August 3, 2022

TXPR closed at 617.59, up 1.01% on the day. Volume today was 1.28-million, about the median of the past 21 trading days.

CPD closed at 12.26, up 0.74% on the day. Volume was 51,390, near the median of the past 21 trading days.

ZPR closed at 10.25, up 0.79% on the day. Volume of 191,830 was above the median of the past 21 trading days.

Five-year Canada yields were up significantly to 2.83% today.

PerpetualDiscounts now yield 6.10%, equivalent to 7.93% interest at the standard equivalency factor of 1.3x. Long corporates continue to yield 4.84%, so the pre-tax interest-equivalent spread (in this context, the “Seniority Spread”) has narrowed to 310bp from the 320bp reported July 27.

HIMIPref™ Preferred Indices
These values reflect the December 2008 revision of the HIMIPref™ Indices

Values are provisional and are finalized monthly
Index Mean
Current
Yield
(at bid)
Median
YTW
Median
Average
Trading
Value
Median
Mod Dur
(YTW)
Issues Day’s Perf. Index Value
Ratchet 0.00 % 0.00 % 0 0.00 0 0.8102 % 2,469.6
FixedFloater 0.00 % 0.00 % 0 0.00 0 0.8102 % 4,736.6
Floater 6.40 % 6.51 % 40,249 13.15 3 0.8102 % 2,729.7
OpRet 0.00 % 0.00 % 0 0.00 0 -0.2348 % 3,456.9
SplitShare 4.92 % 5.90 % 39,756 3.10 8 -0.2348 % 4,128.3
Interest-Bearing 0.00 % 0.00 % 0 0.00 0 -0.2348 % 3,221.0
Perpetual-Premium 0.00 % 0.00 % 0 0.00 0 -0.6557 % 2,868.5
Perpetual-Discount 5.94 % 6.10 % 73,680 13.79 34 -0.6557 % 3,127.9
FixedReset Disc 4.73 % 5.81 % 114,477 14.57 55 0.8535 % 2,495.0
Insurance Straight 5.85 % 5.96 % 83,247 13.93 18 0.2743 % 3,073.5
FloatingReset 6.96 % 7.25 % 42,215 12.20 2 1.1963 % 2,540.5
FixedReset Prem 5.01 % 4.60 % 127,736 1.89 10 0.2660 % 2,603.1
FixedReset Bank Non 0.00 % 0.00 % 0 0.00 0 0.8535 % 2,550.4
FixedReset Ins Non 4.82 % 6.25 % 56,150 13.79 14 1.0215 % 2,531.9
Performance Highlights
Issue Index Change Notes
RY.PR.S FixedReset Disc -3.07 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-08-03
Maturity Price : 23.29
Evaluated at bid price : 23.70
Bid-YTW : 5.31 %
PWF.PR.H Perpetual-Discount -2.11 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-08-03
Maturity Price : 22.93
Evaluated at bid price : 23.20
Bid-YTW : 6.23 %
PWF.PR.Z Perpetual-Discount -1.89 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-08-03
Maturity Price : 21.24
Evaluated at bid price : 21.24
Bid-YTW : 6.11 %
PWF.PR.F Perpetual-Discount -1.83 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-08-03
Maturity Price : 21.45
Evaluated at bid price : 21.45
Bid-YTW : 6.17 %
PWF.PR.O Perpetual-Discount -1.78 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-08-03
Maturity Price : 22.96
Evaluated at bid price : 23.23
Bid-YTW : 6.28 %
BIP.PR.F FixedReset Disc -1.67 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-08-03
Maturity Price : 23.05
Evaluated at bid price : 23.50
Bid-YTW : 5.97 %
PWF.PR.K Perpetual-Discount -1.63 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-08-03
Maturity Price : 20.46
Evaluated at bid price : 20.46
Bid-YTW : 6.10 %
BAM.PF.C Perpetual-Discount -1.53 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-08-03
Maturity Price : 19.94
Evaluated at bid price : 19.94
Bid-YTW : 6.17 %
POW.PR.C Perpetual-Discount -1.47 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-08-03
Maturity Price : 23.21
Evaluated at bid price : 23.51
Bid-YTW : 6.22 %
PWF.PR.E Perpetual-Discount -1.46 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-08-03
Maturity Price : 22.01
Evaluated at bid price : 22.25
Bid-YTW : 6.22 %
PWF.PR.G Perpetual-Discount -1.45 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-08-03
Maturity Price : 23.48
Evaluated at bid price : 23.75
Bid-YTW : 6.25 %
GWO.PR.S Insurance Straight -1.36 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-08-03
Maturity Price : 21.45
Evaluated at bid price : 21.75
Bid-YTW : 6.10 %
POW.PR.G Perpetual-Discount -1.35 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-08-03
Maturity Price : 22.33
Evaluated at bid price : 22.60
Bid-YTW : 6.25 %
PWF.PR.R Perpetual-Discount -1.28 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-08-03
Maturity Price : 22.08
Evaluated at bid price : 22.31
Bid-YTW : 6.20 %
POW.PR.B Perpetual-Discount -1.13 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-08-03
Maturity Price : 21.65
