PrefBlog

Month: May 2022

  • May 31, 2022

    TXPR closed at 653.68, up 1.31% on the day. Volume today was 2.82-million, highest of the past 21 trading days.

    CPD closed at 12.89, up 0.86% on the day. Volume was 90,270, above the median of the past 21 trading days.

    ZPR closed at 10.75 up 0.66% on the day. Volume of 288,710 was well above the median of the past 21 trading days.

    Five-year Canada yields were up to 2.76% today.

    Canadian GDP disappointed:

    Canada’s economic growth slowed in the first quarter of 2022, but an acceleration in demand showed why the Bank of Canada is unlikely to deviate from its course of rapid interest rate hikes.

    After adjusting for inflation, gross domestic product grew at an annualized pace of 3.1 per cent, slowing from 6.6 per cent in the fourth quarter of 2021, Statistics Canada said on Tuesday. While that growth was in line with the central bank’s expectations, it fell short of the median estimate from Bay Street analysts, who called for growth of 5.2 per cent.
    …
    Compensation of employees rose 3.8 per cent in the first quarter in nominal terms, following a 2-per-cent rise in the fourth quarter. It was the largest growth in compensation since 1981, excluding the third quarter of 2020, when the country was rebounding from the first wave of COVID-19.

    Canadians also hung on to more of their money. The household savings rate rose to 8.1 per cent from 6.9 per cent – and far above the quarterly average of 3.4 per cent during the 2010s.
    …
    This cycle of monetary policy tightening has already led to weaker sales and falling prices in many of Canada’s exuberant housing markets.

    However, that shift hadn’t yet materialized in Tuesday’s GDP report. Investment in residential real estate jumped by 18 per cent, on an annualized basis, driven by expenditures on renovations and costs associated with home purchases.

    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 3.95 % 4.58 % 15,362 18.16 1 0.5556 % 2,578.4
    FixedFloater 0.00 % 0.00 % 0 0.00 0 -1.3957 % 4,945.4
    Floater 4.17 % 4.18 % 40,244 16.97 3 -1.3957 % 2,850.1
    OpRet 0.00 % 0.00 % 0 0.00 0 -0.2333 % 3,517.9
    SplitShare 4.83 % 5.27 % 36,647 3.23 8 -0.2333 % 4,201.1
    Interest-Bearing 0.00 % 0.00 % 0 0.00 0 -0.2333 % 3,277.8
    Perpetual-Premium 5.84 % -0.18 % 65,210 0.08 1 0.5575 % 2,987.8
    Perpetual-Discount 5.61 % 5.69 % 61,821 14.29 35 0.4313 % 3,311.9
    FixedReset Disc 4.43 % 5.57 % 124,164 14.59 58 0.6172 % 2,618.6
    Insurance Straight 5.50 % 5.65 % 94,926 14.33 20 0.5319 % 3,263.5
    FloatingReset 5.11 % 4.57 % 25,556 16.34 2 -6.0153 % 2,498.3
    FixedReset Prem 5.24 % 4.95 % 117,749 2.03 9 0.2749 % 2,607.4
    FixedReset Bank Non 0.00 % 0.00 % 0 0.00 0 0.6172 % 2,676.7
    FixedReset Ins Non 4.40 % 5.62 % 75,565 14.66 15 -0.3431 % 2,727.4
    Performance Highlights
    Issue Index Change Notes
    TRP.PR.F FloatingReset -10.92 % YTW SCENARIO
    Maturity Type : Limit Maturity
    Maturity Date : 2052-05-31
    Maturity Price : 15.01
    Evaluated at bid price : 15.01
    Bid-YTW : 5.66 %
    SLF.PR.H FixedReset Ins Non -6.62 % YTW SCENARIO
    Maturity Type : Limit Maturity
    Maturity Date : 2052-05-31
    Maturity Price : 18.07
    Evaluated at bid price : 18.07
    Bid-YTW : 6.08 %
    BAM.PF.E FixedReset Disc -4.71 % YTW SCENARIO
    Maturity Type : Limit Maturity
    Maturity Date : 2052-05-31
    Maturity Price : 18.40
    Evaluated at bid price : 18.40
    Bid-YTW : 6.84 %
    BAM.PF.D Perpetual-Discount -4.17 % YTW SCENARIO
    Maturity Type : Limit Maturity
    Maturity Date : 2052-05-31
    Maturity Price : 21.59
    Evaluated at bid price : 21.85
    Bid-YTW : 5.70 %
    BAM.PR.R FixedReset Disc -3.42 % YTW SCENARIO
    Maturity Type : Limit Maturity
    Maturity Date : 2052-05-31
    Maturity Price : 17.25
    Evaluated at bid price : 17.25
    Bid-YTW : 6.70 %
    GWO.PR.N FixedReset Ins Non -3.36 % YTW SCENARIO
    Maturity Type : Limit Maturity
    Maturity Date : 2052-05-31
    Maturity Price : 14.11
    Evaluated at bid price : 14.11
    Bid-YTW : 6.24 %
    BAM.PR.K Floater -3.17 % YTW SCENARIO
    Maturity Type : Limit Maturity
    Maturity Date : 2052-05-31
    Maturity Price : 13.13
    Evaluated at bid price : 13.13
    Bid-YTW : 4.32 %
    CM.PR.Q FixedReset Disc -3.08 % YTW SCENARIO
    Maturity Type : Limit Maturity
    Maturity Date : 2052-05-31
    Maturity Price : 21.39
    Evaluated at bid price : 21.71
    Bid-YTW : 5.83 %
    PWF.PR.P FixedReset Disc -2.93 % YTW SCENARIO
    Maturity Type : Limit Maturity
    Maturity Date : 2052-05-31
    Maturity Price : 14.60
    Evaluated at bid price : 14.60
    Bid-YTW : 6.48 %
    RY.PR.M FixedReset Disc -2.55 % YTW SCENARIO
    Maturity Type : Limit Maturity
    Maturity Date : 2052-05-31
    Maturity Price : 21.00
    Evaluated at bid price : 21.00
    Bid-YTW : 5.82 %
    TRP.PR.E FixedReset Disc -2.46 % YTW SCENARIO
    Maturity Type : Limit Maturity
    Maturity Date : 2052-05-31
    Maturity Price : 19.06
    Evaluated at bid price : 19.06
    Bid-YTW : 6.46 %
    IFC.PR.A FixedReset Ins Non -2.21 % YTW SCENARIO
    Maturity Type : Limit Maturity
    Maturity Date : 2052-05-31
    Maturity Price : 19.44
    Evaluated at bid price : 19.44
    Bid-YTW : 5.75 %
    PVS.PR.J SplitShare -1.67 % YTW SCENARIO
    Maturity Type : Hard Maturity
    Maturity Date : 2028-02-29
    Maturity Price : 25.00
    Evaluated at bid price : 23.50
    Bid-YTW : 5.65 %
    RY.PR.S FixedReset Disc -1.64 % YTW SCENARIO
    Maturity Type : Limit Maturity
    Maturity Date : 2052-05-31
    Maturity Price : 23.64
    Evaluated at bid price : 24.00
    Bid-YTW : 5.29 %
    GWO.PR.T Insurance Straight -1.50 % YTW SCENARIO
    Maturity Type : Limit Maturity
    Maturity Date : 2052-05-31
    Maturity Price : 22.66
    Evaluated at bid price : 23.05
    Bid-YTW : 5.67 %
    CM.PR.P FixedReset Disc -1.45 % YTW SCENARIO
    Maturity Type : Limit Maturity
    Maturity Date : 2052-05-31
    Maturity Price : 21.00
    Evaluated at bid price : 21.00
    Bid-YTW : 5.75 %
    CU.PR.D Perpetual-Discount -1.34 % YTW SCENARIO
    Maturity Type : Limit Maturity
    Maturity Date : 2052-05-31
    Maturity Price : 21.40
    Evaluated at bid price : 21.40
    Bid-YTW : 5.76 %
    PVS.PR.K SplitShare -1.25 % YTW SCENARIO
    Maturity Type : Hard Maturity
    Maturity Date : 2029-05-31
    Maturity Price : 25.00
    Evaluated at bid price : 23.75
    Bid-YTW : 5.33 %
    RY.PR.O Perpetual-Discount -1.22 % YTW SCENARIO
    Maturity Type : Limit Maturity
    Maturity Date : 2052-05-31
    Maturity Price : 23.87
    Evaluated at bid price : 24.20
    Bid-YTW : 5.08 %
    BAM.PR.C Floater -1.16 % YTW SCENARIO
    Maturity Type : Limit Maturity
    Maturity Date : 2052-05-31
    Maturity Price : 13.59
    Evaluated at bid price : 13.59
    Bid-YTW : 4.17 %
    PWF.PR.F Perpetual-Discount 1.01 % YTW SCENARIO
    Maturity Type : Limit Maturity
    Maturity Date : 2052-05-31
    Maturity Price : 22.74
    Evaluated at bid price : 23.03
    Bid-YTW : 5.76 %
    TD.PF.K FixedReset Disc 1.04 % YTW SCENARIO
    Maturity Type : Limit Maturity
    Maturity Date : 2052-05-31
    Maturity Price : 23.85
    Evaluated at bid price : 24.25
    Bid-YTW : 5.45 %
    TD.PF.D FixedReset Disc 1.10 % YTW SCENARIO
    Maturity Type : Limit Maturity
    Maturity Date : 2052-05-31
    Maturity Price : 22.42
    Evaluated at bid price : 23.00
    Bid-YTW : 5.51 %
    TD.PF.E FixedReset Disc 1.10 % YTW SCENARIO
    Maturity Type : Limit Maturity
    Maturity Date : 2052-05-31
    Maturity Price : 22.33
    Evaluated at bid price : 22.90
    Bid-YTW : 5.57 %
    BAM.PF.B FixedReset Disc 1.16 % YTW SCENARIO
    Maturity Type : Limit Maturity
    Maturity Date : 2052-05-31
    Maturity Price : 21.45
    Evaluated at bid price : 21.80
    Bid-YTW : 6.10 %
    NA.PR.E FixedReset Disc 1.26 % YTW SCENARIO
    Maturity Type : Limit Maturity
    Maturity Date : 2052-05-31
    Maturity Price : 23.61
    Evaluated at bid price : 24.15
    Bid-YTW : 5.46 %
    POW.PR.B Perpetual-Discount 1.28 % YTW SCENARIO
    Maturity Type : Limit Maturity
    Maturity Date : 2052-05-31
    Maturity Price : 23.53
    Evaluated at bid price : 23.80
    Bid-YTW : 5.69 %
    BAM.PR.X FixedReset Disc 1.29 % YTW SCENARIO
    Maturity Type : Limit Maturity
    Maturity Date : 2052-05-31
    Maturity Price : 18.10
    Evaluated at bid price : 18.10
    Bid-YTW : 6.35 %
    BAM.PR.Z FixedReset Disc 1.29 % YTW SCENARIO
    Maturity Type : Limit Maturity
    Maturity Date : 2052-05-31
    Maturity Price : 23.56
    Evaluated at bid price : 24.25
    Bid-YTW : 5.88 %
    BMO.PR.T FixedReset Disc 1.39 % YTW SCENARIO
    Maturity Type : Limit Maturity
    Maturity Date : 2052-05-31
    Maturity Price : 21.52
    Evaluated at bid price : 21.90
    Bid-YTW : 5.48 %
    FTS.PR.M FixedReset Disc 1.39 % YTW SCENARIO
    Maturity Type : Limit Maturity
    Maturity Date : 2052-05-31
    Maturity Price : 20.40
    Evaluated at bid price : 20.40
    Bid-YTW : 6.16 %
    BAM.PR.N Perpetual-Discount 1.40 % YTW SCENARIO
    Maturity Type : Limit Maturity
    Maturity Date : 2052-05-31
    Maturity Price : 21.49
    Evaluated at bid price : 21.75
    Bid-YTW : 5.54 %
    POW.PR.C Perpetual-Discount 1.40 % YTW SCENARIO
    Maturity Type : Call
    Maturity Date : 2022-06-30
    Maturity Price : 25.00
    Evaluated at bid price : 25.30
    Bid-YTW : 0.08 %
    CM.PR.O FixedReset Disc 1.43 % YTW SCENARIO
    Maturity Type : Limit Maturity
    Maturity Date : 2052-05-31
    Maturity Price : 21.60
    Evaluated at bid price : 22.01
    Bid-YTW : 5.54 %
    RY.PR.J FixedReset Disc 1.45 % YTW SCENARIO
    Maturity Type : Limit Maturity
    Maturity Date : 2052-05-31
    Maturity Price : 22.49
    Evaluated at bid price : 23.08
    Bid-YTW : 5.49 %
    BIP.PR.E FixedReset Disc 1.49 % YTW SCENARIO
    Maturity Type : Limit Maturity
    Maturity Date : 2052-05-31
    Maturity Price : 23.29
    Evaluated at bid price : 23.90
    Bid-YTW : 5.91 %
    CU.PR.F Perpetual-Discount 1.52 % YTW SCENARIO
    Maturity Type : Limit Maturity
    Maturity Date : 2052-05-31
    Maturity Price : 20.65
    Evaluated at bid price : 20.65
    Bid-YTW : 5.48 %
    BMO.PR.Y FixedReset Disc 1.58 % YTW SCENARIO
    Maturity Type : Limit Maturity
    Maturity Date : 2052-05-31
    Maturity Price : 22.09
    Evaluated at bid price : 22.50
    Bid-YTW : 5.55 %
    PWF.PR.L Perpetual-Discount 1.58 % YTW SCENARIO
    Maturity Type : Limit Maturity
    Maturity Date : 2052-05-31
    Maturity Price : 22.22
    Evaluated at bid price : 22.50
    Bid-YTW : 5.72 %
    IFC.PR.K Perpetual-Discount 1.65 % YTW SCENARIO
    Maturity Type : Limit Maturity
    Maturity Date : 2052-05-31
    Maturity Price : 23.03
    Evaluated at bid price : 23.44
    Bid-YTW : 5.70 %
    GWO.PR.P Insurance Straight 1.67 % YTW SCENARIO
    Maturity Type : Limit Maturity
    Maturity Date : 2052-05-31
    Maturity Price : 24.15
    Evaluated at bid price : 24.40
    Bid-YTW : 5.62 %
    IFC.PR.G FixedReset Ins Non 1.68 % YTW SCENARIO
    Maturity Type : Limit Maturity
    Maturity Date : 2052-05-31
    Maturity Price : 23.65
    Evaluated at bid price : 24.15
    Bid-YTW : 5.49 %
    POW.PR.D Perpetual-Discount 1.77 % YTW SCENARIO
    Maturity Type : Limit Maturity
    Maturity Date : 2052-05-31
    Maturity Price : 22.71
    Evaluated at bid price : 23.00
    Bid-YTW : 5.50 %
    SLF.PR.D Insurance Straight 1.82 % YTW SCENARIO
    Maturity Type : Limit Maturity
    Maturity Date : 2052-05-31
    Maturity Price : 21.46
    Evaluated at bid price : 21.46
    Bid-YTW : 5.19 %
    SLF.PR.C Insurance Straight 1.89 % YTW SCENARIO
    Maturity Type : Limit Maturity
    Maturity Date : 2052-05-31
    Maturity Price : 21.20
    Evaluated at bid price : 21.20
    Bid-YTW : 5.25 %
    BAM.PF.A FixedReset Disc 1.90 % YTW SCENARIO
    Maturity Type : Limit Maturity
    Maturity Date : 2052-05-31
    Maturity Price : 23.72
    Evaluated at bid price : 24.15
    Bid-YTW : 5.84 %
    MFC.PR.L FixedReset Ins Non 1.97 % YTW SCENARIO
    Maturity Type : Limit Maturity
    Maturity Date : 2052-05-31
    Maturity Price : 20.70
    Evaluated at bid price : 20.70
    Bid-YTW : 5.75 %
    NA.PR.S FixedReset Disc 2.01 % YTW SCENARIO
    Maturity Type : Limit Maturity
    Maturity Date : 2052-05-31
    Maturity Price : 22.48
    Evaluated at bid price : 22.80
    Bid-YTW : 5.50 %
    CU.PR.E Perpetual-Discount 2.09 % YTW SCENARIO
    Maturity Type : Limit Maturity
    Maturity Date : 2052-05-31
    Maturity Price : 21.70
    Evaluated at bid price : 21.95
    Bid-YTW : 5.60 %
    MFC.PR.J FixedReset Ins Non 2.10 % YTW SCENARIO
    Maturity Type : Limit Maturity
    Maturity Date : 2052-05-31
    Maturity Price : 23.72
    Evaluated at bid price : 24.30
    Bid-YTW : 5.44 %
    CU.PR.J Perpetual-Discount 2.26 % YTW SCENARIO
    Maturity Type : Limit Maturity
    Maturity Date : 2052-05-31
    Maturity Price : 21.27
    Evaluated at bid price : 21.27
    Bid-YTW : 5.62 %
    BMO.PR.W FixedReset Disc 2.36 % YTW SCENARIO
    Maturity Type : Limit Maturity
    Maturity Date : 2052-05-31
    Maturity Price : 21.92
    Evaluated at bid price : 22.16
    Bid-YTW : 5.42 %
    MFC.PR.C Insurance Straight 2.41 % YTW SCENARIO
    Maturity Type : Limit Maturity
    Maturity Date : 2052-05-31
    Maturity Price : 21.25
    Evaluated at bid price : 21.25
    Bid-YTW : 5.31 %
    TD.PF.B FixedReset Disc 2.41 % YTW SCENARIO
    Maturity Type : Limit Maturity
    Maturity Date : 2052-05-31
    Maturity Price : 21.63
    Evaluated at bid price : 22.06
    Bid-YTW : 5.47 %
    IFC.PR.E Insurance Straight 2.42 % YTW SCENARIO
    Maturity Type : Limit Maturity
    Maturity Date : 2052-05-31
    Maturity Price : 22.83
    Evaluated at bid price : 23.25
    Bid-YTW : 5.67 %
    IFC.PR.C FixedReset Disc 2.47 % YTW SCENARIO
    Maturity Type : Limit Maturity
    Maturity Date : 2052-05-31
    Maturity Price : 21.94
    Evaluated at bid price : 22.39
    Bid-YTW : 5.52 %
    TRP.PR.B FixedReset Disc 2.51 % YTW SCENARIO
    Maturity Type : Limit Maturity
    Maturity Date : 2052-05-31
    Maturity Price : 13.48
    Evaluated at bid price : 13.48
    Bid-YTW : 6.59 %
    TRP.PR.A FixedReset Disc 2.58 % YTW SCENARIO
    Maturity Type : Limit Maturity
    Maturity Date : 2052-05-31
    Maturity Price : 17.50
    Evaluated at bid price : 17.50
    Bid-YTW : 6.34 %
    FTS.PR.G FixedReset Disc 3.06 % YTW SCENARIO
    Maturity Type : Limit Maturity
    Maturity Date : 2052-05-31
    Maturity Price : 20.87
    Evaluated at bid price : 20.87
    Bid-YTW : 5.80 %
    RY.PR.Z FixedReset Disc 3.10 % YTW SCENARIO
    Maturity Type : Limit Maturity
    Maturity Date : 2052-05-31
    Maturity Price : 21.80
    Evaluated at bid price : 22.30
    Bid-YTW : 5.37 %
    TRP.PR.C FixedReset Disc 3.19 % YTW SCENARIO
    Maturity Type : Limit Maturity
    Maturity Date : 2052-05-31
    Maturity Price : 14.55
    Evaluated at bid price : 14.55
    Bid-YTW : 6.46 %
    CCS.PR.C Insurance Straight 3.56 % YTW SCENARIO
    Maturity Type : Limit Maturity
    Maturity Date : 2052-05-31
    Maturity Price : 23.03
    Evaluated at bid price : 23.30
    Bid-YTW : 5.35 %
    BAM.PF.G FixedReset Disc 4.33 % YTW SCENARIO
    Maturity Type : Limit Maturity
    Maturity Date : 2052-05-31
    Maturity Price : 21.20
    Evaluated at bid price : 21.20
    Bid-YTW : 6.12 %
    FTS.PR.K FixedReset Disc 4.56 % YTW SCENARIO
    Maturity Type : Limit Maturity
    Maturity Date : 2052-05-31
    Maturity Price : 19.50
    Evaluated at bid price : 19.50
    Bid-YTW : 6.03 %
    FTS.PR.H FixedReset Disc 4.75 % YTW SCENARIO
    Maturity Type : Limit Maturity
    Maturity Date : 2052-05-31
    Maturity Price : 15.45
    Evaluated at bid price : 15.45
    Bid-YTW : 6.08 %
    Volume Highlights
    Issue Index Shares
    Traded    		 Notes
    CM.PR.P FixedReset Disc 135,778 YTW SCENARIO
    Maturity Type : Limit Maturity
    Maturity Date : 2052-05-31
    Maturity Price : 21.00
    Evaluated at bid price : 21.00
    Bid-YTW : 5.75 %
    CM.PR.S FixedReset Disc 51,097 YTW SCENARIO
    Maturity Type : Limit Maturity
    Maturity Date : 2052-05-31
    Maturity Price : 23.49
    Evaluated at bid price : 24.15
    Bid-YTW : 5.34 %
    FTS.PR.M FixedReset Disc 48,849 YTW SCENARIO
    Maturity Type : Limit Maturity
    Maturity Date : 2052-05-31
    Maturity Price : 20.40
    Evaluated at bid price : 20.40
    Bid-YTW : 6.16 %
    TD.PF.C FixedReset Disc 37,162 YTW SCENARIO
    Maturity Type : Limit Maturity
    Maturity Date : 2052-05-31
    Maturity Price : 21.46
    Evaluated at bid price : 21.81
    Bid-YTW : 5.52 %
    CU.PR.I FixedReset Prem 34,841 YTW SCENARIO
    Maturity Type : Call
    Maturity Date : 2025-12-01
    Maturity Price : 25.00
    Evaluated at bid price : 25.30
    Bid-YTW : 4.14 %
    TD.PF.I FixedReset Disc 34,654 YTW SCENARIO
    Maturity Type : Limit Maturity
    Maturity Date : 2052-05-31
    Maturity Price : 24.30
    Evaluated at bid price : 24.90
    Bid-YTW : 5.74 %
    There were 51 other index-included issues trading in excess of 10,000 shares.
    Wide Spread Highlights
    Issue Index Quote Data and Yield Notes
    CU.PR.G Perpetual-Discount Quote: 20.75 – 24.84
    Spot Rate : 4.0900
    Average : 2.4444

