PrefBlog

Issue Comments

BMO.PR.C To Be Redeemed

its intention to redeem all of its 20,000,000 outstanding Non-Cumulative 5-Year Rate Reset Class B Preferred Shares, Series 40 (Non-Viability Contingent Capital (NVCC)) (the “Preferred Shares Series 40”) for an aggregate total of $500 million on May 25, 2022. The redemption has been approved by the Office of the Superintendent of Financial Institutions.

The Preferred Shares Series 40 are redeemable at the Bank’s option on May 25, 2022 (the “Redemption Date”) at a redemption price of $25.00 per share. Payment of the redemption price will be made by the Bank on the Redemption Date.

Separately from the payment of the redemption price, the final quarterly dividend of $0.28125 per share for the Preferred Shares Series 40 announced by the Bank on March 1, 2022 will be paid in the usual manner on May 25, 2022, to shareholders of record on May 2, 2022.

Notice will be delivered to holders of the Preferred Shares Series 40 in accordance with the terms thereof.

BMO.PR.C is a FixedReset, 4.50%+333, that commenced trading 2017-5-25 after being announced 2017-2-28. It has been tracked by HIMIPref™ and has been assigned to the FixedResets (Premium) subindex.

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

Market Action

April 22, 2022

TXPR closed at 633.74, hitting a new 52-week low on the day, down 1.12% on the day. Volume today was 1.87-million, around the median of the past 21 trading days.

CPD closed at 12.60, hitting a new 52-week low on the day, down 1.10% on the day. Volume was 103,470, at the high end of the past 21 trading days.

ZPR closed at 10.60, hitting a new 52-week low on the day, down 0.28% on the day. Volume of 396,070 was third-highest of the past 21 trading days, behind April 7 (another horrible day) and March 31.

Five-year Canada yields were down 2bp to 2.82% today.

But it was a horrible day everywhere:

Wall Street tumbled more than 2.5% on Friday, ensuring the three main benchmarks ended in negative territory for the week, as surprise earnings news and increased certainty around aggressive near-term interest rate rises took its toll on investors. The TSX, fully swept up in the action, was down more than 2% – its worst day of 2022.

It was the third straight week of losses for both the S&P 500 and the Nasdaq, while the Dow Jones posted its fourth weekly decline in a row.

For the Dow, its 2.82% drop on Friday was its biggest one-day fall since October 2020.

The S&P/TSX Composite Index ended down 464.03 points, or 2.1%, at 21,186.38, its biggest decline since last November and its lowest closing level since March 1. For the week, the index was down 3.1%.
…
Canadian economic data showed the largest monthly gain in producer prices since the series began in January 1956.

Still, I consider it only a matter of time before the world wakes up and looks at the yields available. I mean, Holy Smokes, 6.97% on TRP.PR.C, based on a bid of 13.75 and GOC-5 at a constant 2.88%. Five TRP issues lead the rankings of non-insurance FixedReset (Discount) yields, with issues from BAM, FTS, PWF, GWO, IFC, MFC and CU all yielding comfortably over 6% at their bid price with the same assumption regarding five-year yields. 6% as a dividend! Add SLF to the list with an asterisk, the quote on SLF.PR.G is lousy, but at the closing price it yields well over 6%. It’s ridiculous!

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	3.50 %	4.11 %	25,234	19.05	1	10.2941 %	2,671.0
FixedFloater	0.00 %	0.00 %	0	0.00	0	-1.6390 %	4,967.0
Floater	4.10 %	4.15 %	34,112	17.12	4	-1.6390 %	2,862.5
OpRet	0.00 %	0.00 %	0	0.00	0	-0.4038 %	3,609.8
SplitShare	4.65 %	4.76 %	41,706	3.47	6	-0.4038 %	4,310.8
Interest-Bearing	0.00 %	0.00 %	0	0.00	0	-0.4038 %	3,363.5
Perpetual-Premium	5.78 %	5.85 %	74,187	14.11	16	-2.9171 %	2,953.6
Perpetual-Discount	5.73 %	5.83 %	64,210	14.14	17	-2.5111 %	3,234.5
FixedReset Disc	4.47 %	5.92 %	123,550	14.23	49	-1.1026 %	2,567.7
Insurance Straight	5.70 %	5.81 %	91,898	14.15	20	-2.9398 %	3,145.2
FloatingReset	4.39 %	4.71 %	60,765	16.04	2	-1.5816 %	2,676.8
FixedReset Prem	4.90 %	4.75 %	144,092	2.14	19	-0.4732 %	2,634.7
FixedReset Bank Non	0.00 %	0.00 %	0	0.00	0	-1.1026 %	2,624.7
FixedReset Ins Non	4.50 %	5.97 %	83,353	14.05	15	-1.0155 %	2,669.4

