May 10, 2022

May 10th, 2022

The New York Fed released its Household Debt and Credit Report today:

The Quarterly Report on Household Debt and Credit for the first quarter of 2022 shows a solid increase in total household debt of $266 billion, to $15.84 trillion. Balances now stand $1.7 trillion higher than at the end of 2019, before the COVID-19 pandemic. Mortgage and auto loan balances rose by $250 billion and $11 billion, respectively, in the quarter, although originations for both subsided from historically high levels in 2021. Credit card balances declined by $15 billion, in line with seasonal trends typically seen at the start of the year, but are still $71 billion higher than in 2021:Q1, representing a substantial year-over-year increase.

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 3.81 % 4.46 % 22,237 18.45 1 0.0000 % 2,571.3
FixedFloater 0.00 % 0.00 % 0 0.00 0 -1.1122 % 4,804.2
Floater 4.29 % 4.33 % 48,835 16.71 3 -1.1122 % 2,768.7
OpRet 0.00 % 0.00 % 0 0.00 0 -0.0485 % 3,504.2
SplitShare 4.85 % 5.45 % 38,069 3.28 8 -0.0485 % 4,184.7
Interest-Bearing 0.00 % 0.00 % 0 0.00 0 -0.0485 % 3,265.1
Perpetual-Premium 5.94 % 5.98 % 63,251 13.92 1 0.0805 % 2,940.5
Perpetual-Discount 5.82 % 5.91 % 65,583 14.02 35 1.3200 % 3,192.3
FixedReset Disc 4.65 % 6.09 % 130,009 14.00 59 1.4900 % 2,494.7
Insurance Straight 5.74 % 5.81 % 101,681 14.14 20 0.5387 % 3,127.6
FloatingReset 4.84 % 5.15 % 65,930 15.20 2 -0.9390 % 2,568.9
FixedReset Prem 5.11 % 5.41 % 135,810 2.09 9 -0.2183 % 2,582.5
FixedReset Bank Non 0.00 % 0.00 % 0 0.00 0 1.4900 % 2,550.1
FixedReset Ins Non 4.57 % 6.03 % 84,295 13.89 15 0.2389 % 2,626.0
Performance Highlights
Issue Index Change Notes
BIP.PR.F FixedReset Prem -2.42 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-05-10
Maturity Price : 23.84
Evaluated at bid price : 24.20
Bid-YTW : 5.97 %
CU.PR.G Perpetual-Discount -2.27 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-05-10
Maturity Price : 19.35
Evaluated at bid price : 19.35
Bid-YTW : 5.83 %
BAM.PF.G FixedReset Disc -2.04 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-05-10
Maturity Price : 19.25
Evaluated at bid price : 19.25
Bid-YTW : 6.84 %
TRP.PR.F FloatingReset -1.81 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-05-10
Maturity Price : 16.30
Evaluated at bid price : 16.30
Bid-YTW : 5.15 %
TD.PF.D FixedReset Disc -1.46 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-05-10
Maturity Price : 20.97
Evaluated at bid price : 20.97
Bid-YTW : 6.17 %
PVS.PR.G SplitShare -1.41 % YTW SCENARIO
Maturity Type : Option Certainty
Maturity Date : 2026-02-28
Maturity Price : 25.00
Evaluated at bid price : 24.40
Bid-YTW : 5.90 %
BAM.PR.B Floater -1.21 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-05-10
Maturity Price : 13.01
Evaluated at bid price : 13.01
Bid-YTW : 4.35 %
BAM.PR.K Floater -1.21 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-05-10
Maturity Price : 13.06
Evaluated at bid price : 13.06
Bid-YTW : 4.33 %
PVS.PR.J SplitShare 1.07 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2028-02-29
Maturity Price : 25.00
Evaluated at bid price : 23.70
Bid-YTW : 5.65 %
RY.PR.S FixedReset Disc 1.08 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-05-10
Maturity Price : 22.98
Evaluated at bid price : 23.35
Bid-YTW : 5.56 %
GWO.PR.S Insurance Straight 1.12 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-05-10
Maturity Price : 22.19
Evaluated at bid price : 22.60
Bid-YTW : 5.87 %
TRP.PR.A FixedReset Disc 1.17 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-05-10
Maturity Price : 16.37
Evaluated at bid price : 16.37
Bid-YTW : 7.06 %
TD.PF.C FixedReset Disc 1.23 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-05-10
Maturity Price : 20.65
Evaluated at bid price : 20.65
Bid-YTW : 5.97 %
POW.PR.D Perpetual-Discount 1.23 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-05-10
Maturity Price : 21.35
Evaluated at bid price : 21.35
Bid-YTW : 5.93 %
BNS.PR.I FixedReset Disc 1.26 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-05-10
Maturity Price : 22.97
Evaluated at bid price : 23.36
Bid-YTW : 5.65 %
SLF.PR.D Insurance Straight 1.79 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-05-10
Maturity Price : 19.90
Evaluated at bid price : 19.90
Bid-YTW : 5.67 %
RY.PR.H FixedReset Disc 1.85 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-05-10
Maturity Price : 20.88
Evaluated at bid price : 20.88
Bid-YTW : 5.92 %
NA.PR.E FixedReset Disc 2.01 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-05-10
Maturity Price : 22.15
Evaluated at bid price : 22.85
Bid-YTW : 5.90 %
NA.PR.S FixedReset Disc 2.44 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-05-10
Maturity Price : 21.00
Evaluated at bid price : 21.00
Bid-YTW : 6.12 %
CM.PR.O FixedReset Disc 2.45 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-05-10
Maturity Price : 20.50
Evaluated at bid price : 20.50
Bid-YTW : 6.11 %
CM.PR.P FixedReset Disc 2.51 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-05-10
Maturity Price : 20.45
Evaluated at bid price : 20.45
Bid-YTW : 6.03 %
TD.PF.B FixedReset Disc 2.64 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-05-10
Maturity Price : 20.60
Evaluated at bid price : 20.60
Bid-YTW : 6.02 %
TD.PF.A FixedReset Disc 2.70 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-05-10
Maturity Price : 20.55
Evaluated at bid price : 20.55
Bid-YTW : 5.97 %
BMO.PR.W FixedReset Disc 2.74 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-05-10
Maturity Price : 20.60
Evaluated at bid price : 20.60
Bid-YTW : 5.96 %
BIP.PR.A FixedReset Disc 3.41 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-05-10
Maturity Price : 22.27
Evaluated at bid price : 22.75
Bid-YTW : 6.58 %
IFC.PR.E Insurance Straight 3.64 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-05-10
Maturity Price : 22.45
Evaluated at bid price : 22.80
Bid-YTW : 5.77 %
BMO.PR.Y FixedReset Disc 4.65 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-05-10
Maturity Price : 20.93
Evaluated at bid price : 20.93
Bid-YTW : 6.08 %
NA.PR.G FixedReset Disc 4.79 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-05-10
Maturity Price : 23.22
Evaluated at bid price : 23.65
Bid-YTW : 5.90 %
NA.PR.W FixedReset Disc 6.05 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-05-10
Maturity Price : 20.15
Evaluated at bid price : 20.15
Bid-YTW : 6.11 %
BAM.PR.Z FixedReset Disc 8.56 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-05-10
Maturity Price : 21.84
Evaluated at bid price : 22.33
Bid-YTW : 6.55 %
TRP.PR.G FixedReset Disc 64.36 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-05-10
Maturity Price : 20.20
Evaluated at bid price : 20.20
Bid-YTW : 6.50 %
CIU.PR.A Perpetual-Discount 92.12 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-05-10
Maturity Price : 19.50
Evaluated at bid price : 19.50
Bid-YTW : 5.91 %
Volume Highlights
Issue Index Shares
Traded
Notes
TD.PF.B FixedReset Disc 38,200 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-05-10
Maturity Price : 20.60
Evaluated at bid price : 20.60
Bid-YTW : 6.02 %
TRP.PR.C FixedReset Disc 34,300 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-05-10
Maturity Price : 13.51
Evaluated at bid price : 13.51
Bid-YTW : 7.10 %
MIC.PR.A Perpetual-Discount 28,531 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-05-10
Maturity Price : 22.06
Evaluated at bid price : 22.35
Bid-YTW : 6.12 %
TRP.PR.E FixedReset Disc 21,745 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-05-10
Maturity Price : 18.05
Evaluated at bid price : 18.05
Bid-YTW : 6.96 %
GWO.PR.M Insurance Straight 18,200 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-05-10
Maturity Price : 24.09
Evaluated at bid price : 24.35
Bid-YTW : 6.03 %
MFC.PR.J FixedReset Ins Non 17,376 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-05-10
Maturity Price : 22.85
Evaluated at bid price : 23.45
Bid-YTW : 5.86 %
There were 3 other index-included issues trading in excess of 10,000 shares.
Wide Spread Highlights
Issue Index Quote Data and Yield Notes
MFC.PR.C Insurance Straight Quote: 19.85 – 21.80
Spot Rate : 1.9500
Average : 1.3746

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-05-10
Maturity Price : 19.85
Evaluated at bid price : 19.85
Bid-YTW : 5.76 %

TD.PF.D FixedReset Disc Quote: 20.97 – 22.80
Spot Rate : 1.8300
Average : 1.2798

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-05-10
Maturity Price : 20.97
Evaluated at bid price : 20.97
Bid-YTW : 6.17 %

CU.PR.G Perpetual-Discount Quote: 19.35 – 20.99
Spot Rate : 1.6400
Average : 1.1190

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-05-10
Maturity Price : 19.35
Evaluated at bid price : 19.35
Bid-YTW : 5.83 %

NA.PR.S FixedReset Disc Quote: 21.00 – 23.00
Spot Rate : 2.0000
Average : 1.5427

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-05-10
Maturity Price : 21.00
Evaluated at bid price : 21.00
Bid-YTW : 6.12 %

BAM.PR.C Floater Quote: 13.05 – 14.00
Spot Rate : 0.9500
Average : 0.6054

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-05-10
Maturity Price : 13.05
Evaluated at bid price : 13.05
Bid-YTW : 4.33 %

MFC.PR.N FixedReset Ins Non Quote: 19.85 – 21.25
Spot Rate : 1.4000
Average : 1.0888

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-05-10
Maturity Price : 19.85
Evaluated at bid price : 19.85
Bid-YTW : 6.26 %

EFN.PR.I To Be Redeemed

May 9th, 2022

Element Fleet Management Corp. has announced (but not yet on their website):

Preferred Share Redemption

The Company also announced today its intention to redeem – in accordance with the terms of the Cumulative 5-Year Minimum Rate Reset Preferred Shares, Series I (the “Series I Shares”) as set out in the Company’s articles – all of its 6,000,000 issued and outstanding Series I Shares on June 30, 2022 (the “Redemption Date”) for a redemption price equal to $25.00 per Series I Share, together with all accrued and unpaid dividends up to but excluding the Redemption Date (the “Redemption Price”), less any tax required to be deducted and withheld by the Company.

The Company’s Board of Directors has declared a dividend of $0.3593750 per Series I Share payable on the Redemption Date to holders of record as of the close of business on June 15, 2022. This will be the final quarterly dividend on the Series I Shares, although holders will receive on redemption of the Series I Shares all accrued and unpaid dividends up to but excluding the Redemption Date.

The Company has provided notice today of the Redemption Price and the Redemption Date to the sole registered holder of the Series I Shares in accordance with the terms of the Series I Shares as set out in the Company’s articles. Non-registered holders of Series I Shares should contact their broker or other intermediary for information regarding the redemption process for the Series I Shares in which they hold a beneficial interest.

The Company’s transfer agent for the Series I Shares is Computershare Investor Services Inc. Questions regarding the redemption process may be directed to Computershare Investor Services Inc. at 1-800-564-6253 or by email to corporateactions@computershare.com.

EFN.PR.I is a FixedReset, 5.75%+464M575, that commenced trading 2017-5-5 after being announced 2017-4-26. It has been tracked by HIMIPref™ but is relegated to the Scraps index on credit concerns.

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

May 9, 2022

May 9th, 2022

TXPR closed at 618.14, down 1.14% on the day. Volume today was 1.47-million, well below the median of the past 21 trading days.

CPD closed at 12.28, down 0.97% on the day. Volume was 107,800, near the median of the past 21 trading days.

ZPR closed at 10.26 down 0.87% on the day. Volume of 173,220 was near the median of the past 21 trading days.

Five-year Canada yields were down a bit to 2.82% today.

It was a pretty horrible day everywhere:

The S&P 500 fell 3.2 percent, adding to a downdraft that has knocked 16.3 percent off the index this year, including a five-week stretch of selling that is the market’s longest such decline in more than a decade.

The drop has stocks approaching a bear market, Wall Street’s term for a decline of 20 percent or more from recent highs, a retreat that serves as a marker of a severe shift in sentiment.

The focus of attention on Monday was China’s economy, after customs data showed that growth in the country’s exports slowed significantly in April and Li Keqiang, the Chinese premier, warned this weekend that the current state of the nation’s jobs market was “complicated and grave.”

But here’s a sign of the times:

Royal Bank of Canada RY-T -1.44%decrease
is raising base pay by 3 per cent for its lower-paid employees as part of a $200-million spending package that aims to fend off fierce competition for talent by improving salaries and benefits.

The unusual increase takes effect on July 1, and applies to all employees in a range of entry-level and less senior positions, including at branches, call centres and other divisions. Collectively, the employees receiving raises make up nearly half of all RBC staff, and chief executive officer Dave McKay said in a company memo that the raises are intended “to address the market pressures and the rising cost of living that is having a greater impact on colleagues in lower salary bands.”

He said RBC, which has more than 85,000 full-time equivalent employees, will take those market forces into account when the bank calculates its normal salary increases at the end of the fiscal year in October. Many other RBC employees, including those in senior roles, receive a significant amount of their pay from commissions or bonuses, which also surged in a busy year for traders and investment bankers. That has been a key factor driving costs higher for many banks over the past year.

