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February 17, 2022
| HIMIPref™ Preferred Indices These values reflect the December 2008 revision of the HIMIPref™ Indices Values are provisional and are finalized monthly |
|||||||
| Index | Mean Current Yield (at bid) |
Median YTW |
Median Average Trading Value |
Median Mod Dur (YTW) |
Issues | Day’s Perf. | Index Value |
| Ratchet | 3.03 % | 3.51 % | 39,512 | 20.04 | 1 | -0.4926 % | 2,877.6 |
| FixedFloater | 0.00 % | 0.00 % | 0 | 0.00 | 0 | -0.0222 % | 5,570.6 |
| Floater | 2.86 % | 2.88 % | 66,548 | 19.98 | 3 | -0.0222 % | 3,210.3 |
| OpRet | 0.00 % | 0.00 % | 0 | 0.00 | 0 | 0.0327 % | 3,662.3 |
| SplitShare | 4.63 % | 4.35 % | 31,354 | 3.61 | 6 | 0.0327 % | 4,373.6 |
| Interest-Bearing | 0.00 % | 0.00 % | 0 | 0.00 | 0 | 0.0327 % | 3,412.4 |
| Perpetual-Premium | 5.25 % | 2.95 % | 57,211 | 0.09 | 22 | -0.0649 % | 3,207.0 |
| Perpetual-Discount | 4.90 % | 4.95 % | 59,302 | 15.54 | 11 | -0.0570 % | 3,762.6 |
| FixedReset Disc | 4.08 % | 4.48 % | 116,126 | 16.37 | 44 | -0.6967 % | 2,751.4 |
| Insurance Straight | 5.02 % | 4.80 % | 84,411 | 15.44 | 18 | 0.0476 % | 3,575.0 |
| FloatingReset | 2.72 % | 3.09 % | 48,740 | 19.46 | 2 | -0.0275 % | 2,948.7 |
| FixedReset Prem | 4.79 % | 3.83 % | 109,661 | 2.07 | 26 | -0.0712 % | 2,695.3 |
| FixedReset Bank Non | 0.00 % | 0.00 % | 0 | 0.00 | 0 | -0.6967 % | 2,812.5 |
| FixedReset Ins Non | 4.15 % | 4.39 % | 77,523 | 16.30 | 17 | -0.1158 % | 2,930.6 |
| Performance Highlights | |||
| Issue | Index | Change | Notes |
| TRP.PR.G | FixedReset Disc | -47.92 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2052-02-17 Maturity Price : 12.29 Evaluated at bid price : 12.29 Bid-YTW : 8.92 % |
| BAM.PF.F | FixedReset Disc | -7.91 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2052-02-17 Maturity Price : 21.27 Evaluated at bid price : 21.55 Bid-YTW : 5.38 % |
| NA.PR.W | FixedReset Disc | -4.50 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2052-02-17 Maturity Price : 21.97 Evaluated at bid price : 22.30 Bid-YTW : 4.53 % |
| EMA.PR.L | Perpetual-Discount | -4.15 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2052-02-17 Maturity Price : 22.74 Evaluated at bid price : 23.11 Bid-YTW : 4.99 % |
| SLF.PR.E | Insurance Straight | -2.25 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2052-02-17 Maturity Price : 22.77 Evaluated at bid price : 23.05 Bid-YTW : 4.93 % |
| PWF.PR.L | Perpetual-Premium | -2.07 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2052-02-17 Maturity Price : 24.29 Evaluated at bid price : 24.60 Bid-YTW : 5.22 % |
| PWF.PF.A | Perpetual-Discount | -1.67 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2052-02-17 Maturity Price : 23.28 Evaluated at bid price : 23.60 Bid-YTW : 4.79 % |
| RY.PR.J | FixedReset Disc | -1.52 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2052-02-17 Maturity Price : 22.95 Evaluated at bid price : 24.03 Bid-YTW : 4.45 % |
| BIP.PR.A | FixedReset Disc | -1.38 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2052-02-17 Maturity Price : 22.72 Evaluated at bid price : 23.57 Bid-YTW : 5.44 % |
| BAM.PR.M | Perpetual-Discount | 1.11 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2052-02-17 Maturity Price : 23.49 Evaluated at bid price : 23.76 Bid-YTW : 5.06 % |
| IFC.PR.C | FixedReset Disc | 1.48 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2052-02-17 Maturity Price : 22.83 Evaluated at bid price : 24.05 Bid-YTW : 4.37 % |
| SLF.PR.G | FixedReset Ins Non | 1.54 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2052-02-17 Maturity Price : 17.77 Evaluated at bid price : 17.77 Bid-YTW : 4.24 % |
| TRP.PR.C | FixedReset Disc | 1.55 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2052-02-17 Maturity Price : 15.74 Evaluated at bid price : 15.74 Bid-YTW : 4.89 % |
| POW.PR.D | Perpetual-Premium | 1.64 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2052-02-17 Maturity Price : 24.55 Evaluated at bid price : 24.80 Bid-YTW : 5.09 % |
| TRP.PR.B | FixedReset Disc | 1.89 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2052-02-17 Maturity Price : 13.50 Evaluated at bid price : 13.50 Bid-YTW : 5.30 % |
| GWO.PR.Y | Insurance Straight | 2.10 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2052-02-17 Maturity Price : 23.48 Evaluated at bid price : 23.80 Bid-YTW : 4.77 % |
| BAM.PR.Z | FixedReset Disc | 2.32 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2052-02-17 Maturity Price : 23.71 Evaluated at bid price : 24.27 Bid-YTW : 4.96 % |
| CIU.PR.A | Perpetual-Discount | 2.55 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2052-02-17 Maturity Price : 23.85 Evaluated at bid price : 24.10 Bid-YTW : 4.77 % |
| TD.PF.A | FixedReset Disc | 2.91 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2052-02-17 Maturity Price : 22.47 Evaluated at bid price : 23.00 Bid-YTW : 4.35 % |
| BAM.PF.B | FixedReset Disc | 3.95 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2052-02-17 Maturity Price : 22.57 Evaluated at bid price : 22.88 Bid-YTW : 4.91 % |
| BAM.PR.T | FixedReset Disc | 4.44 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2052-02-17 Maturity Price : 21.15 Evaluated at bid price : 21.15 Bid-YTW : 4.95 % |
| BMO.PR.S | FixedReset Disc | 5.00 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2052-02-17 Maturity Price : 22.80 Evaluated at bid price : 23.10 Bid-YTW : 4.45 % |
| CM.PR.Q | FixedReset Disc | 21.57 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2052-02-17 Maturity Price : 22.89 Evaluated at bid price : 23.95 Bid-YTW : 4.48 % |
| Volume Highlights | |||
| Issue | Index | Shares Traded |
Notes |
| CM.PR.S | FixedReset Disc | 146,850 | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2052-02-17 Maturity Price : 24.08 Evaluated at bid price : 24.55 Bid-YTW : 4.37 % |
| RY.PR.S | FixedReset Prem | 52,013 | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2052-02-17 Maturity Price : 23.49 Evaluated at bid price : 24.75 Bid-YTW : 4.24 % |
| MFC.PR.L | FixedReset Ins Non | 51,400 | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2052-02-17 Maturity Price : 22.11 Evaluated at bid price : 22.40 Bid-YTW : 4.46 % |
| CM.PR.R | FixedReset Prem | 48,400 | YTW SCENARIO Maturity Type : Call Maturity Date : 2022-07-31 Maturity Price : 25.00 Evaluated at bid price : 25.17 Bid-YTW : 3.47 % |
| BAM.PF.A | FixedReset Prem | 48,100 | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2052-02-17 Maturity Price : 23.55 Evaluated at bid price : 24.65 Bid-YTW : 4.82 % |
| SLF.PR.E | Insurance Straight | 46,600 | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2052-02-17 Maturity Price : 22.77 Evaluated at bid price : 23.05 Bid-YTW : 4.93 % |
| There were 10 other index-included issues trading in excess of 10,000 shares. | |||
| Wide Spread Highlights | ||
| Issue | Index | Quote Data and Yield Notes |
| TRP.PR.G | FixedReset Disc | Quote: 12.29 – 23.80 Spot Rate : 11.5100 Average : 6.1288 YTW SCENARIO |
| BAM.PF.F | FixedReset Disc | Quote: 21.55 – 23.75 Spot Rate : 2.2000 Average : 1.2528 YTW SCENARIO |
| EMA.PR.L | Perpetual-Discount | Quote: 23.11 – 24.50 Spot Rate : 1.3900 Average : 0.8765 YTW SCENARIO |
| NA.PR.W | FixedReset Disc | Quote: 22.30 – 23.30 Spot Rate : 1.0000 Average : 0.6391 YTW SCENARIO |
| CM.PR.P | FixedReset Disc | Quote: 23.00 – 23.68 Spot Rate : 0.6800 Average : 0.4124 YTW SCENARIO |
| BIP.PR.A | FixedReset Disc | Quote: 23.57 – 24.30 Spot Rate : 0.7300 Average : 0.5187 YTW SCENARIO |
February PrefLetter Released!
