MAPF Performance : April, 2020

May 1st, 2021

Malachite Aggressive Preferred Fund’s Net Asset Value per Unit as of the close April 30, 2021, was $9.8228.

Returns to April 30, 2021
Period MAPF TXPR*
Total Return
CPD – according to Blackrock
One Month +1.82% +2.06% N/A
Three Months +13.51% +8.30% N/A
One Year +65.02% +35.63% +%
Two Years (annualized) +13.99% +9.74% N/A
Three Years (annualized) +4.34% +4.16% +%
Four Years (annualized) +6.61% +4.39% N/A
Five Years (annualized) +10.17% +7.04% +%
Six Years (annualized) +5.04% +3.44% N/A
Seven Years (annualized) +4.29% +2.47% N/A
Eight Years (annualized) +3.92% +2.17% N/A
Nine Years (annualized) +4.49% +2.51% N/A
Ten Years (annualized) +4.43% +2.78% +%
Eleven Years (annualized) +6.06% +3.75%  
Twelve Years (annualized) +7.75% +4.39%  
Thirteen Years (annualized) +8.58% +3.39%  
Fourteen Years (annualized) +7.98%    
Fifteen Years (annualized) +7.89%    
Sixteen Years (annualized) +7.80%    
Seventeen Years (annualized) +7.91%    
Eighteen Years (annualized) +8.81%    
Nineteen Years (annualized) +8.43%    
Twenty Years (annualized) +8.81%    
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 +%, +% and +%, respectively, according to Globe & Mail / Fundata after all fees & expenses. Three year performance is +%; five year is +%; ten year is +%

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 +%, +% & +%, respectively. Three year performance is +%, five-year is +%
Figures for National Bank Preferred Equity Fund (formerly Altamira Preferred Equity Fund) are +%, +% and +% for one-, three- and twelve months, respectively. Three year performance is +%; five-year is +%.

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 +% for the past twelve months. Two year performance is +%, three year is +%, five year is +%.
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 +%, +% and +% for the past one-, three- and twelve-months, respectively. Two year performance is +%; three year is +%; five-year is +%.
Figures for PowerShares Canadian Preferred Share Index Class, Series F (PPS) are +% for the past twelve months. The three-year figure is +%; five years is +%
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 +%, +% and +% for the past one, three and twelve months, respectively. Three year performance is +%, five-year is +%.
Figures for the Desjardins Canadian Preferred Share Fund A Class (A Class), as reported by the company are +%, +% and +% for the past one, three and twelve months, respectively. Two year performance is +%, three-year is +%
Figures for the RBC Canadian Preferred Share ETF (RPF) as reported by Morningstar are +%, +% and +% for the past one, three and twelve months, respectively. Three-year performance is +%
Figures for the Dynamic Active Preferred Shares ETF (DXP) are +%, +% and +% for the past one, three and twelve months, respectively. Three-year performance is +%
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
April, 2021 9.8228 4.43% 0.998 4.439% 1.0000 $0.4360
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%
April, 2021 0.95% 0.09%

MAPF Performance : March, 2021

April 11th, 2021

Malachite Aggressive Preferred Fund’s Net Asset Value per Unit as of the close March 31, 2021, was $9.6473, after giving effect to a distribution of $0.095825.

This result is a 3.04% increase over the month (including dividend), vs. +1.83% for TXPR. Quarterly, the fund returned +16.06% vs. TXPR +8.84%. The fun figure is the trailing year’s result: the fund returned an astonishing +83.35% vs. +49.65% for TXPR. Don’t expect that every year! It is amusing to note the quarterly consistence of the fund’s return: it has returned between 16% and 17% for each of the past four quarters!

I have been ill and – given the time of year – many things have been delayed. I am endeavoring to catch up and will continue this post at a later date.

Update, 2021-4-18:

Returns to March 31, 2021
Period MAPF TXPR*
Total Return
CPD – according to Blackrock
One Month +3.04% +1.83% N/A
Three Months +16.06% +8.84% N/A
One Year +83.35% +49.65% +48.50%
Two Years (annualized) +13.34% +8.75% N/A
Three Years (annualized) +3.48% +3.31% +2.67%
Four Years (annualized) +5.86% +3.86% N/A
Five Years (annualized) +10.74% +7.23% +6.69%
Six Years (annualized) +4.69% +3.03% N/A
Seven Years (annualized) +4.34% +2.44% N/A
Eight Years (annualized) +3.62% +1.83% N/A
Nine Years (annualized) +4.33% +2.36% N/A
Ten Years (annualized) +4.11% +2.58% +2.08%
Eleven Years (annualized) +5.69% +3.34%  
Twelve Years (annualized) +8.56% +4.80%  
Thirteen Years (annualized) +8.49% +3.24%  
Fourteen Years (annualized) +7.74%    
Fifteen Years (annualized) +7.59%    
Sixteen Years (annualized) +7.60%    
Seventeen Years (annualized) +7.50%    
Eighteen Years (annualized) +9.10%    
Nineteen Years (annualized) +8.40%    
Twenty Years (annualized) +8.77%    
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 +2.05%, +11.75% and +55.34%, respectively, according to Globe & Mail / Fundata after all fees & expenses. Three year performance is +4.91%; five year is +7.86%; ten year is +3.48%

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 +2.34%, +11.3% & +57.86%, respectively. Three year performance is +2.85%, five-year is +7.45%
Figures for National Bank Preferred Equity Fund (formerly Altamira Preferred Equity Fund) are +2.24%, +11.37% and +57.83% for one-, three- and twelve months, respectively. Three year performance is +3.06%; five-year is +7.71%.

