Archive for February, 2022

February PrefLetter Released!

Thursday, February 17th, 2022

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

I apologize for the delay in sending this edition. As noted, there was a massive upgrade to the website software that broke the PrefLetter distribution programming … and PHP is such an idiotic language with such a complete deficiency of useful programming tools that reacting to this upgrade took longer that expected.

So the edition has been distributed but the subscription software has not yet been checked. Please do not subscribe until further notice, which I hope to provide this evening.

Update, 2022-2-19: The site has now been upgraded and subscriptions are again operational.

PrefLetter may now be purchased by all Canadian residents.

Until further notice, the previous edition will refer to the February, 2022, issue, while the “next” edition will be the March, 2022, issue scheduled to be prepared as of the close March 11, and emailed to subscribers prior to the market-opening on March 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?).

February 16, 2022

Wednesday, February 16th, 2022

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

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

Values are provisional and are finalized monthly
Index Mean
Current
Yield
(at bid)
Median
YTW
Median
Average
Trading
Value
Median
Mod Dur
(YTW)
Issues Day’s Perf. Index Value
Ratchet 3.02 % 3.48 % 39,612 20.08 1 0.4453 % 2,891.8
FixedFloater 0.00 % 0.00 % 0 0.00 0 -0.5747 % 5,571.8
Floater 2.86 % 2.88 % 66,398 19.99 3 -0.5747 % 3,211.1
OpRet 0.00 % 0.00 % 0 0.00 0 0.0392 % 3,661.1
SplitShare 4.63 % 4.35 % 32,652 3.61 6 0.0392 % 4,372.2
Interest-Bearing 0.00 % 0.00 % 0 0.00 0 0.0392 % 3,411.3
Perpetual-Premium 5.24 % -5.83 % 55,708 0.09 22 -0.1817 % 3,209.0
Perpetual-Discount 4.89 % 4.95 % 58,970 15.58 11 2.8592 % 3,764.7
FixedReset Disc 4.05 % 4.49 % 116,272 16.27 44 -1.4063 % 2,770.7
Insurance Straight 5.02 % 4.81 % 85,126 15.46 18 0.5078 % 3,573.3
FloatingReset 2.72 % 3.09 % 50,723 19.47 2 0.0551 % 2,949.6
FixedReset Prem 4.79 % 3.87 % 112,492 2.07 26 -0.0954 % 2,697.2
FixedReset Bank Non 0.00 % 0.00 % 0 0.00 0 -1.4063 % 2,832.2
FixedReset Ins Non 4.14 % 4.38 % 78,055 16.32 17 -0.2592 % 2,934.0
Performance Highlights
Issue Index Change Notes
CM.PR.Q FixedReset Disc -17.92 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-02-16
Maturity Price : 19.70
Evaluated at bid price : 19.70
Bid-YTW : 5.51 %
BAM.PR.T FixedReset Disc -6.12 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-02-16
Maturity Price : 20.25
Evaluated at bid price : 20.25
Bid-YTW : 5.17 %
BMO.PR.S FixedReset Disc -5.78 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-02-16
Maturity Price : 21.59
Evaluated at bid price : 22.00
Bid-YTW : 4.67 %
TRP.PR.B FixedReset Disc -5.36 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-02-16
Maturity Price : 13.25
Evaluated at bid price : 13.25
Bid-YTW : 5.40 %
BAM.PF.B FixedReset Disc -4.84 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-02-16
Maturity Price : 21.60
Evaluated at bid price : 22.01
Bid-YTW : 5.10 %
TD.PF.A FixedReset Disc -4.16 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-02-16
Maturity Price : 22.04
Evaluated at bid price : 22.35
Bid-YTW : 4.49 %
BAM.PR.Z FixedReset Disc -3.81 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-02-16
Maturity Price : 23.12
Evaluated at bid price : 23.72
Bid-YTW : 5.07 %
GWO.PR.Y Insurance Straight -3.08 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-02-16
Maturity Price : 22.92
Evaluated at bid price : 23.31
Bid-YTW : 4.87 %
GWO.PR.N FixedReset Ins Non -2.90 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-02-16
Maturity Price : 16.75
Evaluated at bid price : 16.75
Bid-YTW : 4.29 %
CIU.PR.A Perpetual-Discount -2.69 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-02-16
Maturity Price : 23.20
Evaluated at bid price : 23.50
Bid-YTW : 4.89 %
TRP.PR.C FixedReset Disc -1.90 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-02-16
Maturity Price : 15.50