The New York Fed has released its Survey of Consumer Expectations:

  • Median inflation expectations decreased in April at the one-year horizon to 6.3% from 6.6% in March. In contrast, median three-year-ahead inflation expectations rose by 0.2 percentage point to 3.9%. While both series remain elevated, they are 0.3 percentage point below their series highs. The survey’s measure of disagreement across respondents (the difference between the 75th and 25th percentile of inflation expectations) decreased at the one-year horizon but increased at the three-year horizon.
  • Expectations about year-ahead price changes fell sharply by 4.4 percentage points for the price of gas to 5.2%. The expected change in the price of food and medical care fell by 0.2 percentage point (to 9.4%) and by 0.1 percentage point (to 9.5%), respectively. The median expected change in the cost of a college education and rent rose by 0.6 percentage point (to 9.1%) and 0.1 percentage point (to 10.3%), respectively. The median expected increase in rent is now at a new series’ high.
  • Median one-year-ahead expected earnings growth remained unchanged in April at its series high of 3.0%.
  • The median expected growth in household income increased by 0.1 percentage point to 3.1% in April. This reading is comparable to its 12-month trailing average of 3.0%, but it is below the series high of 3.4% recorded in December 2021.
  • Median household nominal spending growth expectations increased by 0.3 percentage point to 8.0%, marking a new series high. The increase was most pronounced for respondents over the age of 60 and those with at most a high school diploma.
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 3.79 % 4.45 % 23,184 18.48 1 0.0000 % 2,571.3
FixedFloater 0.00 % 0.00 % 0 0.00 0 0.1773 % 4,858.2
Floater 4.25 % 4.29 % 50,931 16.79 3 0.1773 % 2,799.8
OpRet 0.00 % 0.00 % 0 0.00 0 -0.0306 % 3,505.9
SplitShare 4.85 % 5.47 % 37,300 3.28 8 -0.0306 % 4,186.8
Interest-Bearing 0.00 % 0.00 % 0 0.00 0 -0.0306 % 3,266.7
Perpetual-Premium 5.94 % 5.98 % 62,090 13.92 1 0.0403 % 2,938.1
Perpetual-Discount 5.89 % 5.91 % 66,104 14.02 35 -1.8971 % 3,150.7
FixedReset Disc 4.72 % 6.17 % 139,720 13.72 59 -2.8267 % 2,458.0
Insurance Straight 5.77 % 5.86 % 102,311 14.04 20 -0.7798 % 3,110.9
FloatingReset 4.80 % 5.06 % 66,683 15.37 2 -1.1754 % 2,593.2
FixedReset Prem 5.09 % 5.40 % 138,165 2.09 9 -0.1246 % 2,588.2
FixedReset Bank Non 0.00 % 0.00 % 0 0.00 0 -2.8267 % 2,512.6
FixedReset Ins Non 4.58 % 6.06 % 85,212 13.86 15 0.0697 % 2,619.7
Performance Highlights
Issue Index Change Notes
CIU.PR.A Perpetual-Discount -48.27 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-05-09
Maturity Price : 10.15
Evaluated at bid price : 10.15
Bid-YTW : 11.40 %
TRP.PR.G FixedReset Disc -40.34 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-05-09
Maturity Price : 12.29
Evaluated at bid price : 12.29
Bid-YTW : 10.34 %
BAM.PR.Z FixedReset Disc -11.53 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-05-09
Maturity Price : 20.57
Evaluated at bid price : 20.57
Bid-YTW : 7.14 %
NA.PR.W FixedReset Disc -10.21 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-05-09
Maturity Price : 19.00
Evaluated at bid price : 19.00
Bid-YTW : 6.47 %
NA.PR.S FixedReset Disc -6.82 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-05-09
Maturity Price : 20.50
Evaluated at bid price : 20.50
Bid-YTW : 6.27 %
BMO.PR.Y FixedReset Disc -6.10 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-05-09
Maturity Price : 20.00
Evaluated at bid price : 20.00
Bid-YTW : 6.35 %
NA.PR.G FixedReset Disc -5.96 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-05-09
Maturity Price : 22.21
Evaluated at bid price : 22.57
Bid-YTW : 6.19 %
BMO.PR.W FixedReset Disc -4.75 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-05-09
Maturity Price : 20.05
Evaluated at bid price : 20.05
Bid-YTW : 6.12 %
NA.PR.E FixedReset Disc -4.36 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-05-09
Maturity Price : 21.88
Evaluated at bid price : 22.40
Bid-YTW : 6.03 %
BIP.PR.A FixedReset Disc -4.35 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-05-09
Maturity Price : 21.74
Evaluated at bid price : 22.00
Bid-YTW : 6.81 %
TRP.PR.E FixedReset Disc -4.21 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-05-09
Maturity Price : 17.96
Evaluated at bid price : 17.96
Bid-YTW : 6.99 %
TD.PF.B FixedReset Disc -4.20 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-05-09
Maturity Price : 20.07
Evaluated at bid price : 20.07
Bid-YTW : 6.17 %
POW.PR.D Perpetual-Discount -4.14 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-05-09
Maturity Price : 21.09
Evaluated at bid price : 21.09
Bid-YTW : 6.00 %
TRP.PR.D FixedReset Disc -4.05 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-05-09
Maturity Price : 18.23
Evaluated at bid price : 18.23
Bid-YTW : 7.02 %
RY.PR.S FixedReset Disc -3.75 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-05-09
Maturity Price : 22.73
Evaluated at bid price : 23.10
Bid-YTW : 5.62 %
TRP.PR.A FixedReset Disc -3.69 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-05-09
Maturity Price : 16.18
Evaluated at bid price : 16.18
Bid-YTW : 7.14 %
CM.PR.P FixedReset Disc -3.62 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-05-09
Maturity Price : 19.95
Evaluated at bid price : 19.95
Bid-YTW : 6.18 %
CM.PR.O FixedReset Disc -3.61 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-05-09
Maturity Price : 20.01
Evaluated at bid price : 20.01
Bid-YTW : 6.25 %
BNS.PR.I FixedReset Disc -3.47 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-05-09
Maturity Price : 22.69
Evaluated at bid price : 23.07
Bid-YTW : 5.72 %
TD.PF.C FixedReset Disc -2.95 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-05-09
Maturity Price : 20.40
Evaluated at bid price : 20.40
Bid-YTW : 6.04 %
RY.PR.H FixedReset Disc -2.84 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-05-09
Maturity Price : 20.50
Evaluated at bid price : 20.50
Bid-YTW : 6.02 %
CU.PR.C FixedReset Disc -2.78 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-05-09
Maturity Price : 21.30
Evaluated at bid price : 21.30
Bid-YTW : 6.19 %
SLF.PR.D Insurance Straight -2.74 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-05-09
Maturity Price : 19.55
Evaluated at bid price : 19.55
Bid-YTW : 5.77 %
TD.PF.E FixedReset Disc -2.57 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-05-09
Maturity Price : 21.25
Evaluated at bid price : 21.25
Bid-YTW : 6.13 %
BAM.PF.E FixedReset Disc -2.53 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-05-09
Maturity Price : 18.52
Evaluated at bid price : 18.52
Bid-YTW : 6.93 %
IAF.PR.B Insurance Straight -2.47 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-05-09
Maturity Price : 21.36
Evaluated at bid price : 21.36
Bid-YTW : 5.46 %
TD.PF.J FixedReset Disc -2.41 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-05-09
Maturity Price : 22.88
Evaluated at bid price : 23.44
Bid-YTW : 5.91 %
CM.PR.S FixedReset Disc -1.94 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-05-09
Maturity Price : 22.13
Evaluated at bid price : 22.80
Bid-YTW : 5.79 %
PWF.PR.R Perpetual-Discount -1.80 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-05-09
Maturity Price : 23.17
Evaluated at bid price : 23.43
Bid-YTW : 5.91 %
CM.PR.Q FixedReset Disc -1.76 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-05-09
Maturity Price : 21.22
Evaluated at bid price : 21.22
Bid-YTW : 6.09 %
GWO.PR.S Insurance Straight -1.76 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-05-09
Maturity Price : 21.97
Evaluated at bid price : 22.35
Bid-YTW : 5.94 %
TD.PF.D FixedReset Disc -1.75 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-05-09
Maturity Price : 21.28
Evaluated at bid price : 21.28
Bid-YTW : 6.08 %
BAM.PR.M Perpetual-Discount -1.75 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-05-09
Maturity Price : 19.65
Evaluated at bid price : 19.65
Bid-YTW : 6.14 %
MFC.PR.M FixedReset Ins Non -1.68 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-05-09
Maturity Price : 19.86
Evaluated at bid price : 19.86
Bid-YTW : 6.38 %
BMO.PR.T FixedReset Disc -1.62 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-05-09
Maturity Price : 20.63
Evaluated at bid price : 20.63
Bid-YTW : 5.96 %
CU.PR.E Perpetual-Discount -1.61 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-05-09
Maturity Price : 20.80
Evaluated at bid price : 20.80
Bid-YTW : 5.91 %
SLF.PR.J FloatingReset -1.60 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-05-09
Maturity Price : 15.35
Evaluated at bid price : 15.35
Bid-YTW : 4.62 %
BAM.PR.N Perpetual-Discount -1.51 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-05-09
Maturity Price : 19.55
Evaluated at bid price : 19.55
Bid-YTW : 6.17 %
BMO.PR.E FixedReset Disc -1.49 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-05-09
Maturity Price : 22.79
Evaluated at bid price : 23.20
Bid-YTW : 5.91 %
PVS.PR.J SplitShare -1.47 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2028-02-29
Maturity Price : 25.00
Evaluated at bid price : 23.45
Bid-YTW : 5.86 %
CU.PR.J Perpetual-Discount -1.46 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-05-09
Maturity Price : 20.25
Evaluated at bid price : 20.25
Bid-YTW : 5.88 %
TRP.PR.C FixedReset Disc -1.45 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-05-09
Maturity Price : 13.55
Evaluated at bid price : 13.55
Bid-YTW : 7.08 %
GWO.PR.G Insurance Straight -1.43 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-05-09
Maturity Price : 21.75
Evaluated at bid price : 22.00
Bid-YTW : 5.98 %
PWF.PR.P FixedReset Disc -1.43 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-05-09
Maturity Price : 14.50
Evaluated at bid price : 14.50
Bid-YTW : 6.68 %
PVS.PR.I SplitShare -1.41 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-10-31
Maturity Price : 25.00
Evaluated at bid price : 24.40
Bid-YTW : 5.81 %
BAM.PR.R FixedReset Disc -1.41 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-05-09
Maturity Price : 17.50
Evaluated at bid price : 17.50
Bid-YTW : 6.74 %
BAM.PF.F FixedReset Disc -1.34 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-05-09
Maturity Price : 20.62
Evaluated at bid price : 20.62
Bid-YTW : 6.71 %
RY.PR.J FixedReset Disc -1.30 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-05-09
Maturity Price : 21.25
Evaluated at bid price : 21.25
Bid-YTW : 6.09 %
BAM.PF.G FixedReset Disc -1.26 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-05-09
Maturity Price : 19.65
Evaluated at bid price : 19.65
Bid-YTW : 6.71 %
SLF.PR.E Insurance Straight -1.23 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-05-09
Maturity Price : 20.00
Evaluated at bid price : 20.00
Bid-YTW : 5.71 %
BAM.PF.B FixedReset Disc -1.20 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-05-09
Maturity Price : 20.50
Evaluated at bid price : 20.50
Bid-YTW : 6.64 %
TD.PF.K FixedReset Disc -1.20 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-05-09
Maturity Price : 22.59
Evaluated at bid price : 23.00
Bid-YTW : 5.88 %
GWO.PR.T Insurance Straight -1.18 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-05-09
Maturity Price : 21.56
Evaluated at bid price : 21.84
Bid-YTW : 5.97 %
RY.PR.Z FixedReset Disc -1.15 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-05-09
Maturity Price : 20.72
Evaluated at bid price : 20.72
Bid-YTW : 5.94 %
BIP.PR.E FixedReset Disc -1.07 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-05-09
Maturity Price : 23.42
Evaluated at bid price : 24.00
Bid-YTW : 6.12 %
BMO.PR.S FixedReset Disc -1.07 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-05-09
Maturity Price : 21.27
Evaluated at bid price : 21.27
Bid-YTW : 5.94 %
GWO.PR.Q Insurance Straight -1.04 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-05-09
Maturity Price : 21.56
Evaluated at bid price : 21.82
Bid-YTW : 5.97 %
PWF.PR.K Perpetual-Discount -1.04 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-05-09
Maturity Price : 21.00
Evaluated at bid price : 21.00
Bid-YTW : 5.95 %
BAM.PR.B Floater 1.46 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-05-09
Maturity Price : 13.17
Evaluated at bid price : 13.17
Bid-YTW : 4.29 %
RY.PR.O Perpetual-Discount 1.50 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-05-09
Maturity Price : 23.25
Evaluated at bid price : 23.70
Bid-YTW : 5.16 %
PVS.PR.G SplitShare 2.02 % YTW SCENARIO
Maturity Type : Option Certainty
Maturity Date : 2026-02-28
Maturity Price : 25.00
Evaluated at bid price : 24.75
Bid-YTW : 5.47 %
BAM.PR.X FixedReset Disc 2.07 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-05-09
Maturity Price : 17.77
Evaluated at bid price : 17.77
Bid-YTW : 6.66 %
PVS.PR.K SplitShare 2.56 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2029-05-31
Maturity Price : 25.00
Evaluated at bid price : 24.00
Bid-YTW : 5.25 %
MFC.PR.N FixedReset Ins Non 5.51 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-05-09
Maturity Price : 19.73
Evaluated at bid price : 19.73
Bid-YTW : 6.30 %
Volume Highlights
Issue Index Shares
Traded
Notes
BIP.PR.E FixedReset Disc 28,800 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-05-09
Maturity Price : 23.42
Evaluated at bid price : 24.00
Bid-YTW : 6.12 %
CM.PR.O FixedReset Disc 28,100 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-05-09
Maturity Price : 20.01
Evaluated at bid price : 20.01
Bid-YTW : 6.25 %
RS.PR.A SplitShare 26,600 YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-12-31
Maturity Price : 10.00
Evaluated at bid price : 9.91
Bid-YTW : 5.67 %
CU.PR.J Perpetual-Discount 21,005 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-05-09
Maturity Price : 20.25
Evaluated at bid price : 20.25
Bid-YTW : 5.88 %
BIP.PR.F FixedReset Prem 20,570 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-05-09
Maturity Price : 23.61
Evaluated at bid price : 24.80
Bid-YTW : 5.78 %
MIC.PR.A Perpetual-Discount 20,307 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-05-09
Maturity Price : 21.87
Evaluated at bid price : 22.20
Bid-YTW : 6.16 %
There were 16 other index-included issues trading in excess of 10,000 shares.
Wide Spread Highlights
Issue Index Quote Data and Yield Notes
CIU.PR.A Perpetual-Discount Quote: 10.15 – 19.75
Spot Rate : 9.6000
Average : 5.2094

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-05-09
Maturity Price : 10.15
Evaluated at bid price : 10.15
Bid-YTW : 11.40 %

TRP.PR.G FixedReset Disc Quote: 12.29 – 20.28
Spot Rate : 7.9900
Average : 4.4789

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-05-09
Maturity Price : 12.29
Evaluated at bid price : 12.29
Bid-YTW : 10.34 %

IFC.PR.C FixedReset Disc Quote: 20.50 – 24.70
Spot Rate : 4.2000
Average : 2.5953

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-05-09
Maturity Price : 20.50
Evaluated at bid price : 20.50
Bid-YTW : 6.14 %

MFC.PR.F FixedReset Ins Non Quote: 14.73 – 17.65
Spot Rate : 2.9200
Average : 1.8395

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-05-09
Maturity Price : 14.73
Evaluated at bid price : 14.73
Bid-YTW : 6.50 %

BAM.PR.Z FixedReset Disc Quote: 20.57 – 23.29
Spot Rate : 2.7200
Average : 1.6752

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-05-09
Maturity Price : 20.57
Evaluated at bid price : 20.57
Bid-YTW : 7.14 %

NA.PR.G FixedReset Disc Quote: 22.57 – 24.69
Spot Rate : 2.1200
Average : 1.2566

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-05-09
Maturity Price : 22.21
Evaluated at bid price : 22.57
Bid-YTW : 6.19 %

MAPF Performance: April, 2022

May 7th, 2022

Malachite Aggressive Preferred Fund’s Net Asset Value per Unit as of the close April 29, 2022, was $9.3869.

