November 4, 2021

November 4th, 2021
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 0.4745 % 2,858.9
FixedFloater 0.00 % 0.00 % 0 0.00 0 0.4745 % 5,246.0
Floater 3.04 % 3.07 % 77,237 19.53 3 0.4745 % 3,023.3
OpRet 0.00 % 0.00 % 0 0.00 0 -0.0308 % 3,707.2
SplitShare 4.62 % 4.26 % 58,579 3.85 5 -0.0308 % 4,427.1
Interest-Bearing 0.00 % 0.00 % 0 0.00 0 -0.0308 % 3,454.2
Perpetual-Premium 5.08 % -6.89 % 58,053 0.09 32 -0.0074 % 3,273.9
Perpetual-Discount 4.72 % 4.59 % 2,187,856 16.19 2 0.2248 % 3,868.6
FixedReset Disc 3.78 % 3.93 % 119,088 16.76 40 -0.0759 % 2,936.3
Insurance Straight 4.93 % 4.49 % 86,211 3.50 20 -0.0356 % 3,682.8
FloatingReset 2.50 % 2.77 % 26,441 20.31 2 0.1939 % 2,935.8
FixedReset Prem 4.69 % 2.54 % 132,255 1.80 30 0.0620 % 2,763.4
FixedReset Bank Non 0.00 % 0.00 % 0 0.00 0 -0.0759 % 3,001.5
FixedReset Ins Non 4.02 % 3.87 % 98,331 16.93 19 0.1654 % 2,998.2
Performance Highlights
Issue Index Change Notes
PWF.PR.P FixedReset Disc -8.26 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-11-04
Maturity Price : 16.65
Evaluated at bid price : 16.65
Bid-YTW : 4.37 %
GWO.PR.F Insurance Straight -2.05 % YTW SCENARIO
Maturity Type : Call
Maturity Date : 2021-12-04
Maturity Price : 25.00
Evaluated at bid price : 25.32
Bid-YTW : -2.75 %
TRP.PR.E FixedReset Disc -2.03 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-11-04
Maturity Price : 21.41
Evaluated at bid price : 21.75
Bid-YTW : 4.45 %
TD.PF.B FixedReset Disc -1.14 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-11-04
Maturity Price : 23.13
Evaluated at bid price : 24.25
Bid-YTW : 3.85 %
CU.PR.C FixedReset Disc -1.12 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-11-04
Maturity Price : 22.24
Evaluated at bid price : 22.98
Bid-YTW : 4.23 %
GWO.PR.R Insurance Straight -1.11 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-11-04
Maturity Price : 24.65
Evaluated at bid price : 24.91
Bid-YTW : 4.86 %
FTS.PR.G FixedReset Disc -1.06 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-11-04
Maturity Price : 23.03
Evaluated at bid price : 23.40
Bid-YTW : 4.03 %
IFC.PR.A FixedReset Ins Non 1.04 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-11-04
Maturity Price : 21.43
Evaluated at bid price : 21.43
Bid-YTW : 3.85 %
BMO.PR.Y FixedReset Disc 1.09 % YTW SCENARIO
Maturity Type : Call
Maturity Date : 2025-08-25
Maturity Price : 25.00
Evaluated at bid price : 25.00
Bid-YTW : 3.02 %
BAM.PR.M Perpetual-Premium 1.26 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-11-04
Maturity Price : 24.68
Evaluated at bid price : 25.00
Bid-YTW : 4.79 %
BAM.PR.B Floater 1.28 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-11-04
Maturity Price : 14.28
Evaluated at bid price : 14.28
Bid-YTW : 3.02 %
SLF.PR.G FixedReset Ins Non 1.31 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-11-04
Maturity Price : 18.51
Evaluated at bid price : 18.51
Bid-YTW : 3.74 %
BIP.PR.E FixedReset Prem 1.35 % YTW SCENARIO
Maturity Type : Call
Maturity Date : 2023-03-31
Maturity Price : 25.00
Evaluated at bid price : 25.44
Bid-YTW : 4.09 %
IFC.PR.E Insurance Straight 1.90 % YTW SCENARIO
Maturity Type : Call
Maturity Date : 2022-06-30
Maturity Price : 26.00
Evaluated at bid price : 26.80
Bid-YTW : 1.03 %
BAM.PR.X FixedReset Disc 10.72 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-11-04
Maturity Price : 18.90
Evaluated at bid price : 18.90
Bid-YTW : 4.44 %
Volume Highlights
Issue Index Shares
Traded		 Notes
GWO.PR.I Insurance Straight 101,297 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-11-04
Maturity Price : 24.22
Evaluated at bid price : 24.48
Bid-YTW : 4.63 %
RY.PR.J FixedReset Disc 78,200 YTW SCENARIO
Maturity Type : Call
Maturity Date : 2025-05-24
Maturity Price : 25.00
Evaluated at bid price : 24.95
Bid-YTW : 3.22 %
MFC.PR.H FixedReset Ins Non 50,576 YTW SCENARIO
Maturity Type : Call
Maturity Date : 2022-03-19
Maturity Price : 25.00
Evaluated at bid price : 25.26
Bid-YTW : 2.97 %
CU.PR.G Perpetual-Premium 46,095 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-11-04
Maturity Price : 24.23
Evaluated at bid price : 24.47
Bid-YTW : 4.59 %
GWO.PR.M Insurance Straight 40,960 YTW SCENARIO
Maturity Type : Call
Maturity Date : 2021-12-04
Maturity Price : 25.00
Evaluated at bid price : 25.50
Bid-YTW : -11.28 %
PWF.PF.A Perpetual-Discount 39,086 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-11-04
Maturity Price : 24.20
Evaluated at bid price : 24.59
Bid-YTW : 4.59 %
There were 29 other index-included issues trading in excess of 10,000 shares.
Wide Spread Highlights
Issue Index Quote Data and Yield Notes
PWF.PR.P FixedReset Disc Quote: 16.65 – 18.35
Spot Rate : 1.7000
Average : 1.2169

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-11-04
Maturity Price : 16.65
Evaluated at bid price : 16.65
Bid-YTW : 4.37 %
BAM.PR.M Perpetual-Premium Quote: 25.00 – 25.80
Spot Rate : 0.8000
Average : 0.5476

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-11-04
Maturity Price : 24.68
Evaluated at bid price : 25.00
Bid-YTW : 4.79 %
CU.PR.F Perpetual-Premium Quote: 24.28 – 25.00
Spot Rate : 0.7200
Average : 0.4775

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-11-04
Maturity Price : 24.02
Evaluated at bid price : 24.28
Bid-YTW : 4.62 %
CU.PR.G Perpetual-Premium Quote: 24.47 – 25.25
Spot Rate : 0.7800
Average : 0.5501

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-11-04
Maturity Price : 24.23
Evaluated at bid price : 24.47
Bid-YTW : 4.59 %
BAM.PF.D Perpetual-Premium Quote: 25.25 – 25.84
Spot Rate : 0.5900
Average : 0.3812

YTW SCENARIO
Maturity Type : Call
Maturity Date : 2022-09-30
Maturity Price : 25.00
Evaluated at bid price : 25.25
Bid-YTW : 4.33 %
BAM.PF.C Perpetual-Premium Quote: 25.00 – 25.38
Spot Rate : 0.3800
Average : 0.2392

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-11-04
Maturity Price : 24.69
Evaluated at bid price : 25.00
Bid-YTW : 4.89 %