Evaluated at bid price : 15.50
Bid-YTW : 4.97 %
FTS.PR.G FixedReset Disc -1.89 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-02-16
Maturity Price : 21.46
Evaluated at bid price : 21.80
Bid-YTW : 4.56 %
BAM.PR.M Perpetual-Discount -1.88 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-02-16
Maturity Price : 23.20
Evaluated at bid price : 23.50
Bid-YTW : 5.11 %
IFC.PR.C FixedReset Disc -1.86 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-02-16
Maturity Price : 22.66
Evaluated at bid price : 23.70
Bid-YTW : 4.45 %
SLF.PR.C Insurance Straight -1.85 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-02-16
Maturity Price : 23.12
Evaluated at bid price : 23.38
Bid-YTW : 4.81 %
SLF.PR.D Insurance Straight -1.68 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-02-16
Maturity Price : 23.15
Evaluated at bid price : 23.45
Bid-YTW : 4.79 %
POW.PR.D Perpetual-Premium -1.61 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-02-16
Maturity Price : 24.15
Evaluated at bid price : 24.40
Bid-YTW : 5.17 %
SLF.PR.E Insurance Straight -1.54 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-02-16
Maturity Price : 23.30
Evaluated at bid price : 23.58
Bid-YTW : 4.82 %
SLF.PR.G FixedReset Ins Non -1.41 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-02-16
Maturity Price : 17.50
Evaluated at bid price : 17.50
Bid-YTW : 4.31 %
MFC.PR.F FixedReset Ins Non -1.31 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-02-16
Maturity Price : 18.06
Evaluated at bid price : 18.06
Bid-YTW : 4.25 %
GWO.PR.R Insurance Straight -1.25 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-02-16
Maturity Price : 24.15
Evaluated at bid price : 24.40
Bid-YTW : 4.97 %
PWF.PR.P FixedReset Disc -1.14 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-02-16
Maturity Price : 17.30
Evaluated at bid price : 17.30
Bid-YTW : 4.55 %
TRP.PR.A FixedReset Disc -1.11 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-02-16
Maturity Price : 18.79
Evaluated at bid price : 18.79
Bid-YTW : 4.99 %
BMO.PR.T FixedReset Disc -1.04 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-02-16
Maturity Price : 22.44
Evaluated at bid price : 22.90
Bid-YTW : 4.36 %
FTS.PR.H FixedReset Disc -1.00 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-02-16
Maturity Price : 16.83
Evaluated at bid price : 16.83
Bid-YTW : 4.50 %
TD.PF.E FixedReset Disc 1.61 % YTW SCENARIO
Maturity Type : Call
Maturity Date : 2025-10-31
Maturity Price : 25.00
Evaluated at bid price : 24.05
Bid-YTW : 4.43 %
GWO.PR.I Insurance Straight 26.67 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-02-16
Maturity Price : 23.48
Evaluated at bid price : 23.75
Bid-YTW : 4.79 %
PWF.PF.A Perpetual-Discount 60.00 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-02-16
Maturity Price : 23.64
Evaluated at bid price : 24.00
Bid-YTW : 4.71 %
Volume Highlights
Issue Index Shares
Traded
Notes
BMO.PR.C FixedReset Prem 1,236,480 YTW SCENARIO
Maturity Type : Call
Maturity Date : 2022-05-25
Maturity Price : 25.00
Evaluated at bid price : 25.06
Bid-YTW : 3.20 %
CM.PR.Y FixedReset Prem 201,400 YTW SCENARIO
Maturity Type : Call
Maturity Date : 2024-07-31
Maturity Price : 25.00
Evaluated at bid price : 25.90
Bid-YTW : 3.75 %
CM.PR.R FixedReset Prem 156,463 YTW SCENARIO
Maturity Type : Call
Maturity Date : 2022-07-31
Maturity Price : 25.00
Evaluated at bid price : 25.16
Bid-YTW : 3.54 %
BMO.PR.B FixedReset Disc 47,200 YTW SCENARIO
Maturity Type : Call
Maturity Date : 2022-03-27
Maturity Price : 25.00
Evaluated at bid price : 24.99
Bid-YTW : 4.14 %
RY.PR.M FixedReset Disc 46,018 YTW SCENARIO
Maturity Type : Call
Maturity Date : 2025-11-24
Maturity Price : 25.00
Evaluated at bid price : 24.15
Bid-YTW : 3.98 %
TD.PF.I FixedReset Prem 43,100 YTW SCENARIO
Maturity Type : Call
Maturity Date : 2022-10-31
Maturity Price : 25.00
Evaluated at bid price : 25.25
Bid-YTW : 3.37 %
There were 18 other index-included issues trading in excess of 10,000 shares.
Wide Spread Highlights
Issue Index Quote Data and Yield Notes
CM.PR.Q FixedReset Disc Quote: 19.70 – 24.05
Spot Rate : 4.3500
Average : 2.4223