Returns to April 29, 2022
Period MAPF TXPR*
Total Return
CPD – according to Blackrock
One Month -10.63% -7.04% N/A
Three Months -13.45% -9.38% N/A
One Year -0.54% -2.65% -3.13%
Two Years (annualized) +28.11% +14.91% N/A
Three Years (annualized) +8.93% +5.45% +4.84%
Four Years (annualized) +3.10% +2.41% N/A
Five Years (annualized) +5.14% +2.94% +2.37%
Six Years (annualized) +8.31% +5.36% N/A
Seven Years (annualized) +4.23% +2.55% N/A
Eight Years (annualized) +3.68% +1.82% N/A
Nine Years (annualized) +3.42% +1.62% N/A
Ten Years (annualized) +3.97% +1.98% +1.48%
Eleven Years (annualized) +3.97% +2.28%  
Twelve Years (annualized) +5.49% +3.20%  
Thirteen Years (annualized) +7.09% +3.83%  
Fourteen Years (annualized) +7.91% +2.95%  
Fifteen Years (annualized) +7.39%    
Sixteen Years (annualized) +7.34%    
Seventeen Years (annualized) +7.29%    
Eighteen Years (annualized) +7.42%    
Nineteen Years (annualized) +8.30%    
Twenty Years (annualized) +7.96%    
Twenty-One Years (annualized) +8.34%    
MAPF returns assume reinvestment of distributions, and are shown after expenses but before fees.
The BMO Capital Markets “50” Preferred Share Index is no longer being calculated. The final performance report incorporating this venerable index was published as of December, 2020.
“TXPR” is the S&P/TSX Preferred Share Index. It is calculated without accounting for fees, but does assume reinvestment of dividends.
CPD Returns are for the NAV and are after all fees and expenses. Reinvestment of dividends is assumed.
Figures for National Bank Preferred Equity Income Fund (formerly Omega Preferred Equity) (which are after all fees and expenses) for 1-, 3- and 12-months are -7.59%, -10.54% and -1.89%, respectively, according to Globe & Mail / Fundata after all fees & expenses. Three year performance is +6.78%; five year is +3.99%; ten year is +2.96%

Figures from Morningstar are no longer conveniently available.

Manulife Preferred Income Class Adv has been terminated by Manulife. The performance of this fund was last reported here in March, 2018.
Figures for Horizons Active Preferred Share ETF (HPR) (which are after all fees and expenses) for 1-, 3- and 12-months are -7.54%, -10.19% & -2.14%, respectively. Three year performance is +6.59%, five-year is +3.17%, ten year is +2.78%
Figures for National Bank Preferred Equity Fund (formerly Altamira Preferred Equity Fund) are -7.54%, -10.16% and -1.90% for one-, three- and twelve months, respectively. Three year performance is +6.78%; five-year is +3.34%.

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

The last time Altamira Preferred Equity Fund’s performance was reported here was April, 2014; performance under the National Bank banner was first reported here May, 2014.

The figures for the NAV of BMO S&P/TSX Laddered Preferred Share Index ETF (ZPR) is -1.20% for the past twelve months. Two year performance is +18.74%, three year is +6.58%, five year is +3.24%.
Figures for Fiera Canadian Preferred Share Class Cg Series F, (formerly Natixis Canadian Preferred Share Class Series F) (formerly NexGen Canadian Preferred Share Tax Managed Fund) are no longer available as the Fund is now the property of Canoe Financial. The last reported performance for the merged fund was May 2020.
Figures for BMO Preferred Share Fund (advisor series) according to BMO are -7.37%, -9.66% and 5.23% for the past one-, three- and twelve-months, respectively. Two year performance is +13.59%; three year is +3.41%; five-year is +0.18%.
Figures for PowerShares Canadian Preferred Share Index Class, Series F (PPS) are -2.73% for the past twelve months. The three-year figure is +5.51%; five years is +2.64%; ten-year is +1.85%
Figures for the First Asset Preferred Share Investment Trust (PSF.UN) are no longer available since the fund has merged with First Asset Preferred Share ETF (FPR).

Performance for the fund was last reported here in September, 2016; the first report of unavailability was in October, 2016.

Figures for Lysander-Slater Preferred Share Dividend Fund (Class F) according to the company are -7.1%, -9.8% and -0.7% for the past one, three and twelve months, respectively. Three year performance is +5.2%, five-year is +2.3%.

Note that

Figures for the Desjardins Canadian Preferred Share Fund A Class (A Class), as reported by the company are -7.64%, -10.31% and -3.54% for the past one, three and twelve months, respectively. Two year performance is +13.66%, three-year is +4.06%, five-year is +1.35%
Figures for the RBC Canadian Preferred Share ETF (RPF) as reported by Morningstar are -6.95%, -9.56% and -1.84% for the past one, three and twelve months, respectively. Three-year performance is +6.20%; five-year is +2.91%
Figures for the Dynamic Active Preferred Shares ETF (DXP) are -7.0%, -9.7% and -0.2% for the past one, three and twelve months, respectively. Three-year performance is +8.0%; five-year is +4.2%

It was a wild month, with the five-year Canada yield (“GOC-5”) rising from 2.44% at March month-end to 2.68% at March month-end.

The Seniority Spread (between long-term corporate bonds and interest-equivalent PerpetualDiscounts) has been bouncing around the 300bp level recently and is very volatile:

The situation with FixedResets is interesting, with the spread between GOC-5 and the interest-adjusted FixedReset (Discount) rate widening significantly from its 2021-11-10 low of 344bp to its current level of 519bp …

…while at the same time the spread between FixedReset (Discounts) and PerpetualDiscounts has narrowed to -1bp from its 2021-7-28 level of 170bp.

There is no significant correlation between the Issue Reset Spread and 1-month performance for discounted FixedResets, which is normal because there is a lot of noise in this inefficient market:

However, as is also normal, there are moderate correlations (23% and 18%, for Pfd-2 and Pfd-3 issues, respectively) between Issue Reset Spread and three-month performance (the noise cancels out, to some extent):

In last month’s performance review, I noted that there was no significant correlation between performance and term-to-reset, despite a few anecdotal outliers. This month, the tables have turned, for both one-month (correlations of 26% and 28% for Pfd-2 and Pfd-3, respectively):

… and for three-month performance (correlations of an astonishing 60% and 44% for Pfd-2 and Pfd-3 respectively):

This leads to a hypothesis that investors consider the current increase in government yields to be a temporary phenomenon that must be jumped on immediately in order to make any profit; but it should be noted that to some extent such a dependence is justified as the nearer-term issues will receive the benefit of presumably higher dividend rates sooner and therefore, perhaps, for longer. If the hypothesis is correct, however, then why should the issues be going down at all? The contradiction can be resolved only by making inreasingly specific adverse assumptions.

Calculation of MAPF Sustainable Income Per Unit
Month NAVPU Portfolio
Average
YTW
Leverage
Divisor
Securities
Average
YTW
Capital
Gains
Multiplier
Sustainable
Income
per
current
Unit
June, 2007 9.3114 5.16% 1.03 5.01% 1.3240 0.3524
September 9.1489 5.35% 0.98 5.46% 1.3240 0.3773
December, 2007 9.0070 5.53% 0.942 5.87% 1.3240 0.3993
March, 2008 8.8512 6.17% 1.047 5.89% 1.3240 0.3938
June 8.3419 6.034% 0.952 6.338% 1.3240 $0.3993
September 8.1886 7.108% 0.969 7.335% 1.3240 $0.4537
December, 2008 8.0464 9.24% 1.008 9.166% 1.3240 $0.5571
March 2009 $8.8317 8.60% 0.995 8.802% 1.3240 $0.5872
June 10.9846 7.05% 0.999 7.057% 1.3240 $0.5855
September 12.3462 6.03% 0.998 6.042% 1.3240 $0.5634
December 2009 10.5662 5.74% 0.981 5.851% 1.1141 $0.5549
March 2010 10.2497 6.03% 0.992 6.079% 1.1141 $0.5593
June 10.5770 5.96% 0.996 5.984% 1.1141 $0.5681
September 11.3901 5.43% 0.980 5.540% 1.1141 $0.5664
December 2010 10.7659 5.37% 0.993 5.408% 1.0298 $0.5654
March, 2011 11.0560 6.00% 0.994 5.964% 1.0298 $0.6403
June 11.1194 5.87% 1.018 5.976% 1.0298 $0.6453
September 10.2709 6.10%
Note
1.001 6.106% 1.0298 $0.6090
December, 2011 10.0793 5.63%
Note
1.031 5.805% 1.0000 $0.5851
March, 2012 10.3944 5.13%
Note
0.996 5.109% 1.0000 $0.5310
June 10.2151 5.32%
Note
1.012 5.384% 1.0000 $0.5500
September 10.6703 4.61%
Note
0.997 4.624% 1.0000 $0.4934
December, 2012 10.8307 4.24% 0.989 4.287% 1.0000 $0.4643
March, 2013 10.9033 3.87% 0.996 3.886% 1.0000 $0.4237
June 10.3261 4.81% 0.998 4.80% 1.0000 $0.4957
September 10.0296 5.62% 0.996 5.643% 1.0000 $0.5660
December, 2013 9.8717 6.02% 1.008 5.972% 1.0000 $0.5895
March, 2014 10.2233 5.55% 0.998 5.561% 1.0000 $0.5685
June 10.5877 5.09% 0.998 5.100% 1.0000 $0.5395
September 10.4601 5.28% 0.997 5.296% 1.0000 $0.5540
December, 2014 10.5701 4.83% 1.009 4.787% 1.0000 $0.5060
March, 2015 9.9573 4.99% 1.001 4.985% 1.0000 $0.4964
June, 2015 9.4181 5.55% 1.002 5.539% 1.0000 $0.5217
September 7.8140 6.98% 0.999 6.987% 1.0000 $0.5460
December, 2015 8.1379 6.85% 0.997 6.871% 1.0000 $0.5592
March, 2016 7.4416 7.79% 0.998 7.805% 1.0000 $0.5808
June 7.6704 7.67% 1.011 7.587% 1.0000 $0.5819
September 8.0590 7.35% 0.993 7.402% 1.0000 $0.5965
December, 2016 8.5844 7.24% 0.990 7.313% 1.0000 $0.6278
March, 2017 9.3984 6.26% 0.994 6.298% 1.0000 $0.5919
June 9.5313 6.41% 0.998 6.423% 1.0000 $0.6122
September 9.7129 6.56% 0.998 6.573% 1.0000 $0.6384
December, 2017 10.0566 6.06% 1.004 6.036% 1.0000 $0.6070
March, 2018 10.2701 6.22% 1.007 6.177% 1.0000 $0.6344
June 10.2518 6.22% 0.995 6.251% 1.0000 $0.6408
September 10.2965 6.62% 1.018 6.503% 1.0000 $0.6696
December, 2018 8.6875 7.16% 0.997 7.182% 1.0000 $0.6240
March, 2019 8.4778 7.09% 1.007 7.041% 1.0000 $0.5969
June 8.0896 7.33% 0.996 7.359% 1.0000 $0.5953
September 7.7948 7.96% 0.998 7.976% 1.0000 $0.6217
December, 2019 8.0900 6.03% 0.995 6.060% 1.0000 $0.4903
March 5.5596 7.04% 1.006 6.998% 1.0000 $0.3891
June 6.3568 6.10% 0.9900 6.162% 1.0000 $0.3917
September 7.2852 5.32% 1.00 5.320% 1.0000 $0.3876
December, 2020 8.3947 4.46% 0.999 4.464% 1.0000 $0.3747
March, 2021 9.6473 4.48% 0.996 4.498% 1.0000 $0.4339
June 10.3712 3.92% 0.985 3.980% 1.0000 $0.4127
September 10.7572 4.08% 1.017 4.012% 1.0000 $0.4316
December, 2021 10.7432 4.31% 0.999 4.314% 1.0000 $0.4635
March, 2022 10.5040 5.53% 1.004 5.508% 1.0000 $0.5786
April, 2022 9.3869 6.44% 1.000 6.440% 1.0000 $0.6045
NAVPU is shown after quarterly distributions of dividend income and annual distribution of capital gains.
Portfolio YTW includes cash (or margin borrowing), with an assumed interest rate of 0.00%
The Leverage Divisor indicates the level of cash in the account: if the portfolio is 1% in cash, the Leverage Divisor will be 0.99
Securities YTW divides “Portfolio YTW” by the “Leverage Divisor” to show the average YTW on the securities held; this assumes that the cash is invested in (or raised from) all securities held, in proportion to their holdings.
The Capital Gains Multiplier adjusts for the effects of Capital Gains Dividends. On 2009-12-31, there was a capital gains distribution of $1.989262 which is assumed for this purpose to have been reinvested at the final price of $10.5662. Thus, a holder of one unit pre-distribution would have held 1.1883 units post-distribution; the CG Multiplier reflects this to make the time-series comparable. Note that Dividend Distributions are not assumed to be reinvested.
Sustainable Income is the resultant estimate of the fund’s dividend income per current unit, before fees and expenses. Note that a “current unit” includes reinvestment of prior capital gains; a unitholder would have had the calculated sustainable income with only, say, 0.9 units in the past which, with reinvestment of capital gains, would become 1.0 current units.
DeemedRetractibles are comprised of all Straight Perpetuals (both PerpetualDiscount and PerpetualPremium) issued by BMO, BNS, CM, ELF, GWO, HSB, IAG, MFC, NA, RY, SLF and TD, which are not exchangable into common at the option of the company or the regulator (definition refined in May, 2011). These issues are analyzed as if their prospectuses included a requirement to redeem at par on or prior to 2022-1-31 (banks) or the Deemed Maturity date for insurers and insurance holding companies (see below)), in addition to the call schedule explicitly defined. See the Deemed Retractible Review: September 2016 for the rationale behind this analysis.