The February, 2022, edition of PrefLetter has been released and is now available for purchase as the “Previous edition”. Those who subscribe for a full year receive the “Previous edition” as a bonus.
The February edition is somewhat foreshortened, but contains the most critical elements.
I apologize for the delay in sending this edition. As noted, there was a massive upgrade to the website software that broke the PrefLetter distribution programming … and PHP is such an idiotic language with such a complete deficiency of useful programming tools that reacting to this upgrade took longer that expected.
So the edition has been distributed but the subscription software has not yet been checked. Please do not subscribe until further notice, which I hope to provide this evening.
Update, 2022-2-19: The site has now been upgraded and subscriptions are again operational.
PrefLetter may now be purchased by all Canadian residents.
Until further notice, the previous edition will refer to the February, 2022, issue, while the “next” edition will be the March, 2022, issue scheduled to be prepared as of the close March 11, and emailed to subscribers prior to the market-opening on March 14. Prefletter is intended for long term investors seeking issues to buy-and-hold. At least one recommendation from each of the major preferred share sectors is included and discussed.
Note: My verbosity has grown by such leaps and bounds that it is no longer possible to deliver PrefLetter as an eMail attachment – it’s just too big for my software! Instead, I have sent passwords – click on the link in your eMail and your copy will download.
Note: There have been problems lately with corporate eMail protection systems that substitute “safe” links for the links sent in the eMails; the problem being that the “safe” links do not work and an error is generated by my software. To avoid possible problems and delays, please subscribe through an eMail account that is not “protected” by such software.
Note: The PrefLetter website has a Subscriber Download Feature. If you have not received your copy, try it!
Note: PrefLetter eMails sometimes runs afoul of spam filters. If you have not received your copy within fifteen minutes of a release notice such as this one, please double check your (company’s) spam filtering policy and your spam repository – there are some hints in the post Sympatico Spam Filters out of Control. If it’s not there, contact me and I’ll get you your copy … somehow!
Note: There have been scattered complaints regarding inability to open PrefLetter in Acrobat Reader, despite my practice of including myself on the subscription list and immediately checking the copy received. I have had the occasional difficulty reading US Government documents, which I was able to resolve by downloading and installing the latest version of Adobe Reader. Also, note that so far, all complaints have been from users of Yahoo Mail. Try saving it to disk first, before attempting to open it.
Note: There have been other scattered complaints that double-clicking on the links in the “PrefLetter Download” email results in a message that the password has already been used. I have been able to reproduce this problem in my own eMail software … the problem is double-clicking. What happens is the first click opens the link and the second click finds that the password has already been used and refuses to work properly. So the moral of the story is: Don’t be a dick! Single Click!
Note: Assiduous Reader DG informs me:
In case you have any other Apple users: you need to install a free App from the apple store called “FileApp”. It comes with it’s own tutorial and allows you to download and save a PDF file.
However, Assiduous Reader Adrian informs me in the comments to the January 2015 release:
Some nitpicking for DG:
FileApp costs $1.19 in the Apple Store.
But Adrian2 now advises:
Well, as of now, FileApp is free (again?).
February 16, 2022
PerpetualDiscounts now yield 4.95%, equivalent to 6.44% interest at the standard equivalency factor of 1.3x. Long corporates now yield 3.82%, so the pre-tax interest-equivalent spread (in this context, the “Seniority Spread”) has widened to 260bp from the 250bp reported February 9.
| HIMIPref™ Preferred Indices These values reflect the December 2008 revision of the HIMIPref™ Indices Values are provisional and are finalized monthly |
|||||||
| Index | Mean Current Yield (at bid) |
Median YTW |
Median Average Trading Value |
Median Mod Dur (YTW) |
Issues | Day’s Perf. | Index Value |
| Ratchet | 3.02 % | 3.48 % | 39,612 | 20.08 | 1 | 0.4453 % | 2,891.8 |
| FixedFloater | 0.00 % | 0.00 % | 0 | 0.00 | 0 | -0.5747 % | 5,571.8 |
| Floater | 2.86 % | 2.88 % | 66,398 | 19.99 | 3 | -0.5747 % | 3,211.1 |
| OpRet | 0.00 % | 0.00 % | 0 | 0.00 | 0 | 0.0392 % | 3,661.1 |
| SplitShare | 4.63 % | 4.35 % | 32,652 | 3.61 | 6 | 0.0392 % | 4,372.2 |
| Interest-Bearing | 0.00 % | 0.00 % | 0 | 0.00 | 0 | 0.0392 % | 3,411.3 |
| Perpetual-Premium | 5.24 % | -5.83 % | 55,708 | 0.09 | 22 | -0.1817 % | 3,209.0 |
| Perpetual-Discount | 4.89 % | 4.95 % | 58,970 | 15.58 | 11 | 2.8592 % | 3,764.7 |
| FixedReset Disc | 4.05 % | 4.49 % | 116,272 | 16.27 | 44 | -1.4063 % | 2,770.7 |
| Insurance Straight | 5.02 % | 4.81 % | 85,126 | 15.46 | 18 | 0.5078 % | 3,573.3 |
| FloatingReset | 2.72 % | 3.09 % | 50,723 | 19.47 | 2 | 0.0551 % | 2,949.6 |
| FixedReset Prem | 4.79 % | 3.87 % | 112,492 | 2.07 | 26 | -0.0954 % | 2,697.2 |
| FixedReset Bank Non | 0.00 % | 0.00 % | 0 | 0.00 | 0 | -1.4063 % | 2,832.2 |
| FixedReset Ins Non | 4.14 % | 4.38 % | 78,055 | 16.32 | 17 | -0.2592 % | 2,934.0 |
| Performance Highlights | |||
| Issue | Index | Change | Notes |
| CM.PR.Q | FixedReset Disc | -17.92 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2052-02-16 Maturity Price : 19.70 Evaluated at bid price : 19.70 Bid-YTW : 5.51 % |
| BAM.PR.T | FixedReset Disc | -6.12 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2052-02-16 Maturity Price : 20.25 Evaluated at bid price : 20.25 Bid-YTW : 5.17 % |
| BMO.PR.S | FixedReset Disc | -5.78 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2052-02-16 Maturity Price : 21.59 Evaluated at bid price : 22.00 Bid-YTW : 4.67 % |
| TRP.PR.B | FixedReset Disc | -5.36 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2052-02-16 Maturity Price : 13.25 Evaluated at bid price : 13.25 Bid-YTW : 5.40 % |
| BAM.PF.B | FixedReset Disc | -4.84 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2052-02-16 Maturity Price : 21.60 Evaluated at bid price : 22.01 Bid-YTW : 5.10 % |
| TD.PF.A | FixedReset Disc | -4.16 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2052-02-16 Maturity Price : 22.04 Evaluated at bid price : 22.35 Bid-YTW : 4.49 % |
| BAM.PR.Z | FixedReset Disc | -3.81 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2052-02-16 Maturity Price : 23.12 Evaluated at bid price : 23.72 Bid-YTW : 5.07 % |
| GWO.PR.Y | Insurance Straight | -3.08 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2052-02-16 Maturity Price : 22.92 Evaluated at bid price : 23.31 Bid-YTW : 4.87 % |
| GWO.PR.N | FixedReset Ins Non | -2.90 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2052-02-16 Maturity Price : 16.75 Evaluated at bid price : 16.75 Bid-YTW : 4.29 % |