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November 3, 2021

November 3rd, 2021
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 -0.2603 % 2,845.4
FixedFloater 0.00 % 0.00 % 0 0.00 0 -0.2603 % 5,221.2
Floater 3.05 % 3.07 % 73,676 19.53 3 -0.2603 % 3,009.0
OpRet 0.00 % 0.00 % 0 0.00 0 0.2781 % 3,708.3
SplitShare 4.62 % 4.26 % 57,013 3.86 5 0.2781 % 4,428.5
Interest-Bearing 0.00 % 0.00 % 0 0.00 0 0.2781 % 3,455.3
Perpetual-Premium 5.08 % -7.29 % 54,335 0.09 32 0.0343 % 3,274.1
Perpetual-Discount 4.73 % 4.88 % 34,730 15.69 2 0.1228 % 3,859.9
FixedReset Disc 3.78 % 3.94 % 118,376 16.89 40 0.1085 % 2,938.5
Insurance Straight 4.93 % 3.98 % 80,326 0.64 20 0.0910 % 3,684.1
FloatingReset 2.50 % 2.79 % 25,770 20.26 2 1.1204 % 2,930.1
FixedReset Prem 4.69 % 2.50 % 133,114 1.89 30 -0.1173 % 2,761.7
FixedReset Bank Non 0.00 % 0.00 % 0 0.00 0 0.1085 % 3,003.8
FixedReset Ins Non 4.03 % 3.87 % 91,052 16.91 19 -0.0960 % 2,993.2
Performance Highlights
Issue Index Change Notes
BAM.PR.X FixedReset Disc -9.44 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-11-03
Maturity Price : 17.07
Evaluated at bid price : 17.07
Bid-YTW : 4.92 %
BIP.PR.E FixedReset Prem -1.95 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-11-03
Maturity Price : 23.80
Evaluated at bid price : 25.10
Bid-YTW : 4.96 %
GWO.PR.N FixedReset Ins Non -1.17 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-11-03
Maturity Price : 16.85
Evaluated at bid price : 16.85
Bid-YTW : 3.89 %
TD.PF.J FixedReset Prem -1.13 % YTW SCENARIO
Maturity Type : Call
Maturity Date : 2023-04-30
Maturity Price : 25.00
Evaluated at bid price : 25.36
Bid-YTW : 3.73 %
TRP.PR.F FloatingReset 1.09 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-11-03
Maturity Price : 18.60
Evaluated at bid price : 18.60
Bid-YTW : 2.79 %
CM.PR.Y FixedReset Prem 1.13 % YTW SCENARIO
Maturity Type : Call
Maturity Date : 2024-07-31
Maturity Price : 25.00
Evaluated at bid price : 26.75
Bid-YTW : 2.54 %
TD.PF.B FixedReset Disc 1.15 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-11-03
Maturity Price : 23.25
Evaluated at bid price : 24.53
Bid-YTW : 3.79 %
SLF.PR.J FloatingReset 1.16 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-11-03
Maturity Price : 17.50
Evaluated at bid price : 17.50
Bid-YTW : 2.23 %
PVS.PR.I SplitShare 1.72 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-10-31
Maturity Price : 25.00
Evaluated at bid price : 26.05
Bid-YTW : 3.83 %
SLF.PR.G FixedReset Ins Non 2.53 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-11-03
Maturity Price : 18.27
Evaluated at bid price : 18.27
Bid-YTW : 3.79 %
PWF.PR.P FixedReset Disc 9.01 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-11-03
Maturity Price : 18.15
Evaluated at bid price : 18.15
Bid-YTW : 4.01 %
Volume Highlights
Issue Index Shares
Traded		 Notes
BAM.PR.R FixedReset Disc 396,400 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-11-03
Maturity Price : 21.22
Evaluated at bid price : 21.22
Bid-YTW : 4.40 %
PWF.PR.P FixedReset Disc 263,253 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-11-03
Maturity Price : 18.15
Evaluated at bid price : 18.15
Bid-YTW : 4.01 %
SLF.PR.E Insurance Straight 59,843 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-11-03
Maturity Price : 24.55
Evaluated at bid price : 24.80
Bid-YTW : 4.57 %
CM.PR.Q FixedReset Disc 50,400 YTW SCENARIO
Maturity Type : Call
Maturity Date : 2025-07-31
Maturity Price : 25.00
Evaluated at bid price : 24.90
Bid-YTW : 3.29 %
CM.PR.S FixedReset Prem 41,565 YTW SCENARIO
Maturity Type : Call
Maturity Date : 2023-01-31
Maturity Price : 25.00
Evaluated at bid price : 25.30
Bid-YTW : 3.58 %
SLF.PR.I FixedReset Ins Non 41,500 YTW SCENARIO
Maturity Type : Call
Maturity Date : 2021-12-31
Maturity Price : 25.00
Evaluated at bid price : 25.12
Bid-YTW : 3.04 %
There were 19 other index-included issues trading in excess of 10,000 shares.
Wide Spread Highlights
Issue Index Quote Data and Yield Notes
BAM.PR.X FixedReset Disc Quote: 17.07 – 19.25
Spot Rate : 2.1800
Average : 1.2468

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-11-03
Maturity Price : 17.07
Evaluated at bid price : 17.07
Bid-YTW : 4.92 %
CU.PR.E Perpetual-Premium Quote: 24.98 – 25.90
Spot Rate : 0.9200
Average : 0.5560

YTW SCENARIO
Maturity Type : Call
Maturity Date : 2021-12-03
Maturity Price : 25.00
Evaluated at bid price : 24.98
Bid-YTW : 1.31 %
BAM.PR.R FixedReset Disc Quote: 21.22 – 22.00
Spot Rate : 0.7800
Average : 0.5600

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-11-03
Maturity Price : 21.22
Evaluated at bid price : 21.22
Bid-YTW : 4.40 %
BAM.PF.E FixedReset Disc Quote: 22.10 – 22.90
Spot Rate : 0.8000
Average : 0.6472

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-11-03
Maturity Price : 21.80
Evaluated at bid price : 22.10
Bid-YTW : 4.54 %
GWO.PR.N FixedReset Ins Non Quote: 16.85 – 17.49
Spot Rate : 0.6400
Average : 0.4927

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-11-03
Maturity Price : 16.85
Evaluated at bid price : 16.85
Bid-YTW : 3.89 %
RY.PR.M FixedReset Disc Quote: 24.25 – 24.79
Spot Rate : 0.5400
Average : 0.3976

YTW SCENARIO
Maturity Type : Call
Maturity Date : 2025-11-24
Maturity Price : 25.00
Evaluated at bid price : 24.25
Bid-YTW : 3.77 %

Posted in Market Action | No Comments »

November 2, 2021

November 2nd, 2021
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 1.1247 % 2,852.9
FixedFloater 0.00 % 0.00 % 0 0.00 0 1.1247 % 5,234.9
Floater 3.04 % 3.07 % 72,942 19.54 3 1.1247 % 3,016.9
OpRet 0.00 % 0.00 % 0 0.00 0 -0.3656 % 3,698.0
SplitShare 4.63 % 4.27 % 59,368 3.86 5 -0.3656 % 4,416.2
Interest-Bearing 0.00 % 0.00 % 0 0.00 0 -0.3656 % 3,445.7
Perpetual-Premium 5.08 % -7.67 % 56,270 0.09 32 -0.0098 % 3,273.0
Perpetual-Discount 4.73 % 4.62 % 2,297,794 16.15 2 0.2462 % 3,855.2
FixedReset Disc 3.78 % 3.94 % 117,053 16.87 40 -0.0206 % 2,935.4
Insurance Straight 4.93 % 4.53 % 83,025 3.51 20 0.0990 % 3,680.8
FloatingReset 2.53 % 2.82 % 25,923 20.18 2 -0.2793 % 2,897.6
FixedReset Prem 4.68 % 2.55 % 125,901 1.81 30 0.1045 % 2,764.9
FixedReset Bank Non 0.00 % 0.00 % 0 0.00 0 -0.0206 % 3,000.5
FixedReset Ins Non 4.02 % 3.85 % 91,564 16.84 19 -0.0580 % 2,996.1
Performance Highlights
Issue Index Change Notes
PWF.PR.P FixedReset Disc -9.71 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-11-02
Maturity Price : 16.65
Evaluated at bid price : 16.65
Bid-YTW : 4.36 %
BAM.PF.E FixedReset Disc -2.93 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-11-02
Maturity Price : 21.87
Evaluated at bid price : 22.20
Bid-YTW : 4.52 %
RS.PR.A SplitShare -2.09 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-12-31
Maturity Price : 10.00
Evaluated at bid price : 10.77
Bid-YTW : 3.40 %
BIP.PR.A FixedReset Disc -1.77 % YTW SCENARIO
Maturity Type : Call
Maturity Date : 2025-06-30
Maturity Price : 25.00
Evaluated at bid price : 25.00
Bid-YTW : 4.10 %
SLF.PR.G FixedReset Ins Non -1.55 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-11-02
Maturity Price : 17.82
Evaluated at bid price : 17.82
Bid-YTW : 3.88 %
SLF.PR.J FloatingReset -1.14 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-11-02
Maturity Price : 17.30
Evaluated at bid price : 17.30
Bid-YTW : 2.25 %
BNS.PR.I FixedReset Prem -1.13 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-11-02
Maturity Price : 23.64
Evaluated at bid price : 25.33
Bid-YTW : 3.92 %
SLF.PR.D Insurance Straight 1.10 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-11-02
Maturity Price : 24.52
Evaluated at bid price : 24.77
Bid-YTW : 4.53 %
BAM.PR.K Floater 1.15 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-11-02
Maturity Price : 14.08
Evaluated at bid price : 14.08
Bid-YTW : 3.07 %
FTS.PR.H FixedReset Disc 1.53 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-11-02
Maturity Price : 17.24
Evaluated at bid price : 17.24
Bid-YTW : 4.08 %
TRP.PR.B FixedReset Disc 1.58 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-11-02
Maturity Price : 14.76
Evaluated at bid price : 14.76
Bid-YTW : 4.45 %
TRP.PR.C FixedReset Disc 1.61 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-11-02
Maturity Price : 16.45
Evaluated at bid price : 16.45
Bid-YTW : 4.33 %
BIP.PR.E FixedReset Prem 1.99 % YTW SCENARIO
Maturity Type : Call
Maturity Date : 2023-03-31
Maturity Price : 25.00
Evaluated at bid price : 25.60
Bid-YTW : 3.61 %
BAM.PF.G FixedReset Disc 2.32 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-11-02
Maturity Price : 23.00
Evaluated at bid price : 24.25
Bid-YTW : 4.25 %
TRP.PR.E FixedReset Disc 2.66 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-11-02
Maturity Price : 21.75
Evaluated at bid price : 22.00
Bid-YTW : 4.40 %
BAM.PR.B Floater 2.76 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-11-02
Maturity Price : 14.13
Evaluated at bid price : 14.13
Bid-YTW : 3.05 %
BAM.PR.T FixedReset Disc 3.08 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-11-02
Maturity Price : 21.44
Evaluated at bid price : 21.75
Bid-YTW : 4.44 %
Volume Highlights
Issue Index Shares
Traded		 Notes
BMO.PR.C FixedReset Prem 219,520 YTW SCENARIO
Maturity Type : Call
Maturity Date : 2022-05-25
Maturity Price : 25.00
Evaluated at bid price : 25.26
Bid-YTW : 2.10 %
TD.PF.C FixedReset Disc 68,732 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-11-02
Maturity Price : 23.22
Evaluated at bid price : 24.67
Bid-YTW : 3.77 %
TRP.PR.B FixedReset Disc 58,000 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-11-02
Maturity Price : 14.76
Evaluated at bid price : 14.76
Bid-YTW : 4.45 %
IFC.PR.G FixedReset Ins Non 50,130 YTW SCENARIO
Maturity Type : Call
Maturity Date : 2023-06-30
Maturity Price : 25.00
Evaluated at bid price : 25.53
Bid-YTW : 3.88 %
RY.PR.J FixedReset Disc 39,260 YTW SCENARIO
Maturity Type : Call
Maturity Date : 2025-05-24
Maturity Price : 25.00
Evaluated at bid price : 24.95
Bid-YTW : 3.21 %
TD.PF.K FixedReset Prem 37,281 YTW SCENARIO
Maturity Type : Call
Maturity Date : 2023-10-31
Maturity Price : 25.00
Evaluated at bid price : 25.53
Bid-YTW : 3.67 %
There were 19 other index-included issues trading in excess of 10,000 shares.
Wide Spread Highlights
Issue Index Quote Data and Yield Notes
PWF.PR.P FixedReset Disc Quote: 16.65 – 18.50
Spot Rate : 1.8500
Average : 1.1446