Evaluated at bid price : 21.90
Bid-YTW : 6.16 %
GWO.PR.P Insurance Straight -1.07 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-08-03
Maturity Price : 21.98
Evaluated at bid price : 22.21
Bid-YTW : 6.15 %
MFC.PR.I FixedReset Ins Non -1.05 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-08-03
Maturity Price : 22.51
Evaluated at bid price : 23.45
Bid-YTW : 5.96 %
PVS.PR.G SplitShare -1.02 % YTW SCENARIO
Maturity Type : Option Certainty
Maturity Date : 2026-02-28
Maturity Price : 25.00
Evaluated at bid price : 24.25
Bid-YTW : 6.12 %
SLF.PR.D Insurance Straight 1.01 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-08-03
Maturity Price : 19.95
Evaluated at bid price : 19.95
Bid-YTW : 5.65 %
GWO.PR.Y Insurance Straight 1.03 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-08-03
Maturity Price : 19.65
Evaluated at bid price : 19.65
Bid-YTW : 5.80 %
CU.PR.C FixedReset Disc 1.05 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-08-03
Maturity Price : 21.37
Evaluated at bid price : 21.37
Bid-YTW : 6.00 %
FTS.PR.M FixedReset Disc 1.06 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-08-03
Maturity Price : 19.15
Evaluated at bid price : 19.15
Bid-YTW : 6.62 %
TD.PF.B FixedReset Disc 1.08 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-08-03
Maturity Price : 21.31
Evaluated at bid price : 21.60
Bid-YTW : 5.60 %
CU.PR.I FixedReset Prem 1.08 % YTW SCENARIO
Maturity Type : Call
Maturity Date : 2025-12-01
Maturity Price : 25.00
Evaluated at bid price : 25.14
Bid-YTW : 4.23 %
FTS.PR.H FixedReset Disc 1.11 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-08-03
Maturity Price : 13.65
Evaluated at bid price : 13.65
Bid-YTW : 6.90 %
TRP.PR.F FloatingReset 1.13 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-08-03
Maturity Price : 16.15
Evaluated at bid price : 16.15
Bid-YTW : 7.25 %
PWF.PR.T FixedReset Disc 1.16 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-08-03
Maturity Price : 19.17
Evaluated at bid price : 19.17
Bid-YTW : 6.55 %
IAF.PR.I FixedReset Ins Non 1.23 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-08-03
Maturity Price : 23.21
Evaluated at bid price : 23.90
Bid-YTW : 5.69 %
SLF.PR.J FloatingReset 1.27 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-08-03
Maturity Price : 15.15
Evaluated at bid price : 15.15
Bid-YTW : 6.87 %
CU.PR.J Perpetual-Discount 1.29 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-08-03
Maturity Price : 20.75
Evaluated at bid price : 20.75
Bid-YTW : 5.73 %
ELF.PR.H Perpetual-Discount 1.30 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-08-03
Maturity Price : 23.09
Evaluated at bid price : 23.35
Bid-YTW : 5.94 %
TD.PF.A FixedReset Disc 1.41 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-08-03
Maturity Price : 21.24
Evaluated at bid price : 21.52
Bid-YTW : 5.56 %
SLF.PR.E Insurance Straight 1.45 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-08-03
Maturity Price : 20.29
Evaluated at bid price : 20.29
Bid-YTW : 5.62 %
BAM.PR.K Floater 1.56 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-08-03
Maturity Price : 13.00
Evaluated at bid price : 13.00
Bid-YTW : 6.41 %
CU.PR.G Perpetual-Discount 1.66 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-08-03
Maturity Price : 19.41
Evaluated at bid price : 19.41
Bid-YTW : 5.81 %
FTS.PR.K FixedReset Disc 1.67 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-08-03
Maturity Price : 18.30
Evaluated at bid price : 18.30
Bid-YTW : 6.49 %
CM.PR.O FixedReset Disc 1.67 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-08-03
Maturity Price : 21.52
Evaluated at bid price : 21.89
Bid-YTW : 5.55 %
MFC.PR.Q FixedReset Ins Non 1.70 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-08-03
Maturity Price : 21.51
Evaluated at bid price : 21.51
Bid-YTW : 6.16 %
CU.PR.H Perpetual-Discount 1.76 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-08-03
Maturity Price : 22.38
Evaluated at bid price : 22.67
Bid-YTW : 5.78 %
FTS.PR.G FixedReset Disc 1.88 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-08-03
Maturity Price : 19.00
Evaluated at bid price : 19.00
Bid-YTW : 6.43 %
CM.PR.P FixedReset Disc 1.96 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-08-03
Maturity Price : 21.45
Evaluated at bid price : 21.80
Bid-YTW : 5.49 %
