Archive for March, 2022

March 31, 2022

Thursday, March 31st, 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 % 3.74 % 25,763 19.67 1 0.0000 % 2,799.2
FixedFloater 0.00 % 0.00 % 0 0.00 0 0.4485 % 5,270.8
Floater 3.33 % 3.33 % 62,855 18.91 3 0.4485 % 3,037.6
OpRet 0.00 % 0.00 % 0 0.00 0 -0.5909 % 3,612.6
SplitShare 4.71 % 4.55 % 32,074 3.41 8 -0.5909 % 4,314.2
Interest-Bearing 0.00 % 0.00 % 0 0.00 0 -0.5909 % 3,366.1
Perpetual-Premium 5.35 % -6.54 % 62,947 0.09 17 0.2689 % 3,184.7
Perpetual-Discount 5.14 % 5.15 % 70,621 15.17 16 -0.0349 % 3,595.1
FixedReset Disc 4.17 % 5.12 % 121,629 15.15 46 0.3196 % 2,749.2
Insurance Straight 5.19 % 5.06 % 93,353 15.14 18 -0.0936 % 3,455.1
FloatingReset 3.12 % 3.46 % 46,623 18.61 2 0.1993 % 2,857.0
FixedReset Prem 4.79 % 3.85 % 149,544 2.03 23 0.0990 % 2,697.5
FixedReset Bank Non 0.00 % 0.00 % 0 0.00 0 0.3196 % 2,810.2
FixedReset Ins Non 4.17 % 5.11 % 82,651 15.40 15 0.8063 % 2,880.5
Performance Highlights
Issue Index Change Notes
PVS.PR.J SplitShare -4.00 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2028-02-29
Maturity Price : 25.00
Evaluated at bid price : 24.00
Bid-YTW : 5.28 %
TRP.PR.C FixedReset Disc -2.00 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-03-31
Maturity Price : 14.70
Evaluated at bid price : 14.70
Bid-YTW : 5.99 %
SLF.PR.C Insurance Straight -1.56 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-03-31
Maturity Price : 21.81
Evaluated at bid price : 22.05
Bid-YTW : 5.06 %
SLF.PR.E Insurance Straight -1.07 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-03-31
Maturity Price : 22.05
Evaluated at bid price : 22.28
Bid-YTW : 5.07 %
BAM.PR.R FixedReset Disc 1.04 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-03-31
Maturity Price : 19.45
Evaluated at bid price : 19.45
Bid-YTW : 5.65 %
TRP.PR.B FixedReset Disc 1.04 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-03-31
Maturity Price : 13.60
Evaluated at bid price : 13.60
Bid-YTW : 6.13 %
TD.PF.B FixedReset Disc 1.20 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-03-31
Maturity Price : 22.40
Evaluated at bid price : 22.81
Bid-YTW : 5.06 %
GWO.PR.T Insurance Straight 1.20 % YTW SCENARIO
Maturity Type : Call
Maturity Date : 2026-06-30
Maturity Price : 25.00
Evaluated at bid price : 25.25
Bid-YTW : 4.91 %
PWF.PR.Z Perpetual-Premium 1.21 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-03-31
Maturity Price : 24.71
Evaluated at bid price : 25.00
Bid-YTW : 5.22 %
IAF.PR.I FixedReset Ins Non 1.22 % YTW SCENARIO
Maturity Type : Call
Maturity Date : 2023-03-31
Maturity Price : 25.00
Evaluated at bid price : 24.95
Bid-YTW : 5.01 %
CU.PR.C FixedReset Disc 1.24 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-03-31
Maturity Price : 22.61
Evaluated at bid price : 23.65
Bid-YTW : 5.11 %
MFC.PR.K FixedReset Ins Non 1.35 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-03-31
Maturity Price : 22.89
Evaluated at bid price : 23.32
Bid-YTW : 4.99 %
RY.PR.Z FixedReset Disc 1.46 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-03-31
Maturity Price : 22.69
Evaluated at bid price : 23.00
Bid-YTW : 4.97 %
SLF.PR.H FixedReset Ins Non 1.47 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-03-31
Maturity Price : 21.41
Evaluated at bid price : 21.41
Bid-YTW : 4.94 %
CU.PR.J Perpetual-Premium 1.97 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-03-31
Maturity Price : 22.91
Evaluated at bid price : 23.30
Bid-YTW : 5.13 %
TRP.PR.E FixedReset Disc 2.21 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-03-31
Maturity Price : 20.35
Evaluated at bid price : 20.35
Bid-YTW : 5.71 %
PWF.PR.T FixedReset Disc 3.05 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-03-31
Maturity Price : 23.29
Evaluated at bid price : 23.65
Bid-YTW : 5.08 %
IFC.PR.A FixedReset Ins Non 3.14 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-03-31
Maturity Price : 20.70
Evaluated at bid price : 20.70
Bid-YTW : 5.02 %
Volume Highlights
Issue Index Shares
Traded
Notes
GWO.PR.Y Insurance Straight 225,918 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-03-31
Maturity Price : 22.04
Evaluated at bid price : 22.35
Bid-YTW : 5.04 %
NA.PR.C FixedReset Prem 144,897 YTW SCENARIO
Maturity Type : Call
Maturity Date : 2022-11-15
Maturity Price : 25.00
Evaluated at bid price : 25.30
Bid-YTW : 3.42 %
TRP.PR.B FixedReset Disc 122,250 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-03-31
Maturity Price : 13.60
Evaluated at bid price : 13.60
Bid-YTW : 6.13 %
TRP.PR.A FixedReset Disc 117,396 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-03-31
Maturity Price : 17.90
Evaluated at bid price : 17.90
Bid-YTW : 5.93 %
CM.PR.R FixedReset Prem 100,166 YTW SCENARIO
Maturity Type : Call
Maturity Date : 2022-07-31
Maturity Price : 25.00
Evaluated at bid price : 25.03
Bid-YTW : 3.05 %
TD.PF.C FixedReset Disc 85,548 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-03-31
Maturity Price : 22.24
Evaluated at bid price : 22.66
Bid-YTW : 5.08 %
There were 48 other index-included issues trading in excess of 10,000 shares.
Wide Spread Highlights
Issue Index Quote Data and Yield Notes
BAM.PR.K Floater Quote: 14.18 – 15.50
Spot Rate : 1.3200
Average : 0.8219

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-03-31
Maturity Price : 14.18
Evaluated at bid price : 14.18
Bid-YTW : 3.33 %

PVS.PR.G SplitShare Quote: 25.30 – 26.30
Spot Rate : 1.0000
Average : 0.6042

YTW SCENARIO
Maturity Type : Option Certainty
Maturity Date : 2026-02-28
Maturity Price : 25.00
Evaluated at bid price : 25.30
Bid-YTW : 4.68 %

PVS.PR.J SplitShare Quote: 24.00 – 25.00
Spot Rate : 1.0000
Average : 0.6155

YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2028-02-29
Maturity Price : 25.00
Evaluated at bid price : 24.00
Bid-YTW : 5.28 %

CU.PR.J Perpetual-Premium Quote: 23.30 – 24.50
Spot Rate : 1.2000
Average : 0.8309

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-03-31
Maturity Price : 22.91
Evaluated at bid price : 23.30
Bid-YTW : 5.13 %

PVS.PR.F SplitShare Quote: 25.90 – 26.97
Spot Rate : 1.0700
Average : 0.7507

YTW SCENARIO
Maturity Type : Call
Maturity Date : 2022-09-30
Maturity Price : 25.50
Evaluated at bid price : 25.90
Bid-YTW : 2.14 %

BAM.PF.G FixedReset Disc Quote: 22.41 – 23.50
Spot Rate : 1.0900
Average : 0.7968

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-03-31
Maturity Price : 22.03
Evaluated at bid price : 22.41
Bid-YTW : 5.47 %

March 30, 2022

Wednesday, March 30th, 2022

PerpetualDiscounts now yield 5.19%, equivalent to 6.75% interest at the standard equivalency factor of 1.3x. Long corporates now yield 4.45%, so the pre-tax interest-equivalent spread (in this context, the “Seniority Spread”) has narrowed sharply to 230bp from the 250bp reported March 23.

