Archive for July, 2022

July 29, 2022

Friday, July 29th, 2022

TXPR closed at 611.97, up 1.75% on the day. Volume today was 1.40-million, well above the median of the past 21 trading days. The last two days, while gratifying, were not enough to put the month in the black – TXPR was 616.25 on June 30.

CPD closed at 12.10, up 0.83% on the day. Volume was 74,630, above the median of the past 21 trading days.

ZPR closed at 10.13, up 1.40% on the day. Volume of 227,560 was well above the median of the past 21 trading days.

Five-year Canada yields were unchanged at 2.64% 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 0.00 % 0.00 % 0 0.00 0 1.2118 % 2,460.0
FixedFloater 0.00 % 0.00 % 0 0.00 0 1.2118 % 4,718.2
Floater 6.42 % 6.51 % 39,236 13.15 3 1.2118 % 2,719.1
OpRet 0.00 % 0.00 % 0 0.00 0 0.0052 % 3,448.9
SplitShare 4.93 % 6.04 % 38,686 3.11 8 0.0052 % 4,118.8
Interest-Bearing 0.00 % 0.00 % 0 0.00 0 0.0052 % 3,213.6
Perpetual-Premium 0.00 % 0.00 % 0 0.00 0 1.0932 % 2,882.0
Perpetual-Discount 5.91 % 6.05 % 73,097 13.84 34 1.0932 % 3,142.7
FixedReset Disc 4.78 % 5.84 % 119,877 14.45 56 1.2803 % 2,462.7
Insurance Straight 5.87 % 6.00 % 86,682 13.89 18 0.8784 % 3,063.9
FloatingReset 6.98 % 7.25 % 41,956 12.21 2 1.3355 % 2,525.1
FixedReset Prem 5.05 % 4.99 % 131,770 1.90 10 0.2962 % 2,582.8
FixedReset Bank Non 0.00 % 0.00 % 0 0.00 0 1.2803 % 2,517.4
FixedReset Ins Non 4.80 % 6.19 % 57,769 13.73 14 3.1303 % 2,542.9
Performance Highlights
Issue Index Change Notes
CU.PR.C FixedReset Disc -1.91 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-07-29
Maturity Price : 20.50
Evaluated at bid price : 20.50
Bid-YTW : 6.37 %
PVS.PR.K SplitShare -1.72 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2029-05-31
Maturity Price : 25.00
Evaluated at bid price : 22.80
Bid-YTW : 6.20 %
PWF.PR.L Perpetual-Discount 1.00 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-07-29
Maturity Price : 21.16
Evaluated at bid price : 21.16
Bid-YTW : 6.07 %
TD.PF.M FixedReset Prem 1.01 % YTW SCENARIO
Maturity Type : Call
Maturity Date : 2024-07-31
Maturity Price : 25.00
Evaluated at bid price : 25.05
Bid-YTW : 5.01 %
TRP.PR.B FixedReset Disc 1.01 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-07-29
Maturity Price : 12.00
Evaluated at bid price : 12.00
Bid-YTW : 7.41 %
BAM.PR.N Perpetual-Discount 1.02 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-07-29
Maturity Price : 19.80
Evaluated at bid price : 19.80
Bid-YTW : 6.08 %
RY.PR.S FixedReset Disc 1.04 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-07-29
Maturity Price : 23.88
Evaluated at bid price : 24.25
Bid-YTW : 5.19 %
BAM.PF.D Perpetual-Discount 1.09 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-07-29
Maturity Price : 20.37
Evaluated at bid price : 20.37
Bid-YTW : 6.09 %
FTS.PR.H FixedReset Disc 1.11 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-07-29
Maturity Price : 13.72
Evaluated at bid price : 13.72
Bid-YTW : 6.86 %
RY.PR.O Perpetual-Discount 1.11 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-07-29
Maturity Price : 23.18
Evaluated at bid price : 23.66
Bid-YTW : 5.16 %
BAM.PF.F FixedReset Disc 1.13 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-07-29
Maturity Price : 18.78
Evaluated at bid price : 18.78
Bid-YTW : 7.19 %
MFC.PR.I FixedReset Ins Non 1.15 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-07-29
Maturity Price : 23.64
Evaluated at bid price : 24.70
Bid-YTW : 5.64 %
NA.PR.W FixedReset Disc 1.16 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-07-29
Maturity Price : 20.95
Evaluated at bid price : 20.95
Bid-YTW : 5.72 %
PWF.PR.P FixedReset Disc 1.20 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-07-29
Maturity Price : 13.51
Evaluated at bid price : 13.51
Bid-YTW : 7.01 %
BAM.PF.E FixedReset Disc 1.22 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-07-29
Maturity Price : 17.38
Evaluated at bid price : 17.38
Bid-YTW : 7.16 %
BAM.PR.C Floater 1.26 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-07-29
Maturity Price : 12.85
Evaluated at bid price : 12.85
Bid-YTW : 6.48 %
PWF.PR.K Perpetual-Discount 1.28 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-07-29
Maturity Price : 20.61
Evaluated at bid price : 20.61
Bid-YTW : 6.05 %
CU.PR.G Perpetual-Discount 1.30 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-07-29
Maturity Price : 19.55
Evaluated at bid price : 19.55
Bid-YTW : 5.86 %
SLF.PR.G FixedReset Ins Non 1.30 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-07-29
Maturity Price : 13.98
Evaluated at bid price : 13.98
Bid-YTW : 6.64 %
FTS.PR.F Perpetual-Discount 1.31 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-07-29
Maturity Price : 21.38
Evaluated at bid price : 21.65
Bid-YTW : 5.75 %
TD.PF.D FixedReset Disc 1.31 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-07-29
Maturity Price : 21.33
Evaluated at bid price : 21.63
Bid-YTW : 5.88 %
BAM.PR.R FixedReset Disc 1.32 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-07-29
Maturity Price : 16.11
Evaluated at bid price : 16.11
Bid-YTW : 7.13 %
IFC.PR.E Insurance Straight 1.34 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-07-29
Maturity Price : 21.62
Evaluated at bid price : 21.90
Bid-YTW : 6.00 %
BAM.PR.M Perpetual-Discount 1.36 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-07-29
Maturity Price : 20.08
Evaluated at bid price : 20.08
Bid-YTW : 5.99 %
BAM.PF.C Perpetual-Discount 1.40 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-07-29
Maturity Price : 20.25
Evaluated at bid price : 20.25
Bid-YTW : 6.07 %
RY.PR.N Perpetual-Discount 1.46 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-07-29
Maturity Price : 23.14
Evaluated at bid price : 23.62
Bid-YTW : 5.17 %
GWO.PR.H Insurance Straight 1.53 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-07-29
Maturity Price : 20.61
Evaluated at bid price : 20.61
Bid-YTW : 5.96 %
GWO.PR.P Insurance Straight 1.57 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-07-29
Maturity Price : 22.33
Evaluated at bid price : 22.60
Bid-YTW : 6.04 %
BAM.PR.K Floater 1.59 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-07-29
Maturity Price : 12.77
Evaluated at bid price : 12.77
Bid-YTW : 6.53 %
BMO.PR.E FixedReset Disc 1.61 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-07-29
Maturity Price : 23.39
Evaluated at bid price : 23.85
Bid-YTW : 5.58 %
TD.PF.K FixedReset Disc 1.64 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-07-29
Maturity Price : 23.04
Evaluated at bid price : 23.53
Bid-YTW : 5.58 %
TD.PF.J FixedReset Disc 1.65 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-07-29
Maturity Price : 23.35
Evaluated at bid price : 23.99
Bid-YTW : 5.59 %
BAM.PF.A FixedReset Disc 1.69 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-07-29
Maturity Price : 21.11
Evaluated at bid price : 21.11
Bid-YTW : 6.67 %
SLF.PR.J FloatingReset 1.76 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-07-29
Maturity Price : 15.01
Evaluated at bid price : 15.01
Bid-YTW : 6.91 %
CU.PR.E Perpetual-Discount 1.80 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-07-29
Maturity Price : 21.50
Evaluated at bid price : 21.50
Bid-YTW : 5.80 %
FTS.PR.K FixedReset Disc 1.80 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-07-29
Maturity Price : 17.51
Evaluated at bid price : 17.51
Bid-YTW : 6.78 %
CU.PR.F Perpetual-Discount 1.81 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-07-29
Maturity Price : 19.65
Evaluated at bid price : 19.65
Bid-YTW : 5.83 %
PWF.PR.Z Perpetual-Discount 1.89 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-07-29
Maturity Price : 21.55
Evaluated at bid price : 21.55
Bid-YTW : 6.02 %
MFC.PR.C Insurance Straight 1.90 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-07-29
Maturity Price : 19.82
Evaluated at bid price : 19.82
Bid-YTW : 5.76 %
NA.PR.S FixedReset Disc 1.91 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-07-29
Maturity Price : 21.50
Evaluated at bid price : 21.86
Bid-YTW : 5.70 %
POW.PR.D Perpetual-Discount 1.94 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-07-29
Maturity Price : 21.05
Evaluated at bid price : 21.05
Bid-YTW : 6.00 %
FTS.PR.M FixedReset Disc 1.95 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-07-29
Maturity Price : 18.86
Evaluated at bid price : 18.86
Bid-YTW : 6.72 %
RY.PR.M FixedReset Disc 1.95 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-07-29
Maturity Price : 20.90
Evaluated at bid price : 20.90
Bid-YTW : 5.82 %
CU.PR.J Perpetual-Discount 1.98 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-07-29
Maturity Price : 20.60
Evaluated at bid price : 20.60
Bid-YTW : 5.87 %
IAF.PR.I FixedReset Ins Non 1.99 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-07-29
Maturity Price : 23.48
Evaluated at bid price : 24.14
Bid-YTW : 5.63 %
TRP.PR.E FixedReset Disc 2.02 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-07-29
Maturity Price : 16.70
Evaluated at bid price : 16.70
Bid-YTW : 7.31 %
SLF.PR.E Insurance Straight 2.04 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-07-29
Maturity Price : 20.00
Evaluated at bid price : 20.00
Bid-YTW : 5.70 %
RY.PR.J FixedReset Disc 2.06 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-07-29
Maturity Price : 21.45
Evaluated at bid price : 21.80
Bid-YTW : 5.80 %
GWO.PR.I Insurance Straight 2.09 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-07-29
Maturity Price : 19.50
Evaluated at bid price : 19.50
Bid-YTW : 5.84 %
BMO.PR.S FixedReset Disc 2.10 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-07-29
Maturity Price : 21.39
Evaluated at bid price : 21.71
Bid-YTW : 5.64 %
IFC.PR.A FixedReset Ins Non 2.17 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-07-29
Maturity Price : 17.90
Evaluated at bid price : 17.90
Bid-YTW : 6.19 %
FTS.PR.J Perpetual-Discount 2.17 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-07-29
Maturity Price : 21.15
Evaluated at bid price : 21.15
Bid-YTW : 5.72 %
FTS.PR.G FixedReset Disc 2.28 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-07-29
Maturity Price : 18.41
Evaluated at bid price : 18.41
Bid-YTW : 6.63 %
SLF.PR.D Insurance Straight 2.34 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-07-29
Maturity Price : 19.72
Evaluated at bid price : 19.72
Bid-YTW : 5.71 %
CM.PR.Y FixedReset Prem 2.35 % YTW SCENARIO
Maturity Type : Call
Maturity Date : 2024-07-31
Maturity Price : 25.00
Evaluated at bid price : 25.69
Bid-YTW : 3.74 %
CM.PR.Q FixedReset Disc 2.42 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-07-29
Maturity Price : 21.31
Evaluated at bid price : 21.61
Bid-YTW : 5.84 %
CM.PR.O FixedReset Disc 2.44 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-07-29
Maturity Price : 21.47
Evaluated at bid price : 21.82
Bid-YTW : 5.57 %
SLF.PR.C Insurance Straight 2.58 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-07-29
Maturity Price : 19.85
Evaluated at bid price : 19.85
Bid-YTW : 5.67 %
TD.PF.C FixedReset Disc 2.60 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-07-29
Maturity Price : 21.29
Evaluated at bid price : 21.29
Bid-YTW : 5.65 %
TD.PF.A FixedReset Disc 2.62 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-07-29
Maturity Price : 21.17
Evaluated at bid price : 21.17
Bid-YTW : 5.66 %
IFC.PR.I Perpetual-Discount 2.62 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-07-29
Maturity Price : 22.78
Evaluated at bid price : 23.09
Bid-YTW : 5.91 %
IFC.PR.G FixedReset Ins Non 2.65 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-07-29
Maturity Price : 21.30
Evaluated at bid price : 21.30
Bid-YTW : 6.21 %
TRP.PR.C FixedReset Disc 2.72 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-07-29
Maturity Price : 12.85
Evaluated at bid price : 12.85
Bid-YTW : 7.24 %
PWF.PR.S Perpetual-Discount 2.79 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-07-29
Maturity Price : 20.25
Evaluated at bid price : 20.25
Bid-YTW : 5.97 %
MFC.PR.Q FixedReset Ins Non 2.91 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-07-29
Maturity Price : 21.55
Evaluated at bid price : 21.55
Bid-YTW : 6.14 %
MIC.PR.A Perpetual-Discount 2.92 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-07-29
Maturity Price : 21.24
Evaluated at bid price : 21.52
Bid-YTW : 6.34 %
TD.PF.E FixedReset Disc 3.16 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-07-29
Maturity Price : 21.27
Evaluated at bid price : 21.56
Bid-YTW : 5.94 %
BIP.PR.E FixedReset Disc 3.18 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-07-29
Maturity Price : 23.32
Evaluated at bid price : 23.99
Bid-YTW : 5.93 %
BIP.PR.F FixedReset Disc 3.28 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-07-29
Maturity Price : 23.48
Evaluated at bid price : 23.91
Bid-YTW : 5.86 %
TD.PF.B FixedReset Disc 3.39 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-07-29
Maturity Price : 21.35
Evaluated at bid price : 21.35
Bid-YTW : 5.67 %
MFC.PR.F FixedReset Ins Non 3.82 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-07-29
Maturity Price : 14.12
Evaluated at bid price : 14.12
Bid-YTW : 6.58 %
BMO.PR.W FixedReset Disc 3.97 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-07-29
Maturity Price : 21.49
Evaluated at bid price : 21.49
Bid-YTW : 5.56 %
CM.PR.P FixedReset Disc 4.22 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-07-29
Maturity Price : 21.25
Evaluated at bid price : 21.25
Bid-YTW : 5.65 %
MFC.PR.L FixedReset Ins Non 4.27 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-07-29
Maturity Price : 18.56
Evaluated at bid price : 18.56
Bid-YTW : 6.46 %
MFC.PR.M FixedReset Ins Non 4.32 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-07-29
Maturity Price : 19.09
Evaluated at bid price : 19.09
Bid-YTW : 6.46 %
BMO.PR.T FixedReset Disc 4.47 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-07-29
Maturity Price : 21.45
Evaluated at bid price : 21.45
Bid-YTW : 5.58 %
IFC.PR.C FixedReset Disc 4.78 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-07-29
Maturity Price : 18.86
Evaluated at bid price : 18.86
Bid-YTW : 6.52 %
MFC.PR.J FixedReset Ins Non 5.42 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-07-29
Maturity Price : 21.87
Evaluated at bid price : 22.38
Bid-YTW : 5.96 %
MFC.PR.K FixedReset Ins Non 5.49 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-07-29
Maturity Price : 20.16
Evaluated at bid price : 20.16
Bid-YTW : 6.14 %
MFC.PR.N FixedReset Ins Non 6.37 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-07-29
Maturity Price : 19.04
Evaluated at bid price : 19.04
Bid-YTW : 6.35 %
Volume Highlights
Issue Index Shares
Traded
Notes
IFC.PR.K Perpetual-Discount 92,895 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-07-29
Maturity Price : 21.76
Evaluated at bid price : 22.06
Bid-YTW : 6.01 %
BAM.PR.K Floater 75,900 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-07-29
Maturity Price : 12.77
Evaluated at bid price : 12.77
Bid-YTW : 6.53 %
RY.PR.H FixedReset Disc 29,913 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-07-29
Maturity Price : 21.35
Evaluated at bid price : 21.35
Bid-YTW : 5.63 %
BIP.PR.F FixedReset Disc 23,700 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-07-29
Maturity Price : 23.48
Evaluated at bid price : 23.91
Bid-YTW : 5.86 %
CM.PR.S FixedReset Disc 23,100 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-07-29
Maturity Price : 22.97
Evaluated at bid price : 23.73
Bid-YTW : 5.39 %
CU.PR.F Perpetual-Discount 21,743 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-07-29
Maturity Price : 19.65
Evaluated at bid price : 19.65
Bid-YTW : 5.83 %
There were 10 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: 18.56 – 24.35
Spot Rate : 5.7900
Average : 3.3165