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-02-16
Maturity Price : 19.70
Evaluated at bid price : 19.70
Bid-YTW : 5.51 %

BMO.PR.S FixedReset Disc Quote: 22.00 – 23.35
Spot Rate : 1.3500
Average : 0.7933

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-02-16
Maturity Price : 21.59
Evaluated at bid price : 22.00
Bid-YTW : 4.67 %

BAM.PR.T FixedReset Disc Quote: 20.25 – 21.66
Spot Rate : 1.4100
Average : 0.9130

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-02-16
Maturity Price : 20.25
Evaluated at bid price : 20.25
Bid-YTW : 5.17 %

TD.PF.A FixedReset Disc Quote: 22.35 – 23.35
Spot Rate : 1.0000
Average : 0.5790

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-02-16
Maturity Price : 22.04
Evaluated at bid price : 22.35
Bid-YTW : 4.49 %

BAM.PF.G FixedReset Disc Quote: 20.75 – 23.00
Spot Rate : 2.2500
Average : 1.8300

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-02-16
Maturity Price : 20.75
Evaluated at bid price : 20.75
Bid-YTW : 5.36 %

BAM.PR.C Floater Quote: 14.99 – 15.99
Spot Rate : 1.0000
Average : 0.5963

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

February 15, 2022

Tuesday, February 15th, 2022
HIMIPref™ Preferred Indices
These values reflect the December 2008 revision of the HIMIPref™ Indices

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

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-02-15
Maturity Price : 15.00
Evaluated at bid price : 15.00
Bid-YTW : 7.60 %

GWO.PR.I Insurance Straight Quote: 18.75 – 24.20
Spot Rate : 5.4500
Average : 2.9707

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-02-15
Maturity Price : 18.75
Evaluated at bid price : 18.75
Bid-YTW : 6.10 %

BAM.PF.G FixedReset Disc Quote: 20.75 – 22.75
Spot Rate : 2.0000
Average : 1.3694

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-02-15
Maturity Price : 20.75
Evaluated at bid price : 20.75
Bid-YTW : 5.36 %

TD.PF.E FixedReset Disc Quote: 23.67 – 24.67
Spot Rate : 1.0000
Average : 0.6087

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-02-15
Maturity Price : 22.73
Evaluated at bid price : 23.67
Bid-YTW : 4.63 %

BAM.PR.X FixedReset Disc Quote: 18.00 – 19.24
Spot Rate : 1.2400
Average : 0.9160

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-02-15
Maturity Price : 18.00
Evaluated at bid price : 18.00
Bid-YTW : 5.08 %

CU.PR.I FixedReset Prem Quote: 25.60 – 26.50
Spot Rate : 0.9000
Average : 0.6149

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

February 14, 2022

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

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-02-14
Maturity Price : 18.57
Evaluated at bid price : 18.57
Bid-YTW : 6.51 %