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 +57.40% for the past twelve months. Two year performance is +9.57%, three year is +3.01%, five year is +7.83%.
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 +1.74%, +8.46% and +51.80% for the past one-, three- and twelve-months, respectively. Two year performance is +7.07%; three year is +0.81%; five-year is +4.34%.
Figures for PowerShares Canadian Preferred Share Index Class, Series F (PPS) are +51.48% for the past twelve months. The three-year figure is +2.76%; five years is +7.67%
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 +3.10%, +14.31% and +54.57% for the past one, three and twelve months, respectively. Three year performance is +1.24%, five-year is +5.78%.
Figures for the Desjardins Canadian Preferred Share Fund A Class (A Class), as reported by the company are +1.92%, +8.88% and +47.21% for the past one, three and twelve months, respectively. Two year performance is +7.08%, three-year is +1.30%
Figures for the RBC Canadian Preferred Share ETF (RPF) as reported by Morningstar are +2.29%, +11.60% and +58.27% for the past one, three and twelve months, respectively. Three-year performance is +2.52%
Figures for the Dynamic Active Preferred Shares ETF (DXP) are +2.5%, +13.3% and +55.9% for the past one, three and twelve months, respectively. Three-year performance is +3.8%

April PrefLetter To Be Delayed Or Cancelled

April 11th, 2021

I regret to advise that publication of this month’s edition of PrefLetter has had to be delayed and will possibly be cancelled.

I have been ill and while I am recuperating, I have to admit that I’m not working very quickly! After consideration this weekend, I decided that I simply was not capable of giving PrefLetter the attention and vigour it requires.

Clients who have purchased the ‘Next Issue’ continue to be on the appropriate delivery list. Clients who have X issues remaining on their year’s subscription will continue to have X issues remaining until the next edition is distributed.

I’m very sorry for this. If any clients would prefer to receive a full or partial refund in lieu of the scheduled delivery, please eMail me and it will be arranged.

March 26, 2021

March 26th, 2021
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 0.5764 % 2,374.4
FixedFloater 0.00 % 0.00 % 0 0.00 0 0.5764 % 4,356.9
Floater 3.69 % 3.68 % 59,222 18.12 3 0.5764 % 2,510.9
OpRet 0.00 % 0.00 % 0 0.00 0 0.1777 % 3,684.1
SplitShare 4.76 % 4.15 % 44,647 3.60 9 0.1777 % 4,399.5
Interest-Bearing 0.00 % 0.00 % 0 0.00 0 0.1777 % 3,432.7
Perpetual-Premium 5.31 % -5.29 % 84,093 0.09 21 0.1190 % 3,258.5
Perpetual-Discount 4.94 % 4.99 % 77,338 15.49 13 0.0950 % 3,754.8
FixedReset Disc 4.39 % 3.88 % 205,794 17.21 52 -0.1524 % 2,649.9
Insurance Straight 4.98 % 4.57 % 98,118 4.01 22 -0.0326 % 3,657.3
FloatingReset 2.93 % 3.25 % 51,418 19.10 2 0.4719 % 2,401.2
FixedReset Prem 5.07 % 3.42 % 255,127 0.99 26 -0.0456 % 2,728.9
FixedReset Bank Non 1.81 % 2.42 % 208,858 0.84 1 -0.1201 % 2,886.2
FixedReset Ins Non 4.41 % 3.84 % 142,846 17.48 22 0.1227 % 2,790.2
Performance Highlights
Issue Index Change Notes
TRP.PR.E FixedReset Disc -6.49 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-03-26
Maturity Price : 18.01
Evaluated at bid price : 18.01
Bid-YTW : 4.83 %
TD.PF.J FixedReset Disc -2.14 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-03-26
Maturity Price : 23.26
Evaluated at bid price : 24.27
Bid-YTW : 3.89 %
TRP.PR.G FixedReset Disc -1.89 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-03-26
Maturity Price : 20.71
Evaluated at bid price : 20.71
Bid-YTW : 4.63 %
BAM.PR.X FixedReset Disc -1.89 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-03-26
Maturity Price : 15.60
Evaluated at bid price : 15.60
Bid-YTW : 4.49 %
TRP.PR.A FixedReset Disc -1.43 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-03-26
Maturity Price : 16.52
Evaluated at bid price : 16.52
Bid-YTW : 4.60 %
CM.PR.Q FixedReset Disc -1.28 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-03-26
Maturity Price : 22.40
Evaluated at bid price : 23.15
Bid-YTW : 3.87 %
BAM.PR.R FixedReset Disc -1.04 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-03-26
Maturity Price : 18.01
Evaluated at bid price : 18.01
Bid-YTW : 4.59 %
CU.PR.E Perpetual-Discount 1.02 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-03-26
Maturity Price : 24.47
Evaluated at bid price : 24.74
Bid-YTW : 4.99 %
IFC.PR.C FixedReset Ins Non 1.32 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-03-26
Maturity Price : 22.31
Evaluated at bid price : 23.10
Bid-YTW : 3.90 %
BAM.PF.F FixedReset Disc 1.39 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-03-26
Maturity Price : 21.64
Evaluated at bid price : 21.90
Bid-YTW : 4.43 %
TRP.PR.D FixedReset Disc 1.86 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-03-26
Maturity Price : 19.18
Evaluated at bid price : 19.18
Bid-YTW : 4.58 %
BAM.PR.Z FixedReset Disc 8.06 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-03-26
Maturity Price : 21.86
Evaluated at bid price : 22.40
Bid-YTW : 4.46 %
Volume Highlights
Issue Index Shares
Traded
Notes
NA.PR.C FixedReset Disc 109,000 YTW SCENARIO
Maturity Type : Call
Maturity Date : 2022-11-15
Maturity Price : 25.00
Evaluated at bid price : 25.27
Bid-YTW : 4.10 %
NA.PR.W FixedReset Disc 72,000 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-03-26
Maturity Price : 22.27
Evaluated at bid price : 22.87
Bid-YTW : 3.66 %
BAM.PF.A FixedReset Disc 67,500 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-03-26
Maturity Price : 22.34
Evaluated at bid price : 22.75
Bid-YTW : 4.44 %
TD.PF.A FixedReset Disc 65,400 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-03-26
Maturity Price : 22.25
Evaluated at bid price : 22.80
Bid-YTW : 3.63 %
RY.PR.R FixedReset Prem 59,600 YTW SCENARIO
Maturity Type : Call
Maturity Date : 2021-08-24
Maturity Price : 25.00
Evaluated at bid price : 25.42
Bid-YTW : 2.59 %
TD.PF.H FixedReset Prem 57,000 YTW SCENARIO
Maturity Type : Call
Maturity Date : 2021-10-31
Maturity Price : 25.00
Evaluated at bid price : 25.55
Bid-YTW : 2.37 %
There were 55 other index-included issues trading in excess of 10,000 shares.
Wide Spread Highlights
Issue Index Quote Data and Yield Notes
EIT.PR.B SplitShare Quote: 25.91 – 26.91
Spot Rate : 1.0000
Average : 0.6354