Performance Highlights
Issue	Index	Change	Notes
POW.PR.A	Perpetual-Premium	-15.25 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2052-04-22 Maturity Price : 21.00 Evaluated at bid price : 21.00 Bid-YTW : 6.73 %
CM.PR.Q	FixedReset Disc	-10.31 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2052-04-22 Maturity Price : 20.00 Evaluated at bid price : 20.00 Bid-YTW : 6.43 %
SLF.PR.G	FixedReset Ins Non	-10.26 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2052-04-22 Maturity Price : 14.00 Evaluated at bid price : 14.00 Bid-YTW : 6.82 %
GWO.PR.H	Insurance Straight	-6.09 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2052-04-22 Maturity Price : 20.20 Evaluated at bid price : 20.20 Bid-YTW : 6.07 %
GWO.PR.Q	Insurance Straight	-5.00 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2052-04-22 Maturity Price : 21.57 Evaluated at bid price : 21.83 Bid-YTW : 5.95 %
CU.PR.D	Perpetual-Discount	-4.36 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2052-04-22 Maturity Price : 21.28 Evaluated at bid price : 21.28 Bid-YTW : 5.86 %
BAM.PR.N	Perpetual-Discount	-4.27 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2052-04-22 Maturity Price : 20.20 Evaluated at bid price : 20.20 Bid-YTW : 5.95 %
GWO.PR.S	Insurance Straight	-4.10 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2052-04-22 Maturity Price : 21.83 Evaluated at bid price : 22.20 Bid-YTW : 5.96 %
IFC.PR.F	Insurance Straight	-4.08 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2052-04-22 Maturity Price : 22.83 Evaluated at bid price : 23.26 Bid-YTW : 5.74 %
SLF.PR.C	Insurance Straight	-4.02 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2052-04-22 Maturity Price : 20.05 Evaluated at bid price : 20.05 Bid-YTW : 5.61 %
BAM.PR.M	Perpetual-Discount	-4.00 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2052-04-22 Maturity Price : 20.40 Evaluated at bid price : 20.40 Bid-YTW : 5.89 %
PWF.PR.R	Perpetual-Premium	-3.81 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2052-04-22 Maturity Price : 22.96 Evaluated at bid price : 23.23 Bid-YTW : 5.94 %
GWO.PR.Y	Insurance Straight	-3.70 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2052-04-22 Maturity Price : 19.50 Evaluated at bid price : 19.50 Bid-YTW : 5.83 %
GWO.PR.R	Insurance Straight	-3.70 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2052-04-22 Maturity Price : 20.80 Evaluated at bid price : 20.80 Bid-YTW : 5.83 %
SLF.PR.E	Insurance Straight	-3.57 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2052-04-22 Maturity Price : 20.25 Evaluated at bid price : 20.25 Bid-YTW : 5.62 %
BAM.PF.C	Perpetual-Discount	-3.48 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2052-04-22 Maturity Price : 20.51 Evaluated at bid price : 20.51 Bid-YTW : 5.98 %
PWF.PR.A	Floater	-3.45 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2052-04-22 Maturity Price : 14.00 Evaluated at bid price : 14.00 Bid-YTW : 3.99 %
SLF.PR.D	Insurance Straight	-3.34 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2052-04-22 Maturity Price : 20.25 Evaluated at bid price : 20.25 Bid-YTW : 5.55 %
PWF.PR.L	Perpetual-Discount	-3.24 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2052-04-22 Maturity Price : 21.50 Evaluated at bid price : 21.50 Bid-YTW : 5.96 %
GWO.PR.T	Insurance Straight	-3.10 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2052-04-22 Maturity Price : 21.60 Evaluated at bid price : 21.90 Bid-YTW : 5.93 %
BAM.PF.D	Perpetual-Discount	-3.03 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2052-04-22 Maturity Price : 20.80 Evaluated at bid price : 20.80 Bid-YTW : 5.96 %
CU.PR.G	Perpetual-Discount	-2.93 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2052-04-22 Maturity Price : 19.90 Evaluated at bid price : 19.90 Bid-YTW : 5.75 %
PWF.PR.F	Perpetual-Premium	-2.81 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2052-04-22 Maturity Price : 22.25 Evaluated at bid price : 22.52 Bid-YTW : 5.85 %
CU.PR.E	Perpetual-Discount	-2.76 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2052-04-22 Maturity Price : 21.47 Evaluated at bid price : 21.47 Bid-YTW : 5.80 %
MFC.PR.B	Insurance Straight	-2.72 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2052-04-22 Maturity Price : 20.76 Evaluated at bid price : 20.76 Bid-YTW : 5.67 %
GWO.PR.P	Insurance Straight	-2.70 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2052-04-22 Maturity Price : 23.15 Evaluated at bid price : 23.45 Bid-YTW : 5.81 %
PWF.PR.E	Perpetual-Premium	-2.69 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2052-04-22 Maturity Price : 23.20 Evaluated at bid price : 23.50 Bid-YTW : 5.87 %
GWO.PR.L	Insurance Straight	-2.63 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2052-04-22 Maturity Price : 23.85 Evaluated at bid price : 24.10 Bid-YTW : 5.92 %
TD.PF.A	FixedReset Disc	-2.59 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2052-04-22 Maturity Price : 20.70 Evaluated at bid price : 20.70 Bid-YTW : 5.92 %
GWO.PR.I	Insurance Straight	-2.53 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2052-04-22 Maturity Price : 19.65 Evaluated at bid price : 19.65 Bid-YTW : 5.79 %
TRP.PR.C	FixedReset Disc	-2.48 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2052-04-22 Maturity Price : 13.75 Evaluated at bid price : 13.75 Bid-YTW : 6.97 %
POW.PR.D	Perpetual-Discount	-2.41 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2052-04-22 Maturity Price : 21.42 Evaluated at bid price : 21.42 Bid-YTW : 5.89 %
GWO.PR.M	Insurance Straight	-2.38 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2052-04-22 Maturity Price : 24.29 Evaluated at bid price : 24.60 Bid-YTW : 5.95 %
PWF.PR.K	Perpetual-Discount	-2.31 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2052-04-22 Maturity Price : 21.10 Evaluated at bid price : 21.10 Bid-YTW : 5.90 %
FTS.PR.G	FixedReset Disc	-2.27 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2052-04-22 Maturity Price : 20.25 Evaluated at bid price : 20.25 Bid-YTW : 6.23 %
BIP.PR.E	FixedReset Prem	-2.18 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2052-04-22 Maturity Price : 23.19 Evaluated at bid price : 23.77 Bid-YTW : 6.18 %
FTS.PR.M	FixedReset Disc	-2.16 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2052-04-22 Maturity Price : 20.35 Evaluated at bid price : 20.35 Bid-YTW : 6.39 %
MFC.PR.C	Insurance Straight	-2.15 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2052-04-22 Maturity Price : 20.50 Evaluated at bid price : 20.50 Bid-YTW : 5.56 %
ELF.PR.F	Perpetual-Discount	-2.14 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2052-04-22 Maturity Price : 22.60 Evaluated at bid price : 22.85 Bid-YTW : 5.83 %
IFC.PR.K	Perpetual-Premium	-2.10 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2052-04-22 Maturity Price : 23.44 Evaluated at bid price : 23.75 Bid-YTW : 5.59 %
IFC.PR.E	Insurance Straight	-2.08 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2052-04-22 Maturity Price : 23.05 Evaluated at bid price : 23.50 Bid-YTW : 5.57 %
MFC.PR.K	FixedReset Ins Non	-2.05 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2052-04-22 Maturity Price : 21.50 Evaluated at bid price : 21.50 Bid-YTW : 5.94 %
PWF.PF.A	Perpetual-Discount	-2.05 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2052-04-22 Maturity Price : 19.60 Evaluated at bid price : 19.60 Bid-YTW : 5.77 %
PWF.PR.O	Perpetual-Premium	-2.03 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2052-04-22 Maturity Price : 24.28 Evaluated at bid price : 24.58 Bid-YTW : 5.92 %
RY.PR.N	Perpetual-Premium	-2.03 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2052-04-22 Maturity Price : 23.11 Evaluated at bid price : 23.50 Bid-YTW : 5.19 %
CU.PR.J	Perpetual-Discount	-2.00 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2052-04-22 Maturity Price : 21.02 Evaluated at bid price : 21.02 Bid-YTW : 5.75 %
PWF.PR.H	Perpetual-Premium	-2.00 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2052-04-22 Maturity Price : 24.22 Evaluated at bid price : 24.48 Bid-YTW : 5.89 %
GWO.PR.G	Insurance Straight	-2.00 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2052-04-22 Maturity Price : 21.81 Evaluated at bid price : 22.05 Bid-YTW : 5.95 %
TRP.PR.G	FixedReset Disc	-2.00 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2052-04-22 Maturity Price : 21.08 Evaluated at bid price : 21.08 Bid-YTW : 6.31 %
POW.PR.C	Perpetual-Premium	-1.94 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2052-04-22 Maturity Price : 24.51 Evaluated at bid price : 24.76 Bid-YTW : 5.89 %
TD.PF.E	FixedReset Disc	-1.90 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2052-04-22 Maturity Price : 21.87 Evaluated at bid price : 22.22 Bid-YTW : 5.85 %
PWF.PR.T	FixedReset Disc	-1.86 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2052-04-22 Maturity Price : 21.15 Evaluated at bid price : 21.15 Bid-YTW : 6.09 %
POW.PR.G	Perpetual-Premium	-1.80 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2052-04-22 Maturity Price : 23.69 Evaluated at bid price : 24.00 Bid-YTW : 5.87 %
BAM.PF.B	FixedReset Disc	-1.75 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2052-04-22 Maturity Price : 20.79 Evaluated at bid price : 20.79 Bid-YTW : 6.55 %
BAM.PR.K	Floater	-1.75 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2052-04-22 Maturity Price : 13.51 Evaluated at bid price : 13.51 Bid-YTW : 4.18 %
CU.PR.H	Perpetual-Premium	-1.71 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2052-04-22 Maturity Price : 22.75 Evaluated at bid price : 23.00 Bid-YTW : 5.79 %
POW.PR.B	Perpetual-Premium	-1.70 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2052-04-22 Maturity Price : 22.82 Evaluated at bid price : 23.10 Bid-YTW : 5.82 %
BAM.PF.G	FixedReset Disc	-1.69 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2052-04-22 Maturity Price : 20.35 Evaluated at bid price : 20.35 Bid-YTW : 6.49 %
PWF.PR.S	Perpetual-Discount	-1.66 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2052-04-22 Maturity Price : 20.70 Evaluated at bid price : 20.70 Bid-YTW : 5.83 %
BAM.PR.X	FixedReset Disc	-1.64 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2052-04-22 Maturity Price : 18.00 Evaluated at bid price : 18.00 Bid-YTW : 6.58 %
IAF.PR.G	FixedReset Ins Non	-1.63 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2052-04-22 Maturity Price : 23.05 Evaluated at bid price : 24.10 Bid-YTW : 5.96 %
BAM.PF.F	FixedReset Disc	-1.61 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2052-04-22 Maturity Price : 21.35 Evaluated at bid price : 21.35 Bid-YTW : 6.49 %
SLF.PR.J	FloatingReset	-1.59 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2052-04-22 Maturity Price : 16.10 Evaluated at bid price : 16.10 Bid-YTW : 4.13 %
TRP.PR.F	FloatingReset	-1.57 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2052-04-22 Maturity Price : 16.88 Evaluated at bid price : 16.88 Bid-YTW : 4.71 %
BAM.PF.I	FixedReset Prem	-1.57 %	YTW SCENARIO Maturity Type : Call Maturity Date : 2027-03-31 Maturity Price : 25.00 Evaluated at bid price : 25.15 Bid-YTW : 5.36 %
BAM.PF.H	FixedReset Prem	-1.56 %	YTW SCENARIO Maturity Type : Call Maturity Date : 2025-12-31 Maturity Price : 25.00 Evaluated at bid price : 25.20 Bid-YTW : 4.87 %
SLF.PR.H	FixedReset Ins Non	-1.55 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2052-04-22 Maturity Price : 19.00 Evaluated at bid price : 19.00 Bid-YTW : 5.98 %
TD.PF.K	FixedReset Disc	-1.54 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2052-04-22 Maturity Price : 22.63 Evaluated at bid price : 23.04 Bid-YTW : 5.87 %
TRP.PR.B	FixedReset Disc	-1.50 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2052-04-22 Maturity Price : 13.09 Evaluated at bid price : 13.09 Bid-YTW : 7.03 %
ELF.PR.H	Perpetual-Premium	-1.45 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2052-04-22 Maturity Price : 23.58 Evaluated at bid price : 23.85 Bid-YTW : 5.80 %
TD.PF.D	FixedReset Disc	-1.43 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2052-04-22 Maturity Price : 21.76 Evaluated at bid price : 22.04 Bid-YTW : 5.86 %
BAM.PR.R	FixedReset Disc	-1.35 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2052-04-22 Maturity Price : 18.25 Evaluated at bid price : 18.25 Bid-YTW : 6.47 %
CM.PR.P	FixedReset Disc	-1.32 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2052-04-22 Maturity Price : 20.90 Evaluated at bid price : 20.90 Bid-YTW : 5.90 %
FTS.PR.H	FixedReset Disc	-1.30 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2052-04-22 Maturity Price : 15.20 Evaluated at bid price : 15.20 Bid-YTW : 6.40 %
NA.PR.G	FixedReset Prem	-1.27 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2052-04-22 Maturity Price : 22.98 Evaluated at bid price : 23.40 Bid-YTW : 5.97 %
PVS.PR.G	SplitShare	-1.22 %	YTW SCENARIO Maturity Type : Option Certainty Maturity Date : 2026-02-28 Maturity Price : 25.00 Evaluated at bid price : 25.10 Bid-YTW : 4.99 %
RY.PR.Z	FixedReset Disc	-1.19 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2052-04-22 Maturity Price : 21.26 Evaluated at bid price : 21.26 Bid-YTW : 5.80 %
MFC.PR.F	FixedReset Ins Non	-1.19 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2052-04-22 Maturity Price : 15.83 Evaluated at bid price : 15.83 Bid-YTW : 6.07 %
PVS.PR.H	SplitShare	-1.18 %	YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2027-02-28 Maturity Price : 25.00 Evaluated at bid price : 25.10 Bid-YTW : 4.77 %
FTS.PR.J	Perpetual-Discount	-1.17 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2052-04-22 Maturity Price : 21.75 Evaluated at bid price : 22.00 Bid-YTW : 5.47 %
BAM.PR.C	Floater	-1.10 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2052-04-22 Maturity Price : 13.50 Evaluated at bid price : 13.50 Bid-YTW : 4.18 %
MFC.PR.I	FixedReset Ins Non	-1.10 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2052-04-22 Maturity Price : 23.50 Evaluated at bid price : 24.30 Bid-YTW : 5.92 %
FTS.PR.F	Perpetual-Discount	-1.08 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2052-04-22 Maturity Price : 22.55 Evaluated at bid price : 22.80 Bid-YTW : 5.45 %
FTS.PR.K	FixedReset Disc	-1.03 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2052-04-22 Maturity Price : 19.20 Evaluated at bid price : 19.20 Bid-YTW : 6.37 %
BAM.PR.E	Ratchet	10.29 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2052-04-22 Maturity Price : 25.00 Evaluated at bid price : 18.75 Bid-YTW : 4.11 %

Volume Highlights
Issue	Index	Shares Traded	Notes
BMO.PR.D	FixedReset Prem	38,900	YTW SCENARIO Maturity Type : Call Maturity Date : 2022-08-25 Maturity Price : 25.00 Evaluated at bid price : 25.05 Bid-YTW : 5.93 %
FTS.PR.J	Perpetual-Discount	32,100	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2052-04-22 Maturity Price : 21.75 Evaluated at bid price : 22.00 Bid-YTW : 5.47 %
TD.PF.D	FixedReset Disc	30,500	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2052-04-22 Maturity Price : 21.76 Evaluated at bid price : 22.04 Bid-YTW : 5.86 %
RY.PR.H	FixedReset Disc	30,375	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2052-04-22 Maturity Price : 21.28 Evaluated at bid price : 21.57 Bid-YTW : 5.72 %
BAM.PF.I	FixedReset Prem	30,300	YTW SCENARIO Maturity Type : Call Maturity Date : 2027-03-31 Maturity Price : 25.00 Evaluated at bid price : 25.15 Bid-YTW : 5.36 %
CM.PR.R	FixedReset Prem	27,800	YTW SCENARIO Maturity Type : Call Maturity Date : 2022-07-31 Maturity Price : 25.00 Evaluated at bid price : 25.02 Bid-YTW : 3.87 %
There were 31 other index-included issues trading in excess of 10,000 shares.