BIP.PR.A FixedReset Disc 1.97 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-08-03
Maturity Price : 19.68
Evaluated at bid price : 19.68
Bid-YTW : 7.47 %
MFC.PR.K FixedReset Ins Non 1.99 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-08-03
Maturity Price : 20.50
Evaluated at bid price : 20.50
Bid-YTW : 6.04 %
TD.PF.E FixedReset Disc 2.00 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-08-03
Maturity Price : 21.52
Evaluated at bid price : 21.89
Bid-YTW : 5.86 %
BAM.PF.G FixedReset Disc 2.01 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-08-03
Maturity Price : 17.73
Evaluated at bid price : 17.73
Bid-YTW : 7.26 %
CM.PR.Q FixedReset Disc 2.11 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-08-03
Maturity Price : 21.41
Evaluated at bid price : 21.75
Bid-YTW : 5.81 %
TRP.PR.B FixedReset Disc 2.11 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-08-03
Maturity Price : 12.56
Evaluated at bid price : 12.56
Bid-YTW : 7.11 %
NA.PR.G FixedReset Disc 2.29 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-08-03
Maturity Price : 24.17
Evaluated at bid price : 24.55
Bid-YTW : 5.53 %
BMO.PR.W FixedReset Disc 2.35 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-08-03
Maturity Price : 21.42
Evaluated at bid price : 21.75
Bid-YTW : 5.48 %
TD.PF.C FixedReset Disc 2.36 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-08-03
Maturity Price : 21.38
Evaluated at bid price : 21.70
Bid-YTW : 5.54 %
TRP.PR.A FixedReset Disc 2.67 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-08-03
Maturity Price : 15.76
Evaluated at bid price : 15.76
Bid-YTW : 7.10 %
BAM.PR.T FixedReset Disc 2.74 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-08-03
Maturity Price : 17.22
Evaluated at bid price : 17.22
Bid-YTW : 6.83 %
IFC.PR.E Insurance Straight 2.92 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-08-03
Maturity Price : 21.98
Evaluated at bid price : 22.23
Bid-YTW : 5.92 %
TRP.PR.C FixedReset Disc 2.95 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-08-03
Maturity Price : 13.26
Evaluated at bid price : 13.26
Bid-YTW : 7.05 %
MFC.PR.N FixedReset Ins Non 3.20 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-08-03
Maturity Price : 19.03
Evaluated at bid price : 19.03
Bid-YTW : 6.36 %
PWF.PR.P FixedReset Disc 3.26 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-08-03
Maturity Price : 13.95
Evaluated at bid price : 13.95
Bid-YTW : 6.82 %
TRP.PR.E FixedReset Disc 3.26 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-08-03
Maturity Price : 17.41
Evaluated at bid price : 17.41
Bid-YTW : 7.03 %
BIP.PR.E FixedReset Disc 3.27 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-08-03
Maturity Price : 23.33
Evaluated at bid price : 24.01
Bid-YTW : 5.93 %
SLF.PR.G FixedReset Ins Non 3.56 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-08-03
Maturity Price : 14.25
Evaluated at bid price : 14.25
Bid-YTW : 6.53 %
SLF.PR.H FixedReset Ins Non 3.84 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-08-03
Maturity Price : 17.57
Evaluated at bid price : 17.57
Bid-YTW : 6.30 %
Volume Highlights
Issue Index Shares
Traded
Notes
BMO.PR.D FixedReset Disc 78,500 YTW SCENARIO
Maturity Type : Call
Maturity Date : 2022-09-24
Maturity Price : 25.00
Evaluated at bid price : 24.96
Bid-YTW : 3.69 %
BMO.PR.T FixedReset Disc 51,300 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-08-03
Maturity Price : 21.27
Evaluated at bid price : 21.55
Bid-YTW : 5.54 %
BAM.PR.X FixedReset Disc 44,400 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-08-03
Maturity Price : 17.27
Evaluated at bid price : 17.27
Bid-YTW : 6.65 %
MFC.PR.F FixedReset Ins Non 33,200 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-08-03
Maturity Price : 14.15
Evaluated at bid price : 14.15
Bid-YTW : 6.57 %
BAM.PF.G FixedReset Disc 30,900 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-08-03
Maturity Price : 17.73
Evaluated at bid price : 17.73
Bid-YTW : 7.26 %
PWF.PR.O Perpetual-Discount 22,328 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-08-03
Maturity Price : 22.96
Evaluated at bid price : 23.23
Bid-YTW : 6.28 %
There were 17 other index-included issues trading in excess of 10,000 shares.
Wide Spread Highlights
Issue Index Quote Data and Yield Notes
MIC.PR.A Perpetual-Discount Quote: 21.40 – 28.99
Spot Rate : 7.5900
Average : 4.5743