YTW SCENARIO
Maturity Type : Soft Maturity
Maturity Date : 2025-03-14
Maturity Price : 25.00
Evaluated at bid price : 25.91
Bid-YTW : 3.86 %

TRP.PR.E FixedReset Disc Quote: 18.01 – 19.30
Spot Rate : 1.2900
Average : 0.9748

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-03-26
Maturity Price : 18.01
Evaluated at bid price : 18.01
Bid-YTW : 4.83 %

BAM.PR.K Floater Quote: 11.58 – 15.88
Spot Rate : 4.3000
Average : 4.0192

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-03-26
Maturity Price : 11.58
Evaluated at bid price : 11.58
Bid-YTW : 3.70 %

CM.PR.Q FixedReset Disc Quote: 23.15 – 23.75
Spot Rate : 0.6000
Average : 0.4051

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-03-26
Maturity Price : 22.40
Evaluated at bid price : 23.15
Bid-YTW : 3.87 %

TD.PF.J FixedReset Disc Quote: 24.27 – 24.87
Spot Rate : 0.6000
Average : 0.4161

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-03-26
Maturity Price : 23.26
Evaluated at bid price : 24.27
Bid-YTW : 3.89 %

BIP.PR.B FixedReset Prem Quote: 25.55 – 26.75
Spot Rate : 1.2000
Average : 1.0452

YTW SCENARIO
Maturity Type : Call
Maturity Date : 2025-12-31
Maturity Price : 25.00
Evaluated at bid price : 25.55
Bid-YTW : 4.99 %

