September 21, 2022

September 21st, 2022

The Fed hiked 75bp to 3.00%:

Recent indicators point to modest growth in spending and production. Job gains have been robust in recent months, and the unemployment rate has remained low. Inflation remains elevated, reflecting supply and demand imbalances related to the pandemic, higher food and energy prices, and broader price pressures.

Russia’s war against Ukraine is causing tremendous human and economic hardship. The war and related events are creating additional upward pressure on inflation and are weighing on global economic activity. 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. In support of these goals, the Committee decided to raise the target range for the federal funds rate to 3 to 3-1/4 percent and anticipates that ongoing increases in the target range will be appropriate. In addition, the Committee will continue reducing its holdings of Treasury securities and agency debt and agency mortgage-backed securities, as described in the Plans for Reducing the Size of the Federal Reserve’s Balance Sheet that were issued in May. The Committee is strongly committed to returning inflation to its 2 percent objective.

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; Michael S. Barr; Michelle W. Bowman; Lael Brainard; James Bullard; Susan M. Collins; Lisa D. Cook; Esther L. George; Philip N. Jefferson; Loretta J. Mester; and Christopher J. Waller.

Their projection for the Fed Funds Rate in 2023 increased to 4.6%, up sharply from the June projection of 3.8%. However the post-2025 ‘longer-run’ projection remains at 2.5%. It should be noted that the projections for 2024 from the FOMC participants are all over the map, from a low of 2.625% to a high of 4.625%.

Powell was asked about housing prices:

Federal Reserve Chair Jerome Powell on Wednesday said the U.S. housing market will probably go through a “correction” after a period of “red hot” price increases that have put home ownership out of reach for many Americans.

“There was a big imbalance … housing prices were going up at an unsustainably fast level,” Powell said at a news conference following the Fed’s decision to raise its policy rate by another 75 basis points. “For the longer term what we need is supply and demand to get better aligned so housing prices go up at a reasonable level, at a reasonable pace and people can afford houses again. We probably in the housing market have to go through a correction to get back to that place.”

In the end, equities were down and bonds were flat:

After seesawing in the afternoon, the S&P 500 closed 1.7 percent lower for the day, as investors reacted to policymakers forecasts for higher interest rates in the future.

However, bond traders took a more muted view of the Fed’s guidance. The two-year Treasury yield, sensitive to changes in Fed policy, only inched higher, to 4.02 percent. Futures prices that show where investors expect rates to be at the end of the year barely budged, despite a marked increase to the Fed’s own rate forecasts.

PerpetualDiscounts now yield 6.32%, equivalent to 8.22% interest at the standard equivalency factor of 1.3x. Long corporates now yield 5.06%, so the pre-tax interest-equivalent spread (in this context, the “Seniority Spread”) has remained at the 315bp reported September 14.

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

Values are provisional and are finalized monthly
Index Mean
Current
Yield
(at bid)
Median
YTW
Median
Average
Trading
Value
Median
Mod Dur
(YTW)
Issues Day’s Perf. Index Value
Ratchet 0.00 % 0.00 % 0 0.00 0 -0.7678 % 2,484.3
FixedFloater 0.00 % 0.00 % 0 0.00 0 -0.7678 % 4,764.9
Floater 7.38 % 7.41 % 58,959 12.06 2 -0.7678 % 2,746.0
OpRet 0.00 % 0.00 % 0 0.00 0 0.2948 % 3,418.4
SplitShare 4.99 % 6.14 % 28,974 3.13 7 0.2948 % 4,082.3
Interest-Bearing 0.00 % 0.00 % 0 0.00 0 0.2948 % 3,185.2
Perpetual-Premium 0.00 % 0.00 % 0 0.00 0 -0.2734 % 2,766.8
Perpetual-Discount 6.15 % 6.32 % 63,437 13.35 33 -0.2734 % 3,017.0
FixedReset Disc 4.87 % 6.72 % 94,804 13.21 54 -0.2301 % 2,435.7
Insurance Straight 6.21 % 6.26 % 78,440 13.59 19 -0.3125 % 2,897.6
FloatingReset 8.21 % 8.54 % 37,917 10.85 2 -0.5912 % 2,593.2
FixedReset Prem 5.14 % 5.45 % 108,258 1.75 9 -0.1112 % 2,569.9
FixedReset Bank Non 0.00 % 0.00 % 0 0.00 0 -0.2301 % 2,489.8
FixedReset Ins Non 5.16 % 7.19 % 61,041 12.90 13 -0.5378 % 2,498.6
Performance Highlights
Issue Index Change Notes
IFC.PR.C FixedReset Disc -4.35 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-09-21
Maturity Price : 17.60
Evaluated at bid price : 17.60
Bid-YTW : 7.62 %
TRP.PR.B FixedReset Disc -3.28 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-09-21
Maturity Price : 12.09
Evaluated at bid price : 12.09
Bid-YTW : 8.44 %
SLF.PR.H FixedReset Ins Non -2.48 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-09-21
Maturity Price : 16.92
Evaluated at bid price : 16.92
Bid-YTW : 7.23 %
TRP.PR.F FloatingReset -1.82 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-09-21
Maturity Price : 16.20
Evaluated at bid price : 16.20
Bid-YTW : 8.54 %
CU.PR.J Perpetual-Discount -1.80 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-09-21
Maturity Price : 19.10
Evaluated at bid price : 19.10
Bid-YTW : 6.29 %
MFC.PR.C Insurance Straight -1.62 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-09-21
Maturity Price : 18.23
Evaluated at bid price : 18.23
Bid-YTW : 6.22 %
BAM.PF.C Perpetual-Discount -1.50 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-09-21
Maturity Price : 19.02
Evaluated at bid price : 19.02
Bid-YTW : 6.41 %
CM.PR.P FixedReset Disc -1.47 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-09-21
Maturity Price : 20.10
Evaluated at bid price : 20.10
Bid-YTW : 6.74 %
BAM.PR.M Perpetual-Discount -1.35 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-09-21
Maturity Price : 19.02
Evaluated at bid price : 19.02
Bid-YTW : 6.28 %
MFC.PR.B Insurance Straight -1.26 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-09-21
Maturity Price : 18.83
Evaluated at bid price : 18.83
Bid-YTW : 6.22 %
SLF.PR.D Insurance Straight -1.24 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-09-21
Maturity Price : 18.32
Evaluated at bid price : 18.32
Bid-YTW : 6.11 %
MFC.PR.J FixedReset Ins Non -1.20 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-09-21
Maturity Price : 21.81
Evaluated at bid price : 22.28
Bid-YTW : 6.73 %
NA.PR.S FixedReset Disc -1.13 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-09-21
Maturity Price : 21.01
Evaluated at bid price : 21.01
Bid-YTW : 6.75 %
BAM.PF.D Perpetual-Discount -1.12 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-09-21
Maturity Price : 19.48
Evaluated at bid price : 19.48
Bid-YTW : 6.33 %
BAM.PF.I FixedReset Prem -1.08 % YTW SCENARIO
Maturity Type : Call
Maturity Date : 2027-03-31
Maturity Price : 25.00
Evaluated at bid price : 23.90
Bid-YTW : 6.54 %
BAM.PR.K Floater -1.07 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-09-21
Maturity Price : 12.91
Evaluated at bid price : 12.91
Bid-YTW : 7.43 %
MFC.PR.F FixedReset Ins Non -1.05 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-09-21
Maturity Price : 14.15
Evaluated at bid price : 14.15
Bid-YTW : 7.44 %
FTS.PR.M FixedReset Disc -1.00 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-09-21
Maturity Price : 18.77
Evaluated at bid price : 18.77
Bid-YTW : 7.51 %
GWO.PR.L Insurance Straight 1.13 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-09-21
Maturity Price : 22.12
Evaluated at bid price : 22.40
Bid-YTW : 6.33 %
RY.PR.H FixedReset Disc 1.20 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-09-21
Maturity Price : 21.00
Evaluated at bid price : 21.00
Bid-YTW : 6.51 %
CM.PR.O FixedReset Disc 1.23 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-09-21
Maturity Price : 20.60
Evaluated at bid price : 20.60
Bid-YTW : 6.70 %
GWO.PR.Y Insurance Straight 1.34 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-09-21
Maturity Price : 18.15
Evaluated at bid price : 18.15
Bid-YTW : 6.24 %
RY.PR.M FixedReset Disc 1.38 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-09-21
Maturity Price : 20.58
Evaluated at bid price : 20.58
Bid-YTW : 6.62 %
RS.PR.A SplitShare 2.20 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-12-31
Maturity Price : 10.00
Evaluated at bid price : 9.30
Bid-YTW : 8.12 %
BIP.PR.F FixedReset Disc 2.79 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-09-21
Maturity Price : 21.67
Evaluated at bid price : 22.10
Bid-YTW : 7.02 %
Volume Highlights
Issue Index Shares
Traded
Notes
MFC.PR.M FixedReset Ins Non 28,000 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-09-21
Maturity Price : 18.62
Evaluated at bid price : 18.62
Bid-YTW : 7.38 %
SLF.PR.D Insurance Straight 16,787 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-09-21
Maturity Price : 18.32
Evaluated at bid price : 18.32
Bid-YTW : 6.11 %
CU.PR.C FixedReset Disc 16,400 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-09-21
Maturity Price : 21.36
Evaluated at bid price : 21.65
Bid-YTW : 6.54 %
SLF.PR.C Insurance Straight 13,003 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-09-21
Maturity Price : 18.38
Evaluated at bid price : 18.38
Bid-YTW : 6.09 %
CU.PR.F Perpetual-Discount 10,900 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-09-21
Maturity Price : 18.40
Evaluated at bid price : 18.40
Bid-YTW : 6.19 %
There were 0 other index-included issues trading in excess of 10,000 shares.
Wide Spread Highlights
Issue Index Quote Data and Yield Notes
CCS.PR.C Insurance Straight Quote: 20.75 – 23.50
Spot Rate : 2.7500
Average : 1.8148

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-09-21
Maturity Price : 20.75
Evaluated at bid price : 20.75
Bid-YTW : 6.06 %

BMO.PR.W FixedReset Disc Quote: 20.47 – 21.90
Spot Rate : 1.4300
Average : 1.0462

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-09-21
Maturity Price : 20.47
Evaluated at bid price : 20.47
Bid-YTW : 6.62 %

IFC.PR.I Perpetual-Discount Quote: 22.01 – 24.10
Spot Rate : 2.0900
Average : 1.8394

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-09-21
Maturity Price : 21.69
Evaluated at bid price : 22.01
Bid-YTW : 6.15 %

SLF.PR.H FixedReset Ins Non Quote: 16.92 – 18.00
Spot Rate : 1.0800
Average : 0.8473

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-09-21
Maturity Price : 16.92
Evaluated at bid price : 16.92
Bid-YTW : 7.23 %

IFC.PR.E Insurance Straight Quote: 21.26 – 21.97
Spot Rate : 0.7100
Average : 0.4837

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-09-21
Maturity Price : 21.26
Evaluated at bid price : 21.26
Bid-YTW : 6.15 %

BAM.PF.B FixedReset Disc Quote: 19.10 – 20.00
Spot Rate : 0.9000
Average : 0.6970

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-09-21
Maturity Price : 19.10
Evaluated at bid price : 19.10
Bid-YTW : 7.67 %

September 20, 2022

September 20th, 2022

Today’s Canada inflation release didn’t cause any problems:

Canada’s annual inflation rate slowed to 7.0 per cent in August largely driven by the price of gasoline falling, but the cost of groceries continues to climb.