    YTW SCENARIO
    Maturity Type : Limit Maturity
    Maturity Date : 2052-05-31
    Maturity Price : 20.75
    Evaluated at bid price : 20.75
    Bid-YTW : 5.46 %
    TRP.PR.F FloatingReset Quote: 15.01 – 17.45
    Spot Rate : 2.4400
    Average : 1.4370

    YTW SCENARIO
    Maturity Type : Limit Maturity
    Maturity Date : 2052-05-31
    Maturity Price : 15.01
    Evaluated at bid price : 15.01
    Bid-YTW : 5.66 %
    IFC.PR.G FixedReset Ins Non Quote: 24.15 – 26.00
    Spot Rate : 1.8500
    Average : 1.0949

    YTW SCENARIO
    Maturity Type : Limit Maturity
    Maturity Date : 2052-05-31
    Maturity Price : 23.65
    Evaluated at bid price : 24.15
    Bid-YTW : 5.49 %
    SLF.PR.D Insurance Straight Quote: 21.46 – 22.99
    Spot Rate : 1.5300
    Average : 0.8915

    YTW SCENARIO
    Maturity Type : Limit Maturity
    Maturity Date : 2052-05-31
    Maturity Price : 21.46
    Evaluated at bid price : 21.46
    Bid-YTW : 5.19 %
    CU.PR.D Perpetual-Discount Quote: 21.40 – 23.75
    Spot Rate : 2.3500
    Average : 1.8200

    YTW SCENARIO
    Maturity Type : Limit Maturity
    Maturity Date : 2052-05-31
    Maturity Price : 21.40
    Evaluated at bid price : 21.40
    Bid-YTW : 5.76 %
    TRP.PR.E FixedReset Disc Quote: 19.06 – 21.00
    Spot Rate : 1.9400
    Average : 1.4113

    YTW SCENARIO
    Maturity Type : Limit Maturity
    Maturity Date : 2052-05-31
    Maturity Price : 19.06
    Evaluated at bid price : 19.06
    Bid-YTW : 6.46 %

  • Research: Convexity (PrefLetter Version)

    Why do I want extra yield for holding a perpetual that is priced near par? I try to explain the rationale in this essay, published as an appendix to the July, 2009, edition of PrefLetter.

    There is a related essay, published in the Canadian Moneysaver of November 2007, that has also been highlighted on PrefBlog.

    Look for the research link!

  • Research: Break-Even Rate Shock (PrefLetter Version)

    Investors will often purchase FixedResets in preference to PerpetualDiscounts because “there is better inflation protection”. In this essay, published as an appendix to the June, 2009, PrefLetter, I attempt to quantify and discuss this effect.

    The related Break-Even Rate Shock Calculator has been published previously, as has the Moneyletter version of this discussion.

    Look for the research link!

  • May 30, 2022

    TXPR closed at 645.24, up 1.06% on the day. Volume today was 1.68-million, above the median of the past 21 trading days.

    CPD closed at 12.78, up 0.79% on the day. Volume was 28,790, lowest of the past 21 trading days.

    ZPR closed at 10.68 up 0.85% on the day. Volume of 88,010 was third-lowest of the past 21 trading days.

    Five-year Canada yields were up to 2.70% today.

