Archive for February, 2022

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February 28, 2022

Monday, February 28th, 2022
HIMIPref™ Preferred Indices
These values reflect the December 2008 revision of the HIMIPref™ Indices
Values are provisional and are finalized monthly
Index Mean
Current
Yield
(at bid)		 Median
YTW		 Median
Average
Trading
Value		 Median
Mod Dur
(YTW)		 Issues Day’s Perf. Index Value
Ratchet 3.11 % 3.63 % 41,339 19.94 1 3.6842 % 2,806.3
FixedFloater 0.00 % 0.00 % 0 0.00 0 -1.3696 % 5,441.7
Floater 2.93 % 2.96 % 59,494 19.76 3 -1.3696 % 3,136.1
OpRet 0.00 % 0.00 % 0 0.00 0 0.1314 % 3,642.9
SplitShare 4.65 % 4.21 % 30,717 3.62 6 0.1314 % 4,350.5
Interest-Bearing 0.00 % 0.00 % 0 0.00 0 0.1314 % 3,394.4
Perpetual-Premium 5.26 % 3.08 % 62,383 0.50 21 0.2679 % 3,202.0
Perpetual-Discount 4.93 % 5.00 % 60,864 15.48 11 0.2184 % 3,739.4
FixedReset Disc 4.11 % 4.36 % 114,192 16.34 43 -0.6562 % 2,718.5
Insurance Straight 5.01 % 4.85 % 90,848 15.42 18 0.5302 % 3,577.0
FloatingReset 2.88 % 2.51 % 64,030 20.97 2 0.0838 % 2,907.4
FixedReset Prem 4.78 % 3.82 % 122,985 2.12 26 0.1651 % 2,702.4
FixedReset Bank Non 0.00 % 0.00 % 0 0.00 0 -0.6562 % 2,778.8
FixedReset Ins Non 4.18 % 4.26 % 80,855 16.79 17 0.1953 % 2,904.7
Performance Highlights
Issue Index Change Notes
RY.PR.M FixedReset Disc -36.93 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-02-28
Maturity Price : 15.06
Evaluated at bid price : 15.06
Bid-YTW : 6.67 %
BIP.PR.B FixedReset Prem -3.24 % YTW SCENARIO
Maturity Type : Call
Maturity Date : 2025-12-31
Maturity Price : 25.00
Evaluated at bid price : 25.40
Bid-YTW : 4.93 %
BAM.PR.B Floater -3.07 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-02-28
Maturity Price : 14.54
Evaluated at bid price : 14.54
Bid-YTW : 2.97 %
BAM.PR.R FixedReset Disc -2.94 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-02-28
Maturity Price : 19.50
Evaluated at bid price : 19.50
Bid-YTW : 4.94 %
SLF.PR.H FixedReset Ins Non -1.95 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-02-28
Maturity Price : 21.08
Evaluated at bid price : 21.08
Bid-YTW : 4.37 %
FTS.PR.H FixedReset Disc -1.70 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-02-28
Maturity Price : 16.17
Evaluated at bid price : 16.17
Bid-YTW : 4.50 %
TRP.PR.A FixedReset Disc -1.48 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-02-28
Maturity Price : 18.03
Evaluated at bid price : 18.03
Bid-YTW : 4.96 %
GWO.PR.Y Insurance Straight -1.03 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-02-28
Maturity Price : 23.66
Evaluated at bid price : 24.00
Bid-YTW : 4.74 %
TRP.PR.D FixedReset Disc -1.02 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-02-28
Maturity Price : 20.40
Evaluated at bid price : 20.40
Bid-YTW : 5.00 %
BAM.PR.K Floater -1.02 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-02-28
Maturity Price : 14.60
Evaluated at bid price : 14.60
Bid-YTW : 2.96 %
BIP.PR.A FixedReset Disc -1.01 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-02-28
Maturity Price : 22.69
Evaluated at bid price : 23.51
Bid-YTW : 5.27 %
TD.PF.J FixedReset Prem 1.01 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-02-28
Maturity Price : 23.89
Evaluated at bid price : 25.10
Bid-YTW : 4.34 %
TRP.PR.B FixedReset Disc 1.04 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-02-28
Maturity Price : 13.54
Evaluated at bid price : 13.54
Bid-YTW : 5.03 %
GWO.PR.I Insurance Straight 1.08 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-02-28
Maturity Price : 23.20
Evaluated at bid price : 23.50
Bid-YTW : 4.85 %
BAM.PF.D Perpetual-Premium 1.09 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-02-28
Maturity Price : 23.92
Evaluated at bid price : 24.18
Bid-YTW : 5.14 %
CM.PR.Y FixedReset Prem 1.11 % YTW SCENARIO
Maturity Type : Call
Maturity Date : 2024-07-31
Maturity Price : 25.00
Evaluated at bid price : 26.39
Bid-YTW : 2.97 %
MFC.PR.M FixedReset Ins Non 1.14 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-02-28
Maturity Price : 22.46
Evaluated at bid price : 22.99
Bid-YTW : 4.32 %
FTS.PR.J Perpetual-Premium 1.19 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-02-28
Maturity Price : 23.51
Evaluated at bid price : 23.78
Bid-YTW : 5.01 %
IAF.PR.B Insurance Straight 1.22 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-02-28
Maturity Price : 23.69
Evaluated at bid price : 24.00
Bid-YTW : 4.85 %
BMO.PR.F FixedReset Prem 1.35 % YTW SCENARIO
Maturity Type : Call
Maturity Date : 2024-05-25
Maturity Price : 25.00
Evaluated at bid price : 26.25
Bid-YTW : 2.82 %
BMO.PR.E FixedReset Prem 1.42 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-02-28
Maturity Price : 23.67
Evaluated at bid price : 25.03
Bid-YTW : 4.32 %
IFC.PR.C FixedReset Disc 1.48 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-02-28
Maturity Price : 22.83
Evaluated at bid price : 24.05
Bid-YTW : 4.26 %
SLF.PR.E Insurance Straight 1.48 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-02-28
Maturity Price : 23.68
Evaluated at bid price : 23.95
Bid-YTW : 4.76 %
SLF.PR.C Insurance Straight 1.62 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-02-28
Maturity Price : 23.58
Evaluated at bid price : 23.85
Bid-YTW : 4.72 %
CU.PR.J Perpetual-Premium 1.63 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-02-28
Maturity Price : 24.60
Evaluated at bid price : 25.00
Bid-YTW : 4.75 %
BMO.PR.Y FixedReset Disc 1.92 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-02-28
Maturity Price : 22.86
Evaluated at bid price : 23.90
Bid-YTW : 4.29 %
BAM.PF.G FixedReset Disc 2.48 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-02-28
Maturity Price : 21.24
Evaluated at bid price : 21.52
Bid-YTW : 5.02 %
TD.PF.E FixedReset Disc 3.55 % YTW SCENARIO
Maturity Type : Call
Maturity Date : 2025-10-31
Maturity Price : 25.00
Evaluated at bid price : 24.80
Bid-YTW : 3.56 %
BAM.PR.E Ratchet 3.68 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-02-28
Maturity Price : 25.00
Evaluated at bid price : 19.70
Bid-YTW : 3.63 %
BAM.PR.T FixedReset Disc 6.10 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-02-28
Maturity Price : 21.56
Evaluated at bid price : 21.56
Bid-YTW : 4.69 %
Volume Highlights
Issue Index Shares
Traded		 Notes
TD.PF.D FixedReset Disc 63,900 YTW SCENARIO
Maturity Type : Call
Maturity Date : 2025-07-31
Maturity Price : 25.00
Evaluated at bid price : 24.48
Bid-YTW : 3.95 %
RY.PR.S FixedReset Prem 35,671 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-02-28
Maturity Price : 23.66
Evaluated at bid price : 25.20
Bid-YTW : 4.01 %
BIP.PR.D FixedReset Prem 28,478 YTW SCENARIO
Maturity Type : Call
Maturity Date : 2022-03-31
Maturity Price : 25.00
Evaluated at bid price : 24.97
Bid-YTW : 1.26 %
NA.PR.C FixedReset Prem 22,800 YTW SCENARIO
Maturity Type : Call
Maturity Date : 2022-11-15
Maturity Price : 25.00
Evaluated at bid price : 25.16
Bid-YTW : 3.81 %
TRP.PR.K FixedReset Prem 19,870 YTW SCENARIO
Maturity Type : Call
Maturity Date : 2022-05-31
Maturity Price : 25.00
Evaluated at bid price : 25.06
Bid-YTW : 4.08 %
CM.PR.R FixedReset Prem 19,495 YTW SCENARIO
Maturity Type : Call
Maturity Date : 2022-07-31
Maturity Price : 25.00
Evaluated at bid price : 25.18
Bid-YTW : 3.62 %
There were 7 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: 15.06 – 24.38
Spot Rate : 9.3200
Average : 5.7158

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-02-28
Maturity Price : 15.06
Evaluated at bid price : 15.06
Bid-YTW : 6.67 %
TRP.PR.G FixedReset Disc Quote: 12.29 – 23.80
Spot Rate : 11.5100
Average : 10.3174