March 25, 2021

March 25th, 2021
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 0.1443 % 2,360.8
FixedFloater 0.00 % 0.00 % 0 0.00 0 0.1443 % 4,332.0
Floater 3.71 % 3.70 % 61,123 18.08 3 0.1443 % 2,496.5
OpRet 0.00 % 0.00 % 0 0.00 0 -0.0087 % 3,677.5
SplitShare 4.77 % 4.21 % 41,337 3.61 9 -0.0087 % 4,391.7
Interest-Bearing 0.00 % 0.00 % 0 0.00 0 -0.0087 % 3,426.6
Perpetual-Premium 5.30 % -2.52 % 79,124 0.09 21 -0.0372 % 3,254.7
Perpetual-Discount 4.95 % 5.00 % 77,781 15.52 13 -0.2717 % 3,751.2
FixedReset Disc 4.37 % 3.83 % 201,218 17.25 52 -0.3089 % 2,653.9
Insurance Straight 4.98 % 4.56 % 97,876 3.82 22 0.1179 % 3,658.5
FloatingReset 2.94 % 3.25 % 51,404 19.10 2 0.0675 % 2,389.9
FixedReset Prem 5.06 % 3.46 % 246,401 0.99 26 -0.1996 % 2,730.2
FixedReset Bank Non 1.81 % 2.27 % 211,802 0.84 1 0.0000 % 2,889.7
FixedReset Ins Non 4.42 % 3.86 % 144,469 17.42 22 -0.2366 % 2,786.8
Performance Highlights
Issue Index Change Notes
BAM.PR.Z FixedReset Disc -7.87 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-03-25
Maturity Price : 20.73
Evaluated at bid price : 20.73
Bid-YTW : 4.87 %
TRP.PR.D FixedReset Disc -2.69 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-03-25
Maturity Price : 18.83
Evaluated at bid price : 18.83
Bid-YTW : 4.67 %
CU.PR.E Perpetual-Discount -2.04 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-03-25
Maturity Price : 24.24
Evaluated at bid price : 24.49
Bid-YTW : 5.04 %
BAM.PF.B FixedReset Disc -1.96 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-03-25
Maturity Price : 21.00
Evaluated at bid price : 21.00
Bid-YTW : 4.48 %
BIP.PR.B FixedReset Prem -1.96 % YTW SCENARIO
Maturity Type : Call
Maturity Date : 2025-12-31
Maturity Price : 25.00
Evaluated at bid price : 25.55
Bid-YTW : 4.98 %
IFC.PR.A FixedReset Ins Non -1.68 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-03-25
Maturity Price : 17.60
Evaluated at bid price : 17.60
Bid-YTW : 3.95 %
TRP.PR.A FixedReset Disc -1.64 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-03-25
Maturity Price : 16.76
Evaluated at bid price : 16.76
Bid-YTW : 4.53 %
BAM.PF.F FixedReset Disc -1.50 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-03-25
Maturity Price : 21.31
Evaluated at bid price : 21.60
Bid-YTW : 4.49 %
NA.PR.W FixedReset Disc -1.09 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-03-25
Maturity Price : 22.14
Evaluated at bid price : 22.65
Bid-YTW : 3.70 %
SLF.PR.G FixedReset Ins Non -1.00 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-03-25
Maturity Price : 14.80
Evaluated at bid price : 14.80
Bid-YTW : 3.86 %
TD.PF.C FixedReset Disc 1.05 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-03-25
Maturity Price : 22.35
Evaluated at bid price : 22.99
Bid-YTW : 3.65 %
NA.PR.E FixedReset Disc 1.09 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-03-25
Maturity Price : 23.17
Evaluated at bid price : 24.10
Bid-YTW : 3.79 %
BAM.PR.R FixedReset Disc 1.68 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-03-25
Maturity Price : 18.20
Evaluated at bid price : 18.20
Bid-YTW : 4.54 %
TRP.PR.G FixedReset Disc 1.73 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-03-25
Maturity Price : 21.11
Evaluated at bid price : 21.11
Bid-YTW : 4.54 %
TD.PF.J FixedReset Disc 2.18 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-03-25
Maturity Price : 23.49
Evaluated at bid price : 24.80
Bid-YTW : 3.78 %
Volume Highlights
Issue Index Shares
Traded
Notes
BNS.PR.G FixedReset Prem 201,000 YTW SCENARIO
Maturity Type : Call
Maturity Date : 2021-07-25
Maturity Price : 25.00
Evaluated at bid price : 25.50
Bid-YTW : 2.12 %
TD.PF.A FixedReset Disc 122,000 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-03-25
Maturity Price : 22.25
Evaluated at bid price : 22.80
Bid-YTW : 3.63 %
BMO.PR.E FixedReset Disc 98,400 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-03-25
Maturity Price : 23.35
Evaluated at bid price : 24.76
Bid-YTW : 3.80 %
RY.PR.Z FixedReset Disc 96,300 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-03-25
Maturity Price : 22.41
Evaluated at bid price : 22.98
Bid-YTW : 3.55 %
RY.PR.Q FixedReset Prem 90,900 YTW SCENARIO
Maturity Type : Call
Maturity Date : 2021-05-24
Maturity Price : 25.00
Evaluated at bid price : 25.22
Bid-YTW : 2.79 %
TRP.PR.B FixedReset Disc 72,400 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-03-25
Maturity Price : 12.35
Evaluated at bid price : 12.35
Bid-YTW : 4.35 %
There were 36 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: 20.73 – 22.53
Spot Rate : 1.8000
Average : 1.1077

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-03-25
Maturity Price : 20.73
Evaluated at bid price : 20.73
Bid-YTW : 4.87 %

BAM.PR.K Floater Quote: 11.51 – 15.88
Spot Rate : 4.3700
Average : 3.7112

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-03-25
Maturity Price : 11.51
Evaluated at bid price : 11.51
Bid-YTW : 3.72 %

BAM.PF.A FixedReset Disc Quote: 22.78 – 24.25
Spot Rate : 1.4700
Average : 0.8738

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-03-25
Maturity Price : 22.36
Evaluated at bid price : 22.78
Bid-YTW : 4.43 %

BIP.PR.B FixedReset Prem Quote: 25.55 – 26.70
Spot Rate : 1.1500
Average : 0.8756

YTW SCENARIO
Maturity Type : Call
Maturity Date : 2025-12-31
Maturity Price : 25.00
Evaluated at bid price : 25.55
Bid-YTW : 4.98 %

MFC.PR.F FixedReset Ins Non Quote: 17.00 – 17.99
Spot Rate : 0.9900
Average : 0.7449

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-03-25
Maturity Price : 17.00
Evaluated at bid price : 17.00
Bid-YTW : 3.55 %

CU.PR.E Perpetual-Discount Quote: 24.49 – 25.10
Spot Rate : 0.6100
Average : 0.3904

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-03-25
Maturity Price : 24.24
Evaluated at bid price : 24.49
Bid-YTW : 5.04 %