    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 3.96 % 4.60 % 16,008 18.15 1 0.0000 % 2,564.2
    FixedFloater 0.00 % 0.00 % 0 0.00 0 0.5416 % 5,015.4
    Floater 4.11 % 4.18 % 39,747 16.98 3 0.5416 % 2,890.4
    OpRet 0.00 % 0.00 % 0 0.00 0 0.4508 % 3,526.1
    SplitShare 4.82 % 5.11 % 36,880 3.23 8 0.4508 % 4,210.9
    Interest-Bearing 0.00 % 0.00 % 0 0.00 0 0.4508 % 3,285.5
    Perpetual-Premium 5.87 % 5.94 % 64,439 13.95 1 -0.7510 % 2,971.3
    Perpetual-Discount 5.63 % 5.73 % 60,232 14.29 35 0.6895 % 3,297.7
    FixedReset Disc 4.46 % 5.65 % 115,555 14.61 58 1.0432 % 2,602.5
    Insurance Straight 5.53 % 5.68 % 89,082 14.30 20 0.7816 % 3,246.3
    FloatingReset 4.80 % 5.04 % 52,527 15.50 2 0.0000 % 2,658.2
    FixedReset Prem 5.07 % 5.10 % 114,777 2.04 9 -0.1063 % 2,600.3
    FixedReset Bank Non 0.00 % 0.00 % 0 0.00 0 1.0432 % 2,660.3
    FixedReset Ins Non 4.39 % 5.61 % 73,195 14.60 15 0.4371 % 2,736.7
    Performance Highlights
    Issue Index Change Notes
    FTS.PR.H FixedReset Disc -2.32 % YTW SCENARIO
    Maturity Type : Limit Maturity
    Maturity Date : 2052-05-30
    Maturity Price : 14.75
    Evaluated at bid price : 14.75
    Bid-YTW : 6.35 %
    RY.PR.N Perpetual-Discount -2.05 % YTW SCENARIO
    Maturity Type : Limit Maturity
    Maturity Date : 2052-05-30
    Maturity Price : 23.58
    Evaluated at bid price : 23.90
    Bid-YTW : 5.14 %
    GWO.PR.Y Insurance Straight -1.49 % YTW SCENARIO
    Maturity Type : Limit Maturity
    Maturity Date : 2052-05-30
    Maturity Price : 20.44
    Evaluated at bid price : 20.44
    Bid-YTW : 5.61 %
    BIP.PR.F FixedReset Prem -1.35 % YTW SCENARIO
    Maturity Type : Limit Maturity
    Maturity Date : 2052-05-30
    Maturity Price : 23.45
    Evaluated at bid price : 23.85
    Bid-YTW : 5.83 %
    GWO.PR.P Insurance Straight 1.01 % YTW SCENARIO
    Maturity Type : Limit Maturity
    Maturity Date : 2052-05-30
    Maturity Price : 23.69
    Evaluated at bid price : 24.00
    Bid-YTW : 5.71 %
    NA.PR.S FixedReset Disc 1.04 % YTW SCENARIO
    Maturity Type : Limit Maturity
    Maturity Date : 2052-05-30
    Maturity Price : 22.12
    Evaluated at bid price : 22.35
    Bid-YTW : 5.62 %
    FTS.PR.M FixedReset Disc 1.05 % YTW SCENARIO
    Maturity Type : Limit Maturity
    Maturity Date : 2052-05-30
    Maturity Price : 20.12
    Evaluated at bid price : 20.12
    Bid-YTW : 6.25 %
    BAM.PF.J FixedReset Disc 1.07 % YTW SCENARIO
    Maturity Type : Limit Maturity
    Maturity Date : 2052-05-30
    Maturity Price : 24.07
    Evaluated at bid price : 24.66
    Bid-YTW : 5.93 %
    POW.PR.B Perpetual-Discount 1.08 % YTW SCENARIO
    Maturity Type : Limit Maturity
    Maturity Date : 2052-05-30
    Maturity Price : 23.20
    Evaluated at bid price : 23.50
    Bid-YTW : 5.77 %
    SLF.PR.C Insurance Straight 1.10 % YTW SCENARIO
    Maturity Type : Limit Maturity
    Maturity Date : 2052-05-30
    Maturity Price : 21.08
    Evaluated at bid price : 21.08
    Bid-YTW : 5.37 %
    TRP.PR.F FloatingReset 1.11 % YTW SCENARIO
    Maturity Type : Limit Maturity
    Maturity Date : 2052-05-30
    Maturity Price : 16.85
    Evaluated at bid price : 16.85
    Bid-YTW : 5.04 %
    TD.PF.E FixedReset Disc 1.12 % YTW SCENARIO
    Maturity Type : Limit Maturity
    Maturity Date : 2052-05-30
    Maturity Price : 22.17
    Evaluated at bid price : 22.65
    Bid-YTW : 5.64 %
    FTS.PR.K FixedReset Disc 1.14 % YTW SCENARIO
    Maturity Type : Limit Maturity
    Maturity Date : 2052-05-30
    Maturity Price : 18.65
    Evaluated at bid price : 18.65
    Bid-YTW : 6.31 %
    GWO.PR.G Insurance Straight 1.17 % YTW SCENARIO
    Maturity Type : Limit Maturity
    Maturity Date : 2052-05-30
    Maturity Price : 23.00
    Evaluated at bid price : 23.27
    Bid-YTW : 5.68 %
    GWO.PR.I Insurance Straight 1.23 % YTW SCENARIO
    Maturity Type : Limit Maturity
    Maturity Date : 2052-05-30
    Maturity Price : 20.50
    Evaluated at bid price : 20.50
    Bid-YTW : 5.59 %
    BIP.PR.B FixedReset Prem 1.25 % YTW SCENARIO
    Maturity Type : Call
    Maturity Date : 2025-12-31
    Maturity Price : 25.00
    Evaluated at bid price : 25.00
    Bid-YTW : 5.39 %
    IFC.PR.G FixedReset Ins Non 1.28 % YTW SCENARIO
    Maturity Type : Limit Maturity
    Maturity Date : 2052-05-30
    Maturity Price : 23.22
    Evaluated at bid price : 23.75
    Bid-YTW : 5.58 %
    MFC.PR.F FixedReset Ins Non 1.30 % YTW SCENARIO
    Maturity Type : Limit Maturity
    Maturity Date : 2052-05-30
    Maturity Price : 15.61
    Evaluated at bid price : 15.61
    Bid-YTW : 5.94 %
    ELF.PR.F Perpetual-Discount 1.30 % YTW SCENARIO
    Maturity Type : Limit Maturity
    Maturity Date : 2052-05-30
    Maturity Price : 23.03
    Evaluated at bid price : 23.30
    Bid-YTW : 5.76 %
    CM.PR.O FixedReset Disc 1.31 % YTW SCENARIO
    Maturity Type : Limit Maturity
    Maturity Date : 2052-05-30
    Maturity Price : 21.38
    Evaluated at bid price : 21.70
    Bid-YTW : 5.63 %
    CU.PR.D Perpetual-Discount 1.36 % YTW SCENARIO
    Maturity Type : Limit Maturity
    Maturity Date : 2052-05-30
    Maturity Price : 21.43
    Evaluated at bid price : 21.69
    Bid-YTW : 5.67 %
    BAM.PF.F FixedReset Disc 1.40 % YTW SCENARIO
    Maturity Type : Limit Maturity
    Maturity Date : 2052-05-30
    Maturity Price : 21.45
    Evaluated at bid price : 21.80
    Bid-YTW : 6.22 %
    BAM.PF.G FixedReset Disc 1.40 % YTW SCENARIO
    Maturity Type : Limit Maturity
    Maturity Date : 2052-05-30
    Maturity Price : 20.32
    Evaluated at bid price : 20.32
    Bid-YTW : 6.38 %
    GWO.PR.H Insurance Straight 1.41 % YTW SCENARIO
    Maturity Type : Limit Maturity
    Maturity Date : 2052-05-30
    Maturity Price : 21.38
    Evaluated at bid price : 21.65
    Bid-YTW : 5.69 %
    TD.PF.J FixedReset Disc 1.43 % YTW SCENARIO
    Maturity Type : Limit Maturity
    Maturity Date : 2052-05-30
    Maturity Price : 24.45
    Evaluated at bid price : 24.85
    Bid-YTW : 5.45 %
    BAM.PF.B FixedReset Disc 1.56 % YTW SCENARIO
    Maturity Type : Limit Maturity
    Maturity Date : 2052-05-30
    Maturity Price : 21.27
    Evaluated at bid price : 21.55
    Bid-YTW : 6.17 %
    PWF.PR.K Perpetual-Discount 1.63 % YTW SCENARIO
    Maturity Type : Limit Maturity
    Maturity Date : 2052-05-30
    Maturity Price : 21.54
    Evaluated at bid price : 21.80
    Bid-YTW : 5.73 %
    CU.PR.F Perpetual-Discount 1.70 % YTW SCENARIO
    Maturity Type : Limit Maturity
    Maturity Date : 2052-05-30
    Maturity Price : 20.34
    Evaluated at bid price : 20.34
    Bid-YTW : 5.57 %
    CM.PR.Q FixedReset Disc 1.82 % YTW SCENARIO
    Maturity Type : Limit Maturity
    Maturity Date : 2052-05-30
    Maturity Price : 22.03
    Evaluated at bid price : 22.40
    Bid-YTW : 5.65 %
    BAM.PF.A FixedReset Disc 1.94 % YTW SCENARIO
    Maturity Type : Limit Maturity
    Maturity Date : 2052-05-30
    Maturity Price : 23.24
    Evaluated at bid price : 23.70
    Bid-YTW : 5.95 %
    GWO.PR.R Insurance Straight 1.95 % YTW SCENARIO
    Maturity Type : Limit Maturity
    Maturity Date : 2052-05-30
    Maturity Price : 21.46
    Evaluated at bid price : 21.46
    Bid-YTW : 5.70 %
    BAM.PR.K Floater 1.95 % YTW SCENARIO
    Maturity Type : Limit Maturity
    Maturity Date : 2052-05-30
    Maturity Price : 13.56
    Evaluated at bid price : 13.56
    Bid-YTW : 4.18 %
    PVS.PR.K SplitShare 1.99 % YTW SCENARIO
    Maturity Type : Hard Maturity
    Maturity Date : 2029-05-31
    Maturity Price : 25.00
    Evaluated at bid price : 24.05
    Bid-YTW : 5.11 %
    TD.PF.D FixedReset Disc 2.02 % YTW SCENARIO
    Maturity Type : Limit Maturity
    Maturity Date : 2052-05-30
    Maturity Price : 22.26
    Evaluated at bid price : 22.75
    Bid-YTW : 5.57 %
    MFC.PR.M FixedReset Ins Non 2.08 % YTW SCENARIO
    Maturity Type : Limit Maturity
    Maturity Date : 2052-05-30
    Maturity Price : 21.14
    Evaluated at bid price : 21.14
    Bid-YTW : 5.79 %
    BMO.PR.T FixedReset Disc 2.08 % YTW SCENARIO
    Maturity Type : Limit Maturity
    Maturity Date : 2052-05-30
    Maturity Price : 21.30
    Evaluated at bid price : 21.60
    Bid-YTW : 5.56 %
    TRP.PR.B FixedReset Disc 2.20 % YTW SCENARIO
    Maturity Type : Limit Maturity
    Maturity Date : 2052-05-30
    Maturity Price : 13.15
    Evaluated at bid price : 13.15
    Bid-YTW : 6.75 %
    SLF.PR.D Insurance Straight 2.40 % YTW SCENARIO
    Maturity Type : Limit Maturity
    Maturity Date : 2052-05-30
    Maturity Price : 21.35
    Evaluated at bid price : 21.35
    Bid-YTW : 5.30 %
    GWO.PR.T Insurance Straight 2.41 % YTW SCENARIO
    Maturity Type : Limit Maturity
    Maturity Date : 2052-05-30
    Maturity Price : 22.96
    Evaluated at bid price : 23.40
    Bid-YTW : 5.58 %
    CU.PR.C FixedReset Disc 2.45 % YTW SCENARIO
    Maturity Type : Limit Maturity
    Maturity Date : 2052-05-30
    Maturity Price : 22.28
    Evaluated at bid price : 23.00
    Bid-YTW : 5.54 %
    RY.PR.O Perpetual-Discount 2.51 % YTW SCENARIO
    Maturity Type : Limit Maturity
    Maturity Date : 2052-05-30
    Maturity Price : 24.17
    Evaluated at bid price : 24.50
    Bid-YTW : 5.02 %
    TRP.PR.E FixedReset Disc 2.52 % YTW SCENARIO
    Maturity Type : Limit Maturity
    Maturity Date : 2052-05-30
    Maturity Price : 19.54
    Evaluated at bid price : 19.54
    Bid-YTW : 6.30 %
    RY.PR.H FixedReset Disc 2.56 % YTW SCENARIO
    Maturity Type : Limit Maturity
    Maturity Date : 2052-05-30
    Maturity Price : 21.59
    Evaluated at bid price : 22.00
    Bid-YTW : 5.47 %
    RY.PR.S FixedReset Disc 2.74 % YTW SCENARIO
    Maturity Type : Limit Maturity
    Maturity Date : 2052-05-30
    Maturity Price : 24.08
    Evaluated at bid price : 24.40
    Bid-YTW : 5.21 %
    CU.PR.G Perpetual-Discount 2.85 % YTW SCENARIO
    Maturity Type : Limit Maturity
    Maturity Date : 2052-05-30
    Maturity Price : 20.55
    Evaluated at bid price : 20.55
    Bid-YTW : 5.51 %
    POW.PR.D Perpetual-Discount 3.20 % YTW SCENARIO
    Maturity Type : Limit Maturity
    Maturity Date : 2052-05-30
    Maturity Price : 22.33
    Evaluated at bid price : 22.60
    Bid-YTW : 5.60 %
    BIP.PR.E FixedReset Disc 3.30 % YTW SCENARIO
    Maturity Type : Limit Maturity
    Maturity Date : 2052-05-30
    Maturity Price : 22.94
    Evaluated at bid price : 23.55
    Bid-YTW : 6.00 %
    CU.PR.H Perpetual-Discount 3.49 % YTW SCENARIO
    Maturity Type : Limit Maturity
    Maturity Date : 2052-05-30
    Maturity Price : 23.38
    Evaluated at bid price : 23.70
    Bid-YTW : 5.56 %
    TRP.PR.G FixedReset Disc 3.83 % YTW SCENARIO
    Maturity Type : Limit Maturity
    Maturity Date : 2052-05-30
    Maturity Price : 21.38
    Evaluated at bid price : 21.70
    Bid-YTW : 5.96 %
    RY.PR.Z FixedReset Disc 4.09 % YTW SCENARIO
    Maturity Type : Limit Maturity
    Maturity Date : 2052-05-30
    Maturity Price : 21.33
    Evaluated at bid price : 21.63
    Bid-YTW : 5.55 %
    BAM.PF.D Perpetual-Discount 4.59 % YTW SCENARIO
    Maturity Type : Limit Maturity
    Maturity Date : 2052-05-30
    Maturity Price : 22.54
    Evaluated at bid price : 22.80
    Bid-YTW : 5.45 %
    TRP.PR.D FixedReset Disc 4.75 % YTW SCENARIO
    Maturity Type : Limit Maturity
    Maturity Date : 2052-05-30
    Maturity Price : 19.85
    Evaluated at bid price : 19.85
    Bid-YTW : 6.31 %
    BMO.PR.W FixedReset Disc 7.98 % YTW SCENARIO
    Maturity Type : Limit Maturity
    Maturity Date : 2052-05-30
    Maturity Price : 21.34
    Evaluated at bid price : 21.65
    Bid-YTW : 5.54 %
    Volume Highlights
    Issue Index Shares
    Traded    		 Notes
    FTS.PR.J Perpetual-Discount 150,950 YTW SCENARIO
    Maturity Type : Limit Maturity
    Maturity Date : 2052-05-30
    Maturity Price : 21.28
    Evaluated at bid price : 21.28
    Bid-YTW : 5.62 %
    MIC.PR.A Perpetual-Discount 121,772 YTW SCENARIO
    Maturity Type : Limit Maturity
    Maturity Date : 2052-05-30
    Maturity Price : 21.55
    Evaluated at bid price : 21.85
    Bid-YTW : 6.28 %
    RY.PR.J FixedReset Disc 77,100 YTW SCENARIO
    Maturity Type : Limit Maturity
    Maturity Date : 2052-05-30
    Maturity Price : 22.28
    Evaluated at bid price : 22.75
    Bid-YTW : 5.58 %
    TD.PF.K FixedReset Disc 69,850 YTW SCENARIO
    Maturity Type : Limit Maturity
    Maturity Date : 2052-05-30
    Maturity Price : 23.57
    Evaluated at bid price : 24.00
    Bid-YTW : 5.51 %
    CM.PR.T FixedReset Prem 50,875 YTW SCENARIO
    Maturity Type : Call
    Maturity Date : 2024-04-30
    Maturity Price : 25.00
    Evaluated at bid price : 25.17
    Bid-YTW : 5.10 %
    PWF.PR.H Perpetual-Discount 50,800 YTW SCENARIO
    Maturity Type : Limit Maturity
    Maturity Date : 2052-05-30
    Maturity Price : 24.46
    Evaluated at bid price : 24.70
    Bid-YTW : 5.88 %
    There were 17 other index-included issues trading in excess of 10,000 shares.
    Wide Spread Highlights
    Issue Index Quote Data and Yield Notes
    MFC.PR.F FixedReset Ins Non Quote: 15.61 – 18.00
    Spot Rate : 2.3900
    Average : 1.5125

    YTW SCENARIO
    Maturity Type : Limit Maturity
    Maturity Date : 2052-05-30
    Maturity Price : 15.61
    Evaluated at bid price : 15.61
    Bid-YTW : 5.94 %
    CU.PR.D Perpetual-Discount Quote: 21.69 – 23.75
    Spot Rate : 2.0600
    Average : 1.2389

    YTW SCENARIO
    Maturity Type : Limit Maturity
    Maturity Date : 2052-05-30
    Maturity Price : 21.43
    Evaluated at bid price : 21.69
    Bid-YTW : 5.67 %
    BAM.PF.A FixedReset Disc Quote: 23.70 – 25.85
    Spot Rate : 2.1500
    Average : 1.3625

    YTW SCENARIO
    Maturity Type : Limit Maturity
    Maturity Date : 2052-05-30
    Maturity Price : 23.24
    Evaluated at bid price : 23.70
    Bid-YTW : 5.95 %
    RY.PR.M FixedReset Disc Quote: 21.55 – 24.50
    Spot Rate : 2.9500
    Average : 2.3731

    YTW SCENARIO
    Maturity Type : Limit Maturity
    Maturity Date : 2052-05-30
    Maturity Price : 21.27
    Evaluated at bid price : 21.55
    Bid-YTW : 5.66 %
    NA.PR.W FixedReset Disc Quote: 21.50 – 24.24
    Spot Rate : 2.7400
    Average : 2.1699

    YTW SCENARIO
    Maturity Type : Limit Maturity
    Maturity Date : 2052-05-30
    Maturity Price : 21.50
    Evaluated at bid price : 21.50
    Bid-YTW : 5.61 %
    GWO.PR.N FixedReset Ins Non Quote: 14.60 – 16.00
    Spot Rate : 1.4000
    Average : 0.9148

    YTW SCENARIO
    Maturity Type : Limit Maturity
    Maturity Date : 2052-05-30
    Maturity Price : 14.60
    Evaluated at bid price : 14.60
    Bid-YTW : 6.05 %

  • May 27, 2022

    There is concern about real wages in Canada:

    Yet while wages for Canadian workers appear to be rising – average hourly pay climbed 3.3 per cent in April from the year before – that’s before soaring consumer prices take their bite. In real (inflation-adjusted) terms, wages in April were down more than 3 per cent from the same period a year ago.

    Explanations for the wage lag vary. Some argue real wage stagnation is because of a delay in employment contracts reflecting the rise in consumer prices. Businesses that rely on low-paid workers may also have been holding off raising wages in anticipation that Ottawa would ease access to temporary foreign workers, which it did last month in a move that critics warned could suppress wages.

    This is well illustrated by a 2015 OECD publication:

    Nevertheless, the picture that emerges from focusing on the private sector is rather similar to the results obtained for the whole economy (Figure 4). The cross-country average labour share in the private sector, excluding agriculture, mining, fuel and real estate, was 69.8 per cent in the G20 countries for which data are available in the early 1990s and 65.9 per cent in 2007. On average the contraction over the period was 0.24 percentage points per year. None of the countries for which data are available experienced a significant trend increase. By contrast, the labour share contracted significantly in more than three-quarters of the countries. Very large falls in the labour share were observed in Australia, Canada and Italy where the decline in the private sector labour share exceeded 5 percentage points. The implication is that, in these countries, labour is obtaining an increasingly smaller share of the priate-sector’s pre-tax revenue.

    I’ve mentioned in the past – but can’t find it – that the increase in capital’s share of GDP relative to labour is thought to have boosted stock market returns considerably since 1970. If this reverses, that will be a stiff headwind indeed for the next few decades of equity market returns.