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-02-28
Maturity Price : 12.29
Evaluated at bid price : 12.29
Bid-YTW : 8.74 %
CU.PR.G Perpetual-Discount Quote: 23.55 – 24.88
Spot Rate : 1.3300
Average : 0.7793

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-02-28
Maturity Price : 23.25
Evaluated at bid price : 23.55
Bid-YTW : 4.78 %
GWO.PR.R Insurance Straight Quote: 24.35 – 25.50
Spot Rate : 1.1500
Average : 0.7386

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-02-28
Maturity Price : 24.09
Evaluated at bid price : 24.35
Bid-YTW : 5.00 %
BIP.PR.B FixedReset Prem Quote: 25.40 – 26.40
Spot Rate : 1.0000
Average : 0.6668

YTW SCENARIO
Maturity Type : Call
Maturity Date : 2025-12-31
Maturity Price : 25.00
Evaluated at bid price : 25.40
Bid-YTW : 4.93 %
BAM.PR.R FixedReset Disc Quote: 19.50 – 20.40
Spot Rate : 0.9000
Average : 0.6338

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-02-28
Maturity Price : 19.50
Evaluated at bid price : 19.50
Bid-YTW : 4.94 %

Posted in Market Action | No Comments »

BCE.PR.O To Be Redeemed

Friday, February 25th, 2022

BCE Inc. has announced (on February 24):

that it intends to redeem all of its outstanding Cumulative Redeemable First Preferred Shares, Series AO (the “Series AO Preferred Shares”) on March 31, 2022 at a redemption price of $25.00 per Series AO Preferred Share, less any taxes required to be deducted and withheld by the Corporation.

On February 2, 2022, the board of directors of the Corporation declared a quarterly dividend of $0.26625 per Series AO Preferred Share. This will be the final dividend on the Series AO Preferred Shares and will be paid in the usual manner on March 31, 2022 to shareholders of record as of February 28, 2022. After March 31, 2022, the Series AO Preferred Shares will cease to be entitled to dividends and the only remaining rights of holders of such shares will be to receive payment of the redemption amount.

A notice of the redemption of the Series AO Preferred Shares will be provided in accordance with the rights, privileges and conditions attached to the Series AO Preferred Shares. Beneficial holders of Series AO Preferred Shares should contact the financial institution, broker or other intermediary through which they hold these shares to confirm how they will receive their redemption proceeds.

BCE.PR.O was issued as BAF.PR.C, a FixedReset, 4.55%+309, that commenced trading 2011-12-7 after being announced 2011-11-21. BCE privatized Bell Aliant in 2014 and included an Exchange Offer for its preferreds. The offer was successful and later became mandatory. After the first round, the ticker symbol, etc., was changed. BCE.PR.O reset to 4.26% in 2017; I recommended against conversion; and there was no conversion.

Thanks to Peculiar_Investor and CanSiamCyp for bringing this to my attention!

Posted in Issue Comments | 5 Comments »

February 25, 2022

Friday, February 25th, 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 3.22 % 3.81 % 40,569 19.73 1 -1.0417 % 2,706.6
FixedFloater 0.00 % 0.00 % 0 0.00 0 1.1353 % 5,517.3
Floater 2.89 % 2.92 % 61,912 19.87 3 1.1353 % 3,179.6
OpRet 0.00 % 0.00 % 0 0.00 0 -0.1378 % 3,638.2
SplitShare 4.66 % 4.27 % 30,821 3.63 6 -0.1378 % 4,344.7
Interest-Bearing 0.00 % 0.00 % 0 0.00 0 -0.1378 % 3,389.9
Perpetual-Premium 5.28 % 3.10 % 60,782 0.51 21 0.1675 % 3,193.4
Perpetual-Discount 4.94 % 5.01 % 63,208 15.47 11 0.2381 % 3,731.3
FixedReset Disc 4.13 % 4.45 % 115,722 16.30 44 0.8241 % 2,736.4
Insurance Straight 5.04 % 4.92 % 90,529 15.38 18 0.1527 % 3,558.1
FloatingReset 2.80 % 2.44 % 66,394 21.17 2 -0.4451 % 2,904.9
FixedReset Prem 4.79 % 3.96 % 121,323 2.12 26 0.2186 % 2,698.0
FixedReset Bank Non 0.00 % 0.00 % 0 0.00 0 0.8241 % 2,797.2
FixedReset Ins Non 4.19 % 4.36 % 80,008 16.57 17 0.6236 % 2,899.0
Performance Highlights
Issue Index Change Notes
BAM.PF.G FixedReset Disc -4.98 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-02-25
Maturity Price : 21.00
Evaluated at bid price : 21.00
Bid-YTW : 5.25 %
GWO.PR.I Insurance Straight -1.27 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-02-25
Maturity Price : 22.98
Evaluated at bid price : 23.25
Bid-YTW : 4.90 %
TD.PF.E FixedReset Disc -1.07 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-02-25
Maturity Price : 22.87
Evaluated at bid price : 23.95
Bid-YTW : 4.52 %
MFC.PR.N FixedReset Ins Non 1.02 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-02-25
Maturity Price : 22.26
Evaluated at bid price : 22.73
Bid-YTW : 4.37 %
PWF.PR.T FixedReset Disc 1.03 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-02-25
Maturity Price : 23.11
Evaluated at bid price : 23.46
Bid-YTW : 4.43 %
GWO.PR.Y Insurance Straight 1.04 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-02-25
Maturity Price : 23.90
Evaluated at bid price : 24.25
Bid-YTW : 4.69 %
CM.PR.S FixedReset Disc 1.07 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-02-25
Maturity Price : 24.02
Evaluated at bid price : 24.51
Bid-YTW : 4.32 %
IAF.PR.G FixedReset Ins Non 1.10 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-02-25
Maturity Price : 24.16
Evaluated at bid price : 24.85
Bid-YTW : 4.65 %
FTS.PR.F Perpetual-Premium 1.12 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-02-25
Maturity Price : 24.16
Evaluated at bid price : 24.42
Bid-YTW : 5.03 %
TRP.PR.D FixedReset Disc 1.13 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-02-25
Maturity Price : 20.61
Evaluated at bid price : 20.61
Bid-YTW : 5.04 %
NA.PR.S FixedReset Disc 1.16 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-02-25
Maturity Price : 23.20
Evaluated at bid price : 23.51
Bid-YTW : 4.42 %
CU.PR.I FixedReset Prem 1.16 % YTW SCENARIO
Maturity Type : Call
Maturity Date : 2025-12-01
Maturity Price : 25.00
Evaluated at bid price : 26.10
Bid-YTW : 3.25 %
TRP.PR.B FixedReset Disc 1.17 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-02-25
Maturity Price : 13.40
Evaluated at bid price : 13.40
Bid-YTW : 5.21 %
TRP.PR.A FixedReset Disc 1.19 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-02-25
Maturity Price : 18.30
Evaluated at bid price : 18.30
Bid-YTW : 4.99 %
IFC.PR.A FixedReset Ins Non 1.22 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-02-25
Maturity Price : 20.70
Evaluated at bid price : 20.70
Bid-YTW : 4.26 %
BAM.PF.C Perpetual-Discount 1.22 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-02-25
Maturity Price : 23.74
Evaluated at bid price : 24.00
Bid-YTW : 5.12 %
CM.PR.Q FixedReset Disc 1.26 % YTW SCENARIO
Maturity Type : Call
Maturity Date : 2025-07-31
Maturity Price : 25.00
Evaluated at bid price : 24.20
Bid-YTW : 4.25 %
RY.PR.Z FixedReset Disc 1.27 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-02-25
Maturity Price : 22.80
Evaluated at bid price : 23.10
Bid-YTW : 4.27 %
BIP.PR.B FixedReset Prem 1.31 % YTW SCENARIO
Maturity Type : Call
Maturity Date : 2025-12-31
Maturity Price : 25.00
Evaluated at bid price : 26.25
Bid-YTW : 3.96 %
BMO.PR.D FixedReset Prem 1.33 % YTW SCENARIO
Maturity Type : Call
Maturity Date : 2022-08-25
Maturity Price : 25.00
Evaluated at bid price : 25.06
Bid-YTW : 3.99 %
CU.PR.C FixedReset Disc 1.35 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-02-25
Maturity Price : 22.03
Evaluated at bid price : 22.60
Bid-YTW : 4.58 %
TRP.PR.E FixedReset Disc 1.54 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-02-25
Maturity Price : 20.39
Evaluated at bid price : 20.39
Bid-YTW : 5.03 %
TD.PF.D FixedReset Disc 1.71 % YTW SCENARIO
Maturity Type : Call
Maturity Date : 2025-07-31
Maturity Price : 25.00
Evaluated at bid price : 24.43
Bid-YTW : 4.01 %
CU.PR.E Perpetual-Premium 2.08 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-02-25
Maturity Price : 24.21
Evaluated at bid price : 24.50
Bid-YTW : 5.01 %
MFC.PR.K FixedReset Ins Non 2.10 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-02-25
Maturity Price : 23.46
Evaluated at bid price : 23.87
Bid-YTW : 4.18 %
BMO.PR.S FixedReset Disc 2.21 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-02-25
Maturity Price : 22.80
Evaluated at bid price : 23.10
Bid-YTW : 4.40 %
NA.PR.W FixedReset Disc 2.53 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-02-25
Maturity Price : 22.49
Evaluated at bid price : 23.08
Bid-YTW : 4.30 %
BIP.PR.A FixedReset Disc 2.95 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-02-25
Maturity Price : 22.81
Evaluated at bid price : 23.75
Bid-YTW : 5.28 %
SLF.PR.H FixedReset Ins Non 3.42 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-02-25
Maturity Price : 21.50
Evaluated at bid price : 21.50
Bid-YTW : 4.36 %
BAM.PR.B Floater 3.45 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-02-25
Maturity Price : 15.00
Evaluated at bid price : 15.00
Bid-YTW : 2.88 %
BAM.PR.Z FixedReset Disc 4.11 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-02-25
Maturity Price : 23.46
Evaluated at bid price : 24.05
Bid-YTW : 4.95 %
TD.PF.B FixedReset Disc 4.73 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-02-25
Maturity Price : 22.54
Evaluated at bid price : 23.05
Bid-YTW : 4.33 %
TD.PF.A FixedReset Disc 9.10 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-02-25
Maturity Price : 22.42
Evaluated at bid price : 22.91
Bid-YTW : 4.32 %
Volume Highlights
Issue Index Shares
Traded		 Notes
TD.PF.M FixedReset Prem 221,385 YTW SCENARIO
Maturity Type : Call
Maturity Date : 2024-07-31
Maturity Price : 25.00
Evaluated at bid price : 26.05
Bid-YTW : 3.46 %
TD.PF.A FixedReset Disc 142,895 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-02-25
Maturity Price : 22.42
Evaluated at bid price : 22.91
Bid-YTW : 4.32 %
NA.PR.C FixedReset Prem 75,900 YTW SCENARIO
Maturity Type : Call
Maturity Date : 2022-11-15
Maturity Price : 25.00
Evaluated at bid price : 25.22
Bid-YTW : 3.42 %
BMO.PR.D FixedReset Prem 34,100 YTW SCENARIO
Maturity Type : Call
Maturity Date : 2022-08-25
Maturity Price : 25.00
Evaluated at bid price : 25.06
Bid-YTW : 3.99 %
BMO.PR.C FixedReset Prem 32,722 YTW SCENARIO
Maturity Type : Call
Maturity Date : 2022-05-25
Maturity Price : 25.00
Evaluated at bid price : 25.09
Bid-YTW : 3.02 %
TD.PF.J FixedReset Prem 32,300 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-02-25
Maturity Price : 24.51
Evaluated at bid price : 24.85
Bid-YTW : 4.52 %
There were 34 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: 12.29 – 23.70
Spot Rate : 11.4100
Average : 9.0099