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-07-29
Maturity Price : 18.56
Evaluated at bid price : 18.56
Bid-YTW : 6.46 %

BIP.PR.A FixedReset Disc Quote: 19.27 – 21.75
Spot Rate : 2.4800
Average : 1.4253

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-07-29
Maturity Price : 19.27
Evaluated at bid price : 19.27
Bid-YTW : 7.61 %

BAM.PF.C Perpetual-Discount Quote: 20.25 – 21.50
Spot Rate : 1.2500
Average : 0.7241

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-07-29
Maturity Price : 20.25
Evaluated at bid price : 20.25
Bid-YTW : 6.07 %

BAM.PR.R FixedReset Disc Quote: 16.11 – 17.49
Spot Rate : 1.3800
Average : 0.8629

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-07-29
Maturity Price : 16.11
Evaluated at bid price : 16.11
Bid-YTW : 7.13 %

MFC.PR.Q FixedReset Ins Non Quote: 21.55 – 22.81
Spot Rate : 1.2600
Average : 0.8257

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-07-29
Maturity Price : 21.55
Evaluated at bid price : 21.55
Bid-YTW : 6.14 %

CU.PR.F Perpetual-Discount Quote: 19.65 – 20.65
Spot Rate : 1.0000
Average : 0.6070

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-07-29
Maturity Price : 19.65
Evaluated at bid price : 19.65
Bid-YTW : 5.83 %

July 28, 2022

Thursday, July 28th, 2022

TXPR closed at 601.46, up 1.02% on the day. Volume today was 1.49-million, well above the median of the past 21 trading days.

CPD closed at 12.00, up 1.61% on the day. Volume was 42,290, well below the median of the past 21 trading days.

ZPR closed at 9.99, up 0.91% on the day. Volume of 103,910 was below the median of the past 21 trading days.

Five-year Canada yields were down sharply to 2.64% today. I find this all very peculiar. It seems that the market has decided that since the central banks have huffed and puffed, inflation has been blown down and we can start worrying about new things. Well, it may be true, but I’m not as sanguine as all that – they haven’t even finished hiking their policy rates yet! Another factor, I think, is that fourteen years of financial repression has convinced many players that sub-1% interest rates are completely normal. This is another thing I have difficulty swallowing. We’ll see!

US GDP was down a bit:

A key measure of economic output fell for the second straight quarter, raising fears that the United States could be entering a recession — or perhaps that one had begun.

Gross domestic product, adjusted for inflation, fell 0.2 percent in the second quarter, the equivalent of an 0.9 percent annual rate of decline, the Commerce Department said Thursday.

The 0.2 percent decline followed a contraction of 0.4 percent in the first three months of the year — meaning that by one common but unofficial definition, the U.S. economy has entered a recession a mere two years after it emerged from the last one.

Most economists still don’t think the economy meets the formal definition of a recession, which is based on a broader set of indicators including measures of income, spending and employment. The G.D.P. data itself will also be revised several times in the months ahead.