BAM.PF.B FixedReset Disc Quote: 22.01 – 23.64
Spot Rate : 1.6300
Average : 1.0473

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-02-14
Maturity Price : 21.60
Evaluated at bid price : 22.01
Bid-YTW : 5.10 %

PWF.PR.K Perpetual-Discount Quote: 23.85 – 24.85
Spot Rate : 1.0000
Average : 0.5880

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-02-14
Maturity Price : 23.58
Evaluated at bid price : 23.85
Bid-YTW : 5.22 %

BAM.PF.C Perpetual-Discount Quote: 23.90 – 24.85
Spot Rate : 0.9500
Average : 0.6083

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-02-14
Maturity Price : 23.62
Evaluated at bid price : 23.90
Bid-YTW : 5.13 %

BAM.PF.G FixedReset Disc Quote: 22.00 – 23.00
Spot Rate : 1.0000
Average : 0.6781

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-02-14
Maturity Price : 21.72
Evaluated at bid price : 22.00
Bid-YTW : 5.04 %

BAM.PR.N Perpetual-Discount Quote: 23.10 – 24.32
Spot Rate : 1.2200
Average : 0.9132

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

February PrefLetter Slightly Delayed

Monday, February 14th, 2022

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

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

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

I regret the delay.

February 11, 2022

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

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-02-11
Maturity Price : 19.35
Evaluated at bid price : 19.35
Bid-YTW : 6.12 %

SLF.PR.D Insurance Straight Quote: 22.27 – 24.03
Spot Rate : 1.7600
Average : 1.0231

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-02-11
Maturity Price : 22.04
Evaluated at bid price : 22.27
Bid-YTW : 5.05 %

BAM.PF.A FixedReset Prem Quote: 24.00 – 25.14
Spot Rate : 1.1400
Average : 0.6339

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-02-11
Maturity Price : 23.62
Evaluated at bid price : 24.00
Bid-YTW : 4.99 %

BAM.PR.N Perpetual-Discount Quote: 23.41 – 24.41
Spot Rate : 1.0000
Average : 0.5769

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-02-11
Maturity Price : 23.15
Evaluated at bid price : 23.41
Bid-YTW : 5.13 %

PWF.PR.F Perpetual-Premium Quote: 25.25 – 25.96
Spot Rate : 0.7100
Average : 0.4156

YTW SCENARIO
Maturity Type : Call
Maturity Date : 2022-03-13
Maturity Price : 25.00
Evaluated at bid price : 25.25
Bid-YTW : -5.07 %

SLF.PR.E Insurance Straight Quote: 24.09 – 25.00
Spot Rate : 0.9100
Average : 0.6551

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

February 10, 2022

Thursday, February 10th, 2022

US inflation has recorded a 40-year high:

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

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

The NYT reports signs of spreading:

More worrying were the report’s details, which showed inflation moving beyond pandemic-affected goods and services, a sign that rapid gains could prove longer lasting and harder to shake off.

Lately, it is more than just shortages of goods at play. Price gains are increasingly hitting consumers in hard-to-avoid ways as they show up in necessities: January’s inflation reading was driven by food, electricity and shelter costs, the Bureau of Labor Statistics said.

After Thursday’s report, investors expected the Fed to withdraw economic support even more quickly. Markets braced for a half-percentage-point increase in the federal funds rate at the central bank’s meeting next month — double the usual increment.

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

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

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

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

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-02-10
Maturity Price : 21.45
Evaluated at bid price : 21.45
Bid-YTW : 4.88 %

BAM.PR.Z FixedReset Disc Quote: 24.65 – 25.20
Spot Rate : 0.5500
Average : 0.3437

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-02-10
Maturity Price : 24.18
Evaluated at bid price : 24.65
Bid-YTW : 4.76 %

RY.PR.M FixedReset Disc Quote: 23.84 – 24.35
Spot Rate : 0.5100
Average : 0.3043

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-02-10
Maturity Price : 22.80
Evaluated at bid price : 23.84
Bid-YTW : 4.20 %

MFC.PR.F FixedReset Ins Non Quote: 18.30 – 18.83
Spot Rate : 0.5300
Average : 0.3599

