaluated at bid price : 25.08
Bid-YTW : 4.44 %
There were 13 other index-included issues trading in excess of 10,000 shares.
Wide Spread Highlights
Issue Index Quote Data and Yield Notes
MFC.PR.F FixedReset Ins Non Quote: 18.30 – 19.36
Spot Rate : 1.0600
Average : 0.6709

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-01-11
Maturity Price : 18.30
Evaluated at bid price : 18.30
Bid-YTW : 3.86 %

TRP.PR.C FixedReset Disc Quote: 15.30 – 16.97
Spot Rate : 1.6700
Average : 1.4087

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-01-11
Maturity Price : 15.30
Evaluated at bid price : 15.30
Bid-YTW : 4.62 %

BAM.PF.F FixedReset Disc Quote: 23.40 – 24.44
Spot Rate : 1.0400
Average : 0.7823

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-01-11
Maturity Price : 22.71
Evaluated at bid price : 23.40
Bid-YTW : 4.61 %

TD.PF.D FixedReset Disc Quote: 24.40 – 25.20
Spot Rate : 0.8000
Average : 0.5894

YTW SCENARIO
Maturity Type : Call
Maturity Date : 2025-07-31
Maturity Price : 25.00
Evaluated at bid price : 24.40
Bid-YTW : 3.90 %

MFC.PR.M FixedReset Ins Non Quote: 23.50 – 24.19
Spot Rate : 0.6900
Average : 0.4933

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-01-11
Maturity Price : 22.73
Evaluated at bid price : 23.50
Bid-YTW : 4.10 %

TD.PF.L FixedReset Prem Quote: 26.31 – 26.82
Spot Rate : 0.5100
Average : 0.3262

YTW SCENARIO
Maturity Type : Call
Maturity Date : 2024-04-30
Maturity Price : 25.00
Evaluated at bid price : 26.31
Bid-YTW : 2.72 %

January 10, 2022

Monday, January 10th, 2022
HIMIPref™ Preferred Indices
These values reflect the December 2008 revision of the HIMIPref™ Indices