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-02-25
Maturity Price : 12.29
Evaluated at bid price : 12.29
Bid-YTW : 8.86 %
MFC.PR.B Insurance Straight Quote: 23.60 – 25.40
Spot Rate : 1.8000
Average : 1.0974

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-02-25
Maturity Price : 23.32
Evaluated at bid price : 23.60
Bid-YTW : 4.92 %
BAM.PF.G FixedReset Disc Quote: 21.00 – 22.80
Spot Rate : 1.8000
Average : 1.1160

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-02-25
Maturity Price : 21.00
Evaluated at bid price : 21.00
Bid-YTW : 5.25 %
MFC.PR.M FixedReset Ins Non Quote: 22.73 – 24.40
Spot Rate : 1.6700
Average : 1.0320

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-02-25
Maturity Price : 22.29
Evaluated at bid price : 22.73
Bid-YTW : 4.46 %
MFC.PR.L FixedReset Ins Non Quote: 22.20 – 23.50
Spot Rate : 1.3000
Average : 0.8178

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-02-25
Maturity Price : 21.97
Evaluated at bid price : 22.20
Bid-YTW : 4.39 %
MFC.PR.N FixedReset Ins Non Quote: 22.73 – 23.95
Spot Rate : 1.2200
Average : 0.7390

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-02-25
Maturity Price : 22.26
Evaluated at bid price : 22.73
Bid-YTW : 4.37 %

Posted in Market Action | No Comments »

February 24, 2022

Thursday, February 24th, 2022

Well, 77 years of peace in Europe has come to an end, complete with a speech about historical indignities and strong overtones of nationalism-by-language. I’m only surprised that Putin hasn’t declared he has no further territorial ambitions in Europe.

Market implications are as murky as might be expected, but Mark Rendell provides a quick survey in the Globe:

Russia’s invasion of Ukraine is pushing up global energy and food prices, adding to inflationary pressures and putting central banks around the world in a delicate position as they embark on a much-anticipated rate hike cycle.
…
In a volatile day of trading, the price of West Texas Intermediate crude oil shot past US$100 a barrel on Thursday for the first time since 2014, before ending the trading day around US$93. The price of natural gas in Europe rose sharply on fears that supply could be choked off, with the benchmark Dutch futures contract up more than 40 per cent. Russia supplies nearly 40 per cent of Europe’s natural gas, and several critical pipelines run through Ukraine.

Meanwhile, the price of wheat futures contracts in the United States was up around 5.5 per cent by Thursday afternoon.
…
The U.S. Federal Reserve, the world’s most important central bank, is still expected to start raising interest rates at its upcoming policy meeting on March 15. At the same time, markets are no longer pricing in a high likelihood that the Fed will start its rate hike cycle with a 0.5-percentage-point increase instead of the usual 0.25-percentage-point increase.

There wasn’t much of a flight to quality on the day, with GOC-5 remaining constant at 1.75%.