Wide Spread Highlights
Issue	Index	Quote Data and Yield Notes
POW.PR.A	Perpetual-Premium	Quote: 21.00 – 24.65 Spot Rate : 3.6500 Average : 2.0333 YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2052-04-22 Maturity Price : 21.00 Evaluated at bid price : 21.00 Bid-YTW : 6.73 %
CM.PR.Q	FixedReset Disc	Quote: 20.00 – 22.32 Spot Rate : 2.3200 Average : 1.4822 YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2052-04-22 Maturity Price : 20.00 Evaluated at bid price : 20.00 Bid-YTW : 6.43 %
SLF.PR.G	FixedReset Ins Non	Quote: 14.00 – 16.00 Spot Rate : 2.0000 Average : 1.2553 YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2052-04-22 Maturity Price : 14.00 Evaluated at bid price : 14.00 Bid-YTW : 6.82 %
GWO.PR.T	Insurance Straight	Quote: 21.90 – 23.60 Spot Rate : 1.7000 Average : 1.0805 YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2052-04-22 Maturity Price : 21.60 Evaluated at bid price : 21.90 Bid-YTW : 5.93 %
RY.PR.J	FixedReset Disc	Quote: 21.87 – 23.90 Spot Rate : 2.0300 Average : 1.4992 YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2052-04-22 Maturity Price : 21.50 Evaluated at bid price : 21.87 Bid-YTW : 5.91 %
CU.PR.G	Perpetual-Discount	Quote: 19.90 – 21.30 Spot Rate : 1.4000 Average : 0.9677 YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2052-04-22 Maturity Price : 19.90 Evaluated at bid price : 19.90 Bid-YTW : 5.75 %

Market Action

April 21, 2022

The five year Canada yield shot up to 2.84% today, up about 9bp. The three-month bill is at 1.212%, which looks an awful lot to me as if the market is bracing for another 50bp hike in the policy rate at the June 1 setting.

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	3.84 %	4.62 %	25,298	18.45	1	-8.1081 %	2,421.7
FixedFloater	0.00 %	0.00 %	0	0.00	0	-1.1220 %	5,049.8
Floater	4.03 %	4.10 %	34,650	17.22	4	-1.1220 %	2,910.2
OpRet	0.00 %	0.00 %	0	0.00	0	0.0928 %	3,624.4
SplitShare	4.63 %	4.49 %	42,352	3.48	6	0.0928 %	4,328.3
Interest-Bearing	0.00 %	0.00 %	0	0.00	0	0.0928 %	3,377.1
Perpetual-Premium	5.61 %	5.68 %	70,380	14.31	16	-0.8168 %	3,042.4
Perpetual-Discount	5.59 %	5.65 %	63,611	14.39	17	-0.5498 %	3,317.8
FixedReset Disc	4.42 %	5.88 %	122,681	14.37	49	0.5514 %	2,596.4
Insurance Straight	5.54 %	5.60 %	87,427	14.47	20	-0.9206 %	3,240.5
FloatingReset	4.32 %	4.63 %	58,240	16.18	2	1.3918 %	2,719.9
FixedReset Prem	4.87 %	4.40 %	145,240	2.15	19	0.0503 %	2,647.2
FixedReset Bank Non	0.00 %	0.00 %	0	0.00	0	0.5514 %	2,654.0
FixedReset Ins Non	4.45 %	5.93 %	84,215	14.05	15	1.5751 %	2,696.7

Performance Highlights
Issue	Index	Change	Notes
BAM.PR.E	Ratchet	-8.11 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2052-04-21 Maturity Price : 25.00 Evaluated at bid price : 17.00 Bid-YTW : 4.62 %
IAF.PR.B	Insurance Straight	-4.30 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2052-04-21 Maturity Price : 21.15 Evaluated at bid price : 21.15 Bid-YTW : 5.49 %
BAM.PR.T	FixedReset Disc	-2.98 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2052-04-21 Maturity Price : 18.55 Evaluated at bid price : 18.55 Bid-YTW : 6.49 %
CU.PR.F	Perpetual-Discount	-2.63 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2052-04-21 Maturity Price : 20.35 Evaluated at bid price : 20.35 Bid-YTW : 5.62 %
GWO.PR.G	Insurance Straight	-2.60 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2052-04-21 Maturity Price : 22.22 Evaluated at bid price : 22.50 Bid-YTW : 5.83 %
CCS.PR.C	Insurance Straight	-2.10 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2052-04-21 Maturity Price : 23.03 Evaluated at bid price : 23.30 Bid-YTW : 5.40 %
CU.PR.H	Perpetual-Premium	-1.89 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2052-04-21 Maturity Price : 23.00 Evaluated at bid price : 23.40 Bid-YTW : 5.68 %
PWF.PR.S	Perpetual-Discount	-1.86 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2052-04-21 Maturity Price : 21.05 Evaluated at bid price : 21.05 Bid-YTW : 5.73 %
PWF.PR.A	Floater	-1.80 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2052-04-21 Maturity Price : 14.50 Evaluated at bid price : 14.50 Bid-YTW : 3.85 %
POW.PR.B	Perpetual-Premium	-1.76 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2052-04-21 Maturity Price : 23.20 Evaluated at bid price : 23.50 Bid-YTW : 5.72 %
IFC.PR.C	FixedReset Disc	-1.75 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2052-04-21 Maturity Price : 20.80 Evaluated at bid price : 20.80 Bid-YTW : 6.05 %
MFC.PR.J	FixedReset Ins Non	-1.69 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2052-04-21 Maturity Price : 22.64 Evaluated at bid price : 23.20 Bid-YTW : 5.92 %
ELF.PR.H	Perpetual-Premium	-1.63 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2052-04-21 Maturity Price : 23.95 Evaluated at bid price : 24.20 Bid-YTW : 5.71 %
GWO.PR.L	Insurance Straight	-1.59 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2052-04-21 Maturity Price : 24.50 Evaluated at bid price : 24.75 Bid-YTW : 5.76 %
BAM.PF.B	FixedReset Disc	-1.58 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2052-04-21 Maturity Price : 21.16 Evaluated at bid price : 21.16 Bid-YTW : 6.43 %
NA.PR.W	FixedReset Disc	-1.44 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2052-04-21 Maturity Price : 20.50 Evaluated at bid price : 20.50 Bid-YTW : 6.01 %
PWF.PR.R	Perpetual-Premium	-1.43 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2052-04-21 Maturity Price : 23.91 Evaluated at bid price : 24.15 Bid-YTW : 5.71 %
BAM.PR.Z	FixedReset Disc	-1.42 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2052-04-21 Maturity Price : 22.93 Evaluated at bid price : 23.59 Bid-YTW : 6.18 %
GWO.PR.N	FixedReset Ins Non	-1.40 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2052-04-21 Maturity Price : 14.80 Evaluated at bid price : 14.80 Bid-YTW : 6.19 %
IFC.PR.K	Perpetual-Premium	-1.38 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2052-04-21 Maturity Price : 23.91 Evaluated at bid price : 24.26 Bid-YTW : 5.46 %
PWF.PR.Z	Perpetual-Premium	-1.33 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2052-04-21 Maturity Price : 21.97 Evaluated at bid price : 22.25 Bid-YTW : 5.80 %
GWO.PR.T	Insurance Straight	-1.31 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2052-04-21 Maturity Price : 22.23 Evaluated at bid price : 22.60 Bid-YTW : 5.74 %
CU.PR.D	Perpetual-Discount	-1.29 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2052-04-21 Maturity Price : 22.01 Evaluated at bid price : 22.25 Bid-YTW : 5.58 %
NA.PR.G	FixedReset Prem	-1.25 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2052-04-21 Maturity Price : 23.29 Evaluated at bid price : 23.70 Bid-YTW : 5.89 %
GWO.PR.I	Insurance Straight	-1.22 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2052-04-21 Maturity Price : 20.16 Evaluated at bid price : 20.16 Bid-YTW : 5.64 %
GWO.PR.Y	Insurance Straight	-1.22 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2052-04-21 Maturity Price : 20.25 Evaluated at bid price : 20.25 Bid-YTW : 5.62 %
BAM.PF.A	FixedReset Disc	-1.19 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2052-04-21 Maturity Price : 22.82 Evaluated at bid price : 23.26 Bid-YTW : 6.19 %
POW.PR.G	Perpetual-Premium	-1.17 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2052-04-21 Maturity Price : 24.18 Evaluated at bid price : 24.44 Bid-YTW : 5.76 %
SLF.PR.J	FloatingReset	-1.15 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2052-04-21 Maturity Price : 16.36 Evaluated at bid price : 16.36 Bid-YTW : 4.06 %
GWO.PR.H	Insurance Straight	-1.10 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2052-04-21 Maturity Price : 21.51 Evaluated at bid price : 21.51 Bid-YTW : 5.70 %
FTS.PR.F	Perpetual-Discount	-1.07 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2052-04-21 Maturity Price : 22.77 Evaluated at bid price : 23.05 Bid-YTW : 5.38 %
PWF.PR.H	Perpetual-Premium	-1.07 %	YTW SCENARIO Maturity Type : Call Maturity Date : 2022-05-21 Maturity Price : 25.00 Evaluated at bid price : 24.98 Bid-YTW : 5.05 %
BAM.PR.C	Floater	-1.02 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2052-04-21 Maturity Price : 13.65 Evaluated at bid price : 13.65 Bid-YTW : 4.13 %
TRP.PR.C	FixedReset Disc	1.08 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2052-04-21 Maturity Price : 14.10 Evaluated at bid price : 14.10 Bid-YTW : 6.81 %
IFC.PR.G	FixedReset Ins Non	1.16 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2052-04-21 Maturity Price : 22.32 Evaluated at bid price : 22.76 Bid-YTW : 5.97 %
BAM.PF.J	FixedReset Prem	1.19 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2052-04-21 Maturity Price : 24.04 Evaluated at bid price : 24.60 Bid-YTW : 6.07 %
CM.PR.P	FixedReset Disc	1.58 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2052-04-21 Maturity Price : 21.18 Evaluated at bid price : 21.18 Bid-YTW : 5.82 %
CU.PR.C	FixedReset Disc	1.76 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2052-04-21 Maturity Price : 21.63 Evaluated at bid price : 22.00 Bid-YTW : 6.08 %
CU.PR.G	Perpetual-Discount	2.55 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2052-04-21 Maturity Price : 20.50 Evaluated at bid price : 20.50 Bid-YTW : 5.58 %
TRP.PR.F	FloatingReset	3.94 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2052-04-21 Maturity Price : 17.15 Evaluated at bid price : 17.15 Bid-YTW : 4.63 %
MFC.PR.Q	FixedReset Ins Non	30.80 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2052-04-21 Maturity Price : 22.43 Evaluated at bid price : 22.89 Bid-YTW : 5.93 %
TRP.PR.A	FixedReset Disc	71.00 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2052-04-21 Maturity Price : 17.10 Evaluated at bid price : 17.10 Bid-YTW : 6.76 %

Volume Highlights
Issue	Index	Shares Traded	Notes
CM.PR.O	FixedReset Disc	332,515	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2052-04-21 Maturity Price : 21.18 Evaluated at bid price : 21.18 Bid-YTW : 5.91 %
TRP.PR.K	FixedReset Prem	174,203	YTW SCENARIO Maturity Type : Call Maturity Date : 2022-05-31 Maturity Price : 25.00 Evaluated at bid price : 25.23 Bid-YTW : 3.15 %
TRP.PR.D	FixedReset Disc	66,800	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2052-04-21 Maturity Price : 19.00 Evaluated at bid price : 19.00 Bid-YTW : 6.73 %
SLF.PR.E	Insurance Straight	58,600	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2052-04-21 Maturity Price : 21.00 Evaluated at bid price : 21.00 Bid-YTW : 5.41 %
BAM.PF.A	FixedReset Disc	53,820	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2052-04-21 Maturity Price : 22.82 Evaluated at bid price : 23.26 Bid-YTW : 6.19 %
BAM.PF.I	FixedReset Prem	31,510	YTW SCENARIO Maturity Type : Call Maturity Date : 2027-03-31 Maturity Price : 25.00 Evaluated at bid price : 25.55 Bid-YTW : 4.99 %
There were 22 other index-included issues trading in excess of 10,000 shares.