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 0.00 % 0.00 % 0 0.00 0 -0.2889 % 2,430.5
FixedFloater 0.00 % 0.00 % 0 0.00 0 -0.2889 % 4,661.7
Floater 6.50 % 6.57 % 36,364 13.08 3 -0.2889 % 2,686.6
OpRet 0.00 % 0.00 % 0 0.00 0 -0.0207 % 3,448.8
SplitShare 4.93 % 5.89 % 38,645 3.11 8 -0.0207 % 4,118.5
Interest-Bearing 0.00 % 0.00 % 0 0.00 0 -0.0207 % 3,213.5
Perpetual-Premium 0.00 % 0.00 % 0 0.00 0 0.9533 % 2,850.8
Perpetual-Discount 5.98 % 6.12 % 73,572 13.76 34 0.9533 % 3,108.7
FixedReset Disc 4.85 % 5.93 % 120,693 14.31 56 0.7168 % 2,431.6
Insurance Straight 5.92 % 6.04 % 87,934 13.82 18 1.2723 % 3,037.2
FloatingReset 7.08 % 7.31 % 42,593 12.13 2 1.3536 % 2,491.8
FixedReset Prem 5.06 % 5.06 % 130,826 3.06 10 0.0120 % 2,575.2
FixedReset Bank Non 0.00 % 0.00 % 0 0.00 0 0.7168 % 2,485.5
FixedReset Ins Non 4.95 % 6.38 % 56,194 13.46 14 0.6970 % 2,465.7
Performance Highlights
Issue Index Change Notes
MFC.PR.K FixedReset Ins Non -1.75 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-07-28
Maturity Price : 19.11
Evaluated at bid price : 19.11
Bid-YTW : 6.48 %
ELF.PR.H Perpetual-Discount -1.74 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-07-28
Maturity Price : 22.39
Evaluated at bid price : 22.65
Bid-YTW : 6.12 %
BIP.PR.F FixedReset Disc -1.49 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-07-28
Maturity Price : 22.72
Evaluated at bid price : 23.15
Bid-YTW : 6.06 %
PVS.PR.I SplitShare -1.23 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-10-31
Maturity Price : 25.00
Evaluated at bid price : 24.05
Bid-YTW : 6.32 %
BAM.PR.Z FixedReset Disc 1.03 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-07-28
Maturity Price : 21.48
Evaluated at bid price : 21.48
Bid-YTW : 6.62 %
FTS.PR.H FixedReset Disc 1.04 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-07-28
Maturity Price : 13.57
Evaluated at bid price : 13.57
Bid-YTW : 6.93 %
MFC.PR.B Insurance Straight 1.05 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-07-28
Maturity Price : 20.20
Evaluated at bid price : 20.20
Bid-YTW : 5.84 %
CU.PR.E Perpetual-Discount 1.05 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-07-28
Maturity Price : 21.12
Evaluated at bid price : 21.12
Bid-YTW : 5.91 %
BAM.PF.B FixedReset Disc 1.07 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-07-28
Maturity Price : 18.95
Evaluated at bid price : 18.95
Bid-YTW : 6.97 %
MFC.PR.N FixedReset Ins Non 1.07 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-07-28
Maturity Price : 17.90
Evaluated at bid price : 17.90
Bid-YTW : 6.75 %
MFC.PR.J FixedReset Ins Non 1.10 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-07-28
Maturity Price : 21.23
Evaluated at bid price : 21.23
Bid-YTW : 6.31 %
POW.PR.G Perpetual-Discount 1.11 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-07-28
Maturity Price : 22.60
Evaluated at bid price : 22.85
Bid-YTW : 6.18 %
PWF.PR.E Perpetual-Discount 1.13 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-07-28
Maturity Price : 22.17
Evaluated at bid price : 22.45
Bid-YTW : 6.15 %
PWF.PR.K Perpetual-Discount 1.14 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-07-28
Maturity Price : 20.35
Evaluated at bid price : 20.35
Bid-YTW : 6.12 %
PWF.PR.H Perpetual-Discount 1.15 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-07-28
Maturity Price : 23.38
Evaluated at bid price : 23.67
Bid-YTW : 6.10 %
PWF.PR.F Perpetual-Discount 1.17 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-07-28
Maturity Price : 21.38
Evaluated at bid price : 21.65
Bid-YTW : 6.09 %
FTS.PR.K FixedReset Disc 1.18 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-07-28
Maturity Price : 17.20
Evaluated at bid price : 17.20
Bid-YTW : 6.90 %
POW.PR.C Perpetual-Discount 1.19 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-07-28
Maturity Price : 23.61
Evaluated at bid price : 23.88
Bid-YTW : 6.12 %
TRP.PR.F FloatingReset 1.27 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-07-28
Maturity Price : 15.95
Evaluated at bid price : 15.95
Bid-YTW : 7.31 %
TRP.PR.C FixedReset Disc 1.30 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-07-28
Maturity Price : 12.51
Evaluated at bid price : 12.51
Bid-YTW : 7.42 %
SLF.PR.C Insurance Straight 1.31 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-07-28
Maturity Price : 19.35
Evaluated at bid price : 19.35
Bid-YTW : 5.82 %
TD.PF.K FixedReset Disc 1.31 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-07-28
Maturity Price : 22.68
Evaluated at bid price : 23.15
Bid-YTW : 5.67 %
TD.PF.C FixedReset Disc 1.32 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-07-28
Maturity Price : 20.75
Evaluated at bid price : 20.75
Bid-YTW : 5.80 %
PWF.PR.R Perpetual-Discount 1.35 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-07-28
Maturity Price : 22.28
Evaluated at bid price : 22.55
Bid-YTW : 6.12 %
PWF.PR.Z Perpetual-Discount 1.39 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-07-28
Maturity Price : 21.15
Evaluated at bid price : 21.15
Bid-YTW : 6.13 %
CM.PR.O FixedReset Disc 1.43 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-07-28
Maturity Price : 21.30
Evaluated at bid price : 21.30
Bid-YTW : 5.72 %
SLF.PR.J FloatingReset 1.44 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-07-28
Maturity Price : 14.75
Evaluated at bid price : 14.75
Bid-YTW : 7.03 %
TD.PF.D FixedReset Disc 1.47 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-07-28
Maturity Price : 21.35
Evaluated at bid price : 21.35
Bid-YTW : 5.97 %
BAM.PR.M Perpetual-Discount 1.49 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-07-28
Maturity Price : 19.81
Evaluated at bid price : 19.81
Bid-YTW : 6.07 %
POW.PR.A Perpetual-Discount 1.51 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-07-28
Maturity Price : 22.67
Evaluated at bid price : 22.91
Bid-YTW : 6.16 %
RY.PR.O Perpetual-Discount 1.52 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-07-28
Maturity Price : 23.00
Evaluated at bid price : 23.40
Bid-YTW : 5.22 %
GWO.PR.R Insurance Straight 1.55 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-07-28
Maturity Price : 20.31
Evaluated at bid price : 20.31
Bid-YTW : 5.98 %
BAM.PR.N Perpetual-Discount 1.55 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-07-28
Maturity Price : 19.60
Evaluated at bid price : 19.60
Bid-YTW : 6.14 %
TRP.PR.A FixedReset Disc 1.60 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-07-28
Maturity Price : 15.24
Evaluated at bid price : 15.24
Bid-YTW : 7.33 %
GWO.PR.M Insurance Straight 1.65 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-07-28
Maturity Price : 23.69
Evaluated at bid price : 24.00
Bid-YTW : 6.11 %
GWO.PR.L Insurance Straight 1.71 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-07-28
Maturity Price : 22.93
Evaluated at bid price : 23.20
Bid-YTW : 6.15 %
SLF.PR.E Insurance Straight 1.71 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-07-28
Maturity Price : 19.60
Evaluated at bid price : 19.60
Bid-YTW : 5.81 %
MFC.PR.L FixedReset Ins Non 1.71 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-07-28
Maturity Price : 17.80
Evaluated at bid price : 17.80
Bid-YTW : 6.73 %
POW.PR.B Perpetual-Discount 1.76 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-07-28
Maturity Price : 21.75
Evaluated at bid price : 22.00
Bid-YTW : 6.13 %
MFC.PR.Q FixedReset Ins Non 1.85 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-07-28
Maturity Price : 20.94
Evaluated at bid price : 20.94
Bid-YTW : 6.32 %
RY.PR.Z FixedReset Disc 1.92 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-07-28
Maturity Price : 21.21
Evaluated at bid price : 21.21
Bid-YTW : 5.64 %
GWO.PR.Y Insurance Straight 1.95 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-07-28
Maturity Price : 19.32
Evaluated at bid price : 19.32
Bid-YTW : 5.90 %
BAM.PR.T FixedReset Disc 1.96 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-07-28
Maturity Price : 16.65
Evaluated at bid price : 16.65
Bid-YTW : 7.05 %
MFC.PR.M FixedReset Ins Non 2.01 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-07-28
Maturity Price : 18.30
Evaluated at bid price : 18.30
Bid-YTW : 6.73 %
IFC.PR.G FixedReset Ins Non 2.02 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-07-28
Maturity Price : 20.75
Evaluated at bid price : 20.75
Bid-YTW : 6.38 %
GWO.PR.S Insurance Straight 2.05 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-07-28
Maturity Price : 21.64
Evaluated at bid price : 21.95
Bid-YTW : 6.04 %
PWF.PF.A Perpetual-Discount 2.05 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-07-28
Maturity Price : 18.90
Evaluated at bid price : 18.90
Bid-YTW : 5.99 %
GWO.PR.G Insurance Straight 2.07 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-07-28
Maturity Price : 21.38
Evaluated at bid price : 21.65
Bid-YTW : 6.07 %
NA.PR.E FixedReset Disc 2.09 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-07-28
Maturity Price : 22.79
Evaluated at bid price : 23.40
Bid-YTW : 5.59 %
PWF.PR.P FixedReset Disc 2.14 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-07-28
Maturity Price : 13.35
Evaluated at bid price : 13.35
Bid-YTW : 7.09 %
NA.PR.S FixedReset Disc 2.14 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-07-28
Maturity Price : 21.45
Evaluated at bid price : 21.45
Bid-YTW : 5.83 %
MFC.PR.C Insurance Straight 2.37 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-07-28
Maturity Price : 19.45
Evaluated at bid price : 19.45
Bid-YTW : 5.87 %
IFC.PR.K Perpetual-Discount 2.38 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-07-28
Maturity Price : 21.59
Evaluated at bid price : 21.91
Bid-YTW : 6.05 %
GWO.PR.Q Insurance Straight 2.39 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-07-28
Maturity Price : 21.46
Evaluated at bid price : 21.46
Bid-YTW : 6.08 %
CU.PR.C FixedReset Disc 2.96 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-07-28
Maturity Price : 20.90
Evaluated at bid price : 20.90
Bid-YTW : 6.25 %
NA.PR.G FixedReset Disc 3.02 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-07-28
Maturity Price : 23.44
Evaluated at bid price : 23.90
Bid-YTW : 5.67 %
NA.PR.W FixedReset Disc 3.65 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-07-28
Maturity Price : 20.71
Evaluated at bid price : 20.71
Bid-YTW : 5.79 %
CU.PR.H Perpetual-Discount 4.63 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-07-28
Maturity Price : 22.31
Evaluated at bid price : 22.60
Bid-YTW : 5.90 %
Volume Highlights
Issue Index Shares
Traded
Notes
CU.PR.C FixedReset Disc 106,700 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-07-28
Maturity Price : 20.90
Evaluated at bid price : 20.90
Bid-YTW : 6.25 %
PWF.PF.A Perpetual-Discount 59,549 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-07-28
Maturity Price : 18.90
Evaluated at bid price : 18.90
Bid-YTW : 5.99 %
TD.PF.A FixedReset Disc 51,000 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-07-28
Maturity Price : 20.63
Evaluated at bid price : 20.63
Bid-YTW : 5.80 %
CM.PR.O FixedReset Disc 29,723 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-07-28
Maturity Price : 21.30
Evaluated at bid price : 21.30
Bid-YTW : 5.72 %
MFC.PR.M FixedReset Ins Non 28,200 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-07-28
Maturity Price : 18.30
Evaluated at bid price : 18.30
Bid-YTW : 6.73 %
GWO.PR.Y Insurance Straight 26,876 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-07-28
Maturity Price : 19.32
Evaluated at bid price : 19.32
Bid-YTW : 5.90 %
There were 20 other index-included issues trading in excess of 10,000 shares.
Wide Spread Highlights
Issue Index Quote Data and Yield Notes
BAM.PR.T FixedReset Disc Quote: 16.65 – 19.33
Spot Rate : 2.6800
Average : 1.7182