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 3.19 % 3.77 % 37,610 19.73 1 -5.1852 % 2,735.1
FixedFloater 0.00 % 0.00 % 0 0.00 0 -0.9447 % 5,455.4
Floater 2.92 % 2.93 % 62,726 19.85 3 -0.9447 % 3,144.0
OpRet 0.00 % 0.00 % 0 0.00 0 0.1446 % 3,643.2
SplitShare 4.65 % 4.20 % 32,088 3.64 6 0.1446 % 4,350.7
Interest-Bearing 0.00 % 0.00 % 0 0.00 0 0.1446 % 3,394.6
Perpetual-Premium 5.29 % 3.09 % 59,562 0.51 21 -0.4497 % 3,188.1
Perpetual-Discount 4.95 % 5.01 % 60,322 15.44 11 -0.6790 % 3,722.4
FixedReset Disc 4.14 % 4.50 % 113,507 16.38 44 -1.5121 % 2,714.1
Insurance Straight 5.05 % 4.93 % 89,794 15.40 18 -0.6341 % 3,552.7
FloatingReset 2.79 % 2.44 % 68,791 21.17 2 -1.0732 % 2,917.9
FixedReset Prem 4.80 % 4.22 % 112,356 2.27 26 -0.2513 % 2,692.1
FixedReset Bank Non 0.00 % 0.00 % 0 0.00 0 -1.5121 % 2,774.3
FixedReset Ins Non 4.22 % 4.39 % 78,927 16.57 17 -0.9473 % 2,881.1
Performance Highlights
Issue Index Change Notes
TRP.PR.G FixedReset Disc -47.92 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-02-24
Maturity Price : 12.29
Evaluated at bid price : 12.29
Bid-YTW : 8.85 %
TD.PF.A FixedReset Disc -8.42 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-02-24
Maturity Price : 21.00
Evaluated at bid price : 21.00
Bid-YTW : 4.75 %
BAM.PR.Z FixedReset Disc -5.91 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-02-24
Maturity Price : 22.54
Evaluated at bid price : 23.10
Bid-YTW : 5.16 %
BAM.PR.E Ratchet -5.19 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-02-24
Maturity Price : 25.00
Evaluated at bid price : 19.20
Bid-YTW : 3.77 %
TD.PF.B FixedReset Disc -4.80 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-02-24
Maturity Price : 21.60
Evaluated at bid price : 22.01
Bid-YTW : 4.54 %
BAM.PR.T FixedReset Disc -4.38 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-02-24
Maturity Price : 20.32
Evaluated at bid price : 20.32
Bid-YTW : 5.09 %
SLF.PR.H FixedReset Ins Non -3.84 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-02-24
Maturity Price : 20.79
Evaluated at bid price : 20.79
Bid-YTW : 4.50 %
CU.PR.E Perpetual-Premium -3.58 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-02-24
Maturity Price : 23.69
Evaluated at bid price : 24.00
Bid-YTW : 5.11 %
BAM.PR.B Floater -3.40 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-02-24
Maturity Price : 14.50
Evaluated at bid price : 14.50
Bid-YTW : 2.98 %
IFC.PR.A FixedReset Ins Non -2.80 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-02-24
Maturity Price : 20.45
Evaluated at bid price : 20.45
Bid-YTW : 4.31 %
TRP.PR.C FixedReset Disc -2.71 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-02-24
Maturity Price : 15.08
Evaluated at bid price : 15.08
Bid-YTW : 5.03 %
TRP.PR.E FixedReset Disc -2.62 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-02-24
Maturity Price : 20.08
Evaluated at bid price : 20.08
Bid-YTW : 5.11 %
IFC.PR.C FixedReset Disc -2.45 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-02-24
Maturity Price : 22.57
Evaluated at bid price : 23.51
Bid-YTW : 4.45 %
BMO.PR.S FixedReset Disc -2.38 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-02-24
Maturity Price : 22.27
Evaluated at bid price : 22.60
Bid-YTW : 4.50 %
PWF.PR.T FixedReset Disc -2.31 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-02-24
Maturity Price : 22.87
Evaluated at bid price : 23.22
Bid-YTW : 4.48 %
NA.PR.W FixedReset Disc -2.26 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-02-24
Maturity Price : 22.12
Evaluated at bid price : 22.51
Bid-YTW : 4.43 %
PWF.PR.K Perpetual-Discount -2.02 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-02-24
Maturity Price : 24.00
Evaluated at bid price : 24.25
Bid-YTW : 5.14 %
TRP.PR.D FixedReset Disc -2.02 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-02-24
Maturity Price : 20.38
Evaluated at bid price : 20.38
Bid-YTW : 5.10 %
POW.PR.B Perpetual-Premium -1.86 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-02-24
Maturity Price : 24.55
Evaluated at bid price : 24.80
Bid-YTW : 5.46 %
MFC.PR.M FixedReset Ins Non -1.81 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-02-24
Maturity Price : 22.29
Evaluated at bid price : 22.73
Bid-YTW : 4.46 %
CU.PR.C FixedReset Disc -1.76 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-02-24
Maturity Price : 21.84
Evaluated at bid price : 22.30
Bid-YTW : 4.65 %
BAM.PF.F FixedReset Disc -1.67 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-02-24
Maturity Price : 22.49
Evaluated at bid price : 23.01
Bid-YTW : 4.97 %
BAM.PR.N Perpetual-Discount -1.64 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-02-24
Maturity Price : 23.15
Evaluated at bid price : 23.41
Bid-YTW : 5.14 %
FTS.PR.G FixedReset Disc -1.60 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-02-24
Maturity Price : 21.27
Evaluated at bid price : 21.55
Bid-YTW : 4.56 %
NA.PR.S FixedReset Disc -1.48 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-02-24
Maturity Price : 22.94
Evaluated at bid price : 23.24
Bid-YTW : 4.47 %
IAF.PR.B Insurance Straight -1.45 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-02-24
Maturity Price : 23.53
Evaluated at bid price : 23.80
Bid-YTW : 4.89 %
BIP.PR.A FixedReset Disc -1.44 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-02-24
Maturity Price : 22.58
Evaluated at bid price : 23.31
Bid-YTW : 5.46 %
TRP.PR.F FloatingReset -1.43 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-02-24
Maturity Price : 17.90
Evaluated at bid price : 17.90
Bid-YTW : 3.18 %
GWO.PR.T Insurance Straight -1.41 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-02-24
Maturity Price : 24.59
Evaluated at bid price : 25.10
Bid-YTW : 5.19 %
POW.PR.D Perpetual-Premium -1.41 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-02-24
Maturity Price : 24.19
Evaluated at bid price : 24.45
Bid-YTW : 5.17 %
CM.PR.P FixedReset Disc -1.40 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-02-24
Maturity Price : 22.12
Evaluated at bid price : 22.50
Bid-YTW : 4.44 %
IFC.PR.G FixedReset Ins Non -1.39 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-02-24
Maturity Price : 24.49
Evaluated at bid price : 24.80
Bid-YTW : 4.43 %
BAM.PF.C Perpetual-Discount -1.37 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-02-24
Maturity Price : 23.42
Evaluated at bid price : 23.71
Bid-YTW : 5.18 %
BAM.PR.R FixedReset Disc -1.33 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-02-24
Maturity Price : 20.03
Evaluated at bid price : 20.03
Bid-YTW : 4.89 %
BMO.PR.T FixedReset Disc -1.32 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-02-24
Maturity Price : 22.15
Evaluated at bid price : 22.48
Bid-YTW : 4.39 %
MFC.PR.N FixedReset Ins Non -1.32 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-02-24
Maturity Price : 22.11
Evaluated at bid price : 22.50
Bid-YTW : 4.42 %
SLF.PR.E Insurance Straight -1.30 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-02-24
Maturity Price : 23.15
Evaluated at bid price : 23.45
Bid-YTW : 4.85 %
BMO.PR.D FixedReset Prem -1.28 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-02-24
Maturity Price : 24.11
Evaluated at bid price : 24.73
Bid-YTW : 4.97 %
SLF.PR.C Insurance Straight -1.27 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-02-24
Maturity Price : 23.14
Evaluated at bid price : 23.40
Bid-YTW : 4.81 %
RY.PR.H FixedReset Disc -1.25 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-02-24
Maturity Price : 22.45
Evaluated at bid price : 22.91
Bid-YTW : 4.32 %
TRP.PR.A FixedReset Disc -1.24 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-02-24
Maturity Price : 18.30
Evaluated at bid price : 18.30
Bid-YTW : 5.06 %
GWO.PR.Q Insurance Straight -1.23 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-02-24
Maturity Price : 24.55
Evaluated at bid price : 24.80
Bid-YTW : 5.26 %
PWF.PR.S Perpetual-Discount -1.23 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-02-24
Maturity Price : 23.82
Evaluated at bid price : 24.11
Bid-YTW : 5.01 %
FTS.PR.M FixedReset Disc -1.20 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-02-24
Maturity Price : 22.00
Evaluated at bid price : 22.31
Bid-YTW : 4.70 %
TD.PF.C FixedReset Disc -1.17 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-02-24
Maturity Price : 22.29
Evaluated at bid price : 22.75
Bid-YTW : 4.39 %
ELF.PR.G Perpetual-Discount -1.08 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-02-24
Maturity Price : 23.62
Evaluated at bid price : 23.89
Bid-YTW : 5.02 %
CM.PR.S FixedReset Disc -1.06 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-02-24
Maturity Price : 23.71
Evaluated at bid price : 24.25
Bid-YTW : 4.37 %
NA.PR.E FixedReset Disc -1.06 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-02-24
Maturity Price : 23.92
Evaluated at bid price : 24.35
Bid-YTW : 4.48 %
BIP.PR.B FixedReset Prem -1.06 % YTW SCENARIO
Maturity Type : Call
Maturity Date : 2025-12-31
Maturity Price : 25.00
Evaluated at bid price : 26.25
Bid-YTW : 4.34 %
RY.PR.J FixedReset Disc -1.03 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-02-24
Maturity Price : 22.99
Evaluated at bid price : 24.10
Bid-YTW : 4.39 %
MFC.PR.K FixedReset Ins Non -1.02 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-02-24
Maturity Price : 22.96
Evaluated at bid price : 23.38
Bid-YTW : 4.27 %
BAM.PR.K Floater 1.10 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-02-24
Maturity Price : 14.75
Evaluated at bid price : 14.75
Bid-YTW : 2.93 %
BAM.PF.D Perpetual-Premium 3.26 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-02-24
Maturity Price : 23.79
Evaluated at bid price : 24.05
Bid-YTW : 5.16 %
TD.PF.E FixedReset Disc 3.95 % YTW SCENARIO
Maturity Type : Call
Maturity Date : 2025-10-31
Maturity Price : 25.00
Evaluated at bid price : 24.21
Bid-YTW : 4.26 %
PWF.PR.P FixedReset Disc 6.51 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-02-24
Maturity Price : 16.35
Evaluated at bid price : 16.35
Bid-YTW : 4.74 %
RY.PR.M FixedReset Disc 70.61 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-02-24
Maturity Price : 22.73
Evaluated at bid price : 23.68
Bid-YTW : 4.30 %
Volume Highlights
Issue Index Shares
Traded		 Notes
TD.PF.J FixedReset Prem 152,200 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-02-24
Maturity Price : 24.45
Evaluated at bid price : 24.80
Bid-YTW : 4.53 %
TRP.PR.C FixedReset Disc 107,991 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-02-24
Maturity Price : 15.08
Evaluated at bid price : 15.08
Bid-YTW : 5.03 %
BMO.PR.C FixedReset Prem 64,000 YTW SCENARIO
Maturity Type : Call
Maturity Date : 2022-05-25
Maturity Price : 25.00
Evaluated at bid price : 24.98
Bid-YTW : 4.81 %
BMO.PR.D FixedReset Prem 56,300 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-02-24
Maturity Price : 24.11
Evaluated at bid price : 24.73
Bid-YTW : 4.97 %
RY.PR.J FixedReset Disc 34,900 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-02-24
Maturity Price : 22.99
Evaluated at bid price : 24.10
Bid-YTW : 4.39 %
TD.PF.I FixedReset Prem 31,100 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-02-24
Maturity Price : 24.58
Evaluated at bid price : 25.00
Bid-YTW : 4.78 %
There were 16 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: 12.29 – 23.70
Spot Rate : 11.4100
Average : 6.3783