Wide Spread Highlights
Issue	Index	Quote Data and Yield Notes
BAM.PR.E	Ratchet	Quote: 17.00 – 19.00 Spot Rate : 2.0000 Average : 1.3507 YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2052-04-21 Maturity Price : 25.00 Evaluated at bid price : 17.00 Bid-YTW : 4.62 %
GWO.PR.Q	Insurance Straight	Quote: 22.98 – 24.76 Spot Rate : 1.7800 Average : 1.1382 YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2052-04-21 Maturity Price : 22.69 Evaluated at bid price : 22.98 Bid-YTW : 5.65 %
RY.PR.J	FixedReset Disc	Quote: 22.21 – 23.70 Spot Rate : 1.4900 Average : 0.9171 YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2052-04-21 Maturity Price : 21.90 Evaluated at bid price : 22.21 Bid-YTW : 5.88 %
BAM.PR.M	Perpetual-Discount	Quote: 21.25 – 22.25 Spot Rate : 1.0000 Average : 0.6279 YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2052-04-21 Maturity Price : 21.25 Evaluated at bid price : 21.25 Bid-YTW : 5.65 %
CU.PR.F	Perpetual-Discount	Quote: 20.35 – 21.40 Spot Rate : 1.0500 Average : 0.6783 YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2052-04-21 Maturity Price : 20.35 Evaluated at bid price : 20.35 Bid-YTW : 5.62 %
BAM.PR.T	FixedReset Disc	Quote: 18.55 – 20.05 Spot Rate : 1.5000 Average : 1.1779 YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2052-04-21 Maturity Price : 18.55 Evaluated at bid price : 18.55 Bid-YTW : 6.49 %

Market Action

April 20, 2022

4/20 today, but inflation wasn’t mellow!

Canada’s inflation rate hit a new three-decade high in March and blew past expectations on Bay Street, an unwelcome sign for central bankers trying to douse the acceleration.

The Consumer Price Index rose 6.7 per cent in March from a year earlier, a full percentage point higher than February’s 5.7-per-cent pace, Statistics Canada said Wednesday. Financial analysts were expecting an annual inflation rate of 6.1 per cent. It marked the highest inflation since January of 1991, when the federal goods and services tax took effect.
…
Consumers were hit by steeper prices on multiple fronts. Gasoline prices rose 11.8 per cent in a single month. Groceries rose 8.7 per cent on an annual basis, the largest increase since 2009. Pasta products jumped nearly 18 per cent, butter by 16 per cent and fresh milk by 7.7 per cent.

Higher inflation has also spread to pandemic-hit sectors. The cost of restaurant food rose 5.4 per cent over the past year, up from 4.7 per cent in February. Traveller accommodation soared 24.4 per cent on a 12-month basis, while air transportation jumped 8.3 per cent in March alone.

PerpetualDiscounts now yield 5.66%, equivalent to 7.36% interest at the standard equivalency factor of 1.3x. Long corporates now yield 4.63%, so the pre-tax interest-equivalent spread (in this context, the “Seniority Spread”) has narrowed to 275bp from the 290bp reported April 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	3.51 %	4.15 %	25,763	19.04	1	0.0000 %	2,635.4
FixedFloater	0.00 %	0.00 %	0	0.00	0	-0.1778 %	5,107.1
Floater	3.99 %	4.09 %	35,132	17.25	4	-0.1778 %	2,943.2
OpRet	0.00 %	0.00 %	0	0.00	0	-0.0794 %	3,621.0
SplitShare	4.64 %	4.51 %	42,544	3.48	6	-0.0794 %	4,324.3
Interest-Bearing	0.00 %	0.00 %	0	0.00	0	-0.0794 %	3,374.0
Perpetual-Premium	5.57 %	5.57 %	70,982	14.38	16	-0.3165 %	3,067.4
Perpetual-Discount	5.56 %	5.66 %	64,628	14.42	17	-0.1487 %	3,336.2
FixedReset Disc	4.45 %	5.68 %	122,113	14.68	49	-0.9158 %	2,582.1
Insurance Straight	5.48 %	5.47 %	86,176	14.57	20	-0.3603 %	3,270.6
FloatingReset	4.08 %	3.71 %	42,666	18.06	2	-2.4498 %	2,682.5
FixedReset Prem	4.88 %	4.40 %	145,323	2.15	19	-0.1109 %	2,645.9
FixedReset Bank Non	0.00 %	0.00 %	0	0.00	0	-0.9158 %	2,639.5
FixedReset Ins Non	4.52 %	5.75 %	81,288	14.48	15	-1.6078 %	2,654.9

Performance Highlights
Issue	Index	Change	Notes
TRP.PR.A	FixedReset Disc	-42.66 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2052-04-20 Maturity Price : 10.00 Evaluated at bid price : 10.00 Bid-YTW : 10.97 %
MFC.PR.Q	FixedReset Ins Non	-21.31 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2052-04-20 Maturity Price : 17.50 Evaluated at bid price : 17.50 Bid-YTW : 7.49 %
CU.PR.G	Perpetual-Discount	-5.26 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2052-04-20 Maturity Price : 19.99 Evaluated at bid price : 19.99 Bid-YTW : 5.72 %
TRP.PR.F	FloatingReset	-4.79 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2052-04-20 Maturity Price : 16.50 Evaluated at bid price : 16.50 Bid-YTW : 4.51 %
BAM.PR.T	FixedReset Disc	-2.45 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2052-04-20 Maturity Price : 19.12 Evaluated at bid price : 19.12 Bid-YTW : 6.10 %
FTS.PR.K	FixedReset Disc	-2.37 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2052-04-20 Maturity Price : 19.35 Evaluated at bid price : 19.35 Bid-YTW : 6.06 %
CM.PR.P	FixedReset Disc	-2.34 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2052-04-20 Maturity Price : 20.85 Evaluated at bid price : 20.85 Bid-YTW : 5.68 %
CU.PR.C	FixedReset Disc	-2.26 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2052-04-20 Maturity Price : 21.62 Evaluated at bid price : 21.62 Bid-YTW : 5.94 %
IFC.PR.F	Insurance Straight	-2.01 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2052-04-20 Maturity Price : 24.12 Evaluated at bid price : 24.40 Bid-YTW : 5.47 %
IFC.PR.E	Insurance Straight	-1.84 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2052-04-20 Maturity Price : 23.72 Evaluated at bid price : 24.00 Bid-YTW : 5.46 %
PWF.PR.F	Perpetual-Premium	-1.70 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2052-04-20 Maturity Price : 22.84 Evaluated at bid price : 23.12 Bid-YTW : 5.69 %
IFC.PR.A	FixedReset Ins Non	-1.68 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2052-04-20 Maturity Price : 18.68 Evaluated at bid price : 18.68 Bid-YTW : 5.87 %
PWF.PR.T	FixedReset Disc	-1.54 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2052-04-20 Maturity Price : 21.38 Evaluated at bid price : 21.70 Bid-YTW : 5.68 %
TRP.PR.E	FixedReset Disc	-1.42 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2052-04-20 Maturity Price : 18.80 Evaluated at bid price : 18.80 Bid-YTW : 6.43 %
NA.PR.E	FixedReset Disc	-1.37 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2052-04-20 Maturity Price : 22.53 Evaluated at bid price : 23.03 Bid-YTW : 5.62 %
IFC.PR.G	FixedReset Ins Non	-1.32 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2052-04-20 Maturity Price : 21.94 Evaluated at bid price : 22.50 Bid-YTW : 5.79 %
GWO.PR.P	Insurance Straight	-1.23 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2052-04-20 Maturity Price : 23.88 Evaluated at bid price : 24.13 Bid-YTW : 5.64 %
PWF.PR.E	Perpetual-Premium	-1.18 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2052-04-20 Maturity Price : 24.02 Evaluated at bid price : 24.27 Bid-YTW : 5.68 %
BNS.PR.I	FixedReset Disc	-1.16 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2052-04-20 Maturity Price : 23.45 Evaluated at bid price : 23.82 Bid-YTW : 5.31 %
SLF.PR.G	FixedReset Ins Non	-1.14 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2052-04-20 Maturity Price : 15.60 Evaluated at bid price : 15.60 Bid-YTW : 5.88 %
CM.PR.O	FixedReset Disc	-1.03 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2052-04-20 Maturity Price : 21.18 Evaluated at bid price : 21.18 Bid-YTW : 5.68 %
BMO.PR.T	FixedReset Disc	1.09 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2052-04-20 Maturity Price : 21.28 Evaluated at bid price : 21.28 Bid-YTW : 5.62 %
GWO.PR.H	Insurance Straight	1.12 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2052-04-20 Maturity Price : 21.49 Evaluated at bid price : 21.75 Bid-YTW : 5.62 %
BAM.PF.E	FixedReset Disc	1.12 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2052-04-20 Maturity Price : 19.92 Evaluated at bid price : 19.92 Bid-YTW : 6.22 %
PWF.PR.R	Perpetual-Premium	1.24 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2052-04-20 Maturity Price : 24.21 Evaluated at bid price : 24.50 Bid-YTW : 5.63 %
CU.PR.D	Perpetual-Discount	1.44 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2052-04-20 Maturity Price : 22.27 Evaluated at bid price : 22.54 Bid-YTW : 5.51 %
BAM.PR.Z	FixedReset Disc	1.44 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2052-04-20 Maturity Price : 23.26 Evaluated at bid price : 23.93 Bid-YTW : 5.86 %
MFC.PR.N	FixedReset Ins Non	1.64 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2052-04-20 Maturity Price : 20.45 Evaluated at bid price : 20.45 Bid-YTW : 5.85 %
MFC.PR.K	FixedReset Ins Non	1.67 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2052-04-20 Maturity Price : 21.50 Evaluated at bid price : 21.86 Bid-YTW : 5.58 %
PWF.PR.L	Perpetual-Discount	1.82 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2052-04-20 Maturity Price : 22.12 Evaluated at bid price : 22.40 Bid-YTW : 5.71 %
PWF.PR.S	Perpetual-Discount	2.14 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2052-04-20 Maturity Price : 21.45 Evaluated at bid price : 21.45 Bid-YTW : 5.62 %
BAM.PR.X	FixedReset Disc	2.46 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2052-04-20 Maturity Price : 18.30 Evaluated at bid price : 18.30 Bid-YTW : 6.15 %
CM.PR.Q	FixedReset Disc	3.26 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2052-04-20 Maturity Price : 21.88 Evaluated at bid price : 22.20 Bid-YTW : 5.60 %