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-11-02
Maturity Price : 16.65
Evaluated at bid price : 16.65
Bid-YTW : 4.36 %
BIP.PR.D FixedReset Prem Quote: 25.63 – 26.98
Spot Rate : 1.3500
Average : 0.8282

YTW SCENARIO
Maturity Type : Call
Maturity Date : 2022-03-31
Maturity Price : 25.00
Evaluated at bid price : 25.63
Bid-YTW : -0.02 %
BAM.PF.E FixedReset Disc Quote: 22.20 – 22.96
Spot Rate : 0.7600
Average : 0.4797

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-11-02
Maturity Price : 21.87
Evaluated at bid price : 22.20
Bid-YTW : 4.52 %
IFC.PR.I Perpetual-Premium Quote: 26.55 – 27.70
Spot Rate : 1.1500
Average : 0.8881

YTW SCENARIO
Maturity Type : Call
Maturity Date : 2029-03-31
Maturity Price : 25.00
Evaluated at bid price : 26.55
Bid-YTW : 4.52 %
GWO.PR.T Insurance Straight Quote: 26.30 – 27.00
Spot Rate : 0.7000
Average : 0.5445

YTW SCENARIO
Maturity Type : Call
Maturity Date : 2022-06-30
Maturity Price : 26.00
Evaluated at bid price : 26.30
Bid-YTW : 3.91 %
PWF.PR.L Perpetual-Premium Quote: 25.35 – 25.80
Spot Rate : 0.4500
Average : 0.3128

YTW SCENARIO
Maturity Type : Call
Maturity Date : 2021-12-02
Maturity Price : 25.00
Evaluated at bid price : 25.35
Bid-YTW : -11.17 %

a

Posted in Market Action | No Comments »

ENS.PR.A To Get Bigger

November 1st, 2021

Middlefield Group has announced:

on behalf of E Split Corp. (TSX: ENS and ENS.PR.A) (the “Company”), is pleased to announce that the Company is undertaking an overnight treasury offering of class A and preferred shares (the “Class A Shares” and “Preferred Shares”, respectively).

The sales period for this overnight offering will end at 9:00 a.m. (ET) on Tuesday, November 2, 2021. The offering is expected to close on or about November 9, 2021 and is subject to certain closing conditions including approval by the Toronto Stock Exchange (“TSX”).

The Class A Shares will be offered at a price of $15.50 per Class A Share to yield 10.1% and the Preferred Shares will be offered at a price of $10.15 per Preferred Share to yield 5.2%. The closing price on the TSX for each of the Class A Shares and Preferred Shares on October 29, 2021 was $15.88 and $10.23, respectively. The Class A Share and Preferred Share offering prices were determined so as to be non-dilutive to the most recently calculated net asset value per unit of the Company (calculated as at October 29, 2021), as adjusted for dividends and certain expenses to be accrued prior to or upon settlement of the offering.

The Company invests in common shares of Enbridge Inc., a North American oil and gas pipeline, gas processing and natural gas distribution company.

The Company’s investment objectives for the:

Class A Shares are to provide holders with:
(i) non-cumulative monthly cash distributions; and
(ii) the opportunity for capital appreciation through exposure to the portfolio

Preferred Shares are to:
(i) provide holders with fixed cumulative preferential quarterly cash distributions; and
(ii) return the original issue price of $10.00 to holders upon maturity.

Middlefield Capital Corporation provides investment management advice to the Company.

The syndicate of agents for the offering is being co-led by CIBC Capital Markets and RBC Capital Markets.

For further information, please visit our website at www.middlefield.com or contact Nancy Tham in our Sales and Marketing Department at 1.888.890.1868.

The NAVPU was 24.28 on October 29 and they’re selling the Whole Units for 25.65, a premium of 5.64%. Not bad!

Posted in Issue Comments | 1 Comment »

November 1, 2021

November 1st, 2021
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 -0.6183 % 2,821.1
FixedFloater 0.00 % 0.00 % 0 0.00 0 -0.6183 % 5,176.7
Floater 3.08 % 3.10 % 69,491 19.46 3 -0.6183 % 2,983.3
OpRet 0.00 % 0.00 % 0 0.00 0 -0.1690 % 3,711.6
SplitShare 4.62 % 4.30 % 58,312 3.86 5 -0.1690 % 4,432.4
Interest-Bearing 0.00 % 0.00 % 0 0.00 0 -0.1690 % 3,458.3
Perpetual-Premium 5.08 % -6.51 % 56,036 0.09 32 -0.0343 % 3,273.3
Perpetual-Discount 4.74 % 4.62 % 2,379,307 16.14 2 0.0000 % 3,845.7
FixedReset Disc 3.78 % 3.89 % 117,828 16.86 40 0.4029 % 2,936.0
Insurance Straight 4.94 % 4.46 % 83,487 3.51 20 0.0991 % 3,677.1
FloatingReset 2.52 % 2.83 % 26,233 20.14 2 1.4164 % 2,905.7
FixedReset Prem 4.69 % 2.55 % 128,451 1.97 30 0.0813 % 2,762.0
FixedReset Bank Non 0.00 % 0.00 % 0 0.00 0 0.4029 % 3,001.1
FixedReset Ins Non 4.02 % 3.87 % 95,076 16.84 19 0.1072 % 2,997.8
Performance Highlights
Issue Index Change Notes
TRP.PR.B FixedReset Disc -1.89 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-11-01
Maturity Price : 14.53
Evaluated at bid price : 14.53
Bid-YTW : 4.52 %
BAM.PR.B Floater -1.79 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-11-01
Maturity Price : 13.75
Evaluated at bid price : 13.75
Bid-YTW : 3.14 %
PVS.PR.I SplitShare -1.50 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-10-31
Maturity Price : 25.00
Evaluated at bid price : 25.61
Bid-YTW : 4.30 %
PWF.PR.H Perpetual-Premium -1.31 % YTW SCENARIO
Maturity Type : Call
Maturity Date : 2021-12-01
Maturity Price : 25.00
Evaluated at bid price : 25.66
Bid-YTW : -24.20 %
BAM.PR.K Floater -1.28 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-11-01
Maturity Price : 13.92
Evaluated at bid price : 13.92
Bid-YTW : 3.10 %
IFC.PR.F Insurance Straight -1.21 % YTW SCENARIO
Maturity Type : Call
Maturity Date : 2025-09-30
Maturity Price : 25.25
Evaluated at bid price : 26.10
Bid-YTW : 4.46 %
TD.PF.B FixedReset Disc -1.18 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-11-01
Maturity Price : 23.13
Evaluated at bid price : 24.25
Bid-YTW : 3.85 %
BIP.PR.E FixedReset Prem -1.18 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-11-01
Maturity Price : 23.80
Evaluated at bid price : 25.10
Bid-YTW : 4.96 %
TRP.PR.F FloatingReset -1.08 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-11-01
Maturity Price : 18.30
Evaluated at bid price : 18.30
Bid-YTW : 2.83 %
IFC.PR.A FixedReset Ins Non -1.02 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-11-01
Maturity Price : 21.29
Evaluated at bid price : 21.29
Bid-YTW : 3.88 %
BAM.PR.R FixedReset Disc 1.00 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-11-01
Maturity Price : 21.15
Evaluated at bid price : 21.15
Bid-YTW : 4.41 %
BNS.PR.I FixedReset Prem 1.14 % YTW SCENARIO
Maturity Type : Call
Maturity Date : 2024-01-27
Maturity Price : 25.00
Evaluated at bid price : 25.62
Bid-YTW : 3.74 %
BAM.PR.C Floater 1.22 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-11-01
Maturity Price : 14.12
Evaluated at bid price : 14.12
Bid-YTW : 3.06 %
PWF.PR.P FixedReset Disc 1.26 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-11-01
Maturity Price : 18.44
Evaluated at bid price : 18.44
Bid-YTW : 3.95 %
PVS.PR.J SplitShare 1.28 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2028-02-29
Maturity Price : 25.00
Evaluated at bid price : 25.33
Bid-YTW : 4.31 %
BAM.PF.B FixedReset Disc 1.33 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-11-01
Maturity Price : 23.24
Evaluated at bid price : 24.37
Bid-YTW : 4.28 %
MFC.PR.I FixedReset Ins Non 1.39 % YTW SCENARIO
Maturity Type : Call
Maturity Date : 2022-09-19
Maturity Price : 25.00
Evaluated at bid price : 25.55
Bid-YTW : 2.43 %
SLF.PR.H FixedReset Ins Non 1.40 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-11-01
Maturity Price : 22.40
Evaluated at bid price : 23.22
Bid-YTW : 3.77 %
FTS.PR.K FixedReset Disc 1.53 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-11-01
Maturity Price : 22.19
Evaluated at bid price : 22.50
Bid-YTW : 4.07 %
FTS.PR.H FixedReset Disc 1.62 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-11-01
Maturity Price : 16.98
Evaluated at bid price : 16.98
Bid-YTW : 4.14 %
BAM.PF.E FixedReset Disc 1.69 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-11-01
Maturity Price : 22.31
Evaluated at bid price : 22.87
Bid-YTW : 4.37 %
FTS.PR.G FixedReset Disc 2.40 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-11-01
Maturity Price : 23.08
Evaluated at bid price : 23.45
Bid-YTW : 4.02 %
BAM.PR.X FixedReset Disc 3.17 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-11-01
Maturity Price : 18.85
Evaluated at bid price : 18.85
Bid-YTW : 4.45 %
SLF.PR.J FloatingReset 4.17 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-11-01
Maturity Price : 17.50
Evaluated at bid price : 17.50
Bid-YTW : 2.22 %
Volume Highlights
Issue Index Shares
Traded		 Notes
TD.PF.A FixedReset Disc 324,968 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-11-01
Maturity Price : 23.17
Evaluated at bid price : 24.44
Bid-YTW : 3.77 %
TD.PF.C FixedReset Disc 158,000 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-11-01
Maturity Price : 23.23
Evaluated at bid price : 24.68
Bid-YTW : 3.76 %
BNS.PR.H FixedReset Prem 142,600 YTW SCENARIO
Maturity Type : Call
Maturity Date : 2022-01-26
Maturity Price : 25.00
Evaluated at bid price : 25.21
Bid-YTW : 1.56 %
NA.PR.W FixedReset Disc 72,392 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-11-01
Maturity Price : 23.09
Evaluated at bid price : 24.35
Bid-YTW : 3.82 %
CM.PR.T FixedReset Prem 44,075 YTW SCENARIO
Maturity Type : Call
Maturity Date : 2024-04-30
Maturity Price : 25.00
Evaluated at bid price : 26.55
Bid-YTW : 2.66 %
RY.PR.J FixedReset Disc 37,700 YTW SCENARIO
Maturity Type : Call
Maturity Date : 2025-05-24
Maturity Price : 25.00
Evaluated at bid price : 24.84
Bid-YTW : 3.34 %
There were 21 other index-included issues trading in excess of 10,000 shares.
Wide Spread Highlights
Issue Index Quote Data and Yield Notes
BIP.PR.E FixedReset Prem Quote: 25.10 – 26.05
Spot Rate : 0.9500
Average : 0.7513