    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 3.95 % 4.61 % 16,683 18.10 1 0.0000 % 2,564.2
    FixedFloater 0.00 % 0.00 % 0 0.00 0 -0.0984 % 4,988.4
    Floater 4.14 % 4.16 % 41,397 17.03 3 -0.0984 % 2,874.8
    OpRet 0.00 % 0.00 % 0 0.00 0 0.0153 % 3,510.3
    SplitShare 4.85 % 5.16 % 38,370 3.24 8 0.0153 % 4,192.0
    Interest-Bearing 0.00 % 0.00 % 0 0.00 0 0.0153 % 3,270.8
    Perpetual-Premium 5.83 % -3.34 % 64,970 0.08 1 1.2000 % 2,993.7
    Perpetual-Discount 5.67 % 5.77 % 61,267 14.21 35 0.6416 % 3,275.1
    FixedReset Disc 4.50 % 5.67 % 116,975 14.46 58 0.7033 % 2,575.6
    Insurance Straight 5.57 % 5.72 % 87,465 14.22 20 0.8290 % 3,221.1
    FloatingReset 4.65 % 4.98 % 54,466 15.47 2 0.0000 % 2,658.2
    FixedReset Prem 5.07 % 5.31 % 119,001 2.04 9 0.4672 % 2,603.0
    FixedReset Bank Non 0.00 % 0.00 % 0 0.00 0 0.7033 % 2,632.8
    FixedReset Ins Non 4.40 % 5.57 % 70,502 14.61 15 0.8106 % 2,724.8
    Performance Highlights
    Issue Index Change Notes
    RY.PR.Z FixedReset Disc -3.12 % YTW SCENARIO
    Maturity Type : Limit Maturity
    Maturity Date : 2052-05-27
    Maturity Price : 20.78
    Evaluated at bid price : 20.78
    Bid-YTW : 5.75 %
    IAF.PR.B Insurance Straight -2.24 % YTW SCENARIO
    Maturity Type : Limit Maturity
    Maturity Date : 2052-05-27
    Maturity Price : 21.54
    Evaluated at bid price : 21.80
    Bid-YTW : 5.35 %
    POW.PR.D Perpetual-Discount -1.35 % YTW SCENARIO
    Maturity Type : Limit Maturity
    Maturity Date : 2052-05-27
    Maturity Price : 21.65
    Evaluated at bid price : 21.90
    Bid-YTW : 5.78 %
    TRP.PR.E FixedReset Disc -1.24 % YTW SCENARIO
    Maturity Type : Limit Maturity
    Maturity Date : 2052-05-27
    Maturity Price : 19.06
    Evaluated at bid price : 19.06
    Bid-YTW : 6.41 %
    PWF.PR.P FixedReset Disc 1.07 % YTW SCENARIO
    Maturity Type : Limit Maturity
    Maturity Date : 2052-05-27
    Maturity Price : 15.16
    Evaluated at bid price : 15.16
    Bid-YTW : 6.21 %
    BMO.PR.Y FixedReset Disc 1.14 % YTW SCENARIO
    Maturity Type : Limit Maturity
    Maturity Date : 2052-05-27
    Maturity Price : 21.81
    Evaluated at bid price : 22.10
    Bid-YTW : 5.61 %
    PWF.PR.S Perpetual-Discount 1.15 % YTW SCENARIO
    Maturity Type : Limit Maturity
    Maturity Date : 2052-05-27
    Maturity Price : 21.05
    Evaluated at bid price : 21.05
    Bid-YTW : 5.77 %
    BAM.PR.N Perpetual-Discount 1.18 % YTW SCENARIO
    Maturity Type : Limit Maturity
    Maturity Date : 2052-05-27
    Maturity Price : 21.40
    Evaluated at bid price : 21.40
    Bid-YTW : 5.65 %
    PWF.PR.G Perpetual-Premium 1.20 % YTW SCENARIO
    Maturity Type : Call
    Maturity Date : 2022-06-26
    Maturity Price : 25.00
    Evaluated at bid price : 25.30
    Bid-YTW : -3.34 %
    GWO.PR.R Insurance Straight 1.20 % YTW SCENARIO
    Maturity Type : Limit Maturity
    Maturity Date : 2052-05-27
    Maturity Price : 21.05
    Evaluated at bid price : 21.05
    Bid-YTW : 5.80 %
    PWF.PR.O Perpetual-Discount 1.22 % YTW SCENARIO
    Maturity Type : Limit Maturity
    Maturity Date : 2052-05-27
    Maturity Price : 24.64
    Evaluated at bid price : 24.90
    Bid-YTW : 5.88 %
    SLF.PR.C Insurance Straight 1.26 % YTW SCENARIO
    Maturity Type : Limit Maturity
    Maturity Date : 2052-05-27
    Maturity Price : 20.85
    Evaluated at bid price : 20.85
    Bid-YTW : 5.43 %
    TD.PF.A FixedReset Disc 1.27 % YTW SCENARIO
    Maturity Type : Limit Maturity
    Maturity Date : 2052-05-27
    Maturity Price : 21.49
    Evaluated at bid price : 21.49
    Bid-YTW : 5.55 %
    MFC.PR.L FixedReset Ins Non 1.30 % YTW SCENARIO
    Maturity Type : Limit Maturity
    Maturity Date : 2052-05-27
    Maturity Price : 20.20
    Evaluated at bid price : 20.20
    Bid-YTW : 5.84 %
    CM.PR.O FixedReset Disc 1.37 % YTW SCENARIO
    Maturity Type : Limit Maturity
    Maturity Date : 2052-05-27
    Maturity Price : 21.42
    Evaluated at bid price : 21.42
    Bid-YTW : 5.68 %
    MFC.PR.N FixedReset Ins Non 1.37 % YTW SCENARIO
    Maturity Type : Limit Maturity
    Maturity Date : 2052-05-27
    Maturity Price : 20.65
    Evaluated at bid price : 20.65
    Bid-YTW : 5.77 %
    SLF.PR.E Insurance Straight 1.39 % YTW SCENARIO
    Maturity Type : Limit Maturity
    Maturity Date : 2052-05-27
    Maturity Price : 21.15
    Evaluated at bid price : 21.15
    Bid-YTW : 5.41 %
    BAM.PF.F FixedReset Disc 1.42 % YTW SCENARIO
    Maturity Type : Limit Maturity
    Maturity Date : 2052-05-27
    Maturity Price : 21.50
    Evaluated at bid price : 21.50
    Bid-YTW : 6.28 %
    IFC.PR.I Perpetual-Discount 1.42 % YTW SCENARIO
    Maturity Type : Limit Maturity
    Maturity Date : 2052-05-27
    Maturity Price : 23.25
    Evaluated at bid price : 23.60
    Bid-YTW : 5.80 %
    MFC.PR.B Insurance Straight 1.44 % YTW SCENARIO
    Maturity Type : Limit Maturity
    Maturity Date : 2052-05-27
    Maturity Price : 21.15
    Evaluated at bid price : 21.15
    Bid-YTW : 5.51 %
    RY.PR.J FixedReset Disc 1.49 % YTW SCENARIO
    Maturity Type : Limit Maturity
    Maturity Date : 2052-05-27
    Maturity Price : 22.14
    Evaluated at bid price : 22.53
    Bid-YTW : 5.59 %
    BAM.PR.M Perpetual-Discount 1.56 % YTW SCENARIO
    Maturity Type : Limit Maturity
    Maturity Date : 2052-05-27
    Maturity Price : 21.50
    Evaluated at bid price : 21.50
    Bid-YTW : 5.62 %
    MFC.PR.M FixedReset Ins Non 1.62 % YTW SCENARIO
    Maturity Type : Limit Maturity
    Maturity Date : 2052-05-27
    Maturity Price : 20.71
    Evaluated at bid price : 20.71
    Bid-YTW : 5.86 %
    BAM.PR.T FixedReset Disc 1.63 % YTW SCENARIO
    Maturity Type : Limit Maturity
    Maturity Date : 2052-05-27
    Maturity Price : 18.70
    Evaluated at bid price : 18.70
    Bid-YTW : 6.30 %
    CM.PR.Q FixedReset Disc 1.71 % YTW SCENARIO
    Maturity Type : Limit Maturity
    Maturity Date : 2052-05-27
    Maturity Price : 21.74
    Evaluated at bid price : 22.00
    Bid-YTW : 5.72 %
    PWF.PF.A Perpetual-Discount 1.72 % YTW SCENARIO
    Maturity Type : Limit Maturity
    Maturity Date : 2052-05-27
    Maturity Price : 20.75
    Evaluated at bid price : 20.75
    Bid-YTW : 5.49 %
    IFC.PR.G FixedReset Ins Non 1.74 % YTW SCENARIO
    Maturity Type : Limit Maturity
    Maturity Date : 2052-05-27
    Maturity Price : 22.92
    Evaluated at bid price : 23.45
    Bid-YTW : 5.61 %
    PWF.PR.Z Perpetual-Discount 1.77 % YTW SCENARIO
    Maturity Type : Limit Maturity
    Maturity Date : 2052-05-27
    Maturity Price : 22.58
    Evaluated at bid price : 22.95
    Bid-YTW : 5.66 %
    TD.PF.E FixedReset Disc 1.82 % YTW SCENARIO
    Maturity Type : Limit Maturity
    Maturity Date : 2052-05-27
    Maturity Price : 22.01
    Evaluated at bid price : 22.40
    Bid-YTW : 5.67 %
    BMO.PR.S FixedReset Disc 1.83 % YTW SCENARIO
    Maturity Type : Limit Maturity
    Maturity Date : 2052-05-27
    Maturity Price : 21.73
    Evaluated at bid price : 22.20
    Bid-YTW : 5.50 %
    TRP.PR.A FixedReset Disc 1.84 % YTW SCENARIO
    Maturity Type : Limit Maturity
    Maturity Date : 2052-05-27
    Maturity Price : 17.20
    Evaluated at bid price : 17.20
    Bid-YTW : 6.49 %
    CU.PR.E Perpetual-Discount 1.94 % YTW SCENARIO
    Maturity Type : Limit Maturity
    Maturity Date : 2052-05-27
    Maturity Price : 21.50
    Evaluated at bid price : 21.50
    Bid-YTW : 5.73 %
    GWO.PR.I Insurance Straight 1.96 % YTW SCENARIO
    Maturity Type : Limit Maturity
    Maturity Date : 2052-05-27
    Maturity Price : 20.25
    Evaluated at bid price : 20.25
    Bid-YTW : 5.66 %
    GWO.PR.Y Insurance Straight 1.97 % YTW SCENARIO
    Maturity Type : Limit Maturity
    Maturity Date : 2052-05-27
    Maturity Price : 20.75
    Evaluated at bid price : 20.75
    Bid-YTW : 5.52 %
    IFC.PR.A FixedReset Ins Non 1.99 % YTW SCENARIO
    Maturity Type : Limit Maturity
    Maturity Date : 2052-05-27
    Maturity Price : 19.99
    Evaluated at bid price : 19.99
    Bid-YTW : 5.54 %
    PWF.PR.T FixedReset Disc 2.01 % YTW SCENARIO
    Maturity Type : Limit Maturity
    Maturity Date : 2052-05-27
    Maturity Price : 21.33
    Evaluated at bid price : 21.33
    Bid-YTW : 5.87 %
    NA.PR.W FixedReset Disc 2.01 % YTW SCENARIO
    Maturity Type : Limit Maturity
    Maturity Date : 2052-05-27
    Maturity Price : 21.32
    Evaluated at bid price : 21.32
    Bid-YTW : 5.62 %
    FTS.PR.H FixedReset Disc 2.03 % YTW SCENARIO
    Maturity Type : Limit Maturity
    Maturity Date : 2052-05-27
    Maturity Price : 15.10
    Evaluated at bid price : 15.10
    Bid-YTW : 6.16 %
    RY.PR.N Perpetual-Discount 2.09 % YTW SCENARIO
    Maturity Type : Limit Maturity
    Maturity Date : 2052-05-27
    Maturity Price : 24.07
    Evaluated at bid price : 24.40
    Bid-YTW : 5.03 %
    BIP.PR.A FixedReset Disc 2.22 % YTW SCENARIO
    Maturity Type : Limit Maturity
    Maturity Date : 2052-05-27
    Maturity Price : 22.43
    Evaluated at bid price : 23.00
    Bid-YTW : 6.37 %
    BAM.PF.C Perpetual-Discount 2.28 % YTW SCENARIO
    Maturity Type : Limit Maturity
    Maturity Date : 2052-05-27
    Maturity Price : 21.75
    Evaluated at bid price : 22.00
    Bid-YTW : 5.59 %
    IFC.PR.C FixedReset Disc 2.35 % YTW SCENARIO
    Maturity Type : Limit Maturity
    Maturity Date : 2052-05-27
    Maturity Price : 21.48
    Evaluated at bid price : 21.75
    Bid-YTW : 5.65 %
    TD.PF.D FixedReset Disc 3.24 % YTW SCENARIO
    Maturity Type : Limit Maturity
    Maturity Date : 2052-05-27
    Maturity Price : 21.96
    Evaluated at bid price : 22.30
    Bid-YTW : 5.65 %
    GWO.PR.S Insurance Straight 3.30 % YTW SCENARIO
    Maturity Type : Limit Maturity
    Maturity Date : 2052-05-27
    Maturity Price : 23.15
    Evaluated at bid price : 23.45
    Bid-YTW : 5.68 %
    GWO.PR.N FixedReset Ins Non 3.32 % YTW SCENARIO
    Maturity Type : Limit Maturity
    Maturity Date : 2052-05-27
    Maturity Price : 14.63
    Evaluated at bid price : 14.63
    Bid-YTW : 5.98 %
    TRP.PR.D FixedReset Disc 3.55 % YTW SCENARIO
    Maturity Type : Limit Maturity
    Maturity Date : 2052-05-27
    Maturity Price : 18.95
    Evaluated at bid price : 18.95
    Bid-YTW : 6.56 %
    BIP.PR.F FixedReset Prem 3.81 % YTW SCENARIO
    Maturity Type : Limit Maturity
    Maturity Date : 2052-05-27
    Maturity Price : 24.17
    Evaluated at bid price : 24.50
    Bid-YTW : 5.73 %
    BAM.PR.R FixedReset Disc 3.90 % YTW SCENARIO
    Maturity Type : Limit Maturity
    Maturity Date : 2052-05-27
    Maturity Price : 17.87
    Evaluated at bid price : 17.87
    Bid-YTW : 6.44 %
    Volume Highlights
    Issue Index Shares
    Traded    		 Notes
    NA.PR.C FixedReset Disc 30,959 YTW SCENARIO
    Maturity Type : Call
    Maturity Date : 2022-11-15
    Maturity Price : 25.00
    Evaluated at bid price : 24.95
    Bid-YTW : 5.21 %
    IFC.PR.K Perpetual-Discount 20,563 YTW SCENARIO
    Maturity Type : Limit Maturity
    Maturity Date : 2052-05-27
    Maturity Price : 22.65
    Evaluated at bid price : 23.00
    Bid-YTW : 5.81 %
    GWO.PR.G Insurance Straight 15,805 YTW SCENARIO
    Maturity Type : Limit Maturity
    Maturity Date : 2052-05-27
    Maturity Price : 22.71
    Evaluated at bid price : 23.00
    Bid-YTW : 5.74 %
    TD.PF.K FixedReset Disc 14,200 YTW SCENARIO
    Maturity Type : Limit Maturity
    Maturity Date : 2052-05-27
    Maturity Price : 23.33
    Evaluated at bid price : 23.77
    Bid-YTW : 5.52 %
    FTS.PR.J Perpetual-Discount 13,010 YTW SCENARIO
    Maturity Type : Limit Maturity
    Maturity Date : 2052-05-27
    Maturity Price : 21.19
    Evaluated at bid price : 21.19
    Bid-YTW : 5.64 %
    RY.PR.S FixedReset Disc 12,497 YTW SCENARIO
    Maturity Type : Limit Maturity
    Maturity Date : 2052-05-27
    Maturity Price : 23.37
    Evaluated at bid price : 23.75
    Bid-YTW : 5.31 %
    There were 1 other index-included issues trading in excess of 10,000 shares.
    Wide Spread Highlights
    Issue Index Quote Data and Yield Notes
    RY.PR.M FixedReset Disc Quote: 21.40 – 24.50
    Spot Rate : 3.1000
    Average : 1.7405