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-02-10
Maturity Price : 18.30
Evaluated at bid price : 18.30
Bid-YTW : 4.07 %

BAM.PF.B FixedReset Disc Quote: 23.58 – 24.01
Spot Rate : 0.4300
Average : 0.2643

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-02-10
Maturity Price : 23.26
Evaluated at bid price : 23.58
Bid-YTW : 4.64 %

TRP.PR.E FixedReset Disc Quote: 21.49 – 22.02
Spot Rate : 0.5300
Average : 0.3665

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

February 9, 2022

Wednesday, February 9th, 2022

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

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

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

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-02-09
Maturity Price : 22.42
Evaluated at bid price : 23.04
Bid-YTW : 4.68 %

PWF.PR.L Perpetual-Premium Quote: 25.11 – 26.11
Spot Rate : 1.0000
Average : 0.6360

YTW SCENARIO
Maturity Type : Call
Maturity Date : 2022-03-11
Maturity Price : 25.00
Evaluated at bid price : 25.11
Bid-YTW : 1.10 %

TRP.PR.C FixedReset Disc Quote: 15.30 – 16.50
Spot Rate : 1.2000
Average : 0.9110

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-02-09
Maturity Price : 15.30
Evaluated at bid price : 15.30
Bid-YTW : 4.88 %

PVS.PR.G SplitShare Quote: 25.50 – 26.10
Spot Rate : 0.6000
Average : 0.4043

YTW SCENARIO
Maturity Type : Option Certainty
Maturity Date : 2026-02-28
Maturity Price : 25.00
Evaluated at bid price : 25.50
Bid-YTW : 4.62 %

SLF.PR.G FixedReset Ins Non Quote: 18.00 – 18.66
Spot Rate : 0.6600
Average : 0.4718

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-02-09
Maturity Price : 18.00
Evaluated at bid price : 18.00
Bid-YTW : 4.05 %

CM.PR.Y FixedReset Prem Quote: 26.25 – 26.99
Spot Rate : 0.7400
Average : 0.5535

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

February 8, 2022

Tuesday, February 8th, 2022
HIMIPref™ Preferred Indices
These values reflect the December 2008 revision of the HIMIPref™ Indices