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-11-01
Maturity Price : 23.80
Evaluated at bid price : 25.10
Bid-YTW : 4.96 %
BAM.PR.T FixedReset Disc Quote: 21.10 – 21.95
Spot Rate : 0.8500
Average : 0.6742

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-11-01
Maturity Price : 21.10
Evaluated at bid price : 21.10
Bid-YTW : 4.60 %
TRP.PR.E FixedReset Disc Quote: 21.43 – 22.61
Spot Rate : 1.1800
Average : 1.0112

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-11-01
Maturity Price : 21.43
Evaluated at bid price : 21.43
Bid-YTW : 4.54 %
BAM.PR.B Floater Quote: 13.75 – 14.43
Spot Rate : 0.6800
Average : 0.5174

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-11-01
Maturity Price : 13.75
Evaluated at bid price : 13.75
Bid-YTW : 3.14 %
IFC.PR.F Insurance Straight Quote: 26.10 – 26.58
Spot Rate : 0.4800
Average : 0.3238

YTW SCENARIO
Maturity Type : Call
Maturity Date : 2025-09-30
Maturity Price : 25.25
Evaluated at bid price : 26.10
Bid-YTW : 4.46 %
PVS.PR.I SplitShare Quote: 25.61 – 26.23
Spot Rate : 0.6200
Average : 0.4646

YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-10-31
Maturity Price : 25.00
Evaluated at bid price : 25.61
Bid-YTW : 4.30 %

Posted in Market Action | No Comments »

MAPF Performance : October, 2021

October 30th, 2021

Malachite Aggressive Preferred Fund’s Net Asset Value per Unit as of the close October 29, 2021, was $11.0893.

Returns to October 29, 2021
Period MAPF TXPR*
Total Return		 CPD – according to Blackrock
One Month +3.09% +1.81% N/A
Three Months +7.51% +3.78% N/A
One Year +57.97% +28.81% +28.02%
Two Years (annualized) +26.48% +14.73% N/A
Three Years (annualized) +9.80% +6.72% +6.07%
Four Years (annualized) +7.86% +5.06% N/A
Five Years (annualized) +11.58% +7.18% +6.61%
Six Years (annualized) +10.78% +6.81% N/A
Seven Years (annualized) +5.93% +3.31% N/A
Eight Years (annualized) +6.37% +3.65% N/A
Nine Years (annualized) +5.50% +3.09% N/A
Ten Years (annualized) +6.05% +3.37% +2.87%
Eleven Years (annualized) +5.71% +3.47%  
Twelve Years (annualized) +6.93% +4.16%  
Thirteen Years (annualized) +10.69% +5.03%  
Fourteen Years (annualized) +9.44% +3.64%  
Fifteen Years (annualized) +8.56%    
Sixteen Years (annualized) +8.41%    
Seventeen Years (annualized) +8.30%    
Eighteen Years (annualized) +8.68%    
Nineteen Years (annualized) +9.55%    
Twenty Years (annualized) +8.99%    
MAPF returns assume reinvestment of distributions, and are shown after expenses but before fees.
The BMO Capital Markets “50” Preferred Share Index is no longer being calculated. The final performance report incorporating this venerable index was published as of December, 2020.
“TXPR” is the S&P/TSX Preferred Share Index. It is calculated without accounting for fees, but does assume reinvestment of dividends.
CPD Returns are for the NAV and are after all fees and expenses. Reinvestment of dividends is assumed.
Figures for National Bank Preferred Equity Income Fund (formerly Omega Preferred Equity) (which are after all fees and expenses) for 1-, 3- and 12-months are +2.45%, +4.57% and +36.72%, respectively, according to Globe & Mail / Fundata after all fees & expenses. Three year performance is +9.40%; five year is +8.30%; ten year is +4.50%

Figures from Morningstar are no longer conveniently available.
Manulife Preferred Income Class Adv has been terminated by Manulife. The performance of this fund was last reported here in March, 2018.
Figures for Horizons Active Preferred Share ETF (HPR) (which are after all fees and expenses) for 1-, 3- and 12-months are +2.53%, +4.63% & +37.74%, respectively. Three year performance is +7.30%, five-year is +7.87%
Figures for National Bank Preferred Equity Fund (formerly Altamira Preferred Equity Fund) are +2.71%, +4.74% and +38.41% for one-, three- and twelve months, respectively. Three year performance is +7.59%; five-year is +8.17%.

Acccording to the fund’s fact sheet as of June 30, 2016, the fund’s inception date was October 30, 2015. I do not know how they justify this nonsensical statement, but will assume that prior performance is being suppressed in some perfectly legal manner that somebody at National considers ethical.

The last time Altamira Preferred Equity Fund’s performance was reported here was April, 2014; performance under the National Bank banner was first reported here May, 2014.
The figures for the NAV of BMO S&P/TSX Laddered Preferred Share Index ETF (ZPR) is +36.67% for the past twelve months. Two year performance is +17.28%, three year is +6.87%, five year is +7.91%.
Figures for Fiera Canadian Preferred Share Class Cg Series F, (formerly Natixis Canadian Preferred Share Class Series F) (formerly NexGen Canadian Preferred Share Tax Managed Fund) are no longer available as the Fund is now the property of Canoe Financial. The last reported performance for the merged fund was May 2020.
Figures for BMO Preferred Share Fund (advisor series) according to BMO are +1.25%, +2.68% and +25.62% for the past one-, three- and twelve-months, respectively. Two year performance is +13.14%; three year is +3.73%; five-year is +4.10%.
Figures for PowerShares Canadian Preferred Share Index Class, Series F (PPS) are +31.17% for the past twelve months. The three-year figure is +6.27%; five years is +7.48%; ten-year is +3.18%
Figures for the First Asset Preferred Share Investment Trust (PSF.UN) are no longer available since the fund has merged with First Asset Preferred Share ETF (FPR).