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-08-03
Maturity Price : 21.40
Evaluated at bid price : 21.40
Bid-YTW : 6.40 %

CU.PR.H Perpetual-Discount Quote: 22.67 – 25.10
Spot Rate : 2.4300
Average : 1.3591

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-08-03
Maturity Price : 22.38
Evaluated at bid price : 22.67
Bid-YTW : 5.78 %

BAM.PR.T FixedReset Disc Quote: 17.22 – 22.95
Spot Rate : 5.7300
Average : 4.8120

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-08-03
Maturity Price : 17.22
Evaluated at bid price : 17.22
Bid-YTW : 6.83 %

PWF.PF.A Perpetual-Discount Quote: 19.21 – 21.00
Spot Rate : 1.7900
Average : 1.2975

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-08-03
Maturity Price : 19.21
Evaluated at bid price : 19.21
Bid-YTW : 5.90 %

BAM.PR.C Floater Quote: 12.75 – 13.99
Spot Rate : 1.2400
Average : 0.7582

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-08-03
Maturity Price : 12.75
Evaluated at bid price : 12.75
Bid-YTW : 6.54 %

BAM.PF.F FixedReset Disc Quote: 18.80 – 20.00
Spot Rate : 1.2000
Average : 0.9654

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-08-03
Maturity Price : 18.80
Evaluated at bid price : 18.80
Bid-YTW : 7.19 %

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