| CIU.PR.A | Perpetual-Discount | -2.69 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2052-02-16 Maturity Price : 23.20 Evaluated at bid price : 23.50 Bid-YTW : 4.89 % |
| TRP.PR.C | FixedReset Disc | -1.90 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2052-02-16 Maturity Price : 15.50 Evaluated at bid price : 15.50 Bid-YTW : 4.97 % |
| FTS.PR.G | FixedReset Disc | -1.89 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2052-02-16 Maturity Price : 21.46 Evaluated at bid price : 21.80 Bid-YTW : 4.56 % |
| BAM.PR.M | Perpetual-Discount | -1.88 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2052-02-16 Maturity Price : 23.20 Evaluated at bid price : 23.50 Bid-YTW : 5.11 % |
| IFC.PR.C | FixedReset Disc | -1.86 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2052-02-16 Maturity Price : 22.66 Evaluated at bid price : 23.70 Bid-YTW : 4.45 % |
| SLF.PR.C | Insurance Straight | -1.85 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2052-02-16 Maturity Price : 23.12 Evaluated at bid price : 23.38 Bid-YTW : 4.81 % |
| SLF.PR.D | Insurance Straight | -1.68 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2052-02-16 Maturity Price : 23.15 Evaluated at bid price : 23.45 Bid-YTW : 4.79 % |
| POW.PR.D | Perpetual-Premium | -1.61 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2052-02-16 Maturity Price : 24.15 Evaluated at bid price : 24.40 Bid-YTW : 5.17 % |
| SLF.PR.E | Insurance Straight | -1.54 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2052-02-16 Maturity Price : 23.30 Evaluated at bid price : 23.58 Bid-YTW : 4.82 % |
| SLF.PR.G | FixedReset Ins Non | -1.41 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2052-02-16 Maturity Price : 17.50 Evaluated at bid price : 17.50 Bid-YTW : 4.31 % |
| MFC.PR.F | FixedReset Ins Non | -1.31 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2052-02-16 Maturity Price : 18.06 Evaluated at bid price : 18.06 Bid-YTW : 4.25 % |
| GWO.PR.R | Insurance Straight | -1.25 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2052-02-16 Maturity Price : 24.15 Evaluated at bid price : 24.40 Bid-YTW : 4.97 % |
| PWF.PR.P | FixedReset Disc | -1.14 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2052-02-16 Maturity Price : 17.30 Evaluated at bid price : 17.30 Bid-YTW : 4.55 % |
| TRP.PR.A | FixedReset Disc | -1.11 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2052-02-16 Maturity Price : 18.79 Evaluated at bid price : 18.79 Bid-YTW : 4.99 % |
| BMO.PR.T | FixedReset Disc | -1.04 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2052-02-16 Maturity Price : 22.44 Evaluated at bid price : 22.90 Bid-YTW : 4.36 % |
| FTS.PR.H | FixedReset Disc | -1.00 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2052-02-16 Maturity Price : 16.83 Evaluated at bid price : 16.83 Bid-YTW : 4.50 % |
| TD.PF.E | FixedReset Disc | 1.61 % | YTW SCENARIO Maturity Type : Call Maturity Date : 2025-10-31 Maturity Price : 25.00 Evaluated at bid price : 24.05 Bid-YTW : 4.43 % |
| GWO.PR.I | Insurance Straight | 26.67 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2052-02-16 Maturity Price : 23.48 Evaluated at bid price : 23.75 Bid-YTW : 4.79 % |
| PWF.PF.A | Perpetual-Discount | 60.00 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2052-02-16 Maturity Price : 23.64 Evaluated at bid price : 24.00 Bid-YTW : 4.71 % |
| Volume Highlights | |||
| Issue | Index | Shares Traded |
Notes |
| BMO.PR.C | FixedReset Prem | 1,236,480 | YTW SCENARIO Maturity Type : Call Maturity Date : 2022-05-25 Maturity Price : 25.00 Evaluated at bid price : 25.06 Bid-YTW : 3.20 % |
| CM.PR.Y | FixedReset Prem | 201,400 | YTW SCENARIO Maturity Type : Call Maturity Date : 2024-07-31 Maturity Price : 25.00 Evaluated at bid price : 25.90 Bid-YTW : 3.75 % |
| CM.PR.R | FixedReset Prem | 156,463 | YTW SCENARIO Maturity Type : Call Maturity Date : 2022-07-31 Maturity Price : 25.00 Evaluated at bid price : 25.16 Bid-YTW : 3.54 % |
| BMO.PR.B | FixedReset Disc | 47,200 | YTW SCENARIO Maturity Type : Call Maturity Date : 2022-03-27 Maturity Price : 25.00 Evaluated at bid price : 24.99 Bid-YTW : 4.14 % |
| RY.PR.M | FixedReset Disc | 46,018 | YTW SCENARIO Maturity Type : Call Maturity Date : 2025-11-24 Maturity Price : 25.00 Evaluated at bid price : 24.15 Bid-YTW : 3.98 % |
| TD.PF.I | FixedReset Prem | 43,100 | YTW SCENARIO Maturity Type : Call Maturity Date : 2022-10-31 Maturity Price : 25.00 Evaluated at bid price : 25.25 Bid-YTW : 3.37 % |
| There were 18 other index-included issues trading in excess of 10,000 shares. | |||
| Wide Spread Highlights | ||
| Issue | Index | Quote Data and Yield Notes |
| CM.PR.Q | FixedReset Disc | Quote: 19.70 – 24.05 Spot Rate : 4.3500 Average : 2.4223 YTW SCENARIO |
| BMO.PR.S | FixedReset Disc | Quote: 22.00 – 23.35 Spot Rate : 1.3500 Average : 0.7933 YTW SCENARIO |
| BAM.PR.T | FixedReset Disc | Quote: 20.25 – 21.66 Spot Rate : 1.4100 Average : 0.9130 YTW SCENARIO |
| TD.PF.A | FixedReset Disc | Quote: 22.35 – 23.35 Spot Rate : 1.0000 Average : 0.5790 YTW SCENARIO |
| BAM.PF.G | FixedReset Disc | Quote: 20.75 – 23.00 Spot Rate : 2.2500 Average : 1.8300 YTW SCENARIO |
| BAM.PR.C | Floater | Quote: 14.99 – 15.99 Spot Rate : 1.0000 Average : 0.5963 YTW SCENARIO |
February 15, 2022
| HIMIPref™ Preferred Indices These values reflect the December 2008 revision of the HIMIPref™ Indices Values are provisional and are finalized monthly |
|||||||
| Index | Mean Current Yield (at bid) |
Median YTW |
Median Average Trading Value |
Median Mod Dur (YTW) |
Issues | Day’s Perf. | Index Value |
| Ratchet | 3.03 % | 3.51 % | 41,224 | 20.05 | 1 | 0.0495 % | 2,879.0 |
| FixedFloater | 0.00 % | 0.00 % | 0 | 0.00 | 0 | -0.0221 % | 5,604.0 |
| Floater | 2.84 % | 2.86 % | 62,985 | 20.04 | 3 | -0.0221 % | 3,229.6 |
| OpRet | 0.00 % | 0.00 % | 0 | 0.00 | 0 | 0.0327 % | 3,659.7 |
| SplitShare | 4.63 % | 4.39 % | 33,899 | 3.61 | 6 | 0.0327 % | 4,370.4 |
| Interest-Bearing | 0.00 % | 0.00 % | 0 | 0.00 | 0 | 0.0327 % | 3,410.0 |
| Perpetual-Premium | 5.23 % | -11.32 % | 56,317 | 0.09 | 22 | 0.1099 % | 3,214.9 |
| Perpetual-Discount | 5.03 % | 4.95 % | 57,366 | 15.55 | 11 | -0.8712 % | 3,660.1 |
| FixedReset Disc | 4.00 % | 4.46 % | 115,923 | 16.43 | 44 | -0.4100 % | 2,810.2 |
| Insurance Straight | 5.04 % | 4.75 % | 86,196 | 15.12 | 18 | -1.0434 % | 3,555.3 |
| FloatingReset | 2.72 % | 3.09 % | 49,916 | 19.47 | 2 | 0.1103 % | 2,947.9 |
| FixedReset Prem | 4.79 % | 3.74 % | 116,529 | 2.08 | 26 | 0.0621 % | 2,699.8 |
| FixedReset Bank Non | 0.00 % | 0.00 % | 0 | 0.00 | 0 | -0.4100 % | 2,872.6 |
| FixedReset Ins Non | 4.13 % | 4.38 % | 78,076 | 16.32 | 17 | -0.2687 % | 2,941.6 |
| Performance Highlights | |||
| Issue | Index | Change | Notes |
| PWF.PF.A | Perpetual-Discount | -38.14 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2052-02-15 Maturity Price : 15.00 Evaluated at bid price : 15.00 Bid-YTW : 7.60 % |
| GWO.PR.I | Insurance Straight | -21.71 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2052-02-15 Maturity Price : 18.75 Evaluated at bid price : 18.75 Bid-YTW : 6.10 % |
| BAM.PF.G | FixedReset Disc | -5.68 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2052-02-15 Maturity Price : 20.75 Evaluated at bid price : 20.75 Bid-YTW : 5.36 % |