Performance for the fund was last reported here in September, 2016; the first report of unavailability was in October, 2016.
Figures for Lysander-Slater Preferred Share Dividend Fund (Class F) according to the company are +2.26%, +4.63% and +43.59% for the past one, three and twelve months, respectively. Three year performance is +6.00%, five-year is +6.24%.
Figures for the Desjardins Canadian Preferred Share Fund A Class (A Class), as reported by the company are +1.92%, +3.84% and +29.20% for the past one, three and twelve months, respectively. Two year performance is +14.13%, three-year is +5.13%, five-year is +5.77%
Figures for the RBC Canadian Preferred Share ETF (RPF) as reported by Morningstar are +2.39%, +4.28% and +36.87% for the past one, three and twelve months, respectively. Three-year performance is +6.42%; five-year is +7.88%
Figures for the Dynamic Active Preferred Shares ETF (DXP) are +2.7%, +5.1% and +42.9% for the past one, three and twelve months, respectively. Three-year performance is +8.9%
Calculation of MAPF Sustainable Income Per Unit
Month NAVPU Portfolio
Average
YTW		 Leverage
Divisor		 Securities
Average
YTW		 Capital
Gains
Multiplier		 Sustainable
Income
per
current
Unit
June, 2007 9.3114 5.16% 1.03 5.01% 1.3240 0.3524
September 9.1489 5.35% 0.98 5.46% 1.3240 0.3773
December, 2007 9.0070 5.53% 0.942 5.87% 1.3240 0.3993
March, 2008 8.8512 6.17% 1.047 5.89% 1.3240 0.3938
June 8.3419 6.034% 0.952 6.338% 1.3240 $0.3993
September 8.1886 7.108% 0.969 7.335% 1.3240 $0.4537
December, 2008 8.0464 9.24% 1.008 9.166% 1.3240 $0.5571
March 2009 $8.8317 8.60% 0.995 8.802% 1.3240 $0.5872
June 10.9846 7.05% 0.999 7.057% 1.3240 $0.5855
September 12.3462 6.03% 0.998 6.042% 1.3240 $0.5634
December 2009 10.5662 5.74% 0.981 5.851% 1.1141 $0.5549
March 2010 10.2497 6.03% 0.992 6.079% 1.1141 $0.5593
June 10.5770 5.96% 0.996 5.984% 1.1141 $0.5681
September 11.3901 5.43% 0.980 5.540% 1.1141 $0.5664
December 2010 10.7659 5.37% 0.993 5.408% 1.0298 $0.5654
March, 2011 11.0560 6.00% 0.994 5.964% 1.0298 $0.6403
June 11.1194 5.87% 1.018 5.976% 1.0298 $0.6453
September 10.2709 6.10%
Note		 1.001 6.106% 1.0298 $0.6090
December, 2011 10.0793 5.63%
Note		 1.031 5.805% 1.0000 $0.5851
March, 2012 10.3944 5.13%
Note		 0.996 5.109% 1.0000 $0.5310
June 10.2151 5.32%
Note		 1.012 5.384% 1.0000 $0.5500
September 10.6703 4.61%
Note		 0.997 4.624% 1.0000 $0.4934
December, 2012 10.8307 4.24% 0.989 4.287% 1.0000 $0.4643
March, 2013 10.9033 3.87% 0.996 3.886% 1.0000 $0.4237
June 10.3261 4.81% 0.998 4.80% 1.0000 $0.4957
September 10.0296 5.62% 0.996 5.643% 1.0000 $0.5660
December, 2013 9.8717 6.02% 1.008 5.972% 1.0000 $0.5895
March, 2014 10.2233 5.55% 0.998 5.561% 1.0000 $0.5685
June 10.5877 5.09% 0.998 5.100% 1.0000 $0.5395
September 10.4601 5.28% 0.997 5.296% 1.0000 $0.5540
December, 2014 10.5701 4.83% 1.009 4.787% 1.0000 $0.5060
March, 2015 9.9573 4.99% 1.001 4.985% 1.0000 $0.4964
June, 2015 9.4181 5.55% 1.002 5.539% 1.0000 $0.5217
September 7.8140 6.98% 0.999 6.987% 1.0000 $0.5460
December, 2015 8.1379 6.85% 0.997 6.871% 1.0000 $0.5592
March, 2016 7.4416 7.79% 0.998 7.805% 1.0000 $0.5808
June 7.6704 7.67% 1.011 7.587% 1.0000 $0.5819
September 8.0590 7.35% 0.993 7.402% 1.0000 $0.5965
December, 2016 8.5844 7.24% 0.990 7.313% 1.0000 $0.6278
March, 2017 9.3984 6.26% 0.994 6.298% 1.0000 $0.5919
June 9.5313 6.41% 0.998 6.423% 1.0000 $0.6122
September 9.7129 6.56% 0.998 6.573% 1.0000 $0.6384
December, 2017 10.0566 6.06% 1.004 6.036% 1.0000 $0.6070
March, 2018 10.2701 6.22% 1.007 6.177% 1.0000 $0.6344
June 10.2518 6.22% 0.995 6.251% 1.0000 $0.6408
September 10.2965 6.62% 1.018 6.503% 1.0000 $0.6696
December, 2018 8.6875 7.16% 0.997 7.182% 1.0000 $0.6240
March, 2019 8.4778 7.09% 1.007 7.041% 1.0000 $0.5969
June 8.0896 7.33% 0.996 7.359% 1.0000 $0.5953
September 7.7948 7.96% 0.998 7.976% 1.0000 $0.6217
December, 2019 8.0900 6.03% 0.995 6.060% 1.0000 $0.4903
March 5.5596 7.04% 1.006 6.998% 1.0000 $0.3891
June 6.3568 6.10% 0.9900 6.162% 1.0000 $0.3917
September 7.2852 5.32% 1.00 5.320% 1.0000 $0.3876
December, 2020 8.3947 4.46% 0.999 4.464% 1.0000 $0.3747
March, 2021 9.6473 4.48% 0.996 4.498% 1.0000 $0.4339
June 10.3712 3.92% 0.985 3.980% 1.0000 $0.4127
September, 2021 10.7572 4.08% 1.017 4.012% 1.0000 $0.4316
October, 2021 11.0893 4.16% 0.995 4.181% 1.0000 $0.4636
NAVPU is shown after quarterly distributions of dividend income and annual distribution of capital gains.
Portfolio YTW includes cash (or margin borrowing), with an assumed interest rate of 0.00%
The Leverage Divisor indicates the level of cash in the account: if the portfolio is 1% in cash, the Leverage Divisor will be 0.99
Securities YTW divides “Portfolio YTW” by the “Leverage Divisor” to show the average YTW on the securities held; this assumes that the cash is invested in (or raised from) all securities held, in proportion to their holdings.
The Capital Gains Multiplier adjusts for the effects of Capital Gains Dividends. On 2009-12-31, there was a capital gains distribution of $1.989262 which is assumed for this purpose to have been reinvested at the final price of $10.5662. Thus, a holder of one unit pre-distribution would have held 1.1883 units post-distribution; the CG Multiplier reflects this to make the time-series comparable. Note that Dividend Distributions are not assumed to be reinvested.
Sustainable Income is the resultant estimate of the fund’s dividend income per current unit, before fees and expenses. Note that a “current unit” includes reinvestment of prior capital gains; a unitholder would have had the calculated sustainable income with only, say, 0.9 units in the past which, with reinvestment of capital gains, would become 1.0 current units.
DeemedRetractibles are comprised of all Straight Perpetuals (both PerpetualDiscount and PerpetualPremium) issued by BMO, BNS, CM, ELF, GWO, HSB, IAG, MFC, NA, RY, SLF and TD, which are not exchangable into common at the option of the company or the regulator (definition refined in May, 2011). These issues are analyzed as if their prospectuses included a requirement to redeem at par on or prior to 2022-1-31 (banks) or the Deemed Maturity date for insurers and insurance holding companies (see below)), in addition to the call schedule explicitly defined. See the Deemed Retractible Review: September 2016 for the rationale behind this analysis.

The same reasoning is also applied to FixedResets from these issuers, other than explicitly defined NVCC from banks.

In November, 2019, the assumption of DeemedRetraction for insurance issues was cancelled in the wake of the IAIS decision included in ICS 2.0. This resulted in a large drop in the yield calculated for these issues
The Deemed Maturity date for insurers was set at 2022-1-31 at the commencement of the process in February, 2011. It was extended to 2025-1-31 in April, 2013 and to 2030-1-31 in December, 2018. In November, 2019, the assumption of DeemedRetraction was cancelled in the wake of the IAIS decision included in ICS 2.0.
Yields for September, 2011, to January, 2012, were calculated by imposing a cap of 10% on the yields of YLO issues held, in order to avoid their extremely high calculated yields distorting the calculation and to reflect the uncertainty in the marketplace that these yields will be realized. From February to September 2012, yields on these issues have been set to zero. All YLO issues held were sold in October 2012.