In its latest monthly consumer price index (CPI) report, Statistics Canada said grocery prices rose at the fastest rate since 1981, with prices up 10.8 per cent compared with a year ago.

Statistics Canada said the 0.3 per cent decline in the CPI from July to August is the largest monthly decline since the early months of the pandemic.

The federal agency said transportation and shelter prices drove the deceleration in consumer prices.

Gas prices were up 22.1 per cent in August compared with a year ago, but down 18.8 per cent since June.

The Bank of Canada will be paying close attention to its preferred measures of core inflation, which tend to be less volatile and help the bank see through temporary changes in the consumer price index. Those measures all point to a slowdown in annual inflation in August as well.

The FDIC published a paper by Matthew D. Peppe and Haluk Unal titled Do Municipalities Pay More to Issue Unrated Bonds? :

Approximately 34% of local municipal bond issues were issued without ratings during 1998 to 2017. We study the circumstances that affect the decision to obtain a rating and whether unrated bonds, controlling for observable risk factors, are more expensive to issue than rated bonds. Results show that issuers are less likely to obtain ratings for smaller issues, negotiated offerings, and bonds with high proxies for risk such as coming from areas with low personal income. We estimate the effect of forgoing a rating on offering yields using a doubly-robust Inverse Probability Weighted Regression Adjustment that controls for confounding that arises from risk and other characteristics affecting both the choice to obtain a rating and the yield. We separately analyze revenue bonds, general obligation bonds, bank qualified, and not bank qualified bonds and find ratings decrease offering yields by 47, 49, 60, and 42 basis points respectively. The higher offering yields cost municipalities $22.5B in higher interest expense during our sample period. We find the choice of issuers to forgo ratings despite the substantial potential savings appears to be influenced by the dual underwriters who also work as advisors to the issuer. These underwriters benefit from not obtaining a rating because it lowers the price investors are willing to pay from the bond, but also lowers the price the underwriter must pay the issuer and thus increases the underwriter’s profit.

Gotta love that last line in the abstract!

Enbridge has issued some sub-debt – USD, 50-year term – I haven’t investigated further details.

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

Values are provisional and are finalized monthly
Index Mean
Current
Yield
(at bid)
Median
YTW
Median
Average
Trading
Value
Median
Mod Dur
(YTW)
Issues Day’s Perf. Index Value
Ratchet 0.00 % 0.00 % 0 0.00 0 0.2694 % 2,503.5
FixedFloater 0.00 % 0.00 % 0 0.00 0 0.2694 % 4,801.7
Floater 7.32 % 7.34 % 51,172 12.14 2 0.2694 % 2,767.3
OpRet 0.00 % 0.00 % 0 0.00 0 -0.9505 % 3,408.4
SplitShare 5.00 % 6.12 % 30,180 3.14 7 -0.9505 % 4,070.3
Interest-Bearing 0.00 % 0.00 % 0 0.00 0 -0.9505 % 3,175.8
Perpetual-Premium 0.00 % 0.00 % 0 0.00 0 -0.1430 % 2,774.3
Perpetual-Discount 6.14 % 6.30 % 63,024 13.42 33 -0.1430 % 3,025.3
FixedReset Disc 4.86 % 6.69 % 94,804 13.19 54 -0.1501 % 2,441.3
Insurance Straight 6.19 % 6.23 % 74,989 13.59 19 -0.2436 % 2,906.7
FloatingReset 8.16 % 8.39 % 37,562 11.01 2 0.1870 % 2,608.7
FixedReset Prem 5.13 % 5.44 % 109,463 1.75 9 -0.0044 % 2,572.8
FixedReset Bank Non 0.00 % 0.00 % 0 0.00 0 -0.1501 % 2,495.5
FixedReset Ins Non 5.13 % 7.06 % 63,495 12.97 13 -0.1511 % 2,512.1
Performance Highlights
Issue Index Change Notes
RS.PR.A SplitShare -5.70 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-12-31
Maturity Price : 10.00
Evaluated at bid price : 9.10
Bid-YTW : 8.87 %
TD.PF.D FixedReset Disc -3.96 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-09-20
Maturity Price : 20.60
Evaluated at bid price : 20.60
Bid-YTW : 6.91 %
GWO.PR.Y Insurance Straight -2.08 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-09-20
Maturity Price : 17.91
Evaluated at bid price : 17.91
Bid-YTW : 6.32 %
BMO.PR.W FixedReset Disc -1.83 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-09-20
Maturity Price : 20.44
Evaluated at bid price : 20.44
Bid-YTW : 6.63 %
PWF.PR.P FixedReset Disc -1.71 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-09-20
Maturity Price : 13.81
Evaluated at bid price : 13.81
Bid-YTW : 7.85 %
NA.PR.W FixedReset Disc -1.70 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-09-20
Maturity Price : 20.20
Evaluated at bid price : 20.20
Bid-YTW : 6.72 %
BIP.PR.F FixedReset Disc -1.38 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-09-20
Maturity Price : 21.50
Evaluated at bid price : 21.50
Bid-YTW : 7.24 %
GWO.PR.G Insurance Straight -1.35 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-09-20
Maturity Price : 20.52
Evaluated at bid price : 20.52
Bid-YTW : 6.37 %
IFC.PR.K Perpetual-Discount -1.15 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-09-20
Maturity Price : 21.50
Evaluated at bid price : 21.50
Bid-YTW : 6.14 %
GWO.PR.H Insurance Straight -1.13 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-09-20
Maturity Price : 19.23
Evaluated at bid price : 19.23
Bid-YTW : 6.34 %
CU.PR.E Perpetual-Discount -1.04 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-09-20
Maturity Price : 20.02
Evaluated at bid price : 20.02
Bid-YTW : 6.19 %
MFC.PR.F FixedReset Ins Non 1.06 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-09-20
Maturity Price : 14.30
Evaluated at bid price : 14.30
Bid-YTW : 7.36 %
BAM.PR.M Perpetual-Discount 1.10 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-09-20
Maturity Price : 19.28
Evaluated at bid price : 19.28
Bid-YTW : 6.19 %
GWO.PR.T Insurance Straight 1.42 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-09-20
Maturity Price : 20.70
Evaluated at bid price : 20.70
Bid-YTW : 6.26 %
TRP.PR.A FixedReset Disc 5.63 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-09-20
Maturity Price : 15.00
Evaluated at bid price : 15.00
Bid-YTW : 8.34 %
Volume Highlights
Issue Index Shares
Traded
Notes
CU.PR.C FixedReset Disc 164,180 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-09-20
Maturity Price : 21.47
Evaluated at bid price : 21.75
Bid-YTW : 6.51 %
POW.PR.C Perpetual-Discount 55,785 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-09-20
Maturity Price : 23.09
Evaluated at bid price : 23.35
Bid-YTW : 6.33 %
SLF.PR.D Insurance Straight 50,216 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-09-20
Maturity Price : 18.55
Evaluated at bid price : 18.55
Bid-YTW : 6.03 %
IFC.PR.A FixedReset Ins Non 24,905 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-09-20
Maturity Price : 17.83
Evaluated at bid price : 17.83
Bid-YTW : 7.15 %
FTS.PR.K FixedReset Disc 16,430 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-09-20
Maturity Price : 17.92
Evaluated at bid price : 17.92
Bid-YTW : 7.47 %
BAM.PR.Z FixedReset Disc 12,607 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-09-20
Maturity Price : 21.63
Evaluated at bid price : 22.00
Bid-YTW : 7.19 %
There were 5 other index-included issues trading in excess of 10,000 shares.
Wide Spread Highlights
Issue Index Quote Data and Yield Notes
IFC.PR.I Perpetual-Discount Quote: 21.90 – 24.10
Spot Rate : 2.2000
Average : 1.5646

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-09-20
Maturity Price : 21.61
Evaluated at bid price : 21.90
Bid-YTW : 6.18 %

TD.PF.D FixedReset Disc Quote: 20.60 – 22.29
Spot Rate : 1.6900
Average : 1.1598

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-09-20
Maturity Price : 20.60
Evaluated at bid price : 20.60
Bid-YTW : 6.91 %

GWO.PR.Y Insurance Straight Quote: 17.91 – 18.80
Spot Rate : 0.8900
Average : 0.5857

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-09-20
Maturity Price : 17.91
Evaluated at bid price : 17.91
Bid-YTW : 6.32 %

TRP.PR.F FloatingReset Quote: 16.50 – 17.68
Spot Rate : 1.1800
Average : 0.8892

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-09-20
Maturity Price : 16.50
Evaluated at bid price : 16.50
Bid-YTW : 8.39 %

RS.PR.A SplitShare Quote: 9.10 – 10.14
Spot Rate : 1.0400
Average : 0.7734

YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-12-31
Maturity Price : 10.00
Evaluated at bid price : 9.10
Bid-YTW : 8.87 %

BMO.PR.W FixedReset Disc Quote: 20.44 – 21.25
Spot Rate : 0.8100
Average : 0.6254

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-09-20
Maturity Price : 20.44
Evaluated at bid price : 20.44
Bid-YTW : 6.63 %