March 24, 2021

March 24th, 2021
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 0.2314 % 2,357.4
FixedFloater 0.00 % 0.00 % 0 0.00 0 0.2314 % 4,325.7
Floater 3.71 % 3.70 % 61,784 18.08 3 0.2314 % 2,492.9
OpRet 0.00 % 0.00 % 0 0.00 0 0.1389 % 3,677.8
SplitShare 4.77 % 4.21 % 40,644 3.61 9 0.1389 % 4,392.1
Interest-Bearing 0.00 % 0.00 % 0 0.00 0 0.1389 % 3,426.9
Perpetual-Premium 5.30 % -1.87 % 79,992 0.09 21 0.0987 % 3,255.9
Perpetual-Discount 4.93 % 4.94 % 80,864 15.51 13 0.0632 % 3,761.4
FixedReset Disc 4.36 % 3.88 % 194,063 17.18 52 -0.1827 % 2,662.2
Insurance Straight 4.98 % 4.56 % 90,605 4.02 22 0.0890 % 3,654.2
FloatingReset 2.94 % 3.25 % 50,728 19.10 2 -0.2355 % 2,388.3
FixedReset Prem 5.05 % 3.39 % 247,508 0.99 26 -0.1289 % 2,735.6
FixedReset Bank Non 1.81 % 2.26 % 218,785 0.85 1 0.0400 % 2,889.7
FixedReset Ins Non 4.41 % 3.82 % 147,109 17.45 22 0.0653 % 2,793.4
Performance Highlights
Issue Index Change Notes
TD.PF.C FixedReset Disc -1.73 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-03-24
Maturity Price : 22.20
Evaluated at bid price : 22.75
Bid-YTW : 3.70 %
TD.PF.J FixedReset Disc -1.54 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-03-24
Maturity Price : 23.26
Evaluated at bid price : 24.27
Bid-YTW : 3.89 %
TD.PF.K FixedReset Disc -1.51 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-03-24
Maturity Price : 23.10
Evaluated at bid price : 24.13
Bid-YTW : 3.85 %
NA.PR.E FixedReset Disc -1.49 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-03-24
Maturity Price : 23.53
Evaluated at bid price : 23.84
Bid-YTW : 3.88 %
TD.PF.M FixedReset Prem -1.29 % YTW SCENARIO
Maturity Type : Call
Maturity Date : 2024-07-31
Maturity Price : 25.00
Evaluated at bid price : 26.06
Bid-YTW : 4.00 %
BAM.PR.R FixedReset Disc -1.10 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-03-24
Maturity Price : 17.90
Evaluated at bid price : 17.90
Bid-YTW : 4.61 %
BIP.PR.B FixedReset Prem -1.10 % YTW SCENARIO
Maturity Type : Call
Maturity Date : 2025-12-31
Maturity Price : 25.00
Evaluated at bid price : 26.06
Bid-YTW : 4.50 %
SLF.PR.G FixedReset Ins Non 1.01 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-03-24
Maturity Price : 14.95
Evaluated at bid price : 14.95
Bid-YTW : 3.82 %
MFC.PR.N FixedReset Ins Non 1.12 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-03-24
Maturity Price : 22.07
Evaluated at bid price : 22.55
Bid-YTW : 3.71 %
CU.PR.D Perpetual-Discount 1.63 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-03-24
Maturity Price : 24.64
Evaluated at bid price : 24.95
Bid-YTW : 4.94 %
TRP.PR.A FixedReset Disc 1.79 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-03-24
Maturity Price : 17.04
Evaluated at bid price : 17.04
Bid-YTW : 4.45 %
Volume Highlights
Issue Index Shares
Traded
Notes
TRP.PR.A FixedReset Disc 115,000 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-03-24
Maturity Price : 17.04
Evaluated at bid price : 17.04
Bid-YTW : 4.45 %
TRP.PR.J FixedReset Prem 107,000 YTW SCENARIO
Maturity Type : Call
Maturity Date : 2021-05-31
Maturity Price : 25.00
Evaluated at bid price : 25.25
Bid-YTW : 2.24 %
CM.PR.O FixedReset Disc 100,000 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-03-24
Maturity Price : 22.37
Evaluated at bid price : 22.95
Bid-YTW : 3.69 %
SLF.PR.A Insurance Straight 57,400 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-03-24
Maturity Price : 24.64
Evaluated at bid price : 24.90
Bid-YTW : 4.77 %
MFC.PR.O FixedReset Ins Non 53,900 YTW SCENARIO
Maturity Type : Call
Maturity Date : 2021-06-19
Maturity Price : 25.00
Evaluated at bid price : 25.23
Bid-YTW : 2.05 %
NA.PR.E FixedReset Disc 43,000 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-03-24
Maturity Price : 23.53
Evaluated at bid price : 23.84
Bid-YTW : 3.88 %
There were 38 other index-included issues trading in excess of 10,000 shares.
Wide Spread Highlights
Issue Index Quote Data and Yield Notes
BAM.PR.K Floater Quote: 11.47 – 15.88
Spot Rate : 4.4100
Average : 2.9889

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-03-24
Maturity Price : 11.47
Evaluated at bid price : 11.47
Bid-YTW : 3.74 %

POW.PR.A Perpetual-Premium Quote: 25.70 – 26.70
Spot Rate : 1.0000
Average : 0.5455

YTW SCENARIO
Maturity Type : Call
Maturity Date : 2021-04-23
Maturity Price : 25.00
Evaluated at bid price : 25.70
Bid-YTW : -14.71 %

TRP.PR.D FixedReset Disc Quote: 19.35 – 19.95
Spot Rate : 0.6000
Average : 0.4075

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-03-24
Maturity Price : 19.35
Evaluated at bid price : 19.35
Bid-YTW : 4.54 %

TD.PF.J FixedReset Disc Quote: 24.27 – 24.80
Spot Rate : 0.5300
Average : 0.3510

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-03-24
Maturity Price : 23.26
Evaluated at bid price : 24.27
Bid-YTW : 3.89 %

NA.PR.E FixedReset Disc Quote: 23.84 – 24.25
Spot Rate : 0.4100
Average : 0.2467

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-03-24
Maturity Price : 23.53
Evaluated at bid price : 23.84
Bid-YTW : 3.88 %

TD.PF.C FixedReset Disc Quote: 22.75 – 23.23
Spot Rate : 0.4800
Average : 0.3211

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-03-24
Maturity Price : 22.20
Evaluated at bid price : 22.75
Bid-YTW : 3.70 %