These calculations were performed assuming constant contemporary GOC-5 and 3-Month Bill rates, as follows:

Canada Yields Assumed in Calculations
Month-end GOC-5 3-Month Bill
September, 2015 0.78% 0.40%
December, 2015 0.71% 0.46%
March, 2016 0.70% 0.44%
June 0.57% 0.47%
September 0.58% 0.53%
December, 2016 1.16% 0.47%
March, 2017 1.08% 0.55%
June 1.35% 0.69%
September 1.79% 0.97%
December, 2017 1.83% 1.00%
March, 2018 2.06% 1.08%
June 1.95% 1.22%
September 2.33% 1.55%
December, 2018 1.88% 1.65%
March, 2019 1.46% 1.66%
June 1.34% 1.66%
September 1.41% 1.66%
December, 2019 1.68% 1.68%
March, 2020 0.57% 0.21%
June 0.37% 0.21%
September 0.35% 0.14%
December, 2020 0.42% 0.08%
March, 2021 0.94% 0.09%
June 0.93% 0.13%
September 1.07% 0.13%
October, 2021 1.34% 0.12%

Posted in MAPF | 1 Comment »

October 29, 2021

October 29th, 2021
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 0.2384 % 2,838.7
FixedFloater 0.00 % 0.00 % 0 0.00 0 0.2384 % 5,208.9
Floater 3.06 % 3.08 % 68,173 19.51 3 0.2384 % 3,001.9
OpRet 0.00 % 0.00 % 0 0.00 0 -0.3598 % 3,717.9
SplitShare 4.61 % 4.19 % 54,000 3.87 5 -0.3598 % 4,439.9
Interest-Bearing 0.00 % 0.00 % 0 0.00 0 -0.3598 % 3,464.2
Perpetual-Premium 5.08 % -5.44 % 56,549 0.09 32 0.0945 % 3,274.5
Perpetual-Discount 4.74 % 4.62 % 2,466,149 16.15 2 0.0000 % 3,845.7
FixedReset Disc 3.80 % 3.76 % 113,894 17.16 40 0.0534 % 2,924.2
Insurance Straight 4.94 % 4.12 % 83,962 1.59 20 -0.1009 % 3,673.5
FloatingReset 2.53 % 2.77 % 26,544 20.30 2 0.5698 % 2,865.1
FixedReset Prem 4.70 % 2.82 % 129,772 1.94 31 -0.0825 % 2,759.8
FixedReset Bank Non 0.00 % 0.00 % 0 0.00 0 0.0534 % 2,989.1
FixedReset Ins Non 4.03 % 3.68 % 98,538 17.29 19 0.4713 % 2,994.6
Performance Highlights
Issue Index Change Notes
BAM.PR.X FixedReset Disc -1.77 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-10-29
Maturity Price : 18.27
Evaluated at bid price : 18.27
Bid-YTW : 4.32 %
PVS.PR.J SplitShare -1.57 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2028-02-29
Maturity Price : 25.00
Evaluated at bid price : 25.01
Bid-YTW : 4.53 %
SLF.PR.D Insurance Straight -1.21 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-10-29
Maturity Price : 24.21
Evaluated at bid price : 24.50
Bid-YTW : 4.57 %
BIP.PR.A FixedReset Disc 1.00 % YTW SCENARIO
Maturity Type : Call
Maturity Date : 2025-06-30
Maturity Price : 25.00
Evaluated at bid price : 25.25
Bid-YTW : 3.79 %
TRP.PR.C FixedReset Disc 1.12 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-10-29
Maturity Price : 16.27
Evaluated at bid price : 16.27
Bid-YTW : 4.13 %
RY.PR.P Perpetual-Premium 1.15 % YTW SCENARIO
Maturity Type : Call
Maturity Date : 2021-11-28
Maturity Price : 26.00
Evaluated at bid price : 26.40
Bid-YTW : -17.14 %
MFC.PR.L FixedReset Ins Non 1.19 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-10-29
Maturity Price : 22.94
Evaluated at bid price : 23.82
Bid-YTW : 3.68 %
TD.PF.B FixedReset Disc 1.20 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-10-29
Maturity Price : 23.25
Evaluated at bid price : 24.54
Bid-YTW : 3.60 %
TRP.PR.B FixedReset Disc 1.37 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-10-29
Maturity Price : 14.81
Evaluated at bid price : 14.81
Bid-YTW : 4.17 %
TRP.PR.F FloatingReset 1.37 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-10-29
Maturity Price : 18.50
Evaluated at bid price : 18.50
Bid-YTW : 2.77 %
PWF.PR.H Perpetual-Premium 1.52 % YTW SCENARIO
Maturity Type : Call
Maturity Date : 2021-11-28
Maturity Price : 25.00
Evaluated at bid price : 26.00
Bid-YTW : -38.20 %
SLF.PR.G FixedReset Ins Non 2.27 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-10-29
Maturity Price : 18.00
Evaluated at bid price : 18.00
Bid-YTW : 3.62 %
MFC.PR.F FixedReset Ins Non 7.56 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-10-29
Maturity Price : 18.50
Evaluated at bid price : 18.50
Bid-YTW : 3.63 %
Volume Highlights
Issue Index Shares
Traded		 Notes
RY.PR.H FixedReset Disc 65,178 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-10-29
Maturity Price : 23.25
Evaluated at bid price : 24.56
Bid-YTW : 3.57 %
RY.PR.J FixedReset Disc 61,812 YTW SCENARIO
Maturity Type : Call
Maturity Date : 2025-05-24
Maturity Price : 25.00
Evaluated at bid price : 24.80
Bid-YTW : 3.38 %
PWF.PF.A Perpetual-Discount 34,600 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-10-29
Maturity Price : 24.04
Evaluated at bid price : 24.42
Bid-YTW : 4.62 %
GWO.PR.Y Insurance Straight 32,950 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-10-29
Maturity Price : 24.43
Evaluated at bid price : 24.81
Bid-YTW : 4.55 %
CM.PR.R FixedReset Prem 32,235 YTW SCENARIO
Maturity Type : Call
Maturity Date : 2022-07-31
Maturity Price : 25.00
Evaluated at bid price : 25.40
Bid-YTW : 2.29 %
TRP.PR.K FixedReset Prem 28,199 YTW SCENARIO
Maturity Type : Call
Maturity Date : 2022-05-31
Maturity Price : 25.00
Evaluated at bid price : 25.55
Bid-YTW : 2.57 %
There were 57 other index-included issues trading in excess of 10,000 shares.
Wide Spread Highlights
Issue Index Quote Data and Yield Notes
PWF.PR.H Perpetual-Premium Quote: 26.00 – 27.00
Spot Rate : 1.0000
Average : 0.5782

YTW SCENARIO
Maturity Type : Call
Maturity Date : 2021-11-28
Maturity Price : 25.00
Evaluated at bid price : 26.00
Bid-YTW : -38.20 %
BAM.PR.X FixedReset Disc Quote: 18.27 – 18.99
Spot Rate : 0.7200
Average : 0.4732

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-10-29
Maturity Price : 18.27
Evaluated at bid price : 18.27
Bid-YTW : 4.32 %
MFC.PR.I FixedReset Ins Non Quote: 25.20 – 25.72
Spot Rate : 0.5200
Average : 0.3503

YTW SCENARIO
Maturity Type : Call
Maturity Date : 2022-09-19
Maturity Price : 25.00
Evaluated at bid price : 25.20
Bid-YTW : 4.01 %
GWO.PR.T Insurance Straight Quote: 26.25 – 26.75
Spot Rate : 0.5000
Average : 0.3454

YTW SCENARIO
Maturity Type : Call
Maturity Date : 2023-06-30
Maturity Price : 25.75
Evaluated at bid price : 26.25
Bid-YTW : 4.07 %
BIP.PR.F FixedReset Prem Quote: 26.00 – 26.45
Spot Rate : 0.4500
Average : 0.2955

YTW SCENARIO
Maturity Type : Call
Maturity Date : 2023-12-31
Maturity Price : 25.00
Evaluated at bid price : 26.00
Bid-YTW : 3.39 %
BAM.PF.J FixedReset Prem Quote: 25.75 – 26.14
Spot Rate : 0.3900
Average : 0.2407

YTW SCENARIO
Maturity Type : Call
Maturity Date : 2022-12-31
Maturity Price : 25.00
Evaluated at bid price : 25.75
Bid-YTW : 2.49 %

Posted in Market Action | No Comments »