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-07-28
Maturity Price : 16.65
Evaluated at bid price : 16.65
Bid-YTW : 7.05 %

CU.PR.G Perpetual-Discount Quote: 19.30 – 23.00
Spot Rate : 3.7000
Average : 2.9120

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-07-28
Maturity Price : 19.30
Evaluated at bid price : 19.30
Bid-YTW : 5.94 %

FTS.PR.M FixedReset Disc Quote: 18.50 – 20.10
Spot Rate : 1.6000
Average : 0.9665

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-07-28
Maturity Price : 18.50
Evaluated at bid price : 18.50
Bid-YTW : 6.85 %

TRP.PR.G FixedReset Disc Quote: 18.20 – 20.05
Spot Rate : 1.8500
Average : 1.2216

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-07-28
Maturity Price : 18.20
Evaluated at bid price : 18.20
Bid-YTW : 7.13 %

GWO.PR.I Insurance Straight Quote: 19.10 – 20.50
Spot Rate : 1.4000
Average : 0.7984

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-07-28
Maturity Price : 19.10
Evaluated at bid price : 19.10
Bid-YTW : 5.97 %

IFC.PR.K Perpetual-Discount Quote: 21.91 – 23.47
Spot Rate : 1.5600
Average : 1.0518

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-07-28
Maturity Price : 21.59
Evaluated at bid price : 21.91
Bid-YTW : 6.05 %

July 27, 2022

Wednesday, July 27th, 2022

There were no big surprises in the FOMC announcement of a 75bp policy hike:

Recent indicators of spending and production have softened. Nonetheless, job gains have been robust in recent months, and the unemployment rate has remained low. Inflation remains elevated, reflecting supply and demand imbalances related to the pandemic, higher food and energy prices, and broader price pressures.

Russia’s war against Ukraine is causing tremendous human and economic hardship. The war and related events are creating additional upward pressure on inflation and are weighing on global economic activity. The Committee is highly attentive to inflation risks.

The Committee seeks to achieve maximum employment and inflation at the rate of 2 percent over the longer run. In support of these goals, the Committee decided to raise the target range for the federal funds rate to 2-1/4 to 2-1/2 percent and anticipates that ongoing increases in the target range will be appropriate. In addition, the Committee will continue reducing its holdings of Treasury securities and agency debt and agency mortgage-backed securities, as described in the Plans for Reducing the Size of the Federal Reserve’s Balance Sheet that were issued in May. The Committee is strongly committed to returning inflation to its 2 percent objective.

In assessing the appropriate stance of monetary policy, the Committee will continue to monitor the implications of incoming information for the economic outlook. The Committee would be prepared to adjust the stance of monetary policy as appropriate if risks emerge that could impede the attainment of the Committee’s goals. The Committee’s assessments will take into account a wide range of information, including readings on public health, labor market conditions, inflation pressures and inflation expectations, and financial and international developments.

Voting for the monetary policy action were Jerome H. Powell, Chair; John C. Williams, Vice Chair; Michael S. Barr; Michelle W. Bowman; Lael Brainard; James Bullard; Susan M. Collins; Lisa D. Cook; Esther L. George; Philip N. Jefferson; Loretta J. Mester; and Christopher J. Waller.

The NYT commented:

Mr. Powell’s comments were precisely what stock investors wanted to hear.
Investors have worried about the Fed tipping the American economy into recession, so Wall Street on Wednesday honed in on signals that the Fed could slow its pace of interest rate increases in the future and that Mr. Powell is aware of early signs of a slowdown in the economy.

The S&P 500 stock index ended the day up 2.6 percent, and the Nasdaq Composite posted its best day since April 2020. Markets can quickly change their tune, though, especially with new data on growth coming out Thursday. The last two times the Fed raised rates, the S&P 500 rallied on the day of the announcement but fell sharply the day after.

And there is good news from US politicians, at last. I’ve been hoping for this for years:

Dozens of former Republican and Democratic officials will announce on Wednesday a new national political third party to appeal to millions of voters they say are dismayed with what they see as America’s dysfunctional two-party system.

The new party, called Forward, will initially be co-chaired by former Democratic presidential candidate Andrew Yang and Christine Todd Whitman, the former Republican governor of New Jersey. They hope the party will become a viable alternative to the Republican and Democratic parties that dominate U.S. politics, founding members told Reuters.

Party leaders will hold a series of events in two dozen cities this autumn to roll out its platform and attract support. They will host an official launch in Houston on Sept. 24 and the party’s first national convention in a major U.S. city next summer.

Whether or not it gains any traction is another matter, of course, what with Americans so fond of hating each other. But we can hope!

PerpetualDiscounts now yield 6.19%, equivalent to 8.05% interest at the standard equivalency factor of 1.3x. Long corporates now yield 4.84%, so the pre-tax interest-equivalent spread (in this context, the “Seniority Spread”) has skyrocketted to 320bp from the 265bp reported July 20.