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

In November, 2019, the assumption of DeemedRetraction for insurance issues was cancelled in the wake of the IAIS decision included in ICS 2.0. This resulted in a large drop in the yield calculated for these issues

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

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

Canada Yields Assumed in Calculations
Month-end GOC-5 3-Month Bill
September, 2015 0.78% 0.40%
December, 2015 0.71% 0.46%
March, 2016 0.70% 0.44%
June 0.57% 0.47%
September 0.58% 0.53%
December, 2016 1.16% 0.47%
March, 2017 1.08% 0.55%
June 1.35% 0.69%
September 1.79% 0.97%
December, 2017 1.83% 1.00%
March, 2018 2.06% 1.08%
June 1.95% 1.22%
September 2.33% 1.55%
December, 2018 1.88% 1.65%
March, 2019 1.46% 1.66%
June 1.34% 1.66%
September 1.41% 1.66%
December, 2019 1.68% 1.68%
March, 2020 0.57% 0.21%
June 0.37% 0.21%
September 0.35% 0.14%
December, 2020 0.42% 0.08%
March, 2021 0.94% 0.09%
June 0.93% 0.13%
September 1.07% 0.13%
December, 2021 1.31% 0.16%
March, 2022 2.44% 0.53%
April, 2022 2.68% 1.34%

May 6, 2022

May 6th, 2022

There was a good jobs number in the US:

On Friday, the Labor Department reported that employers added 428,000 jobs in April, while average hourly earnings rose 5.5 percent from a year ago. While the report showed hiring remains resilient, economists have said that the strong job market and wage acceleration could incentivize the central bank to lift interest rates more aggressively.

The central bank on Wednesday raised interest rates half a percentage point, the biggest increase since 2000. Speaking after the announcement, Jerome H. Powell, the Fed chair, cited the labor market, and in particular the record number of job openings relative to the number of unemployed workers, as a reason policymakers had become more aggressive in recent months.

“You can see that the labor market is out of balance; you can see that there is a labor shortage,” Mr. Powell said. In April, he described the labor market as “unsustainably hot.”

The reaction to the jobs report was evident in the bond market too. The yield on 10-year Treasury notes, a proxy for investor expectations about interest rates, rose to 3.1 percent from 3 percent a day earlier.

Not so good in Canada:

Job creation in Canada slowed substantially in April and work absences due to COVID-19 spiked to near record levels, marking a subdued start to the second quarter but one that’s unlikely to divert the Bank of Canada from its quickest pace of policy tightening in decades.

The economy added 15,300 positions last month, Statistics Canada said Friday, short of the 40,000 jobs that financial analysts on Bay Street had expected. The unemployment rate fell to 5.2 per cent from 5.3 per cent, the lowest in nearly five decades of comparable data.

Hiring activity was closer to a typical month before the pandemic, following a blowout gain of roughly 409,000 positions in February and March combined as pandemic restrictions eased. It was the rare report of late that didn’t speak to sizzling growth in the Canadian economy.

Total hours worked – a metric that economists look to for an indication of economic output – fell 1.9 per cent in April from March, partly because of a spike in illness-related absences from work, Statscan said. Nearly one in 10 employees were absent from work due to illness or disability in April, making it one of the largest months of absence during the pandemic.

Thus far, wage growth has been slow to pick up and doesn’t come close to matching inflation, amounting to a reduction in purchasing power for the average worker. In April, average hourly wages rose 3.3 per cent on an annual basis – similar to March’s 3.4-per-cent pace, but lagging growth in 2019, when the labour market was experiencing similarly tight conditions.

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 3.78 % 4.43 % 22,564 18.52 1 -0.5510 % 2,571.3
FixedFloater 0.00 % 0.00 % 0 0.00 0 -0.3533 % 4,849.6
Floater 4.25 % 4.28 % 50,231 16.83 3 -0.3533 % 2,794.8
OpRet 0.00 % 0.00 % 0 0.00 0 0.1404 % 3,507.0
SplitShare 4.85 % 5.41 % 34,583 3.29 8 0.1404 % 4,188.0
Interest-Bearing 0.00 % 0.00 % 0 0.00 0 0.1404 % 3,267.7
Perpetual-Premium 5.94 % 5.98 % 63,028 13.92 1 -0.1207 % 2,936.9
Perpetual-Discount 5.78 % 5.85 % 65,286 14.11 35 -0.3394 % 3,211.7
FixedReset Disc 4.59 % 5.97 % 129,156 14.15 59 -0.5123 % 2,529.5
Insurance Straight 5.72 % 5.84 % 102,248 14.09 20 -0.5088 % 3,135.3
FloatingReset 4.79 % 5.06 % 65,868 15.37 2 -0.2776 % 2,624.1
FixedReset Prem 5.09 % 5.21 % 138,697 2.10 9 -0.4517 % 2,591.4
FixedReset Bank Non 0.00 % 0.00 % 0 0.00 0 -0.5123 % 2,585.7
FixedReset Ins Non 4.58 % 6.05 % 83,143 13.94 15 -0.3772 % 2,617.9
Performance Highlights
Issue Index Change Notes
MFC.PR.N FixedReset Ins Non -7.01 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-05-06
Maturity Price : 18.70
Evaluated at bid price : 18.70
Bid-YTW : 6.61 %
TD.PF.A FixedReset Disc -4.72 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-05-06
Maturity Price : 20.00
Evaluated at bid price : 20.00
Bid-YTW : 6.11 %
BAM.PF.D Perpetual-Discount -4.16 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-05-06
Maturity Price : 20.27
Evaluated at bid price : 20.27
Bid-YTW : 6.13 %
BIP.PR.A FixedReset Disc -3.77 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-05-06
Maturity Price : 22.42
Evaluated at bid price : 23.00
Bid-YTW : 6.49 %
PWF.PF.A Perpetual-Discount -3.70 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-05-06
Maturity Price : 19.50
Evaluated at bid price : 19.50
Bid-YTW : 5.82 %
BAM.PF.C Perpetual-Discount -3.33 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-05-06
Maturity Price : 20.30
Evaluated at bid price : 20.30
Bid-YTW : 6.06 %
IFC.PR.E Insurance Straight -3.07 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-05-06
Maturity Price : 21.75
Evaluated at bid price : 22.10
Bid-YTW : 5.95 %
MFC.PR.F FixedReset Ins Non -2.95 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-05-06
Maturity Price : 14.80
Evaluated at bid price : 14.80
Bid-YTW : 6.44 %
BAM.PR.X FixedReset Disc -2.85 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-05-06
Maturity Price : 17.41
Evaluated at bid price : 17.41
Bid-YTW : 6.77 %
BAM.PR.N Perpetual-Discount -2.74 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-05-06
Maturity Price : 19.85
Evaluated at bid price : 19.85
Bid-YTW : 6.07 %
BAM.PR.M Perpetual-Discount -2.53 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-05-06
Maturity Price : 20.00
Evaluated at bid price : 20.00
Bid-YTW : 6.02 %
RY.PR.M FixedReset Disc -2.31 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-05-06
Maturity Price : 20.70
Evaluated at bid price : 20.70
Bid-YTW : 5.98 %
TD.PF.D FixedReset Disc -2.21 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-05-06
Maturity Price : 21.35
Evaluated at bid price : 21.66
Bid-YTW : 5.94 %
BAM.PF.I FixedReset Disc -2.16 % YTW SCENARIO
Maturity Type : Call
Maturity Date : 2027-03-31
Maturity Price : 25.00
Evaluated at bid price : 24.90
Bid-YTW : 5.65 %
BAM.PF.A FixedReset Disc -2.04 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-05-06
Maturity Price : 21.95
Evaluated at bid price : 22.53
Bid-YTW : 6.37 %
BAM.PR.B Floater -1.67 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-05-06
Maturity Price : 12.98
Evaluated at bid price : 12.98
Bid-YTW : 4.36 %
RY.PR.Z FixedReset Disc -1.64 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-05-06
Maturity Price : 20.96
Evaluated at bid price : 20.96
Bid-YTW : 5.85 %
CU.PR.I FixedReset Prem -1.64 % YTW SCENARIO
Maturity Type : Call
Maturity Date : 2025-12-01
Maturity Price : 25.00
Evaluated at bid price : 24.60
Bid-YTW : 4.92 %
MFC.PR.L FixedReset Ins Non -1.46 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-05-06
Maturity Price : 19.55
Evaluated at bid price : 19.55
Bid-YTW : 6.29 %
TRP.PR.D FixedReset Disc -1.30 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-05-06
Maturity Price : 19.00
Evaluated at bid price : 19.00
Bid-YTW : 6.71 %
CM.PR.O FixedReset Disc -1.28 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-05-06
Maturity Price : 20.76
Evaluated at bid price : 20.76
Bid-YTW : 6.01 %
RY.PR.O Perpetual-Discount -1.27 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-05-06
Maturity Price : 22.99
Evaluated at bid price : 23.35
Bid-YTW : 5.24 %
GWO.PR.I Insurance Straight -1.27 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-05-06
Maturity Price : 19.50
Evaluated at bid price : 19.50
Bid-YTW : 5.85 %
SLF.PR.C Insurance Straight -1.24 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-05-06
Maturity Price : 19.90
Evaluated at bid price : 19.90
Bid-YTW : 5.67 %
MFC.PR.C Insurance Straight -1.23 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-05-06
Maturity Price : 20.00
Evaluated at bid price : 20.00
Bid-YTW : 5.72 %
MFC.PR.M FixedReset Ins Non -1.22 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-05-06
Maturity Price : 20.20
Evaluated at bid price : 20.20
Bid-YTW : 6.25 %
GWO.PR.Y Insurance Straight -1.21 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-05-06
Maturity Price : 19.61
Evaluated at bid price : 19.61
Bid-YTW : 5.82 %
FTS.PR.M FixedReset Disc -1.18 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-05-06
Maturity Price : 19.30
Evaluated at bid price : 19.30
Bid-YTW : 6.71 %
CM.PR.Q FixedReset Disc -1.14 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-05-06
Maturity Price : 21.30
Evaluated at bid price : 21.60
Bid-YTW : 5.95 %
BIP.PR.B FixedReset Prem -1.13 % YTW SCENARIO
Maturity Type : Call
Maturity Date : 2025-12-31
Maturity Price : 25.00
Evaluated at bid price : 25.40
Bid-YTW : 5.21 %
TRP.PR.F FloatingReset -1.12 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-05-06
Maturity Price : 16.73
Evaluated at bid price : 16.73
Bid-YTW : 5.06 %
TRP.PR.A FixedReset Disc -1.06 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-05-06
Maturity Price : 16.80
Evaluated at bid price : 16.80
Bid-YTW : 6.85 %
TD.PF.E FixedReset Disc -1.04 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-05-06
Maturity Price : 21.46
Evaluated at bid price : 21.81
Bid-YTW : 5.94 %
POW.PR.B Perpetual-Discount -1.04 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-05-06
Maturity Price : 22.60
Evaluated at bid price : 22.85
Bid-YTW : 5.91 %
IFC.PR.F Insurance Straight -1.02 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-05-06
Maturity Price : 22.85
Evaluated at bid price : 23.26
Bid-YTW : 5.75 %
FTS.PR.G FixedReset Disc -1.02 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-05-06
Maturity Price : 19.40
Evaluated at bid price : 19.40
Bid-YTW : 6.47 %
PVS.PR.I SplitShare -1.00 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-10-31
Maturity Price : 25.00
Evaluated at bid price : 24.75
Bid-YTW : 5.34 %
PWF.PR.R Perpetual-Discount 1.06 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-05-06
Maturity Price : 23.59
Evaluated at bid price : 23.86
Bid-YTW : 5.80 %
PWF.PR.P FixedReset Disc 1.45 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-05-06
Maturity Price : 14.71
Evaluated at bid price : 14.71
Bid-YTW : 6.56 %
CU.PR.G Perpetual-Discount 1.53 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-05-06
Maturity Price : 19.95
Evaluated at bid price : 19.95
Bid-YTW : 5.65 %
POW.PR.D Perpetual-Discount 1.62 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-05-06
Maturity Price : 21.75
Evaluated at bid price : 22.00
Bid-YTW : 5.73 %
PVS.PR.F SplitShare 1.81 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2024-09-30
Maturity Price : 25.00
Evaluated at bid price : 25.35
Bid-YTW : 4.55 %
IAF.PR.B Insurance Straight 1.86 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-05-06
Maturity Price : 21.65
Evaluated at bid price : 21.90
Bid-YTW : 5.30 %
BAM.PF.G FixedReset Disc 4.46 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-05-06
Maturity Price : 19.90
Evaluated at bid price : 19.90
Bid-YTW : 6.61 %
CU.PR.E Perpetual-Discount 4.65 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-05-06
Maturity Price : 21.14
Evaluated at bid price : 21.14
Bid-YTW : 5.81 %
IAF.PR.I FixedReset Ins Non 7.00 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-05-06
Maturity Price : 22.95
Evaluated at bid price : 23.54
Bid-YTW : 5.95 %
NA.PR.S FixedReset Disc 7.32 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-05-06
Maturity Price : 21.59
Evaluated at bid price : 22.00
Bid-YTW : 5.80 %
Volume Highlights
Issue Index Shares
Traded
Notes
BMO.PR.C FixedReset Disc 93,100 YTW SCENARIO
Maturity Type : Call
Maturity Date : 2022-06-24
Maturity Price : 25.00
Evaluated at bid price : 24.97
Bid-YTW : 3.68 %
TRP.PR.E FixedReset Disc 55,300 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-05-06
Maturity Price : 18.75
Evaluated at bid price : 18.75
Bid-YTW : 6.68 %
PWF.PR.P FixedReset Disc 25,600 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-05-06
Maturity Price : 14.71
Evaluated at bid price : 14.71
Bid-YTW : 6.56 %
MIC.PR.A Perpetual-Discount 23,791 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-05-06
Maturity Price : 21.87
Evaluated at bid price : 22.20
Bid-YTW : 6.15 %
FTS.PR.H FixedReset Disc 23,000 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-05-06
Maturity Price : 14.40
Evaluated at bid price : 14.40
Bid-YTW : 6.70 %
TRP.PR.D FixedReset Disc 20,605 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-05-06
Maturity Price : 19.00
Evaluated at bid price : 19.00
Bid-YTW : 6.71 %
There were 10 other index-included issues trading in excess of 10,000 shares.
Wide Spread Highlights
Issue Index Quote Data and Yield Notes
PWF.PR.P FixedReset Disc Quote: 14.71 – 17.14
Spot Rate : 2.4300
Average : 1.6346

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-05-06
Maturity Price : 14.71
Evaluated at bid price : 14.71
Bid-YTW : 6.56 %

BAM.PR.M Perpetual-Discount Quote: 20.00 – 21.95
Spot Rate : 1.9500
Average : 1.2627

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-05-06
Maturity Price : 20.00
Evaluated at bid price : 20.00
Bid-YTW : 6.02 %

RY.PR.J FixedReset Disc Quote: 21.53 – 23.75
Spot Rate : 2.2200
Average : 1.5481

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-05-06
Maturity Price : 21.25
Evaluated at bid price : 21.53
Bid-YTW : 5.98 %

TD.PF.A FixedReset Disc Quote: 20.00 – 21.75
Spot Rate : 1.7500
Average : 1.0991

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-05-06
Maturity Price : 20.00
Evaluated at bid price : 20.00
Bid-YTW : 6.11 %

MFC.PR.C Insurance Straight Quote: 20.00 – 21.80
Spot Rate : 1.8000
Average : 1.1974

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-05-06
Maturity Price : 20.00
Evaluated at bid price : 20.00
Bid-YTW : 5.72 %

MFC.PR.N FixedReset Ins Non Quote: 18.70 – 20.47
Spot Rate : 1.7700
Average : 1.3153

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-05-06
Maturity Price : 18.70
Evaluated at bid price : 18.70
Bid-YTW : 6.61 %

May 5, 2022

May 5th, 2022

TXPR closed at 627.81, down 0.74% on the day. Volume today was 1.50-million, third-lowest of the past 21 trading days, ahead of only April 14 and April 18. We are still hanging around price levels experienced on April 25.