October 28, 2021

October 29th, 2021
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 -0.2615 % 2,831.9
FixedFloater 0.00 % 0.00 % 0 0.00 0 -0.2615 % 5,196.5
Floater 3.07 % 3.08 % 65,251 19.51 3 -0.2615 % 2,994.8
OpRet 0.00 % 0.00 % 0 0.00 0 0.0766 % 3,731.3
SplitShare 4.59 % 4.17 % 52,753 3.87 5 0.0766 % 4,456.0
Interest-Bearing 0.00 % 0.00 % 0 0.00 0 0.0766 % 3,476.7
Perpetual-Premium 5.08 % -4.86 % 54,274 0.09 32 -0.0245 % 3,271.4
Perpetual-Discount 4.74 % 4.61 % 2,500,241 16.16 2 0.2056 % 3,845.7
FixedReset Disc 3.80 % 3.75 % 110,151 17.16 40 0.1102 % 2,922.6
Insurance Straight 4.94 % 4.49 % 80,131 3.53 20 -0.3451 % 3,677.2
FloatingReset 2.54 % 2.81 % 24,661 20.20 2 -0.5947 % 2,848.9
FixedReset Prem 4.69 % 2.91 % 126,274 1.49 31 -0.1074 % 2,762.1
FixedReset Bank Non 0.00 % 0.00 % 0 0.00 0 0.1102 % 2,987.5
FixedReset Ins Non 4.04 % 3.70 % 98,154 17.24 19 -0.3756 % 2,980.6
Performance Highlights
Issue Index Change Notes
MFC.PR.F FixedReset Ins Non -7.73 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-10-28
Maturity Price : 17.20
Evaluated at bid price : 17.20
Bid-YTW : 3.90 %
TRP.PR.E FixedReset Disc -3.94 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-10-28
Maturity Price : 21.43
Evaluated at bid price : 21.43
Bid-YTW : 4.34 %
BAM.PR.B Floater -1.82 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-10-28
Maturity Price : 14.00
Evaluated at bid price : 14.00
Bid-YTW : 3.08 %
SLF.PR.E Insurance Straight -1.77 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-10-28
Maturity Price : 24.16
Evaluated at bid price : 24.42
Bid-YTW : 4.64 %
SLF.PR.C Insurance Straight -1.64 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-10-28
Maturity Price : 24.23
Evaluated at bid price : 24.53
Bid-YTW : 4.56 %
GWO.PR.S Insurance Straight -1.47 % YTW SCENARIO
Maturity Type : Call
Maturity Date : 2023-06-30
Maturity Price : 25.00
Evaluated at bid price : 25.42
Bid-YTW : 4.49 %
TRP.PR.F FloatingReset -1.40 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-10-28
Maturity Price : 18.25
Evaluated at bid price : 18.25
Bid-YTW : 2.81 %
RY.PR.M FixedReset Disc -1.38 % YTW SCENARIO
Maturity Type : Call
Maturity Date : 2025-11-24
Maturity Price : 25.00
Evaluated at bid price : 24.26
Bid-YTW : 3.75 %
BNS.PR.I FixedReset Prem -1.25 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-10-28
Maturity Price : 23.64
Evaluated at bid price : 25.33
Bid-YTW : 3.73 %
BAM.PR.X FixedReset Disc 1.64 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-10-28
Maturity Price : 18.60
Evaluated at bid price : 18.60
Bid-YTW : 4.25 %
PWF.PR.P FixedReset Disc 8.71 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-10-28
Maturity Price : 18.10
Evaluated at bid price : 18.10
Bid-YTW : 3.80 %
Volume Highlights
Issue Index Shares
Traded		 Notes
RY.PR.H FixedReset Disc 175,900 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-10-28
Maturity Price : 23.22
Evaluated at bid price : 24.51
Bid-YTW : 3.58 %
MFC.PR.B Insurance Straight 101,903 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-10-28
Maturity Price : 24.70
Evaluated at bid price : 24.98
Bid-YTW : 4.69 %
GWO.PR.Y Insurance Straight 85,250 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-10-28
Maturity Price : 24.44
Evaluated at bid price : 24.83
Bid-YTW : 4.55 %
GWO.PR.S Insurance Straight 84,000 YTW SCENARIO
Maturity Type : Call
Maturity Date : 2023-06-30
Maturity Price : 25.00
Evaluated at bid price : 25.42
Bid-YTW : 4.49 %
PWF.PR.R Perpetual-Premium 65,810 YTW SCENARIO
Maturity Type : Call
Maturity Date : 2021-11-27
Maturity Price : 25.00
Evaluated at bid price : 25.41
Bid-YTW : -14.33 %
SLF.PR.C Insurance Straight 51,100 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-10-28
Maturity Price : 24.23
Evaluated at bid price : 24.53
Bid-YTW : 4.56 %
There were 25 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: 17.20 – 18.82
Spot Rate : 1.6200
Average : 1.1117

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-10-28
Maturity Price : 17.20
Evaluated at bid price : 17.20
Bid-YTW : 3.90 %
BIP.PR.E FixedReset Prem Quote: 25.40 – 26.21
Spot Rate : 0.8100
Average : 0.4822

YTW SCENARIO
Maturity Type : Call
Maturity Date : 2023-03-31
Maturity Price : 25.00
Evaluated at bid price : 25.40
Bid-YTW : 4.15 %
CU.PR.E Perpetual-Premium Quote: 25.12 – 25.90
Spot Rate : 0.7800
Average : 0.4586

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-10-28
Maturity Price : 24.89
Evaluated at bid price : 25.12
Bid-YTW : 4.94 %
SLF.PR.E Insurance Straight Quote: 24.42 – 25.20
Spot Rate : 0.7800
Average : 0.4871

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-10-28
Maturity Price : 24.16
Evaluated at bid price : 24.42
Bid-YTW : 4.64 %
BAM.PR.R FixedReset Disc Quote: 20.94 – 21.94
Spot Rate : 1.0000
Average : 0.7665

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-10-28
Maturity Price : 20.94
Evaluated at bid price : 20.94
Bid-YTW : 4.27 %
TRP.PR.E FixedReset Disc Quote: 21.43 – 22.34
Spot Rate : 0.9100
Average : 0.7124

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-10-28
Maturity Price : 21.43
Evaluated at bid price : 21.43
Bid-YTW : 4.34 %

Posted in Market Action | No Comments »

October 27, 2021

October 27th, 2021
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 1.2518 % 2,839.4
FixedFloater 0.00 % 0.00 % 0 0.00 0 1.2518 % 5,210.1
Floater 3.06 % 3.10 % 61,562 19.46 3 1.2518 % 3,002.6
OpRet 0.00 % 0.00 % 0 0.00 0 0.0843 % 3,728.4
SplitShare 4.60 % 4.22 % 54,931 3.88 5 0.0843 % 4,452.5
Interest-Bearing 0.00 % 0.00 % 0 0.00 0 0.0843 % 3,474.1
Perpetual-Premium 5.08 % -2.88 % 54,390 0.09 32 -0.1347 % 3,272.2
Perpetual-Discount 4.75 % 4.61 % 2,540,201 16.17 2 -0.8357 % 3,837.8
FixedReset Disc 3.80 % 3.77 % 110,840 17.16 40 0.2888 % 2,919.4
Insurance Straight 4.92 % 4.26 % 76,922 3.53 20 -0.1850 % 3,689.9
FloatingReset 2.53 % 2.77 % 25,629 20.31 2 1.1748 % 2,866.0
FixedReset Prem 4.69 % 2.94 % 127,371 1.49 31 0.0662 % 2,765.0
FixedReset Bank Non 0.00 % 0.00 % 0 0.00 0 0.2888 % 2,984.2
FixedReset Ins Non 4.03 % 3.67 % 91,464 17.19 19 -0.0536 % 2,991.8
Performance Highlights
Issue Index Change Notes
PWF.PR.P FixedReset Disc -7.76 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-10-27
Maturity Price : 16.65
Evaluated at bid price : 16.65
Bid-YTW : 4.12 %
ELF.PR.G Perpetual-Discount -1.75 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-10-27
Maturity Price : 23.93
Evaluated at bid price : 24.17
Bid-YTW : 4.94 %
GWO.PR.N FixedReset Ins Non -1.59 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-10-27
Maturity Price : 16.73
Evaluated at bid price : 16.73
Bid-YTW : 3.69 %
RY.PR.P Perpetual-Premium -1.45 % YTW SCENARIO
Maturity Type : Call
Maturity Date : 2022-02-24
Maturity Price : 25.75
Evaluated at bid price : 25.90
Bid-YTW : 2.13 %
BAM.PR.X FixedReset Disc -1.08 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-10-27
Maturity Price : 18.30
Evaluated at bid price : 18.30
Bid-YTW : 4.31 %
BIP.PR.A FixedReset Disc 1.01 % YTW SCENARIO
Maturity Type : Call
Maturity Date : 2025-06-30
Maturity Price : 25.00
Evaluated at bid price : 25.05
Bid-YTW : 4.03 %
TRP.PR.A FixedReset Disc 1.02 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-10-27
Maturity Price : 19.80
Evaluated at bid price : 19.80
Bid-YTW : 4.21 %
MFC.PR.F FixedReset Ins Non 1.19 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-10-27
Maturity Price : 18.64
Evaluated at bid price : 18.64
Bid-YTW : 3.60 %
FTS.PR.H FixedReset Disc 1.34 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-10-27
Maturity Price : 16.60
Evaluated at bid price : 16.60
Bid-YTW : 3.99 %
RY.PR.M FixedReset Disc 1.40 % YTW SCENARIO
Maturity Type : Call
Maturity Date : 2025-11-24
Maturity Price : 25.00
Evaluated at bid price : 24.60
Bid-YTW : 3.38 %
SLF.PR.J FloatingReset 1.82 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-10-27
Maturity Price : 16.80
Evaluated at bid price : 16.80
Bid-YTW : 2.29 %
FTS.PR.K FixedReset Disc 1.89 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-10-27
Maturity Price : 21.70
Evaluated at bid price : 22.16
Bid-YTW : 3.92 %
TRP.PR.B FixedReset Disc 1.90 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-10-27
Maturity Price : 14.49
Evaluated at bid price : 14.49
Bid-YTW : 4.25 %
TRP.PR.E FixedReset Disc 2.29 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-10-27
Maturity Price : 21.98
Evaluated at bid price : 22.31
Bid-YTW : 4.14 %
BAM.PR.R FixedReset Disc 2.72 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-10-27
Maturity Price : 20.75
Evaluated at bid price : 20.75
Bid-YTW : 4.31 %
BAM.PR.B Floater 3.71 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-10-27
Maturity Price : 14.26
Evaluated at bid price : 14.26
Bid-YTW : 3.02 %
Volume Highlights
Issue Index Shares
Traded		 Notes
GWO.PR.Y Insurance Straight 145,425 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-10-27
Maturity Price : 24.38
Evaluated at bid price : 24.76
Bid-YTW : 4.56 %
RY.PR.J FixedReset Disc 88,806 YTW SCENARIO
Maturity Type : Call
Maturity Date : 2025-05-24
Maturity Price : 25.00
Evaluated at bid price : 24.95
Bid-YTW : 3.20 %
PWF.PF.A Perpetual-Discount 77,023 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-10-27
Maturity Price : 24.10
Evaluated at bid price : 24.48
Bid-YTW : 4.61 %
RY.PR.H FixedReset Disc 64,942 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-10-27
Maturity Price : 23.19
Evaluated at bid price : 24.43
Bid-YTW : 3.60 %
RY.PR.P Perpetual-Premium 50,702 YTW SCENARIO
Maturity Type : Call
Maturity Date : 2022-02-24
Maturity Price : 25.75
Evaluated at bid price : 25.90
Bid-YTW : 2.13 %
TD.PF.I FixedReset Prem 46,992 YTW SCENARIO
Maturity Type : Call
Maturity Date : 2022-10-31
Maturity Price : 25.00
Evaluated at bid price : 25.61
Bid-YTW : 2.01 %
There were 19 other index-included issues trading in excess of 10,000 shares.
Wide Spread Highlights
Issue Index Quote Data and Yield Notes
PWF.PR.P FixedReset Disc Quote: 16.65 – 18.10
Spot Rate : 1.4500
Average : 0.9926