| TD.PF.E | FixedReset Disc | -3.19 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2052-02-15 Maturity Price : 22.73 Evaluated at bid price : 23.67 Bid-YTW : 4.63 % |
| BAM.PR.X | FixedReset Disc | -2.49 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2052-02-15 Maturity Price : 18.00 Evaluated at bid price : 18.00 Bid-YTW : 5.08 % |
| MFC.PR.M | FixedReset Ins Non | -1.72 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2052-02-15 Maturity Price : 22.39 Evaluated at bid price : 22.90 Bid-YTW : 4.53 % |
| IFC.PR.E | Insurance Straight | -1.56 % | YTW SCENARIO Maturity Type : Call Maturity Date : 2026-06-30 Maturity Price : 25.00 Evaluated at bid price : 25.30 Bid-YTW : 5.09 % |
| TRP.PR.B | FixedReset Disc | -1.41 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2052-02-15 Maturity Price : 14.00 Evaluated at bid price : 14.00 Bid-YTW : 5.12 % |
| MFC.PR.N | FixedReset Ins Non | -1.29 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2052-02-15 Maturity Price : 22.37 Evaluated at bid price : 22.90 Bid-YTW : 4.44 % |
| CM.PR.O | FixedReset Disc | -1.14 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2052-02-15 Maturity Price : 22.77 Evaluated at bid price : 23.43 Bid-YTW : 4.34 % |
| IFC.PR.A | FixedReset Ins Non | -1.03 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2052-02-15 Maturity Price : 21.12 Evaluated at bid price : 21.12 Bid-YTW : 4.24 % |
| CU.PR.J | Perpetual-Premium | 1.10 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2052-02-15 Maturity Price : 24.37 Evaluated at bid price : 24.75 Bid-YTW : 4.79 % |
| MFC.PR.C | Insurance Straight | 1.15 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2052-02-15 Maturity Price : 23.41 Evaluated at bid price : 23.70 Bid-YTW : 4.81 % |
| SLF.PR.C | Insurance Straight | 1.28 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2052-02-15 Maturity Price : 23.55 Evaluated at bid price : 23.82 Bid-YTW : 4.72 % |
| PWF.PR.L | Perpetual-Premium | 1.29 % | YTW SCENARIO Maturity Type : Call Maturity Date : 2022-03-17 Maturity Price : 25.00 Evaluated at bid price : 25.12 Bid-YTW : 1.63 % |
| SLF.PR.D | Insurance Straight | 1.49 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2052-02-15 Maturity Price : 23.58 Evaluated at bid price : 23.85 Bid-YTW : 4.71 % |
| BAM.PR.N | Perpetual-Discount | 3.68 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2052-02-15 Maturity Price : 23.68 Evaluated at bid price : 23.95 Bid-YTW : 5.01 % |
| PWF.PR.K | Perpetual-Discount | 3.77 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2052-02-15 Maturity Price : 24.50 Evaluated at bid price : 24.75 Bid-YTW : 5.03 % |
| BAM.PF.B | FixedReset Disc | 5.09 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2052-02-15 Maturity Price : 22.81 Evaluated at bid price : 23.13 Bid-YTW : 4.86 % |
| BAM.PR.M | Perpetual-Discount | 28.97 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2052-02-15 Maturity Price : 23.68 Evaluated at bid price : 23.95 Bid-YTW : 5.01 % |
| Volume Highlights | |||
| Issue | Index | Shares Traded |
Notes |
| RY.PR.Z | FixedReset Disc | 190,537 | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2052-02-15 Maturity Price : 23.05 Evaluated at bid price : 23.35 Bid-YTW : 4.27 % |
| MFC.PR.R | FixedReset Ins Non | 130,475 | YTW SCENARIO Maturity Type : Call Maturity Date : 2022-03-19 Maturity Price : 25.00 Evaluated at bid price : 25.26 Bid-YTW : 1.76 % |
| TRP.PR.K | FixedReset Prem | 98,550 | YTW SCENARIO Maturity Type : Call Maturity Date : 2022-05-31 Maturity Price : 25.00 Evaluated at bid price : 25.06 Bid-YTW : 3.57 % |
| MFC.PR.Q | FixedReset Ins Non | 55,100 | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2052-02-15 Maturity Price : 23.76 Evaluated at bid price : 24.94 Bid-YTW : 4.40 % |
| CM.PR.R | FixedReset Prem | 51,910 | YTW SCENARIO Maturity Type : Call Maturity Date : 2022-07-31 Maturity Price : 25.00 Evaluated at bid price : 25.15 Bid-YTW : 3.61 % |
| TD.PF.L | FixedReset Prem | 50,250 | YTW SCENARIO Maturity Type : Call Maturity Date : 2024-04-30 Maturity Price : 25.00 Evaluated at bid price : 25.95 Bid-YTW : 3.51 % |
| There were 10 other index-included issues trading in excess of 10,000 shares. | |||
| Wide Spread Highlights | ||
| Issue | Index | Quote Data and Yield Notes |
| PWF.PF.A | Perpetual-Discount | Quote: 15.00 – 24.40 Spot Rate : 9.4000 Average : 5.0257 YTW SCENARIO |
| GWO.PR.I | Insurance Straight | Quote: 18.75 – 24.20 Spot Rate : 5.4500 Average : 2.9707 YTW SCENARIO |
| BAM.PF.G | FixedReset Disc | Quote: 20.75 – 22.75 Spot Rate : 2.0000 Average : 1.3694 YTW SCENARIO |
| TD.PF.E | FixedReset Disc | Quote: 23.67 – 24.67 Spot Rate : 1.0000 Average : 0.6087 YTW SCENARIO |
| BAM.PR.X | FixedReset Disc | Quote: 18.00 – 19.24 Spot Rate : 1.2400 Average : 0.9160 YTW SCENARIO |
| CU.PR.I | FixedReset Prem | Quote: 25.60 – 26.50 Spot Rate : 0.9000 Average : 0.6149 YTW SCENARIO |
February 14, 2022
| HIMIPref™ Preferred Indices These values reflect the December 2008 revision of the HIMIPref™ Indices Values are provisional and are finalized monthly |
|||||||
| Index | Mean Current Yield (at bid) |
Median YTW |
Median Average Trading Value |
Median Mod Dur (YTW) |
Issues | Day’s Perf. | Index Value |
| Ratchet | 3.03 % | 3.51 % | 41,805 | 20.05 | 1 | -0.0495 % | 2,877.6 |
| FixedFloater | 0.00 % | 0.00 % | 0 | 0.00 | 0 | -0.5713 % | 5,605.3 |
| Floater | 2.84 % | 2.87 % | 62,315 | 20.02 | 3 | -0.5713 % | 3,230.3 |
| OpRet | 0.00 % | 0.00 % | 0 | 0.00 | 0 | -0.0327 % | 3,658.5 |
| SplitShare | 4.63 % | 4.43 % | 32,933 | 3.62 | 6 | -0.0327 % | 4,369.0 |
| Interest-Bearing | 0.00 % | 0.00 % | 0 | 0.00 | 0 | -0.0327 % | 3,408.9 |
| Perpetual-Premium | 5.24 % | -11.15 % | 56,764 | 0.09 | 22 | -0.2372 % | 3,211.4 |
| Perpetual-Discount | 4.99 % | 4.92 % | 59,338 | 15.63 | 11 | -3.2334 % | 3,692.3 |
| FixedReset Disc | 3.98 % | 4.39 % | 117,764 | 16.36 | 44 | -0.6373 % | 2,821.8 |
| Insurance Straight | 4.99 % | 4.76 % | 88,115 | 15.49 | 18 | 0.9716 % | 3,592.8 |
| FloatingReset | 2.72 % | 3.09 % | 51,945 | 19.45 | 2 | -0.7659 % | 2,944.7 |
| FixedReset Prem | 4.79 % | 3.82 % | 107,929 | 2.08 | 26 | -0.1452 % | 2,698.1 |
| FixedReset Bank Non | 0.00 % | 0.00 % | 0 | 0.00 | 0 | -0.6373 % | 2,884.4 |
| FixedReset Ins Non | 4.12 % | 4.40 % | 72,308 | 16.31 | 17 | -0.1508 % | 2,949.5 |
| Performance Highlights | |||
| Issue | Index | Change | Notes |
| BAM.PR.M | Perpetual-Discount | -23.52 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2052-02-14 Maturity Price : 18.57 Evaluated at bid price : 18.57 Bid-YTW : 6.51 % |
| BAM.PF.B | FixedReset Disc | -4.72 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2052-02-14 Maturity Price : 21.60 Evaluated at bid price : 22.01 Bid-YTW : 5.10 % |
| PWF.PR.K | Perpetual-Discount | -4.18 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2052-02-14 Maturity Price : 23.58 Evaluated at bid price : 23.85 Bid-YTW : 5.22 % |
| BAM.PF.G | FixedReset Disc | -3.68 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2052-02-14 Maturity Price : 21.72 Evaluated at bid price : 22.00 Bid-YTW : 5.04 % |
| BAM.PF.C | Perpetual-Discount | -2.89 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2052-02-14 Maturity Price : 23.62 Evaluated at bid price : 23.90 Bid-YTW : 5.13 % |