CPD closed at 12.48, down 0.48% on the day. Volume was 121,280, near the median of the past 21 trading days.

ZPR closed at 10.45 down 0.38% on the day. Volume of 302,360 was well above the median of the past 21 trading days.

Five-year Canada yields were up 10bp to 2.88% today.

It was a wild day for the markets:

Stocks dove on Thursday, erasing gains from their best day since 2020 in a swing that highlights Wall Street’s heightened anxiety over what the Federal Reserve’s campaign to slow inflation will mean for the economy.

The S&P 500 fell 3.6 percent, after surging 3 percent on Wednesday. The Nasdaq composite slid 5 percent, its biggest drop since June 2020.

The volatility was on display in other financial markets, too. Yields on government bonds spiked, with the rate on 10-year U.S. Treasury notes, a benchmark for borrowing costs across the economy, climbing above 3 percent and touching its highest level since 2018, reversing a drop on Wednesday.

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 3.75 % 4.39 % 22,816 18.59 1 1.8519 % 2,585.5
FixedFloater 0.00 % 0.00 % 0 0.00 0 0.1263 % 4,866.8
Floater 4.24 % 4.28 % 49,593 16.83 3 0.1263 % 2,804.8
OpRet 0.00 % 0.00 % 0 0.00 0 -1.5705 % 3,502.0
SplitShare 4.86 % 5.38 % 33,960 3.30 8 -1.5705 % 4,182.2
Interest-Bearing 0.00 % 0.00 % 0 0.00 0 -1.5705 % 3,263.1
Perpetual-Premium 5.94 % 5.97 % 62,129 13.94 1 -0.0402 % 2,940.5
Perpetual-Discount 5.76 % 5.84 % 64,049 14.11 35 -0.3165 % 3,222.6
FixedReset Disc 4.56 % 5.89 % 133,661 14.04 59 -0.3705 % 2,542.6
Insurance Straight 5.69 % 5.77 % 102,473 14.19 20 -0.2320 % 3,151.4
FloatingReset 4.77 % 5.00 % 67,000 15.47 2 -1.2188 % 2,631.4
FixedReset Prem 5.07 % 4.85 % 140,664 2.10 9 -0.4672 % 2,603.1
FixedReset Bank Non 0.00 % 0.00 % 0 0.00 0 -0.3705 % 2,599.0
FixedReset Ins Non 4.57 % 6.16 % 83,824 13.98 15 -0.2771 % 2,627.8
Performance Highlights
Issue Index Change Notes
IAF.PR.I FixedReset Ins Non -7.83 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-05-05
Maturity Price : 21.61
Evaluated at bid price : 22.00
Bid-YTW : 6.38 %
TRP.PR.B FixedReset Disc -4.81 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-05-05
Maturity Price : 12.85
Evaluated at bid price : 12.85
Bid-YTW : 7.11 %
BAM.PF.G FixedReset Disc -4.51 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-05-05
Maturity Price : 19.05
Evaluated at bid price : 19.05
Bid-YTW : 6.89 %
PVS.PR.G SplitShare -3.98 % YTW SCENARIO
Maturity Type : Option Certainty
Maturity Date : 2026-02-28
Maturity Price : 25.00
Evaluated at bid price : 24.10
Bid-YTW : 6.24 %
PVS.PR.K SplitShare -3.73 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2029-05-31
Maturity Price : 25.00
Evaluated at bid price : 23.20
Bid-YTW : 5.81 %
PWF.PR.P FixedReset Disc -3.40 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-05-05
Maturity Price : 14.50
Evaluated at bid price : 14.50
Bid-YTW : 6.65 %
TRP.PR.C FixedReset Disc -3.18 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-05-05
Maturity Price : 13.70
Evaluated at bid price : 13.70
Bid-YTW : 6.97 %
TRP.PR.A FixedReset Disc -2.86 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-05-05
Maturity Price : 16.98
Evaluated at bid price : 16.98
Bid-YTW : 6.78 %
BMO.PR.S FixedReset Disc -2.51 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-05-05
Maturity Price : 21.35
Evaluated at bid price : 21.35
Bid-YTW : 5.89 %
PVS.PR.H SplitShare -2.01 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2027-02-28
Maturity Price : 25.00
Evaluated at bid price : 24.40
Bid-YTW : 5.48 %
MFC.PR.F FixedReset Ins Non -1.93 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-05-05
Maturity Price : 15.25
Evaluated at bid price : 15.25
Bid-YTW : 6.26 %
SLF.PR.J FloatingReset -1.90 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-05-05
Maturity Price : 15.50
Evaluated at bid price : 15.50
Bid-YTW : 4.63 %
BMO.PR.F FixedReset Prem -1.83 % YTW SCENARIO
Maturity Type : Call
Maturity Date : 2024-05-25
Maturity Price : 25.00
Evaluated at bid price : 24.69
Bid-YTW : 5.63 %
IAF.PR.B Insurance Straight -1.83 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-05-05
Maturity Price : 21.50
Evaluated at bid price : 21.50
Bid-YTW : 5.42 %
SLF.PR.E Insurance Straight -1.70 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-05-05
Maturity Price : 20.25
Evaluated at bid price : 20.25
Bid-YTW : 5.63 %
FTS.PR.H FixedReset Disc -1.69 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-05-05
Maturity Price : 14.50
Evaluated at bid price : 14.50
Bid-YTW : 6.65 %
PWF.PR.S Perpetual-Discount -1.67 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-05-05
Maturity Price : 20.65
Evaluated at bid price : 20.65
Bid-YTW : 5.86 %
CM.PR.P FixedReset Disc -1.61 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-05-05
Maturity Price : 20.81
Evaluated at bid price : 20.81
Bid-YTW : 5.90 %
POW.PR.D Perpetual-Discount -1.59 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-05-05
Maturity Price : 21.38
Evaluated at bid price : 21.65
Bid-YTW : 5.82 %
TRP.PR.E FixedReset Disc -1.57 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-05-05
Maturity Price : 18.85
Evaluated at bid price : 18.85
Bid-YTW : 6.64 %
BAM.PF.E FixedReset Disc -1.55 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-05-05
Maturity Price : 19.00
Evaluated at bid price : 19.00
Bid-YTW : 6.73 %
BAM.PR.X FixedReset Disc -1.54 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-05-05
Maturity Price : 17.92
Evaluated at bid price : 17.92
Bid-YTW : 6.57 %
CM.PR.S FixedReset Disc -1.48 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-05-05
Maturity Price : 22.64
Evaluated at bid price : 23.25
Bid-YTW : 5.66 %
PWF.PF.A Perpetual-Discount -1.46 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-05-05
Maturity Price : 20.25
Evaluated at bid price : 20.25
Bid-YTW : 5.60 %
TRP.PR.G FixedReset Disc -1.42 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-05-05
Maturity Price : 20.80
Evaluated at bid price : 20.80
Bid-YTW : 6.30 %
FTS.PR.G FixedReset Disc -1.36 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-05-05
Maturity Price : 19.60
Evaluated at bid price : 19.60
Bid-YTW : 6.41 %
BAM.PF.B FixedReset Disc -1.33 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-05-05
Maturity Price : 20.75
Evaluated at bid price : 20.75
Bid-YTW : 6.53 %
CU.PR.G Perpetual-Discount -1.26 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-05-05
Maturity Price : 19.65
Evaluated at bid price : 19.65
Bid-YTW : 5.74 %
GWO.PR.P Insurance Straight -1.26 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-05-05
Maturity Price : 23.32
Evaluated at bid price : 23.60
Bid-YTW : 5.78 %
BAM.PR.N Perpetual-Discount -1.16 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-05-05
Maturity Price : 20.41
Evaluated at bid price : 20.41
Bid-YTW : 5.90 %
FTS.PR.M FixedReset Disc -1.11 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-05-05
Maturity Price : 19.53
Evaluated at bid price : 19.53
Bid-YTW : 6.63 %
TD.PF.M FixedReset Prem -1.11 % YTW SCENARIO
Maturity Type : Call
Maturity Date : 2024-07-31
Maturity Price : 25.00
Evaluated at bid price : 24.90
Bid-YTW : 5.36 %
BAM.PR.M Perpetual-Discount -1.11 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-05-05
Maturity Price : 20.52
Evaluated at bid price : 20.52
Bid-YTW : 5.87 %
FTS.PR.K FixedReset Disc -1.08 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-05-05
Maturity Price : 18.40
Evaluated at bid price : 18.40
Bid-YTW : 6.62 %
PVS.PR.J SplitShare -1.03 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2028-02-29
Maturity Price : 25.00
Evaluated at bid price : 24.00
Bid-YTW : 5.38 %
PWF.PR.H Perpetual-Discount -1.01 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-05-05
Maturity Price : 24.15
Evaluated at bid price : 24.40
Bid-YTW : 5.93 %
SLF.PR.G FixedReset Ins Non -1.00 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-05-05
Maturity Price : 14.85
Evaluated at bid price : 14.85
Bid-YTW : 6.42 %
BMO.PR.T FixedReset Disc 1.01 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-05-05
Maturity Price : 21.01
Evaluated at bid price : 21.01
Bid-YTW : 5.83 %
BAM.PR.E Ratchet 1.85 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-05-05
Maturity Price : 25.00
Evaluated at bid price : 18.15
Bid-YTW : 4.39 %
BMO.PR.Y FixedReset Disc 1.90 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-05-05
Maturity Price : 21.40
Evaluated at bid price : 21.40
Bid-YTW : 5.93 %
BAM.PR.Z FixedReset Disc 2.24 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-05-05
Maturity Price : 22.61
Evaluated at bid price : 23.25
Bid-YTW : 6.25 %
IFC.PR.E Insurance Straight 2.70 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-05-05
Maturity Price : 22.45
Evaluated at bid price : 22.80
Bid-YTW : 5.76 %
IFC.PR.G FixedReset Ins Non 2.86 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-05-05
Maturity Price : 21.82
Evaluated at bid price : 22.31
Bid-YTW : 6.06 %
NA.PR.W FixedReset Disc 3.17 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-05-05
Maturity Price : 21.15
Evaluated at bid price : 21.15
Bid-YTW : 5.80 %
CM.PR.O FixedReset Disc 5.15 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-05-05
Maturity Price : 21.03
Evaluated at bid price : 21.03
Bid-YTW : 5.93 %
MFC.PR.N FixedReset Ins Non 7.54 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-05-05
Maturity Price : 20.11
Evaluated at bid price : 20.11
Bid-YTW : 6.16 %
Volume Highlights
Issue Index Shares
Traded
Notes
RS.PR.A SplitShare 82,100 YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-12-31
Maturity Price : 10.00
Evaluated at bid price : 9.98
Bid-YTW : 5.43 %
TRP.PR.K FixedReset Prem 50,000 YTW SCENARIO
Maturity Type : Call
Maturity Date : 2022-06-30
Maturity Price : 25.00
Evaluated at bid price : 25.25
Bid-YTW : 4.38 %
FTS.PR.H FixedReset Disc 30,800 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-05-05
Maturity Price : 14.50
Evaluated at bid price : 14.50
Bid-YTW : 6.65 %
SLF.PR.D Insurance Straight 28,060 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-05-05
Maturity Price : 20.25
Evaluated at bid price : 20.25
Bid-YTW : 5.57 %
BAM.PF.H FixedReset Disc 22,254 YTW SCENARIO
Maturity Type : Call
Maturity Date : 2025-12-31
Maturity Price : 25.00
Evaluated at bid price : 24.85
Bid-YTW : 5.36 %
IFC.PR.C FixedReset Disc 22,054 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-05-05
Maturity Price : 20.53
Evaluated at bid price : 20.53
Bid-YTW : 6.11 %
There were 19 other index-included issues trading in excess of 10,000 shares.
Wide Spread Highlights
Issue Index Quote Data and Yield Notes
IAF.PR.I FixedReset Ins Non Quote: 22.00 – 24.00
Spot Rate : 2.0000
Average : 1.3855

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-05-05
Maturity Price : 21.61
Evaluated at bid price : 22.00
Bid-YTW : 6.38 %

GWO.PR.N FixedReset Ins Non Quote: 14.15 – 16.00
Spot Rate : 1.8500
Average : 1.3120

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-05-05
Maturity Price : 14.15
Evaluated at bid price : 14.15
Bid-YTW : 6.42 %

CU.PR.G Perpetual-Discount Quote: 19.65 – 20.99
Spot Rate : 1.3400
Average : 0.8074

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-05-05
Maturity Price : 19.65
Evaluated at bid price : 19.65
Bid-YTW : 5.74 %

PVS.PR.G SplitShare Quote: 24.10 – 25.70
Spot Rate : 1.6000
Average : 1.1098

YTW SCENARIO
Maturity Type : Option Certainty
Maturity Date : 2026-02-28
Maturity Price : 25.00
Evaluated at bid price : 24.10
Bid-YTW : 6.24 %

IFC.PR.C FixedReset Disc Quote: 20.53 – 22.25
Spot Rate : 1.7200
Average : 1.2698

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-05-05
Maturity Price : 20.53
Evaluated at bid price : 20.53
Bid-YTW : 6.11 %

BAM.PF.G FixedReset Disc Quote: 19.05 – 20.40
Spot Rate : 1.3500
Average : 0.9084

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-05-05
Maturity Price : 19.05
Evaluated at bid price : 19.05
Bid-YTW : 6.89 %

ENB.PR.U To Be Redeemed

May 4th, 2022

Enbridge Inc. has announced:

that it has exercised its right to redeem all of its outstanding Cumulative Redeemable Preference Shares, Series J (“Series J Shares”) (TSX: ENB.PR.U) on June 1, 2022 at a price of US$25.00 per Series J Share, together with all accrued and unpaid dividends, if any.

Beneficial holders who are not directly the registered holders of the Series J Shares should contact the financial institution, broker or other intermediary through which they hold their Series J Shares to confirm how they will receive their redemption proceeds. Inquiries from registered shareholders should be directed to Enbridge’s Registrar and Transfer Agent, Computershare Investor Services Inc., at 1-800-564-6253 (Canada and United States) or 1-514-982-7555 (Outside North America).

ENB.PR.U is a FixedReset, 4.00%+305, US-Pay, that commenced trading 2012-4-19 after being announced 2012-4-10. The issue reset to 4.89% in 2017.