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 % 3.73 % 26,699 19.68 1 1.2887 % 2,799.2
FixedFloater 0.00 % 0.00 % 0 0.00 0 0.2841 % 5,247.3
Floater 3.35 % 3.35 % 61,934 18.87 3 0.2841 % 3,024.0
OpRet 0.00 % 0.00 % 0 0.00 0 -0.2701 % 3,634.0
SplitShare 4.68 % 4.45 % 29,711 3.42 8 -0.2701 % 4,339.8
Interest-Bearing 0.00 % 0.00 % 0 0.00 0 -0.2701 % 3,386.1
Perpetual-Premium 5.36 % -1.08 % 61,677 0.09 17 -0.1191 % 3,176.2
Perpetual-Discount 5.14 % 5.19 % 69,305 15.12 16 -0.0940 % 3,596.3
FixedReset Disc 4.14 % 5.18 % 116,947 15.11 46 0.5169 % 2,740.4
Insurance Straight 5.19 % 5.08 % 89,221 15.17 18 -0.0164 % 3,458.4
FloatingReset 3.12 % 3.45 % 44,834 18.62 2 0.1140 % 2,851.3
FixedReset Prem 4.77 % 3.77 % 145,640 1.98 23 0.3031 % 2,694.8
FixedReset Bank Non 0.00 % 0.00 % 0 0.00 0 0.5169 % 2,801.3
FixedReset Ins Non 4.20 % 5.16 % 77,887 15.32 15 0.3695 % 2,857.5
Performance Highlights
Issue Index Change Notes
EMA.PR.L Perpetual-Discount -1.97 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-03-30
Maturity Price : 22.07
Evaluated at bid price : 22.38
Bid-YTW : 5.19 %
PWF.PR.T FixedReset Disc -1.80 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-03-30
Maturity Price : 22.60
Evaluated at bid price : 22.95
Bid-YTW : 5.23 %
CU.PR.E Perpetual-Discount -1.13 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-03-30
Maturity Price : 23.34
Evaluated at bid price : 23.63
Bid-YTW : 5.23 %
PWF.PR.Z Perpetual-Premium -1.00 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-03-30
Maturity Price : 24.41
Evaluated at bid price : 24.70
Bid-YTW : 5.29 %
RY.PR.H FixedReset Disc 1.02 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-03-30
Maturity Price : 22.32
Evaluated at bid price : 22.71
Bid-YTW : 5.05 %
TRP.PR.A FixedReset Disc 1.13 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-03-30
Maturity Price : 17.90
Evaluated at bid price : 17.90
Bid-YTW : 5.92 %
SLF.PR.H FixedReset Ins Non 1.20 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-03-30
Maturity Price : 21.10
Evaluated at bid price : 21.10
Bid-YTW : 5.01 %
BAM.PF.H FixedReset Prem 1.20 % YTW SCENARIO
Maturity Type : Call
Maturity Date : 2025-12-31
Maturity Price : 25.00
Evaluated at bid price : 26.14
Bid-YTW : 3.70 %
TRP.PR.D FixedReset Disc 1.21 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-03-30
Maturity Price : 20.20
Evaluated at bid price : 20.20
Bid-YTW : 5.84 %
TRP.PR.E FixedReset Disc 1.23 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-03-30
Maturity Price : 19.91
Evaluated at bid price : 19.91
Bid-YTW : 5.83 %
RS.PR.A SplitShare 1.26 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-12-31
Maturity Price : 10.00
Evaluated at bid price : 10.45
Bid-YTW : 3.91 %
TRP.PR.G FixedReset Disc 1.26 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-03-30
Maturity Price : 22.01
Evaluated at bid price : 22.43
Bid-YTW : 5.54 %
BAM.PR.T FixedReset Disc 1.33 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-03-30
Maturity Price : 20.57
Evaluated at bid price : 20.57
Bid-YTW : 5.81 %
BAM.PF.B FixedReset Disc 1.38 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-03-30
Maturity Price : 22.40
Evaluated at bid price : 22.71
Bid-YTW : 5.52 %
FTS.PR.H FixedReset Disc 1.41 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-03-30
Maturity Price : 16.50
Evaluated at bid price : 16.50
Bid-YTW : 5.38 %
TD.PF.J FixedReset Prem 1.47 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-03-30
Maturity Price : 24.56
Evaluated at bid price : 24.90
Bid-YTW : 5.20 %
PWF.PR.P FixedReset Disc 1.53 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-03-30
Maturity Price : 16.60
Evaluated at bid price : 16.60
Bid-YTW : 5.47 %
BAM.PR.E Ratchet 1.55 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-03-30
Maturity Price : 25.00
Evaluated at bid price : 19.65
Bid-YTW : 3.73 %
IFC.PR.C FixedReset Disc 1.63 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-03-30
Maturity Price : 22.31
Evaluated at bid price : 23.00
Bid-YTW : 5.08 %
BAM.PF.G FixedReset Disc 1.81 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-03-30
Maturity Price : 22.06
Evaluated at bid price : 22.45
Bid-YTW : 5.46 %
MFC.PR.F FixedReset Ins Non 2.01 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-03-30
Maturity Price : 17.25
Evaluated at bid price : 17.25
Bid-YTW : 5.11 %
BAM.PR.Z FixedReset Disc 2.08 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-03-30
Maturity Price : 23.94
Evaluated at bid price : 24.50
Bid-YTW : 5.49 %
SLF.PR.G FixedReset Ins Non 2.11 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-03-30
Maturity Price : 16.95
Evaluated at bid price : 16.95
Bid-YTW : 5.16 %
BAM.PF.F FixedReset Disc 2.14 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-03-30
Maturity Price : 22.44
Evaluated at bid price : 22.90
Bid-YTW : 5.59 %
TRP.PR.C FixedReset Disc 2.52 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-03-30
Maturity Price : 15.00
Evaluated at bid price : 15.00
Bid-YTW : 5.88 %
Volume Highlights
Issue Index Shares
Traded
Notes
TD.PF.B FixedReset Disc 147,600 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-03-30
Maturity Price : 22.21
Evaluated at bid price : 22.54
Bid-YTW : 5.13 %
CM.PR.S FixedReset Disc 108,600 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-03-30
Maturity Price : 23.66
Evaluated at bid price : 24.23
Bid-YTW : 5.00 %
PVS.PR.I SplitShare 50,347 YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-10-31
Maturity Price : 25.00
Evaluated at bid price : 25.01
Bid-YTW : 4.85 %
BMO.PR.C FixedReset Prem 48,700 YTW SCENARIO
Maturity Type : Call
Maturity Date : 2022-05-25
Maturity Price : 25.00
Evaluated at bid price : 25.14
Bid-YTW : 3.50 %
GWO.PR.Y Insurance Straight 39,900 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-03-30
Maturity Price : 22.15
Evaluated at bid price : 22.50
Bid-YTW : 5.01 %
TD.PF.A FixedReset Disc 39,800 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-03-30
Maturity Price : 22.17
Evaluated at bid price : 22.52
Bid-YTW : 5.08 %
There were 16 other index-included issues trading in excess of 10,000 shares.
Wide Spread Highlights
Issue Index Quote Data and Yield Notes
PWF.PR.T FixedReset Disc Quote: 22.95 – 23.95
Spot Rate : 1.0000
Average : 0.7444

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-03-30
Maturity Price : 22.60
Evaluated at bid price : 22.95
Bid-YTW : 5.23 %

RY.PR.J FixedReset Disc Quote: 23.55 – 24.15
Spot Rate : 0.6000
Average : 0.3819

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-03-30
Maturity Price : 22.73
Evaluated at bid price : 23.55
Bid-YTW : 5.13 %

CU.PR.E Perpetual-Discount Quote: 23.63 – 24.50
Spot Rate : 0.8700
Average : 0.6965

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-03-30
Maturity Price : 23.34
Evaluated at bid price : 23.63
Bid-YTW : 5.23 %

TD.PF.C FixedReset Disc Quote: 22.65 – 23.25
Spot Rate : 0.6000
Average : 0.4438

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-03-30
Maturity Price : 22.23
Evaluated at bid price : 22.65
Bid-YTW : 5.08 %