September 19, 2022

September 19th, 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 0.00 % 0.00 % 0 0.00 0 -0.0385 % 2,496.8
FixedFloater 0.00 % 0.00 % 0 0.00 0 -0.0385 % 4,788.8
Floater 7.34 % 7.37 % 57,534 12.11 2 -0.0385 % 2,759.8
OpRet 0.00 % 0.00 % 0 0.00 0 0.3108 % 3,441.1
SplitShare 4.95 % 6.01 % 30,160 3.14 7 0.3108 % 4,109.4
Interest-Bearing 0.00 % 0.00 % 0 0.00 0 0.3108 % 3,206.3
Perpetual-Premium 0.00 % 0.00 % 0 0.00 0 -0.1399 % 2,778.3
Perpetual-Discount 6.13 % 6.30 % 65,677 13.43 33 -0.1399 % 3,029.6
FixedReset Disc 4.85 % 6.66 % 93,629 13.20 54 0.9256 % 2,445.0
Insurance Straight 6.18 % 6.19 % 75,586 13.68 19 -0.1778 % 2,913.8
FloatingReset 8.17 % 8.39 % 37,722 11.00 2 -0.3727 % 2,603.8
FixedReset Prem 5.13 % 5.43 % 114,018 1.75 9 0.1247 % 2,572.9
FixedReset Bank Non 0.00 % 0.00 % 0 0.00 0 0.9256 % 2,499.2
FixedReset Ins Non 5.12 % 7.07 % 64,543 13.00 13 -0.2222 % 2,515.9
Performance Highlights
Issue Index Change Notes
IFC.PR.G FixedReset Ins Non -2.71 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-09-19
Maturity Price : 20.80
Evaluated at bid price : 20.80
Bid-YTW : 7.12 %
TD.PF.D FixedReset Disc -2.50 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-09-19
Maturity Price : 21.45
Evaluated at bid price : 21.45
Bid-YTW : 6.65 %
BAM.PR.T FixedReset Disc -2.41 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-09-19
Maturity Price : 16.20
Evaluated at bid price : 16.20
Bid-YTW : 7.90 %
GWO.PR.T Insurance Straight -1.88 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-09-19
Maturity Price : 20.41
Evaluated at bid price : 20.41
Bid-YTW : 6.34 %
IFC.PR.I Perpetual-Discount -1.57 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-09-19
Maturity Price : 21.61
Evaluated at bid price : 21.90
Bid-YTW : 6.18 %
MFC.PR.F FixedReset Ins Non -1.39 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-09-19
Maturity Price : 14.15
Evaluated at bid price : 14.15
Bid-YTW : 7.43 %
PWF.PF.A Perpetual-Discount -1.14 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-09-19
Maturity Price : 18.29
Evaluated at bid price : 18.29
Bid-YTW : 6.26 %
GWO.PR.Y Insurance Straight -1.14 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-09-19
Maturity Price : 18.29
Evaluated at bid price : 18.29
Bid-YTW : 6.18 %
BIP.PR.E FixedReset Disc -1.06 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-09-19
Maturity Price : 21.85
Evaluated at bid price : 22.33
Bid-YTW : 7.10 %
MFC.PR.B Insurance Straight -1.04 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-09-19
Maturity Price : 19.12
Evaluated at bid price : 19.12
Bid-YTW : 6.13 %
GWO.PR.H Insurance Straight 1.04 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-09-19
Maturity Price : 19.45
Evaluated at bid price : 19.45
Bid-YTW : 6.27 %
TD.PF.B FixedReset Disc 1.23 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-09-19
Maturity Price : 20.65
Evaluated at bid price : 20.65
Bid-YTW : 6.66 %
CM.PR.P FixedReset Disc 1.25 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-09-19
Maturity Price : 20.25
Evaluated at bid price : 20.25
Bid-YTW : 6.69 %
BAM.PR.R FixedReset Disc 1.29 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-09-19
Maturity Price : 15.75
Evaluated at bid price : 15.75
Bid-YTW : 8.04 %
RS.PR.A SplitShare 1.90 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-12-31
Maturity Price : 10.00
Evaluated at bid price : 9.65
Bid-YTW : 6.83 %
NA.PR.G FixedReset Disc 1.91 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-09-19
Maturity Price : 22.99
Evaluated at bid price : 23.50
Bid-YTW : 6.52 %
BAM.PF.I FixedReset Prem 2.58 % YTW SCENARIO
Maturity Type : Call
Maturity Date : 2027-03-31
Maturity Price : 25.00
Evaluated at bid price : 24.26
Bid-YTW : 6.15 %
RY.PR.J FixedReset Disc 2.61 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-09-19
Maturity Price : 21.34
Evaluated at bid price : 21.65
Bid-YTW : 6.55 %
TRP.PR.A FixedReset Disc 7.58 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-09-19
Maturity Price : 14.20
Evaluated at bid price : 14.20
Bid-YTW : 8.79 %
IFC.PR.C FixedReset Disc 81.41 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-09-19
Maturity Price : 18.25
Evaluated at bid price : 18.25
Bid-YTW : 7.37 %
Volume Highlights
Issue Index Shares
Traded
Notes
MFC.PR.C Insurance Straight 42,226 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-09-19
Maturity Price : 18.52
Evaluated at bid price : 18.52
Bid-YTW : 6.12 %
CU.PR.G Perpetual-Discount 41,000 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-09-19
Maturity Price : 18.61
Evaluated at bid price : 18.61
Bid-YTW : 6.11 %
CU.PR.F Perpetual-Discount 40,600 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-09-19
Maturity Price : 18.46
Evaluated at bid price : 18.46
Bid-YTW : 6.16 %
FTS.PR.J Perpetual-Discount 30,300 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-09-19
Maturity Price : 19.92
Evaluated at bid price : 19.92
Bid-YTW : 6.03 %
MFC.PR.B Insurance Straight 30,067 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-09-19
Maturity Price : 19.12
Evaluated at bid price : 19.12
Bid-YTW : 6.13 %
CM.PR.S FixedReset Disc 29,965 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-09-19
Maturity Price : 23.19
Evaluated at bid price : 24.05
Bid-YTW : 6.07 %
There were 4 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: 23.00 – 24.05
Spot Rate : 1.0500
Average : 0.7878

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-09-19
Maturity Price : 22.25
Evaluated at bid price : 23.00
Bid-YTW : 6.61 %

TD.PF.D FixedReset Disc Quote: 21.45 – 22.29
Spot Rate : 0.8400
Average : 0.5786

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-09-19
Maturity Price : 21.45
Evaluated at bid price : 21.45
Bid-YTW : 6.65 %

NA.PR.S FixedReset Disc Quote: 21.17 – 22.20
Spot Rate : 1.0300
Average : 0.7816

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-09-19
Maturity Price : 21.17
Evaluated at bid price : 21.17
Bid-YTW : 6.70 %

SLF.PR.H FixedReset Ins Non Quote: 17.25 – 18.00
Spot Rate : 0.7500
Average : 0.5286

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-09-19
Maturity Price : 17.25
Evaluated at bid price : 17.25
Bid-YTW : 7.10 %

BAM.PF.F FixedReset Disc Quote: 18.25 – 19.72
Spot Rate : 1.4700
Average : 1.2556

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-09-19
Maturity Price : 18.25
Evaluated at bid price : 18.25
Bid-YTW : 8.17 %

ELF.PR.H Perpetual-Discount Quote: 22.20 – 23.45
Spot Rate : 1.2500
Average : 1.0395

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-09-19
Maturity Price : 21.97
Evaluated at bid price : 22.20
Bid-YTW : 6.31 %

September 16, 2022

September 16th, 2022

TXPR closed at 598.14, down 0.68% on the day. Volume today was 1.33-million, second-highest of the past 21 trading days.

CPD closed at 11.935, down 0.95% on the day. Volume was 51,800, fourth-highest of the past 21 trading days.

ZPR closed at 10.02, down 0.89% on the day. Volume of 198,720 was second-highest of the past 21 trading days.

Five-year Canada yields were up to 3.36% today.