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 0.00 % 0.00 % 0 0.00 0 0.3426 % 2,437.6
FixedFloater 0.00 % 0.00 % 0 0.00 0 0.3426 % 4,675.2
Floater 6.48 % 6.53 % 37,911 13.12 3 0.3426 % 2,694.4
OpRet 0.00 % 0.00 % 0 0.00 0 0.1012 % 3,449.5
SplitShare 4.93 % 5.89 % 39,617 3.12 8 0.1012 % 4,119.4
Interest-Bearing 0.00 % 0.00 % 0 0.00 0 0.1012 % 3,214.1
Perpetual-Premium 0.00 % 0.00 % 0 0.00 0 0.2725 % 2,823.9
Perpetual-Discount 6.04 % 6.19 % 72,929 13.66 34 0.2725 % 3,079.3
FixedReset Disc 4.88 % 6.16 % 117,841 13.92 56 0.5172 % 2,414.3
Insurance Straight 6.00 % 6.08 % 90,176 13.78 18 0.4169 % 2,999.1
FloatingReset 7.17 % 7.41 % 42,632 12.02 2 -0.1977 % 2,458.5
FixedReset Prem 5.06 % 5.10 % 131,261 3.07 10 0.4746 % 2,574.9
FixedReset Bank Non 0.00 % 0.00 % 0 0.00 0 0.5172 % 2,467.9
FixedReset Ins Non 4.98 % 6.67 % 56,937 13.10 14 0.5686 % 2,448.6
Performance Highlights
Issue Index Change Notes
CU.PR.H Perpetual-Discount -1.82 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-07-27
Maturity Price : 21.60
Evaluated at bid price : 21.60
Bid-YTW : 6.19 %
PWF.PR.P FixedReset Disc -1.73 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-07-27
Maturity Price : 13.07
Evaluated at bid price : 13.07
Bid-YTW : 7.50 %
TRP.PR.C FixedReset Disc -1.36 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-07-27
Maturity Price : 12.35
Evaluated at bid price : 12.35
Bid-YTW : 7.79 %
SLF.PR.G FixedReset Ins Non -1.08 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-07-27
Maturity Price : 13.80
Evaluated at bid price : 13.80
Bid-YTW : 7.00 %
RY.PR.Z FixedReset Disc 1.02 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-07-27
Maturity Price : 20.81
Evaluated at bid price : 20.81
Bid-YTW : 5.96 %
MFC.PR.K FixedReset Ins Non 1.04 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-07-27
Maturity Price : 19.45
Evaluated at bid price : 19.45
Bid-YTW : 6.61 %
BNS.PR.I FixedReset Disc 1.05 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-07-27
Maturity Price : 23.70
Evaluated at bid price : 24.10
Bid-YTW : 5.49 %
GWO.PR.Y Insurance Straight 1.07 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-07-27
Maturity Price : 18.95
Evaluated at bid price : 18.95
Bid-YTW : 6.01 %
BMO.PR.Y FixedReset Disc 1.09 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-07-27
Maturity Price : 21.25
Evaluated at bid price : 21.25
Bid-YTW : 6.11 %
PWF.PR.S Perpetual-Discount 1.14 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-07-27
Maturity Price : 19.53
Evaluated at bid price : 19.53
Bid-YTW : 6.19 %
FTS.PR.F Perpetual-Discount 1.14 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-07-27
Maturity Price : 21.23
Evaluated at bid price : 21.23
Bid-YTW : 5.87 %
TRP.PR.D FixedReset Disc 1.15 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-07-27
Maturity Price : 16.75
Evaluated at bid price : 16.75
Bid-YTW : 7.68 %
BMO.PR.E FixedReset Disc 1.15 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-07-27
Maturity Price : 23.23
Evaluated at bid price : 23.70
Bid-YTW : 5.90 %
IFC.PR.A FixedReset Ins Non 1.16 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-07-27
Maturity Price : 17.50
Evaluated at bid price : 17.50
Bid-YTW : 6.61 %
RY.PR.J FixedReset Disc 1.18 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-07-27
Maturity Price : 21.50
Evaluated at bid price : 21.50
Bid-YTW : 6.08 %
BAM.PF.I FixedReset Prem 1.18 % YTW SCENARIO
Maturity Type : Call
Maturity Date : 2027-03-31
Maturity Price : 25.00
Evaluated at bid price : 24.80
Bid-YTW : 5.72 %
FTS.PR.J Perpetual-Discount 1.23 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-07-27
Maturity Price : 20.60
Evaluated at bid price : 20.60
Bid-YTW : 5.87 %
CU.PR.I FixedReset Prem 1.27 % YTW SCENARIO
Maturity Type : Call
Maturity Date : 2025-12-01
Maturity Price : 25.00
Evaluated at bid price : 24.81
Bid-YTW : 5.00 %
GWO.PR.R Insurance Straight 1.32 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-07-27
Maturity Price : 20.00
Evaluated at bid price : 20.00
Bid-YTW : 6.08 %
CU.PR.C FixedReset Disc 1.40 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-07-27
Maturity Price : 20.30
Evaluated at bid price : 20.30
Bid-YTW : 6.61 %
MIC.PR.A Perpetual-Discount 1.40 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-07-27
Maturity Price : 21.00
Evaluated at bid price : 21.00
Bid-YTW : 6.52 %
MFC.PR.B Insurance Straight 1.47 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-07-27
Maturity Price : 19.99
Evaluated at bid price : 19.99
Bid-YTW : 5.90 %
MFC.PR.N FixedReset Ins Non 1.49 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-07-27
Maturity Price : 17.71
Evaluated at bid price : 17.71
Bid-YTW : 7.05 %
CU.PR.G Perpetual-Discount 1.57 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-07-27
Maturity Price : 19.35
Evaluated at bid price : 19.35
Bid-YTW : 5.92 %
BIP.PR.F FixedReset Disc 1.69 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-07-27
Maturity Price : 23.05
Evaluated at bid price : 23.50
Bid-YTW : 6.16 %
RY.PR.S FixedReset Disc 1.71 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-07-27
Maturity Price : 23.39
Evaluated at bid price : 23.80
Bid-YTW : 5.48 %
MFC.PR.L FixedReset Ins Non 1.74 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-07-27
Maturity Price : 17.50
Evaluated at bid price : 17.50
Bid-YTW : 7.09 %
CM.PR.Q FixedReset Disc 1.85 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-07-27
Maturity Price : 20.95
Evaluated at bid price : 20.95
Bid-YTW : 6.21 %
CM.PR.O FixedReset Disc 2.04 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-07-27
Maturity Price : 21.00
Evaluated at bid price : 21.00
Bid-YTW : 6.00 %
MFC.PR.M FixedReset Ins Non 2.22 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-07-27
Maturity Price : 17.94
Evaluated at bid price : 17.94
Bid-YTW : 7.10 %
BMO.PR.S FixedReset Disc 2.63 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-07-27
Maturity Price : 21.50
Evaluated at bid price : 21.50
Bid-YTW : 5.99 %
BMO.PR.W FixedReset Disc 2.94 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-07-27
Maturity Price : 21.00
Evaluated at bid price : 21.00
Bid-YTW : 5.97 %
Volume Highlights
Issue Index Shares
Traded
Notes
TD.PF.K FixedReset Disc 85,900 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-07-27
Maturity Price : 22.41
Evaluated at bid price : 22.85
Bid-YTW : 5.95 %
BMO.PR.D FixedReset Disc 69,923 YTW SCENARIO
Maturity Type : Call
Maturity Date : 2027-08-25
Maturity Price : 25.00
Evaluated at bid price : 25.20
Bid-YTW : 6.09 %
MFC.PR.C Insurance Straight 26,300 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-07-27
Maturity Price : 19.00
Evaluated at bid price : 19.00
Bid-YTW : 6.01 %
TRP.PR.A FixedReset Disc 16,900 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-07-27
Maturity Price : 15.00
Evaluated at bid price : 15.00
Bid-YTW : 7.71 %
BMO.PR.Y FixedReset Disc 16,551 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-07-27
Maturity Price : 21.25
Evaluated at bid price : 21.25
Bid-YTW : 6.11 %
CM.PR.S FixedReset Disc 11,828 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-07-27
Maturity Price : 22.42
Evaluated at bid price : 23.31
Bid-YTW : 5.68 %
There were 1 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: 19.35 – 23.00
Spot Rate : 3.6500
Average : 2.0481

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-07-27
Maturity Price : 19.35
Evaluated at bid price : 19.35
Bid-YTW : 5.92 %

RY.PR.Z FixedReset Disc Quote: 20.81 – 22.85
Spot Rate : 2.0400
Average : 1.2293

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-07-27
Maturity Price : 20.81
Evaluated at bid price : 20.81
Bid-YTW : 5.96 %

FTS.PR.H FixedReset Disc Quote: 13.43 – 14.40
Spot Rate : 0.9700
Average : 0.5908

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-07-27
Maturity Price : 13.43
Evaluated at bid price : 13.43
Bid-YTW : 7.28 %

MFC.PR.K FixedReset Ins Non Quote: 19.45 – 20.45
Spot Rate : 1.0000
Average : 0.6358

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-07-27
Maturity Price : 19.45
Evaluated at bid price : 19.45
Bid-YTW : 6.61 %

BAM.PF.F FixedReset Disc Quote: 18.45 – 20.00
Spot Rate : 1.5500
Average : 1.1898

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-07-27
Maturity Price : 18.45
Evaluated at bid price : 18.45
Bid-YTW : 7.54 %

NA.PR.S FixedReset Disc Quote: 21.00 – 21.99
Spot Rate : 0.9900
Average : 0.6659

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-07-27
Maturity Price : 21.00
Evaluated at bid price : 21.00
Bid-YTW : 6.16 %