| CU.PR.G | Perpetual-Discount | -2.52 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2052-02-14 Maturity Price : 23.34 Evaluated at bid price : 23.60 Bid-YTW : 4.77 % |
| GWO.PR.Y | Insurance Straight | -2.08 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2052-02-14 Maturity Price : 23.66 Evaluated at bid price : 24.00 Bid-YTW : 4.73 % |
| TD.PF.C | FixedReset Disc | -2.00 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2052-02-14 Maturity Price : 22.45 Evaluated at bid price : 23.01 Bid-YTW : 4.38 % |
| TD.PF.J | FixedReset Prem | -1.98 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2052-02-14 Maturity Price : 24.46 Evaluated at bid price : 24.80 Bid-YTW : 4.58 % |
| BAM.PR.X | FixedReset Disc | -1.86 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2052-02-14 Maturity Price : 18.46 Evaluated at bid price : 18.46 Bid-YTW : 4.95 % |
| TRP.PR.E | FixedReset Disc | -1.42 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2052-02-14 Maturity Price : 20.85 Evaluated at bid price : 20.85 Bid-YTW : 4.97 % |
| BMO.PR.S | FixedReset Disc | -1.39 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2052-02-14 Maturity Price : 22.82 Evaluated at bid price : 23.47 Bid-YTW : 4.35 % |
| CM.PR.T | FixedReset Prem | -1.35 % | YTW SCENARIO Maturity Type : Call Maturity Date : 2024-04-30 Maturity Price : 25.00 Evaluated at bid price : 25.65 Bid-YTW : 4.10 % |
| BAM.PR.N | Perpetual-Discount | -1.32 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2052-02-14 Maturity Price : 22.82 Evaluated at bid price : 23.10 Bid-YTW : 5.20 % |
| TRP.PR.D | FixedReset Disc | -1.32 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2052-02-14 Maturity Price : 20.92 Evaluated at bid price : 20.92 Bid-YTW : 5.02 % |
| BAM.PF.E | FixedReset Disc | -1.27 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2052-02-14 Maturity Price : 21.40 Evaluated at bid price : 21.73 Bid-YTW : 4.91 % |
| PWF.PR.P | FixedReset Disc | -1.24 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2052-02-14 Maturity Price : 17.50 Evaluated at bid price : 17.50 Bid-YTW : 4.50 % |
| SLF.PR.C | Insurance Straight | -1.22 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2052-02-14 Maturity Price : 23.22 Evaluated at bid price : 23.52 Bid-YTW : 4.78 % |
| PWF.PR.L | Perpetual-Premium | -1.20 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2052-02-14 Maturity Price : 24.55 Evaluated at bid price : 24.80 Bid-YTW : 5.17 % |
| GWO.PR.I | Insurance Straight | -1.16 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2052-02-14 Maturity Price : 23.68 Evaluated at bid price : 23.95 Bid-YTW : 4.74 % |
| BAM.PR.T | FixedReset Disc | -1.15 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2052-02-14 Maturity Price : 21.50 Evaluated at bid price : 21.50 Bid-YTW : 4.87 % |
| MFC.PR.L | FixedReset Ins Non | -1.10 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2052-02-14 Maturity Price : 22.13 Evaluated at bid price : 22.43 Bid-YTW : 4.45 % |
| FTS.PR.H | FixedReset Disc | -1.06 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2052-02-14 Maturity Price : 17.15 Evaluated at bid price : 17.15 Bid-YTW : 4.42 % |
| BMO.PR.W | FixedReset Disc | -1.06 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2052-02-14 Maturity Price : 22.64 Evaluated at bid price : 23.30 Bid-YTW : 4.28 % |
| PWF.PR.T | FixedReset Disc | -1.04 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2052-02-14 Maturity Price : 23.36 Evaluated at bid price : 23.70 Bid-YTW : 4.43 % |
| BMO.PR.Y | FixedReset Disc | 1.09 % | YTW SCENARIO Maturity Type : Call Maturity Date : 2025-08-25 Maturity Price : 25.00 Evaluated at bid price : 24.01 Bid-YTW : 4.27 % |
| RY.PR.M | FixedReset Disc | 1.30 % | YTW SCENARIO Maturity Type : Call Maturity Date : 2025-11-24 Maturity Price : 25.00 Evaluated at bid price : 24.15 Bid-YTW : 3.97 % |
| CU.PR.E | Perpetual-Premium | 1.55 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2052-02-14 Maturity Price : 24.64 Evaluated at bid price : 24.90 Bid-YTW : 4.92 % |
| RY.PR.J | FixedReset Disc | 1.58 % | YTW SCENARIO Maturity Type : Call Maturity Date : 2025-05-24 Maturity Price : 25.00 Evaluated at bid price : 24.41 Bid-YTW : 3.96 % |
| BAM.PF.A | FixedReset Prem | 2.50 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2052-02-14 Maturity Price : 23.53 Evaluated at bid price : 24.60 Bid-YTW : 4.83 % |
| SLF.PR.D | Insurance Straight | 5.52 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2052-02-14 Maturity Price : 23.20 Evaluated at bid price : 23.50 Bid-YTW : 4.78 % |
| MFC.PR.B | Insurance Straight | 22.79 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2052-02-14 Maturity Price : 23.49 Evaluated at bid price : 23.76 Bid-YTW : 4.96 % |
| Volume Highlights | |||
| Issue | Index | Shares Traded |
Notes |
| MFC.PR.R | FixedReset Ins Non | 174,100 | YTW SCENARIO Maturity Type : Call Maturity Date : 2022-03-19 Maturity Price : 25.00 Evaluated at bid price : 25.26 Bid-YTW : 1.70 % |
| CM.PR.R | FixedReset Prem | 156,100 | YTW SCENARIO Maturity Type : Call Maturity Date : 2022-07-31 Maturity Price : 25.00 Evaluated at bid price : 25.18 Bid-YTW : 3.32 % |
| TRP.PR.K | FixedReset Prem | 95,195 | YTW SCENARIO Maturity Type : Call Maturity Date : 2022-05-31 Maturity Price : 25.00 Evaluated at bid price : 25.06 Bid-YTW : 3.54 % |
| TD.PF.M | FixedReset Prem | 41,564 | YTW SCENARIO Maturity Type : Call Maturity Date : 2024-07-31 Maturity Price : 25.00 Evaluated at bid price : 26.20 Bid-YTW : 3.16 % |
| TD.PF.I | FixedReset Prem | 33,500 | YTW SCENARIO Maturity Type : Call Maturity Date : 2022-10-31 Maturity Price : 25.00 Evaluated at bid price : 25.21 Bid-YTW : 3.57 % |
| SLF.PR.J | FloatingReset | 32,477 | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2052-02-14 Maturity Price : 18.12 Evaluated at bid price : 18.12 Bid-YTW : 2.39 % |
| There were 24 other index-included issues trading in excess of 10,000 shares. | |||
| Wide Spread Highlights | ||
| Issue | Index | Quote Data and Yield Notes |
| BAM.PR.M | Perpetual-Discount | Quote: 18.57 – 24.40 Spot Rate : 5.8300 Average : 3.1218 YTW SCENARIO |
| BAM.PF.B | FixedReset Disc | Quote: 22.01 – 23.64 Spot Rate : 1.6300 Average : 1.0473 YTW SCENARIO |
| PWF.PR.K | Perpetual-Discount | Quote: 23.85 – 24.85 Spot Rate : 1.0000 Average : 0.5880 YTW SCENARIO |
| BAM.PF.C | Perpetual-Discount | Quote: 23.90 – 24.85 Spot Rate : 0.9500 Average : 0.6083 YTW SCENARIO |
| BAM.PF.G | FixedReset Disc | Quote: 22.00 – 23.00 Spot Rate : 1.0000 Average : 0.6781 YTW SCENARIO |
| BAM.PR.N | Perpetual-Discount | Quote: 23.10 – 24.32 Spot Rate : 1.2200 Average : 0.9132 YTW SCENARIO |
February PrefLetter Slightly Delayed
Some of you will have noticed that the PrefLetter website has been down for about a week now. This is due to a major upgrade of the ‘plumbing’ – backup, SQL version, PHP version, WordPress version, you name it, we got it – which, unfortunately did not proceed without hiccups.
One of those hiccups has prevented the sending of the February PrefLetter, which has been prepared but my access to the distribution software has been impaired.
I hope to have this cleared up shortly, but I need to discuss details with my server-guy, who is not currently available.
I regret the delay.