New Issue: EMA FixedReset, 4.25%+328M425

March 24th, 2021

Emera Incorporated has announced (although not yet on their website):

that it will issue 8,000,000 Cumulative Minimum Rate Reset First Preferred Shares, Series J (the “Series J Preferred Shares”) at a price of $25.00 per share and at an initial annual dividend rate of 4.25 per cent, for aggregate gross proceeds of $200 million on a bought deal basis to a syndicate of underwriters in Canada led by Scotiabank and RBC Capital Markets. Emera has granted to the underwriters an option, exercisable at any time up to two business days prior to the closing of the offering, to purchase up to an additional 2,000,000 Series J Preferred Shares at a price of $25.00 per share (the “Underwriters’ Option”). If the Underwriters’ Option is exercised in full, the aggregate gross proceeds to Emera will be $250 million.

The holders of the Series J Preferred Shares will be entitled to receive fixed cumulative preferential cash dividends at an annual rate of $1.0625 per share, payable quarterly, as and when declared by the board of directors of Emera, yielding 4.25 per cent per annum, for the initial period ending on May 15, 2026. The first of such dividends, if declared, shall be payable on August 15, 2021, and shall be $0.38134 per Series J Preferred Share, based on the anticipated closing of the offering on April 6, 2021. The dividend rate will be reset on May 15, 2026 and every five years thereafter at a rate equal to the sum of the then five-year Government of Canada bond yield plus 3.28 per cent, provided that, in any event, such rate shall not be less than 4.25 per cent per annum. The Series J Preferred Shares are redeemable by Emera, at its option, on May 15, 2026 and on May 15 of every fifth year thereafter.

The holders of Series J Preferred Shares will have the right to convert their shares into Cumulative Floating Rate First Preferred Shares, Series K (the “Series K Preferred Shares”), subject to certain conditions, on May 15, 2026 and on May 15 of every fifth year thereafter. The holders of the Series K Preferred Shares will be entitled to receive quarterly floating rate cumulative preferential cash dividends, as and when declared by the board of directors of Emera, at a rate equal to the sum of the 90-day Government of Canada treasury bill rate at such time plus 3.28 per cent.

The offering is subject to the receipt of all necessary regulatory and stock exchange approvals. The net proceeds of the offering will be used for general corporate purposes.

The Series J Preferred Shares will be offered to the public in Canada by way of prospectus supplement to Emera’s short form base shelf prospectus dated March 12, 2021.

This is the first new FixedReset since CM FixedReset, 5.15%+362, NVCC from May 2019, so that’s pretty exciting!

Standard & Poor’s rates it P-3(high):

S&P Global Ratings today assigned its ‘BB+’ on the global scale and ‘P-3 (High)’ on the Canada National Preferred Share Scale issue-level ratings to Halifax, N.S.-based utility holding company Emera Inc.’s (Emera) C$200 million series J cumulative minimum rate reset first preferred shares, with an option of up to C$250 million. Emera intends to use the net proceeds from these preferred shares for general corporate purposes.

We expect to assign intermediate equity credit (50% equity) to the shares based on the proposed terms. Our intermediate equity treatment is largely premised on the instrument’s permanence, subordination, and deferability features, as defined under our criteria for hybrid securities.

The series J first preferred stock is perpetual, with no maturity date and no incentive to redeem the issue for a long-dated period, meeting our standards for permanence. In addition, the dividend payments are deferrable, fulfilling the deferability element in our criteria. Furthermore, the instrument is subordinated to all existing and future senior debt obligations, satisfying our condition for subordination.

For these reasons and based on our review of the proposed terms of these instruments, we rate the securities two notches below our ‘BBB’ issuer credit rating on Emera at ‘BB+’ on the global scale or ‘P-3 (High)’ under the Canada National Preferred Share Scale Ratings. For our most recent issuer credit rating rationale, see the research update on Emera published on March 24, 2020.