Values are provisional and are finalized monthly
Index Mean
Current
Yield
(at bid)
Median
YTW
Median
Average
Trading
Value
Median
Mod Dur
(YTW)
Issues Day’s Perf. Index Value
Ratchet 3.01 % 3.47 % 40,605 20.10 1 0.1969 % 2,898.9
FixedFloater 0.00 % 0.00 % 0 0.00 0 0.2641 % 5,643.7
Floater 2.82 % 2.84 % 62,434 20.11 3 0.2641 % 3,252.5
OpRet 0.00 % 0.00 % 0 0.00 0 0.0262 % 3,653.7
SplitShare 4.64 % 4.43 % 33,111 3.37 6 0.0262 % 4,363.3
Interest-Bearing 0.00 % 0.00 % 0 0.00 0 0.0262 % 3,404.4
Perpetual-Premium 5.20 % -14.54 % 51,729 0.09 22 -0.1784 % 3,236.6
Perpetual-Discount 4.78 % 4.86 % 63,397 15.73 11 -0.1261 % 3,851.1
FixedReset Disc 3.91 % 4.24 % 112,425 16.45 44 0.2707 % 2,874.7
Insurance Straight 4.91 % 4.59 % 80,098 15.65 18 -0.2588 % 3,651.6
FloatingReset 2.66 % 3.03 % 55,233 19.63 2 -0.5983 % 2,966.6
FixedReset Prem 4.76 % 3.37 % 102,764 1.79 26 -0.1397 % 2,717.3
FixedReset Bank Non 0.00 % 0.00 % 0 0.00 0 0.2707 % 2,938.6
FixedReset Ins Non 4.10 % 4.10 % 69,659 16.58 17 -0.1348 % 2,964.6
Performance Highlights
Issue Index Change Notes
POW.PR.D Perpetual-Premium -3.84 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-02-08
Maturity Price : 24.03
Evaluated at bid price : 24.28
Bid-YTW : 5.19 %
TRP.PR.B FixedReset Disc -1.71 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-02-08
Maturity Price : 14.35
Evaluated at bid price : 14.35
Bid-YTW : 4.83 %
SLF.PR.G FixedReset Ins Non -1.55 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-02-08
Maturity Price : 17.77
Evaluated at bid price : 17.77
Bid-YTW : 4.10 %
BMO.PR.S FixedReset Disc -1.03 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-02-08
Maturity Price : 23.07
Evaluated at bid price : 23.95
Bid-YTW : 4.13 %
IFC.PR.A FixedReset Ins Non 1.37 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-02-08
Maturity Price : 21.40
Evaluated at bid price : 21.40
Bid-YTW : 4.04 %
CU.PR.C FixedReset Disc 1.40 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-02-08
Maturity Price : 22.32
Evaluated at bid price : 23.10
Bid-YTW : 4.39 %
BAM.PR.Z FixedReset Disc 2.03 % YTW SCENARIO
Maturity Type : Call
Maturity Date : 2022-12-31
Maturity Price : 25.00
Evaluated at bid price : 25.15
Bid-YTW : 4.59 %
BAM.PF.E FixedReset Disc 2.56 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-02-08
Maturity Price : 21.78
Evaluated at bid price : 22.05
Bid-YTW : 4.72 %
BAM.PR.T FixedReset Disc 3.81 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-02-08
Maturity Price : 22.05
Evaluated at bid price : 22.63
Bid-YTW : 4.44 %
BAM.PR.X FixedReset Disc 5.00 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-02-08
Maturity Price : 18.90
Evaluated at bid price : 18.90
Bid-YTW : 4.67 %
TRP.PR.C FixedReset Disc 5.88 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-02-08
Maturity Price : 16.20
Evaluated at bid price : 16.20
Bid-YTW : 4.61 %
Volume Highlights
Issue Index Shares
Traded
Notes
MFC.PR.Q FixedReset Ins Non 284,100 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-02-08
Maturity Price : 23.76
Evaluated at bid price : 24.95
Bid-YTW : 4.27 %
MFC.PR.R FixedReset Ins Non 180,600 YTW SCENARIO
Maturity Type : Call
Maturity Date : 2022-03-19
Maturity Price : 25.00
Evaluated at bid price : 25.24
Bid-YTW : 2.19 %
BMO.PR.B FixedReset Disc 108,100 YTW SCENARIO
Maturity Type : Call
Maturity Date : 2022-03-27
Maturity Price : 25.00
Evaluated at bid price : 24.98
Bid-YTW : 3.75 %
TD.PF.C FixedReset Disc 103,902 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-02-08
Maturity Price : 22.92
Evaluated at bid price : 23.87
Bid-YTW : 4.08 %
BMO.PR.C FixedReset Prem 102,096 YTW SCENARIO
Maturity Type : Call
Maturity Date : 2022-05-25
Maturity Price : 25.00
Evaluated at bid price : 25.13
Bid-YTW : 1.98 %
SLF.PR.H FixedReset Ins Non 60,200 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-02-08
Maturity Price : 22.07
Evaluated at bid price : 22.62
Bid-YTW : 4.04 %
There were 20 other index-included issues trading in excess of 10,000 shares.
Wide Spread Highlights
Issue Index Quote Data and Yield Notes
POW.PR.D Perpetual-Premium Quote: 24.28 – 25.26
Spot Rate : 0.9800
Average : 0.5370

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-02-08
Maturity Price : 24.03
Evaluated at bid price : 24.28
Bid-YTW : 5.19 %

CM.PR.T FixedReset Prem Quote: 25.89 – 26.55
Spot Rate : 0.6600
Average : 0.4676

YTW SCENARIO
Maturity Type : Call
Maturity Date : 2024-04-30
Maturity Price : 25.00
Evaluated at bid price : 25.89
Bid-YTW : 3.62 %

BAM.PF.F FixedReset Disc Quote: 23.85 – 24.35
Spot Rate : 0.5000
Average : 0.4079