Values are provisional and are finalized monthly
Index Mean
Current
Yield
(at bid)
Median
YTW
Median
Average
Trading
Value
Median
Mod Dur
(YTW)
Issues Day’s Perf. Index Value
Ratchet 3.03 % 3.49 % 40,533 20.07 1 0.5464 % 2,883.3
FixedFloater 0.00 % 0.00 % 0 0.00 0 -0.8951 % 5,348.8
Floater 2.98 % 3.00 % 52,922 19.75 3 -0.8951 % 3,082.6
OpRet 0.00 % 0.00 % 0 0.00 0 -0.3980 % 3,640.7
SplitShare 4.72 % 4.37 % 31,463 3.58 6 -0.3980 % 4,347.8
Interest-Bearing 0.00 % 0.00 % 0 0.00 0 -0.3980 % 3,392.3
Perpetual-Premium 5.17 % -9.93 % 48,350 0.09 24 -0.1453 % 3,248.2
Perpetual-Discount 4.73 % 4.81 % 45,422 15.78 7 -0.0701 % 3,848.6
FixedReset Disc 3.98 % 3.89 % 121,806 16.55 46 -0.8016 % 2,853.8
Insurance Straight 4.89 % 4.59 % 82,540 15.64 17 -0.1149 % 3,658.0
FloatingReset 2.66 % 3.03 % 34,589 19.66 2 0.8598 % 2,856.2
FixedReset Prem 4.71 % 2.88 % 106,827 1.77 25 0.0233 % 2,740.0
FixedReset Bank Non 0.00 % 0.00 % 0 0.00 0 -0.8016 % 2,917.2
FixedReset Ins Non 4.06 % 3.77 % 64,589 17.02 17 0.3192 % 2,989.4
Performance Highlights
Issue Index Change Notes
TRP.PR.G FixedReset Disc -48.00 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-01-10
Maturity Price : 12.50
Evaluated at bid price : 12.50
Bid-YTW : 8.44 %
BAM.PF.B FixedReset Disc -3.71 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-01-10
Maturity Price : 22.44
Evaluated at bid price : 22.84
Bid-YTW : 4.59 %
TD.PF.M FixedReset Prem -2.62 % YTW SCENARIO
Maturity Type : Call
Maturity Date : 2024-07-31
Maturity Price : 25.00
Evaluated at bid price : 26.00
Bid-YTW : 3.36 %
BAM.PR.R FixedReset Disc -1.74 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-01-10
Maturity Price : 20.30
Evaluated at bid price : 20.30
Bid-YTW : 4.57 %
IFC.PR.A FixedReset Ins Non -1.42 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-01-10
Maturity Price : 20.90
Evaluated at bid price : 20.90
Bid-YTW : 3.91 %
GWO.PR.H Insurance Straight -1.39 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-01-10
Maturity Price : 24.55
Evaluated at bid price : 24.80
Bid-YTW : 4.91 %
POW.PR.G Perpetual-Premium -1.25 % YTW SCENARIO
Maturity Type : Call
Maturity Date : 2022-02-09
Maturity Price : 25.00
Evaluated at bid price : 25.34
Bid-YTW : -11.45 %
PVS.PR.H SplitShare -1.18 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2027-02-28
Maturity Price : 25.00
Evaluated at bid price : 25.20
Bid-YTW : 4.65 %
BAM.PR.K Floater -1.17 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-01-10
Maturity Price : 14.36
Evaluated at bid price : 14.36
Bid-YTW : 3.00 %
CM.PR.Q FixedReset Disc 1.02 % YTW SCENARIO
Maturity Type : Call
Maturity Date : 2025-07-31
Maturity Price : 25.00
Evaluated at bid price : 24.85
Bid-YTW : 3.29 %
BMO.PR.Y FixedReset Disc 1.18 % YTW SCENARIO
Maturity Type : Call
Maturity Date : 2025-08-25
Maturity Price : 25.00
Evaluated at bid price : 24.80
Bid-YTW : 3.42 %
TD.PF.E FixedReset Disc 1.21 % YTW SCENARIO
Maturity Type : Call
Maturity Date : 2025-10-31
Maturity Price : 25.00
Evaluated at bid price : 25.00
Bid-YTW : 3.20 %
TRP.PR.D FixedReset Disc 1.24 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-01-10
Maturity Price : 21.31
Evaluated at bid price : 21.31
Bid-YTW : 4.59 %
CM.PR.Y FixedReset Prem 1.25 % YTW SCENARIO
Maturity Type : Call
Maturity Date : 2024-07-31
Maturity Price : 25.00
Evaluated at bid price : 26.70
Bid-YTW : 2.31 %
TD.PF.J FixedReset Prem 1.51 % YTW SCENARIO
Maturity Type : Call
Maturity Date : 2023-04-30
Maturity Price : 25.00
Evaluated at bid price : 25.50
Bid-YTW : 2.92 %
FTS.PR.H FixedReset Disc 1.67 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-01-10
Maturity Price : 17.03
Evaluated at bid price : 17.03
Bid-YTW : 4.11 %
SLF.PR.J FloatingReset 1.74 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-01-10
Maturity Price : 17.55
Evaluated at bid price : 17.55
Bid-YTW : 2.32 %
GWO.PR.N FixedReset Ins Non 1.76 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-01-10
Maturity Price : 17.30
Evaluated at bid price : 17.30
Bid-YTW : 3.80 %
MFC.PR.N FixedReset Ins Non 1.81 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-01-10
Maturity Price : 22.76
Evaluated at bid price : 23.62
Bid-YTW : 3.99 %
SLF.PR.H FixedReset Ins Non 2.66 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-01-10
Maturity Price : 22.38
Evaluated at bid price : 23.15
Bid-YTW : 3.77 %
PWF.PR.P FixedReset Disc 5.42 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-01-10
Maturity Price : 17.50
Evaluated at bid price : 17.50
Bid-YTW : 4.14 %
TRP.PR.E FixedReset Disc 5.74 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-01-10
Maturity Price : 21.20
Evaluated at bid price : 21.20
Bid-YTW : 4.56 %
BAM.PF.E FixedReset Disc 6.52 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-01-10
Maturity Price : 21.89
Evaluated at bid price : 22.21
Bid-YTW : 4.50 %
Volume Highlights
Issue Index Shares
Traded
Notes
BMO.PR.B FixedReset Prem 50,200 YTW SCENARIO
Maturity Type : Call
Maturity Date : 2022-02-25
Maturity Price : 25.00
Evaluated at bid price : 25.25
Bid-YTW : 1.75 %
CU.PR.J Perpetual-Premium 46,543 YTW SCENARIO
Maturity Type : Call
Maturity Date : 2031-03-01
Maturity Price : 25.00
Evaluated at bid price : 25.20
Bid-YTW : 4.72 %
GWO.PR.Y Insurance Straight 42,995 YTW SCENARIO
Maturity Type : Call
Maturity Date : 2030-12-31
Maturity Price : 25.00
Evaluated at bid price : 25.15
Bid-YTW : 4.46 %
PWF.PF.A Perpetual-Discount 35,200 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-01-10
Maturity Price : 24.59
Evaluated at bid price : 25.00
Bid-YTW : 4.48 %
TRP.PR.E FixedReset Disc 31,625 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-01-10
Maturity Price : 21.20
Evaluated at bid price : 21.20
Bid-YTW : 4.56 %
TRP.PR.A FixedReset Disc 25,900 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-01-10
Maturity Price : 19.20
Evaluated at bid price : 19.20
Bid-YTW : 4.52 %
There were 9 other index-included issues trading in excess of 10,000 shares.
Wide Spread Highlights
Issue Index Quote Data and Yield Notes
TRP.PR.G FixedReset Disc Quote: 12.50 – 24.19
Spot Rate : 11.6900
Average : 7.6413

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-01-10
Maturity Price : 12.50
Evaluated at bid price : 12.50
Bid-YTW : 8.44 %

TD.PF.M FixedReset Prem Quote: 26.00 – 26.88
Spot Rate : 0.8800
Average : 0.5542

YTW SCENARIO
Maturity Type : Call
Maturity Date : 2024-07-31
Maturity Price : 25.00
Evaluated at bid price : 26.00
Bid-YTW : 3.36 %

BAM.PF.B FixedReset Disc Quote: 22.84 – 23.79
Spot Rate : 0.9500
Average : 0.7078

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-01-10
Maturity Price : 22.44
Evaluated at bid price : 22.84
Bid-YTW : 4.59 %

IFC.PR.A FixedReset Ins Non Quote: 20.90 – 21.96
Spot Rate : 1.0600
Average : 0.8363

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-01-10
Maturity Price : 20.90
Evaluated at bid price : 20.90
Bid-YTW : 3.91 %

PWF.PR.E Perpetual-Premium Quote: 25.42 – 26.00
Spot Rate : 0.5800
Average : 0.3751

YTW SCENARIO
Maturity Type : Call
Maturity Date : 2022-02-09
Maturity Price : 25.00
Evaluated at bid price : 25.42
Bid-YTW : -17.96 %

BAM.PR.R FixedReset Disc Quote: 20.30 – 21.40
Spot Rate : 1.1000
Average : 0.9053

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-01-10
Maturity Price : 20.30
Evaluated at bid price : 20.30
Bid-YTW : 4.57 %