Thanks to Assiduous Reader skeptical for ensuring I was aware of this redemption.

The market was certainly not expecting this, as ENB.PR.U was up 13.65% on the day to close at 25.23 and related issues – denominated in USD – performed similarly well: ENB.PR.V up 9.48% to 24.26; ENB.PF.U up 10.79% to 24.54; and ENB.PF.V up 9.88% to 22.80; all hitting new 52-week highs on the day.

May 4, 2022

May 4th, 2022

TXPR closed at 632.49, up 0.52% on the day. Volume today was 2.39-million, about the median of the past 21 trading days. Today’s performance, the fifth consecutive gaining day, regains lost ground all the way back to April 25.

CPD closed at 12.54, up 0.53% on the day. Volume was 124,810, near the median of the past 21 trading days.

ZPR closed at 10.485 down 0.10% on the day. Volume of 163,920 was a little below the median of the past 21 trading days.

Five-year Canada yields were down to 2.78% today.

It is interesting to note that the three month bill yield has declined to 1.44%; I suspect it’s a flight to quality, but still indicates a strong conviction that we will see a 50bp hike at the beginning of June, with probably more to come in mid-July.

The FOMC hiked its policy rate 50bp:

Although overall economic activity edged down in the first quarter, household spending and business fixed investment remained strong. Job gains have been robust in recent months, and the unemployment rate has declined substantially. Inflation remains elevated, reflecting supply and demand imbalances related to the pandemic, higher energy prices, and broader price pressures.

The invasion of Ukraine by Russia is causing tremendous human and economic hardship. The implications for the U.S. economy are highly uncertain. The invasion and related events are creating additional upward pressure on inflation and are likely to weigh on economic activity. In addition, COVID-related lockdowns in China are likely to exacerbate supply chain disruptions. The Committee is highly attentive to inflation risks.

The Committee seeks to achieve maximum employment and inflation at the rate of 2 percent over the longer run. With appropriate firming in the stance of monetary policy, the Committee expects inflation to return to its 2 percent objective and the labor market to remain strong. In support of these goals, the Committee decided to raise the target range for the federal funds rate to 3/4 to 1 percent and anticipates that ongoing increases in the target range will be appropriate. In addition, the Committee decided to begin reducing its holdings of Treasury securities and agency debt and agency mortgage-backed securities on June 1, as described in the Plans for Reducing the Size of the Federal Reserve’s Balance Sheet that were issued in conjunction with this statement.

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

Voting for the monetary policy action were Jerome H. Powell, Chair; John C. Williams, Vice Chair; Michelle W. Bowman; Lael Brainard; James Bullard; Esther L. George; Patrick Harker; Loretta J. Mester; and Christopher J. Waller. Patrick Harker voted as an alternate member at this meeting.

This move has been so thoroughly discounted that the announcement was actually good for equities:

Stocks on Wall Street had their best day since 2020 on Wednesday, after Jerome H. Powell, the Federal Reserve chair, said that central bankers weren’t considering exceptionally large increases in interest rates, calming investors who had begun to worry that the fight against inflation might push the economy into a recession.

The S&P 500 rose 3 percent, the biggest jump since May 2020, spiking after Mr. Powell’s comment. Earlier on Wednesday, the Fed said it would lift interest rates by half a percentage point, an increase that was widely expected, and that it plans to shrink its bond holdings.

Bond yields, a proxy for investor expectations about interest rates, ticked lower. The yield on 10-year Treasury notes fell eight basis points, or 0.08 percentage points, to 2.92 percent.

PerpetualDiscounts now yield 5.83%, equivalent to 7.58% interest at the standard equivalency factor of 1.3x. Long corporates now yield 4.85%, so the pre-tax interest-equivalent spread (in this context, the “Seniority Spread”) has reverted to 275bp from the 320bp reported April 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 3.80 % 4.48 % 23,787 18.50 1 -1.0000 % 2,538.5
FixedFloater 0.00 % 0.00 % 0 0.00 0 -0.5278 % 4,860.7
Floater 4.24 % 4.27 % 50,222 16.84 3 -0.5278 % 2,801.2
OpRet 0.00 % 0.00 % 0 0.00 0 -0.2706 % 3,557.9
SplitShare 4.78 % 5.00 % 33,923 3.30 8 -0.2706 % 4,248.9
Interest-Bearing 0.00 % 0.00 % 0 0.00 0 -0.2706 % 3,315.2
Perpetual-Premium 5.93 % 5.97 % 62,855 13.94 1 -0.5600 % 2,941.7
Perpetual-Discount 5.74 % 5.83 % 63,968 14.14 35 -0.1041 % 3,232.8
FixedReset Disc 4.55 % 5.89 % 138,611 14.00 59 0.6885 % 2,552.0
Insurance Straight 5.68 % 5.79 % 103,660 14.20 20 0.2256 % 3,158.7
FloatingReset 4.72 % 4.97 % 68,103 15.53 2 2.5625 % 2,663.9
FixedReset Prem 5.04 % 4.66 % 141,913 2.11 9 -0.0132 % 2,615.4
FixedReset Bank Non 0.00 % 0.00 % 0 0.00 0 0.6885 % 2,608.7
FixedReset Ins Non 4.55 % 6.12 % 84,525 14.07 15 0.5607 % 2,635.1
Performance Highlights
Issue Index Change Notes
MFC.PR.N FixedReset Ins Non -6.97 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-05-04
Maturity Price : 18.70
Evaluated at bid price : 18.70
Bid-YTW : 6.61 %
IFC.PR.G FixedReset Ins Non -5.28 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-05-04
Maturity Price : 21.38
Evaluated at bid price : 21.69
Bid-YTW : 6.24 %
CM.PR.O FixedReset Disc -4.76 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-05-04
Maturity Price : 20.00
Evaluated at bid price : 20.00
Bid-YTW : 6.23 %
CU.PR.E Perpetual-Discount -3.68 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-05-04
Maturity Price : 20.19
Evaluated at bid price : 20.19
Bid-YTW : 6.08 %
IFC.PR.E Insurance Straight -2.63 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-05-04
Maturity Price : 21.94
Evaluated at bid price : 22.20
Bid-YTW : 5.92 %
BMO.PR.Y FixedReset Disc -2.33 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-05-04
Maturity Price : 21.00
Evaluated at bid price : 21.00
Bid-YTW : 6.04 %
RS.PR.A SplitShare -1.76 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-12-31
Maturity Price : 10.00
Evaluated at bid price : 10.07
Bid-YTW : 5.15 %
GWO.PR.G Insurance Straight -1.64 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-05-04
Maturity Price : 21.94
Evaluated at bid price : 22.17
Bid-YTW : 5.93 %
RY.PR.J FixedReset Disc -1.41 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-05-04
Maturity Price : 21.32
Evaluated at bid price : 21.62
Bid-YTW : 5.95 %
BAM.PR.C Floater -1.35 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-05-04
Maturity Price : 13.11
Evaluated at bid price : 13.11
Bid-YTW : 4.31 %
TD.PF.I FixedReset Disc -1.17 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-05-04
Maturity Price : 23.69
Evaluated at bid price : 24.41
Bid-YTW : 5.96 %
IFC.PR.F Insurance Straight -1.05 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-05-04
Maturity Price : 23.02
Evaluated at bid price : 23.45
Bid-YTW : 5.70 %
BAM.PR.E Ratchet -1.00 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-05-04
Maturity Price : 25.00
Evaluated at bid price : 17.82
Bid-YTW : 4.48 %
GWO.PR.N FixedReset Ins Non 1.14 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-05-04
Maturity Price : 14.21
Evaluated at bid price : 14.21
Bid-YTW : 6.39 %
BAM.PF.G FixedReset Disc 1.17 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-05-04
Maturity Price : 19.95
Evaluated at bid price : 19.95
Bid-YTW : 6.59 %
NA.PR.W FixedReset Disc 1.23 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-05-04
Maturity Price : 20.50
Evaluated at bid price : 20.50
Bid-YTW : 5.98 %
MFC.PR.K FixedReset Ins Non 1.27 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-05-04
Maturity Price : 21.29
Evaluated at bid price : 21.57
Bid-YTW : 5.88 %
MFC.PR.M FixedReset Ins Non 1.28 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-05-04
Maturity Price : 20.60
Evaluated at bid price : 20.60
Bid-YTW : 6.12 %
TD.PF.C FixedReset Disc 1.29 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-05-04
Maturity Price : 21.25
Evaluated at bid price : 21.25
Bid-YTW : 5.78 %
PWF.PR.T FixedReset Disc 1.29 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-05-04
Maturity Price : 21.17
Evaluated at bid price : 21.17
Bid-YTW : 6.06 %
TRP.PR.G FixedReset Disc 1.44 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-05-04
Maturity Price : 21.10
Evaluated at bid price : 21.10
Bid-YTW : 6.22 %
MFC.PR.F FixedReset Ins Non 1.50 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-05-04
Maturity Price : 15.55
Evaluated at bid price : 15.55
Bid-YTW : 6.15 %
BIP.PR.E FixedReset Disc 1.52 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-05-04
Maturity Price : 24.25
Evaluated at bid price : 24.70
Bid-YTW : 5.92 %
BAM.PF.B FixedReset Disc 1.59 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-05-04
Maturity Price : 21.03
Evaluated at bid price : 21.03
Bid-YTW : 6.44 %
BAM.PF.F FixedReset Disc 1.69 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-05-04
Maturity Price : 21.10
Evaluated at bid price : 21.10
Bid-YTW : 6.54 %
RY.PR.O Perpetual-Discount 1.81 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-05-04
Maturity Price : 23.22
Evaluated at bid price : 23.67
Bid-YTW : 5.16 %
CU.PR.J Perpetual-Discount 1.89 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-05-04
Maturity Price : 20.55
Evaluated at bid price : 20.55
Bid-YTW : 5.79 %
CU.PR.G Perpetual-Discount 1.93 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-05-04
Maturity Price : 19.90
Evaluated at bid price : 19.90
Bid-YTW : 5.66 %
SLF.PR.J FloatingReset 1.94 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-05-04
Maturity Price : 15.80
Evaluated at bid price : 15.80
Bid-YTW : 4.54 %
TD.PF.A FixedReset Disc 2.12 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-05-04
Maturity Price : 21.20
Evaluated at bid price : 21.20
Bid-YTW : 5.77 %
RY.PR.S FixedReset Disc 2.13 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-05-04
Maturity Price : 23.65
Evaluated at bid price : 24.00
Bid-YTW : 5.39 %
MFC.PR.I FixedReset Ins Non 2.13 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-05-04
Maturity Price : 23.65
Evaluated at bid price : 24.45
Bid-YTW : 5.85 %
PWF.PF.A Perpetual-Discount 2.24 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-05-04
Maturity Price : 20.55
Evaluated at bid price : 20.55
Bid-YTW : 5.52 %
BMO.PR.S FixedReset Disc 2.34 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-05-04
Maturity Price : 21.52
Evaluated at bid price : 21.90
Bid-YTW : 5.72 %
TRP.PR.B FixedReset Disc 2.35 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-05-04
Maturity Price : 13.50
Evaluated at bid price : 13.50
Bid-YTW : 6.79 %
GWO.PR.P Insurance Straight 2.49 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-05-04
Maturity Price : 23.63
Evaluated at bid price : 23.90
Bid-YTW : 5.71 %
BAM.PR.X FixedReset Disc 2.54 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-05-04
Maturity Price : 18.20
Evaluated at bid price : 18.20
Bid-YTW : 6.47 %
MFC.PR.J FixedReset Ins Non 2.59 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-05-04
Maturity Price : 22.80
Evaluated at bid price : 23.39
Bid-YTW : 5.85 %
TRP.PR.D FixedReset Disc 2.72 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-05-04
Maturity Price : 19.26
Evaluated at bid price : 19.26
Bid-YTW : 6.62 %
TRP.PR.F FloatingReset 3.15 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-05-04
Maturity Price : 17.02
Evaluated at bid price : 17.02
Bid-YTW : 4.97 %
BNS.PR.I FixedReset Disc 3.16 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-05-04
Maturity Price : 23.42
Evaluated at bid price : 23.80
Bid-YTW : 5.52 %
GWO.PR.S Insurance Straight 3.18 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-05-04
Maturity Price : 22.26
Evaluated at bid price : 22.70
Bid-YTW : 5.84 %
PWF.PR.P FixedReset Disc 3.52 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-05-04
Maturity Price : 15.01
Evaluated at bid price : 15.01
Bid-YTW : 6.44 %
MFC.PR.Q FixedReset Ins Non 4.04 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-05-04
Maturity Price : 22.70
Evaluated at bid price : 23.20
Bid-YTW : 5.82 %
IAF.PR.B Insurance Straight 4.29 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-05-04
Maturity Price : 21.65
Evaluated at bid price : 21.90
Bid-YTW : 5.30 %
IAF.PR.I FixedReset Ins Non 4.92 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-05-04
Maturity Price : 23.29
Evaluated at bid price : 23.87
Bid-YTW : 5.86 %
BAM.PR.T FixedReset Disc 5.46 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-05-04
Maturity Price : 18.35
Evaluated at bid price : 18.35
Bid-YTW : 6.54 %
BAM.PR.Z FixedReset Disc 10.66 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-05-04
Maturity Price : 22.10
Evaluated at bid price : 22.74
Bid-YTW : 6.39 %
Volume Highlights
Issue Index Shares
Traded
Notes
GWO.PR.Y Insurance Straight 332,350 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-05-04
Maturity Price : 19.76
Evaluated at bid price : 19.76
Bid-YTW : 5.77 %
CM.PR.R FixedReset Disc 146,600 YTW SCENARIO
Maturity Type : Call
Maturity Date : 2022-07-31
Maturity Price : 25.00
Evaluated at bid price : 25.00
Bid-YTW : 4.75 %
TRP.PR.B FixedReset Disc 125,820 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-05-04
Maturity Price : 13.50
Evaluated at bid price : 13.50
Bid-YTW : 6.79 %
TRP.PR.C FixedReset Disc 110,000 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-05-04
Maturity Price : 14.15
Evaluated at bid price : 14.15
Bid-YTW : 6.77 %
RY.PR.Z FixedReset Disc 29,712 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-05-04
Maturity Price : 21.39
Evaluated at bid price : 21.39
Bid-YTW : 5.73 %
TRP.PR.E FixedReset Disc 28,527 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-05-04
Maturity Price : 19.15
Evaluated at bid price : 19.15
Bid-YTW : 6.54 %
There were 14 other index-included issues trading in excess of 10,000 shares.
Wide Spread Highlights
Issue Index Quote Data and Yield Notes
IFC.PR.G FixedReset Ins Non Quote: 21.69 – 23.75
Spot Rate : 2.0600
Average : 1.2506

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-05-04
Maturity Price : 21.38
Evaluated at bid price : 21.69
Bid-YTW : 6.24 %