Volume Highlights
Issue	Index	Shares Traded	Notes
BMO.PR.S	FixedReset Disc	512,400	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2052-04-20 Maturity Price : 21.59 Evaluated at bid price : 21.99 Bid-YTW : 5.57 %
TRP.PR.K	FixedReset Prem	363,900	YTW SCENARIO Maturity Type : Call Maturity Date : 2022-05-31 Maturity Price : 25.00 Evaluated at bid price : 25.23 Bid-YTW : 3.07 %
BMO.PR.W	FixedReset Disc	353,400	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2052-04-20 Maturity Price : 21.30 Evaluated at bid price : 21.30 Bid-YTW : 5.62 %
TD.PF.C	FixedReset Disc	222,892	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2052-04-20 Maturity Price : 21.17 Evaluated at bid price : 21.17 Bid-YTW : 5.60 %
NA.PR.C	FixedReset Prem	26,958	YTW SCENARIO Maturity Type : Call Maturity Date : 2022-11-15 Maturity Price : 25.00 Evaluated at bid price : 25.05 Bid-YTW : 3.56 %
CU.PR.J	Perpetual-Discount	23,400	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2052-04-20 Maturity Price : 21.52 Evaluated at bid price : 21.52 Bid-YTW : 5.61 %
There were 18 other index-included issues trading in excess of 10,000 shares.

Wide Spread Highlights
Issue	Index	Quote Data and Yield Notes
TRP.PR.A	FixedReset Disc	Quote: 10.00 – 17.54 Spot Rate : 7.5400 Average : 4.0803 YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2052-04-20 Maturity Price : 10.00 Evaluated at bid price : 10.00 Bid-YTW : 10.97 %
MFC.PR.Q	FixedReset Ins Non	Quote: 17.50 – 23.59 Spot Rate : 6.0900 Average : 3.4739 YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2052-04-20 Maturity Price : 17.50 Evaluated at bid price : 17.50 Bid-YTW : 7.49 %
GWO.PR.R	Insurance Straight	Quote: 21.63 – 25.50 Spot Rate : 3.8700 Average : 2.2362 YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2052-04-20 Maturity Price : 21.36 Evaluated at bid price : 21.63 Bid-YTW : 5.59 %
CU.PR.C	FixedReset Disc	Quote: 21.62 – 22.55 Spot Rate : 0.9300 Average : 0.5559 YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2052-04-20 Maturity Price : 21.62 Evaluated at bid price : 21.62 Bid-YTW : 5.94 %
CU.PR.G	Perpetual-Discount	Quote: 19.99 – 20.99 Spot Rate : 1.0000 Average : 0.6511 YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2052-04-20 Maturity Price : 19.99 Evaluated at bid price : 19.99 Bid-YTW : 5.72 %
TD.PF.K	FixedReset Disc	Quote: 23.40 – 24.40 Spot Rate : 1.0000 Average : 0.6540 YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2052-04-20 Maturity Price : 22.98 Evaluated at bid price : 23.40 Bid-YTW : 5.55 %

Market Action

April 19, 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	3.50 %	4.13 %	25,320	19.08	1	-1.3333 %	2,635.4
FixedFloater	0.00 %	0.00 %	0	0.00	0	0.0534 %	5,116.2
Floater	3.98 %	4.09 %	36,607	17.25	4	0.0534 %	2,948.5
OpRet	0.00 %	0.00 %	0	0.00	0	0.1326 %	3,623.9
SplitShare	4.63 %	4.52 %	43,103	3.49	6	0.1326 %	4,327.7
Interest-Bearing	0.00 %	0.00 %	0	0.00	0	0.1326 %	3,376.7
Perpetual-Premium	5.55 %	5.54 %	70,992	14.39	16	-0.4497 %	3,077.2
Perpetual-Discount	5.55 %	5.65 %	64,659	14.44	17	-0.1836 %	3,341.2
FixedReset Disc	4.41 %	5.68 %	120,658	14.66	49	1.2152 %	2,606.0
Insurance Straight	5.47 %	5.38 %	85,459	14.59	20	-0.5102 %	3,282.4
FloatingReset	3.98 %	4.29 %	56,814	16.84	2	0.0000 %	2,749.9
FixedReset Prem	4.87 %	4.25 %	150,525	2.15	19	0.1362 %	2,648.9
FixedReset Bank Non	0.00 %	0.00 %	0	0.00	0	1.2152 %	2,663.9
FixedReset Ins Non	4.45 %	5.71 %	82,103	14.46	15	0.0355 %	2,698.3

Performance Highlights
Issue	Index	Change	Notes
MFC.PR.Q	FixedReset Ins Non	-5.00 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2052-04-19 Maturity Price : 21.77 Evaluated at bid price : 22.24 Bid-YTW : 5.86 %
PWF.PR.S	Perpetual-Discount	-4.11 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2052-04-19 Maturity Price : 21.00 Evaluated at bid price : 21.00 Bid-YTW : 5.74 %
MFC.PR.N	FixedReset Ins Non	-3.45 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2052-04-19 Maturity Price : 20.12 Evaluated at bid price : 20.12 Bid-YTW : 5.94 %
PWF.PR.L	Perpetual-Discount	-3.08 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2052-04-19 Maturity Price : 21.75 Evaluated at bid price : 22.00 Bid-YTW : 5.81 %
TRP.PR.C	FixedReset Disc	-2.91 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2052-04-19 Maturity Price : 14.02 Evaluated at bid price : 14.02 Bid-YTW : 6.56 %
CM.PR.Q	FixedReset Disc	-2.27 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2052-04-19 Maturity Price : 21.50 Evaluated at bid price : 21.50 Bid-YTW : 5.80 %
BAM.PR.X	FixedReset Disc	-2.19 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2052-04-19 Maturity Price : 17.86 Evaluated at bid price : 17.86 Bid-YTW : 6.30 %
PWF.PR.Z	Perpetual-Premium	-2.07 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2052-04-19 Maturity Price : 22.34 Evaluated at bid price : 22.67 Bid-YTW : 5.69 %
TRP.PR.D	FixedReset Disc	-1.89 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2052-04-19 Maturity Price : 19.18 Evaluated at bid price : 19.18 Bid-YTW : 6.41 %
GWO.PR.S	Insurance Straight	-1.88 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2052-04-19 Maturity Price : 22.70 Evaluated at bid price : 23.02 Bid-YTW : 5.74 %
GWO.PR.H	Insurance Straight	-1.78 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2052-04-19 Maturity Price : 21.51 Evaluated at bid price : 21.51 Bid-YTW : 5.70 %
PWF.PR.R	Perpetual-Premium	-1.63 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2052-04-19 Maturity Price : 23.95 Evaluated at bid price : 24.20 Bid-YTW : 5.70 %
BAM.PR.K	Floater	-1.57 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2052-04-19 Maturity Price : 13.78 Evaluated at bid price : 13.78 Bid-YTW : 4.09 %
IAF.PR.B	Insurance Straight	-1.55 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2052-04-19 Maturity Price : 22.01 Evaluated at bid price : 22.25 Bid-YTW : 5.20 %
IFC.PR.G	FixedReset Ins Non	-1.51 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2052-04-19 Maturity Price : 22.35 Evaluated at bid price : 22.80 Bid-YTW : 5.71 %
PWF.PF.A	Perpetual-Discount	-1.46 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2052-04-19 Maturity Price : 20.30 Evaluated at bid price : 20.30 Bid-YTW : 5.57 %
GWO.PR.Q	Insurance Straight	-1.37 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2052-04-19 Maturity Price : 22.69 Evaluated at bid price : 22.98 Bid-YTW : 5.64 %
BAM.PR.E	Ratchet	-1.33 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2052-04-19 Maturity Price : 25.00 Evaluated at bid price : 18.50 Bid-YTW : 4.13 %
SLF.PR.D	Insurance Straight	-1.27 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2052-04-19 Maturity Price : 20.93 Evaluated at bid price : 20.93 Bid-YTW : 5.37 %
TRP.PR.E	FixedReset Disc	-1.19 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2052-04-19 Maturity Price : 19.07 Evaluated at bid price : 19.07 Bid-YTW : 6.34 %
PWF.PR.K	Perpetual-Discount	-1.17 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2052-04-19 Maturity Price : 21.69 Evaluated at bid price : 21.94 Bid-YTW : 5.65 %
POW.PR.D	Perpetual-Discount	-1.11 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2052-04-19 Maturity Price : 22.01 Evaluated at bid price : 22.25 Bid-YTW : 5.65 %
BAM.PR.Z	FixedReset Disc	-1.09 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2052-04-19 Maturity Price : 22.93 Evaluated at bid price : 23.59 Bid-YTW : 5.94 %
BAM.PR.B	Floater	-1.08 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2052-04-19 Maturity Price : 13.78 Evaluated at bid price : 13.78 Bid-YTW : 4.09 %
POW.PR.A	Perpetual-Premium	-1.04 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2052-04-19 Maturity Price : 24.50 Evaluated at bid price : 24.75 Bid-YTW : 5.69 %
PVS.PR.J	SplitShare	1.02 %	YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2028-02-29 Maturity Price : 25.00 Evaluated at bid price : 24.75 Bid-YTW : 4.72 %
CCS.PR.C	Insurance Straight	1.06 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2052-04-19 Maturity Price : 23.53 Evaluated at bid price : 23.80 Bid-YTW : 5.29 %
CM.PR.S	FixedReset Disc	1.13 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2052-04-19 Maturity Price : 22.75 Evaluated at bid price : 23.36 Bid-YTW : 5.42 %
TD.PF.M	FixedReset Prem	1.15 %	YTW SCENARIO Maturity Type : Call Maturity Date : 2024-07-31 Maturity Price : 25.00 Evaluated at bid price : 25.50 Bid-YTW : 4.13 %
TD.PF.B	FixedReset Disc	1.18 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2052-04-19 Maturity Price : 21.35 Evaluated at bid price : 21.35 Bid-YTW : 5.57 %
CM.PR.P	FixedReset Disc	1.67 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2052-04-19 Maturity Price : 21.35 Evaluated at bid price : 21.35 Bid-YTW : 5.55 %
BAM.PF.A	FixedReset Disc	2.08 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2052-04-19 Maturity Price : 23.10 Evaluated at bid price : 23.54 Bid-YTW : 5.89 %
MFC.PR.K	FixedReset Ins Non	2.38 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2052-04-19 Maturity Price : 21.50 Evaluated at bid price : 21.50 Bid-YTW : 5.69 %
TRP.PR.A	FixedReset Disc	2.59 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2052-04-19 Maturity Price : 17.44 Evaluated at bid price : 17.44 Bid-YTW : 6.36 %
PWF.PR.A	Floater	2.76 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2052-04-19 Maturity Price : 14.90 Evaluated at bid price : 14.90 Bid-YTW : 3.80 %
MFC.PR.F	FixedReset Ins Non	3.71 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2052-04-19 Maturity Price : 15.95 Evaluated at bid price : 15.95 Bid-YTW : 5.77 %
NA.PR.W	FixedReset Disc	4.00 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2052-04-19 Maturity Price : 20.80 Evaluated at bid price : 20.80 Bid-YTW : 5.69 %
CM.PR.O	FixedReset Disc	4.39 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2052-04-19 Maturity Price : 21.40 Evaluated at bid price : 21.40 Bid-YTW : 5.62 %
CU.PR.D	Perpetual-Discount	5.56 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2052-04-19 Maturity Price : 21.98 Evaluated at bid price : 22.22 Bid-YTW : 5.59 %
BAM.PR.T	FixedReset Disc	5.77 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2052-04-19 Maturity Price : 19.60 Evaluated at bid price : 19.60 Bid-YTW : 5.96 %
CU.PR.E	Perpetual-Discount	6.19 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2052-04-19 Maturity Price : 22.07 Evaluated at bid price : 22.30 Bid-YTW : 5.57 %
GWO.PR.N	FixedReset Ins Non	12.01 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2052-04-19 Maturity Price : 15.01 Evaluated at bid price : 15.01 Bid-YTW : 5.83 %
TRP.PR.G	FixedReset Disc	76.81 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2052-04-19 Maturity Price : 21.40 Evaluated at bid price : 21.73 Bid-YTW : 5.92 %