July 26, 2022

Tuesday, July 26th, 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 0.00 % 0.00 % 0 0.00 0 -0.5765 % 2,429.2
FixedFloater 0.00 % 0.00 % 0 0.00 0 -0.5765 % 4,659.3
Floater 6.50 % 6.56 % 39,531 13.09 3 -0.5765 % 2,685.2
OpRet 0.00 % 0.00 % 0 0.00 0 0.0260 % 3,446.0
SplitShare 4.94 % 5.88 % 40,564 3.12 8 0.0260 % 4,115.2
Interest-Bearing 0.00 % 0.00 % 0 0.00 0 0.0260 % 3,210.9
Perpetual-Premium 0.00 % 0.00 % 0 0.00 0 -0.1368 % 2,816.2
Perpetual-Discount 6.05 % 6.19 % 72,823 13.65 34 -0.1368 % 3,071.0
FixedReset Disc 4.91 % 6.19 % 118,323 13.87 56 0.5217 % 2,401.8
Insurance Straight 6.02 % 6.15 % 90,981 13.67 18 -0.1406 % 2,986.6
FloatingReset 7.16 % 7.41 % 41,876 12.03 2 0.6634 % 2,463.4
FixedReset Prem 5.09 % 5.41 % 131,859 1.90 10 0.5256 % 2,562.7
FixedReset Bank Non 0.00 % 0.00 % 0 0.00 0 0.5217 % 2,455.2
FixedReset Ins Non 5.01 % 6.68 % 57,414 13.02 14 0.3517 % 2,434.8
Performance Highlights
Issue Index Change Notes
BIP.PR.E FixedReset Disc -2.02 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-07-26
Maturity Price : 22.66
Evaluated at bid price : 23.30
Bid-YTW : 6.32 %
POW.PR.G Perpetual-Discount -2.00 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-07-26
Maturity Price : 22.22
Evaluated at bid price : 22.50
Bid-YTW : 6.27 %
BIP.PR.F FixedReset Disc -1.91 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-07-26
Maturity Price : 22.68
Evaluated at bid price : 23.11
Bid-YTW : 6.26 %
ELF.PR.F Perpetual-Discount -1.74 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-07-26
Maturity Price : 21.50
Evaluated at bid price : 21.50
Bid-YTW : 6.22 %
PWF.PR.S Perpetual-Discount -1.73 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-07-26
Maturity Price : 19.31
Evaluated at bid price : 19.31
Bid-YTW : 6.26 %
GWO.PR.T Insurance Straight -1.50 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-07-26
Maturity Price : 21.05
Evaluated at bid price : 21.05
Bid-YTW : 6.19 %
CCS.PR.C Insurance Straight -1.25 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-07-26
Maturity Price : 21.25
Evaluated at bid price : 21.25
Bid-YTW : 5.96 %
BAM.PR.C Floater -1.25 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-07-26
Maturity Price : 12.69
Evaluated at bid price : 12.69
Bid-YTW : 6.56 %
GWO.PR.L Insurance Straight -1.18 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-07-26
Maturity Price : 22.42
Evaluated at bid price : 22.68
Bid-YTW : 6.30 %
GWO.PR.P Insurance Straight -1.17 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-07-26
Maturity Price : 21.75
Evaluated at bid price : 22.00
Bid-YTW : 6.20 %
GWO.PR.S Insurance Straight -1.15 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-07-26
Maturity Price : 21.50
Evaluated at bid price : 21.50
Bid-YTW : 6.18 %
NA.PR.W FixedReset Disc 1.01 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-07-26
Maturity Price : 19.98
Evaluated at bid price : 19.98
Bid-YTW : 6.20 %
FTS.PR.F Perpetual-Discount 1.06 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-07-26
Maturity Price : 20.99
Evaluated at bid price : 20.99
Bid-YTW : 5.94 %
BIP.PR.A FixedReset Disc 1.06 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-07-26
Maturity Price : 19.00
Evaluated at bid price : 19.00
Bid-YTW : 7.91 %
CM.PR.Q FixedReset Disc 1.08 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-07-26
Maturity Price : 20.57
Evaluated at bid price : 20.57
Bid-YTW : 6.32 %
FTS.PR.J Perpetual-Discount 1.19 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-07-26
Maturity Price : 20.35
Evaluated at bid price : 20.35
Bid-YTW : 5.94 %
NA.PR.S FixedReset Disc 1.21 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-07-26
Maturity Price : 20.91
Evaluated at bid price : 20.91
Bid-YTW : 6.19 %
FTS.PR.G FixedReset Disc 1.24 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-07-26
Maturity Price : 17.99
Evaluated at bid price : 17.99
Bid-YTW : 7.05 %
TD.PF.J FixedReset Disc 1.29 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-07-26
Maturity Price : 22.87
Evaluated at bid price : 23.50
Bid-YTW : 5.91 %
BMO.PR.Y FixedReset Disc 1.30 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-07-26
Maturity Price : 21.02
Evaluated at bid price : 21.02
Bid-YTW : 6.17 %
SLF.PR.D Insurance Straight 1.33 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-07-26
Maturity Price : 19.10
Evaluated at bid price : 19.10
Bid-YTW : 5.90 %
TRP.PR.C FixedReset Disc 1.38 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-07-26
Maturity Price : 12.52
Evaluated at bid price : 12.52
Bid-YTW : 7.69 %
BMO.PR.T FixedReset Disc 1.47 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-07-26
Maturity Price : 20.65
Evaluated at bid price : 20.65
Bid-YTW : 6.08 %
BNS.PR.I FixedReset Disc 1.49 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-07-26
Maturity Price : 23.43
Evaluated at bid price : 23.85
Bid-YTW : 5.55 %
RY.PR.J FixedReset Disc 1.53 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-07-26
Maturity Price : 21.25
Evaluated at bid price : 21.25
Bid-YTW : 6.15 %
IAF.PR.I FixedReset Ins Non 1.57 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-07-26
Maturity Price : 22.71
Evaluated at bid price : 23.36
Bid-YTW : 6.03 %
TD.PF.L FixedReset Prem 1.65 % YTW SCENARIO
Maturity Type : Call
Maturity Date : 2024-04-30
Maturity Price : 25.00
Evaluated at bid price : 24.70
Bid-YTW : 5.90 %
NA.PR.E FixedReset Disc 1.69 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-07-26
Maturity Price : 22.18
Evaluated at bid price : 22.89
Bid-YTW : 5.92 %
SLF.PR.C Insurance Straight 1.69 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-07-26
Maturity Price : 19.20
Evaluated at bid price : 19.20
Bid-YTW : 5.86 %
RY.PR.H FixedReset Disc 1.70 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-07-26
Maturity Price : 20.90
Evaluated at bid price : 20.90
Bid-YTW : 5.95 %
CU.PR.E Perpetual-Discount 1.71 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-07-26
Maturity Price : 20.80
Evaluated at bid price : 20.80
Bid-YTW : 6.00 %
BAM.PF.G FixedReset Disc 1.94 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-07-26
Maturity Price : 17.38
Evaluated at bid price : 17.38
Bid-YTW : 7.61 %
MFC.PR.N FixedReset Ins Non 2.65 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-07-26
Maturity Price : 17.45
Evaluated at bid price : 17.45
Bid-YTW : 7.15 %
IFC.PR.C FixedReset Disc 4.33 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-07-26
Maturity Price : 17.84
Evaluated at bid price : 17.84
Bid-YTW : 7.06 %
TD.PF.D FixedReset Disc 6.26 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-07-26
Maturity Price : 21.04
Evaluated at bid price : 21.04
Bid-YTW : 6.24 %
Volume Highlights
Issue Index Shares
Traded
Notes
TD.PF.J FixedReset Disc 39,600 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-07-26
Maturity Price : 22.87
Evaluated at bid price : 23.50
Bid-YTW : 5.91 %
CU.PR.I FixedReset Prem 37,300 YTW SCENARIO
Maturity Type : Call
Maturity Date : 2025-12-01
Maturity Price : 25.00
Evaluated at bid price : 24.50
Bid-YTW : 5.41 %
GWO.PR.I Insurance Straight 35,300 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-07-26
Maturity Price : 18.97
Evaluated at bid price : 18.97
Bid-YTW : 6.00 %
PWF.PR.G Perpetual-Discount 34,664 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-07-26
Maturity Price : 23.69
Evaluated at bid price : 24.00
Bid-YTW : 6.17 %
BMO.PR.W FixedReset Disc 34,100 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-07-26
Maturity Price : 20.40
Evaluated at bid price : 20.40
Bid-YTW : 6.15 %
BAM.PF.F FixedReset Disc 26,331 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-07-26
Maturity Price : 18.34
Evaluated at bid price : 18.34
Bid-YTW : 7.59 %
There were 16 other index-included issues trading in excess of 10,000 shares.
Wide Spread Highlights
Issue Index Quote Data and Yield Notes
SLF.PR.E Insurance Straight Quote: 19.20 – 21.20
Spot Rate : 2.0000
Average : 1.1036

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-07-26
Maturity Price : 19.20
Evaluated at bid price : 19.20
Bid-YTW : 5.93 %

TD.PF.C FixedReset Disc Quote: 20.30 – 22.00
Spot Rate : 1.7000
Average : 1.0678

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-07-26
Maturity Price : 20.30
Evaluated at bid price : 20.30
Bid-YTW : 6.13 %

TRP.PR.E FixedReset Disc Quote: 16.20 – 18.00
Spot Rate : 1.8000
Average : 1.2404

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-07-26
Maturity Price : 16.20
Evaluated at bid price : 16.20
Bid-YTW : 7.79 %

BNS.PR.I FixedReset Disc Quote: 23.85 – 25.00
Spot Rate : 1.1500
Average : 0.7283

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-07-26
Maturity Price : 23.43
Evaluated at bid price : 23.85
Bid-YTW : 5.55 %

ELF.PR.F Perpetual-Discount Quote: 21.50 – 22.50
Spot Rate : 1.0000
Average : 0.5968

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-07-26
Maturity Price : 21.50
Evaluated at bid price : 21.50
Bid-YTW : 6.22 %

TD.PF.E FixedReset Disc Quote: 20.84 – 21.79
Spot Rate : 0.9500
Average : 0.5940

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-07-26
Maturity Price : 20.84
Evaluated at bid price : 20.84
Bid-YTW : 6.33 %

Research: CPD Analysis 2021

Tuesday, July 26th, 2022

An analysis of the CPD portfolio in March 2021.

Look for the research link!

July 25, 2022

Monday, July 25th, 2022
HIMIPref™ Preferred Indices
These values reflect the December 2008 revision of the HIMIPref™ Indices