MFC.PR.K FixedReset Ins Non Quote: 23.01 – 23.68
Spot Rate : 0.6700
Average : 0.5262

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-03-30
Maturity Price : 22.59
Evaluated at bid price : 23.01
Bid-YTW : 5.06 %

BMO.PR.W FixedReset Disc Quote: 22.55 – 22.99
Spot Rate : 0.4400
Average : 0.3064

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-03-30
Maturity Price : 22.18
Evaluated at bid price : 22.55
Bid-YTW : 5.07 %

March 29, 2022

Tuesday, March 29th, 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 3.26 % 3.81 % 27,022 19.55 1 -1.8219 % 2,763.6
FixedFloater 0.00 % 0.00 % 0 0.00 0 -0.0237 % 5,232.4
Floater 3.36 % 3.35 % 62,499 18.86 3 -0.0237 % 3,015.5
OpRet 0.00 % 0.00 % 0 0.00 0 0.4836 % 3,643.9
SplitShare 4.67 % 4.44 % 29,807 3.37 8 0.4836 % 4,351.6
Interest-Bearing 0.00 % 0.00 % 0 0.00 0 0.4836 % 3,395.3
Perpetual-Premium 5.36 % -3.63 % 61,873 0.09 17 0.2083 % 3,179.9
Perpetual-Discount 5.13 % 5.17 % 69,478 15.17 16 0.2503 % 3,599.7
FixedReset Disc 4.16 % 5.17 % 118,163 15.12 46 0.8037 % 2,726.3
Insurance Straight 5.18 % 5.05 % 90,577 15.19 18 -0.2545 % 3,458.9
FloatingReset 3.13 % 3.43 % 42,609 18.67 2 -0.5667 % 2,848.1
FixedReset Prem 4.78 % 4.05 % 148,367 1.99 23 0.2421 % 2,686.7
FixedReset Bank Non 0.00 % 0.00 % 0 0.00 0 0.8037 % 2,786.9
FixedReset Ins Non 4.22 % 5.18 % 77,318 15.34 15 0.0733 % 2,847.0
Performance Highlights
Issue Index Change Notes
SLF.PR.E Insurance Straight -2.09 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-03-29
Maturity Price : 22.25
Evaluated at bid price : 22.52
Bid-YTW : 5.01 %
SLF.PR.C Insurance Straight -1.84 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-03-29
Maturity Price : 22.12
Evaluated at bid price : 22.40
Bid-YTW : 4.98 %
BAM.PR.E Ratchet -1.82 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-03-29
Maturity Price : 25.00
Evaluated at bid price : 19.40
Bid-YTW : 3.81 %
SLF.PR.G FixedReset Ins Non -1.78 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-03-29
Maturity Price : 16.60
Evaluated at bid price : 16.60
Bid-YTW : 5.26 %
SLF.PR.J FloatingReset -1.71 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-03-29
Maturity Price : 17.25
Evaluated at bid price : 17.25
Bid-YTW : 2.81 %
SLF.PR.D Insurance Straight -1.67 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-03-29
Maturity Price : 22.12
Evaluated at bid price : 22.40
Bid-YTW : 4.98 %
EMA.PR.L Perpetual-Discount -1.17 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-03-29
Maturity Price : 22.50
Evaluated at bid price : 22.83
Bid-YTW : 5.09 %
PWF.PF.A Perpetual-Discount -1.10 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-03-29
Maturity Price : 22.21
Evaluated at bid price : 22.52
Bid-YTW : 5.06 %
TRP.PR.D FixedReset Disc 1.00 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-03-29
Maturity Price : 20.20
Evaluated at bid price : 20.20
Bid-YTW : 5.92 %
BAM.PR.R FixedReset Disc 1.05 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-03-29
Maturity Price : 19.19
Evaluated at bid price : 19.19
Bid-YTW : 5.72 %
TRP.PR.A FixedReset Disc 1.09 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-03-29
Maturity Price : 17.70
Evaluated at bid price : 17.70
Bid-YTW : 5.99 %
BMO.PR.T FixedReset Disc 1.09 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-03-29
Maturity Price : 22.07
Evaluated at bid price : 22.35
Bid-YTW : 5.12 %
CM.PR.Q FixedReset Disc 1.11 % YTW SCENARIO
Maturity Type : Call
Maturity Date : 2025-07-31
Maturity Price : 25.00
Evaluated at bid price : 23.65
Bid-YTW : 4.85 %
BMO.PR.W FixedReset Disc 1.26 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-03-29
Maturity Price : 22.16
Evaluated at bid price : 22.51
Bid-YTW : 5.08 %
NA.PR.S FixedReset Disc 1.29 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-03-29
Maturity Price : 23.23
Evaluated at bid price : 23.55
Bid-YTW : 5.08 %
BIP.PR.A FixedReset Disc 1.29 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-03-29
Maturity Price : 22.72
Evaluated at bid price : 23.55
Bid-YTW : 5.94 %
BMO.PR.Y FixedReset Disc 1.46 % YTW SCENARIO
Maturity Type : Call
Maturity Date : 2025-08-25
Maturity Price : 25.00
Evaluated at bid price : 23.60
Bid-YTW : 4.97 %
RY.PR.M FixedReset Disc 1.60 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-03-29
Maturity Price : 22.29
Evaluated at bid price : 22.86
Bid-YTW : 5.09 %
CU.PR.E Perpetual-Discount 1.70 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-03-29
Maturity Price : 23.63
Evaluated at bid price : 23.90
Bid-YTW : 5.17 %
BAM.PF.E FixedReset Disc 1.70 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-03-29
Maturity Price : 20.90
Evaluated at bid price : 20.90
Bid-YTW : 5.70 %
TD.PF.E FixedReset Disc 2.03 % YTW SCENARIO
Maturity Type : Call
Maturity Date : 2025-10-31
Maturity Price : 25.00
Evaluated at bid price : 23.62
Bid-YTW : 5.12 %
FTS.PR.K FixedReset Disc 2.23 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-03-29
Maturity Price : 20.65
Evaluated at bid price : 20.65
Bid-YTW : 5.42 %
TD.PF.D FixedReset Disc 2.33 % YTW SCENARIO
Maturity Type : Call
Maturity Date : 2025-07-31
Maturity Price : 25.00
Evaluated at bid price : 23.70
Bid-YTW : 5.10 %
PVS.PR.F SplitShare 2.36 % YTW SCENARIO
Maturity Type : Call
Maturity Date : 2022-09-30
Maturity Price : 25.50
Evaluated at bid price : 26.00
Bid-YTW : 1.34 %
CU.PR.J Perpetual-Premium 2.44 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-03-29
Maturity Price : 22.70
Evaluated at bid price : 23.05
Bid-YTW : 5.19 %
TRP.PR.G FixedReset Disc 3.02 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-03-29
Maturity Price : 21.81
Evaluated at bid price : 22.15
Bid-YTW : 5.61 %
PWF.PR.P FixedReset Disc 3.81 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-03-29
Maturity Price : 16.35
Evaluated at bid price : 16.35
Bid-YTW : 5.55 %
Volume Highlights
Issue Index Shares
Traded
Notes
BAM.PR.Z FixedReset Disc 384,850 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-03-29
Maturity Price : 23.37
Evaluated at bid price : 24.00
Bid-YTW : 5.60 %
TD.PF.C FixedReset Disc 202,180 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-03-29
Maturity Price : 22.20
Evaluated at bid price : 22.60
Bid-YTW : 5.10 %
TRP.PR.B FixedReset Disc 109,830 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-03-29
Maturity Price : 13.43
Evaluated at bid price : 13.43
Bid-YTW : 6.21 %
TRP.PR.A FixedReset Disc 94,200 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-03-29
Maturity Price : 17.70
Evaluated at bid price : 17.70
Bid-YTW : 5.99 %
IFC.PR.K Perpetual-Premium 86,315 YTW SCENARIO
Maturity Type : Call
Maturity Date : 2031-03-31
Maturity Price : 25.00
Evaluated at bid price : 25.20
Bid-YTW : 5.20 %
PVS.PR.K SplitShare 84,700 YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2029-05-31
Maturity Price : 25.00
Evaluated at bid price : 24.95
Bid-YTW : 4.50 %
There were 32 other index-included issues trading in excess of 10,000 shares.
Wide Spread Highlights
Issue Index Quote Data and Yield Notes
SLF.PR.H FixedReset Ins Non Quote: 20.85 – 23.50
Spot Rate : 2.6500
Average : 1.8497