    YTW SCENARIO
    Maturity Type : Limit Maturity
    Maturity Date : 2052-05-27
    Maturity Price : 21.40
    Evaluated at bid price : 21.40
    Bid-YTW : 5.67 %
    BMO.PR.W FixedReset Disc Quote: 20.05 – 24.20
    Spot Rate : 4.1500
    Average : 2.9686

    YTW SCENARIO
    Maturity Type : Limit Maturity
    Maturity Date : 2052-05-27
    Maturity Price : 20.05
    Evaluated at bid price : 20.05
    Bid-YTW : 5.95 %
    NA.PR.W FixedReset Disc Quote: 21.32 – 23.69
    Spot Rate : 2.3700
    Average : 1.5449

    YTW SCENARIO
    Maturity Type : Limit Maturity
    Maturity Date : 2052-05-27
    Maturity Price : 21.32
    Evaluated at bid price : 21.32
    Bid-YTW : 5.62 %
    MFC.PR.L FixedReset Ins Non Quote: 20.20 – 24.35
    Spot Rate : 4.1500
    Average : 3.3529

    YTW SCENARIO
    Maturity Type : Limit Maturity
    Maturity Date : 2052-05-27
    Maturity Price : 20.20
    Evaluated at bid price : 20.20
    Bid-YTW : 5.84 %
    CU.PR.F Perpetual-Discount Quote: 20.00 – 22.75
    Spot Rate : 2.7500
    Average : 2.0541

    YTW SCENARIO
    Maturity Type : Limit Maturity
    Maturity Date : 2052-05-27
    Maturity Price : 20.00
    Evaluated at bid price : 20.00
    Bid-YTW : 5.66 %
    CU.PR.E Perpetual-Discount Quote: 21.50 – 25.12
    Spot Rate : 3.6200
    Average : 2.9836

    YTW SCENARIO
    Maturity Type : Limit Maturity
    Maturity Date : 2052-05-27
    Maturity Price : 21.50
    Evaluated at bid price : 21.50
    Bid-YTW : 5.73 %

  • May 26, 2022

    I mentioned a new LRCN issued by iA Financial yesterday, but had no further information. A press release has been issued; Assiduous Reader skeptical has kindly provided the text.

    The LRCN is a FixedReset, 6.611%+400, paid as interest, which is the equivalent of a dividend paying FixedReset, 5.085%+308 240. That’s a wider spread than the soon to be redeemed IAF.PR.G, which had been scheduled to reset at +285; but on the other hand it moves the liability to higher up on the capital structure (to the holdco from the opco) as well as diversifying the firm’s funding base … and issuers like to diversify their funders as much as funders like to diversify their issuers!

    Of course, in the present case, a lot of the new funders will have been put in that position by sleazy or ignorant portfolio management firms, eager to stuff preferred shares (there is no meaningful difference between a preferred share and a LRCN – only technicalities of tax law, which won’t help much when the shit hits the fan) into a bond portfolio, thanks to the naivety of gullible clients with a badly written mandate … but who cares? OSFI wants gullible bond investors to take unsuspected risks, because, um, Canada.

    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 3.94 % 4.60 % 17,389 18.12 1 0.6149 % 2,564.2
    FixedFloater 0.00 % 0.00 % 0 0.00 0 0.8182 % 4,993.3
    Floater 4.13 % 4.16 % 41,080 17.03 3 0.8182 % 2,877.7
    OpRet 0.00 % 0.00 % 0 0.00 0 -0.1399 % 3,509.7
    SplitShare 4.85 % 5.22 % 39,906 3.24 8 -0.1399 % 4,191.4
    Interest-Bearing 0.00 % 0.00 % 0 0.00 0 -0.1399 % 3,270.3
    Perpetual-Premium 5.90 % 5.96 % 65,318 13.92 1 0.0000 % 2,958.2
    Perpetual-Discount 5.71 % 5.81 % 61,959 14.18 35 0.7066 % 3,254.2
    FixedReset Disc 4.54 % 5.77 % 117,603 14.41 58 0.5199 % 2,557.6
    Insurance Straight 5.62 % 5.79 % 88,452 14.13 20 1.0534 % 3,194.6
    FloatingReset 4.65 % 4.96 % 56,673 15.50 2 1.8663 % 2,658.2
    FixedReset Prem 5.09 % 5.09 % 117,720 2.05 9 0.1649 % 2,590.9
    FixedReset Bank Non 0.00 % 0.00 % 0 0.00 0 0.5199 % 2,614.4
    FixedReset Ins Non 4.44 % 5.65 % 70,683 14.51 15 0.2483 % 2,702.9
    Performance Highlights
    Issue Index Change Notes
    PVS.PR.I SplitShare -1.62 % YTW SCENARIO
    Maturity Type : Hard Maturity
    Maturity Date : 2025-10-31
    Maturity Price : 25.00
    Evaluated at bid price : 24.31
    Bid-YTW : 5.62 %
    BIP.PR.A FixedReset Disc -1.32 % YTW SCENARIO
    Maturity Type : Limit Maturity
    Maturity Date : 2052-05-26
    Maturity Price : 22.10
    Evaluated at bid price : 22.50
    Bid-YTW : 6.51 %
    TD.PF.D FixedReset Disc -1.01 % YTW SCENARIO
    Maturity Type : Limit Maturity
    Maturity Date : 2052-05-26
    Maturity Price : 21.30
    Evaluated at bid price : 21.60
    Bid-YTW : 5.83 %
    PWF.PR.S Perpetual-Discount 1.02 % YTW SCENARIO
    Maturity Type : Limit Maturity
    Maturity Date : 2052-05-26
    Maturity Price : 20.81
    Evaluated at bid price : 20.81
    Bid-YTW : 5.84 %
    IFC.PR.A FixedReset Ins Non 1.03 % YTW SCENARIO
    Maturity Type : Limit Maturity
    Maturity Date : 2052-05-26
    Maturity Price : 19.60
    Evaluated at bid price : 19.60
    Bid-YTW : 5.65 %
    POW.PR.A Perpetual-Discount 1.05 % YTW SCENARIO
    Maturity Type : Limit Maturity
    Maturity Date : 2052-05-26
    Maturity Price : 23.85
    Evaluated at bid price : 24.10
    Bid-YTW : 5.89 %
    BIP.PR.F FixedReset Prem 1.07 % YTW SCENARIO
    Maturity Type : Limit Maturity
    Maturity Date : 2052-05-26
    Maturity Price : 23.19
    Evaluated at bid price : 23.60
    Bid-YTW : 5.95 %
    FTS.PR.K FixedReset Disc 1.10 % YTW SCENARIO
    Maturity Type : Limit Maturity
    Maturity Date : 2052-05-26
    Maturity Price : 18.45
    Evaluated at bid price : 18.45
    Bid-YTW : 6.32 %
    CM.PR.P FixedReset Disc 1.20 % YTW SCENARIO
    Maturity Type : Limit Maturity
    Maturity Date : 2052-05-26
    Maturity Price : 21.15
    Evaluated at bid price : 21.15
    Bid-YTW : 5.66 %
    SLF.PR.D Insurance Straight 1.22 % YTW SCENARIO
    Maturity Type : Limit Maturity
    Maturity Date : 2052-05-26
    Maturity Price : 20.70
    Evaluated at bid price : 20.70
    Bid-YTW : 5.47 %
    PWF.PR.L Perpetual-Discount 1.24 % YTW SCENARIO
    Maturity Type : Limit Maturity
    Maturity Date : 2052-05-26
    Maturity Price : 21.74
    Evaluated at bid price : 21.99
    Bid-YTW : 5.86 %
    PWF.PR.R Perpetual-Discount 1.25 % YTW SCENARIO
    Maturity Type : Limit Maturity
    Maturity Date : 2052-05-26
    Maturity Price : 23.21
    Evaluated at bid price : 23.51
    Bid-YTW : 5.91 %
    TRP.PR.E FixedReset Disc 1.26 % YTW SCENARIO
    Maturity Type : Limit Maturity
    Maturity Date : 2052-05-26
    Maturity Price : 19.30
    Evaluated at bid price : 19.30
    Bid-YTW : 6.33 %
    MFC.PR.J FixedReset Ins Non 1.27 % YTW SCENARIO
    Maturity Type : Limit Maturity
    Maturity Date : 2052-05-26
    Maturity Price : 23.23
    Evaluated at bid price : 23.85
    Bid-YTW : 5.49 %
    SLF.PR.C Insurance Straight 1.33 % YTW SCENARIO
    Maturity Type : Limit Maturity
    Maturity Date : 2052-05-26
    Maturity Price : 20.59
    Evaluated at bid price : 20.59
    Bid-YTW : 5.50 %
    GWO.PR.P Insurance Straight 1.33 % YTW SCENARIO
    Maturity Type : Limit Maturity
    Maturity Date : 2052-05-26
    Maturity Price : 23.27
    Evaluated at bid price : 23.57
    Bid-YTW : 5.81 %
    PWF.PR.E Perpetual-Discount 1.34 % YTW SCENARIO
    Maturity Type : Limit Maturity
    Maturity Date : 2052-05-26
    Maturity Price : 23.22
    Evaluated at bid price : 23.52
    Bid-YTW : 5.90 %
    PWF.PR.P FixedReset Disc 1.35 % YTW SCENARIO
    Maturity Type : Limit Maturity
    Maturity Date : 2052-05-26
    Maturity Price : 15.00
    Evaluated at bid price : 15.00
    Bid-YTW : 6.27 %
    RY.PR.H FixedReset Disc 1.37 % YTW SCENARIO
    Maturity Type : Limit Maturity
    Maturity Date : 2052-05-26
    Maturity Price : 21.50
    Evaluated at bid price : 21.50
    Bid-YTW : 5.58 %
    POW.PR.G Perpetual-Discount 1.46 % YTW SCENARIO
    Maturity Type : Limit Maturity
    Maturity Date : 2052-05-26
    Maturity Price : 24.00
    Evaluated at bid price : 24.25
    Bid-YTW : 5.85 %
    GWO.PR.Y Insurance Straight 1.50 % YTW SCENARIO
    Maturity Type : Limit Maturity
    Maturity Date : 2052-05-26
    Maturity Price : 20.35
    Evaluated at bid price : 20.35
    Bid-YTW : 5.62 %
    TD.PF.A FixedReset Disc 1.53 % YTW SCENARIO
    Maturity Type : Limit Maturity
    Maturity Date : 2052-05-26
    Maturity Price : 21.22
    Evaluated at bid price : 21.22
    Bid-YTW : 5.61 %
    PWF.PR.K Perpetual-Discount 1.56 % YTW SCENARIO
    Maturity Type : Limit Maturity
    Maturity Date : 2052-05-26
    Maturity Price : 21.50
    Evaluated at bid price : 21.50
    Bid-YTW : 5.83 %
    BMO.PR.E FixedReset Disc 1.66 % YTW SCENARIO
    Maturity Type : Limit Maturity
    Maturity Date : 2052-05-26
    Maturity Price : 24.08
    Evaluated at bid price : 24.44
    Bid-YTW : 5.45 %
    SLF.PR.E Insurance Straight 1.71 % YTW SCENARIO
    Maturity Type : Limit Maturity
    Maturity Date : 2052-05-26
    Maturity Price : 20.86
    Evaluated at bid price : 20.86
    Bid-YTW : 5.49 %
    GWO.PR.H Insurance Straight 1.77 % YTW SCENARIO
    Maturity Type : Limit Maturity
    Maturity Date : 2052-05-26
    Maturity Price : 21.25
    Evaluated at bid price : 21.25
    Bid-YTW : 5.81 %
    BAM.PR.M Perpetual-Discount 1.78 % YTW SCENARIO
    Maturity Type : Limit Maturity
    Maturity Date : 2052-05-26
    Maturity Price : 21.17
    Evaluated at bid price : 21.17
    Bid-YTW : 5.71 %
    RY.PR.J FixedReset Disc 1.83 % YTW SCENARIO
    Maturity Type : Limit Maturity
    Maturity Date : 2052-05-26
    Maturity Price : 21.90
    Evaluated at bid price : 22.20
    Bid-YTW : 5.68 %
    POW.PR.D Perpetual-Discount 1.83 % YTW SCENARIO
    Maturity Type : Limit Maturity
    Maturity Date : 2052-05-26
    Maturity Price : 21.97
    Evaluated at bid price : 22.20
    Bid-YTW : 5.70 %
    BAM.PR.N Perpetual-Discount 1.93 % YTW SCENARIO
    Maturity Type : Limit Maturity
    Maturity Date : 2052-05-26
    Maturity Price : 21.15
    Evaluated at bid price : 21.15
    Bid-YTW : 5.71 %
    PWF.PR.F Perpetual-Discount 2.01 % YTW SCENARIO
    Maturity Type : Limit Maturity
    Maturity Date : 2052-05-26
    Maturity Price : 22.55
    Evaluated at bid price : 22.80
    Bid-YTW : 5.81 %
    BAM.PR.K Floater 2.06 % YTW SCENARIO
    Maturity Type : Limit Maturity
    Maturity Date : 2052-05-26
    Maturity Price : 13.40
    Evaluated at bid price : 13.40
    Bid-YTW : 4.23 %
    NA.PR.S FixedReset Disc 2.16 % YTW SCENARIO
    Maturity Type : Limit Maturity
    Maturity Date : 2052-05-26
    Maturity Price : 21.78
    Evaluated at bid price : 22.27
    Bid-YTW : 5.58 %
    BNS.PR.I FixedReset Disc 2.51 % YTW SCENARIO
    Maturity Type : Limit Maturity
    Maturity Date : 2052-05-26
    Maturity Price : 24.19
    Evaluated at bid price : 24.50
    Bid-YTW : 5.22 %
    TRP.PR.C FixedReset Disc 2.73 % YTW SCENARIO
    Maturity Type : Limit Maturity
    Maturity Date : 2052-05-26
    Maturity Price : 13.93
    Evaluated at bid price : 13.93
    Bid-YTW : 6.68 %
    MFC.PR.C Insurance Straight 2.85 % YTW SCENARIO
    Maturity Type : Limit Maturity
    Maturity Date : 2052-05-26
    Maturity Price : 20.60
    Evaluated at bid price : 20.60
    Bid-YTW : 5.47 %
    GWO.PR.T Insurance Straight 3.16 % YTW SCENARIO
    Maturity Type : Limit Maturity
    Maturity Date : 2052-05-26
    Maturity Price : 22.49
    Evaluated at bid price : 22.85
    Bid-YTW : 5.71 %
    TRP.PR.F FloatingReset 3.37 % YTW SCENARIO
    Maturity Type : Limit Maturity
    Maturity Date : 2052-05-26
    Maturity Price : 16.85
    Evaluated at bid price : 16.85
    Bid-YTW : 4.96 %
    Volume Highlights
    Issue Index Shares
    Traded    		 Notes
    NA.PR.C FixedReset Disc 92,300 YTW SCENARIO
    Maturity Type : Limit Maturity
    Maturity Date : 2052-05-26
    Maturity Price : 24.25
    Evaluated at bid price : 24.84
    Bid-YTW : 6.14 %
    PWF.PR.H Perpetual-Discount 50,400 YTW SCENARIO
    Maturity Type : Limit Maturity
    Maturity Date : 2052-05-26
    Maturity Price : 24.30
    Evaluated at bid price : 24.61
    Bid-YTW : 5.90 %
    RY.PR.Z FixedReset Disc 24,671 YTW SCENARIO
    Maturity Type : Limit Maturity
    Maturity Date : 2052-05-26
    Maturity Price : 21.45
    Evaluated at bid price : 21.45
    Bid-YTW : 5.57 %
    TD.PF.B FixedReset Disc 22,335 YTW SCENARIO
    Maturity Type : Limit Maturity
    Maturity Date : 2052-05-26
    Maturity Price : 21.29
    Evaluated at bid price : 21.29
    Bid-YTW : 5.65 %
    BAM.PF.D Perpetual-Discount 21,640 YTW SCENARIO
    Maturity Type : Limit Maturity
    Maturity Date : 2052-05-26
    Maturity Price : 21.54
    Evaluated at bid price : 21.80
    Bid-YTW : 5.70 %
    BAM.PF.A FixedReset Disc 18,603 YTW SCENARIO
    Maturity Type : Limit Maturity
    Maturity Date : 2052-05-26
    Maturity Price : 22.68
    Evaluated at bid price : 23.13
    Bid-YTW : 6.06 %
    There were 5 other index-included issues trading in excess of 10,000 shares.
    Wide Spread Highlights
    Issue Index Quote Data and Yield Notes
    MFC.PR.L FixedReset Ins Non Quote: 19.94 – 24.35
    Spot Rate : 4.4100
    Average : 2.4790