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-02-24
Maturity Price : 12.29
Evaluated at bid price : 12.29
Bid-YTW : 8.85 %
TD.PF.A FixedReset Disc Quote: 21.00 – 22.90
Spot Rate : 1.9000
Average : 1.0605

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-02-24
Maturity Price : 21.00
Evaluated at bid price : 21.00
Bid-YTW : 4.75 %
BAM.PR.Z FixedReset Disc Quote: 23.10 – 24.71
Spot Rate : 1.6100
Average : 0.9533

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-02-24
Maturity Price : 22.54
Evaluated at bid price : 23.10
Bid-YTW : 5.16 %
TRP.PR.A FixedReset Disc Quote: 18.30 – 19.45
Spot Rate : 1.1500
Average : 0.6716

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-02-24
Maturity Price : 18.30
Evaluated at bid price : 18.30
Bid-YTW : 5.06 %
BAM.PR.E Ratchet Quote: 19.20 – 20.42
Spot Rate : 1.2200
Average : 0.7447

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-02-24
Maturity Price : 25.00
Evaluated at bid price : 19.20
Bid-YTW : 3.77 %
CU.PR.E Perpetual-Premium Quote: 24.00 – 25.00
Spot Rate : 1.0000
Average : 0.5747

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-02-24
Maturity Price : 23.69
Evaluated at bid price : 24.00
Bid-YTW : 5.11 %

Posted in Market Action | No Comments »

February 23, 2022

Wednesday, February 23rd, 2022

PerpetualDiscounts now yield 4.97%, equivalent to 6.46% interest at the standard equivalency factor of 1.3x. Long corporates now yield 3.89%, so the pre-tax interest-equivalent spread (in this context, the “Seniority Spread”) has remained steady at 260bp, the same as reported February 16.

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 % 3.50 % 36,972 20.05 1 -0.0987 % 2,884.7
FixedFloater 0.00 % 0.00 % 0 0.00 0 -0.0674 % 5,507.4
Floater 2.89 % 2.91 % 63,585 19.91 3 -0.0674 % 3,173.9
OpRet 0.00 % 0.00 % 0 0.00 0 -0.0066 % 3,637.9
SplitShare 4.66 % 4.24 % 32,321 3.64 6 -0.0066 % 4,344.5
Interest-Bearing 0.00 % 0.00 % 0 0.00 0 -0.0066 % 3,389.7
Perpetual-Premium 5.26 % -0.83 % 58,441 0.09 22 -0.3061 % 3,202.5
Perpetual-Discount 4.92 % 4.97 % 59,505 15.51 11 -0.3762 % 3,747.9
FixedReset Disc 4.07 % 4.48 % 114,220 16.37 44 -1.0937 % 2,755.7
Insurance Straight 5.02 % 4.82 % 84,754 15.41 18 -0.2800 % 3,575.4
FloatingReset 2.76 % 2.42 % 63,645 21.22 2 0.0000 % 2,949.6
FixedReset Prem 4.79 % 3.94 % 107,825 2.06 26 0.5282 % 2,698.9
FixedReset Bank Non 0.00 % 0.00 % 0 0.00 0 -1.0937 % 2,816.9
FixedReset Ins Non 4.18 % 4.45 % 80,243 16.36 17 -0.1969 % 2,908.6
Performance Highlights
Issue Index Change Notes
RY.PR.M FixedReset Disc -42.45 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-02-23
Maturity Price : 13.88
Evaluated at bid price : 13.88
Bid-YTW : 7.33 %
TD.PF.E FixedReset Disc -4.35 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-02-23
Maturity Price : 22.53
Evaluated at bid price : 23.29
Bid-YTW : 4.67 %
BAM.PF.D Perpetual-Premium -4.35 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-02-23
Maturity Price : 23.03
Evaluated at bid price : 23.29
Bid-YTW : 5.33 %
BAM.PR.M Perpetual-Discount -3.47 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-02-23
Maturity Price : 22.82
Evaluated at bid price : 23.10
Bid-YTW : 5.21 %
RY.PR.Z FixedReset Disc -2.36 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-02-23
Maturity Price : 22.41
Evaluated at bid price : 22.80
Bid-YTW : 4.31 %
SLF.PR.G FixedReset Ins Non -2.29 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-02-23
Maturity Price : 17.10
Evaluated at bid price : 17.10
Bid-YTW : 4.34 %
SLF.PR.H FixedReset Ins Non -1.95 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-02-23
Maturity Price : 21.33
Evaluated at bid price : 21.62
Bid-YTW : 4.31 %
SLF.PR.D Insurance Straight -1.43 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-02-23
Maturity Price : 23.16
Evaluated at bid price : 23.42
Bid-YTW : 4.81 %
FTS.PR.K FixedReset Disc -1.24 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-02-23
Maturity Price : 20.65
Evaluated at bid price : 20.65
Bid-YTW : 4.65 %
CU.PR.F Perpetual-Discount -1.06 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-02-23
Maturity Price : 23.02
Evaluated at bid price : 23.30
Bid-YTW : 4.83 %
BAM.PR.R FixedReset Disc 1.15 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-02-23
Maturity Price : 20.30
Evaluated at bid price : 20.30
Bid-YTW : 4.83 %
TRP.PR.B FixedReset Disc 1.58 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-02-23
Maturity Price : 13.46
Evaluated at bid price : 13.46
Bid-YTW : 5.24 %
BAM.PR.T FixedReset Disc 4.58 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-02-23
Maturity Price : 21.25
Evaluated at bid price : 21.25
Bid-YTW : 4.86 %
TD.PF.K FixedReset Prem 17.09 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-02-23
Maturity Price : 23.51
Evaluated at bid price : 24.60
Bid-YTW : 4.43 %
Volume Highlights
Issue Index Shares
Traded		 Notes
CM.PR.Y FixedReset Prem 66,515 YTW SCENARIO
Maturity Type : Call
Maturity Date : 2024-07-31
Maturity Price : 25.00
Evaluated at bid price : 25.92
Bid-YTW : 3.74 %
PWF.PR.R Perpetual-Premium 57,371 YTW SCENARIO
Maturity Type : Call
Maturity Date : 2022-03-25
Maturity Price : 25.00
Evaluated at bid price : 25.35
Bid-YTW : -7.29 %
BMO.PR.F FixedReset Prem 43,232 YTW SCENARIO
Maturity Type : Call
Maturity Date : 2024-05-25
Maturity Price : 25.00
Evaluated at bid price : 25.92
Bid-YTW : 3.40 %
PWF.PR.L Perpetual-Premium 32,702 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-02-23
Maturity Price : 24.83
Evaluated at bid price : 25.05
Bid-YTW : 5.13 %
PWF.PR.F Perpetual-Premium 32,584 YTW SCENARIO
Maturity Type : Call
Maturity Date : 2022-03-25
Maturity Price : 25.00
Evaluated at bid price : 25.30
Bid-YTW : -5.38 %
BAM.PF.J FixedReset Prem 28,165 YTW SCENARIO
Maturity Type : Call
Maturity Date : 2022-12-31
Maturity Price : 25.00
Evaluated at bid price : 25.31
Bid-YTW : 4.12 %
There were 8 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: 13.88 – 24.08
Spot Rate : 10.2000
Average : 6.5966

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-02-23
Maturity Price : 13.88
Evaluated at bid price : 13.88
Bid-YTW : 7.33 %
BAM.PF.D Perpetual-Premium Quote: 23.29 – 24.29
Spot Rate : 1.0000
Average : 0.6498

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-02-23
Maturity Price : 23.03
Evaluated at bid price : 23.29
Bid-YTW : 5.33 %
BAM.PR.M Perpetual-Discount Quote: 23.10 – 24.00
Spot Rate : 0.9000
Average : 0.5719

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-02-23
Maturity Price : 22.82
Evaluated at bid price : 23.10
Bid-YTW : 5.21 %
TD.PF.E FixedReset Disc Quote: 23.29 – 24.29
Spot Rate : 1.0000
Average : 0.6851

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-02-23
Maturity Price : 22.53
Evaluated at bid price : 23.29
Bid-YTW : 4.67 %
RY.PR.Z FixedReset Disc Quote: 22.80 – 23.33
Spot Rate : 0.5300
Average : 0.3019

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-02-23
Maturity Price : 22.41
Evaluated at bid price : 22.80
Bid-YTW : 4.31 %
SLF.PR.D Insurance Straight Quote: 23.42 – 23.78
Spot Rate : 0.3600
Average : 0.2588

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-02-23
Maturity Price : 23.16
Evaluated at bid price : 23.42
Bid-YTW : 4.81 %

Posted in Market Action | 3 Comments »