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

March 23, 2021

March 24th, 2021
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 0.9933 % 2,352.0
FixedFloater 0.00 % 0.00 % 0 0.00 0 0.9933 % 4,315.7
Floater 3.72 % 3.71 % 61,507 18.05 3 0.9933 % 2,487.2
OpRet 0.00 % 0.00 % 0 0.00 0 -0.0130 % 3,672.7
SplitShare 4.77 % 4.33 % 42,211 3.61 9 -0.0130 % 4,386.0
Interest-Bearing 0.00 % 0.00 % 0 0.00 0 -0.0130 % 3,422.2
Perpetual-Premium 5.30 % -3.11 % 80,212 0.09 21 0.0764 % 3,252.7
Perpetual-Discount 4.94 % 4.99 % 82,106 15.53 13 0.5403 % 3,759.0
FixedReset Disc 4.35 % 3.80 % 196,340 17.30 52 0.1084 % 2,667.0
Insurance Straight 4.99 % 4.57 % 91,082 15.45 22 0.2384 % 3,650.9
FloatingReset 2.94 % 3.24 % 52,591 19.14 2 -0.2685 % 2,393.9
FixedReset Prem 5.05 % 3.44 % 237,401 1.00 26 0.3082 % 2,739.2
FixedReset Bank Non 1.81 % 2.30 % 227,495 0.85 1 0.0802 % 2,888.5
FixedReset Ins Non 4.41 % 3.83 % 144,278 17.48 22 0.1636 % 2,791.6
Performance Highlights
Issue Index Change Notes
TRP.PR.G FixedReset Disc -3.18 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-03-23
Maturity Price : 20.71
Evaluated at bid price : 20.71
Bid-YTW : 4.62 %
TRP.PR.A FixedReset Disc -1.82 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-03-23
Maturity Price : 16.74
Evaluated at bid price : 16.74
Bid-YTW : 4.53 %
BAM.PR.Z FixedReset Disc -1.53 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-03-23
Maturity Price : 22.18
Evaluated at bid price : 22.50
Bid-YTW : 4.46 %
NA.PR.S FixedReset Disc -1.06 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-03-23
Maturity Price : 22.65
Evaluated at bid price : 23.40
Bid-YTW : 3.71 %
SLF.PR.I FixedReset Ins Non -1.03 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-03-23
Maturity Price : 23.48
Evaluated at bid price : 24.10
Bid-YTW : 3.83 %
CIU.PR.A Perpetual-Discount 1.04 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-03-23
Maturity Price : 23.95
Evaluated at bid price : 24.20
Bid-YTW : 4.78 %
TD.PF.I FixedReset Disc 1.19 % YTW SCENARIO
Maturity Type : Call
Maturity Date : 2022-10-31
Maturity Price : 25.00
Evaluated at bid price : 25.42
Bid-YTW : 3.85 %
BAM.PF.E FixedReset Disc 1.30 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-03-23
Maturity Price : 19.50
Evaluated at bid price : 19.50
Bid-YTW : 4.57 %
TD.PF.M FixedReset Prem 1.54 % YTW SCENARIO
Maturity Type : Call
Maturity Date : 2024-07-31
Maturity Price : 25.00
Evaluated at bid price : 26.40
Bid-YTW : 3.57 %
BAM.PR.R FixedReset Disc 1.63 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-03-23
Maturity Price : 18.10
Evaluated at bid price : 18.10
Bid-YTW : 4.56 %
CU.PR.F Perpetual-Discount 1.93 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-03-23
Maturity Price : 23.49
Evaluated at bid price : 23.75
Bid-YTW : 4.77 %
BAM.PF.B FixedReset Disc 2.14 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-03-23
Maturity Price : 21.45
Evaluated at bid price : 21.45
Bid-YTW : 4.39 %
CU.PR.G Perpetual-Discount 2.32 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-03-23
Maturity Price : 23.55
Evaluated at bid price : 23.82
Bid-YTW : 4.75 %
BAM.PF.G FixedReset Disc 2.96 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-03-23
Maturity Price : 20.50
Evaluated at bid price : 20.50
Bid-YTW : 4.53 %
BAM.PR.K Floater 3.07 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-03-23
Maturity Price : 11.43
Evaluated at bid price : 11.43
Bid-YTW : 3.75 %
BIP.PR.B FixedReset Prem 3.13 % YTW SCENARIO
Maturity Type : Call
Maturity Date : 2025-12-31
Maturity Price : 25.00
Evaluated at bid price : 26.35
Bid-YTW : 4.24 %
IFC.PR.C FixedReset Ins Non 3.89 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-03-23
Maturity Price : 22.08
Evaluated at bid price : 22.70
Bid-YTW : 3.98 %
Volume Highlights
Issue Index Shares
Traded
Notes
MFC.PR.I FixedReset Ins Non 103,000 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-03-23
Maturity Price : 23.94
Evaluated at bid price : 24.32
Bid-YTW : 3.99 %
RY.PR.J FixedReset Disc 75,700 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-03-23
Maturity Price : 23.04
Evaluated at bid price : 24.49
Bid-YTW : 3.62 %
BAM.PR.B Floater 63,900 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-03-23
Maturity Price : 11.55
Evaluated at bid price : 11.55
Bid-YTW : 3.71 %
BAM.PF.J FixedReset Prem 51,000 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-03-23
Maturity Price : 23.65
Evaluated at bid price : 25.00
Bid-YTW : 4.69 %
BAM.PF.B FixedReset Disc 42,500 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-03-23
Maturity Price : 21.45
Evaluated at bid price : 21.45
Bid-YTW : 4.39 %
BAM.PR.C Floater 36,500 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-03-23
Maturity Price : 11.59
Evaluated at bid price : 11.59
Bid-YTW : 3.70 %
There were 36 other index-included issues trading in excess of 10,000 shares.
Wide Spread Highlights
Issue Index Quote Data and Yield Notes
MFC.PR.F FixedReset Ins Non Quote: 16.92 – 17.99
Spot Rate : 1.0700
Average : 0.6912

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-03-23
Maturity Price : 16.92
Evaluated at bid price : 16.92
Bid-YTW : 3.56 %

TRP.PR.G FixedReset Disc Quote: 20.71 – 21.43
Spot Rate : 0.7200
Average : 0.4617

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-03-23
Maturity Price : 20.71
Evaluated at bid price : 20.71
Bid-YTW : 4.62 %

TRP.PR.E FixedReset Disc Quote: 19.31 – 20.50
Spot Rate : 1.1900
Average : 0.9868

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-03-23
Maturity Price : 19.31
Evaluated at bid price : 19.31
Bid-YTW : 4.50 %

CU.PR.D Perpetual-Discount Quote: 24.55 – 25.11
Spot Rate : 0.5600
Average : 0.4335

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-03-23
Maturity Price : 24.29
Evaluated at bid price : 24.55
Bid-YTW : 5.02 %

POW.PR.G Perpetual-Premium Quote: 25.58 – 25.99
Spot Rate : 0.4100
Average : 0.2971

YTW SCENARIO
Maturity Type : Call
Maturity Date : 2021-05-15
Maturity Price : 25.00
Evaluated at bid price : 25.58
Bid-YTW : -3.11 %