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

Values are provisional and are finalized monthly
Index Mean
Current
Yield
(at bid)
Median
YTW
Median
Average
Trading
Value
Median
Mod Dur
(YTW)
Issues Day’s Perf. Index Value
Ratchet 0.00 % 0.00 % 0 0.00 0 -0.0385 % 2,497.7
FixedFloater 0.00 % 0.00 % 0 0.00 0 -0.0385 % 4,790.7
Floater 7.34 % 7.36 % 51,026 12.13 2 -0.0385 % 2,760.9
OpRet 0.00 % 0.00 % 0 0.00 0 -0.5649 % 3,430.4
SplitShare 4.96 % 5.96 % 29,054 2.95 8 -0.5649 % 4,096.7
Interest-Bearing 0.00 % 0.00 % 0 0.00 0 -0.5649 % 3,196.4
Perpetual-Premium 0.00 % 0.00 % 0 0.00 0 -0.1076 % 2,782.2
Perpetual-Discount 6.12 % 6.26 % 61,879 13.48 35 -0.1076 % 3,033.9
FixedReset Disc 4.89 % 6.63 % 94,209 13.25 58 -1.8507 % 2,422.5
Insurance Straight 6.16 % 6.19 % 75,702 13.68 19 -0.1019 % 2,919.0
FloatingReset 7.85 % 8.11 % 37,818 11.30 2 0.0000 % 2,613.5
FixedReset Prem 5.15 % 5.24 % 105,579 1.76 6 -0.0995 % 2,569.7
FixedReset Bank Non 0.00 % 0.00 % 0 0.00 0 -1.8507 % 2,476.3
FixedReset Ins Non 4.84 % 6.81 % 52,065 13.12 14 0.4799 % 2,521.5
Performance Highlights
Issue Index Change Notes
IFC.PR.C FixedReset Disc -45.74 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-09-16
Maturity Price : 10.06
Evaluated at bid price : 10.06
Bid-YTW : 12.57 %
TRP.PR.A FixedReset Disc -15.44 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-09-16
Maturity Price : 13.20
Evaluated at bid price : 13.20
Bid-YTW : 9.27 %
BAM.PF.F FixedReset Disc -5.34 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-09-16
Maturity Price : 18.25
Evaluated at bid price : 18.25
Bid-YTW : 8.05 %
BAM.PF.I FixedReset Disc -4.44 % YTW SCENARIO
Maturity Type : Call
Maturity Date : 2027-03-31
Maturity Price : 25.00
Evaluated at bid price : 23.65
Bid-YTW : 6.79 %
RS.PR.A SplitShare -4.05 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-12-31
Maturity Price : 10.00
Evaluated at bid price : 9.47
Bid-YTW : 7.45 %
BIP.PR.F FixedReset Disc -3.67 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-09-16
Maturity Price : 21.46
Evaluated at bid price : 21.80
Bid-YTW : 7.01 %
RY.PR.J FixedReset Disc -3.52 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-09-16
Maturity Price : 21.10
Evaluated at bid price : 21.10
Bid-YTW : 6.63 %
NA.PR.S FixedReset Disc -2.73 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-09-16
Maturity Price : 21.01
Evaluated at bid price : 21.01
Bid-YTW : 6.64 %
BAM.PF.B FixedReset Disc -2.70 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-09-16
Maturity Price : 19.09
Evaluated at bid price : 19.09
Bid-YTW : 7.55 %
CM.PR.O FixedReset Disc -2.41 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-09-16
Maturity Price : 20.25
Evaluated at bid price : 20.25
Bid-YTW : 6.70 %
TD.PF.B FixedReset Disc -2.02 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-09-16
Maturity Price : 20.40
Evaluated at bid price : 20.40
Bid-YTW : 6.63 %
RY.PR.M FixedReset Disc -1.84 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-09-16
Maturity Price : 20.30
Evaluated at bid price : 20.30
Bid-YTW : 6.61 %
BAM.PF.J FixedReset Disc -1.84 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-09-16
Maturity Price : 23.12
Evaluated at bid price : 24.05
Bid-YTW : 6.59 %
TRP.PR.B FixedReset Disc -1.82 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-09-16
Maturity Price : 12.42
Evaluated at bid price : 12.42
Bid-YTW : 8.08 %
TRP.PR.G FixedReset Disc -1.79 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-09-16
Maturity Price : 19.75
Evaluated at bid price : 19.75
Bid-YTW : 7.14 %
BIP.PR.E FixedReset Disc -1.74 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-09-16
Maturity Price : 22.00
Evaluated at bid price : 22.57
Bid-YTW : 6.91 %
BAM.PR.M Perpetual-Discount -1.70 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-09-16
Maturity Price : 19.07
Evaluated at bid price : 19.07
Bid-YTW : 6.26 %
BAM.PR.X FixedReset Disc -1.69 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-09-16
Maturity Price : 17.40
Evaluated at bid price : 17.40
Bid-YTW : 7.13 %
BIP.PR.A FixedReset Disc -1.57 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-09-16
Maturity Price : 18.77
Evaluated at bid price : 18.77
Bid-YTW : 8.39 %
GWO.PR.H Insurance Straight -1.53 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-09-16
Maturity Price : 19.25
Evaluated at bid price : 19.25
Bid-YTW : 6.33 %
CU.PR.I FixedReset Disc -1.21 % YTW SCENARIO
Maturity Type : Call
Maturity Date : 2025-12-01
Maturity Price : 25.00
Evaluated at bid price : 25.25
Bid-YTW : 4.25 %
RY.PR.Z FixedReset Disc -1.14 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-09-16
Maturity Price : 20.76
Evaluated at bid price : 20.76
Bid-YTW : 6.46 %
BMO.PR.S FixedReset Disc -1.12 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-09-16
Maturity Price : 21.10
Evaluated at bid price : 21.10
Bid-YTW : 6.50 %
MFC.PR.M FixedReset Ins Non -1.11 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-09-16
Maturity Price : 18.64
Evaluated at bid price : 18.64
Bid-YTW : 7.25 %
NA.PR.G FixedReset Disc -1.03 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-09-16
Maturity Price : 22.58
Evaluated at bid price : 23.06
Bid-YTW : 6.54 %
MFC.PR.B Insurance Straight 1.68 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-09-16
Maturity Price : 19.32
Evaluated at bid price : 19.32
Bid-YTW : 6.06 %
MFC.PR.Q FixedReset Ins Non 7.98 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-09-16
Maturity Price : 21.65
Evaluated at bid price : 22.05
Bid-YTW : 6.59 %
Volume Highlights
Issue Index Shares
Traded
Notes
SLF.PR.G FixedReset Ins Non 91,250 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-09-16
Maturity Price : 13.96
Evaluated at bid price : 13.96
Bid-YTW : 7.47 %
TD.PF.K FixedReset Disc 73,940 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-09-16
Maturity Price : 22.93
Evaluated at bid price : 23.45
Bid-YTW : 6.25 %
IFC.PR.G FixedReset Ins Non 53,200 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-09-16
Maturity Price : 21.38
Evaluated at bid price : 21.38
Bid-YTW : 6.81 %
IFC.PR.A FixedReset Ins Non 21,200 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-09-16
Maturity Price : 18.00
Evaluated at bid price : 18.00
Bid-YTW : 6.94 %
RY.PR.H FixedReset Disc 18,373 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-09-16
Maturity Price : 21.00
Evaluated at bid price : 21.00
Bid-YTW : 6.40 %
BIP.PR.F FixedReset Disc 12,669 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-09-16
Maturity Price : 21.46
Evaluated at bid price : 21.80
Bid-YTW : 7.01 %
There were 0 other index-included issues trading in excess of 10,000 shares.
Wide Spread Highlights
Issue Index Quote Data and Yield Notes
IFC.PR.C FixedReset Disc Quote: 10.06 – 18.69
Spot Rate : 8.6300
Average : 4.6537

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-09-16
Maturity Price : 10.06
Evaluated at bid price : 10.06
Bid-YTW : 12.57 %

CU.PR.F Perpetual-Discount Quote: 18.60 – 24.43
Spot Rate : 5.8300
Average : 3.6888

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-09-16
Maturity Price : 18.60
Evaluated at bid price : 18.60
Bid-YTW : 6.11 %

TRP.PR.A FixedReset Disc Quote: 13.20 – 15.47
Spot Rate : 2.2700
Average : 1.3058

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-09-16
Maturity Price : 13.20
Evaluated at bid price : 13.20
Bid-YTW : 9.27 %

IFC.PR.I Perpetual-Discount Quote: 22.25 – 24.10
Spot Rate : 1.8500
Average : 1.1616

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-09-16
Maturity Price : 21.95
Evaluated at bid price : 22.25
Bid-YTW : 6.08 %

ELF.PR.F Perpetual-Discount Quote: 21.20 – 22.60
Spot Rate : 1.4000
Average : 0.8379

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-09-16
Maturity Price : 21.20
Evaluated at bid price : 21.20
Bid-YTW : 6.38 %

ELF.PR.H Perpetual-Discount Quote: 22.15 – 23.45
Spot Rate : 1.3000
Average : 0.8088

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-09-16
Maturity Price : 21.91
Evaluated at bid price : 22.15
Bid-YTW : 6.32 %

September 15, 2022

September 15th, 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 0.00 % 0.00 % 0 0.00 0 0.0000 % 2,498.7
FixedFloater 0.00 % 0.00 % 0 0.00 0 0.0000 % 4,792.5
Floater 7.34 % 7.36 % 51,559 12.13 2 0.0000 % 2,761.9
OpRet 0.00 % 0.00 % 0 0.00 0 0.0052 % 3,449.9
SplitShare 4.93 % 5.81 % 28,818 2.97 8 0.0052 % 4,119.9
Interest-Bearing 0.00 % 0.00 % 0 0.00 0 0.0052 % 3,214.5
Perpetual-Premium 0.00 % 0.00 % 0 0.00 0 -0.0054 % 2,785.2
Perpetual-Discount 6.12 % 6.26 % 62,951 13.51 35 -0.0054 % 3,037.1
FixedReset Disc 4.80 % 6.47 % 94,626 13.28 58 0.0982 % 2,468.2
Insurance Straight 6.16 % 6.19 % 75,503 13.69 19 -0.1200 % 2,922.0
FloatingReset 7.85 % 8.03 % 37,174 11.38 2 0.1867 % 2,613.5
FixedReset Prem 5.15 % 5.32 % 106,590 1.76 6 -0.0332 % 2,572.2
FixedReset Bank Non 0.00 % 0.00 % 0 0.00 0 0.0982 % 2,523.0
FixedReset Ins Non 4.86 % 6.97 % 51,770 12.94 14 -0.3877 % 2,509.5
Performance Highlights
Issue Index Change Notes
MFC.PR.Q FixedReset Ins Non -6.76 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-09-15
Maturity Price : 20.42
Evaluated at bid price : 20.42
Bid-YTW : 7.14 %
BAM.PR.R FixedReset Disc -3.77 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-09-15
Maturity Price : 15.55
Evaluated at bid price : 15.55
Bid-YTW : 8.01 %
NA.PR.G FixedReset Disc -1.69 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-09-15
Maturity Price : 22.80
Evaluated at bid price : 23.30
Bid-YTW : 6.47 %
RY.PR.M FixedReset Disc -1.52 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-09-15
Maturity Price : 20.68
Evaluated at bid price : 20.68
Bid-YTW : 6.49 %
GWO.PR.G Insurance Straight -1.44 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-09-15
Maturity Price : 20.50
Evaluated at bid price : 20.50
Bid-YTW : 6.37 %
GWO.PR.M Insurance Straight -1.41 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-09-15
Maturity Price : 22.77
Evaluated at bid price : 23.05
Bid-YTW : 6.31 %
IFC.PR.C FixedReset Disc -1.38 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-09-15
Maturity Price : 18.54
Evaluated at bid price : 18.54
Bid-YTW : 7.16 %
IFC.PR.K Perpetual-Discount -1.13 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-09-15
Maturity Price : 21.54
Evaluated at bid price : 21.85
Bid-YTW : 6.02 %
BAM.PR.Z FixedReset Disc -1.12 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-09-15
Maturity Price : 21.63
Evaluated at bid price : 22.00
Bid-YTW : 7.07 %
FTS.PR.H FixedReset Disc -1.07 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-09-15
Maturity Price : 13.93
Evaluated at bid price : 13.93
Bid-YTW : 7.59 %
BAM.PR.T FixedReset Disc -1.02 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-09-15
Maturity Price : 16.50
Evaluated at bid price : 16.50
Bid-YTW : 7.66 %
MFC.PR.F FixedReset Ins Non 1.06 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-09-15
Maturity Price : 14.30
Evaluated at bid price : 14.30
Bid-YTW : 7.23 %
BAM.PF.I FixedReset Disc 1.10 % YTW SCENARIO
Maturity Type : Call
Maturity Date : 2027-03-31
Maturity Price : 25.00
Evaluated at bid price : 24.75
Bid-YTW : 5.63 %
BIP.PR.E FixedReset Disc 1.28 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-09-15
Maturity Price : 22.24
Evaluated at bid price : 22.97
Bid-YTW : 6.78 %
BAM.PF.F FixedReset Disc 1.80 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-09-15
Maturity Price : 19.28
Evaluated at bid price : 19.28
Bid-YTW : 7.63 %
SLF.PR.H FixedReset Ins Non 2.00 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-09-15
Maturity Price : 17.30
Evaluated at bid price : 17.30
Bid-YTW : 6.97 %
BAM.PF.A FixedReset Disc 2.14 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-09-15
Maturity Price : 21.45
Evaluated at bid price : 21.45
Bid-YTW : 7.16 %
GWO.PR.P Insurance Straight 2.23 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-09-15
Maturity Price : 21.25
Evaluated at bid price : 21.52
Bid-YTW : 6.29 %
BAM.PF.E FixedReset Disc 2.89 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-09-15
Maturity Price : 17.80
Evaluated at bid price : 17.80
Bid-YTW : 7.62 %
NA.PR.S FixedReset Disc 3.55 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-09-15
Maturity Price : 21.31
Evaluated at bid price : 21.60
Bid-YTW : 6.44 %
Volume Highlights
Issue Index Shares
Traded
Notes
PWF.PR.E Perpetual-Discount 32,022 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-09-15
Maturity Price : 21.72
Evaluated at bid price : 21.97
Bid-YTW : 6.35 %
NA.PR.C FixedReset Disc 30,785 YTW SCENARIO
Maturity Type : Call
Maturity Date : 2022-11-15
Maturity Price : 25.00
Evaluated at bid price : 25.01
Bid-YTW : 6.54 %
BAM.PF.E FixedReset Disc 19,109 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-09-15
Maturity Price : 17.80
Evaluated at bid price : 17.80
Bid-YTW : 7.62 %
There were 0 other index-included issues trading in excess of 10,000 shares.
Wide Spread Highlights
Issue Index Quote Data and Yield Notes
CU.PR.G Perpetual-Discount Quote: 18.63 – 20.88
Spot Rate : 2.2500
Average : 1.7769