    YTW SCENARIO
    Maturity Type : Limit Maturity
    Maturity Date : 2052-05-26
    Maturity Price : 19.94
    Evaluated at bid price : 19.94
    Bid-YTW : 5.91 %
    CU.PR.E Perpetual-Discount Quote: 21.09 – 25.12
    Spot Rate : 4.0300
    Average : 2.2859

    YTW SCENARIO
    Maturity Type : Limit Maturity
    Maturity Date : 2052-05-26
    Maturity Price : 21.09
    Evaluated at bid price : 21.09
    Bid-YTW : 5.84 %
    SLF.PR.H FixedReset Ins Non Quote: 19.35 – 23.64
    Spot Rate : 4.2900
    Average : 3.5750

    YTW SCENARIO
    Maturity Type : Limit Maturity
    Maturity Date : 2052-05-26
    Maturity Price : 19.35
    Evaluated at bid price : 19.35
    Bid-YTW : 5.72 %
    PWF.PR.Z Perpetual-Discount Quote: 22.55 – 24.00
    Spot Rate : 1.4500
    Average : 0.8682

    YTW SCENARIO
    Maturity Type : Limit Maturity
    Maturity Date : 2052-05-26
    Maturity Price : 22.20
    Evaluated at bid price : 22.55
    Bid-YTW : 5.76 %
    GWO.PR.S Insurance Straight Quote: 22.70 – 23.89
    Spot Rate : 1.1900
    Average : 0.6941

    YTW SCENARIO
    Maturity Type : Limit Maturity
    Maturity Date : 2052-05-26
    Maturity Price : 22.28
    Evaluated at bid price : 22.70
    Bid-YTW : 5.86 %
    BMO.PR.S FixedReset Disc Quote: 21.80 – 23.00
    Spot Rate : 1.2000
    Average : 0.8054

    YTW SCENARIO
    Maturity Type : Limit Maturity
    Maturity Date : 2052-05-26
    Maturity Price : 21.45
    Evaluated at bid price : 21.80
    Bid-YTW : 5.60 %

  • CF.PR.C To Be Extended

    Canaccord Genuity Group Inc. has announced:

    that it does not intend to exercise its right to redeem all or any part of the currently outstanding Cumulative 5-Year Rate Reset First Preferred Shares, Series C of the Company (the “Series C Preferred Shares”) on June 30, 2022 (the “Conversion Date”). There are currently 4,000,000 Series C Preferred Shares outstanding.

    As a result, and subject to certain conditions set out in the short form prospectus dated April 2, 2012, relating to the issuance of the Series C Preferred Shares, the holders of the Series C Preferred Shares have the right, at their option, to convert all or any of their Series C Preferred Shares, on a one-for-one basis, into Cumulative Floating Rate First Preferred Shares, Series D of the Company (the “Series D Preferred Shares”) on the Conversion Date (the “Conversion Privilege”). A formal notice of the Conversion Privilege will be sent to the registered holder of the Series C Preferred Shares.

    Holders who do not exercise their right to convert their Series C Preferred Shares into Series D Preferred Shares will continue to hold their Series C Preferred Shares and will have the opportunity to convert their shares again on June 30, 2027, and every five years thereafter as long as the shares remain outstanding.

    The foregoing Conversion Privilege is subject to the following conditions: (i) if the Company determines that there would be less than 1,000,000Series D Preferred Shares outstanding on the Conversion Date, then holders of Series C Preferred Shares will not be entitled to convert their shares into Series D Preferred Shares; and (ii) alternatively, if the Company determines that there would remain outstanding less than 1,000,000 Series C Preferred Shares on the Conversion Date, then all remaining Series C Preferred Shares will automatically be converted into Series D Preferred Shares on a one-for-one basis on the Conversion Date. In either case, the Company will give written notice to that effect to any registered holders affected by the preceding conditions of the Series C Preferred Shares no later than June 23, 2022.

    The dividend rate applicable to the Series C Preferred Shares for the five-year period commencing on July 1, 2022, and ending on and including June 30, 2027, and the dividend rate applicable to the Series D Preferred Shares for the three-month period commencing on July 1, 2022, and ending on and including September 30, 2022 will be determined and announced by way of a press release on June 1, 2022.

    Beneficial owners of Series C Preferred Shares who wish to exercise their Conversion Privilege should communicate as soon as possible with their broker or other nominee to obtain instructions for exercising such right during the conversion period, which runs from May 31, 2022 until 5:00 p.m. ET on June 15, 2022.

    CF.PR.C was issued as a FixedReset, 5.75%+403, that commenced trading 2012-4-10 after being announced 2012-3-22. In 2017, it reset at 4.993%. I recommended against conversion and there was no conversion.The has been relegated to the Scraps subindex since inception on credit concerns.

    Thanks to Assiduous Reader Philip169382 for bringing this to my attention!

  • May 25, 2022

    TXPR closed at 635.45, up 0.96% on the day. Volume today was 2.22-million, third-highest of the past 21 trading days.

    CPD closed at 12.45, up 0.24% on the day. Volume was 34,180, lowest of the past 21 trading days.

    ZPR closed at 10.47 up 0.48% on the day. Volume of 129,610 was below the median of the past 21 trading days.

    Five-year Canada yields were down to 2.65% today.

    The SEC is proposing a new rule on fund names:

    The Securities and Exchange Commission (the “Commission”) is proposing to amend the rule under the Investment Company Act of 1940 (the “Investment Company Act” or the “Act”) that addresses certain broad categories of investment company names that are likely to mislead investors about an investment company’s investments and risks. The proposed amendments to this rule are designed to increase investor protection by improving and clarifying the requirement for certain funds to adopt a policy to invest at least 80% of their assets in accordance with the investment focus that the fund’s name suggests, updating the rule’s notice requirements, and establishing recordkeeping requirements. The Commission also is proposing enhanced prospectus disclosure requirements for terminology used in fund names, and additional requirements for funds to report information on Form N-PORT regarding compliance with the proposed names-related regulatory requirements.

    As far as I can tell though, hedge funds will not be required to change their names to ‘levered up to hell ‘n’ gone’ funds.

    In the Frozen North, Blake’s provides Ten Securities Law Fun Facts:

    Unlike in the U.S., it is still the case in Canada that posting of material information to an issuer’s website “will not, by itself, be likely to satisfy the “generally disclosed requirement”, meaning that material information should always be first published by way of a press release issued over a newswire (which can be much more expensive than a posting on a company’s own website). Further to National Policy 51-201 Disclosure Standards, as currently drafted: “Investors’ access to the Internet is not yet sufficiently widespread such that a Web site posting alone would be a means of dissemination ‘calculated to effectively reach the marketplace’” and “As technology evolves and as more investors gain access to the Internet, it may be that postings to certain companies’ Web sites alone could satisfy the ‘generally disclosed’ requirement.”
    …
    The Ontario securities law compendium text colloquially known as the “blue book” weighed 4.0lbs in 2004, while the current edition weighs 7.8lbs. Also, while on the topic of “blue”, there is scientific evidence that, until modern times, humans did not actually see the colour blue, meaning that from an anthropocentric perspective, blue did not exist.

    We can hope that at some time, enough investors will have gained access to the Internet to allow website posts to meet the ‘generally disclosed’ requirement. But it may take a while, given the expense highlighted by MobileSyrup.com:

    The study examined the cost for 135 countries and based life expectancy on the global average of 72 years. Canada lands at 103 on the list, which shows residents will spend an average of $67 a month on the service. Out of the countries examined, only 32 countries charge residents more for internet access.

    DBRS has rated some new LRCNs, but I have no further information:

    DBRS Limited (DBRS Morningstar) assigned a provisional rating of BBB (high) with a Stable trend to iA Financial Corporation Inc.’s (iA or the Company) Limited Recourse Capital Notes Series 2022-1 and a provisional rating of Pfd-2 with a Stable trend to the Company’s Non-Cumulative Preferred Shares Series A.

    PerpetualDiscounts now yield 5.84%, equivalent to 7.59% interest at the standard equivalency factor of 1.3x. Long corporates now yield 4.97%, so the pre-tax interest-equivalent spread (in this context, the “Seniority Spread”) has narrowed to 260bp from the 270bp reported May 18.

    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 3.96 % 4.63 % 18,125 18.11 1 -0.6111 % 2,548.5
    FixedFloater 0.00 % 0.00 % 0 0.00 0 0.0744 % 4,952.8
    Floater 4.17 % 4.16 % 40,868 17.02 3 0.0744 % 2,854.3
    OpRet 0.00 % 0.00 % 0 0.00 0 0.4754 % 3,514.6
    SplitShare 4.84 % 5.15 % 39,362 3.24 8 0.4754 % 4,197.2
    Interest-Bearing 0.00 % 0.00 % 0 0.00 0 0.4754 % 3,274.8
    Perpetual-Premium 5.90 % 5.96 % 68,030 13.92 1 0.0000 % 2,958.2
    Perpetual-Discount 5.75 % 5.84 % 61,686 14.13 35 0.4136 % 3,231.4
    FixedReset Disc 4.59 % 5.79 % 121,956 14.28 59 0.3433 % 2,544.4
    Insurance Straight 5.67 % 5.85 % 90,835 14.03 20 0.6375 % 3,161.3
    FloatingReset 4.74 % 5.13 % 56,902 15.20 2 0.3120 % 2,609.5
    FixedReset Prem 5.10 % 5.11 % 122,093 2.05 9 0.1607 % 2,586.7
    FixedReset Bank Non 0.00 % 0.00 % 0 0.00 0 0.3433 % 2,600.9
    FixedReset Ins Non 4.45 % 5.71 % 71,693 14.56 15 0.5284 % 2,696.2
    Performance Highlights
    Issue Index Change Notes
    TRP.PR.D FixedReset Disc -6.63 % YTW SCENARIO
    Maturity Type : Limit Maturity
    Maturity Date : 2052-05-25
    Maturity Price : 18.30
    Evaluated at bid price : 18.30
    Bid-YTW : 6.79 %
    TRP.PR.E FixedReset Disc -1.50 % YTW SCENARIO
    Maturity Type : Limit Maturity
    Maturity Date : 2052-05-25
    Maturity Price : 19.06
    Evaluated at bid price : 19.06
    Bid-YTW : 6.41 %
    BAM.PR.T FixedReset Disc -1.08 % YTW SCENARIO
    Maturity Type : Limit Maturity
    Maturity Date : 2052-05-25
    Maturity Price : 18.40
    Evaluated at bid price : 18.40
    Bid-YTW : 6.40 %
    POW.PR.C Perpetual-Discount 1.01 % YTW SCENARIO
    Maturity Type : Limit Maturity
    Maturity Date : 2052-05-25
    Maturity Price : 24.68
    Evaluated at bid price : 25.00
    Bid-YTW : 5.87 %
    BNS.PR.I FixedReset Disc 1.01 % YTW SCENARIO
    Maturity Type : Limit Maturity
    Maturity Date : 2052-05-25
    Maturity Price : 23.52
    Evaluated at bid price : 23.90
    Bid-YTW : 5.35 %
    CCS.PR.C Insurance Straight 1.04 % YTW SCENARIO
    Maturity Type : Limit Maturity
    Maturity Date : 2052-05-25
    Maturity Price : 22.12
    Evaluated at bid price : 22.40
    Bid-YTW : 5.66 %
    GWO.PR.Q Insurance Straight 1.09 % YTW SCENARIO
    Maturity Type : Limit Maturity
    Maturity Date : 2052-05-25
    Maturity Price : 22.06
    Evaluated at bid price : 22.35
    Bid-YTW : 5.85 %
    BIP.PR.A FixedReset Disc 1.11 % YTW SCENARIO
    Maturity Type : Limit Maturity
    Maturity Date : 2052-05-25
    Maturity Price : 22.30
    Evaluated at bid price : 22.80
    Bid-YTW : 6.42 %
    CU.PR.J Perpetual-Discount 1.18 % YTW SCENARIO
    Maturity Type : Limit Maturity
    Maturity Date : 2052-05-25
    Maturity Price : 20.54
    Evaluated at bid price : 20.54
    Bid-YTW : 5.81 %
    GWO.PR.N FixedReset Ins Non 1.21 % YTW SCENARIO
    Maturity Type : Limit Maturity
    Maturity Date : 2052-05-25
    Maturity Price : 14.22
    Evaluated at bid price : 14.22
    Bid-YTW : 6.19 %
    BAM.PR.N Perpetual-Discount 1.22 % YTW SCENARIO
    Maturity Type : Limit Maturity
    Maturity Date : 2052-05-25
    Maturity Price : 20.75
    Evaluated at bid price : 20.75
    Bid-YTW : 5.82 %
    BMO.PR.E FixedReset Disc 1.22 % YTW SCENARIO
    Maturity Type : Limit Maturity
    Maturity Date : 2052-05-25
    Maturity Price : 23.63
    Evaluated at bid price : 24.04
    Bid-YTW : 5.53 %
    POW.PR.D Perpetual-Discount 1.25 % YTW SCENARIO
    Maturity Type : Limit Maturity
    Maturity Date : 2052-05-25
    Maturity Price : 21.54
    Evaluated at bid price : 21.80
    Bid-YTW : 5.80 %
    MIC.PR.A Perpetual-Discount 1.39 % YTW SCENARIO
    Maturity Type : Limit Maturity
    Maturity Date : 2052-05-25
    Maturity Price : 21.58
    Evaluated at bid price : 21.90
    Bid-YTW : 6.26 %
    PWF.PF.A Perpetual-Discount 1.40 % YTW SCENARIO
    Maturity Type : Limit Maturity
    Maturity Date : 2052-05-25
    Maturity Price : 20.30
    Evaluated at bid price : 20.30
    Bid-YTW : 5.61 %
    BMO.PR.T FixedReset Disc 1.40 % YTW SCENARIO
    Maturity Type : Limit Maturity
    Maturity Date : 2052-05-25
    Maturity Price : 21.00
    Evaluated at bid price : 21.00
    Bid-YTW : 5.68 %
    CM.PR.S FixedReset Disc 1.54 % YTW SCENARIO
    Maturity Type : Limit Maturity
    Maturity Date : 2052-05-25
    Maturity Price : 23.05
    Evaluated at bid price : 23.72
    Bid-YTW : 5.39 %
    GWO.PR.G Insurance Straight 1.57 % YTW SCENARIO
    Maturity Type : Limit Maturity
    Maturity Date : 2052-05-25
    Maturity Price : 22.33
    Evaluated at bid price : 22.60
    Bid-YTW : 5.84 %
    TRP.PR.C FixedReset Disc 1.95 % YTW SCENARIO
    Maturity Type : Limit Maturity
    Maturity Date : 2052-05-25
    Maturity Price : 13.56
    Evaluated at bid price : 13.56
    Bid-YTW : 6.84 %
    TRP.PR.A FixedReset Disc 2.06 % YTW SCENARIO
    Maturity Type : Limit Maturity
    Maturity Date : 2052-05-25
    Maturity Price : 16.84
    Evaluated at bid price : 16.84
    Bid-YTW : 6.63 %
    PVS.PR.I SplitShare 2.11 % YTW SCENARIO
    Maturity Type : Hard Maturity
    Maturity Date : 2025-10-31
    Maturity Price : 25.00
    Evaluated at bid price : 24.71
    Bid-YTW : 5.10 %
    MFC.PR.N FixedReset Ins Non 2.15 % YTW SCENARIO
    Maturity Type : Limit Maturity
    Maturity Date : 2052-05-25
    Maturity Price : 20.40
    Evaluated at bid price : 20.40
    Bid-YTW : 5.84 %
    IAF.PR.B Insurance Straight 2.17 % YTW SCENARIO
    Maturity Type : Limit Maturity
    Maturity Date : 2052-05-25
    Maturity Price : 21.86
    Evaluated at bid price : 22.10
    Bid-YTW : 5.27 %
    RY.PR.Z FixedReset Disc 2.41 % YTW SCENARIO
    Maturity Type : Limit Maturity
    Maturity Date : 2052-05-25
    Maturity Price : 21.25
    Evaluated at bid price : 21.25
    Bid-YTW : 5.62 %
    GWO.PR.Y Insurance Straight 2.77 % YTW SCENARIO
    Maturity Type : Limit Maturity
    Maturity Date : 2052-05-25
    Maturity Price : 20.05
    Evaluated at bid price : 20.05
    Bid-YTW : 5.71 %
    IFC.PR.A FixedReset Ins Non 2.81 % YTW SCENARIO
    Maturity Type : Limit Maturity
    Maturity Date : 2052-05-25
    Maturity Price : 19.40
    Evaluated at bid price : 19.40
    Bid-YTW : 5.71 %
    BMO.PR.Y FixedReset Disc 2.83 % YTW SCENARIO
    Maturity Type : Limit Maturity
    Maturity Date : 2052-05-25
    Maturity Price : 21.45
    Evaluated at bid price : 21.80
    Bid-YTW : 5.67 %
    NA.PR.S FixedReset Disc 6.34 % YTW SCENARIO
    Maturity Type : Limit Maturity
    Maturity Date : 2052-05-25
    Maturity Price : 21.45
    Evaluated at bid price : 21.80
    Bid-YTW : 5.71 %
    Volume Highlights
    Issue Index Shares
    Traded    		 Notes
    IAF.PR.G FixedReset Ins Non 318,667 YTW SCENARIO
    Maturity Type : Call
    Maturity Date : 2022-06-30
    Maturity Price : 25.00
    Evaluated at bid price : 25.16
    Bid-YTW : 2.95 %
    TD.PF.M FixedReset Prem 26,260 YTW SCENARIO
    Maturity Type : Call
    Maturity Date : 2024-07-31
    Maturity Price : 25.00
    Evaluated at bid price : 25.00
    Bid-YTW : 5.30 %
    CM.PR.R FixedReset Disc 26,005 YTW SCENARIO
    Maturity Type : Limit Maturity
    Maturity Date : 2052-05-25
    Maturity Price : 24.08
    Evaluated at bid price : 24.93
    Bid-YTW : 6.07 %
    PWF.PR.K Perpetual-Discount 22,268 YTW SCENARIO
    Maturity Type : Limit Maturity
    Maturity Date : 2052-05-25
    Maturity Price : 21.17
    Evaluated at bid price : 21.17
    Bid-YTW : 5.92 %
    PWF.PR.G Perpetual-Premium 21,587 YTW SCENARIO
    Maturity Type : Limit Maturity
    Maturity Date : 2052-05-25
    Maturity Price : 24.68
    Evaluated at bid price : 25.00
    Bid-YTW : 5.96 %
    GWO.PR.Y Insurance Straight 15,515 YTW SCENARIO
    Maturity Type : Limit Maturity
    Maturity Date : 2052-05-25
    Maturity Price : 20.05
    Evaluated at bid price : 20.05
    Bid-YTW : 5.71 %
    There were 22 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: 19.25 – 23.64
    Spot Rate : 4.3900
    Average : 2.7910