Volume Highlights
Issue	Index	Shares Traded	Notes
BAM.PF.I	FixedReset Prem	128,800	YTW SCENARIO Maturity Type : Call Maturity Date : 2027-03-31 Maturity Price : 25.00 Evaluated at bid price : 25.50 Bid-YTW : 5.03 %
MFC.PR.I	FixedReset Ins Non	44,025	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2052-04-19 Maturity Price : 23.77 Evaluated at bid price : 24.52 Bid-YTW : 5.63 %
PWF.PR.R	Perpetual-Premium	24,700	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2052-04-19 Maturity Price : 23.95 Evaluated at bid price : 24.20 Bid-YTW : 5.70 %
GWO.PR.Y	Insurance Straight	22,704	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2052-04-19 Maturity Price : 20.50 Evaluated at bid price : 20.50 Bid-YTW : 5.54 %
GWO.PR.I	Insurance Straight	20,210	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2052-04-19 Maturity Price : 20.45 Evaluated at bid price : 20.45 Bid-YTW : 5.56 %
CU.PR.J	Perpetual-Discount	18,800	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2052-04-19 Maturity Price : 21.31 Evaluated at bid price : 21.60 Bid-YTW : 5.57 %
There were 14 other index-included issues trading in excess of 10,000 shares.

Wide Spread Highlights
Issue	Index	Quote Data and Yield Notes
TRP.PR.D	FixedReset Disc	Quote: 19.18 – 22.00 Spot Rate : 2.8200 Average : 2.2890 YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2052-04-19 Maturity Price : 19.18 Evaluated at bid price : 19.18 Bid-YTW : 6.41 %
MFC.PR.K	FixedReset Ins Non	Quote: 21.50 – 23.59 Spot Rate : 2.0900 Average : 1.6137 YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2052-04-19 Maturity Price : 21.50 Evaluated at bid price : 21.50 Bid-YTW : 5.69 %
BAM.PF.E	FixedReset Disc	Quote: 19.70 – 21.40 Spot Rate : 1.7000 Average : 1.2632 YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2052-04-19 Maturity Price : 19.70 Evaluated at bid price : 19.70 Bid-YTW : 6.29 %
MFC.PR.Q	FixedReset Ins Non	Quote: 22.24 – 23.24 Spot Rate : 1.0000 Average : 0.6055 YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2052-04-19 Maturity Price : 21.77 Evaluated at bid price : 22.24 Bid-YTW : 5.86 %
PWF.PR.F	Perpetual-Premium	Quote: 23.52 – 24.40 Spot Rate : 0.8800 Average : 0.5986 YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2052-04-19 Maturity Price : 23.22 Evaluated at bid price : 23.52 Bid-YTW : 5.59 %
PWF.PR.L	Perpetual-Discount	Quote: 22.00 – 22.70 Spot Rate : 0.7000 Average : 0.4455 YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2052-04-19 Maturity Price : 21.75 Evaluated at bid price : 22.00 Bid-YTW : 5.81 %

Market Action

April 18, 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	3.44 %	4.05 %	25,484	19.21	1	-1.0032 %	2,671.0
FixedFloater	0.00 %	0.00 %	0	0.00	0	-1.4203 %	5,113.5
Floater	3.98 %	4.03 %	37,853	17.38	4	-1.4203 %	2,946.9
OpRet	0.00 %	0.00 %	0	0.00	0	0.1594 %	3,619.1
SplitShare	4.64 %	4.51 %	42,118	3.49	6	0.1594 %	4,322.0
Interest-Bearing	0.00 %	0.00 %	0	0.00	0	0.1594 %	3,372.2
Perpetual-Premium	5.53 %	5.51 %	70,170	14.53	16	-0.1851 %	3,091.1
Perpetual-Discount	5.54 %	5.59 %	61,454	14.53	17	-0.9413 %	3,347.3
FixedReset Disc	4.46 %	5.70 %	124,764	14.61	49	-1.4592 %	2,574.7
Insurance Straight	5.44 %	5.37 %	86,109	14.65	20	-0.0242 %	3,299.2
FloatingReset	3.98 %	4.29 %	57,391	16.85	2	-0.3529 %	2,749.9
FixedReset Prem	4.88 %	4.55 %	144,502	2.15	19	-0.1736 %	2,645.3
FixedReset Bank Non	0.00 %	0.00 %	0	0.00	0	-1.4592 %	2,631.9
FixedReset Ins Non	4.45 %	5.68 %	82,986	14.49	15	-1.5392 %	2,697.4