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-09-15
Maturity Price : 18.63
Evaluated at bid price : 18.63
Bid-YTW : 6.10 %

BAM.PR.T FixedReset Disc Quote: 16.50 – 17.90
Spot Rate : 1.4000
Average : 0.9916

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-09-15
Maturity Price : 16.50
Evaluated at bid price : 16.50
Bid-YTW : 7.66 %

MFC.PR.Q FixedReset Ins Non Quote: 20.42 – 22.51
Spot Rate : 2.0900
Average : 1.6943

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-09-15
Maturity Price : 20.42
Evaluated at bid price : 20.42
Bid-YTW : 7.14 %

CCS.PR.C Insurance Straight Quote: 20.70 – 23.46
Spot Rate : 2.7600
Average : 2.4235

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-09-15
Maturity Price : 20.70
Evaluated at bid price : 20.70
Bid-YTW : 6.07 %

PWF.PR.G Perpetual-Discount Quote: 23.50 – 24.60
Spot Rate : 1.1000
Average : 0.7694

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-09-15
Maturity Price : 23.20
Evaluated at bid price : 23.50
Bid-YTW : 6.37 %

IFC.PR.G FixedReset Ins Non Quote: 21.42 – 22.50
Spot Rate : 1.0800
Average : 0.7834

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-09-15
Maturity Price : 21.42
Evaluated at bid price : 21.42
Bid-YTW : 6.80 %

September 14, 2022

September 14th, 2022

PerpetualDiscounts now yield 6.26%, equivalent to 8.14% interest at the standard equivalency factor of 1.3x. Long corporates now yield 4.99%, so the pre-tax interest-equivalent spread (in this context, the “Seniority Spread”) has remained at the 315bp reported September 7.

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

Values are provisional and are finalized monthly
Index Mean
Current
Yield
(at bid)
Median
YTW
Median
Average
Trading
Value
Median
Mod Dur
(YTW)
Issues Day’s Perf. Index Value
Ratchet 0.00 % 0.00 % 0 0.00 0 -1.2908 % 2,498.7
FixedFloater 0.00 % 0.00 % 0 0.00 0 -1.2908 % 4,792.5
Floater 7.34 % 7.36 % 52,024 12.13 2 -1.2908 % 2,761.9
OpRet 0.00 % 0.00 % 0 0.00 0 -0.2069 % 3,449.7
SplitShare 4.93 % 5.42 % 30,005 2.97 8 -0.2069 % 4,119.7
Interest-Bearing 0.00 % 0.00 % 0 0.00 0 -0.2069 % 3,214.4
Perpetual-Premium 0.00 % 0.00 % 0 0.00 0 -0.2080 % 2,785.4
Perpetual-Discount 6.12 % 6.26 % 62,500 13.49 35 -0.2080 % 3,037.3
FixedReset Disc 4.80 % 6.47 % 95,176 13.34 58 -0.3813 % 2,465.8
Insurance Straight 6.15 % 6.16 % 75,379 13.72 19 -0.7740 % 2,925.5
FloatingReset 7.86 % 8.07 % 37,553 11.35 2 0.0311 % 2,608.7
FixedReset Prem 5.15 % 5.31 % 107,315 1.77 6 0.0796 % 2,573.1
FixedReset Bank Non 0.00 % 0.00 % 0 0.00 0 -0.3813 % 2,520.5
FixedReset Ins Non 4.84 % 6.79 % 50,703 13.07 14 0.1093 % 2,519.3
Performance Highlights
Issue Index Change Notes
NA.PR.S FixedReset Disc -4.09 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-09-14
Maturity Price : 20.86
Evaluated at bid price : 20.86
Bid-YTW : 6.68 %
CM.PR.P FixedReset Disc -3.61 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-09-14
Maturity Price : 20.00
Evaluated at bid price : 20.00
Bid-YTW : 6.66 %
BAM.PF.A FixedReset Disc -3.33 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-09-14
Maturity Price : 21.00
Evaluated at bid price : 21.00
Bid-YTW : 7.32 %
GWO.PR.P Insurance Straight -3.00 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-09-14
Maturity Price : 21.05
Evaluated at bid price : 21.05
Bid-YTW : 6.44 %
BAM.PF.F FixedReset Disc -2.97 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-09-14
Maturity Price : 18.94
Evaluated at bid price : 18.94
Bid-YTW : 7.76 %
RY.PR.O Perpetual-Discount -1.66 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-09-14
Maturity Price : 22.86
Evaluated at bid price : 23.15
Bid-YTW : 5.33 %
SLF.PR.H FixedReset Ins Non -1.62 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-09-14
Maturity Price : 16.96
Evaluated at bid price : 16.96
Bid-YTW : 7.10 %
ELF.PR.H Perpetual-Discount -1.57 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-09-14
Maturity Price : 21.75
Evaluated at bid price : 22.00
Bid-YTW : 6.36 %
TD.PF.A FixedReset Disc -1.44 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-09-14
Maturity Price : 20.60
Evaluated at bid price : 20.60
Bid-YTW : 6.49 %
IFC.PR.F Insurance Straight -1.40 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-09-14
Maturity Price : 21.46
Evaluated at bid price : 21.46
Bid-YTW : 6.20 %
RY.PR.N Perpetual-Discount -1.31 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-09-14
Maturity Price : 23.01
Evaluated at bid price : 23.31
Bid-YTW : 5.29 %
POW.PR.D Perpetual-Discount -1.13 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-09-14
Maturity Price : 20.08
Evaluated at bid price : 20.08
Bid-YTW : 6.35 %
MFC.PR.L FixedReset Ins Non -1.08 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-09-14
Maturity Price : 18.30
Evaluated at bid price : 18.30
Bid-YTW : 7.22 %
BAM.PF.E FixedReset Disc -1.06 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-09-14
Maturity Price : 17.30
Evaluated at bid price : 17.30
Bid-YTW : 7.83 %
PWF.PR.G Perpetual-Discount -1.05 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-09-14
Maturity Price : 23.20
Evaluated at bid price : 23.50
Bid-YTW : 6.37 %
MFC.PR.B Insurance Straight -1.04 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-09-14
Maturity Price : 19.00
Evaluated at bid price : 19.00
Bid-YTW : 6.16 %
ELF.PR.F Perpetual-Discount -1.03 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-09-14
Maturity Price : 21.10
Evaluated at bid price : 21.10
Bid-YTW : 6.40 %
BAM.PR.N Perpetual-Discount 1.02 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-09-14
Maturity Price : 19.25
Evaluated at bid price : 19.25
Bid-YTW : 6.20 %
BAM.PF.J FixedReset Disc 1.03 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-09-14
Maturity Price : 23.78
Evaluated at bid price : 24.62
Bid-YTW : 6.44 %
BAM.PF.H FixedReset Prem 1.15 % YTW SCENARIO
Maturity Type : Call
Maturity Date : 2025-12-31
Maturity Price : 25.00
Evaluated at bid price : 25.50
Bid-YTW : 4.30 %
BNS.PR.I FixedReset Disc 1.19 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-09-14
Maturity Price : 23.33
Evaluated at bid price : 23.78
Bid-YTW : 6.00 %
IFC.PR.I Perpetual-Discount 1.24 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-09-14
Maturity Price : 21.99
Evaluated at bid price : 22.30
Bid-YTW : 6.06 %
RY.PR.M FixedReset Disc 1.35 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-09-14
Maturity Price : 21.00
Evaluated at bid price : 21.00
Bid-YTW : 6.40 %
MIC.PR.A Perpetual-Discount 1.63 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-09-14
Maturity Price : 20.75
Evaluated at bid price : 20.75
Bid-YTW : 6.54 %
BIP.PR.A FixedReset Disc 1.65 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-09-14
Maturity Price : 19.11
Evaluated at bid price : 19.11
Bid-YTW : 8.24 %
IFC.PR.K Perpetual-Discount 4.53 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-09-14
Maturity Price : 21.79
Evaluated at bid price : 22.10
Bid-YTW : 5.95 %
BAM.PR.R FixedReset Disc 5.43 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-09-14
Maturity Price : 16.16
Evaluated at bid price : 16.16
Bid-YTW : 7.73 %
MFC.PR.Q FixedReset Ins Non 7.25 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-09-14
Maturity Price : 21.54
Evaluated at bid price : 21.90
Bid-YTW : 6.63 %
CU.PR.J Perpetual-Discount 7.50 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-09-14
Maturity Price : 19.35
Evaluated at bid price : 19.35
Bid-YTW : 6.20 %
Volume Highlights
Issue Index Shares
Traded
Notes
CM.PR.O FixedReset Disc 100,700 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-09-14
Maturity Price : 20.69
Evaluated at bid price : 20.69
Bid-YTW : 6.56 %
TRP.PR.A FixedReset Disc 78,579 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-09-14
Maturity Price : 15.46
Evaluated at bid price : 15.46
Bid-YTW : 7.96 %
BAM.PF.F FixedReset Disc 76,203 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-09-14
Maturity Price : 18.94
Evaluated at bid price : 18.94
Bid-YTW : 7.76 %
TD.PF.L FixedReset Disc 67,600 YTW SCENARIO
Maturity Type : Call
Maturity Date : 2024-04-30
Maturity Price : 25.00
Evaluated at bid price : 25.00
Bid-YTW : 5.63 %
TRP.PR.E FixedReset Disc 34,100 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-09-14
Maturity Price : 17.20
Evaluated at bid price : 17.20
Bid-YTW : 7.91 %
BAM.PR.Z FixedReset Disc 21,588 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-09-14
Maturity Price : 21.80
Evaluated at bid price : 22.25
Bid-YTW : 6.99 %
There were 7 other index-included issues trading in excess of 10,000 shares.
Wide Spread Highlights
Issue Index Quote Data and Yield Notes
CU.PR.G Perpetual-Discount Quote: 18.63 – 20.88
Spot Rate : 2.2500
Average : 1.2581