    YTW SCENARIO
    Maturity Type : Limit Maturity
    Maturity Date : 2052-05-25
    Maturity Price : 19.25
    Evaluated at bid price : 19.25
    Bid-YTW : 5.74 %
    BAM.PF.A FixedReset Disc Quote: 23.14 – 25.85
    Spot Rate : 2.7100
    Average : 1.6110

    YTW SCENARIO
    Maturity Type : Limit Maturity
    Maturity Date : 2052-05-25
    Maturity Price : 22.69
    Evaluated at bid price : 23.14
    Bid-YTW : 6.05 %
    PWF.PR.P FixedReset Disc Quote: 14.80 – 17.14
    Spot Rate : 2.3400
    Average : 1.4135

    YTW SCENARIO
    Maturity Type : Limit Maturity
    Maturity Date : 2052-05-25
    Maturity Price : 14.80
    Evaluated at bid price : 14.80
    Bid-YTW : 6.35 %
    GWO.PR.R Insurance Straight Quote: 20.77 – 22.64
    Spot Rate : 1.8700
    Average : 1.2096

    YTW SCENARIO
    Maturity Type : Limit Maturity
    Maturity Date : 2052-05-25
    Maturity Price : 20.77
    Evaluated at bid price : 20.77
    Bid-YTW : 5.88 %
    TRP.PR.E FixedReset Disc Quote: 19.06 – 21.00
    Spot Rate : 1.9400
    Average : 1.3753

    YTW SCENARIO
    Maturity Type : Limit Maturity
    Maturity Date : 2052-05-25
    Maturity Price : 19.06
    Evaluated at bid price : 19.06
    Bid-YTW : 6.41 %
    RY.PR.N Perpetual-Discount Quote: 23.85 – 25.20
    Spot Rate : 1.3500
    Average : 0.8364

    YTW SCENARIO
    Maturity Type : Limit Maturity
    Maturity Date : 2052-05-25
    Maturity Price : 23.35
    Evaluated at bid price : 23.85
    Bid-YTW : 5.14 %

  • May 24, 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 3.92 % 4.58 % 18,895 18.17 1 0.0000 % 2,564.2
    FixedFloater 0.00 % 0.00 % 0 0.00 0 -0.8854 % 4,949.1
    Floater 4.17 % 4.18 % 40,801 16.99 3 -0.8854 % 2,852.2
    OpRet 0.00 % 0.00 % 0 0.00 0 0.0511 % 3,498.0
    SplitShare 4.86 % 5.30 % 36,457 3.25 8 0.0511 % 4,177.4
    Interest-Bearing 0.00 % 0.00 % 0 0.00 0 0.0511 % 3,259.4
    Perpetual-Premium 5.90 % 5.96 % 63,009 13.92 1 0.0000 % 2,958.2
    Perpetual-Discount 5.77 % 5.88 % 62,233 14.02 35 0.1087 % 3,218.1
    FixedReset Disc 4.58 % 5.82 % 120,036 14.26 59 -0.2960 % 2,535.7
    Insurance Straight 5.71 % 5.89 % 91,248 13.99 20 -0.1982 % 3,141.3
    FloatingReset 4.75 % 5.16 % 57,726 15.15 2 -2.1374 % 2,601.4
    FixedReset Prem 5.11 % 5.40 % 121,117 2.05 9 -0.0268 % 2,582.5
    FixedReset Bank Non 0.00 % 0.00 % 0 0.00 0 -0.2960 % 2,592.0
    FixedReset Ins Non 4.47 % 5.76 % 71,657 14.55 15 -0.7656 % 2,682.1
    Performance Highlights
    Issue Index Change Notes
    NA.PR.S FixedReset Disc -5.09 % YTW SCENARIO
    Maturity Type : Limit Maturity
    Maturity Date : 2052-05-24
    Maturity Price : 20.50
    Evaluated at bid price : 20.50
    Bid-YTW : 6.09 %
    TRP.PR.F FloatingReset -4.14 % YTW SCENARIO
    Maturity Type : Limit Maturity
    Maturity Date : 2052-05-24
    Maturity Price : 16.20
    Evaluated at bid price : 16.20
    Bid-YTW : 5.16 %
    TRP.PR.C FixedReset Disc -3.27 % YTW SCENARIO
    Maturity Type : Limit Maturity
    Maturity Date : 2052-05-24
    Maturity Price : 13.30
    Evaluated at bid price : 13.30
    Bid-YTW : 6.97 %
    TRP.PR.A FixedReset Disc -2.71 % YTW SCENARIO
    Maturity Type : Limit Maturity
    Maturity Date : 2052-05-24
    Maturity Price : 16.50
    Evaluated at bid price : 16.50
    Bid-YTW : 6.76 %
    BMO.PR.W FixedReset Disc -2.67 % YTW SCENARIO
    Maturity Type : Limit Maturity
    Maturity Date : 2052-05-24
    Maturity Price : 20.05
    Evaluated at bid price : 20.05
    Bid-YTW : 5.94 %
    FTS.PR.K FixedReset Disc -2.67 % YTW SCENARIO
    Maturity Type : Limit Maturity
    Maturity Date : 2052-05-24
    Maturity Price : 18.25
    Evaluated at bid price : 18.25
    Bid-YTW : 6.39 %
    BAM.PR.R FixedReset Disc -2.66 % YTW SCENARIO
    Maturity Type : Limit Maturity
    Maturity Date : 2052-05-24
    Maturity Price : 17.20
    Evaluated at bid price : 17.20
    Bid-YTW : 6.67 %
    BAM.PR.K Floater -2.29 % YTW SCENARIO
    Maturity Type : Limit Maturity
    Maturity Date : 2052-05-24
    Maturity Price : 13.20
    Evaluated at bid price : 13.20
    Bid-YTW : 4.29 %
    MFC.PR.F FixedReset Ins Non -2.18 % YTW SCENARIO
    Maturity Type : Limit Maturity
    Maturity Date : 2052-05-24
    Maturity Price : 15.23
    Evaluated at bid price : 15.23
    Bid-YTW : 6.02 %
    IFC.PR.A FixedReset Ins Non -1.72 % YTW SCENARIO
    Maturity Type : Limit Maturity
    Maturity Date : 2052-05-24
    Maturity Price : 18.87
    Evaluated at bid price : 18.87
    Bid-YTW : 5.87 %
    GWO.PR.Y Insurance Straight -1.71 % YTW SCENARIO
    Maturity Type : Limit Maturity
    Maturity Date : 2052-05-24
    Maturity Price : 19.51
    Evaluated at bid price : 19.51
    Bid-YTW : 5.87 %
    PVS.PR.I SplitShare -1.63 % YTW SCENARIO
    Maturity Type : Hard Maturity
    Maturity Date : 2025-10-31
    Maturity Price : 25.00
    Evaluated at bid price : 24.20
    Bid-YTW : 5.76 %
    BMO.PR.Y FixedReset Disc -1.44 % YTW SCENARIO
    Maturity Type : Limit Maturity
    Maturity Date : 2052-05-24
    Maturity Price : 21.20
    Evaluated at bid price : 21.20
    Bid-YTW : 5.85 %
    RY.PR.Z FixedReset Disc -1.24 % YTW SCENARIO
    Maturity Type : Limit Maturity
    Maturity Date : 2052-05-24
    Maturity Price : 20.75
    Evaluated at bid price : 20.75
    Bid-YTW : 5.75 %
    CM.PR.S FixedReset Disc -1.10 % YTW SCENARIO
    Maturity Type : Limit Maturity
    Maturity Date : 2052-05-24
    Maturity Price : 22.71
    Evaluated at bid price : 23.36
    Bid-YTW : 5.47 %
    IAF.PR.B Insurance Straight -1.01 % YTW SCENARIO
    Maturity Type : Limit Maturity
    Maturity Date : 2052-05-24
    Maturity Price : 21.36
    Evaluated at bid price : 21.63
    Bid-YTW : 5.39 %
    ELF.PR.F Perpetual-Discount 1.07 % YTW SCENARIO
    Maturity Type : Limit Maturity
    Maturity Date : 2052-05-24
    Maturity Price : 22.39
    Evaluated at bid price : 22.65
    Bid-YTW : 5.92 %
    MFC.PR.I FixedReset Ins Non 1.11 % YTW SCENARIO
    Maturity Type : Limit Maturity
    Maturity Date : 2052-05-24
    Maturity Price : 23.79
    Evaluated at bid price : 24.60
    Bid-YTW : 5.58 %
    PVS.PR.G SplitShare 1.22 % YTW SCENARIO
    Maturity Type : Option Certainty
    Maturity Date : 2026-02-28
    Maturity Price : 25.00
    Evaluated at bid price : 24.85
    Bid-YTW : 5.05 %
    BAM.PR.M Perpetual-Discount 1.96 % YTW SCENARIO
    Maturity Type : Limit Maturity
    Maturity Date : 2052-05-24
    Maturity Price : 20.80
    Evaluated at bid price : 20.80
    Bid-YTW : 5.81 %
    BIP.PR.A FixedReset Disc 2.04 % YTW SCENARIO
    Maturity Type : Limit Maturity
    Maturity Date : 2052-05-24
    Maturity Price : 22.14
    Evaluated at bid price : 22.55
    Bid-YTW : 6.50 %
    Volume Highlights
    Issue Index Shares
    Traded    		 Notes
    IAF.PR.G FixedReset Ins Non 100,800 YTW SCENARIO
    Maturity Type : Call
    Maturity Date : 2022-06-30
    Maturity Price : 25.00
    Evaluated at bid price : 25.16
    Bid-YTW : 2.87 %
    PWF.PF.A Perpetual-Discount 85,278 YTW SCENARIO
    Maturity Type : Limit Maturity
    Maturity Date : 2052-05-24
    Maturity Price : 20.02
    Evaluated at bid price : 20.02
    Bid-YTW : 5.68 %
    TRP.PR.E FixedReset Disc 53,900 YTW SCENARIO
    Maturity Type : Limit Maturity
    Maturity Date : 2052-05-24
    Maturity Price : 19.35
    Evaluated at bid price : 19.35
    Bid-YTW : 6.31 %
    PWF.PR.G Perpetual-Premium 51,273 YTW SCENARIO
    Maturity Type : Limit Maturity
    Maturity Date : 2052-05-24
    Maturity Price : 24.68
    Evaluated at bid price : 25.00
    Bid-YTW : 5.96 %
    CM.PR.P FixedReset Disc 38,100 YTW SCENARIO
    Maturity Type : Limit Maturity
    Maturity Date : 2052-05-24
    Maturity Price : 20.90
    Evaluated at bid price : 20.90
    Bid-YTW : 5.73 %
    IFC.PR.K Perpetual-Discount 33,500 YTW SCENARIO
    Maturity Type : Limit Maturity
    Maturity Date : 2052-05-24
    Maturity Price : 22.48
    Evaluated at bid price : 22.80
    Bid-YTW : 5.86 %
    There were 7 other index-included issues trading in excess of 10,000 shares.
    Wide Spread Highlights
    Issue Index Quote Data and Yield Notes
    SLF.PR.J FloatingReset Quote: 15.85 – 25.00
    Spot Rate : 9.1500
    Average : 4.8617