February 22, 2022

Tuesday, February 22nd, 2022
HIMIPref™ Preferred Indices
These values reflect the December 2008 revision of the HIMIPref™ Indices
Values are provisional and are finalized monthly
Index Mean
Current
Yield
(at bid)		 Median
YTW		 Median
Average
Trading
Value		 Median
Mod Dur
(YTW)		 Issues Day’s Perf. Index Value
Ratchet 3.02 % 3.49 % 37,488 20.05 1 0.0000 % 2,887.5
FixedFloater 0.00 % 0.00 % 0 0.00 0 -0.9793 % 5,511.1
Floater 2.89 % 2.91 % 65,764 19.91 3 -0.9793 % 3,176.1
OpRet 0.00 % 0.00 % 0 0.00 0 -0.2033 % 3,638.2
SplitShare 4.66 % 4.24 % 33,650 3.64 6 -0.2033 % 4,344.7
Interest-Bearing 0.00 % 0.00 % 0 0.00 0 -0.2033 % 3,389.9
Perpetual-Premium 5.24 % -5.27 % 54,130 0.09 22 -0.0576 % 3,212.3
Perpetual-Discount 4.90 % 4.96 % 60,224 15.51 11 0.0799 % 3,762.0
FixedReset Disc 4.03 % 4.42 % 114,902 16.37 44 1.1457 % 2,786.2
Insurance Straight 5.00 % 4.76 % 84,548 15.42 18 -0.1083 % 3,585.4
FloatingReset 2.76 % 2.42 % 61,432 21.22 2 -0.0275 % 2,949.6
FixedReset Prem 4.81 % 3.75 % 109,257 2.05 26 -0.5284 % 2,684.7
FixedReset Bank Non 0.00 % 0.00 % 0 0.00 0 1.1457 % 2,848.1
FixedReset Ins Non 4.17 % 4.45 % 76,391 16.36 17 -0.3588 % 2,914.4
Performance Highlights
Issue Index Change Notes
TD.PF.K FixedReset Prem -14.94 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-02-22
Maturity Price : 21.01
Evaluated at bid price : 21.01
Bid-YTW : 5.28 %
BAM.PR.K Floater -2.54 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-02-22
Maturity Price : 14.59
Evaluated at bid price : 14.59
Bid-YTW : 2.96 %
MFC.PR.L FixedReset Ins Non -1.96 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-02-22
Maturity Price : 21.60
Evaluated at bid price : 22.01
Bid-YTW : 4.48 %
MFC.PR.B Insurance Straight -1.71 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-02-22
Maturity Price : 23.34
Evaluated at bid price : 23.63
Bid-YTW : 4.99 %
FTS.PR.J Perpetual-Premium -1.64 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-02-22
Maturity Price : 23.15
Evaluated at bid price : 23.41
Bid-YTW : 5.08 %
MFC.PR.F FixedReset Ins Non -1.50 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-02-22
Maturity Price : 17.73
Evaluated at bid price : 17.73
Bid-YTW : 4.27 %
MFC.PR.C Insurance Straight -1.22 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-02-22
Maturity Price : 23.21
Evaluated at bid price : 23.51
Bid-YTW : 4.85 %
MFC.PR.Q FixedReset Ins Non -1.16 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-02-22
Maturity Price : 24.31
Evaluated at bid price : 24.66
Bid-YTW : 4.45 %
MFC.PR.R FixedReset Ins Non -1.11 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-02-22
Maturity Price : 24.10
Evaluated at bid price : 24.98
Bid-YTW : 5.66 %
MFC.PR.H FixedReset Ins Non -1.03 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-02-22
Maturity Price : 24.08
Evaluated at bid price : 24.97
Bid-YTW : 4.93 %
PWF.PF.A Perpetual-Discount 1.10 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-02-22
Maturity Price : 23.60
Evaluated at bid price : 23.95
Bid-YTW : 4.72 %
BAM.PF.F FixedReset Disc 1.17 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-02-22
Maturity Price : 22.65
Evaluated at bid price : 23.27
Bid-YTW : 4.90 %
SLF.PR.H FixedReset Ins Non 3.52 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-02-22
Maturity Price : 21.69
Evaluated at bid price : 22.05
Bid-YTW : 4.22 %
BAM.PF.B FixedReset Disc 4.44 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-02-22
Maturity Price : 22.71
Evaluated at bid price : 23.03
Bid-YTW : 4.82 %
RY.PR.M FixedReset Disc 73.78 % YTW SCENARIO
Maturity Type : Call
Maturity Date : 2025-11-24
Maturity Price : 25.00
Evaluated at bid price : 24.12
Bid-YTW : 4.03 %
Volume Highlights
Issue Index Shares
Traded		 Notes
MFC.PR.R FixedReset Ins Non 123,400 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-02-22
Maturity Price : 24.10
Evaluated at bid price : 24.98
Bid-YTW : 5.66 %
MFC.PR.Q FixedReset Ins Non 29,645 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-02-22
Maturity Price : 24.31
Evaluated at bid price : 24.66
Bid-YTW : 4.45 %
PWF.PR.L Perpetual-Premium 28,518 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-02-22
Maturity Price : 24.83
Evaluated at bid price : 25.05
Bid-YTW : 5.13 %
NA.PR.W FixedReset Disc 25,865 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-02-22
Maturity Price : 22.53
Evaluated at bid price : 23.15
Bid-YTW : 4.29 %
POW.PR.G Perpetual-Premium 24,000 YTW SCENARIO
Maturity Type : Call
Maturity Date : 2022-03-24
Maturity Price : 25.00
Evaluated at bid price : 25.65
Bid-YTW : -17.78 %
CM.PR.P FixedReset Disc 16,545 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-02-22
Maturity Price : 22.38
Evaluated at bid price : 22.90
Bid-YTW : 4.36 %
There were 9 other index-included issues trading in excess of 10,000 shares.
Wide Spread Highlights
Issue Index Quote Data and Yield Notes
TD.PF.K FixedReset Prem Quote: 21.01 – 24.63
Spot Rate : 3.6200
Average : 1.9583

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-02-22
Maturity Price : 21.01
Evaluated at bid price : 21.01
Bid-YTW : 5.28 %
PWF.PR.P FixedReset Disc Quote: 15.35 – 17.70
Spot Rate : 2.3500
Average : 1.7591

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-02-22
Maturity Price : 15.35
Evaluated at bid price : 15.35
Bid-YTW : 5.04 %
CM.PR.O FixedReset Disc Quote: 23.30 – 24.13
Spot Rate : 0.8300
Average : 0.4780

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-02-22
Maturity Price : 22.69
Evaluated at bid price : 23.30
Bid-YTW : 4.32 %
MFC.PR.K FixedReset Ins Non Quote: 23.52 – 24.40
Spot Rate : 0.8800
Average : 0.6528

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-02-22
Maturity Price : 23.10
Evaluated at bid price : 23.52
Bid-YTW : 4.31 %
GWO.PR.N FixedReset Ins Non Quote: 17.00 – 17.88
Spot Rate : 0.8800
Average : 0.6760

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-02-22
Maturity Price : 17.00
Evaluated at bid price : 17.00
Bid-YTW : 4.16 %
CU.PR.C FixedReset Disc Quote: 22.70 – 23.30
Spot Rate : 0.6000
Average : 0.4012

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-02-22
Maturity Price : 22.09
Evaluated at bid price : 22.70
Bid-YTW : 4.56 %

Posted in Market Action | No Comments »