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-09-14
Maturity Price : 18.63
Evaluated at bid price : 18.63
Bid-YTW : 6.10 %

CCS.PR.C Insurance Straight Quote: 20.62 – 23.50
Spot Rate : 2.8800
Average : 2.0544

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-09-14
Maturity Price : 20.62
Evaluated at bid price : 20.62
Bid-YTW : 6.09 %

BAM.PF.A FixedReset Disc Quote: 21.00 – 22.09
Spot Rate : 1.0900
Average : 0.7677

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-09-14
Maturity Price : 21.00
Evaluated at bid price : 21.00
Bid-YTW : 7.32 %

RY.PR.N Perpetual-Discount Quote: 23.31 – 24.19
Spot Rate : 0.8800
Average : 0.5781

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-09-14
Maturity Price : 23.01
Evaluated at bid price : 23.31
Bid-YTW : 5.29 %

BAM.PF.F FixedReset Disc Quote: 18.94 – 19.75
Spot Rate : 0.8100
Average : 0.5132

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-09-14
Maturity Price : 18.94
Evaluated at bid price : 18.94
Bid-YTW : 7.76 %

GWO.PR.P Insurance Straight Quote: 21.05 – 21.83
Spot Rate : 0.7800
Average : 0.4897

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-09-14
Maturity Price : 21.05
Evaluated at bid price : 21.05
Bid-YTW : 6.44 %

September 13, 2022

September 13th, 2022

The US inflation number came in higher than expected:

Prices rose 8.3 percent from a year earlier, a rapid pace of increase for consumers and not as much of a slowdown as economists had expected, even as gas prices dropped and weighed on the overall numbers. At the same time, so-called core inflation re-accelerated notably in August. That measure strips out volatile food and fuel prices to give a better sense of underlying trends, and it tracks products like clothing and furniture along with an array of services.

The core gauge climbed by 6.3 percent in the year through August, compared with 5.9 percent in July. That pickup came partly because the August price gains are being measured against a relatively weak reading from the same month in 2021. When inflation is measured against a lower year-ago number, or “base,” it tends to appear faster.

But the report’s details also offered signs that underlying inflation pressures remain significant. While gas prices and used car and truck costs have begun to dip, other prices are rising fast enough to fully offset those declines: Prices climbed by 0.1 percent on a headline basis over the course of the past month as prices for meals at restaurants, rents and new vehicles picked up.

The market was flabbergasted:

The Dow Jones Industrial Average fell 1276.37 points, or 3.9 per cent, marking its worst one-day sell-off in more than two years. Canada’s S&P/TSX Composite Index fell nearly 1.8 per cent.

Bond yields jumped and gold prices fell, battering typical investing havens when stocks turn volatile. And the Canadian dollar slipped below 76 US cents, touching its lowest level since November 2020.

U.S. financials fell 3.8 per cent and industrials fell 3.8 per cent. The tech-heavy Nasdaq Composite Index fell 5.2 per cent, with Apple Inc. down 5.9 per cent.

In Canada, Toronto-Dominion Bank fell 2.3 per cent and Shopify Inc. fell 5.8 per cent.

The yield on the 10-year U.S. Treasury bond rose above 3.4 per cent, or close to its recent multiyear high of 3.48 per in mid-June (bond yields and bond prices move in opposite directions), which signals market expectations that the Fed’s battle with inflation isn’t over.

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

Values are provisional and are finalized monthly
Index Mean
Current
Yield
(at bid)
Median
YTW
Median
Average
Trading
Value
Median
Mod Dur
(YTW)
Issues Day’s Perf. Index Value
Ratchet 0.00 % 0.00 % 0 0.00 0 -0.0759 % 2,531.4
FixedFloater 0.00 % 0.00 % 0 0.00 0 -0.0759 % 4,855.2
Floater 7.24 % 7.41 % 59,920 11.90 2 -0.0759 % 2,798.1
OpRet 0.00 % 0.00 % 0 0.00 0 0.1321 % 3,456.9
SplitShare 4.92 % 5.37 % 30,415 2.98 8 0.1321 % 4,128.3
Interest-Bearing 0.00 % 0.00 % 0 0.00 0 0.1321 % 3,221.0
Perpetual-Premium 0.00 % 0.00 % 0 0.00 0 -0.7943 % 2,791.2
Perpetual-Discount 6.10 % 6.27 % 61,293 13.43 35 -0.7943 % 3,043.6
FixedReset Disc 4.78 % 6.45 % 91,178 13.36 58 -0.7321 % 2,475.2
Insurance Straight 6.10 % 6.11 % 78,115 13.71 19 -0.5304 % 2,948.3
FloatingReset 7.87 % 8.06 % 37,844 11.37 2 0.1246 % 2,607.9
FixedReset Prem 5.15 % 5.30 % 108,938 1.77 6 -0.2779 % 2,571.0
FixedReset Bank Non 0.00 % 0.00 % 0 0.00 0 -0.7321 % 2,530.2
FixedReset Ins Non 4.85 % 6.99 % 50,564 12.98 14 -1.1141 % 2,516.5
Performance Highlights
Issue Index Change Notes
MFC.PR.Q FixedReset Ins Non -9.24 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-09-13
Maturity Price : 20.42
Evaluated at bid price : 20.42
Bid-YTW : 7.13 %
CU.PR.J Perpetual-Discount -7.69 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-09-13
Maturity Price : 18.00
Evaluated at bid price : 18.00
Bid-YTW : 6.67 %
BAM.PR.R FixedReset Disc -5.65 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-09-13
Maturity Price : 15.52
Evaluated at bid price : 15.52
Bid-YTW : 8.13 %
BNS.PR.I FixedReset Disc -3.09 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-09-13
Maturity Price : 23.04
Evaluated at bid price : 23.50
Bid-YTW : 6.07 %
IFC.PR.K Perpetual-Discount -2.89 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-09-13
Maturity Price : 21.51
Evaluated at bid price : 21.51
Bid-YTW : 6.24 %
CU.PR.H Perpetual-Discount -2.43 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-09-13
Maturity Price : 21.27
Evaluated at bid price : 21.27
Bid-YTW : 6.23 %
BMO.PR.W FixedReset Disc -2.22 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-09-13
Maturity Price : 20.68
Evaluated at bid price : 20.68
Bid-YTW : 6.44 %
TRP.PR.A FixedReset Disc -2.15 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-09-13
Maturity Price : 15.46
Evaluated at bid price : 15.46
Bid-YTW : 7.95 %
IAF.PR.I FixedReset Ins Non -2.09 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-09-13
Maturity Price : 22.26
Evaluated at bid price : 23.01
Bid-YTW : 6.49 %
CU.PR.E Perpetual-Discount -1.95 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-09-13
Maturity Price : 20.10
Evaluated at bid price : 20.10
Bid-YTW : 6.16 %
RY.PR.M FixedReset Disc -1.80 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-09-13
Maturity Price : 20.72
Evaluated at bid price : 20.72
Bid-YTW : 6.48 %
TD.PF.J FixedReset Disc -1.68 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-09-13
Maturity Price : 23.37
Evaluated at bid price : 24.06
Bid-YTW : 6.23 %
RY.PR.Z FixedReset Disc -1.60 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-09-13
Maturity Price : 20.96
Evaluated at bid price : 20.96
Bid-YTW : 6.40 %
BMO.PR.S FixedReset Disc -1.57 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-09-13
Maturity Price : 21.36
Evaluated at bid price : 21.36
Bid-YTW : 6.42 %
MIC.PR.A Perpetual-Discount -1.52 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-09-13
Maturity Price : 20.75
Evaluated at bid price : 20.75
Bid-YTW : 6.66 %
SLF.PR.C Insurance Straight -1.42 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-09-13
Maturity Price : 18.70
Evaluated at bid price : 18.70
Bid-YTW : 5.97 %
TD.PF.B FixedReset Disc -1.42 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-09-13
Maturity Price : 20.80
Evaluated at bid price : 20.80
Bid-YTW : 6.50 %
PVS.PR.H SplitShare -1.41 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2027-02-28
Maturity Price : 25.00
Evaluated at bid price : 24.50
Bid-YTW : 5.26 %
BAM.PF.E FixedReset Disc -1.28 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-09-13
Maturity Price : 17.71
Evaluated at bid price : 17.71
Bid-YTW : 7.76 %
RY.PR.S FixedReset Disc -1.26 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-09-13
Maturity Price : 23.01
Evaluated at bid price : 23.45
Bid-YTW : 6.00 %
CM.PR.O FixedReset Disc -1.24 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-09-13
Maturity Price : 20.69
Evaluated at bid price : 20.69
Bid-YTW : 6.56 %
CM.PR.P FixedReset Disc -1.19 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-09-13
Maturity Price : 20.75
Evaluated at bid price : 20.75
Bid-YTW : 6.42 %
GWO.PR.R Insurance Straight -1.18 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-09-13
Maturity Price : 19.25
Evaluated at bid price : 19.25
Bid-YTW : 6.26 %
BIP.PR.E FixedReset Disc -1.09 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-09-13
Maturity Price : 22.09
Evaluated at bid price : 22.72
Bid-YTW : 6.86 %
BAM.PR.N Perpetual-Discount -1.07 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-09-13
Maturity Price : 19.35
Evaluated at bid price : 19.35
Bid-YTW : 6.28 %
BIP.PR.A FixedReset Disc -1.05 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-09-13
Maturity Price : 18.80
Evaluated at bid price : 18.80
Bid-YTW : 8.37 %
TD.PF.C FixedReset Disc -1.05 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-09-13
Maturity Price : 20.78
Evaluated at bid price : 20.78
Bid-YTW : 6.45 %
BMO.PR.T FixedReset Disc -1.05 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-09-13
Maturity Price : 20.83
Evaluated at bid price : 20.83
Bid-YTW : 6.42 %
MFC.PR.B Insurance Straight -1.03 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-09-13
Maturity Price : 19.20
Evaluated at bid price : 19.20
Bid-YTW : 6.09 %
PVS.PR.J SplitShare 2.23 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2028-02-29
Maturity Price : 25.00
Evaluated at bid price : 22.90
Bid-YTW : 6.29 %
Volume Highlights
Issue Index Shares
Traded
Notes
CU.PR.C FixedReset Disc 38,400 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-09-13
Maturity Price : 21.58
Evaluated at bid price : 21.90
Bid-YTW : 6.37 %
TD.PF.E FixedReset Disc 23,900 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-09-13
Maturity Price : 21.80
Evaluated at bid price : 22.08
Bid-YTW : 6.38 %
CU.PR.I FixedReset Disc 22,900 YTW SCENARIO
Maturity Type : Call
Maturity Date : 2025-12-01
Maturity Price : 25.00
Evaluated at bid price : 25.56
Bid-YTW : 3.82 %
TD.PF.M FixedReset Prem 11,300 YTW SCENARIO
Maturity Type : Call
Maturity Date : 2024-07-31
Maturity Price : 25.00
Evaluated at bid price : 25.00
Bid-YTW : 5.48 %
RY.PR.Z FixedReset Disc 10,200 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-09-13
Maturity Price : 20.96
Evaluated at bid price : 20.96
Bid-YTW : 6.40 %
There were 0 other index-included issues trading in excess of 10,000 shares.
Wide Spread Highlights
Issue Index Quote Data and Yield Notes
MIC.PR.A Perpetual-Discount Quote: 20.75 – 28.99
Spot Rate : 8.2400
Average : 5.0093