Values are provisional and are finalized monthly
Index Mean
Current
Yield
(at bid)
Median
YTW
Median
Average
Trading
Value
Median
Mod Dur
(YTW)
Issues Day’s Perf. Index Value
Ratchet 0.00 % 0.00 % 0 0.00 0 0.5534 % 2,443.3
FixedFloater 0.00 % 0.00 % 0 0.00 0 0.5534 % 4,686.3
Floater 6.47 % 6.58 % 39,484 13.07 3 0.5534 % 2,700.7
OpRet 0.00 % 0.00 % 0 0.00 0 -0.1606 % 3,445.1
SplitShare 4.94 % 5.88 % 42,255 3.12 8 -0.1606 % 4,114.2
Interest-Bearing 0.00 % 0.00 % 0 0.00 0 -0.1606 % 3,210.0
Perpetual-Premium 0.00 % 0.00 % 0 0.00 0 -0.3497 % 2,820.1
Perpetual-Discount 6.04 % 6.15 % 73,030 13.69 34 -0.3497 % 3,075.2
FixedReset Disc 4.93 % 6.19 % 120,295 13.81 56 0.0371 % 2,389.4
Insurance Straight 6.01 % 6.10 % 84,917 13.72 18 -0.1188 % 2,990.8
FloatingReset 7.21 % 7.48 % 43,463 11.95 2 -0.3306 % 2,447.1
FixedReset Prem 5.11 % 5.70 % 128,944 1.90 10 -0.1252 % 2,549.3
FixedReset Bank Non 0.00 % 0.00 % 0 0.00 0 0.0371 % 2,442.4
FixedReset Ins Non 5.03 % 6.71 % 57,442 13.00 14 -0.3738 % 2,426.2
Performance Highlights
Issue Index Change Notes
IFC.PR.C FixedReset Disc -5.05 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-07-25
Maturity Price : 17.10
Evaluated at bid price : 17.10
Bid-YTW : 7.35 %
TD.PF.D FixedReset Disc -4.58 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-07-25
Maturity Price : 19.80
Evaluated at bid price : 19.80
Bid-YTW : 6.61 %
BAM.PF.G FixedReset Disc -3.13 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-07-25
Maturity Price : 17.05
Evaluated at bid price : 17.05
Bid-YTW : 7.75 %
MFC.PR.N FixedReset Ins Non -2.91 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-07-25
Maturity Price : 17.00
Evaluated at bid price : 17.00
Bid-YTW : 7.34 %
POW.PR.A Perpetual-Discount -2.60 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-07-25
Maturity Price : 22.22
Evaluated at bid price : 22.50
Bid-YTW : 6.27 %
BAM.PF.D Perpetual-Discount -1.82 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-07-25
Maturity Price : 20.00
Evaluated at bid price : 20.00
Bid-YTW : 6.20 %
IFC.PR.K Perpetual-Discount -1.62 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-07-25
Maturity Price : 21.30
Evaluated at bid price : 21.30
Bid-YTW : 6.24 %
BAM.PR.R FixedReset Disc -1.56 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-07-25
Maturity Price : 15.80
Evaluated at bid price : 15.80
Bid-YTW : 7.48 %
CU.PR.E Perpetual-Discount -1.54 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-07-25
Maturity Price : 20.45
Evaluated at bid price : 20.45
Bid-YTW : 6.10 %
BAM.PR.M Perpetual-Discount -1.41 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-07-25
Maturity Price : 19.52
Evaluated at bid price : 19.52
Bid-YTW : 6.16 %
MFC.PR.M FixedReset Ins Non -1.24 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-07-25
Maturity Price : 17.54
Evaluated at bid price : 17.54
Bid-YTW : 7.25 %
BAM.PR.Z FixedReset Disc -1.15 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-07-25
Maturity Price : 21.55
Evaluated at bid price : 21.55
Bid-YTW : 6.83 %
SLF.PR.C Insurance Straight -1.10 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-07-25
Maturity Price : 18.88
Evaluated at bid price : 18.88
Bid-YTW : 5.96 %
PVS.PR.J SplitShare -1.09 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2028-02-29
Maturity Price : 25.00
Evaluated at bid price : 22.65
Bid-YTW : 6.60 %
RY.PR.Z FixedReset Disc 1.03 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-07-25
Maturity Price : 20.41
Evaluated at bid price : 20.41
Bid-YTW : 6.08 %
RY.PR.J FixedReset Disc 1.05 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-07-25
Maturity Price : 20.93
Evaluated at bid price : 20.93
Bid-YTW : 6.24 %
TD.PF.B FixedReset Disc 1.10 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-07-25
Maturity Price : 20.30
Evaluated at bid price : 20.30
Bid-YTW : 6.17 %
RY.PR.N Perpetual-Discount 1.11 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-07-25
Maturity Price : 22.84
Evaluated at bid price : 23.10
Bid-YTW : 5.29 %
RY.PR.H FixedReset Disc 1.11 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-07-25
Maturity Price : 20.55
Evaluated at bid price : 20.55
Bid-YTW : 6.05 %
BAM.PR.C Floater 1.18 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-07-25
Maturity Price : 12.85
Evaluated at bid price : 12.85
Bid-YTW : 6.48 %
PWF.PR.P FixedReset Disc 1.22 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-07-25
Maturity Price : 13.30
Evaluated at bid price : 13.30
Bid-YTW : 7.38 %
TRP.PR.C FixedReset Disc 1.23 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-07-25
Maturity Price : 12.35
Evaluated at bid price : 12.35
Bid-YTW : 7.79 %
BMO.PR.W FixedReset Disc 1.24 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-07-25
Maturity Price : 20.35
Evaluated at bid price : 20.35
Bid-YTW : 6.16 %
RY.PR.M FixedReset Disc 1.32 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-07-25
Maturity Price : 20.33
Evaluated at bid price : 20.33
Bid-YTW : 6.17 %
TD.PF.A FixedReset Disc 1.40 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-07-25
Maturity Price : 20.33
Evaluated at bid price : 20.33
Bid-YTW : 6.10 %
RY.PR.S FixedReset Disc 1.50 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-07-25
Maturity Price : 23.04
Evaluated at bid price : 23.45
Bid-YTW : 5.56 %
CU.PR.H Perpetual-Discount 1.66 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-07-25
Maturity Price : 22.01
Evaluated at bid price : 22.01
Bid-YTW : 6.07 %
BMO.PR.Y FixedReset Disc 2.17 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-07-25
Maturity Price : 20.75
Evaluated at bid price : 20.75
Bid-YTW : 6.25 %
CM.PR.P FixedReset Disc 2.22 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-07-25
Maturity Price : 20.25
Evaluated at bid price : 20.25
Bid-YTW : 6.12 %
TRP.PR.A FixedReset Disc 2.39 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-07-25
Maturity Price : 15.00
Evaluated at bid price : 15.00
Bid-YTW : 7.71 %
CCS.PR.C Insurance Straight 2.48 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-07-25
Maturity Price : 21.25
Evaluated at bid price : 21.52
Bid-YTW : 5.86 %
Volume Highlights
Issue Index Shares
Traded
Notes
TD.PF.M FixedReset Prem 57,708 YTW SCENARIO
Maturity Type : Call
Maturity Date : 2024-07-31
Maturity Price : 25.00
Evaluated at bid price : 24.40
Bid-YTW : 6.38 %
CM.PR.P FixedReset Disc 52,924 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-07-25
Maturity Price : 20.25
Evaluated at bid price : 20.25
Bid-YTW : 6.12 %
IFC.PR.G FixedReset Ins Non 33,965 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-07-25
Maturity Price : 20.15
Evaluated at bid price : 20.15
Bid-YTW : 6.80 %
BAM.PF.H FixedReset Prem 30,878 YTW SCENARIO
Maturity Type : Call
Maturity Date : 2025-12-31
Maturity Price : 25.00
Evaluated at bid price : 25.15
Bid-YTW : 4.94 %
BAM.PR.T FixedReset Disc 26,974 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-07-25
Maturity Price : 16.35
Evaluated at bid price : 16.35
Bid-YTW : 7.38 %
NA.PR.G FixedReset Disc 26,756 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-07-25
Maturity Price : 22.61
Evaluated at bid price : 23.06
Bid-YTW : 6.08 %
There were 11 other index-included issues trading in excess of 10,000 shares.
Wide Spread Highlights
Issue Index Quote Data and Yield Notes
TRP.PR.G FixedReset Disc Quote: 17.90 – 20.05
Spot Rate : 2.1500
Average : 1.4942

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-07-25
Maturity Price : 17.90
Evaluated at bid price : 17.90
Bid-YTW : 7.44 %

BAM.PR.R FixedReset Disc Quote: 15.80 – 17.49
Spot Rate : 1.6900
Average : 1.1551

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-07-25
Maturity Price : 15.80
Evaluated at bid price : 15.80
Bid-YTW : 7.48 %

CM.PR.Y FixedReset Prem Quote: 24.80 – 25.99
Spot Rate : 1.1900
Average : 0.7020

YTW SCENARIO
Maturity Type : Call
Maturity Date : 2024-07-31
Maturity Price : 25.00
Evaluated at bid price : 24.80
Bid-YTW : 5.58 %

BAM.PF.A FixedReset Disc Quote: 20.71 – 21.86
Spot Rate : 1.1500
Average : 0.6972

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-07-25
Maturity Price : 20.71
Evaluated at bid price : 20.71
Bid-YTW : 7.02 %

IFC.PR.C FixedReset Disc Quote: 17.10 – 18.25
Spot Rate : 1.1500
Average : 0.7208

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-07-25
Maturity Price : 17.10
Evaluated at bid price : 17.10
Bid-YTW : 7.35 %

MIC.PR.A Perpetual-Discount Quote: 20.71 – 22.53
Spot Rate : 1.8200
Average : 1.4104

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-07-25
Maturity Price : 20.71
Evaluated at bid price : 20.71
Bid-YTW : 6.61 %

Research: ZPR Analysis 2020

Monday, July 25th, 2022

An analysis of the ZPR portfolio in September 2020.

Look for the research link!

July 22, 2022

Friday, July 22nd, 2022

US PMI contracted:

The S&P Global flash composite purchasing managers output index slid 4.8 points to 47.5, the weakest reading since May 2020, the group reported Friday. Outside of the early months of the pandemic, the July figure is the weakest in data back to 2009. Readings below 50 indicate contraction. The new orders gauge expanded modestly after contracting the previous month.

Similar results were seen in Europe. The group’s index of activity in the euro area unexpectedly shrank for the first time since early 2021. Output worsened among manufacturers, while growth in the service sector came close to stalling.

The US contraction was led by a steep decline in service-sector activity. The group’s services gauge slid to 47, the lowest print since May 2020. Excluding the pandemic, the July figure was the weakest in records back to 2009. Even so, firms continued to add jobs at a solid pace.

Meantime, the group’s manufacturing index eased to a two-year low of 52.3 in July. New orders shrank for a second month and employment growth slowed. Export orders also contracted as a stronger dollar and grimmer global picture weighed on foreign demand.

Lagarde now says the ECB Terminal Rate is whatever it takes:

The European Central bank will raise its interest rates until inflation falls back to its 2% target, the ECB’s President Christine Lagarde said in an interview with Germany’s Funke Mediengruppe published on Friday.

It was Lagarde’s strongest commitment to date to fighting inflation, which hit 8.6% in the euro zone last month, despite growing fears of a recession in the bloc as a result of Russia’s invasion of Ukraine.

“We will raise interest rates for as long as it takes to bring inflation back to our target,” she told the German network of newspapers.