February 11, 2022
| HIMIPref™ Preferred Indices These values reflect the December 2008 revision of the HIMIPref™ Indices Values are provisional and are finalized monthly |
|||||||
| Index | Mean Current Yield (at bid) |
Median YTW |
Median Average Trading Value |
Median Mod Dur (YTW) |
Issues | Day’s Perf. | Index Value |
| Ratchet | 3.03 % | 3.50 % | 41,585 | 20.06 | 1 | -1.0284 % | 2,879.0 |
| FixedFloater | 0.00 % | 0.00 % | 0 | 0.00 | 0 | -0.6115 % | 5,637.5 |
| Floater | 2.83 % | 2.85 % | 61,742 | 20.09 | 3 | -0.6115 % | 3,248.9 |
| OpRet | 0.00 % | 0.00 % | 0 | 0.00 | 0 | -0.0653 % | 3,659.7 |
| SplitShare | 4.63 % | 4.43 % | 31,698 | 3.63 | 6 | -0.0653 % | 4,370.4 |
| Interest-Bearing | 0.00 % | 0.00 % | 0 | 0.00 | 0 | -0.0653 % | 3,410.0 |
| Perpetual-Premium | 5.23 % | -5.07 % | 55,336 | 0.09 | 22 | -0.5965 % | 3,219.0 |
| Perpetual-Discount | 4.83 % | 4.87 % | 59,867 | 15.71 | 11 | -0.8912 % | 3,815.6 |
| FixedReset Disc | 3.95 % | 4.43 % | 118,188 | 16.44 | 44 | -0.7933 % | 2,839.9 |
| Insurance Straight | 5.04 % | 4.69 % | 84,494 | 13.67 | 18 | -2.4895 % | 3,558.2 |
| FloatingReset | 2.70 % | 3.07 % | 52,681 | 19.52 | 2 | 0.3018 % | 2,967.4 |
| FixedReset Prem | 4.78 % | 3.78 % | 106,227 | 1.78 | 26 | -0.4186 % | 2,702.1 |
| FixedReset Bank Non | 0.00 % | 0.00 % | 0 | 0.00 | 0 | -0.7933 % | 2,902.9 |
| FixedReset Ins Non | 4.11 % | 4.30 % | 73,446 | 16.36 | 17 | -0.4705 % | 2,954.0 |
| Performance Highlights | |||
| Issue | Index | Change | Notes |
| MFC.PR.B | Insurance Straight | -21.98 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2052-02-11 Maturity Price : 19.35 Evaluated at bid price : 19.35 Bid-YTW : 6.12 % |
| SLF.PR.D | Insurance Straight | -9.06 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2052-02-11 Maturity Price : 22.04 Evaluated at bid price : 22.27 Bid-YTW : 5.05 % |
| BAM.PF.A | FixedReset Prem | -4.38 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2052-02-11 Maturity Price : 23.62 Evaluated at bid price : 24.00 Bid-YTW : 4.99 % |
| MFC.PR.C | Insurance Straight | -4.11 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2052-02-11 Maturity Price : 23.31 Evaluated at bid price : 23.59 Bid-YTW : 4.82 % |
| BAM.PR.N | Perpetual-Discount | -4.10 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2052-02-11 Maturity Price : 23.15 Evaluated at bid price : 23.41 Bid-YTW : 5.13 % |
| BAM.PR.R | FixedReset Disc | -3.61 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2052-02-11 Maturity Price : 20.05 Evaluated at bid price : 20.05 Bid-YTW : 4.93 % |
| FTS.PR.J | Perpetual-Premium | -2.62 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2052-02-11 Maturity Price : 23.95 Evaluated at bid price : 24.20 Bid-YTW : 4.99 % |
| TRP.PR.A | FixedReset Disc | -2.58 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2052-02-11 Maturity Price : 18.90 Evaluated at bid price : 18.90 Bid-YTW : 4.96 % |
| SLF.PR.C | Insurance Straight | -2.54 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2052-02-11 Maturity Price : 23.54 Evaluated at bid price : 23.81 Bid-YTW : 4.72 % |
| CU.PR.I | FixedReset Prem | -2.11 % | YTW SCENARIO Maturity Type : Call Maturity Date : 2025-12-01 Maturity Price : 25.00 Evaluated at bid price : 25.55 Bid-YTW : 3.83 % |
| CU.PR.E | Perpetual-Premium | -2.08 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2052-02-11 Maturity Price : 24.23 Evaluated at bid price : 24.52 Bid-YTW : 4.99 % |
| SLF.PR.E | Insurance Straight | -2.07 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2052-02-11 Maturity Price : 23.84 Evaluated at bid price : 24.09 Bid-YTW : 4.72 % |
| BMO.PR.Y | FixedReset Disc | -2.06 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2052-02-11 Maturity Price : 22.79 Evaluated at bid price : 23.75 Bid-YTW : 4.43 % |
| BNS.PR.I | FixedReset Prem | -2.04 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2052-02-11 Maturity Price : 23.60 Evaluated at bid price : 25.00 Bid-YTW : 4.25 % |
| BAM.PF.B | FixedReset Disc | -2.04 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2052-02-11 Maturity Price : 22.79 Evaluated at bid price : 23.10 Bid-YTW : 4.86 % |
| GWO.PR.H | Insurance Straight | -1.95 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2052-02-11 Maturity Price : 24.30 Evaluated at bid price : 24.61 Bid-YTW : 4.98 % |
| TRP.PR.G | FixedReset Disc | -1.83 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2052-02-11 Maturity Price : 22.68 Evaluated at bid price : 23.60 Bid-YTW : 4.69 % |
| RY.PR.H | FixedReset Disc | -1.81 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2052-02-11 Maturity Price : 22.68 Evaluated at bid price : 23.30 Bid-YTW : 4.29 % |
| FTS.PR.F | Perpetual-Premium | -1.78 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2052-02-11 Maturity Price : 24.64 Evaluated at bid price : 24.90 Bid-YTW : 5.00 % |
| BAM.PF.F | FixedReset Disc | -1.63 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2052-02-11 Maturity Price : 22.84 Evaluated at bid price : 23.61 Bid-YTW : 4.87 % |
| NA.PR.W | FixedReset Disc | -1.58 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2052-02-11 Maturity Price : 22.79 Evaluated at bid price : 23.62 Bid-YTW : 4.23 % |
| TRP.PR.E | FixedReset Disc | -1.58 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2052-02-11 Maturity Price : 21.15 Evaluated at bid price : 21.15 Bid-YTW : 4.90 % |
| TRP.PR.D | FixedReset Disc | -1.58 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2052-02-11 Maturity Price : 21.20 Evaluated at bid price : 21.20 Bid-YTW : 4.95 % |
| PWF.PR.F | Perpetual-Premium | -1.56 % | YTW SCENARIO Maturity Type : Call Maturity Date : 2022-03-13 Maturity Price : 25.00 Evaluated at bid price : 25.25 Bid-YTW : -5.07 % |
| BAM.PR.T | FixedReset Disc | -1.49 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2052-02-11 Maturity Price : 21.45 Evaluated at bid price : 21.75 Bid-YTW : 4.79 % |
| MFC.PR.M | FixedReset Ins Non | -1.48 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2052-02-11 Maturity Price : 22.66 Evaluated at bid price : 23.35 Bid-YTW : 4.43 % |
| PWF.PR.T | FixedReset Disc | -1.44 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2052-02-11 Maturity Price : 23.62 Evaluated at bid price : 23.95 Bid-YTW : 4.39 % |
| TD.PF.A | FixedReset Disc | -1.43 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2052-02-11 Maturity Price : 22.71 Evaluated at bid price : 23.40 Bid-YTW : 4.26 % |
| TD.PF.C | FixedReset Disc | -1.43 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2052-02-11 Maturity Price : 22.72 Evaluated at bid price : 23.48 Bid-YTW : 4.28 % |
| MFC.PR.K | FixedReset Ins Non | -1.40 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2052-02-11 Maturity Price : 23.46 Evaluated at bid price : 23.86 Bid-YTW : 4.30 % |
| RY.PR.J | FixedReset Disc | -1.40 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2052-02-11 Maturity Price : 22.95 Evaluated at bid price : 24.03 Bid-YTW : 4.44 % |
| CU.PR.J | Perpetual-Premium | -1.32 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2052-02-11 Maturity Price : 24.29 Evaluated at bid price : 24.67 Bid-YTW : 4.80 % |
| MFC.PR.N | FixedReset Ins Non | -1.28 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2052-02-11 Maturity Price : 22.52 Evaluated at bid price : 23.15 Bid-YTW : 4.39 % |
| NA.PR.S | FixedReset Disc | -1.27 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2052-02-11 Maturity Price : 23.13 Evaluated at bid price : 24.05 Bid-YTW : 4.32 % |
| BMO.PR.T | FixedReset Disc | -1.27 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2052-02-11 Maturity Price : 22.74 Evaluated at bid price : 23.40 Bid-YTW : 4.24 % |
| BAM.PF.D | Perpetual-Premium | -1.24 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2052-02-11 Maturity Price : 24.31 Evaluated at bid price : 24.62 Bid-YTW : 5.03 % |
| TD.PF.D | FixedReset Disc | -1.23 % | YTW SCENARIO Maturity Type : Call Maturity Date : 2025-07-31 Maturity Price : 25.00 Evaluated at bid price : 24.10 Bid-YTW : 4.38 % |
| PWF.PF.A | Perpetual-Discount | -1.22 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2052-02-11 Maturity Price : 23.88 Evaluated at bid price : 24.25 Bid-YTW : 4.65 % |
| IFC.PR.G | FixedReset Ins Non | -1.14 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2052-02-11 Maturity Price : 23.81 Evaluated at bid price : 25.11 Bid-YTW : 4.36 % |
| IAF.PR.B | Insurance Straight | -1.13 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2052-02-11 Maturity Price : 24.19 Evaluated at bid price : 24.45 Bid-YTW : 4.75 % |
| EMA.PR.L | Perpetual-Discount | -1.11 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2052-02-11 Maturity Price : 23.78 Evaluated at bid price : 24.13 Bid-YTW : 4.77 % |
| CU.PR.C | FixedReset Disc | -1.08 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2052-02-11 Maturity Price : 22.18 Evaluated at bid price : 22.85 Bid-YTW : 4.58 % |
| CM.PR.P | FixedReset Disc | -1.05 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2052-02-11 Maturity Price : 22.78 Evaluated at bid price : 23.60 Bid-YTW : 4.25 % |
| BAM.PR.C | Floater | -1.04 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2052-02-11 Maturity Price : 15.19 Evaluated at bid price : 15.19 Bid-YTW : 2.84 % |
| CU.PR.F | Perpetual-Discount | -1.04 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2052-02-11 Maturity Price : 23.64 Evaluated at bid price : 23.90 Bid-YTW : 4.70 % |
| BAM.PR.E | Ratchet | -1.03 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2052-02-11 Maturity Price : 25.00 Evaluated at bid price : 20.21 Bid-YTW : 3.50 % |
| RY.PR.Z | FixedReset Disc | -1.02 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2052-02-11 Maturity Price : 22.71 Evaluated at bid price : 23.28 Bid-YTW : 4.26 % |