    YTW SCENARIO
    Maturity Type : Limit Maturity
    Maturity Date : 2052-05-24
    Maturity Price : 15.85
    Evaluated at bid price : 15.85
    Bid-YTW : 4.45 %
    ELF.PR.F Perpetual-Discount Quote: 22.65 – 25.00
    Spot Rate : 2.3500
    Average : 1.7069

    YTW SCENARIO
    Maturity Type : Limit Maturity
    Maturity Date : 2052-05-24
    Maturity Price : 22.39
    Evaluated at bid price : 22.65
    Bid-YTW : 5.92 %
    NA.PR.S FixedReset Disc Quote: 20.50 – 22.25
    Spot Rate : 1.7500
    Average : 1.1945

    YTW SCENARIO
    Maturity Type : Limit Maturity
    Maturity Date : 2052-05-24
    Maturity Price : 20.50
    Evaluated at bid price : 20.50
    Bid-YTW : 6.09 %
    ELF.PR.H Perpetual-Discount Quote: 23.87 – 25.00
    Spot Rate : 1.1300
    Average : 0.6556

    YTW SCENARIO
    Maturity Type : Limit Maturity
    Maturity Date : 2052-05-24
    Maturity Price : 23.60
    Evaluated at bid price : 23.87
    Bid-YTW : 5.83 %
    MFC.PR.C Insurance Straight Quote: 20.01 – 21.80
    Spot Rate : 1.7900
    Average : 1.3970

    YTW SCENARIO
    Maturity Type : Limit Maturity
    Maturity Date : 2052-05-24
    Maturity Price : 20.01
    Evaluated at bid price : 20.01
    Bid-YTW : 5.63 %
    IFC.PR.I Perpetual-Discount Quote: 23.00 – 24.20
    Spot Rate : 1.2000
    Average : 0.8224

    YTW SCENARIO
    Maturity Type : Limit Maturity
    Maturity Date : 2052-05-24
    Maturity Price : 22.70
    Evaluated at bid price : 23.00
    Bid-YTW : 5.96 %

  • May 20, 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 3.91 % 4.57 % 19,696 18.21 1 1.4085 % 2,564.2
    FixedFloater 0.00 % 0.00 % 0 0.00 0 1.9814 % 4,993.3
    Floater 4.13 % 4.19 % 42,529 16.98 3 1.9814 % 2,877.7
    OpRet 0.00 % 0.00 % 0 0.00 0 -0.0051 % 3,496.2
    SplitShare 4.86 % 5.59 % 36,415 3.26 8 -0.0051 % 4,175.2
    Interest-Bearing 0.00 % 0.00 % 0 0.00 0 -0.0051 % 3,257.7
    Perpetual-Premium 5.90 % 5.95 % 58,359 13.94 1 0.0000 % 2,958.2
    Perpetual-Discount 5.78 % 5.86 % 64,877 14.02 35 -0.0078 % 3,214.6
    FixedReset Disc 4.56 % 5.92 % 124,426 14.26 59 0.1766 % 2,543.2
    Insurance Straight 5.70 % 5.86 % 89,285 14.02 20 0.5750 % 3,147.5
    FloatingReset 4.59 % 4.88 % 58,089 15.65 2 -0.1524 % 2,658.2
    FixedReset Prem 5.10 % 5.37 % 125,668 2.06 9 -0.0178 % 2,583.2
    FixedReset Bank Non 0.00 % 0.00 % 0 0.00 0 0.1766 % 2,599.7
    FixedReset Ins Non 4.44 % 5.86 % 72,694 14.17 15 1.0105 % 2,702.7
    Performance Highlights
    Issue Index Change Notes
    TRP.PR.E FixedReset Disc -2.13 % YTW SCENARIO
    Maturity Type : Limit Maturity
    Maturity Date : 2052-05-20
    Maturity Price : 19.33
    Evaluated at bid price : 19.33
    Bid-YTW : 6.47 %
    FTS.PR.G FixedReset Disc -1.81 % YTW SCENARIO
    Maturity Type : Limit Maturity
    Maturity Date : 2052-05-20
    Maturity Price : 20.05
    Evaluated at bid price : 20.05
    Bid-YTW : 6.14 %
    BIP.PR.A FixedReset Disc -1.78 % YTW SCENARIO
    Maturity Type : Limit Maturity
    Maturity Date : 2052-05-20
    Maturity Price : 21.82
    Evaluated at bid price : 22.10
    Bid-YTW : 6.75 %
    FTS.PR.M FixedReset Disc -1.50 % YTW SCENARIO
    Maturity Type : Limit Maturity
    Maturity Date : 2052-05-20
    Maturity Price : 19.75
    Evaluated at bid price : 19.75
    Bid-YTW : 6.45 %
    TRP.PR.D FixedReset Disc -1.46 % YTW SCENARIO
    Maturity Type : Limit Maturity
    Maturity Date : 2052-05-20
    Maturity Price : 19.60
    Evaluated at bid price : 19.60
    Bid-YTW : 6.49 %
    MIC.PR.A Perpetual-Discount -1.33 % YTW SCENARIO
    Maturity Type : Limit Maturity
    Maturity Date : 2052-05-20
    Maturity Price : 21.27
    Evaluated at bid price : 21.56
    Bid-YTW : 6.36 %
    GWO.PR.P Insurance Straight -1.28 % YTW SCENARIO
    Maturity Type : Limit Maturity
    Maturity Date : 2052-05-20
    Maturity Price : 22.82
    Evaluated at bid price : 23.10
    Bid-YTW : 5.93 %
    POW.PR.B Perpetual-Discount -1.22 % YTW SCENARIO
    Maturity Type : Limit Maturity
    Maturity Date : 2052-05-20
    Maturity Price : 22.33
    Evaluated at bid price : 22.60
    Bid-YTW : 5.99 %
    FTS.PR.K FixedReset Disc -1.11 % YTW SCENARIO
    Maturity Type : Limit Maturity
    Maturity Date : 2052-05-20
    Maturity Price : 18.75
    Evaluated at bid price : 18.75
    Bid-YTW : 6.38 %
    CM.PR.Q FixedReset Disc -1.09 % YTW SCENARIO
    Maturity Type : Limit Maturity
    Maturity Date : 2052-05-20
    Maturity Price : 21.46
    Evaluated at bid price : 21.81
    Bid-YTW : 5.88 %
    FTS.PR.H FixedReset Disc -1.00 % YTW SCENARIO
    Maturity Type : Limit Maturity
    Maturity Date : 2052-05-20
    Maturity Price : 14.85
    Evaluated at bid price : 14.85
    Bid-YTW : 6.43 %
    GWO.PR.M Insurance Straight 1.02 % YTW SCENARIO
    Maturity Type : Limit Maturity
    Maturity Date : 2052-05-20
    Maturity Price : 24.60
    Evaluated at bid price : 24.85
    Bid-YTW : 5.92 %
    PWF.PR.P FixedReset Disc 1.03 % YTW SCENARIO
    Maturity Type : Limit Maturity
    Maturity Date : 2052-05-20
    Maturity Price : 14.75
    Evaluated at bid price : 14.75
    Bid-YTW : 6.53 %
    GWO.PR.Q Insurance Straight 1.18 % YTW SCENARIO
    Maturity Type : Limit Maturity
    Maturity Date : 2052-05-20
    Maturity Price : 22.04
    Evaluated at bid price : 22.27
    Bid-YTW : 5.87 %
    TD.PF.A FixedReset Disc 1.22 % YTW SCENARIO
    Maturity Type : Limit Maturity
    Maturity Date : 2052-05-20
    Maturity Price : 20.75
    Evaluated at bid price : 20.75
    Bid-YTW : 5.87 %
    MFC.PR.B Insurance Straight 1.26 % YTW SCENARIO
    Maturity Type : Limit Maturity
    Maturity Date : 2052-05-20
    Maturity Price : 20.92
    Evaluated at bid price : 20.92
    Bid-YTW : 5.66 %
    BAM.PR.E Ratchet 1.41 % YTW SCENARIO
    Maturity Type : Limit Maturity
    Maturity Date : 2052-05-20
    Maturity Price : 25.00
    Evaluated at bid price : 18.00
    Bid-YTW : 4.57 %
    BMO.PR.Y FixedReset Disc 1.46 % YTW SCENARIO
    Maturity Type : Limit Maturity
    Maturity Date : 2052-05-20
    Maturity Price : 21.51
    Evaluated at bid price : 21.51
    Bid-YTW : 5.89 %
    GWO.PR.Y Insurance Straight 1.53 % YTW SCENARIO
    Maturity Type : Limit Maturity
    Maturity Date : 2052-05-20
    Maturity Price : 19.85
    Evaluated at bid price : 19.85
    Bid-YTW : 5.76 %
    IFC.PR.A FixedReset Ins Non 1.75 % YTW SCENARIO
    Maturity Type : Limit Maturity
    Maturity Date : 2052-05-20
    Maturity Price : 19.20
    Evaluated at bid price : 19.20
    Bid-YTW : 5.94 %
    PWF.PR.Z Perpetual-Discount 2.07 % YTW SCENARIO
    Maturity Type : Limit Maturity
    Maturity Date : 2052-05-20
    Maturity Price : 21.94
    Evaluated at bid price : 22.20
    Bid-YTW : 5.85 %
    MFC.PR.L FixedReset Ins Non 2.56 % YTW SCENARIO
    Maturity Type : Limit Maturity
    Maturity Date : 2052-05-20
    Maturity Price : 20.00
    Evaluated at bid price : 20.00
    Bid-YTW : 6.13 %
    BAM.PR.R FixedReset Disc 2.73 % YTW SCENARIO
    Maturity Type : Limit Maturity
    Maturity Date : 2052-05-20
    Maturity Price : 17.67
    Evaluated at bid price : 17.67
    Bid-YTW : 6.64 %
    BMO.PR.W FixedReset Disc 2.74 % YTW SCENARIO
    Maturity Type : Limit Maturity
    Maturity Date : 2052-05-20
    Maturity Price : 20.60
    Evaluated at bid price : 20.60
    Bid-YTW : 5.92 %
    MFC.PR.F FixedReset Ins Non 2.75 % YTW SCENARIO
    Maturity Type : Limit Maturity
    Maturity Date : 2052-05-20
    Maturity Price : 15.72
    Evaluated at bid price : 15.72
    Bid-YTW : 6.06 %
    CCS.PR.C Insurance Straight 2.88 % YTW SCENARIO
    Maturity Type : Limit Maturity
    Maturity Date : 2052-05-20
    Maturity Price : 21.94
    Evaluated at bid price : 22.17
    Bid-YTW : 5.72 %
    MFC.PR.N FixedReset Ins Non 3.32 % YTW SCENARIO
    Maturity Type : Limit Maturity
    Maturity Date : 2052-05-20
    Maturity Price : 20.20
    Evaluated at bid price : 20.20
    Bid-YTW : 6.12 %
    NA.PR.S FixedReset Disc 3.35 % YTW SCENARIO
    Maturity Type : Limit Maturity
    Maturity Date : 2052-05-20
    Maturity Price : 21.31
    Evaluated at bid price : 21.60
    Bid-YTW : 5.90 %
    MFC.PR.M FixedReset Ins Non 5.08 % YTW SCENARIO
    Maturity Type : Limit Maturity
    Maturity Date : 2052-05-20
    Maturity Price : 20.49
    Evaluated at bid price : 20.49
    Bid-YTW : 6.14 %
    BAM.PF.E FixedReset Disc 5.58 % YTW SCENARIO
    Maturity Type : Limit Maturity
    Maturity Date : 2052-05-20
    Maturity Price : 19.11
    Evaluated at bid price : 19.11
    Bid-YTW : 6.68 %
    BAM.PR.K Floater 5.88 % YTW SCENARIO
    Maturity Type : Limit Maturity
    Maturity Date : 2052-05-20
    Maturity Price : 13.51
    Evaluated at bid price : 13.51
    Bid-YTW : 4.19 %
    Volume Highlights
    Issue Index Shares
    Traded    		 Notes
    MIC.PR.A Perpetual-Discount 150,000 YTW SCENARIO
    Maturity Type : Limit Maturity
    Maturity Date : 2052-05-20
    Maturity Price : 21.27
    Evaluated at bid price : 21.56
    Bid-YTW : 6.36 %
    TD.PF.K FixedReset Disc 40,680 YTW SCENARIO
    Maturity Type : Limit Maturity
    Maturity Date : 2052-05-20
    Maturity Price : 22.91
    Evaluated at bid price : 23.35
    Bid-YTW : 5.75 %
    CU.PR.J Perpetual-Discount 38,600 YTW SCENARIO
    Maturity Type : Limit Maturity
    Maturity Date : 2052-05-20
    Maturity Price : 20.40
    Evaluated at bid price : 20.40
    Bid-YTW : 5.85 %
    CU.PR.I FixedReset Prem 38,400 YTW SCENARIO
    Maturity Type : Call
    Maturity Date : 2025-12-01
    Maturity Price : 25.00
    Evaluated at bid price : 25.20
    Bid-YTW : 4.23 %
    BMO.PR.D FixedReset Disc 26,900 YTW SCENARIO
    Maturity Type : Limit Maturity
    Maturity Date : 2052-05-20
    Maturity Price : 24.11
    Evaluated at bid price : 24.87
    Bid-YTW : 6.01 %
    BAM.PF.A FixedReset Disc 24,974 YTW SCENARIO
    Maturity Type : Limit Maturity
    Maturity Date : 2052-05-20
    Maturity Price : 22.54
    Evaluated at bid price : 22.97
    Bid-YTW : 6.24 %
    There were 2 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-Discount Quote: 20.40 – 23.52
    Spot Rate : 3.1200
    Average : 2.4190

    YTW SCENARIO
    Maturity Type : Limit Maturity
    Maturity Date : 2052-05-20
    Maturity Price : 20.40
    Evaluated at bid price : 20.40
    Bid-YTW : 5.85 %
    ELF.PR.F Perpetual-Discount Quote: 22.41 – 24.00
    Spot Rate : 1.5900
    Average : 1.0018

    YTW SCENARIO
    Maturity Type : Limit Maturity
    Maturity Date : 2052-05-20
    Maturity Price : 22.13
    Evaluated at bid price : 22.41
    Bid-YTW : 5.98 %
    MFC.PR.C Insurance Straight Quote: 20.30 – 21.70
    Spot Rate : 1.4000
    Average : 0.9660

    YTW SCENARIO
    Maturity Type : Limit Maturity
    Maturity Date : 2052-05-20
    Maturity Price : 20.30
    Evaluated at bid price : 20.30
    Bid-YTW : 5.65 %
    BAM.PR.T FixedReset Disc Quote: 18.54 – 20.49
    Spot Rate : 1.9500
    Average : 1.5350

    YTW SCENARIO
    Maturity Type : Limit Maturity
    Maturity Date : 2052-05-20
    Maturity Price : 18.54
    Evaluated at bid price : 18.54
    Bid-YTW : 6.47 %
    TD.PF.E FixedReset Disc Quote: 21.90 – 23.23
    Spot Rate : 1.3300
    Average : 0.9232

    YTW SCENARIO
    Maturity Type : Limit Maturity
    Maturity Date : 2052-05-20
    Maturity Price : 21.64
    Evaluated at bid price : 21.90
    Bid-YTW : 5.91 %
    CU.PR.F Perpetual-Discount Quote: 20.18 – 22.75
    Spot Rate : 2.5700
    Average : 2.1645

    YTW SCENARIO
    Maturity Type : Limit Maturity
    Maturity Date : 2052-05-20
    Maturity Price : 20.18
    Evaluated at bid price : 20.18
    Bid-YTW : 5.60 %