February 18, 2022

Saturday, February 19th, 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 % 3.49 % 39,018 20.06 1 0.3465 % 2,887.5
FixedFloater 0.00 % 0.00 % 0 0.00 0 -0.0889 % 5,565.6
Floater 2.86 % 2.89 % 68,067 19.98 3 -0.0889 % 3,207.5
OpRet 0.00 % 0.00 % 0 0.00 0 -0.4570 % 3,645.6
SplitShare 4.65 % 4.49 % 31,143 3.34 6 -0.4570 % 4,353.6
Interest-Bearing 0.00 % 0.00 % 0 0.00 0 -0.4570 % 3,396.8
Perpetual-Premium 5.24 % 1.67 % 54,933 0.09 22 0.2254 % 3,214.2
Perpetual-Discount 4.90 % 4.96 % 59,245 15.52 11 -0.0950 % 3,759.0
FixedReset Disc 4.08 % 4.47 % 115,446 16.26 44 0.1176 % 2,754.6
Insurance Straight 5.00 % 4.74 % 84,152 15.43 18 0.3986 % 3,589.3
FloatingReset 2.72 % 2.38 % 61,093 21.36 2 0.0551 % 2,950.4
FixedReset Prem 4.79 % 3.75 % 108,495 2.07 26 0.1349 % 2,699.0
FixedReset Bank Non 0.00 % 0.00 % 0 0.00 0 0.1176 % 2,815.8
FixedReset Ins Non 4.15 % 4.45 % 76,610 16.31 17 -0.1958 % 2,924.9
Performance Highlights
Issue Index Change Notes
RY.PR.M FixedReset Disc -42.05 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-02-18
Maturity Price : 13.88
Evaluated at bid price : 13.88
Bid-YTW : 7.40 %
PWF.PR.P FixedReset Disc -11.01 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-02-18
Maturity Price : 15.35
Evaluated at bid price : 15.35
Bid-YTW : 5.11 %
CIU.PR.A Perpetual-Discount -4.56 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-02-18
Maturity Price : 22.71
Evaluated at bid price : 23.00
Bid-YTW : 5.00 %
SLF.PR.H FixedReset Ins Non -4.40 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-02-18
Maturity Price : 21.30
Evaluated at bid price : 21.30
Bid-YTW : 4.45 %
BAM.PR.T FixedReset Disc -3.92 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-02-18
Maturity Price : 20.32
Evaluated at bid price : 20.32
Bid-YTW : 5.16 %
BAM.PF.B FixedReset Disc -3.63 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-02-18
Maturity Price : 21.63
Evaluated at bid price : 22.05
Bid-YTW : 5.09 %
TRP.PR.B FixedReset Disc -1.85 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-02-18
Maturity Price : 13.25
Evaluated at bid price : 13.25
Bid-YTW : 5.40 %
TRP.PR.C FixedReset Disc -1.52 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-02-18
Maturity Price : 15.50
Evaluated at bid price : 15.50
Bid-YTW : 4.97 %
SLF.PR.G FixedReset Ins Non -1.52 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-02-18
Maturity Price : 17.50
Evaluated at bid price : 17.50
Bid-YTW : 4.31 %
BMO.PR.T FixedReset Disc -1.40 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-02-18
Maturity Price : 22.24
Evaluated at bid price : 22.60
Bid-YTW : 4.42 %
PVS.PR.J SplitShare -1.10 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2028-02-29
Maturity Price : 25.00
Evaluated at bid price : 25.17
Bid-YTW : 4.46 %
BAM.PR.R FixedReset Disc -1.04 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-02-18
Maturity Price : 20.04
Evaluated at bid price : 20.04
Bid-YTW : 4.94 %
FTS.PR.H FixedReset Disc -1.01 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-02-18
Maturity Price : 16.65
Evaluated at bid price : 16.65
Bid-YTW : 4.55 %
CU.PR.C FixedReset Disc 1.02 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-02-18
Maturity Price : 22.18
Evaluated at bid price : 22.85
Bid-YTW : 4.58 %
GWO.PR.N FixedReset Ins Non 1.07 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-02-18
Maturity Price : 17.00
Evaluated at bid price : 17.00
Bid-YTW : 4.23 %
BAM.PR.X FixedReset Disc 1.11 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-02-18
Maturity Price : 18.20
Evaluated at bid price : 18.20
Bid-YTW : 5.03 %
PWF.PR.K Perpetual-Discount 1.15 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-02-18
Maturity Price : 24.50
Evaluated at bid price : 24.73
Bid-YTW : 5.04 %
RY.PR.J FixedReset Disc 1.33 % YTW SCENARIO
Maturity Type : Call
Maturity Date : 2025-05-24
Maturity Price : 25.00
Evaluated at bid price : 24.35
Bid-YTW : 4.06 %
FTS.PR.J Perpetual-Premium 1.41 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-02-18
Maturity Price : 23.53
Evaluated at bid price : 23.80
Bid-YTW : 4.99 %
BAM.PR.Z FixedReset Disc 1.77 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-02-18
Maturity Price : 24.24
Evaluated at bid price : 24.70
Bid-YTW : 4.88 %
TD.PF.E FixedReset Disc 1.87 % YTW SCENARIO
Maturity Type : Call
Maturity Date : 2025-10-31
Maturity Price : 25.00
Evaluated at bid price : 24.50
Bid-YTW : 3.89 %
MFC.PR.M FixedReset Ins Non 1.98 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-02-18
Maturity Price : 22.58
Evaluated at bid price : 23.20
Bid-YTW : 4.47 %
PWF.PR.L Perpetual-Premium 2.03 % YTW SCENARIO
Maturity Type : Call
Maturity Date : 2022-03-20
Maturity Price : 25.00
Evaluated at bid price : 25.10
Bid-YTW : 3.13 %
SLF.PR.E Insurance Straight 2.91 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-02-18
Maturity Price : 23.43
Evaluated at bid price : 23.72
Bid-YTW : 4.79 %
EMA.PR.L Perpetual-Discount 3.20 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-02-18
Maturity Price : 23.52
Evaluated at bid price : 23.85
Bid-YTW : 4.83 %
NA.PR.W FixedReset Disc 4.48 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-02-18
Maturity Price : 22.62
Evaluated at bid price : 23.30
Bid-YTW : 4.31 %
BAM.PF.G FixedReset Disc 6.02 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-02-18
Maturity Price : 21.72
Evaluated at bid price : 22.00
Bid-YTW : 5.04 %
BAM.PF.F FixedReset Disc 6.73 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-02-18
Maturity Price : 22.49
Evaluated at bid price : 23.00
Bid-YTW : 5.02 %
TRP.PR.G FixedReset Disc 92.03 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-02-18
Maturity Price : 22.69
Evaluated at bid price : 23.60
Bid-YTW : 4.70 %
Volume Highlights
Issue Index Shares
Traded		 Notes
NA.PR.C FixedReset Prem 119,077 YTW SCENARIO
Maturity Type : Call
Maturity Date : 2022-11-15
Maturity Price : 25.00
Evaluated at bid price : 25.21
Bid-YTW : 3.39 %
CM.PR.R FixedReset Prem 36,990 YTW SCENARIO
Maturity Type : Call
Maturity Date : 2022-07-31
Maturity Price : 25.00
Evaluated at bid price : 25.17
Bid-YTW : 3.49 %
CM.PR.T FixedReset Prem 35,099 YTW SCENARIO
Maturity Type : Call
Maturity Date : 2024-04-30
Maturity Price : 25.00
Evaluated at bid price : 25.85
Bid-YTW : 3.75 %
POW.PR.G Perpetual-Premium 19,800 YTW SCENARIO
Maturity Type : Call
Maturity Date : 2022-03-20
Maturity Price : 25.00
Evaluated at bid price : 25.60
Bid-YTW : -16.29 %
SLF.PR.E Insurance Straight 17,500 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-02-18
Maturity Price : 23.43
Evaluated at bid price : 23.72
Bid-YTW : 4.79 %
PVS.PR.J SplitShare 13,659 YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2028-02-29
Maturity Price : 25.00
Evaluated at bid price : 25.17
Bid-YTW : 4.46 %
There were 9 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: 13.88 – 24.18
Spot Rate : 10.3000
Average : 5.4696

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-02-18
Maturity Price : 13.88
Evaluated at bid price : 13.88
Bid-YTW : 7.40 %
PWF.PR.P FixedReset Disc Quote: 15.35 – 17.28
Spot Rate : 1.9300
Average : 1.1111

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-02-18
Maturity Price : 15.35
Evaluated at bid price : 15.35
Bid-YTW : 5.11 %
BAM.PR.T FixedReset Disc Quote: 20.32 – 22.34
Spot Rate : 2.0200
Average : 1.3839

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-02-18
Maturity Price : 20.32
Evaluated at bid price : 20.32
Bid-YTW : 5.16 %
SLF.PR.H FixedReset Ins Non Quote: 21.30 – 22.25
Spot Rate : 0.9500
Average : 0.5708

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-02-18
Maturity Price : 21.30
Evaluated at bid price : 21.30
Bid-YTW : 4.45 %
IAF.PR.B Insurance Straight Quote: 24.04 – 25.00
Spot Rate : 0.9600
Average : 0.6155

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-02-18
Maturity Price : 23.73
Evaluated at bid price : 24.04
Bid-YTW : 4.83 %
MFC.PR.N FixedReset Ins Non Quote: 22.75 – 23.75
Spot Rate : 1.0000
Average : 0.6643

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-02-18
Maturity Price : 22.27
Evaluated at bid price : 22.75
Bid-YTW : 4.48 %

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ALA.PR.K Redemption Now Official

Saturday, February 19th, 2022

AltaGas Ltd. has announced (on February 16):

its intention to redeem – in accordance with the terms of the Cumulative Redeemable 5-Year Minimum Rate Reset Preferred Shares, Series K (the “Series K Shares”) as set out in the Company’s articles – all of its 12,000,000 issued and outstanding Series K Shares on March 31, 2022 (the “Redemption Date”) for a redemption price equal to $25.00 per Series K Share, together with all accrued and unpaid dividends to, but excluding, the Redemption Date (the “Redemption Price”), less any tax required to be deducted or withheld by the Company.

As outlined in a January 11, 2022 press release, AltaGas will use the proceeds from the $300 million Financing of 5.25% Fixed-to-Fixed Rate Subordinated Notes, Series 1 due January 11, 2082 (the “Series 1 Notes”) to redeem the Series K Shares. AltaGas expects to save approximately $66 million in the initial ten-year term of the Series 1 Notes due to lower taxes and financing charges. The Financing and Redemption will also continue to stagger, extend and de-risk AltaGas’ capital structure.