| TD.PF.E | FixedReset Disc | -1.02 % | YTW SCENARIO Maturity Type : Call Maturity Date : 2025-10-31 Maturity Price : 25.00 Evaluated at bid price : 24.35 Bid-YTW : 4.05 % |
| BAM.PR.X | FixedReset Disc | 1.13 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2052-02-11 Maturity Price : 18.81 Evaluated at bid price : 18.81 Bid-YTW : 4.86 % |
| BAM.PF.E | FixedReset Disc | 2.61 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2052-02-11 Maturity Price : 21.75 Evaluated at bid price : 22.01 Bid-YTW : 4.85 % |
| TRP.PR.C | FixedReset Disc | 5.29 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2052-02-11 Maturity Price : 16.11 Evaluated at bid price : 16.11 Bid-YTW : 4.78 % |
| Volume Highlights | |||
| Issue | Index | Shares Traded |
Notes |
| NA.PR.C | FixedReset Prem | 90,680 | YTW SCENARIO Maturity Type : Call Maturity Date : 2022-11-15 Maturity Price : 25.00 Evaluated at bid price : 25.17 Bid-YTW : 3.51 % |
| RY.PR.J | FixedReset Disc | 46,600 | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2052-02-11 Maturity Price : 22.95 Evaluated at bid price : 24.03 Bid-YTW : 4.44 % |
| NA.PR.W | FixedReset Disc | 45,900 | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2052-02-11 Maturity Price : 22.79 Evaluated at bid price : 23.62 Bid-YTW : 4.23 % |
| TD.PF.M | FixedReset Prem | 42,850 | YTW SCENARIO Maturity Type : Call Maturity Date : 2024-07-31 Maturity Price : 25.00 Evaluated at bid price : 26.26 Bid-YTW : 3.05 % |
| TD.PF.I | FixedReset Prem | 32,547 | YTW SCENARIO Maturity Type : Call Maturity Date : 2022-10-31 Maturity Price : 25.00 Evaluated at bid price : 25.15 Bid-YTW : 3.87 % |
| TD.PF.E | FixedReset Disc | 30,100 | YTW SCENARIO Maturity Type : Call Maturity Date : 2025-10-31 Maturity Price : 25.00 Evaluated at bid price : 24.35 Bid-YTW : 4.05 % |
| There were 24 other index-included issues trading in excess of 10,000 shares. | |||
| Wide Spread Highlights | ||
| Issue | Index | Quote Data and Yield Notes |
| MFC.PR.B | Insurance Straight | Quote: 19.35 – 24.03 Spot Rate : 4.6800 Average : 2.5332 YTW SCENARIO |
| SLF.PR.D | Insurance Straight | Quote: 22.27 – 24.03 Spot Rate : 1.7600 Average : 1.0231 YTW SCENARIO |
| BAM.PF.A | FixedReset Prem | Quote: 24.00 – 25.14 Spot Rate : 1.1400 Average : 0.6339 YTW SCENARIO |
| BAM.PR.N | Perpetual-Discount | Quote: 23.41 – 24.41 Spot Rate : 1.0000 Average : 0.5769 YTW SCENARIO |
| PWF.PR.F | Perpetual-Premium | Quote: 25.25 – 25.96 Spot Rate : 0.7100 Average : 0.4156 YTW SCENARIO |
| SLF.PR.E | Insurance Straight | Quote: 24.09 – 25.00 Spot Rate : 0.9100 Average : 0.6551 YTW SCENARIO |
February 10, 2022
US inflation has recorded a 40-year high:
The Canadian dollar CADUSD weakened against the greenback on Thursday as data showing that U.S. inflation soared to a 40-year high in January raised expectations for aggressive interest rate hikes by the Federal Reserve.
U.S. bond yields climbed and the greenback rallied against a basket of major currencies as the U.S. consumer price index climbed at an annual rate of 7.5 per cent, fueling speculation of a 50 basis points interest rate hike from the Fed next month.
The NYT reports signs of spreading:
More worrying were the report’s details, which showed inflation moving beyond pandemic-affected goods and services, a sign that rapid gains could prove longer lasting and harder to shake off.
…
Lately, it is more than just shortages of goods at play. Price gains are increasingly hitting consumers in hard-to-avoid ways as they show up in necessities: January’s inflation reading was driven by food, electricity and shelter costs, the Bureau of Labor Statistics said.
…
After Thursday’s report, investors expected the Fed to withdraw economic support even more quickly. Markets braced for a half-percentage-point increase in the federal funds rate at the central bank’s meeting next month — double the usual increment.The inflation reading sent stocks down and government bond yields up. The S&P 500 dropped 1.8 percent, while the Nasdaq composite fell 2.1 percent. The yield on 10-year U.S. Treasury notes rose 0.1 percentage points, to about 2.03 percent, the highest level since November 2019.
GOC-5 hit 1.84% today; the highest in the BOC’s weekly series since 2019-2-13.
| HIMIPref™ Preferred Indices These values reflect the December 2008 revision of the HIMIPref™ Indices Values are provisional and are finalized monthly |
|||||||
| Index | Mean Current Yield (at bid) |
Median YTW |
Median Average Trading Value |
Median Mod Dur (YTW) |
Issues | Day’s Perf. | Index Value |
| Ratchet | 3.00 % | 3.45 % | 41,482 | 20.12 | 1 | 0.5416 % | 2,908.9 |
| FixedFloater | 0.00 % | 0.00 % | 0 | 0.00 | 0 | 0.3067 % | 5,672.1 |
| Floater | 2.81 % | 2.83 % | 62,607 | 20.15 | 3 | 0.3067 % | 3,268.9 |
| OpRet | 0.00 % | 0.00 % | 0 | 0.00 | 0 | 0.1832 % | 3,662.1 |
| SplitShare | 4.63 % | 4.35 % | 32,190 | 3.63 | 6 | 0.1832 % | 4,373.3 |
| Interest-Bearing | 0.00 % | 0.00 % | 0 | 0.00 | 0 | 0.1832 % | 3,412.2 |
| Perpetual-Premium | 5.20 % | -15.55 % | 55,685 | 0.09 | 22 | -0.1035 % | 3,238.3 |
| Perpetual-Discount | 4.79 % | 4.74 % | 60,682 | 15.74 | 11 | -0.1224 % | 3,849.9 |
| FixedReset Disc | 3.92 % | 4.21 % | 116,938 | 16.49 | 44 | -0.3261 % | 2,862.6 |
| Insurance Straight | 4.91 % | 4.60 % | 80,975 | 15.66 | 18 | -0.1728 % | 3,649.0 |
| FloatingReset | 2.67 % | 3.02 % | 53,021 | 19.64 | 2 | 0.0000 % | 2,958.5 |
| FixedReset Prem | 4.76 % | 3.55 % | 104,163 | 1.78 | 26 | 0.0015 % | 2,713.4 |
| FixedReset Bank Non | 0.00 % | 0.00 % | 0 | 0.00 | 0 | -0.3261 % | 2,926.2 |
| FixedReset Ins Non | 4.09 % | 4.14 % | 73,077 | 16.55 | 17 | 0.0585 % | 2,968.0 |
| Performance Highlights | |||
| Issue | Index | Change | Notes |
| BAM.PF.E | FixedReset Disc | -3.81 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2052-02-10 Maturity Price : 21.45 Evaluated at bid price : 21.45 Bid-YTW : 4.88 % |
| BAM.PR.Z | FixedReset Disc | -2.07 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2052-02-10 Maturity Price : 24.18 Evaluated at bid price : 24.65 Bid-YTW : 4.76 % |
| MFC.PR.F | FixedReset Ins Non | -1.98 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2052-02-10 Maturity Price : 18.30 Evaluated at bid price : 18.30 Bid-YTW : 4.07 % |
| RY.PR.M | FixedReset Disc | -1.81 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2052-02-10 Maturity Price : 22.80 Evaluated at bid price : 23.84 Bid-YTW : 4.20 % |
| BAM.PR.X | FixedReset Disc | -1.69 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2052-02-10 Maturity Price : 18.60 Evaluated at bid price : 18.60 Bid-YTW : 4.75 % |
| SLF.PR.G | FixedReset Ins Non | -1.39 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2052-02-10 Maturity Price : 17.75 Evaluated at bid price : 17.75 Bid-YTW : 4.11 % |
| RY.PR.Z | FixedReset Disc | -1.38 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2052-02-10 Maturity Price : 22.85 Evaluated at bid price : 23.52 Bid-YTW : 4.09 % |
| FTS.PR.H | FixedReset Disc | -1.13 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2052-02-10 Maturity Price : 17.50 Evaluated at bid price : 17.50 Bid-YTW : 4.23 % |
| BMO.PR.Y | FixedReset Disc | 1.04 % | YTW SCENARIO Maturity Type : Call Maturity Date : 2025-08-25 Maturity Price : 25.00 Evaluated at bid price : 24.25 Bid-YTW : 3.95 % |
| IFC.PR.A | FixedReset Ins Non | 1.85 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2052-02-10 Maturity Price : 21.50 Evaluated at bid price : 21.50 Bid-YTW : 4.02 % |
| Volume Highlights | |||
| Issue | Index | Shares Traded |
Notes |
| TD.PF.B | FixedReset Disc | 103,600 | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2052-02-10 Maturity Price : 22.90 Evaluated at bid price : 23.68 Bid-YTW : 4.13 % |
| PWF.PR.S | Perpetual-Discount | 68,822 | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2052-02-10 Maturity Price : 24.53 Evaluated at bid price : 24.83 Bid-YTW : 4.85 % |
| TD.PF.J | FixedReset Prem | 50,800 | YTW SCENARIO Maturity Type : Call Maturity Date : 2023-04-30 Maturity Price : 25.00 Evaluated at bid price : 25.30 Bid-YTW : 3.80 % |
| NA.PR.W | FixedReset Disc | 44,703 | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2052-02-10 Maturity Price : 22.97 Evaluated at bid price : 24.00 Bid-YTW : 4.04 % |
| GWO.PR.I | Insurance Straight | 42,265 | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2052-02-10 Maturity Price : 23.98 Evaluated at bid price : 24.23 Bid-YTW : 4.69 % |
| CM.PR.P | FixedReset Disc | 40,300 | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2052-02-10 Maturity Price : 22.91 Evaluated at bid price : 23.85 Bid-YTW : 4.09 % |
| There were 12 other index-included issues trading in excess of 10,000 shares. | |||
| Wide Spread Highlights | ||
| Issue | Index | Quote Data and Yield Notes |
| BAM.PF.E | FixedReset Disc | Quote: 21.45 – 22.50 Spot Rate : 1.0500 Average : 0.7497 YTW SCENARIO |
| BAM.PR.Z | FixedReset Disc | Quote: 24.65 – 25.20 Spot Rate : 0.5500 Average : 0.3437 YTW SCENARIO |
| RY.PR.M | FixedReset Disc | Quote: 23.84 – 24.35 Spot Rate : 0.5100 Average : 0.3043 YTW SCENARIO |
| MFC.PR.F | FixedReset Ins Non | Quote: 18.30 – 18.83 Spot Rate : 0.5300 Average : 0.3599 YTW SCENARIO |
| BAM.PF.B | FixedReset Disc | Quote: 23.58 – 24.01 Spot Rate : 0.4300 Average : 0.2643 YTW SCENARIO |
| TRP.PR.E | FixedReset Disc | Quote: 21.49 – 22.02 Spot Rate : 0.5300 Average : 0.3665 YTW SCENARIO |
February 9, 2022
PerpetualDiscounts now yield 4.87%, equivalent to 6.33% interest at the standard equivalency factor of 1.3x. Long corporates now yield 3.82%, so the pre-tax interest-equivalent spread (in this context, the “Seniority Spread”) has widened to 250bp from the 240bp reported February 2.