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-02-08
Maturity Price : 22.96
Evaluated at bid price : 23.85
Bid-YTW : 4.70 %

GWO.PR.S Insurance Straight Quote: 25.50 – 25.85
Spot Rate : 0.3500
Average : 0.2703

YTW SCENARIO
Maturity Type : Call
Maturity Date : 2022-06-30
Maturity Price : 25.25
Evaluated at bid price : 25.50
Bid-YTW : 4.09 %

TRP.PR.B FixedReset Disc Quote: 14.35 – 14.60
Spot Rate : 0.2500
Average : 0.1814

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-02-08
Maturity Price : 14.35
Evaluated at bid price : 14.35
Bid-YTW : 4.83 %

SLF.PR.C Insurance Straight Quote: 24.43 – 24.70
Spot Rate : 0.2700
Average : 0.2073

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

February 7, 2022

Monday, February 7th, 2022
HIMIPref™ Preferred Indices
These values reflect the December 2008 revision of the HIMIPref™ Indices

Values are provisional and are finalized monthly
Index Mean
Current
Yield
(at bid)
Median
YTW
Median
Average
Trading
Value
Median
Mod Dur
(YTW)
Issues Day’s Perf. Index Value
Ratchet 3.02 % 3.48 % 40,838 20.09 1 -0.0984 % 2,893.2
FixedFloater 0.00 % 0.00 % 0 0.00 0 0.0661 % 5,628.8
Floater 2.83 % 2.85 % 57,947 20.09 3 0.0661 % 3,243.9
OpRet 0.00 % 0.00 % 0 0.00 0 0.1377 % 3,652.8
SplitShare 4.64 % 4.43 % 34,483 3.38 6 0.1377 % 4,362.2
Interest-Bearing 0.00 % 0.00 % 0 0.00 0 0.1377 % 3,403.5
Perpetual-Premium 5.19 % -14.70 % 54,633 0.09 22 -0.0749 % 3,242.4
Perpetual-Discount 4.78 % 4.87 % 58,704 15.72 11 -0.0482 % 3,855.9
FixedReset Disc 3.92 % 4.19 % 110,773 16.45 44 -0.4425 % 2,867.0
Insurance Straight 4.90 % 4.56 % 79,989 15.65 18 -0.1082 % 3,661.0
FloatingReset 2.64 % 3.00 % 55,988 19.70 2 0.7673 % 2,984.5
FixedReset Prem 4.75 % 3.11 % 101,217 1.79 26 -0.2277 % 2,721.1
FixedReset Bank Non 0.00 % 0.00 % 0 0.00 0 -0.4425 % 2,930.6
FixedReset Ins Non 4.09 % 4.10 % 64,718 16.58 17 -0.0330 % 2,968.6
Performance Highlights
Issue Index Change Notes
TRP.PR.C FixedReset Disc -6.59 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-02-07
Maturity Price : 15.30
Evaluated at bid price : 15.30
Bid-YTW : 4.87 %
CU.PR.C FixedReset Disc -1.81 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-02-07
Maturity Price : 22.13
Evaluated at bid price : 22.78
Bid-YTW : 4.46 %
BAM.PR.Z FixedReset Disc -1.79 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-02-07
Maturity Price : 24.18
Evaluated at bid price : 24.65
Bid-YTW : 4.76 %
CM.PR.P FixedReset Disc -1.57 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-02-07
Maturity Price : 22.91
Evaluated at bid price : 23.85
Bid-YTW : 4.08 %
BNS.PR.I FixedReset Prem -1.47 % YTW SCENARIO
Maturity Type : Call
Maturity Date : 2024-01-27
Maturity Price : 25.00
Evaluated at bid price : 25.50
Bid-YTW : 3.89 %
FTS.PR.G FixedReset Disc -1.39 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-02-07
Maturity Price : 22.40
Evaluated at bid price : 22.78
Bid-YTW : 4.30 %
TRP.PR.E FixedReset Disc -1.34 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-02-07
Maturity Price : 21.31
Evaluated at bid price : 21.31
Bid-YTW : 4.74 %
BAM.PR.R FixedReset Disc -1.19 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-02-07
Maturity Price : 20.80
Evaluated at bid price : 20.80
Bid-YTW : 4.65 %