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-03-29
Maturity Price : 20.85
Evaluated at bid price : 20.85
Bid-YTW : 5.06 %

BAM.PF.G FixedReset Disc Quote: 22.05 – 23.20
Spot Rate : 1.1500
Average : 0.7771

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-03-29
Maturity Price : 21.77
Evaluated at bid price : 22.05
Bid-YTW : 5.57 %

TRP.PR.A FixedReset Disc Quote: 17.70 – 18.50
Spot Rate : 0.8000
Average : 0.5014

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-03-29
Maturity Price : 17.70
Evaluated at bid price : 17.70
Bid-YTW : 5.99 %

PVS.PR.F SplitShare Quote: 26.00 – 27.00
Spot Rate : 1.0000
Average : 0.7302

YTW SCENARIO
Maturity Type : Call
Maturity Date : 2022-09-30
Maturity Price : 25.50
Evaluated at bid price : 26.00
Bid-YTW : 1.34 %

BAM.PF.F FixedReset Disc Quote: 22.42 – 23.14
Spot Rate : 0.7200
Average : 0.5208

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-03-29
Maturity Price : 22.11
Evaluated at bid price : 22.42
Bid-YTW : 5.72 %

IFC.PR.C FixedReset Disc Quote: 22.63 – 23.30
Spot Rate : 0.6700
Average : 0.4752

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-03-29
Maturity Price : 22.08
Evaluated at bid price : 22.63
Bid-YTW : 5.17 %

March 28, 2022

Monday, March 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 3.19 % 3.71 % 27,022 19.67 1 0.0000 % 2,814.9
FixedFloater 0.00 % 0.00 % 0 0.00 0 0.4756 % 5,233.6
Floater 3.36 % 3.35 % 63,209 18.88 3 0.4756 % 3,016.2
OpRet 0.00 % 0.00 % 0 0.00 0 -0.0592 % 3,626.3
SplitShare 4.69 % 4.46 % 29,953 3.37 8 -0.0592 % 4,330.6
Interest-Bearing 0.00 % 0.00 % 0 0.00 0 -0.0592 % 3,378.9
Perpetual-Premium 5.37 % -3.81 % 59,489 0.09 17 -0.5401 % 3,173.3
Perpetual-Discount 5.15 % 5.22 % 68,693 15.11 16 -0.8538 % 3,590.7
FixedReset Disc 4.19 % 5.22 % 116,934 15.19 46 0.3482 % 2,704.6
Insurance Straight 5.17 % 5.05 % 90,139 15.19 18 -0.5734 % 3,467.8
FloatingReset 3.11 % 3.45 % 42,961 18.63 2 -0.3670 % 2,864.3
FixedReset Prem 4.79 % 4.23 % 145,445 2.04 23 -0.2671 % 2,680.2
FixedReset Bank Non 0.00 % 0.00 % 0 0.00 0 0.3482 % 2,764.7
FixedReset Ins Non 4.22 % 5.18 % 77,555 15.28 15 -0.6377 % 2,844.9
Performance Highlights
Issue Index Change Notes
CU.PR.J Perpetual-Premium -4.86 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-03-28
Maturity Price : 22.15
Evaluated at bid price : 22.50
Bid-YTW : 5.32 %
CU.PR.E Perpetual-Discount -3.09 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-03-28
Maturity Price : 23.20
Evaluated at bid price : 23.50
Bid-YTW : 5.25 %
MFC.PR.C Insurance Straight -2.56 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-03-28
Maturity Price : 22.55
Evaluated at bid price : 22.80
Bid-YTW : 4.96 %
TD.PF.E FixedReset Disc -2.49 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-03-28
Maturity Price : 22.46
Evaluated at bid price : 23.15
Bid-YTW : 5.31 %
BAM.PF.F FixedReset Disc -2.07 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-03-28
Maturity Price : 21.98
Evaluated at bid price : 22.25
Bid-YTW : 5.76 %
TD.PF.D FixedReset Disc -1.95 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-03-28
Maturity Price : 22.49
Evaluated at bid price : 23.16
Bid-YTW : 5.26 %
SLF.PR.C Insurance Straight -1.85 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-03-28
Maturity Price : 22.56
Evaluated at bid price : 22.82
Bid-YTW : 4.88 %
FTS.PR.M FixedReset Disc -1.85 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-03-28
Maturity Price : 21.45
Evaluated at bid price : 21.80
Bid-YTW : 5.50 %
BMO.PR.Y FixedReset Disc -1.82 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-03-28
Maturity Price : 22.54
Evaluated at bid price : 23.26
Bid-YTW : 5.11 %
MFC.PR.N FixedReset Ins Non -1.79 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-03-28
Maturity Price : 21.52
Evaluated at bid price : 21.90
Bid-YTW : 5.22 %
SLF.PR.G FixedReset Ins Non -1.74 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-03-28
Maturity Price : 16.90
Evaluated at bid price : 16.90
Bid-YTW : 5.17 %
EMA.PR.L Perpetual-Discount -1.74 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-03-28
Maturity Price : 22.73
Evaluated at bid price : 23.10
Bid-YTW : 5.02 %
MFC.PR.K FixedReset Ins Non -1.73 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-03-28
Maturity Price : 22.31
Evaluated at bid price : 22.70
Bid-YTW : 5.13 %
MFC.PR.B Insurance Straight -1.66 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-03-28
Maturity Price : 22.84
Evaluated at bid price : 23.12
Bid-YTW : 5.05 %
MFC.PR.M FixedReset Ins Non -1.54 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-03-28
Maturity Price : 22.03
Evaluated at bid price : 22.35
Bid-YTW : 5.22 %
FTS.PR.K FixedReset Disc -1.46 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-03-28
Maturity Price : 20.20
Evaluated at bid price : 20.20
Bid-YTW : 5.54 %
MFC.PR.L FixedReset Ins Non -1.36 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-03-28
Maturity Price : 21.38
Evaluated at bid price : 21.70
Bid-YTW : 5.20 %
TRP.PR.A FixedReset Disc -1.35 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-03-28
Maturity Price : 17.51
Evaluated at bid price : 17.51
Bid-YTW : 6.05 %
BAM.PF.C Perpetual-Discount -1.29 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-03-28
Maturity Price : 22.66
Evaluated at bid price : 22.90
Bid-YTW : 5.31 %
FTS.PR.H FixedReset Disc -1.28 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-03-28
Maturity Price : 16.20
Evaluated at bid price : 16.20
Bid-YTW : 5.47 %
IFC.PR.G FixedReset Ins Non -1.23 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-03-28
Maturity Price : 23.53
Evaluated at bid price : 24.00
Bid-YTW : 5.19 %
MFC.PR.Q FixedReset Ins Non -1.20 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-03-28
Maturity Price : 24.21
Evaluated at bid price : 24.60
Bid-YTW : 5.07 %
IFC.PR.C FixedReset Disc -1.18 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-03-28
Maturity Price : 22.02
Evaluated at bid price : 22.53
Bid-YTW : 5.20 %
SLF.PR.E Insurance Straight -1.16 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-03-28
Maturity Price : 22.71
Evaluated at bid price : 23.00
Bid-YTW : 4.90 %
BAM.PR.R FixedReset Disc -1.15 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-03-28
Maturity Price : 18.99
Evaluated at bid price : 18.99
Bid-YTW : 5.78 %
CU.PR.F Perpetual-Discount -1.11 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-03-28
Maturity Price : 22.02
Evaluated at bid price : 22.25
Bid-YTW : 5.10 %
MFC.PR.J FixedReset Ins Non -1.05 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-03-28
Maturity Price : 24.02
Evaluated at bid price : 24.50
Bid-YTW : 5.15 %
POW.PR.C Perpetual-Premium 1.18 % YTW SCENARIO
Maturity Type : Call
Maturity Date : 2022-04-27
Maturity Price : 25.00
Evaluated at bid price : 25.65
Bid-YTW : -26.94 %
IFC.PR.A FixedReset Ins Non 2.67 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-03-28
Maturity Price : 20.02
Evaluated at bid price : 20.02
Bid-YTW : 5.19 %
TRP.PR.G FixedReset Disc 74.94 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-03-28
Maturity Price : 21.50
Evaluated at bid price : 21.50
Bid-YTW : 5.79 %
Volume Highlights
Issue Index Shares
Traded
Notes
PVS.PR.K SplitShare 104,680 YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2029-05-31
Maturity Price : 25.00
Evaluated at bid price : 24.91
Bid-YTW : 4.53 %
TRP.PR.K FixedReset Prem 60,200 YTW SCENARIO
Maturity Type : Call
Maturity Date : 2022-05-31
Maturity Price : 25.00
Evaluated at bid price : 25.17
Bid-YTW : 3.34 %
FTS.PR.M FixedReset Disc 54,500 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-03-28
Maturity Price : 21.45
Evaluated at bid price : 21.80
Bid-YTW : 5.50 %
IFC.PR.E Insurance Straight 38,504 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-03-28
Maturity Price : 24.61
Evaluated at bid price : 24.90
Bid-YTW : 5.23 %
BAM.PR.X FixedReset Disc 37,300 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-03-28
Maturity Price : 18.49
Evaluated at bid price : 18.49
Bid-YTW : 5.76 %
GWO.PR.Y Insurance Straight 20,640 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-03-28
Maturity Price : 22.04
Evaluated at bid price : 22.35
Bid-YTW : 5.04 %
There were 13 other index-included issues trading in excess of 10,000 shares.
Wide Spread Highlights
Issue Index Quote Data and Yield Notes
CU.PR.J Perpetual-Premium Quote: 22.50 – 24.00
Spot Rate : 1.5000
Average : 0.9152