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-09-13
Maturity Price : 20.75
Evaluated at bid price : 20.75
Bid-YTW : 6.66 %

MFC.PR.Q FixedReset Ins Non Quote: 20.42 – 23.00
Spot Rate : 2.5800
Average : 1.5678

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-09-13
Maturity Price : 20.42
Evaluated at bid price : 20.42
Bid-YTW : 7.13 %

CU.PR.J Perpetual-Discount Quote: 18.00 – 19.67
Spot Rate : 1.6700
Average : 1.0306

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-09-13
Maturity Price : 18.00
Evaluated at bid price : 18.00
Bid-YTW : 6.67 %

BAM.PR.R FixedReset Disc Quote: 15.52 – 16.98
Spot Rate : 1.4600
Average : 0.9482

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-09-13
Maturity Price : 15.52
Evaluated at bid price : 15.52
Bid-YTW : 8.13 %

IFC.PR.I Perpetual-Discount Quote: 22.36 – 24.10
Spot Rate : 1.7400
Average : 1.3389

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-09-13
Maturity Price : 22.03
Evaluated at bid price : 22.36
Bid-YTW : 6.16 %

CU.PR.F Perpetual-Discount Quote: 18.60 – 24.43
Spot Rate : 5.8300
Average : 5.5821

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-09-13
Maturity Price : 18.60
Evaluated at bid price : 18.60
Bid-YTW : 6.11 %

September 12, 2022

September 12th, 2022

The New York Fed released the August 2022 Survey of Consumer Expectations:

The main findings from the August 2022 Survey are:

Inflation

Median one- and three-year-ahead inflation expectations continued their steep declines in August: the one-year measure fell to 5.7% from 6.2% in July, while the three-year measure fell to 2.8% from 3.2%. The survey’s measure of disagreement across respondents (the difference between the 75th and 25th percentile of inflation expectations) increased to a new series high at the one-year horizon but decreased at the three-year horizon.

Median five-year-ahead inflation expectations, which have been elicited in the monthly SCE core survey on an ad-hoc basis since the beginning of this year and were first published in July 2022, also declined to 2.0% from 2.3%. Disagreement across respondents in their five-year-ahead inflation expectations also declined in August.

Median inflation uncertainty—or the uncertainty expressed regarding future inflation outcomes—decreased at the short-term horizon and was unchanged at the medium-term horizon.

Median home price expectations declined sharply by 1.4 percentage points to 2.1%, its lowest reading since July 2020, and falling below pre-pandemic levels. The decline was broad based across demographic groups and geographic regions. Home price expectations have now fallen by nearly two-thirds since the April 2022 reading of 6.0%.

Expectations about year-ahead price changes fell by 1.4 percentage points for gas (to 0.1%), 0.8 percentage point for food (to 5.8%), and 0.3 percentage point for rent (to 9.6%). The median expected change in the cost of medical care rose by 0.1 percentage point (to 9.3%) and was unchanged for college education at 8.4%.

The hit to Canadian wealth has been quantified:

Canadians saw their collective net worth fall by the most on record in the second quarter as financial markets and residential real estate hit a rough patch, ending a streak of massive wealth generation during the previous two years of the pandemic.

Household net worth fell by $990-billion in the second quarter to $15.2-trillion, a decline of 6.1 per cent from the first quarter, Statistics Canada said Monday in a report. Despite the drop, household wealth was still nearly $3-trillion higher than before the pandemic.

At the same time, Canadians packed on loads of debt, a perennial concern for the domestic economy. That remained the case in the second quarter as households added a near record $56.3-billion in debt, taking total borrowing to $2.8-billion [sic – I’m sure they mean ‘trillion’], mostly in mortgages.

Canadians now owe $1.82 for every dollar of disposable income, just shy of a record.

The credit tightening cycle hit Canadian real estate quickly. The value of residential real estate fell by 5 per cent in the second quarter, according to Monday’s report. Even so, it remained more than $2.3-trillion (or 41 per cent) higher than at the end of 2019. Home prices have continued to decline since the end of Statscan’s reporting period, further eroding wealth.

Similarly, the value of household financial assets dropped by 5.7 per cent in the second quarter as both equities and bonds tumbled. Major stock indices in Canada and the U.S. fell by double-digit percentages between April and June, while bond prices – which move inversely to yields – also fell. “The second quarter marked a less common occurrence when both bond and equity markets declined substantially,” Statscan said in its report.

The Junior Republicans have enthusiastically embraced the role of ‘party of stupid’:

And if this Conservative leadership race was a fight for the soul of the party, as former Progressive Conservative activist and senator Marjory LeBreton recently posited, well, the results are in. Reform is back, baby. Moderate conservatism is dead, and the harder-right, angrier, rougher edge will live the life everlasting. In the end, it wasn’t even close.

Self-described centrists in the party have certainly been angered by Mr. Poilievre’s online rhetoric and pro-crypto appeals, not to mention his sympathy for the anti-mandate freedom convoy. Some of them were so perturbed by the prospect of Mr. Poilievre’s ascension that they organized under the title of Centre Ice Conservatives, a dust cloud of respectability meant to form itself into the nucleus of a new party.

The centrists may yet prove to be Cassandras. Mr. Poilievre’s campaign may indeed foreshadow a far darker track: a destructive populism that plays on World Economic Forum conspiracy theories and undermines trust in long-standing institutions like the Bank of Canada in favour of a politics rooted in narcissism and grievance.

I’m not one of those ‘self-described centrists’, by the way, having quit the party (and my position on the local riding executive) the day after Harper’s ascension. But I would happily join a fiscally responsible party that embraced pragmatism over ideology … where’s Bill Davis when we need him?. Until we get one, however, I’ll just have to learn to endure being sneezed on in the name of freedom, bitcoin advertisements and a steady diet of resentment and claims of victimhood. Can’t wait.

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

Values are provisional and are finalized monthly
Index Mean
Current
Yield
(at bid)
Median
YTW
Median
Average
Trading
Value
Median
Mod Dur
(YTW)
Issues Day’s Perf. Index Value
Ratchet 0.00 % 0.00 % 0 0.00 0 0.1139 % 2,533.3
FixedFloater 0.00 % 0.00 % 0 0.00 0 0.1139 % 4,858.9
Floater 7.24 % 7.40 % 59,767 11.92 2 0.1139 % 2,800.2
OpRet 0.00 % 0.00 % 0 0.00 0 0.0648 % 3,452.3
SplitShare 4.93 % 5.41 % 31,601 2.98 8 0.0648 % 4,122.8
Interest-Bearing 0.00 % 0.00 % 0 0.00 0 0.0648 % 3,216.8
Perpetual-Premium 0.00 % 0.00 % 0 0.00 0 0.2447 % 2,813.5
Perpetual-Discount 6.06 % 6.22 % 61,289 13.50 35 0.2447 % 3,068.0
FixedReset Disc 4.75 % 6.38 % 91,135 13.41 58 -0.0124 % 2,493.5
Insurance Straight 6.07 % 6.11 % 79,005 13.74 19 0.0876 % 2,964.0
FloatingReset 7.88 % 8.06 % 38,241 11.36 2 -0.2797 % 2,604.6
FixedReset Prem 5.14 % 5.09 % 109,818 1.77 6 -0.5069 % 2,578.2
FixedReset Bank Non 0.00 % 0.00 % 0 0.00 0 -0.0124 % 2,548.9
FixedReset Ins Non 4.79 % 6.71 % 50,912 13.18 14 0.0335 % 2,544.9
Performance Highlights
Issue Index Change Notes
BIP.PR.A FixedReset Disc -3.80 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-09-12
Maturity Price : 19.00
Evaluated at bid price : 19.00
Bid-YTW : 8.28 %
RY.PR.H FixedReset Disc -1.86 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-09-12
Maturity Price : 21.10
Evaluated at bid price : 21.10
Bid-YTW : 6.36 %
RY.PR.J FixedReset Disc -1.57 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-09-12
Maturity Price : 21.52
Evaluated at bid price : 21.90
Bid-YTW : 6.37 %
BAM.PF.F FixedReset Disc -1.49 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-09-12
Maturity Price : 19.80
Evaluated at bid price : 19.80
Bid-YTW : 7.53 %
GWO.PR.Y Insurance Straight -1.32 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-09-12
Maturity Price : 18.72
Evaluated at bid price : 18.72
Bid-YTW : 6.03 %
CM.PR.O FixedReset Disc -1.09 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-09-12
Maturity Price : 20.95
Evaluated at bid price : 20.95
Bid-YTW : 6.47 %
BAM.PR.Z FixedReset Disc -1.06 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-09-12
Maturity Price : 21.91
Evaluated at bid price : 22.41
Bid-YTW : 7.04 %
BMO.PR.W FixedReset Disc 1.05 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-09-12
Maturity Price : 21.15
Evaluated at bid price : 21.15
Bid-YTW : 6.30 %
SLF.PR.C Insurance Straight 1.07 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-09-12
Maturity Price : 18.97
Evaluated at bid price : 18.97
Bid-YTW : 5.89 %
BAM.PF.G FixedReset Disc 1.18 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-09-12
Maturity Price : 18.01
Evaluated at bid price : 18.01
Bid-YTW : 7.85 %
PVS.PR.H SplitShare 1.22 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2027-02-28
Maturity Price : 25.00
Evaluated at bid price : 24.85
Bid-YTW : 4.90 %
BAM.PR.M Perpetual-Discount 1.24 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-09-12
Maturity Price : 19.60
Evaluated at bid price : 19.60
Bid-YTW : 6.19 %
CU.PR.E Perpetual-Discount 1.74 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-09-12
Maturity Price : 20.50
Evaluated at bid price : 20.50
Bid-YTW : 6.03 %
BAM.PF.E FixedReset Disc 2.75 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-09-12
Maturity Price : 17.94
Evaluated at bid price : 17.94
Bid-YTW : 7.66 %
NA.PR.W FixedReset Disc 4.80 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-09-12
Maturity Price : 20.75
Evaluated at bid price : 20.75
Bid-YTW : 6.43 %
CM.PR.P FixedReset Disc 5.00 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-09-12
Maturity Price : 21.00
Evaluated at bid price : 21.00
Bid-YTW : 6.35 %
Volume Highlights
Issue Index Shares
Traded
Notes
BAM.PR.Z FixedReset Disc 75,400 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-09-12
Maturity Price : 21.91
Evaluated at bid price : 22.41
Bid-YTW : 7.04 %
NA.PR.S FixedReset Disc 60,600 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-09-12
Maturity Price : 21.42
Evaluated at bid price : 21.75
Bid-YTW : 6.39 %
RY.PR.M FixedReset Disc 55,740 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-09-12
Maturity Price : 21.10
Evaluated at bid price : 21.10
Bid-YTW : 6.37 %
TD.PF.K FixedReset Disc 26,400 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-09-12
Maturity Price : 23.09
Evaluated at bid price : 23.61
Bid-YTW : 6.20 %
BAM.PR.X FixedReset Disc 25,600 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-09-12
Maturity Price : 17.96
Evaluated at bid price : 17.96
Bid-YTW : 7.03 %
MFC.PR.Q FixedReset Ins Non 24,300 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-09-12
Maturity Price : 21.95
Evaluated at bid price : 22.50
Bid-YTW : 6.44 %
There were 6 other index-included issues trading in excess of 10,000 shares.
Wide Spread Highlights
Issue Index Quote Data and Yield Notes
CCS.PR.C Insurance Straight Quote: 20.85 – 23.50
Spot Rate : 2.6500
Average : 1.9818