| HIMIPref™ Preferred Indices These values reflect the December 2008 revision of the HIMIPref™ Indices Values are provisional and are finalized monthly |
|||||||
| Index | Mean Current Yield (at bid) |
Median YTW |
Median Average Trading Value |
Median Mod Dur (YTW) |
Issues | Day’s Perf. | Index Value |
| Ratchet | 3.02 % | 3.48 % | 41,567 | 20.09 | 1 | -0.1966 % | 2,893.2 |
| FixedFloater | 0.00 % | 0.00 % | 0 | 0.00 | 0 | 0.1975 % | 5,654.8 |
| Floater | 2.82 % | 2.84 % | 62,435 | 20.11 | 3 | 0.1975 % | 3,258.9 |
| OpRet | 0.00 % | 0.00 % | 0 | 0.00 | 0 | 0.0458 % | 3,655.4 |
| SplitShare | 4.64 % | 4.42 % | 33,412 | 3.37 | 6 | 0.0458 % | 4,365.3 |
| Interest-Bearing | 0.00 % | 0.00 % | 0 | 0.00 | 0 | 0.0458 % | 3,406.0 |
| Perpetual-Premium | 5.19 % | -14.37 % | 54,198 | 0.09 | 22 | 0.1572 % | 3,241.7 |
| Perpetual-Discount | 4.78 % | 4.87 % | 62,668 | 15.72 | 11 | 0.0928 % | 3,854.7 |
| FixedReset Disc | 3.91 % | 4.26 % | 117,208 | 16.44 | 44 | -0.0966 % | 2,872.0 |
| Insurance Straight | 4.91 % | 4.58 % | 81,079 | 15.66 | 18 | 0.1042 % | 3,655.4 |
| FloatingReset | 2.67 % | 3.03 % | 53,300 | 19.63 | 2 | -0.2736 % | 2,958.5 |
| FixedReset Prem | 4.76 % | 3.58 % | 104,260 | 1.86 | 26 | -0.1444 % | 2,713.4 |
| FixedReset Bank Non | 0.00 % | 0.00 % | 0 | 0.00 | 0 | -0.0966 % | 2,935.7 |
| FixedReset Ins Non | 4.10 % | 4.12 % | 72,542 | 16.59 | 17 | 0.0535 % | 2,966.2 |
| Performance Highlights | |||
| Issue | Index | Change | Notes |
| TRP.PR.C | FixedReset Disc | -5.56 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2052-02-09 Maturity Price : 15.30 Evaluated at bid price : 15.30 Bid-YTW : 4.88 % |
| BAM.PR.T | FixedReset Disc | -1.81 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2052-02-09 Maturity Price : 21.79 Evaluated at bid price : 22.22 Bid-YTW : 4.54 % |
| NA.PR.C | FixedReset Prem | -1.70 % | YTW SCENARIO Maturity Type : Call Maturity Date : 2022-11-15 Maturity Price : 25.00 Evaluated at bid price : 24.90 Bid-YTW : 4.95 % |
| BMO.PR.Y | FixedReset Disc | -1.44 % | YTW SCENARIO Maturity Type : Call Maturity Date : 2025-08-25 Maturity Price : 25.00 Evaluated at bid price : 24.00 Bid-YTW : 4.26 % |
| IFC.PR.A | FixedReset Ins Non | -1.36 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2052-02-09 Maturity Price : 21.11 Evaluated at bid price : 21.11 Bid-YTW : 4.10 % |
| BAM.PF.E | FixedReset Disc | 1.13 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2052-02-09 Maturity Price : 21.96 Evaluated at bid price : 22.30 Bid-YTW : 4.67 % |
| SLF.PR.G | FixedReset Ins Non | 1.29 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2052-02-09 Maturity Price : 18.00 Evaluated at bid price : 18.00 Bid-YTW : 4.05 % |
| POW.PR.D | Perpetual-Premium | 2.14 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2052-02-09 Maturity Price : 24.55 Evaluated at bid price : 24.80 Bid-YTW : 5.08 % |
| FTS.PR.H | FixedReset Disc | 2.31 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2052-02-09 Maturity Price : 17.70 Evaluated at bid price : 17.70 Bid-YTW : 4.18 % |
| Volume Highlights | |||
| Issue | Index | Shares Traded |
Notes |
| RY.PR.J | FixedReset Disc | 352,788 | YTW SCENARIO Maturity Type : Call Maturity Date : 2025-05-24 Maturity Price : 25.00 Evaluated at bid price : 24.37 Bid-YTW : 4.00 % |
| RY.PR.Z | FixedReset Disc | 232,346 | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2052-02-09 Maturity Price : 23.02 Evaluated at bid price : 23.85 Bid-YTW : 4.02 % |
| BAM.PR.T | FixedReset Disc | 140,412 | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2052-02-09 Maturity Price : 21.79 Evaluated at bid price : 22.22 Bid-YTW : 4.54 % |
| PWF.PR.S | Perpetual-Discount | 63,630 | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2052-02-09 Maturity Price : 24.47 Evaluated at bid price : 24.75 Bid-YTW : 4.87 % |
| TD.PF.D | FixedReset Disc | 58,450 | YTW SCENARIO Maturity Type : Call Maturity Date : 2025-07-31 Maturity Price : 25.00 Evaluated at bid price : 24.40 Bid-YTW : 3.99 % |
| BMO.PR.E | FixedReset Prem | 56,296 | YTW SCENARIO Maturity Type : Call Maturity Date : 2023-11-25 Maturity Price : 25.00 Evaluated at bid price : 25.45 Bid-YTW : 3.72 % |
| There were 33 other index-included issues trading in excess of 10,000 shares. | |||
| Wide Spread Highlights | ||
| Issue | Index | Quote Data and Yield Notes |
| BAM.PF.G | FixedReset Disc | Quote: 23.04 – 23.91 Spot Rate : 0.8700 Average : 0.4914 YTW SCENARIO |
| PWF.PR.L | Perpetual-Premium | Quote: 25.11 – 26.11 Spot Rate : 1.0000 Average : 0.6360 YTW SCENARIO |
| TRP.PR.C | FixedReset Disc | Quote: 15.30 – 16.50 Spot Rate : 1.2000 Average : 0.9110 YTW SCENARIO |
| PVS.PR.G | SplitShare | Quote: 25.50 – 26.10 Spot Rate : 0.6000 Average : 0.4043 YTW SCENARIO |
| SLF.PR.G | FixedReset Ins Non | Quote: 18.00 – 18.66 Spot Rate : 0.6600 Average : 0.4718 YTW SCENARIO |
| CM.PR.Y | FixedReset Prem | Quote: 26.25 – 26.99 Spot Rate : 0.7400 Average : 0.5535 YTW SCENARIO |