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-03-28
Maturity Price : 22.15
Evaluated at bid price : 22.50
Bid-YTW : 5.32 %

TRP.PR.D FixedReset Disc Quote: 20.00 – 21.50
Spot Rate : 1.5000
Average : 1.1126

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-03-28
Maturity Price : 20.00
Evaluated at bid price : 20.00
Bid-YTW : 5.98 %

BAM.PR.T FixedReset Disc Quote: 20.30 – 21.35
Spot Rate : 1.0500
Average : 0.6918

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-03-28
Maturity Price : 20.30
Evaluated at bid price : 20.30
Bid-YTW : 5.88 %

TD.PF.D FixedReset Disc Quote: 23.16 – 24.24
Spot Rate : 1.0800
Average : 0.7403

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-03-28
Maturity Price : 22.49
Evaluated at bid price : 23.16
Bid-YTW : 5.26 %

MFC.PR.K FixedReset Ins Non Quote: 22.70 – 23.70
Spot Rate : 1.0000
Average : 0.6629

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-03-28
Maturity Price : 22.31
Evaluated at bid price : 22.70
Bid-YTW : 5.13 %

POW.PR.D Perpetual-Discount Quote: 23.92 – 24.60
Spot Rate : 0.6800
Average : 0.4461

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-03-28
Maturity Price : 23.65
Evaluated at bid price : 23.92
Bid-YTW : 5.23 %

PVS.PR.K Soft on Moderate Volume

Sunday, March 27th, 2022

Partners Value Split Corp. has announced:

the completion of its previously announced issue of 6,000,000 Class AA Preferred Shares, Series 13 (the “Series 13 Preferred Shares”) at an offering price of $25.00 per Series 13 Preferred Share, raising gross proceeds of $150,000,000. The Series 13 Preferred Shares carry quarterly fixed cumulative preferential dividends representing a 4.45% annualized yield on the offering price and have a final maturity of May 31, 2029. The Series 13 Preferred Shares have been listed and posted for trading on the Toronto Stock Exchange under the symbol PVS.PR.K. The net proceeds of the offering will be used by the Company to pay a special dividend on the Company’s capital shares.

Prior to the closing of the offering, the Company subdivided the existing capital shares held by Partners Value Investments Inc. so that there are an equal number of preferred shares and capital shares outstanding.

PVS.PR.K is a SplitShare, 4.45%, 7-year issue announced 2022-3-17. It will be tracked by HIMIPref™ and has been added to the SplitShare subindex. Neither the press release nor anything on SEDAR mentions their screw-up with the definition of the ‘Series 13 Redemption Date’, let alone clarifying the issue. Naturally, given the uselessness of the company administration, my ‘phone call asking for clarification has not been returned.

The issue traded 329,875 shares in a range of 24.80-91 before closing at 24.80-85. Vital Statistics are:

PVS.PR.K SplitShare YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2029-05-31
Maturity Price : 25.00
Evaluated at bid price : 24.80
Bid-YTW : 4.60 %

March 25, 2022

Friday, March 25th, 2022

Wild day on the markets today. A speech by Sharon Kozicki was important:

Bank of Canada deputy governor Sharon Kozicki hinted on Friday that a half-percentage point interest rate increase may be on the table for the central bank’s upcoming rate decision in mid-April.

In her first speech since joining the central bank’s governing council last summer, Ms. Kozicki said that the central bank was “prepared to act forcefully” to bring high inflation under control. She also argued that Canadian households are better prepared to manage rising interest rates than they were during the last rate hike cycle in 2017 and 2018.

“I expect the pace and magnitude of interest rate increases and the start of [quantitative tightening] to be active parts of our deliberations at our next decision in April,” she said in a keynote speech delivered to the Federal Reserve Bank of San Francisco’s monetary policy conference. Quantitative tightening refers to the central bank shrinking its holdings of government bonds.

“The reasons are straightforward: inflation in Canada is too high, labour markets are tight and there is considerable momentum in demand,” she said.

This adds to the hawkish talk that started the week.

And so bad things happened for bonds today:

Canadian and U.S. government bond yields jumped on Friday, with the benchmark U.S. 10-year note surging to nearly three-year highs, as the market grappled with high inflation and increasingly hawkish central bank commentary. The TSX and S&P 500 closed higher, but the Nasdaq – which is particularly sensitive to rising bond yields – closed lower.

The Canadian dollar saw its ninth consecutive day of gains, its longest winning streak since August 2016, ending the week above 80 cents US.

Closely followed five-year bond yields in Canada – influential in the setting of fixed mortgage rates – took out their 2018 peaks and hit their highest levels since 2011. The five-year was fetching 2.503% by late afternoon, up 21 basis points for the day.

Canada’s 2-year yield soared 19.5 basis points to 2.337%, its highest level since November 2018.

21bp on the five-year! That’s unfathomable! That’s getting pretty close to a $1 price move (on $100 par value) and in my days as a bond-guy, I got pretty interested when the five-year moved $0.25!

So here’s a little graph of the changes in GOC-5 yield over 21 weeks, taken from just before the millennium:


Click for Big

The data for that graph are taken from the Bank of Canada lookup page, for weekly (Wednesday) measurements. The change measured for March 23, 2022 (which is the change from October 27, 2021) is 0.78; so that’s already near the extreme right-end of the histogram in the +0.75% to +1.00% bin; there’s only 31 observations in that one.

But last Wednesday’s measure was a mere 2.20%. If we substitute today’s close of 2.51%, the change would be 1.09%, moving the data point into the +1.00% to +1.25% bin; there’s only two, count ’em, two observations of that much of 21-week gain over the nearly 23 year period (which, admittedly, has seen a significant overall decline through the period; the two periods of note were the ones ending 2002-3-27 and 2002-4-3; the single observation with a change of greater than 125% was the period ended 2009-6-10). This is wild.

Assiduous Reader Frank asked today:

5y GOC rate are climbing but rate reset are plunging. I don’t understand why. Could it be they move too high too fast and are now returning to equilibirum ?

To which I shake my head and tell you that I don’t know and I don’t think anyone else really knows either, although there will be some (like the institutional traders at the big brokerages) with more insight than most because they’re talking to the players all day.

One thing worth mentioning is that market prices are set by the marginal buyers and sellers and in the Canadian preferred share market, these guys are more marginal than usual because there is very little institutional presence in our tiny little retail market; even in our market, volumes have been anemic for over six months, never having recovered from the summer lull, let alone the traditional August deadness.