Performance Highlights
Issue	Index	Change	Notes
TRP.PR.G	FixedReset Disc	-43.75 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2052-04-18 Maturity Price : 12.29 Evaluated at bid price : 12.29 Bid-YTW : 10.18 %
GWO.PR.N	FixedReset Ins Non	-12.99 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2052-04-18 Maturity Price : 13.40 Evaluated at bid price : 13.40 Bid-YTW : 6.48 %
CU.PR.D	Perpetual-Discount	-8.48 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2052-04-18 Maturity Price : 21.05 Evaluated at bid price : 21.05 Bid-YTW : 5.92 %
NA.PR.W	FixedReset Disc	-7.41 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2052-04-18 Maturity Price : 20.00 Evaluated at bid price : 20.00 Bid-YTW : 5.92 %
MFC.PR.K	FixedReset Ins Non	-7.04 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2052-04-18 Maturity Price : 21.00 Evaluated at bid price : 21.00 Bid-YTW : 5.83 %
CU.PR.E	Perpetual-Discount	-6.67 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2052-04-18 Maturity Price : 21.00 Evaluated at bid price : 21.00 Bid-YTW : 5.93 %
MFC.PR.F	FixedReset Ins Non	-6.11 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2052-04-18 Maturity Price : 15.38 Evaluated at bid price : 15.38 Bid-YTW : 5.97 %
BAM.PR.T	FixedReset Disc	-5.89 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2052-04-18 Maturity Price : 18.53 Evaluated at bid price : 18.53 Bid-YTW : 6.29 %
TRP.PR.A	FixedReset Disc	-4.39 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2052-04-18 Maturity Price : 17.00 Evaluated at bid price : 17.00 Bid-YTW : 6.52 %
PWF.PR.A	Floater	-3.33 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2052-04-18 Maturity Price : 14.50 Evaluated at bid price : 14.50 Bid-YTW : 3.91 %
RY.PR.H	FixedReset Disc	-2.41 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2052-04-18 Maturity Price : 21.47 Evaluated at bid price : 21.47 Bid-YTW : 5.60 %
BAM.PR.X	FixedReset Disc	-2.35 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2052-04-18 Maturity Price : 18.26 Evaluated at bid price : 18.26 Bid-YTW : 6.16 %
BAM.PF.J	FixedReset Prem	-2.34 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2052-04-18 Maturity Price : 23.62 Evaluated at bid price : 24.25 Bid-YTW : 5.92 %
BAM.PF.A	FixedReset Disc	-2.29 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2052-04-18 Maturity Price : 22.64 Evaluated at bid price : 23.06 Bid-YTW : 6.01 %
BMO.PR.Y	FixedReset Disc	-2.18 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2052-04-18 Maturity Price : 21.73 Evaluated at bid price : 22.01 Bid-YTW : 5.63 %
CM.PR.S	FixedReset Disc	-2.16 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2052-04-18 Maturity Price : 22.52 Evaluated at bid price : 23.10 Bid-YTW : 5.48 %
TD.PF.C	FixedReset Disc	-1.99 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2052-04-18 Maturity Price : 21.17 Evaluated at bid price : 21.17 Bid-YTW : 5.60 %
RY.PR.J	FixedReset Disc	-1.95 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2052-04-18 Maturity Price : 21.84 Evaluated at bid price : 22.13 Bid-YTW : 5.70 %
RY.PR.Z	FixedReset Disc	-1.91 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2052-04-18 Maturity Price : 21.31 Evaluated at bid price : 21.61 Bid-YTW : 5.52 %
TD.PF.E	FixedReset Disc	-1.86 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2052-04-18 Maturity Price : 22.21 Evaluated at bid price : 22.72 Bid-YTW : 5.52 %
NA.PR.G	FixedReset Prem	-1.64 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2052-04-18 Maturity Price : 23.63 Evaluated at bid price : 24.02 Bid-YTW : 5.59 %
IFC.PR.C	FixedReset Disc	-1.59 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2052-04-18 Maturity Price : 21.00 Evaluated at bid price : 21.00 Bid-YTW : 5.80 %
BAM.PR.C	Floater	-1.57 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2052-04-18 Maturity Price : 13.79 Evaluated at bid price : 13.79 Bid-YTW : 4.09 %
RY.PR.M	FixedReset Disc	-1.45 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2052-04-18 Maturity Price : 21.39 Evaluated at bid price : 21.71 Bid-YTW : 5.57 %
TD.PF.B	FixedReset Disc	-1.45 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2052-04-18 Maturity Price : 21.10 Evaluated at bid price : 21.10 Bid-YTW : 5.64 %
IFC.PR.K	Perpetual-Premium	-1.32 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2052-04-18 Maturity Price : 24.22 Evaluated at bid price : 24.60 Bid-YTW : 5.38 %
FTS.PR.K	FixedReset Disc	-1.25 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2052-04-18 Maturity Price : 19.70 Evaluated at bid price : 19.70 Bid-YTW : 5.95 %
SLF.PR.G	FixedReset Ins Non	-1.25 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2052-04-18 Maturity Price : 15.85 Evaluated at bid price : 15.85 Bid-YTW : 5.79 %
CU.PR.F	Perpetual-Discount	-1.22 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2052-04-18 Maturity Price : 21.00 Evaluated at bid price : 21.00 Bid-YTW : 5.44 %
TD.PF.A	FixedReset Disc	-1.17 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2052-04-18 Maturity Price : 21.07 Evaluated at bid price : 21.07 Bid-YTW : 5.59 %
FTS.PR.M	FixedReset Disc	-1.09 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2052-04-18 Maturity Price : 20.80 Evaluated at bid price : 20.80 Bid-YTW : 6.02 %
BAM.PF.F	FixedReset Disc	-1.09 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2052-04-18 Maturity Price : 21.39 Evaluated at bid price : 21.71 Bid-YTW : 6.13 %
CU.PR.J	Perpetual-Discount	-1.09 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2052-04-18 Maturity Price : 21.51 Evaluated at bid price : 21.81 Bid-YTW : 5.51 %
TD.PF.J	FixedReset Disc	-1.08 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2052-04-18 Maturity Price : 23.36 Evaluated at bid price : 23.90 Bid-YTW : 5.56 %
GWO.PR.Y	Insurance Straight	-1.06 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2052-04-18 Maturity Price : 20.58 Evaluated at bid price : 20.58 Bid-YTW : 5.52 %
BAM.PF.G	FixedReset Disc	-1.04 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2052-04-18 Maturity Price : 20.86 Evaluated at bid price : 20.86 Bid-YTW : 6.11 %
GWO.PR.G	Insurance Straight	-1.03 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2052-04-18 Maturity Price : 22.73 Evaluated at bid price : 23.02 Bid-YTW : 5.69 %
SLF.PR.H	FixedReset Ins Non	-1.03 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2052-04-18 Maturity Price : 19.30 Evaluated at bid price : 19.30 Bid-YTW : 5.68 %
TD.PF.K	FixedReset Disc	-1.02 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2052-04-18 Maturity Price : 22.94 Evaluated at bid price : 23.36 Bid-YTW : 5.56 %
BAM.PR.E	Ratchet	-1.00 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2052-04-18 Maturity Price : 25.00 Evaluated at bid price : 18.75 Bid-YTW : 4.05 %
TRP.PR.C	FixedReset Disc	1.98 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2052-04-18 Maturity Price : 14.44 Evaluated at bid price : 14.44 Bid-YTW : 6.38 %
MFC.PR.N	FixedReset Ins Non	3.27 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2052-04-18 Maturity Price : 20.84 Evaluated at bid price : 20.84 Bid-YTW : 5.74 %
CM.PR.Q	FixedReset Disc	10.00 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2052-04-18 Maturity Price : 21.73 Evaluated at bid price : 22.00 Bid-YTW : 5.65 %
CM.PR.O	FixedReset Disc	13.89 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2052-04-18 Maturity Price : 20.50 Evaluated at bid price : 20.50 Bid-YTW : 5.86 %

Volume Highlights
Issue	Index	Shares Traded	Notes
BAM.PR.X	FixedReset Disc	25,325	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2052-04-18 Maturity Price : 18.26 Evaluated at bid price : 18.26 Bid-YTW : 6.16 %
MFC.PR.Q	FixedReset Ins Non	17,125	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2052-04-18 Maturity Price : 22.90 Evaluated at bid price : 23.41 Bid-YTW : 5.56 %
BAM.PF.J	FixedReset Prem	14,200	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2052-04-18 Maturity Price : 23.62 Evaluated at bid price : 24.25 Bid-YTW : 5.92 %
BAM.PF.H	FixedReset Prem	12,400	YTW SCENARIO Maturity Type : Call Maturity Date : 2025-12-31 Maturity Price : 25.00 Evaluated at bid price : 25.46 Bid-YTW : 4.55 %
There were 0 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 – 22.09 Spot Rate : 9.8000 Average : 5.8150 YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2052-04-18 Maturity Price : 12.29 Evaluated at bid price : 12.29 Bid-YTW : 10.18 %
PVS.PR.I	SplitShare	Quote: 25.45 – 30.00 Spot Rate : 4.5500 Average : 3.2446 YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2025-10-31 Maturity Price : 25.00 Evaluated at bid price : 25.45 Bid-YTW : 4.38 %
CU.PR.D	Perpetual-Discount	Quote: 21.05 – 23.03 Spot Rate : 1.9800 Average : 1.2261 YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2052-04-18 Maturity Price : 21.05 Evaluated at bid price : 21.05 Bid-YTW : 5.92 %
TRP.PR.D	FixedReset Disc	Quote: 19.55 – 22.00 Spot Rate : 2.4500 Average : 1.7068 YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2052-04-18 Maturity Price : 19.55 Evaluated at bid price : 19.55 Bid-YTW : 6.29 %
GWO.PR.N	FixedReset Ins Non	Quote: 13.40 – 15.44 Spot Rate : 2.0400 Average : 1.3153 YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2052-04-18 Maturity Price : 13.40 Evaluated at bid price : 13.40 Bid-YTW : 6.48 %
BAM.PR.E	Ratchet	Quote: 18.75 – 20.45 Spot Rate : 1.7000 Average : 1.1103 YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2052-04-18 Maturity Price : 25.00 Evaluated at bid price : 18.75 Bid-YTW : 4.05 %

Issue Comments

BEP.PR.R Falls In Line with Market

BEP.PR.R closed today with no announcement from the company.

BEP.PR.R is a Straight Perpetual, 5.50%, announced April 5.

The issue traded 311,625 shares today in a range of 23.51-24.80 before closing at 23.60-80. As the HIMI PerpetualDiscount index has fallen about 5% since the April 5 announcement date, we may conclude that the issue fell more-or-less in-line with the market.

Vital statistics are:

BEP.PR.R

Perpetual-Discount

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-04-14
Maturity Price : 23.30
Evaluated at bid price : 23.60
Bid-YTW : 5.85 %

Market Action

April 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	3.38 %	3.98 %	25,037	19.32	1	-0.7858 %	2,698.1
FixedFloater	0.00 %	0.00 %	0	0.00	0	0.7063 %	5,187.1
Floater	3.93 %	4.02 %	39,151	17.40	4	0.7063 %	2,989.4
OpRet	0.00 %	0.00 %	0	0.00	0	-0.1988 %	3,613.4
SplitShare	4.65 %	4.51 %	43,826	3.50	6	-0.1988 %	4,315.1
Interest-Bearing	0.00 %	0.00 %	0	0.00	0	-0.1988 %	3,366.8
Perpetual-Premium	5.52 %	5.31 %	69,188	14.58	16	0.0990 %	3,096.8
Perpetual-Discount	5.49 %	5.52 %	62,241	14.58	17	-0.2268 %	3,379.1
FixedReset Disc	4.40 %	5.62 %	129,814	14.74	49	-1.0439 %	2,612.8
Insurance Straight	5.44 %	5.37 %	89,477	14.67	20	-0.0769 %	3,300.0
FloatingReset	3.60 %	3.89 %	57,302	17.67	2	-0.2055 %	2,759.6
FixedReset Prem	4.87 %	4.55 %	149,732	2.16	19	-0.0836 %	2,649.9
FixedReset Bank Non	0.00 %	0.00 %	0	0.00	0	-1.0439 %	2,670.8
FixedReset Ins Non	4.38 %	5.58 %	83,569	14.67	15	0.1207 %	2,739.5