From yesterday’s reporting, I thought the “Terminal Rate” was an ECB forecast, but it turns out that it’s just a calculated market number:

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 0.00 % 0.00 % 0 0.00 0 -0.2890 % 2,429.9
FixedFloater 0.00 % 0.00 % 0 0.00 0 -0.2890 % 4,660.5
Floater 6.50 % 6.58 % 40,155 13.07 3 -0.2890 % 2,685.9
OpRet 0.00 % 0.00 % 0 0.00 0 -0.2636 % 3,450.6
SplitShare 4.93 % 5.86 % 44,018 3.13 8 -0.2636 % 4,120.8
Interest-Bearing 0.00 % 0.00 % 0 0.00 0 -0.2636 % 3,215.2
Perpetual-Premium 0.00 % 0.00 % 0 0.00 0 0.0758 % 2,830.0
Perpetual-Discount 6.02 % 6.10 % 71,551 13.74 34 0.0758 % 3,086.0
FixedReset Disc 4.93 % 6.26 % 121,372 13.79 56 0.5978 % 2,388.5
Insurance Straight 6.01 % 6.10 % 84,630 13.76 18 0.2734 % 2,994.4
FloatingReset 7.20 % 7.49 % 44,107 11.94 2 0.1656 % 2,455.3
FixedReset Prem 5.11 % 5.66 % 127,270 1.91 10 -0.0565 % 2,552.5
FixedReset Bank Non 0.00 % 0.00 % 0 0.00 0 0.5978 % 2,441.5
FixedReset Ins Non 5.01 % 6.73 % 55,962 13.00 14 -0.0778 % 2,435.3
Performance Highlights
Issue Index Change Notes
BAM.PF.F FixedReset Disc -2.65 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-07-22
Maturity Price : 18.40
Evaluated at bid price : 18.40
Bid-YTW : 7.57 %
CCS.PR.C Insurance Straight -2.33 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-07-22
Maturity Price : 21.00
Evaluated at bid price : 21.00
Bid-YTW : 6.02 %
BAM.PF.A FixedReset Disc -1.76 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-07-22
Maturity Price : 20.63
Evaluated at bid price : 20.63
Bid-YTW : 7.05 %
BAM.PF.B FixedReset Disc -1.58 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-07-22
Maturity Price : 18.70
Evaluated at bid price : 18.70
Bid-YTW : 7.30 %
BAM.PR.Z FixedReset Disc -1.40 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-07-22
Maturity Price : 21.48
Evaluated at bid price : 21.80
Bid-YTW : 6.74 %
BAM.PF.G FixedReset Disc -1.40 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-07-22
Maturity Price : 17.60
Evaluated at bid price : 17.60
Bid-YTW : 7.53 %
TRP.PR.C FixedReset Disc -1.37 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-07-22
Maturity Price : 12.20
Evaluated at bid price : 12.20
Bid-YTW : 7.89 %
BAM.PR.T FixedReset Disc -1.33 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-07-22
Maturity Price : 16.33
Evaluated at bid price : 16.33
Bid-YTW : 7.39 %
POW.PR.C Perpetual-Discount -1.25 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-07-22
Maturity Price : 23.41
Evaluated at bid price : 23.70
Bid-YTW : 6.16 %
NA.PR.G FixedReset Disc 1.01 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-07-22
Maturity Price : 22.57
Evaluated at bid price : 23.02
Bid-YTW : 6.09 %
SLF.PR.D Insurance Straight 1.01 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-07-22
Maturity Price : 18.96
Evaluated at bid price : 18.96
Bid-YTW : 5.94 %
CU.PR.F Perpetual-Discount 1.06 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-07-22
Maturity Price : 19.10
Evaluated at bid price : 19.10
Bid-YTW : 5.99 %
CU.PR.J Perpetual-Discount 1.07 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-07-22
Maturity Price : 19.91
Evaluated at bid price : 19.91
Bid-YTW : 6.07 %
CM.PR.P FixedReset Disc 1.07 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-07-22
Maturity Price : 19.81
Evaluated at bid price : 19.81
Bid-YTW : 6.26 %
SLF.PR.C Insurance Straight 1.17 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-07-22
Maturity Price : 19.09
Evaluated at bid price : 19.09
Bid-YTW : 5.89 %
TRP.PR.E FixedReset Disc 1.25 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-07-22
Maturity Price : 16.20
Evaluated at bid price : 16.20
Bid-YTW : 7.79 %
FTS.PR.G FixedReset Disc 1.43 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-07-22
Maturity Price : 17.75
Evaluated at bid price : 17.75
Bid-YTW : 7.15 %
TD.PF.J FixedReset Disc 1.53 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-07-22
Maturity Price : 22.60
Evaluated at bid price : 23.20
Bid-YTW : 6.00 %
SLF.PR.G FixedReset Ins Non 1.75 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-07-22
Maturity Price : 13.95
Evaluated at bid price : 13.95
Bid-YTW : 6.94 %
RY.PR.Z FixedReset Disc 1.90 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-07-22
Maturity Price : 20.43
Evaluated at bid price : 20.43
Bid-YTW : 6.16 %
NA.PR.S FixedReset Disc 1.93 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-07-22
Maturity Price : 20.55
Evaluated at bid price : 20.55
Bid-YTW : 6.30 %
GWO.PR.P Insurance Straight 1.97 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-07-22
Maturity Price : 22.03
Evaluated at bid price : 22.26
Bid-YTW : 6.12 %
TD.PF.B FixedReset Disc 1.98 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-07-22
Maturity Price : 20.08
Evaluated at bid price : 20.08
Bid-YTW : 6.24 %
TD.PF.A FixedReset Disc 2.04 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-07-22
Maturity Price : 20.05
Evaluated at bid price : 20.05
Bid-YTW : 6.19 %
NA.PR.W FixedReset Disc 2.14 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-07-22
Maturity Price : 19.61
Evaluated at bid price : 19.61
Bid-YTW : 6.32 %
FTS.PR.H FixedReset Disc 2.14 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-07-22
Maturity Price : 13.35
Evaluated at bid price : 13.35
Bid-YTW : 7.33 %
BAM.PR.X FixedReset Disc 2.41 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-07-22
Maturity Price : 17.00
Evaluated at bid price : 17.00
Bid-YTW : 6.96 %
BMO.PR.T FixedReset Disc 3.49 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-07-22
Maturity Price : 20.18
Evaluated at bid price : 20.18
Bid-YTW : 6.23 %
TD.PF.D FixedReset Disc 4.80 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-07-22
Maturity Price : 20.75
Evaluated at bid price : 20.75
Bid-YTW : 6.33 %
TD.PF.C FixedReset Disc 6.30 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-07-22
Maturity Price : 20.41
Evaluated at bid price : 20.41
Bid-YTW : 6.10 %
TRP.PR.A FixedReset Disc 10.98 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-07-22
Maturity Price : 14.65
Evaluated at bid price : 14.65
Bid-YTW : 7.89 %
Volume Highlights
Issue Index Shares
Traded
Notes
TD.PF.A FixedReset Disc 89,300 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-07-22
Maturity Price : 20.05
Evaluated at bid price : 20.05
Bid-YTW : 6.19 %
CM.PR.S FixedReset Disc 47,500 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-07-22
Maturity Price : 22.29
Evaluated at bid price : 23.06
Bid-YTW : 5.76 %
BMO.PR.F FixedReset Prem 40,900 YTW SCENARIO
Maturity Type : Call
Maturity Date : 2024-05-25
Maturity Price : 25.00
Evaluated at bid price : 25.05
Bid-YTW : 5.47 %
MFC.PR.I FixedReset Ins Non 40,340 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-07-22
Maturity Price : 23.35
Evaluated at bid price : 24.44
Bid-YTW : 5.92 %
MFC.PR.Q FixedReset Ins Non 34,600 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-07-22
Maturity Price : 20.47
Evaluated at bid price : 20.47
Bid-YTW : 6.70 %
TD.PF.C FixedReset Disc 21,400 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-07-22
Maturity Price : 20.41
Evaluated at bid price : 20.41
Bid-YTW : 6.10 %
There were 13 other index-included issues trading in excess of 10,000 shares.
Wide Spread Highlights
Issue Index Quote Data and Yield Notes
BMO.PR.W FixedReset Disc Quote: 20.10 – 24.50
Spot Rate : 4.4000
Average : 2.4691

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-07-22
Maturity Price : 20.10
Evaluated at bid price : 20.10
Bid-YTW : 6.24 %

CU.PR.C FixedReset Disc Quote: 20.07 – 22.20
Spot Rate : 2.1300
Average : 1.2933

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-07-22
Maturity Price : 20.07
Evaluated at bid price : 20.07
Bid-YTW : 6.69 %

TRP.PR.E FixedReset Disc Quote: 16.20 – 18.00
Spot Rate : 1.8000
Average : 1.1277

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-07-22
Maturity Price : 16.20
Evaluated at bid price : 16.20
Bid-YTW : 7.79 %

FTS.PR.M FixedReset Disc Quote: 18.45 – 20.10
Spot Rate : 1.6500
Average : 1.0050

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-07-22
Maturity Price : 18.45
Evaluated at bid price : 18.45
Bid-YTW : 7.10 %

MFC.PR.M FixedReset Ins Non Quote: 17.76 – 22.00
Spot Rate : 4.2400
Average : 3.6109

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-07-22
Maturity Price : 17.76
Evaluated at bid price : 17.76
Bid-YTW : 7.17 %

BAM.PF.B FixedReset Disc Quote: 18.70 – 20.00
Spot Rate : 1.3000
Average : 0.7617

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-07-22
Maturity Price : 18.70
Evaluated at bid price : 18.70
Bid-YTW : 7.30 %

Research : CPD Analysis, 2017

Friday, July 22nd, 2022

An analysis of the CPD portfolio in mid-2017.

Look for the research link!

CF.PR.A & CF.PR.C No Longer Rated by DBRS

Thursday, July 21st, 2022

DBRS has announced that it:

withdrew its rating on Canaccord Genuity Group Inc.’s (CG) Cumulative Preferred Shares. The decision to withdraw the rating was made at the issuer’s request. The last rating action on CG was on October 22, 2021, when DBRS Morningstar confirmed the Company’s Cumulative Preferred Shares rating at Pfd-4 (high) with a Stable trend.

ENVIRONMENTAL, SOCIAL, GOVERNANCE CONSIDERATIONS
There were no Environmental/Social/Governance factors that had a significant or relevant effect on the credit analysis.

Affected issues are CF.PR.A and CF.PR.C