The Company has provided notice today of the Redemption Price and the Redemption Date to the sole registered holder of the Series K Shares in accordance with the terms of the Series K Shares as set out in the Company’s articles. Non-registered holders of Series K Shares should contact their broker or other intermediary for information regarding the redemption process for the Series K Shares in which they hold a beneficial interest. The Company’s transfer agent for the Series K Shares is Computershare Investor Services Inc. Questions regarding the redemption process may be directed to Computershare Investor Services Inc. at 1-800-564-6253 or by email to corporateactions@computershare.com.

This confirms the earlier, non-binding company statement. Thanks to Assiduous Reader CanSiamCyp for bringing this to my attention.

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PrefLetter.com Again Operational – Subscribe Now!

Saturday, February 19th, 2022

I am very relieved to report that the PrefLetter website has now been upgraded to work with the new version of PHP installed on my server.

Subscription are now operational – subscribe now!

In the event of any problems, please contact me.

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February 17, 2022

Thursday, February 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 3.03 % 3.51 % 39,512 20.04 1 -0.4926 % 2,877.6
FixedFloater 0.00 % 0.00 % 0 0.00 0 -0.0222 % 5,570.6
Floater 2.86 % 2.88 % 66,548 19.98 3 -0.0222 % 3,210.3
OpRet 0.00 % 0.00 % 0 0.00 0 0.0327 % 3,662.3
SplitShare 4.63 % 4.35 % 31,354 3.61 6 0.0327 % 4,373.6
Interest-Bearing 0.00 % 0.00 % 0 0.00 0 0.0327 % 3,412.4
Perpetual-Premium 5.25 % 2.95 % 57,211 0.09 22 -0.0649 % 3,207.0
Perpetual-Discount 4.90 % 4.95 % 59,302 15.54 11 -0.0570 % 3,762.6
FixedReset Disc 4.08 % 4.48 % 116,126 16.37 44 -0.6967 % 2,751.4
Insurance Straight 5.02 % 4.80 % 84,411 15.44 18 0.0476 % 3,575.0
FloatingReset 2.72 % 3.09 % 48,740 19.46 2 -0.0275 % 2,948.7
FixedReset Prem 4.79 % 3.83 % 109,661 2.07 26 -0.0712 % 2,695.3
FixedReset Bank Non 0.00 % 0.00 % 0 0.00 0 -0.6967 % 2,812.5
FixedReset Ins Non 4.15 % 4.39 % 77,523 16.30 17 -0.1158 % 2,930.6
Performance Highlights
Issue Index Change Notes
TRP.PR.G FixedReset Disc -47.92 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-02-17
Maturity Price : 12.29
Evaluated at bid price : 12.29
Bid-YTW : 8.92 %
BAM.PF.F FixedReset Disc -7.91 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-02-17
Maturity Price : 21.27
Evaluated at bid price : 21.55
Bid-YTW : 5.38 %
NA.PR.W FixedReset Disc -4.50 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-02-17
Maturity Price : 21.97
Evaluated at bid price : 22.30
Bid-YTW : 4.53 %
EMA.PR.L Perpetual-Discount -4.15 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-02-17
Maturity Price : 22.74
Evaluated at bid price : 23.11
Bid-YTW : 4.99 %
SLF.PR.E Insurance Straight -2.25 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-02-17
Maturity Price : 22.77
Evaluated at bid price : 23.05
Bid-YTW : 4.93 %
PWF.PR.L Perpetual-Premium -2.07 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-02-17
Maturity Price : 24.29
Evaluated at bid price : 24.60
Bid-YTW : 5.22 %
PWF.PF.A Perpetual-Discount -1.67 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-02-17
Maturity Price : 23.28
Evaluated at bid price : 23.60
Bid-YTW : 4.79 %
RY.PR.J FixedReset Disc -1.52 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-02-17
Maturity Price : 22.95
Evaluated at bid price : 24.03
Bid-YTW : 4.45 %
BIP.PR.A FixedReset Disc -1.38 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-02-17
Maturity Price : 22.72
Evaluated at bid price : 23.57
Bid-YTW : 5.44 %
BAM.PR.M Perpetual-Discount 1.11 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-02-17
Maturity Price : 23.49
Evaluated at bid price : 23.76
Bid-YTW : 5.06 %
IFC.PR.C FixedReset Disc 1.48 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-02-17
Maturity Price : 22.83
Evaluated at bid price : 24.05
Bid-YTW : 4.37 %
SLF.PR.G FixedReset Ins Non 1.54 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-02-17
Maturity Price : 17.77
Evaluated at bid price : 17.77
Bid-YTW : 4.24 %
TRP.PR.C FixedReset Disc 1.55 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-02-17
Maturity Price : 15.74
Evaluated at bid price : 15.74
Bid-YTW : 4.89 %
POW.PR.D Perpetual-Premium 1.64 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-02-17
Maturity Price : 24.55
Evaluated at bid price : 24.80
Bid-YTW : 5.09 %
TRP.PR.B FixedReset Disc 1.89 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-02-17
Maturity Price : 13.50
Evaluated at bid price : 13.50
Bid-YTW : 5.30 %
GWO.PR.Y Insurance Straight 2.10 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-02-17
Maturity Price : 23.48
Evaluated at bid price : 23.80
Bid-YTW : 4.77 %
BAM.PR.Z FixedReset Disc 2.32 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-02-17
Maturity Price : 23.71
Evaluated at bid price : 24.27
Bid-YTW : 4.96 %
CIU.PR.A Perpetual-Discount 2.55 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-02-17
Maturity Price : 23.85
Evaluated at bid price : 24.10
Bid-YTW : 4.77 %
TD.PF.A FixedReset Disc 2.91 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-02-17
Maturity Price : 22.47
Evaluated at bid price : 23.00
Bid-YTW : 4.35 %
BAM.PF.B FixedReset Disc 3.95 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-02-17
Maturity Price : 22.57
Evaluated at bid price : 22.88
Bid-YTW : 4.91 %
BAM.PR.T FixedReset Disc 4.44 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-02-17
Maturity Price : 21.15
Evaluated at bid price : 21.15
Bid-YTW : 4.95 %
BMO.PR.S FixedReset Disc 5.00 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-02-17
Maturity Price : 22.80
Evaluated at bid price : 23.10
Bid-YTW : 4.45 %
CM.PR.Q FixedReset Disc 21.57 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-02-17
Maturity Price : 22.89
Evaluated at bid price : 23.95
Bid-YTW : 4.48 %
Volume Highlights
Issue Index Shares
Traded		 Notes
CM.PR.S FixedReset Disc 146,850 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-02-17
Maturity Price : 24.08
Evaluated at bid price : 24.55
Bid-YTW : 4.37 %
RY.PR.S FixedReset Prem 52,013 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-02-17
Maturity Price : 23.49
Evaluated at bid price : 24.75
Bid-YTW : 4.24 %
MFC.PR.L FixedReset Ins Non 51,400 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-02-17
Maturity Price : 22.11
Evaluated at bid price : 22.40
Bid-YTW : 4.46 %
CM.PR.R FixedReset Prem 48,400 YTW SCENARIO
Maturity Type : Call
Maturity Date : 2022-07-31
Maturity Price : 25.00
Evaluated at bid price : 25.17
Bid-YTW : 3.47 %
BAM.PF.A FixedReset Prem 48,100 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-02-17
Maturity Price : 23.55
Evaluated at bid price : 24.65
Bid-YTW : 4.82 %
SLF.PR.E Insurance Straight 46,600 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-02-17
Maturity Price : 22.77
Evaluated at bid price : 23.05
Bid-YTW : 4.93 %
There were 10 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: 12.29 – 23.80
Spot Rate : 11.5100
Average : 6.1288

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-02-17
Maturity Price : 12.29
Evaluated at bid price : 12.29
Bid-YTW : 8.92 %
BAM.PF.F FixedReset Disc Quote: 21.55 – 23.75
Spot Rate : 2.2000
Average : 1.2528

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-02-17
Maturity Price : 21.27
Evaluated at bid price : 21.55
Bid-YTW : 5.38 %
EMA.PR.L Perpetual-Discount Quote: 23.11 – 24.50
Spot Rate : 1.3900
Average : 0.8765

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-02-17
Maturity Price : 22.74
Evaluated at bid price : 23.11
Bid-YTW : 4.99 %
NA.PR.W FixedReset Disc Quote: 22.30 – 23.30
Spot Rate : 1.0000
Average : 0.6391

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-02-17
Maturity Price : 21.97
Evaluated at bid price : 22.30
Bid-YTW : 4.53 %
CM.PR.P FixedReset Disc Quote: 23.00 – 23.68
Spot Rate : 0.6800
Average : 0.4124

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-02-17
Maturity Price : 22.44
Evaluated at bid price : 23.00
Bid-YTW : 4.38 %
BIP.PR.A FixedReset Disc Quote: 23.57 – 24.30
Spot Rate : 0.7300
Average : 0.5187

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-02-17
Maturity Price : 22.72
Evaluated at bid price : 23.57
Bid-YTW : 5.44 %

Posted in Market Action | No Comments »

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