Performance Highlights
Issue	Index	Change	Notes
CM.PR.O	FixedReset Disc	-16.28 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2052-04-14 Maturity Price : 18.00 Evaluated at bid price : 18.00 Bid-YTW : 6.61 %
CM.PR.Q	FixedReset Disc	-12.66 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2052-04-14 Maturity Price : 20.00 Evaluated at bid price : 20.00 Bid-YTW : 6.17 %
MFC.PR.N	FixedReset Ins Non	-3.90 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2052-04-14 Maturity Price : 20.18 Evaluated at bid price : 20.18 Bid-YTW : 5.88 %
BMO.PR.T	FixedReset Disc	-3.67 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2052-04-14 Maturity Price : 21.00 Evaluated at bid price : 21.00 Bid-YTW : 5.65 %
NA.PR.E	FixedReset Disc	-3.56 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2052-04-14 Maturity Price : 22.51 Evaluated at bid price : 23.00 Bid-YTW : 5.58 %
CM.PR.P	FixedReset Disc	-2.33 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2052-04-14 Maturity Price : 21.00 Evaluated at bid price : 21.00 Bid-YTW : 5.60 %
BMO.PR.S	FixedReset Disc	-2.06 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2052-04-14 Maturity Price : 21.52 Evaluated at bid price : 21.89 Bid-YTW : 5.55 %
PWF.PR.P	FixedReset Disc	-1.89 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2052-04-14 Maturity Price : 15.60 Evaluated at bid price : 15.60 Bid-YTW : 5.92 %
IFC.PR.C	FixedReset Disc	-1.89 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2052-04-14 Maturity Price : 21.34 Evaluated at bid price : 21.34 Bid-YTW : 5.67 %
CU.PR.E	Perpetual-Discount	-1.62 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2052-04-14 Maturity Price : 22.22 Evaluated at bid price : 22.50 Bid-YTW : 5.51 %
BAM.PF.B	FixedReset Disc	-1.51 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2052-04-14 Maturity Price : 21.46 Evaluated at bid price : 21.46 Bid-YTW : 6.05 %
NA.PR.W	FixedReset Disc	-1.41 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2052-04-14 Maturity Price : 21.30 Evaluated at bid price : 21.60 Bid-YTW : 5.42 %
TRP.PR.C	FixedReset Disc	-1.32 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2052-04-14 Maturity Price : 14.16 Evaluated at bid price : 14.16 Bid-YTW : 6.44 %
RY.PR.J	FixedReset Disc	-1.27 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2052-04-14 Maturity Price : 22.15 Evaluated at bid price : 22.57 Bid-YTW : 5.54 %
BIP.PR.A	FixedReset Disc	-1.26 %	YTW SCENARIO Maturity Type : Call Maturity Date : 2025-06-30 Maturity Price : 25.00 Evaluated at bid price : 23.60 Bid-YTW : 5.99 %
BMO.PR.W	FixedReset Disc	-1.24 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2052-04-14 Maturity Price : 21.48 Evaluated at bid price : 21.48 Bid-YTW : 5.53 %
BNS.PR.I	FixedReset Disc	-1.23 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2052-04-14 Maturity Price : 23.81 Evaluated at bid price : 24.15 Bid-YTW : 5.20 %
PWF.PR.K	Perpetual-Discount	-1.21 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2052-04-14 Maturity Price : 21.89 Evaluated at bid price : 22.13 Bid-YTW : 5.60 %
RY.PR.S	FixedReset Disc	-1.19 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2052-04-14 Maturity Price : 23.82 Evaluated at bid price : 24.15 Bid-YTW : 5.21 %
CM.PR.Y	FixedReset Prem	-1.17 %	YTW SCENARIO Maturity Type : Call Maturity Date : 2024-07-31 Maturity Price : 25.00 Evaluated at bid price : 25.30 Bid-YTW : 4.53 %
PVS.PR.I	SplitShare	-1.17 %	YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2025-10-31 Maturity Price : 25.00 Evaluated at bid price : 25.45 Bid-YTW : 4.37 %
PWF.PR.S	Perpetual-Discount	-1.14 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2052-04-14 Maturity Price : 21.49 Evaluated at bid price : 21.75 Bid-YTW : 5.52 %
TRP.PR.B	FixedReset Disc	-1.04 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2052-04-14 Maturity Price : 13.35 Evaluated at bid price : 13.35 Bid-YTW : 6.51 %
BAM.PR.X	FixedReset Disc	1.03 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2052-04-14 Maturity Price : 18.70 Evaluated at bid price : 18.70 Bid-YTW : 5.95 %
SLF.PR.H	FixedReset Ins Non	1.04 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2052-04-14 Maturity Price : 19.50 Evaluated at bid price : 19.50 Bid-YTW : 5.58 %
CU.PR.F	Perpetual-Discount	1.24 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2052-04-14 Maturity Price : 21.26 Evaluated at bid price : 21.26 Bid-YTW : 5.37 %
CU.PR.H	Perpetual-Premium	1.25 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2052-04-14 Maturity Price : 23.96 Evaluated at bid price : 24.30 Bid-YTW : 5.46 %
MFC.PR.C	Insurance Straight	1.43 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2052-04-14 Maturity Price : 21.25 Evaluated at bid price : 21.25 Bid-YTW : 5.35 %
SLF.PR.G	FixedReset Ins Non	1.52 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2052-04-14 Maturity Price : 16.05 Evaluated at bid price : 16.05 Bid-YTW : 5.66 %
TD.PF.E	FixedReset Disc	1.54 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2052-04-14 Maturity Price : 22.47 Evaluated at bid price : 23.15 Bid-YTW : 5.38 %
FTS.PR.H	FixedReset Disc	1.97 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2052-04-14 Maturity Price : 15.55 Evaluated at bid price : 15.55 Bid-YTW : 5.92 %
PWF.PR.A	Floater	2.74 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2052-04-14 Maturity Price : 15.00 Evaluated at bid price : 15.00 Bid-YTW : 3.77 %
MFC.PR.K	FixedReset Ins Non	3.24 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2052-04-14 Maturity Price : 22.21 Evaluated at bid price : 22.59 Bid-YTW : 5.34 %
TRP.PR.A	FixedReset Disc	3.37 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2052-04-14 Maturity Price : 17.78 Evaluated at bid price : 17.78 Bid-YTW : 6.18 %
BAM.PR.T	FixedReset Disc	3.58 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2052-04-14 Maturity Price : 19.69 Evaluated at bid price : 19.69 Bid-YTW : 5.89 %

Volume Highlights
Issue	Index	Shares Traded	Notes
IFC.PR.K	Perpetual-Premium	178,644	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2052-04-14 Maturity Price : 24.54 Evaluated at bid price : 24.93 Bid-YTW : 5.31 %
TRP.PR.A	FixedReset Disc	23,845	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2052-04-14 Maturity Price : 17.78 Evaluated at bid price : 17.78 Bid-YTW : 6.18 %
TRP.PR.K	FixedReset Prem	20,835	YTW SCENARIO Maturity Type : Call Maturity Date : 2022-05-31 Maturity Price : 25.00 Evaluated at bid price : 25.23 Bid-YTW : 2.67 %
TRP.PR.E	FixedReset Disc	18,665	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2052-04-14 Maturity Price : 19.30 Evaluated at bid price : 19.30 Bid-YTW : 6.21 %
TRP.PR.D	FixedReset Disc	17,465	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2052-04-14 Maturity Price : 19.42 Evaluated at bid price : 19.42 Bid-YTW : 6.28 %
CM.PR.R	FixedReset Prem	17,096	YTW SCENARIO Maturity Type : Call Maturity Date : 2022-07-31 Maturity Price : 25.00 Evaluated at bid price : 24.95 Bid-YTW : 4.55 %
There were 11 other index-included issues trading in excess of 10,000 shares.

Wide Spread Highlights
Issue	Index	Quote Data and Yield Notes
CM.PR.O	FixedReset Disc	Quote: 18.00 – 21.66 Spot Rate : 3.6600 Average : 2.5019 YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2052-04-14 Maturity Price : 18.00 Evaluated at bid price : 18.00 Bid-YTW : 6.61 %
IAF.PR.B	Insurance Straight	Quote: 22.50 – 25.00 Spot Rate : 2.5000 Average : 1.4118 YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2052-04-14 Maturity Price : 22.22 Evaluated at bid price : 22.50 Bid-YTW : 5.14 %
CM.PR.Q	FixedReset Disc	Quote: 20.00 – 23.13 Spot Rate : 3.1300 Average : 2.0434 YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2052-04-14 Maturity Price : 20.00 Evaluated at bid price : 20.00 Bid-YTW : 6.17 %
BAM.PR.M	Perpetual-Discount	Quote: 21.20 – 22.25 Spot Rate : 1.0500 Average : 0.6076 YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2052-04-14 Maturity Price : 21.20 Evaluated at bid price : 21.20 Bid-YTW : 5.65 %
NA.PR.E	FixedReset Disc	Quote: 23.00 – 23.86 Spot Rate : 0.8600 Average : 0.5428 YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2052-04-14 Maturity Price : 22.51 Evaluated at bid price : 23.00 Bid-YTW : 5.58 %
CM.PR.P	FixedReset Disc	Quote: 21.00 – 21.88 Spot Rate : 0.8800 Average : 0.6658 YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2052-04-14 Maturity Price : 21.00 Evaluated at bid price : 21.00 Bid-YTW : 5.60 %

Primers

Real Return Bond Performance

This seems to be a hot topic recently, with recent negative returns being explained in various ways:

The problem with Canadian real return bonds is that they, for the most part, mature in 10 to 20 years or more. When inflation is strong and interest rates are rising, investors hate the idea of locking in money for that length of time.

Note that the chart at the top of this article shows the Price Return, not the Total Return, an editorial decision I consider dubious.

But with respect to the quoted text, let’s just say that I’m not entirely satisfied with that explanation, so after I received a query …:

Why is it that RRBs are going down in value right now even though the last few months have seen unexpected inflation (unexpected at the time of the bond’s purchase, i.e. not priced into long term bond yields at the time). I thought that this was the environment that RRBs were supposed to do well in?

… I resolved to provide a more useful answer:

The situation with RRBs is interesting, but it isn’t as bad as you might think. We can compare – cautiously! – the funds:
ZRR : LINK
ZFL : LINK

The former is a Real Return Bond fund (based on the universe of RRBs) and the latter a long-term federal bond fund (based on the long-term Canada index). It would be nice if there was a fund restricted to long-term RRBs, but there isn’t (as far as I know) and ZRR has an average term of 17.87 years (compared to ZFL’s 25.83) so the comparison, while not perfect, isn’t too bad.

ZFL has a 1-year return of -6.97%, compared to -0.95% for ZRR, which is a very dramatic difference! This is because the inflation-adjusted principal value of RRBs has increased dramatically over the past year, due to inflation experienced, despite the lag of three months in incorporating new data.

The question of why ZRR has a negative return at all is interesting. If we look at yield statistics from the Bank of Canada ( LINK ), we see that the yield on Long-term (nominal) Canadas is 2.61%, while the Real Return on long-term RRBs is 0.74%. This implies that the “Break-Even Inflation Rate” (BEIR) is only about 1.9%, which may be considered surprising.

This is the average annual inflation rate over the entire remaining term of the bonds that will result in the two types of bond having the same total return. If the actual inflation rate over the period is higher, RRBs will have done better; if lower, then nominals will have outperformed. So one can choose which type of bond to buy based on one’s prediction of Canadian inflation over the long-term.

The fact that the BEIR is still actually below the 2% midpoint of the BoC inflation target implies that the market believes the current bout of inflation is temporary. If the market believed that future inflation was going to average, say, 4% over the long term, then the current 0.74% real rate would imply a yield of 4.74% on comparable nominals, more than 2% over current levels, which would be a price change of somewhere near -30% for the nominals, a crushing (nominal) bond market crash.

So part of the answer to your question is that inflation expectations are ‘well-anchored’; people believe that in the relatively near future things will get back to normal, whatever that means.

The other part of the answer is that real yields have been climbing for the past year (see the chart at the top of LINK ; the blue line is the long-term real yield. COVID took the long-term real yield negative, a ridiculous and completely unsustainable state of affairs; real yields have gone from -0.25% around the end of 2020 to +0.74% today; a change of about 1% in yield that implies a price change of around -15% in price.

In other words, bonds in general are doing poorly today because they did so well in the early stages of the pandemic and became – as we can tell with hindsight – grossly overpriced.

How high can real yields go? The current level of +0.74% for a long bond looks awfully skimpy to me. It’s within its range of the past 10 years, but the past 10 years have been affected by aftershocks from the Credit Crunch of 2007-09, as well as what some people think are permanent structural changes due to the aging of baby boomers, fewer kids and reduced needs for capital investment in new factories to make things. You can play with the slider on the graph at LINK and extend the chart’s origin to 2000, when real yields were in excess of 3% and the BEIR was about 2.5%. Pay yer money and take yer chances!

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April 14, 2022

Real Return Bond Performance

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