It could be just a few brokers deciding that Yields Up = Fixed Income Bad and since Preferred Shares = Fixed Income then Preferred Shares = Bad; this is considered to be mind-boggling quantitative investment analysis on the Street. It could be a reprise of those bleak days of spring, 1994: when the morning’s news was bad, the market went down because, of course, bad news means you should sell; when the morning’s news was good, the market went down because the good news meant that the market was stronger than it would be in the future, so you should sell now and beat the rush.

Me, I’m just enjoying the fact that the volatility will keep investors away from the market, increasing the juicy liquidity premium I enjoy for putting up with the volatility.

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 % 3.70 % 28,051 19.69 1 0.1013 % 2,814.9
FixedFloater 0.00 % 0.00 % 0 0.00 0 -0.1662 % 5,208.9
Floater 3.37 % 3.37 % 63,965 18.82 3 -0.1662 % 3,001.9
OpRet 0.00 % 0.00 % 0 0.00 0 0.0703 % 3,632.6
SplitShare 4.72 % 4.46 % 30,414 3.38 7 0.0703 % 4,338.1
Interest-Bearing 0.00 % 0.00 % 0 0.00 0 0.0703 % 3,384.7
Perpetual-Premium 5.34 % -1.44 % 58,617 0.08 17 -0.0837 % 3,190.6
Perpetual-Discount 5.10 % 5.13 % 69,102 15.19 16 -0.2635 % 3,621.6
FixedReset Disc 4.21 % 5.18 % 117,028 15.10 46 -0.8278 % 2,695.2
Insurance Straight 5.14 % 5.06 % 91,258 15.20 18 -0.6802 % 3,487.8
FloatingReset 3.10 % 3.44 % 42,817 18.67 2 0.1131 % 2,874.9
FixedReset Prem 4.78 % 3.82 % 147,556 2.00 23 -0.5060 % 2,687.4
FixedReset Bank Non 0.00 % 0.00 % 0 0.00 0 -0.8278 % 2,755.1
FixedReset Ins Non 4.19 % 5.13 % 78,462 15.43 15 -0.5796 % 2,863.2
Performance Highlights
Issue Index Change Notes
PWF.PR.P FixedReset Disc -8.00 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-03-25
Maturity Price : 15.75
Evaluated at bid price : 15.75
Bid-YTW : 5.75 %
IFC.PR.A FixedReset Ins Non -2.99 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-03-25
Maturity Price : 19.50
Evaluated at bid price : 19.50
Bid-YTW : 5.33 %
RY.PR.Z FixedReset Disc -2.78 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-03-25
Maturity Price : 22.13
Evaluated at bid price : 22.40
Bid-YTW : 5.10 %
IAF.PR.B Insurance Straight -2.23 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-03-25
Maturity Price : 22.92
Evaluated at bid price : 23.19
Bid-YTW : 4.97 %
SLF.PR.D Insurance Straight -2.13 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-03-25
Maturity Price : 22.71
Evaluated at bid price : 23.00
Bid-YTW : 4.84 %
IFC.PR.C FixedReset Disc -1.94 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-03-25
Maturity Price : 22.19
Evaluated at bid price : 22.80
Bid-YTW : 5.13 %
TRP.PR.C FixedReset Disc -1.93 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-03-25
Maturity Price : 14.71
Evaluated at bid price : 14.71
Bid-YTW : 6.04 %
TD.PF.B FixedReset Disc -1.74 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-03-25
Maturity Price : 22.23
Evaluated at bid price : 22.57
Bid-YTW : 5.12 %
TD.PF.K FixedReset Disc -1.70 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-03-25
Maturity Price : 23.99
Evaluated at bid price : 24.34
Bid-YTW : 5.20 %
SLF.PR.E Insurance Straight -1.61 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-03-25
Maturity Price : 23.00
Evaluated at bid price : 23.27
Bid-YTW : 4.84 %
BMO.PR.S FixedReset Disc -1.52 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-03-25
Maturity Price : 22.46
Evaluated at bid price : 22.75
Bid-YTW : 5.16 %
SLF.PR.C Insurance Straight -1.40 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-03-25
Maturity Price : 22.98
Evaluated at bid price : 23.25
Bid-YTW : 4.79 %
TRP.PR.A FixedReset Disc -1.39 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-03-25
Maturity Price : 17.75
Evaluated at bid price : 17.75
Bid-YTW : 5.97 %
BIP.PR.B FixedReset Prem -1.37 % YTW SCENARIO
Maturity Type : Call
Maturity Date : 2025-12-31
Maturity Price : 25.00
Evaluated at bid price : 26.00
Bid-YTW : 4.34 %
BIP.PR.A FixedReset Disc -1.35 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-03-25
Maturity Price : 22.65
Evaluated at bid price : 23.43
Bid-YTW : 5.97 %
MFC.PR.N FixedReset Ins Non -1.33 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-03-25
Maturity Price : 21.97
Evaluated at bid price : 22.30
Bid-YTW : 5.13 %
MFC.PR.F FixedReset Ins Non -1.32 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-03-25
Maturity Price : 17.17
Evaluated at bid price : 17.17
Bid-YTW : 5.13 %
RY.PR.M FixedReset Disc -1.31 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-03-25
Maturity Price : 22.12
Evaluated at bid price : 22.60
Bid-YTW : 5.15 %
RY.PR.H FixedReset Disc -1.31 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-03-25
Maturity Price : 22.25
Evaluated at bid price : 22.60
Bid-YTW : 5.08 %
MFC.PR.M FixedReset Ins Non -1.30 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-03-25
Maturity Price : 22.28
Evaluated at bid price : 22.70
Bid-YTW : 5.13 %
TD.PF.C FixedReset Disc -1.27 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-03-25
Maturity Price : 22.20
Evaluated at bid price : 22.61
Bid-YTW : 5.09 %
TRP.PR.D FixedReset Disc -1.24 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-03-25
Maturity Price : 19.99
Evaluated at bid price : 19.99
Bid-YTW : 5.98 %
TD.PF.E FixedReset Disc -1.21 % YTW SCENARIO
Maturity Type : Call
Maturity Date : 2025-10-31
Maturity Price : 25.00
Evaluated at bid price : 23.74
Bid-YTW : 4.95 %
BAM.PF.B FixedReset Disc -1.20 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-03-25
Maturity Price : 22.09
Evaluated at bid price : 22.32
Bid-YTW : 5.61 %
MFC.PR.B Insurance Straight -1.18 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-03-25
Maturity Price : 23.21
Evaluated at bid price : 23.51
Bid-YTW : 4.96 %
CM.PR.Y FixedReset Prem -1.17 % YTW SCENARIO
Maturity Type : Call
Maturity Date : 2024-07-31
Maturity Price : 25.00
Evaluated at bid price : 25.67
Bid-YTW : 3.76 %
RY.PR.J FixedReset Disc -1.17 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-03-25
Maturity Price : 22.77
Evaluated at bid price : 23.62
Bid-YTW : 5.11 %
TD.PF.D FixedReset Disc -1.13 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-03-25
Maturity Price : 22.74
Evaluated at bid price : 23.62
Bid-YTW : 5.14 %
CU.PR.C FixedReset Disc -1.12 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-03-25
Maturity Price : 22.30
Evaluated at bid price : 23.05
Bid-YTW : 5.26 %
PWF.PR.K Perpetual-Discount -1.11 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-03-25
Maturity Price : 23.71
Evaluated at bid price : 23.98
Bid-YTW : 5.23 %
TD.PF.L FixedReset Prem -1.11 % YTW SCENARIO
Maturity Type : Call
Maturity Date : 2024-04-30
Maturity Price : 25.00
Evaluated at bid price : 25.83
Bid-YTW : 3.94 %
NA.PR.S FixedReset Disc -1.06 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-03-25
Maturity Price : 22.93
Evaluated at bid price : 23.25
Bid-YTW : 5.14 %
TD.PF.A FixedReset Disc -1.06 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-03-25
Maturity Price : 22.11
Evaluated at bid price : 22.43
Bid-YTW : 5.10 %
TD.PF.J FixedReset Prem -1.04 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-03-25
Maturity Price : 24.37
Evaluated at bid price : 24.75
Bid-YTW : 5.22 %
CU.PR.E Perpetual-Discount 1.04 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-03-25
Maturity Price : 24.00
Evaluated at bid price : 24.25
Bid-YTW : 5.09 %
BAM.PR.Z FixedReset Disc 1.04 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-03-25
Maturity Price : 23.65
Evaluated at bid price : 24.25
Bid-YTW : 5.54 %
CM.PR.Q FixedReset Disc 1.48 % YTW SCENARIO
Maturity Type : Call
Maturity Date : 2025-07-31
Maturity Price : 25.00
Evaluated at bid price : 23.51
Bid-YTW : 5.02 %
CM.PR.O FixedReset Disc 1.83 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-03-25
Maturity Price : 21.95
Evaluated at bid price : 22.19
Bid-YTW : 5.18 %
Volume Highlights
Issue Index Shares
Traded
Notes
CM.PR.P FixedReset Disc 101,185 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-03-25
Maturity Price : 22.15
Evaluated at bid price : 22.53
Bid-YTW : 5.03 %
BAM.PR.Z FixedReset Disc 85,800 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-03-25
Maturity Price : 23.65
Evaluated at bid price : 24.25
Bid-YTW : 5.54 %
TRP.PR.K FixedReset Prem 60,300 YTW SCENARIO
Maturity Type : Call
Maturity Date : 2022-05-31
Maturity Price : 25.00
Evaluated at bid price : 25.16
Bid-YTW : 3.41 %
TD.PF.M FixedReset Prem 58,970 YTW SCENARIO
Maturity Type : Call
Maturity Date : 2024-07-31
Maturity Price : 25.00
Evaluated at bid price : 26.00
Bid-YTW : 3.67 %
FTS.PR.M FixedReset Disc 50,400 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-03-25
Maturity Price : 21.94
Evaluated at bid price : 22.21
Bid-YTW : 5.40 %
CM.PR.R FixedReset Prem 31,603 YTW SCENARIO
Maturity Type : Call
Maturity Date : 2022-07-31
Maturity Price : 25.00
Evaluated at bid price : 25.00
Bid-YTW : 3.25 %
There were 17 other index-included issues trading in excess of 10,000 shares.
Wide Spread Highlights
Issue Index Quote Data and Yield Notes
BAM.PR.K Floater Quote: 14.00 – 15.50
Spot Rate : 1.5000
Average : 0.8673