CM.PR.O FixedReset Disc Quote: 20.00 – 22.00
Spot Rate : 2.0000
Average : 1.3225

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-05-04
Maturity Price : 20.00
Evaluated at bid price : 20.00
Bid-YTW : 6.23 %

MFC.PR.N FixedReset Ins Non Quote: 18.70 – 20.58
Spot Rate : 1.8800
Average : 1.2187

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-05-04
Maturity Price : 18.70
Evaluated at bid price : 18.70
Bid-YTW : 6.61 %

NA.PR.S FixedReset Disc Quote: 20.50 – 23.00
Spot Rate : 2.5000
Average : 1.9702

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-05-04
Maturity Price : 20.50
Evaluated at bid price : 20.50
Bid-YTW : 6.24 %

CU.PR.E Perpetual-Discount Quote: 20.19 – 21.80
Spot Rate : 1.6100
Average : 1.0931

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-05-04
Maturity Price : 20.19
Evaluated at bid price : 20.19
Bid-YTW : 6.08 %

BAM.PF.B FixedReset Disc Quote: 21.03 – 22.90
Spot Rate : 1.8700
Average : 1.3695

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-05-04
Maturity Price : 21.03
Evaluated at bid price : 21.03
Bid-YTW : 6.44 %

May 3, 2022

May 4th, 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 3.75 % 4.41 % 24,812 18.60 1 0.5587 % 2,564.2
FixedFloater 0.00 % 0.00 % 0 0.00 0 1.5051 % 4,886.4
Floater 4.22 % 4.25 % 52,367 16.89 3 1.5051 % 2,816.1
OpRet 0.00 % 0.00 % 0 0.00 0 0.3723 % 3,567.6
SplitShare 4.77 % 4.88 % 35,335 3.31 8 0.3723 % 4,260.4
Interest-Bearing 0.00 % 0.00 % 0 0.00 0 0.3723 % 3,324.2
Perpetual-Premium 5.90 % 5.93 % 63,117 13.99 1 0.0000 % 2,958.2
Perpetual-Discount 5.74 % 5.83 % 65,044 14.12 35 0.5427 % 3,236.2
FixedReset Disc 4.58 % 5.88 % 141,243 14.09 59 1.7173 % 2,534.6
Insurance Straight 5.69 % 5.79 % 105,113 14.20 20 0.5184 % 3,151.6
FloatingReset 4.84 % 5.13 % 68,933 15.25 2 -2.3497 % 2,597.3
FixedReset Prem 5.04 % 4.74 % 143,460 2.11 9 -0.0176 % 2,615.7
FixedReset Bank Non 0.00 % 0.00 % 0 0.00 0 1.7173 % 2,590.8
FixedReset Ins Non 4.58 % 6.15 % 85,810 13.90 15 0.9174 % 2,620.4
Performance Highlights
Issue Index Change Notes
BAM.PR.Z FixedReset Disc -8.26 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-05-03
Maturity Price : 20.55
Evaluated at bid price : 20.55
Bid-YTW : 7.11 %
SLF.PR.J FloatingReset -3.13 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-05-03
Maturity Price : 15.50
Evaluated at bid price : 15.50
Bid-YTW : 4.63 %
GWO.PR.S Insurance Straight -2.65 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-05-03
Maturity Price : 21.66
Evaluated at bid price : 22.00
Bid-YTW : 6.03 %
TRP.PR.F FloatingReset -1.61 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-05-03
Maturity Price : 16.50
Evaluated at bid price : 16.50
Bid-YTW : 5.13 %
IAF.PR.I FixedReset Ins Non -1.56 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-05-03
Maturity Price : 22.10
Evaluated at bid price : 22.75
Bid-YTW : 6.15 %
PWF.PR.Z Perpetual-Discount -1.12 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-05-03
Maturity Price : 21.67
Evaluated at bid price : 22.00
Bid-YTW : 5.88 %
CU.PR.J Perpetual-Discount -1.07 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-05-03
Maturity Price : 20.43
Evaluated at bid price : 20.43
Bid-YTW : 5.93 %
BNS.PR.I FixedReset Disc -1.03 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-05-03
Maturity Price : 22.70
Evaluated at bid price : 23.07
Bid-YTW : 5.69 %
GWO.PR.L Insurance Straight 1.04 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-05-03
Maturity Price : 24.00
Evaluated at bid price : 24.25
Bid-YTW : 5.89 %
IFC.PR.F Insurance Straight 1.07 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-05-03
Maturity Price : 23.25
Evaluated at bid price : 23.70
Bid-YTW : 5.64 %
TRP.PR.B FixedReset Disc 1.07 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-05-03
Maturity Price : 13.19
Evaluated at bid price : 13.19
Bid-YTW : 6.94 %
FTS.PR.K FixedReset Disc 1.09 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-05-03
Maturity Price : 18.60
Evaluated at bid price : 18.60
Bid-YTW : 6.55 %
BAM.PR.B Floater 1.15 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-05-03
Maturity Price : 13.20
Evaluated at bid price : 13.20
Bid-YTW : 4.28 %
MFC.PR.I FixedReset Ins Non 1.18 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-05-03
Maturity Price : 23.09
Evaluated at bid price : 23.94
Bid-YTW : 5.98 %
MFC.PR.M FixedReset Ins Non 1.24 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-05-03
Maturity Price : 20.34
Evaluated at bid price : 20.34
Bid-YTW : 6.20 %
SLF.PR.C Insurance Straight 1.25 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-05-03
Maturity Price : 20.30
Evaluated at bid price : 20.30
Bid-YTW : 5.55 %
NA.PR.W FixedReset Disc 1.25 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-05-03
Maturity Price : 20.25
Evaluated at bid price : 20.25
Bid-YTW : 6.05 %
SLF.PR.D Insurance Straight 1.25 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-05-03
Maturity Price : 20.21
Evaluated at bid price : 20.21
Bid-YTW : 5.58 %
GWO.PR.G Insurance Straight 1.26 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-05-03
Maturity Price : 22.27
Evaluated at bid price : 22.54
Bid-YTW : 5.83 %
PWF.PR.L Perpetual-Discount 1.34 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-05-03
Maturity Price : 21.75
Evaluated at bid price : 22.00
Bid-YTW : 5.83 %
MFC.PR.Q FixedReset Ins Non 1.36 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-05-03
Maturity Price : 21.81
Evaluated at bid price : 22.30
Bid-YTW : 6.06 %
BAM.PF.J FixedReset Disc 1.37 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-05-03
Maturity Price : 23.90
Evaluated at bid price : 24.50
Bid-YTW : 6.07 %
TD.PF.D FixedReset Disc 1.37 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-05-03
Maturity Price : 21.84
Evaluated at bid price : 22.15
Bid-YTW : 5.81 %
BAM.PF.F FixedReset Disc 1.42 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-05-03
Maturity Price : 20.75
Evaluated at bid price : 20.75
Bid-YTW : 6.64 %
BAM.PR.N Perpetual-Discount 1.43 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-05-03
Maturity Price : 20.50
Evaluated at bid price : 20.50
Bid-YTW : 5.87 %
SLF.PR.E Insurance Straight 1.44 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-05-03
Maturity Price : 20.40
Evaluated at bid price : 20.40
Bid-YTW : 5.59 %
MFC.PR.N FixedReset Ins Non 1.57 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-05-03
Maturity Price : 20.10
Evaluated at bid price : 20.10
Bid-YTW : 6.16 %
BMO.PR.Y FixedReset Disc 1.61 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-05-03
Maturity Price : 21.50
Evaluated at bid price : 21.50
Bid-YTW : 5.90 %
TD.PF.B FixedReset Disc 1.64 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-05-03
Maturity Price : 21.10
Evaluated at bid price : 21.10
Bid-YTW : 5.85 %
BAM.PR.K Floater 1.68 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-05-03
Maturity Price : 13.30
Evaluated at bid price : 13.30
Bid-YTW : 4.25 %
BAM.PR.C Floater 1.68 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-05-03
Maturity Price : 13.29
Evaluated at bid price : 13.29
Bid-YTW : 4.25 %
BMO.PR.W FixedReset Disc 1.69 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-05-03
Maturity Price : 21.00
Evaluated at bid price : 21.00
Bid-YTW : 5.82 %
BAM.PF.I FixedReset Disc 1.71 % YTW SCENARIO
Maturity Type : Call
Maturity Date : 2027-03-31
Maturity Price : 25.00
Evaluated at bid price : 25.53
Bid-YTW : 5.04 %
BMO.PR.S FixedReset Disc 1.86 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-05-03
Maturity Price : 21.40
Evaluated at bid price : 21.40
Bid-YTW : 5.87 %
NA.PR.E FixedReset Disc 1.89 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-05-03
Maturity Price : 22.70
Evaluated at bid price : 23.23
Bid-YTW : 5.78 %
PVS.PR.K SplitShare 1.89 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2029-05-31
Maturity Price : 25.00
Evaluated at bid price : 24.25
Bid-YTW : 5.06 %
PWF.PR.S Perpetual-Discount 1.94 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-05-03
Maturity Price : 21.05
Evaluated at bid price : 21.05
Bid-YTW : 5.74 %
BAM.PF.A FixedReset Disc 2.04 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-05-03
Maturity Price : 22.62
Evaluated at bid price : 23.05
Bid-YTW : 6.23 %
MFC.PR.L FixedReset Ins Non 2.05 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-05-03
Maturity Price : 19.95
Evaluated at bid price : 19.95
Bid-YTW : 6.16 %
FTS.PR.G FixedReset Disc 2.07 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-05-03
Maturity Price : 19.75
Evaluated at bid price : 19.75
Bid-YTW : 6.35 %
TRP.PR.C FixedReset Disc 2.09 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-05-03
Maturity Price : 14.15
Evaluated at bid price : 14.15
Bid-YTW : 6.77 %
BAM.PF.D Perpetual-Discount 2.11 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-05-03
Maturity Price : 21.30
Evaluated at bid price : 21.30
Bid-YTW : 5.83 %
MFC.PR.K FixedReset Ins Non 2.16 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-05-03
Maturity Price : 21.30
Evaluated at bid price : 21.30
Bid-YTW : 5.97 %
TD.PF.J FixedReset Disc 2.17 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-05-03
Maturity Price : 23.47
Evaluated at bid price : 24.01
Bid-YTW : 5.74 %
CM.PR.S FixedReset Disc 2.17 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-05-03
Maturity Price : 22.86
Evaluated at bid price : 23.50
Bid-YTW : 5.59 %
TD.PF.E FixedReset Disc 2.18 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-05-03
Maturity Price : 21.72
Evaluated at bid price : 22.00
Bid-YTW : 5.89 %
PWF.PF.A Perpetual-Discount 2.19 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-05-03
Maturity Price : 20.10
Evaluated at bid price : 20.10
Bid-YTW : 5.64 %
CM.PR.P FixedReset Disc 2.34 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-05-03
Maturity Price : 21.00
Evaluated at bid price : 21.00
Bid-YTW : 5.85 %
BAM.PF.E FixedReset Disc 2.39 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-05-03
Maturity Price : 19.25
Evaluated at bid price : 19.25
Bid-YTW : 6.64 %
TD.PF.K FixedReset Disc 2.41 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-05-03
Maturity Price : 22.97
Evaluated at bid price : 23.40
Bid-YTW : 5.75 %
CCS.PR.C Insurance Straight 2.43 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-05-03
Maturity Price : 22.55
Evaluated at bid price : 22.80
Bid-YTW : 5.54 %
TRP.PR.A FixedReset Disc 2.54 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-05-03
Maturity Price : 17.35
Evaluated at bid price : 17.35
Bid-YTW : 6.63 %
NA.PR.G FixedReset Disc 2.58 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-05-03
Maturity Price : 23.49
Evaluated at bid price : 23.90
Bid-YTW : 5.81 %
PWF.PR.T FixedReset Disc 2.70 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-05-03
Maturity Price : 20.90
Evaluated at bid price : 20.90
Bid-YTW : 6.14 %
BMO.PR.E FixedReset Disc 2.75 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-05-03
Maturity Price : 23.50
Evaluated at bid price : 23.90
Bid-YTW : 5.71 %
BAM.PR.R FixedReset Disc 2.88 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-05-03
Maturity Price : 17.85
Evaluated at bid price : 17.85
Bid-YTW : 6.58 %
TRP.PR.E FixedReset Disc 2.96 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-05-03
Maturity Price : 19.15
Evaluated at bid price : 19.15
Bid-YTW : 6.54 %
BAM.PF.C Perpetual-Discount 3.18 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-05-03
Maturity Price : 21.10
Evaluated at bid price : 21.10
Bid-YTW : 5.82 %
FTS.PR.H FixedReset Disc 3.51 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-05-03
Maturity Price : 14.75
Evaluated at bid price : 14.75
Bid-YTW : 6.55 %
IFC.PR.G FixedReset Ins Non 4.09 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-05-03
Maturity Price : 22.43
Evaluated at bid price : 22.90
Bid-YTW : 5.90 %
BMO.PR.T FixedReset Disc 4.25 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-05-03
Maturity Price : 20.87
Evaluated at bid price : 20.87
Bid-YTW : 5.87 %
CM.PR.Q FixedReset Disc 4.51 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-05-03
Maturity Price : 21.73
Evaluated at bid price : 22.00
Bid-YTW : 5.84 %
TRP.PR.G FixedReset Disc 69.24 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-05-03
Maturity Price : 20.80
Evaluated at bid price : 20.80
Bid-YTW : 6.30 %
Volume Highlights
Issue Index Shares
Traded
Notes
BMO.PR.S FixedReset Disc 59,500 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-05-03
Maturity Price : 21.40
Evaluated at bid price : 21.40
Bid-YTW : 5.87 %
MFC.PR.Q FixedReset Ins Non 57,840 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-05-03
Maturity Price : 21.81
Evaluated at bid price : 22.30
Bid-YTW : 6.06 %
BAM.PR.X FixedReset Disc 47,462 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-05-03
Maturity Price : 17.75
Evaluated at bid price : 17.75
Bid-YTW : 6.63 %
CM.PR.R FixedReset Disc 30,602 YTW SCENARIO
Maturity Type : Call
Maturity Date : 2022-07-31
Maturity Price : 25.00
Evaluated at bid price : 24.99
Bid-YTW : 4.86 %
TD.PF.D FixedReset Disc 27,908 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-05-03
Maturity Price : 21.84
Evaluated at bid price : 22.15
Bid-YTW : 5.81 %
TD.PF.J FixedReset Disc 26,900 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-05-03
Maturity Price : 23.47
Evaluated at bid price : 24.01
Bid-YTW : 5.74 %
There were 20 other index-included issues trading in excess of 10,000 shares.
Wide Spread Highlights
Issue Index Quote Data and Yield Notes
BAM.PR.Z FixedReset Disc Quote: 20.55 – 23.65
Spot Rate : 3.1000
Average : 1.9058

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-05-03
Maturity Price : 20.55
Evaluated at bid price : 20.55
Bid-YTW : 7.11 %

IFC.PR.C FixedReset Disc Quote: 20.46 – 22.25
Spot Rate : 1.7900
Average : 1.0792

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-05-03
Maturity Price : 20.46
Evaluated at bid price : 20.46
Bid-YTW : 6.13 %

MFC.PR.L FixedReset Ins Non Quote: 19.95 – 23.50
Spot Rate : 3.5500
Average : 2.9820

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-05-03
Maturity Price : 19.95
Evaluated at bid price : 19.95
Bid-YTW : 6.16 %

IFC.PR.A FixedReset Ins Non Quote: 18.50 – 19.85
Spot Rate : 1.3500
Average : 0.8736

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-05-03
Maturity Price : 18.50
Evaluated at bid price : 18.50
Bid-YTW : 6.19 %

IAF.PR.I FixedReset Ins Non Quote: 22.75 – 24.24
Spot Rate : 1.4900
Average : 1.0753

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-05-03
Maturity Price : 22.10
Evaluated at bid price : 22.75
Bid-YTW : 6.15 %

POW.PR.A Perpetual-Discount Quote: 24.20 – 25.30
Spot Rate : 1.1000
Average : 0.7688

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-05-03
Maturity Price : 23.95
Evaluated at bid price : 24.20
Bid-YTW : 5.83 %

May 2, 2022

May 2nd, 2022

Some landlords are learning the risks of investing with a negative carry:

In recent years, many mom-and-pop real estate investors in the two cities have been quietly paying more in mortgage and other ownership costs than they receive in rent, trusting they’d eventually sell at a profit thanks to rapidly rising home values, experts say.