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-09-12
Maturity Price : 20.85
Evaluated at bid price : 20.85
Bid-YTW : 6.02 %

CU.PR.F Perpetual-Discount Quote: 18.56 – 24.43
Spot Rate : 5.8700
Average : 5.3103

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-09-12
Maturity Price : 18.56
Evaluated at bid price : 18.56
Bid-YTW : 6.12 %

SLF.PR.C Insurance Straight Quote: 18.97 – 19.98
Spot Rate : 1.0100
Average : 0.6143

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-09-12
Maturity Price : 18.97
Evaluated at bid price : 18.97
Bid-YTW : 5.89 %

RY.PR.J FixedReset Disc Quote: 21.90 – 22.85
Spot Rate : 0.9500
Average : 0.5640

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-09-12
Maturity Price : 21.52
Evaluated at bid price : 21.90
Bid-YTW : 6.37 %

IFC.PR.F Insurance Straight Quote: 22.00 – 23.15
Spot Rate : 1.1500
Average : 0.8956

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-09-12
Maturity Price : 21.68
Evaluated at bid price : 22.00
Bid-YTW : 6.14 %

PVS.PR.K SplitShare Quote: 22.40 – 22.98
Spot Rate : 0.5800
Average : 0.4203

YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2029-05-31
Maturity Price : 25.00
Evaluated at bid price : 22.40
Bid-YTW : 6.43 %

PRM.PR.A To Be Tracked By HIMIPref™

September 12th, 2022

Big Pharma Split Corp will soon be added to the HIMIPref™ database.

The preferred shares pay eligible dividends; the cash drag on the portfolio is massive.

DBRS rates the issue Pfd-3(high):

DBRS Limited (DBRS Morningstar) confirmed the rating of Pfd-3 (high) on the Preferred Shares issued by Big Pharma Split Corp. (the Company). The Company invests in a portfolio of approximately equally weighted common shares and securities (the Portfolio) convertible into or exchangeable for common shares (Equity Securities) of 10 issuers from the investable universe that must (1) be listed on a North American exchange, (2) pay a dividend, and (3) have sufficiently liquid options for their Equity Securities to permit the Portfolio Manager (i.e., Harvest Portfolio Group Inc.) to write options regarding such securities. The Portfolio Manager reconstitutes and rebalances the Portfolio at least semi-annually. No more than 20% of the net asset value (NAV) of the Company can be invested in securities other than from the 10 largest pharmaceutical issuers.

Holders of the Preferred Shares receive a quarterly fixed cumulative dividend in the amount of $0.125 per share to yield 5.00% per year on the issue price of $10.00. Holders of the Class A Shares receive regular monthly noncumulative distributions targeted to be $0.1031 per Class A Share to yield 8.25% per year on the issue price of $15.00. The Class A Share distributions are subject to the asset coverage test, which does not permit any distributions to holders of the Class A Shares if the NAV of the Company falls below $15.00 or if the dividends of the Preferred Shares are in arrears.

As of August 31, 2022, the downside protection available to the Preferred Shares was 57.2%. Considering the main focus of the Portfolio is the pharmaceutical industry, the underlying share prices may be sensitive to the market and industry developments. The dividend coverage ratio was 0.4 times. Regular distributions to holders of the Class A Shares, along with the Company’s operational expenses, are projected to cause an average annual portfolio grind of about 6.6% in the remaining term. To supplement Portfolio income, the Portfolio Manager engages in call option writing.

On June 7, 2021, the Company announced the establishment of an at-the-market equity program (the ATM Program) that is effective until December 4, 2022. The ATM Program allows the Company to issue up to $75 million of each of the Preferred Shares and the Class A Shares to the public from time to time at the Company’s discretion. Under the ATM Program, 166,300 Class A Shares and 166,300 Preferred Shares were issued during the year ended December 31, 2021, raising gross proceeds of $2.3 million and $1.7 million, respectively.

The redemption date for both classes of shares is December 31, 2022. The Company’s board of directors may extend the term beyond the redemption date for additional terms of five years each. On maturity, the holders of the Preferred Shares will be entitled to the value of the Portfolio up to the face value of the Preferred Shares and any accrued but unpaid dividends in priority to the holders of the Class A Shares.

Considering the credit quality and diversification of the Portfolio, as well as the amount of downside protection available to the Preferred Shares and a consistent dividend-paying history of the underlying companies in the Portfolio, DBRS Morningstar confirmed the rating on the Preferred Shares at Pfd-3 (high).

The main constraints to the rating are the following:

(1) Market fluctuations resulting from high inflation, interest rate hikes, oil prices, and global supply chain issues could further affect the Company’s NAV. The downside protection available to holders of the Preferred Shares depends on the value of the common shares held in the Portfolio.

(2) Volatility of price and changes in the dividend policies of the underlying issuers may result in significant reductions in the Preferred Shares dividend coverage or downside protection from time to time.

(3) Reliance on the manager to generate a high yield on the investment portfolio to meet distributions and other trust expenses without having to liquidate portfolio securities.

(4) The concentration of the Portfolio in one industry.

(5) Potential foreign-exchange risk because the income received on the Portfolio is not hedged.

September PrefLetter Released!

September 11th, 2022

The September, 2022, edition of PrefLetter has been released and is now available for purchase as the “Previous edition”. Those who subscribe for a full year receive the “Previous edition” as a bonus.

PrefLetter may now be purchased by all Canadian residents.

Until further notice, the “previous” edition will refer to the September, 2022, issue, while the “next” edition will be the October, 2022, issue scheduled to be prepared as of the close October 14, and emailed to subscribers prior to the market-opening on October 17. Prefletter is intended for long term investors seeking issues to buy-and-hold. At least one recommendation from each of the major preferred share sectors is included and discussed.

Note: My verbosity has grown by such leaps and bounds that it is no longer possible to deliver PrefLetter as an eMail attachment – it’s just too big for my software! Instead, I have sent passwords – click on the link in your eMail and your copy will download.

Note: There have been problems lately with corporate eMail protection systems that substitute “safe” links for the links sent in the eMails; the problem being that the “safe” links do not work and an error is generated by my software. To avoid possible problems and delays, please subscribe through an eMail account that is not “protected” by such software.

Note: The PrefLetter website has a Subscriber Download Feature. If you have not received your copy, try it!

Note: PrefLetter eMails sometimes runs afoul of spam filters. If you have not received your copy within fifteen minutes of a release notice such as this one, please double check your (company’s) spam filtering policy and your spam repository – there are some hints in the post Sympatico Spam Filters out of Control. If it’s not there, contact me and I’ll get you your copy … somehow!

Note: There have been scattered complaints regarding inability to open PrefLetter in Acrobat Reader, despite my practice of including myself on the subscription list and immediately checking the copy received. I have had the occasional difficulty reading US Government documents, which I was able to resolve by downloading and installing the latest version of Adobe Reader. Also, note that so far, all complaints have been from users of Yahoo Mail. Try saving it to disk first, before attempting to open it.

Note: There have been other scattered complaints that double-clicking on the links in the “PrefLetter Download” email results in a message that the password has already been used. I have been able to reproduce this problem in my own eMail software … the problem is double-clicking. What happens is the first click opens the link and the second click finds that the password has already been used and refuses to work properly. So the moral of the story is: Don’t be a dick! Single Click!

Note: Assiduous Reader DG informs me:

In case you have any other Apple users: you need to install a free App from the apple store called “FileApp”. It comes with it’s own tutorial and allows you to download and save a PDF file.

However, Assiduous Reader Adrian informs me in the comments to the January 2015 release:

Some nitpicking for DG:
FileApp costs $1.19 in the Apple Store.

But Adrian2 now advises:

Well, as of now, FileApp is free (again?).