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-03-25
Maturity Price : 14.00
Evaluated at bid price : 14.00
Bid-YTW : 3.37 %

IFC.PR.A FixedReset Ins Non Quote: 19.50 – 21.25
Spot Rate : 1.7500
Average : 1.1451

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-03-25
Maturity Price : 19.50
Evaluated at bid price : 19.50
Bid-YTW : 5.33 %

TRP.PR.G FixedReset Disc Quote: 12.29 – 22.62
Spot Rate : 10.3300
Average : 9.7507

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-03-25
Maturity Price : 12.29
Evaluated at bid price : 12.29
Bid-YTW : 9.84 %

PWF.PR.P FixedReset Disc Quote: 15.75 – 17.30
Spot Rate : 1.5500
Average : 0.9775

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-03-25
Maturity Price : 15.75
Evaluated at bid price : 15.75
Bid-YTW : 5.75 %

BAM.PR.C Floater Quote: 13.99 – 15.00
Spot Rate : 1.0100
Average : 0.6020

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-03-25
Maturity Price : 13.99
Evaluated at bid price : 13.99
Bid-YTW : 3.37 %

BAM.PF.B FixedReset Disc Quote: 22.32 – 23.50
Spot Rate : 1.1800
Average : 0.9884

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-03-25
Maturity Price : 22.09
Evaluated at bid price : 22.32
Bid-YTW : 5.61 %

March 24, 2022

Thursday, March 24th, 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 3.19 % 3.71 % 29,202 19.70 1 0.3559 % 2,812.0
FixedFloater 0.00 % 0.00 % 0 0.00 0 -0.3077 % 5,217.5
Floater 3.37 % 3.36 % 64,885 18.84 3 -0.3077 % 3,006.9
OpRet 0.00 % 0.00 % 0 0.00 0 -0.1404 % 3,630.0
SplitShare 4.72 % 4.45 % 30,575 3.39 7 -0.1404 % 4,335.0
Interest-Bearing 0.00 % 0.00 % 0 0.00 0 -0.1404 % 3,382.3
Perpetual-Premium 5.34 % -4.52 % 59,348 0.08 17 -0.0279 % 3,193.2
Perpetual-Discount 5.09 % 5.14 % 69,362 15.17 16 -0.1063 % 3,631.2
FixedReset Disc 4.17 % 4.87 % 119,440 15.58 46 -0.6830 % 2,717.7
Insurance Straight 5.11 % 4.90 % 92,167 15.24 18 -0.3492 % 3,511.6
FloatingReset 3.10 % 3.45 % 42,117 18.65 2 -0.2537 % 2,871.6
FixedReset Prem 4.76 % 3.72 % 144,406 1.98 23 -0.1803 % 2,701.0
FixedReset Bank Non 0.00 % 0.00 % 0 0.00 0 -0.6830 % 2,778.1
FixedReset Ins Non 4.17 % 4.79 % 79,607 15.92 15 -0.6866 % 2,879.8
Performance Highlights
Issue Index Change Notes
CM.PR.O FixedReset Disc -4.26 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-03-24
Maturity Price : 21.61
Evaluated at bid price : 22.02
Bid-YTW : 5.00 %
CM.PR.Q FixedReset Disc -2.67 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-03-24
Maturity Price : 22.61
Evaluated at bid price : 23.36
Bid-YTW : 4.92 %
GWO.PR.Y Insurance Straight -2.20 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-03-24
Maturity Price : 21.96
Evaluated at bid price : 22.25
Bid-YTW : 5.06 %
BAM.PR.Z FixedReset Disc -2.04 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-03-24
Maturity Price : 23.37
Evaluated at bid price : 24.00
Bid-YTW : 5.30 %
BAM.PF.A FixedReset Disc -1.83 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-03-24
Maturity Price : 23.76
Evaluated at bid price : 24.15
Bid-YTW : 5.23 %
MFC.PR.L FixedReset Ins Non -1.79 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-03-24
Maturity Price : 21.59
Evaluated at bid price : 22.00
Bid-YTW : 4.83 %
TD.PF.E FixedReset Disc -1.72 % YTW SCENARIO
Maturity Type : Call
Maturity Date : 2025-10-31
Maturity Price : 25.00
Evaluated at bid price : 24.03
Bid-YTW : 4.58 %
TD.PF.D FixedReset Disc -1.69 % YTW SCENARIO
Maturity Type : Call
Maturity Date : 2025-07-31
Maturity Price : 25.00
Evaluated at bid price : 23.89
Bid-YTW : 4.82 %
IAF.PR.I FixedReset Ins Non -1.53 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-03-24
Maturity Price : 24.06
Evaluated at bid price : 24.52
Bid-YTW : 4.99 %
TD.PF.A FixedReset Disc -1.52 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-03-24
Maturity Price : 22.27
Evaluated at bid price : 22.67
Bid-YTW : 4.77 %
SLF.PR.G FixedReset Ins Non -1.43 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-03-24
Maturity Price : 17.25
Evaluated at bid price : 17.25
Bid-YTW : 4.74 %
MFC.PR.C Insurance Straight -1.35 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-03-24
Maturity Price : 23.17
Evaluated at bid price : 23.43
Bid-YTW : 4.82 %
BMO.PR.E FixedReset Prem -1.27 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-03-24
Maturity Price : 23.60
Evaluated at bid price : 24.80
Bid-YTW : 4.85 %
MFC.PR.K FixedReset Ins Non -1.27 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-03-24
Maturity Price : 22.88
Evaluated at bid price : 23.31
Bid-YTW : 4.69 %
MFC.PR.J FixedReset Ins Non -1.24 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-03-24
Maturity Price : 24.34
Evaluated at bid price : 24.75
Bid-YTW : 4.81 %
TRP.PR.D FixedReset Disc -1.22 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-03-24
Maturity Price : 20.24
Evaluated at bid price : 20.24
Bid-YTW : 5.59 %
PWF.PR.T FixedReset Disc -1.14 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-03-24
Maturity Price : 23.12
Evaluated at bid price : 23.48
Bid-YTW : 4.83 %
GWO.PR.I Insurance Straight -1.10 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-03-24
Maturity Price : 22.12
Evaluated at bid price : 22.40
Bid-YTW : 5.03 %
TRP.PR.E FixedReset Disc -1.09 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-03-24
Maturity Price : 20.01
Evaluated at bid price : 20.01
Bid-YTW : 5.57 %
BMO.PR.T FixedReset Disc -1.02 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-03-24
Maturity Price : 22.02
Evaluated at bid price : 22.28
Bid-YTW : 4.85 %
PWF.PR.L Perpetual-Discount -1.01 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-03-24
Maturity Price : 24.21
Evaluated at bid price : 24.50
Bid-YTW : 5.27 %
BIP.PR.B FixedReset Prem 1.58 % YTW SCENARIO
Maturity Type : Call
Maturity Date : 2025-12-31
Maturity Price : 25.00
Evaluated at bid price : 26.36
Bid-YTW : 3.92 %
Volume Highlights
Issue Index Shares
Traded
Notes
BMO.PR.C FixedReset Prem 56,420 YTW SCENARIO
Maturity Type : Call
Maturity Date : 2022-05-25
Maturity Price : 25.00
Evaluated at bid price : 25.13
Bid-YTW : 3.40 %
NA.PR.S FixedReset Disc 52,582 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-03-24
Maturity Price : 23.18
Evaluated at bid price : 23.50
Bid-YTW : 4.81 %
RY.PR.M FixedReset Disc 47,700 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-03-24
Maturity Price : 22.31
Evaluated at bid price : 22.90
Bid-YTW : 4.83 %
SLF.PR.H FixedReset Ins Non 40,000 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-03-24
Maturity Price : 20.95
Evaluated at bid price : 20.95
Bid-YTW : 4.78 %
MFC.PR.N FixedReset Ins Non 37,800 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-03-24
Maturity Price : 22.18
Evaluated at bid price : 22.60
Bid-YTW : 4.79 %
TD.PF.L FixedReset Prem 36,675 YTW SCENARIO
Maturity Type : Call
Maturity Date : 2024-04-30
Maturity Price : 25.00
Evaluated at bid price : 26.12
Bid-YTW : 3.36 %
There were 17 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 – 23.35
Spot Rate : 11.0600
Average : 9.1154