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-10-27
Maturity Price : 16.65
Evaluated at bid price : 16.65
Bid-YTW : 4.12 %
BAM.PR.K Floater Quote: 13.90 – 14.57
Spot Rate : 0.6700
Average : 0.4168

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-10-27
Maturity Price : 13.90
Evaluated at bid price : 13.90
Bid-YTW : 3.10 %
BAM.PR.C Floater Quote: 13.90 – 14.39
Spot Rate : 0.4900
Average : 0.3050

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-10-27
Maturity Price : 13.90
Evaluated at bid price : 13.90
Bid-YTW : 3.10 %
ELF.PR.G Perpetual-Discount Quote: 24.17 – 24.65
Spot Rate : 0.4800
Average : 0.3113

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-10-27
Maturity Price : 23.93
Evaluated at bid price : 24.17
Bid-YTW : 4.94 %
PWF.PR.T FixedReset Disc Quote: 24.51 – 24.80
Spot Rate : 0.2900
Average : 0.1815

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-10-27
Maturity Price : 23.33
Evaluated at bid price : 24.51
Bid-YTW : 3.77 %
SLF.PR.H FixedReset Ins Non Quote: 22.90 – 23.35
Spot Rate : 0.4500
Average : 0.3450

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-10-27
Maturity Price : 22.22
Evaluated at bid price : 22.90
Bid-YTW : 3.67 %

Posted in Market Action | 1 Comment »

October 26, 2021

October 26th, 2021
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 0.4595 % 2,804.3
FixedFloater 0.00 % 0.00 % 0 0.00 0 0.4595 % 5,145.7
Floater 3.10 % 3.12 % 57,349 19.43 3 0.4595 % 2,965.5
OpRet 0.00 % 0.00 % 0 0.00 0 0.3540 % 3,725.3
SplitShare 4.60 % 4.18 % 55,549 3.88 5 0.3540 % 4,448.8
Interest-Bearing 0.00 % 0.00 % 0 0.00 0 0.3540 % 3,471.1
Perpetual-Premium 5.08 % -10.05 % 54,043 0.09 32 0.0122 % 3,276.6
Perpetual-Discount 4.71 % 4.84 % 36,718 15.76 2 0.0204 % 3,870.2
FixedReset Disc 3.81 % 3.74 % 106,661 17.15 40 0.1677 % 2,911.0
Insurance Straight 4.91 % 3.79 % 74,148 0.66 20 -0.0728 % 3,696.8
FloatingReset 2.56 % 2.79 % 24,353 20.27 2 -0.2287 % 2,832.7
FixedReset Prem 4.69 % 2.78 % 128,601 1.50 31 0.0288 % 2,763.2
FixedReset Bank Non 0.00 % 0.00 % 0 0.00 0 0.1677 % 2,975.6
FixedReset Ins Non 4.03 % 3.68 % 94,818 17.25 19 0.5957 % 2,993.4
Performance Highlights
Issue Index Change Notes
SLF.PR.J FloatingReset -1.79 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-10-26
Maturity Price : 16.50
Evaluated at bid price : 16.50
Bid-YTW : 2.33 %
CU.PR.G Perpetual-Premium -1.19 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-10-26
Maturity Price : 24.58
Evaluated at bid price : 24.85
Bid-YTW : 4.58 %
FTS.PR.K FixedReset Disc -1.14 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-10-26
Maturity Price : 21.42
Evaluated at bid price : 21.75
Bid-YTW : 4.00 %
TRP.PR.G FixedReset Disc 1.03 % YTW SCENARIO
Maturity Type : Call
Maturity Date : 2025-11-30
Maturity Price : 25.00
Evaluated at bid price : 24.50
Bid-YTW : 4.05 %
BAM.PR.X FixedReset Disc 1.09 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-10-26
Maturity Price : 18.50
Evaluated at bid price : 18.50
Bid-YTW : 4.27 %
BAM.PF.G FixedReset Disc 1.19 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-10-26
Maturity Price : 22.76
Evaluated at bid price : 23.73
Bid-YTW : 4.19 %
BAM.PR.T FixedReset Disc 1.20 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-10-26
Maturity Price : 21.13
Evaluated at bid price : 21.13
Bid-YTW : 4.35 %
BAM.PF.F FixedReset Disc 1.20 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-10-26
Maturity Price : 23.18
Evaluated at bid price : 24.44
Bid-YTW : 4.22 %
TRP.PR.F FloatingReset 1.21 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-10-26
Maturity Price : 18.40
Evaluated at bid price : 18.40
Bid-YTW : 2.79 %
RS.PR.A SplitShare 1.30 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-12-31
Maturity Price : 10.00
Evaluated at bid price : 10.94
Bid-YTW : 2.96 %
BAM.PR.K Floater 1.45 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-10-26
Maturity Price : 13.95
Evaluated at bid price : 13.95
Bid-YTW : 3.09 %
SLF.PR.G FixedReset Ins Non 1.94 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-10-26
Maturity Price : 17.90
Evaluated at bid price : 17.90
Bid-YTW : 3.64 %
MFC.PR.F FixedReset Ins Non 7.09 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-10-26
Maturity Price : 18.42
Evaluated at bid price : 18.42
Bid-YTW : 3.64 %
Volume Highlights
Issue Index Shares
Traded		 Notes
CM.PR.S FixedReset Prem 85,614 YTW SCENARIO
Maturity Type : Call
Maturity Date : 2023-01-31
Maturity Price : 25.00
Evaluated at bid price : 25.28
Bid-YTW : 3.58 %
BMO.PR.T FixedReset Disc 67,900 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-10-26
Maturity Price : 23.20
Evaluated at bid price : 24.45
Bid-YTW : 3.62 %
TD.PF.C FixedReset Disc 36,086 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-10-26
Maturity Price : 23.17
Evaluated at bid price : 24.55
Bid-YTW : 3.61 %
PWF.PF.A Perpetual-Discount 34,604 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-10-26
Maturity Price : 24.08
Evaluated at bid price : 24.46
Bid-YTW : 4.61 %
GWO.PR.Y Insurance Straight 31,368 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-10-26
Maturity Price : 24.37
Evaluated at bid price : 24.75
Bid-YTW : 4.56 %
CM.PR.Q FixedReset Disc 30,600 YTW SCENARIO
Maturity Type : Call
Maturity Date : 2025-07-31
Maturity Price : 25.00
Evaluated at bid price : 24.75
Bid-YTW : 3.44 %
There were 15 other index-included issues trading in excess of 10,000 shares.
Wide Spread Highlights
Issue Index Quote Data and Yield Notes
BIP.PR.A FixedReset Disc Quote: 24.80 – 26.00
Spot Rate : 1.2000
Average : 0.7137

YTW SCENARIO
Maturity Type : Call
Maturity Date : 2025-06-30
Maturity Price : 25.00
Evaluated at bid price : 24.80
Bid-YTW : 4.32 %
SLF.PR.J FloatingReset Quote: 16.50 – 17.95
Spot Rate : 1.4500
Average : 1.0998

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-10-26
Maturity Price : 16.50
Evaluated at bid price : 16.50
Bid-YTW : 2.33 %
BAM.PR.N Perpetual-Premium Quote: 24.54 – 25.27
Spot Rate : 0.7300
Average : 0.5266

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-10-26
Maturity Price : 24.25
Evaluated at bid price : 24.54
Bid-YTW : 4.87 %
CU.PR.G Perpetual-Premium Quote: 24.85 – 25.32
Spot Rate : 0.4700
Average : 0.3439

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-10-26
Maturity Price : 24.58
Evaluated at bid price : 24.85
Bid-YTW : 4.58 %
PVS.PR.I SplitShare Quote: 26.00 – 26.40
Spot Rate : 0.4000
Average : 0.2749

YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-10-31
Maturity Price : 25.00
Evaluated at bid price : 26.00
Bid-YTW : 3.86 %
PVS.PR.J SplitShare Quote: 25.41 – 25.79
Spot Rate : 0.3800
Average : 0.2636

YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2028-02-29
Maturity Price : 25.00
Evaluated at bid price : 25.41
Bid-YTW : 4.23 %

Posted in Market Action | 2 Comments »

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