But as interest rates shoot up and price growth slows, some highly indebted landlords are beginning to feel the squeeze more acutely. That financial pain could eventually push rents even higher, some experts warn.

It’s not uncommon for homeowners who’ve seen the value of their first home soar in recent years to borrow against their home equity with a HELOC to fund the down payment on an investment property, [Toronto-based mortgage broker] Mr. [Ron] Butler said, speaking about the Ontario market. Borrowers often don’t disclose to their bank they intend to use the HELOC to acquire a second home, he added.

Once they’ve drawn the cash for a down payment from the HELOC, borrowers typically apply for a mortgage to finance the rest of the real estate purchase, Mr. Butler said.

With HELOC rates climbing, many of those highly leveraged investors are now scrambling to convert their line of credit balance into mortgage debt that comes with fixed payments, according to Mr. Butler. The risk is that some may not be able to do so.

That may be because the additional debt they’ve taken on from the investment property means they don’t meet lenders’ requirements. Another obstacle is the fact that climbing interest rates have raised the bar borrowers must clear to pass the federal mortgage stress test, Mr. Butler said. Yet another hitch is that mortgages, unlike HELOCs, require payments of both principal and interest, resulting in bigger monthly outlays for borrowers, he added.

Well, rising rents is one way the situation might be resolved. Another way is for the investors to eat the negative carry for an indefinite period; and the third is for the investors to sell at a loss. As the rental market seems to be priced at all the market can bear, I’ll suggest that the third is the most likely option with the timing set for the deals to close around the time the mortgage (if any) renews. That’s what happened in 1980 and again in 1991.

But amid all this talk of rising prices, some may simply wish to relax:

Prices for recreational and medicinal cannabis have dropped by 8.3 per cent and 10.2 per cent, respectively, over the past year, and by roughly 25 per cent in both categories since the end of 2018, according to Statistics Canada. The annual inflation rate hit 6.7 per cent in March, the highest since 1991.

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 3.76 % 4.43 % 24,500 18.60 1 1.7045 % 2,549.9
FixedFloater 0.00 % 0.00 % 0 0.00 0 -0.8850 % 4,814.0
Floater 4.29 % 4.32 % 53,245 16.75 3 -0.8850 % 2,774.3
OpRet 0.00 % 0.00 % 0 0.00 0 -0.2158 % 3,554.3
SplitShare 4.79 % 4.97 % 35,142 3.32 8 -0.2158 % 4,244.6
Interest-Bearing 0.00 % 0.00 % 0 0.00 0 -0.2158 % 3,311.8
Perpetual-Premium 5.90 % 5.93 % 62,822 14.00 1 -0.2394 % 2,958.2
Perpetual-Discount 5.77 % 5.86 % 64,992 14.08 35 -0.0194 % 3,218.7
FixedReset Disc 4.66 % 5.98 % 142,848 13.86 59 -0.4797 % 2,491.8
Insurance Straight 5.72 % 5.80 % 106,055 14.18 20 -1.1551 % 3,135.3
FloatingReset 4.72 % 5.05 % 69,770 15.40 2 2.7273 % 2,659.8
FixedReset Prem 5.04 % 4.69 % 145,635 2.11 9 -0.2505 % 2,616.2
FixedReset Bank Non 0.00 % 0.00 % 0 0.00 0 -0.4797 % 2,547.1
FixedReset Ins Non 4.62 % 6.15 % 85,164 13.76 15 0.5149 % 2,596.6
Performance Highlights
Issue Index Change Notes
TRP.PR.G FixedReset Disc -39.31 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-05-02
Maturity Price : 12.29
Evaluated at bid price : 12.29
Bid-YTW : 10.29 %
CCS.PR.C Insurance Straight -5.32 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-05-02
Maturity Price : 22.03
Evaluated at bid price : 22.26
Bid-YTW : 5.67 %
MFC.PR.B Insurance Straight -4.18 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-05-02
Maturity Price : 20.41
Evaluated at bid price : 20.41
Bid-YTW : 5.78 %
BAM.PR.T FixedReset Disc -2.58 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-05-02
Maturity Price : 17.40
Evaluated at bid price : 17.40
Bid-YTW : 6.88 %
BAM.PR.C Floater -2.46 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-05-02
Maturity Price : 13.07
Evaluated at bid price : 13.07
Bid-YTW : 4.32 %
MFC.PR.C Insurance Straight -2.31 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-05-02
Maturity Price : 20.30
Evaluated at bid price : 20.30
Bid-YTW : 5.63 %
SLF.PR.D Insurance Straight -2.16 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-05-02
Maturity Price : 19.96
Evaluated at bid price : 19.96
Bid-YTW : 5.65 %
PWF.PR.S Perpetual-Discount -1.67 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-05-02
Maturity Price : 20.65
Evaluated at bid price : 20.65
Bid-YTW : 5.86 %
PWF.PF.A Perpetual-Discount -1.65 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-05-02
Maturity Price : 19.67
Evaluated at bid price : 19.67
Bid-YTW : 5.76 %
BMO.PR.S FixedReset Disc -1.59 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-05-02
Maturity Price : 21.01
Evaluated at bid price : 21.01
Bid-YTW : 5.98 %
TRP.PR.A FixedReset Disc -1.51 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-05-02
Maturity Price : 16.92
Evaluated at bid price : 16.92
Bid-YTW : 6.80 %
GWO.PR.G Insurance Straight -1.50 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-05-02
Maturity Price : 22.03
Evaluated at bid price : 22.26
Bid-YTW : 5.91 %
CM.PR.P FixedReset Disc -1.49 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-05-02
Maturity Price : 20.52
Evaluated at bid price : 20.52
Bid-YTW : 5.98 %
SLF.PR.E Insurance Straight -1.42 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-05-02
Maturity Price : 20.11
Evaluated at bid price : 20.11
Bid-YTW : 5.67 %
PVS.PR.J SplitShare -1.38 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2028-02-29
Maturity Price : 25.00
Evaluated at bid price : 24.21
Bid-YTW : 5.20 %
CU.PR.F Perpetual-Discount -1.30 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-05-02
Maturity Price : 19.71
Evaluated at bid price : 19.71
Bid-YTW : 5.82 %
PVS.PR.K SplitShare -1.24 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2029-05-31
Maturity Price : 25.00
Evaluated at bid price : 23.80
Bid-YTW : 5.37 %
GWO.PR.R Insurance Straight -1.24 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-05-02
Maturity Price : 20.69
Evaluated at bid price : 20.69
Bid-YTW : 5.88 %
GWO.PR.L Insurance Straight -1.23 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-05-02
Maturity Price : 23.69
Evaluated at bid price : 24.00
Bid-YTW : 5.95 %
BIP.PR.F FixedReset Prem -1.20 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-05-02
Maturity Price : 23.58
Evaluated at bid price : 24.75
Bid-YTW : 5.77 %
IAF.PR.B Insurance Straight -1.18 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-05-02
Maturity Price : 21.00
Evaluated at bid price : 21.00
Bid-YTW : 5.55 %
ELF.PR.F Perpetual-Discount -1.14 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-05-02
Maturity Price : 22.34
Evaluated at bid price : 22.61
Bid-YTW : 5.91 %
GWO.PR.T Insurance Straight -1.12 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-05-02
Maturity Price : 21.68
Evaluated at bid price : 22.00
Bid-YTW : 5.91 %
PWF.PR.E Perpetual-Discount -1.06 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-05-02
Maturity Price : 23.09
Evaluated at bid price : 23.35
Bid-YTW : 5.92 %
RY.PR.S FixedReset Disc -1.05 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-05-02
Maturity Price : 23.13
Evaluated at bid price : 23.50
Bid-YTW : 5.50 %
TD.PF.C FixedReset Disc 1.02 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-05-02
Maturity Price : 20.85
Evaluated at bid price : 20.85
Bid-YTW : 5.89 %
TD.PF.B FixedReset Disc 1.02 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-05-02
Maturity Price : 20.76
Evaluated at bid price : 20.76
Bid-YTW : 5.94 %
CU.PR.D Perpetual-Discount 1.08 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-05-02
Maturity Price : 21.27
Evaluated at bid price : 21.54
Bid-YTW : 5.78 %
BAM.PF.I FixedReset Disc 1.13 % YTW SCENARIO
Maturity Type : Call
Maturity Date : 2027-03-31
Maturity Price : 25.00
Evaluated at bid price : 25.10
Bid-YTW : 5.44 %
MFC.PR.L FixedReset Ins Non 1.14 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-05-02
Maturity Price : 19.55
Evaluated at bid price : 19.55
Bid-YTW : 6.28 %
TRP.PR.C FixedReset Disc 1.17 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-05-02
Maturity Price : 13.86
Evaluated at bid price : 13.86
Bid-YTW : 6.90 %
RY.PR.H FixedReset Disc 1.19 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-05-02
Maturity Price : 21.25
Evaluated at bid price : 21.25
Bid-YTW : 5.79 %
CU.PR.H Perpetual-Discount 1.45 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-05-02
Maturity Price : 22.84
Evaluated at bid price : 23.10
Bid-YTW : 5.78 %
IFC.PR.A FixedReset Ins Non 1.47 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-05-02
Maturity Price : 18.62
Evaluated at bid price : 18.62
Bid-YTW : 6.15 %
BIP.PR.A FixedReset Disc 1.49 % YTW SCENARIO
Maturity Type : Call
Maturity Date : 2025-06-30
Maturity Price : 25.00
Evaluated at bid price : 23.90
Bid-YTW : 5.66 %
BAM.PR.E Ratchet 1.70 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-05-02
Maturity Price : 25.00
Evaluated at bid price : 17.90
Bid-YTW : 4.43 %
PWF.PR.Z Perpetual-Discount 1.88 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-05-02
Maturity Price : 21.97
Evaluated at bid price : 22.25
Bid-YTW : 5.81 %
MFC.PR.N FixedReset Ins Non 2.01 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-05-02
Maturity Price : 19.79
Evaluated at bid price : 19.79
Bid-YTW : 6.25 %
RY.PR.N Perpetual-Discount 2.19 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-05-02
Maturity Price : 23.30
Evaluated at bid price : 23.76
Bid-YTW : 5.14 %
BAM.PR.M Perpetual-Discount 2.23 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-05-02
Maturity Price : 20.60
Evaluated at bid price : 20.60
Bid-YTW : 5.84 %
TRP.PR.B FixedReset Disc 2.76 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-05-02
Maturity Price : 13.05
Evaluated at bid price : 13.05
Bid-YTW : 7.00 %
SLF.PR.J FloatingReset 5.26 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-05-02
Maturity Price : 16.00
Evaluated at bid price : 16.00
Bid-YTW : 4.48 %
MFC.PR.F FixedReset Ins Non 6.70 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-05-02
Maturity Price : 15.29
Evaluated at bid price : 15.29
Bid-YTW : 6.24 %
Volume Highlights
Issue Index Shares
Traded
Notes
RY.PR.H FixedReset Disc 56,368 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-05-02
Maturity Price : 21.25
Evaluated at bid price : 21.25
Bid-YTW : 5.79 %
TD.PF.C FixedReset Disc 54,300 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-05-02
Maturity Price : 20.85
Evaluated at bid price : 20.85
Bid-YTW : 5.89 %
BAM.PR.X FixedReset Disc 51,300 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-05-02
Maturity Price : 17.70
Evaluated at bid price : 17.70
Bid-YTW : 6.65 %
TRP.PR.D FixedReset Disc 43,874 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-05-02
Maturity Price : 18.90
Evaluated at bid price : 18.90
Bid-YTW : 6.74 %
BMO.PR.S FixedReset Disc 43,163 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-05-02
Maturity Price : 21.01
Evaluated at bid price : 21.01
Bid-YTW : 5.98 %
BMO.PR.D FixedReset Disc 39,915 YTW SCENARIO
Maturity Type : Call
Maturity Date : 2022-08-25
Maturity Price : 25.00
Evaluated at bid price : 25.02
Bid-YTW : 3.27 %
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.G FixedReset Disc Quote: 12.29 – 20.90
Spot Rate : 8.6100
Average : 4.9456

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-05-02
Maturity Price : 12.29
Evaluated at bid price : 12.29
Bid-YTW : 10.29 %

MFC.PR.L FixedReset Ins Non Quote: 19.55 – 23.50
Spot Rate : 3.9500
Average : 2.3592

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-05-02
Maturity Price : 19.55
Evaluated at bid price : 19.55
Bid-YTW : 6.28 %

PVS.PR.I SplitShare Quote: 25.10 – 30.00
Spot Rate : 4.9000
Average : 3.4335

YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-10-31
Maturity Price : 25.00
Evaluated at bid price : 25.10
Bid-YTW : 4.88 %

CU.PR.J Perpetual-Discount Quote: 20.65 – 24.11
Spot Rate : 3.4600
Average : 2.0268

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-05-02
Maturity Price : 20.65
Evaluated at bid price : 20.65
Bid-YTW : 5.86 %

PWF.PF.A Perpetual-Discount Quote: 19.67 – 22.30
Spot Rate : 2.6300
Average : 1.8146

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-05-02
Maturity Price : 19.67
Evaluated at bid price : 19.67
Bid-YTW : 5.76 %

CCS.PR.C Insurance Straight Quote: 22.26 – 23.80
Spot Rate : 1.5400
Average : 1.0237

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-05-02
Maturity Price : 22.03
Evaluated at bid price : 22.26
Bid-YTW : 5.67 %