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-03-24
Maturity Price : 12.29
Evaluated at bid price : 12.29
Bid-YTW : 9.45 %

BIP.PR.A FixedReset Disc Quote: 23.75 – 25.80
Spot Rate : 2.0500
Average : 1.2050

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-03-24
Maturity Price : 22.82
Evaluated at bid price : 23.75
Bid-YTW : 5.64 %

SLF.PR.H FixedReset Ins Non Quote: 20.95 – 23.50
Spot Rate : 2.5500
Average : 2.1654

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-03-24
Maturity Price : 20.95
Evaluated at bid price : 20.95
Bid-YTW : 4.78 %

BAM.PF.A FixedReset Disc Quote: 24.15 – 25.05
Spot Rate : 0.9000
Average : 0.5563

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-03-24
Maturity Price : 23.76
Evaluated at bid price : 24.15
Bid-YTW : 5.23 %

CM.PR.Q FixedReset Disc Quote: 23.36 – 24.23
Spot Rate : 0.8700
Average : 0.5977

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-03-24
Maturity Price : 22.61
Evaluated at bid price : 23.36
Bid-YTW : 4.92 %

BAM.PF.G FixedReset Disc Quote: 22.05 – 23.50
Spot Rate : 1.4500
Average : 1.1845

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-03-24
Maturity Price : 21.77
Evaluated at bid price : 22.05
Bid-YTW : 5.30 %

BPO.PR.E : No Conversion to FloatingReset

Thursday, March 24th, 2022

Brookfield Office Properties Inc. (“Brookfield”), a subsidiary of Brookfield Property Partners L.P., has announced:

that after having taken into account all election notices received by the March 15, 2022 deadline for the conversion of the Class AAA Preference Shares, Series EE (the “Series EE Shares”) (TSX: BPO.PR.E) into Class AAA Preference Shares, Series FF (the “Series FF Shares”), the holders of Series EE Shares are not entitled to convert their Series EE Shares into Series FF Shares. There were 122,460 Series EE Shares tendered for conversion, which is less than the one million shares required to give effect to conversions into Series FF Shares.

The Series EE Shares will pay on a quarterly basis, for the five-year period beginning on April 1, 2022, as and when declared by the board of directors of Brookfield, a fixed dividend based on an annual dividend rate of 5.496% ($0.3435 per share per quarter).

BPO.PR.E was issued as a FixedReset, 5.10%+396M510, that commenced trading 2017-2-17 after being announced 2017-2-9. It is tracked by HIMIPref™ but relegated to the Scraps index on credit concerns. The issue reset to 5.496% in 2022.

BPO.PR.P : No Conversion to FloatingReset

Thursday, March 24th, 2022

Brookfield Office Properties Inc. (“Brookfield”), a subsidiary of Brookfield Property Partners L.P. has announced:

that after having taken into account all election notices received by the March 15, 2022 deadline for the conversion of the Class AAA Preference Shares, Series P (the “Series P Shares”) (TSX: BPO.PR.P) into Class AAA Preference Shares, Series Q (the “Series Q Shares”), the holders of Series P Shares are not entitled to convert their Series P Shares into Series Q Shares. There were 118,948 Series P Shares tendered for conversion, which is less than the one million shares required to give effect to conversions into Series Q Shares.

The Series P Shares will pay on a quarterly basis, for the five-year period beginning on April 1, 2022, as and when declared by the board of directors of Brookfield, a fixed dividend based on an annual dividend rate of 4.536% ($0.2835 per share per quarter).

BPO.PR.P was issued as a FixedReset, 5.15%+300, that commenced trading 2010-10-21 after being announced 2010-10-13. The issue reset to 4.161% in 2016; I recommended against conversion; and there was no conversion. The issue reset to 4.536% in 2022.

SBC.PR.A To Be Extended

Thursday, March 24th, 2022

Brompton Funds has announced:

As a result of strong performance, Brompton Split Banc Corp. (the “Company”) is pleased to announce that the board of directors has approved an extension of the maturity date of the Class A and Preferred shares of the Company for an additional 5-year term to November 29, 2027. The reset preferred share dividend rate for the extended term will be announced at least 60 days prior to the original November 29, 2022 maturity date and will be based on market yields for preferred shares with similar terms at that time.

The term extension allows Class A shareholders to continue to invest in the Canadian bank sector with an attractive distribution rate of 8.4% based on the March 22, 2022 closing price and the opportunity for capital appreciation. Canadian banks continue to offer attractive dividend yields and return on equity. As well, the extension of the term of the Company is not a taxable event and enables shareholders to defer potential capital gains tax liability that would have otherwise been realized on the redemption of the Class A shares or Preferred Shares at the end of the term, until such time as such shares are disposed of by shareholders.

Since inception in November 2005 to February 28, 2022, the Class A shares have delivered a 13.2% per annum total return, outperforming the S&P/TSX Capped Financials Index by 3.8% per annum and the S&P/TSX Composite Index by 5.8% per annum.(1) Since inception to February 28, 2022, Class A shareholders have received cash distributions of $19.15 per share. Class A shareholders also have the option to reinvest their cash distributions in a dividend reinvestment plan which is commission free to participants.

The term extension offers Preferred shareholders the opportunity to enjoy preferential cash dividends until November 29, 2027. Since inception, the Preferred shares have delivered a 5.1% per annum total return, outperforming the S&P/TSX Preferred Share Index by 2.2% per annum with lower volatility.(1)

Brompton Split Banc Corp. invests, on an approximately equal weighted basis in a portfolio consisting of common shares of the six largest Canadian banks (currently, Bank of Montreal, Canadian Imperial Bank of Commerce, National Bank of Canada, Royal Bank of Canada, The Bank of Nova Scotia and The TorontoDominion Bank). In addition, the Company may hold up to 10% of the total assets of the Portfolio in investments in global financial companies for the purposes of enhanced diversification and return potential.