GWO.PR.S Insurance Straight -1.16 % YTW SCENARIO
Maturity Type : Call
Maturity Date : 2022-06-30
Maturity Price : 25.25
Evaluated at bid price : 25.50
Bid-YTW : 4.06 %
FTS.PR.K FixedReset Disc -1.13 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-02-07
Maturity Price : 21.45
Evaluated at bid price : 21.80
Bid-YTW : 4.37 %
CU.PR.I FixedReset Prem -1.10 % YTW SCENARIO
Maturity Type : Call
Maturity Date : 2025-12-01
Maturity Price : 25.00
Evaluated at bid price : 26.06
Bid-YTW : 3.25 %
CM.PR.T FixedReset Prem -1.07 % YTW SCENARIO
Maturity Type : Call
Maturity Date : 2024-04-30
Maturity Price : 25.00
Evaluated at bid price : 26.00
Bid-YTW : 3.41 %
BAM.PR.T FixedReset Disc -1.04 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-02-07
Maturity Price : 21.49
Evaluated at bid price : 21.80
Bid-YTW : 4.63 %
Volume Highlights
Issue Index Shares
Traded
Notes
BNS.PR.I FixedReset Prem 169,650 YTW SCENARIO
Maturity Type : Call
Maturity Date : 2024-01-27
Maturity Price : 25.00
Evaluated at bid price : 25.50
Bid-YTW : 3.89 %
TRP.PR.B FixedReset Disc 53,000 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-02-07
Maturity Price : 14.60
Evaluated at bid price : 14.60
Bid-YTW : 4.75 %
TD.PF.A FixedReset Disc 36,580 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-02-07
Maturity Price : 22.91
Evaluated at bid price : 23.79
Bid-YTW : 4.06 %
BAM.PR.T FixedReset Disc 31,681 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-02-07
Maturity Price : 21.49
Evaluated at bid price : 21.80
Bid-YTW : 4.63 %
MFC.PR.I FixedReset Ins Non 23,600 YTW SCENARIO
Maturity Type : Call
Maturity Date : 2022-09-19
Maturity Price : 25.00
Evaluated at bid price : 25.22
Bid-YTW : 3.91 %
TRP.PR.K FixedReset Prem 18,280 YTW SCENARIO
Maturity Type : Call
Maturity Date : 2022-05-31
Maturity Price : 25.00
Evaluated at bid price : 25.14
Bid-YTW : 2.27 %
There were 6 other index-included issues trading in excess of 10,000 shares.
Wide Spread Highlights
Issue Index Quote Data and Yield Notes
TRP.PR.C FixedReset Disc Quote: 15.30 – 16.55
Spot Rate : 1.2500
Average : 0.8069

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-02-07
Maturity Price : 15.30
Evaluated at bid price : 15.30
Bid-YTW : 4.87 %

BAM.PR.R FixedReset Disc Quote: 20.80 – 21.40
Spot Rate : 0.6000
Average : 0.4434

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-02-07
Maturity Price : 20.80
Evaluated at bid price : 20.80
Bid-YTW : 4.65 %

CM.PR.P FixedReset Disc Quote: 23.85 – 24.25
Spot Rate : 0.4000
Average : 0.2461

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-02-07
Maturity Price : 22.91
Evaluated at bid price : 23.85
Bid-YTW : 4.08 %

IFC.PR.A FixedReset Ins Non Quote: 21.11 – 21.75
Spot Rate : 0.6400
Average : 0.4870

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-02-07
Maturity Price : 21.11
Evaluated at bid price : 21.11
Bid-YTW : 4.09 %

SLF.PR.G FixedReset Ins Non Quote: 18.05 – 18.50
Spot Rate : 0.4500
Average : 0.3151

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-02-07
Maturity Price : 18.05
Evaluated at bid price : 18.05
Bid-YTW : 4.04 %

FTS.PR.H FixedReset Disc Quote: 17.30 – 18.00
Spot Rate : 0.7000
Average : 0.5741

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