BAM.PF.A FixedReset Disc Quote: 22.91 – 23.35
Spot Rate : 0.4400
Average : 0.3298

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-03-23
Maturity Price : 22.44
Evaluated at bid price : 22.91
Bid-YTW : 4.40 %

March 22, 2021

March 22nd, 2021
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 1.0629 % 2,328.8
FixedFloater 0.00 % 0.00 % 0 0.00 0 1.0629 % 4,273.3
Floater 3.76 % 3.71 % 60,620 18.06 3 1.0629 % 2,462.7
OpRet 0.00 % 0.00 % 0 0.00 0 -0.0304 % 3,673.2
SplitShare 4.77 % 4.20 % 42,604 3.62 9 -0.0304 % 4,386.6
Interest-Bearing 0.00 % 0.00 % 0 0.00 0 -0.0304 % 3,422.6
Perpetual-Premium 5.30 % -1.73 % 79,223 0.09 21 -0.0037 % 3,250.2
Perpetual-Discount 4.96 % 5.01 % 80,819 15.46 13 0.3028 % 3,738.8
FixedReset Disc 4.36 % 3.87 % 196,563 17.26 52 -0.0944 % 2,664.1
Insurance Straight 5.00 % 4.66 % 91,775 15.46 22 -0.0437 % 3,642.2
FloatingReset 2.93 % 3.22 % 48,471 19.18 2 -0.9967 % 2,400.4
FixedReset Prem 5.06 % 3.50 % 233,394 1.00 26 -0.0015 % 2,730.7
FixedReset Bank Non 1.81 % 2.39 % 228,117 0.85 1 0.1606 % 2,886.2
FixedReset Ins Non 4.42 % 3.83 % 145,244 17.46 22 -0.0347 % 2,787.0
Performance Highlights
Issue Index Change Notes
BAM.PF.G FixedReset Disc -2.55 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-03-22
Maturity Price : 19.91
Evaluated at bid price : 19.91
Bid-YTW : 4.66 %
TRP.PR.B FixedReset Disc -2.35 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-03-22
Maturity Price : 12.44
Evaluated at bid price : 12.44
Bid-YTW : 4.32 %
SLF.PR.J FloatingReset -2.05 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-03-22
Maturity Price : 14.30
Evaluated at bid price : 14.30
Bid-YTW : 2.60 %
IAF.PR.G FixedReset Ins Non -1.26 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-03-22
Maturity Price : 23.76
Evaluated at bid price : 24.20
Bid-YTW : 3.94 %
SLF.PR.E Insurance Straight -1.20 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-03-22
Maturity Price : 24.29
Evaluated at bid price : 24.60
Bid-YTW : 4.57 %
BIP.PR.B FixedReset Prem -1.16 % YTW SCENARIO
Maturity Type : Call
Maturity Date : 2025-12-31
Maturity Price : 25.00
Evaluated at bid price : 25.55
Bid-YTW : 4.97 %
TD.PF.E FixedReset Disc -1.12 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-03-22
Maturity Price : 22.71
Evaluated at bid price : 23.80
Bid-YTW : 3.87 %
BAM.PR.X FixedReset Disc 1.02 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-03-22
Maturity Price : 15.90
Evaluated at bid price : 15.90
Bid-YTW : 4.40 %
BAM.PF.A FixedReset Disc 1.06 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-03-22
Maturity Price : 22.47
Evaluated at bid price : 22.95
Bid-YTW : 4.39 %
SLF.PR.I FixedReset Ins Non 1.16 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-03-22
Maturity Price : 23.77
Evaluated at bid price : 24.35
Bid-YTW : 3.79 %
TRP.PR.A FixedReset Disc 1.49 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-03-22
Maturity Price : 17.05
Evaluated at bid price : 17.05
Bid-YTW : 4.45 %
BAM.PR.Z FixedReset Disc 1.56 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-03-22
Maturity Price : 22.50
Evaluated at bid price : 22.85
Bid-YTW : 4.39 %
MFC.PR.L FixedReset Ins Non 1.56 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-03-22
Maturity Price : 21.43
Evaluated at bid price : 21.43
Bid-YTW : 3.81 %
BAM.PR.C Floater 1.58 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-03-22
Maturity Price : 11.59
Evaluated at bid price : 11.59
Bid-YTW : 3.70 %
BAM.PR.B Floater 1.58 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-03-22
Maturity Price : 11.55
Evaluated at bid price : 11.55
Bid-YTW : 3.71 %
CU.PR.E Perpetual-Discount 1.80 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-03-22
Maturity Price : 24.62
Evaluated at bid price : 24.93
Bid-YTW : 4.94 %
Volume Highlights
Issue Index Shares
Traded
Notes
NA.PR.X FixedReset Prem 64,800 YTW SCENARIO
Maturity Type : Call
Maturity Date : 2021-05-15
Maturity Price : 25.00
Evaluated at bid price : 25.30
Bid-YTW : 1.10 %
TRP.PR.E FixedReset Disc 52,200 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-03-22
Maturity Price : 19.31
Evaluated at bid price : 19.31
Bid-YTW : 4.49 %
RY.PR.J FixedReset Disc 51,600 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-03-22
Maturity Price : 23.01
Evaluated at bid price : 24.41
Bid-YTW : 3.63 %
TRP.PR.K FixedReset Prem 49,100 YTW SCENARIO
Maturity Type : Call
Maturity Date : 2022-05-31
Maturity Price : 25.00
Evaluated at bid price : 25.25
Bid-YTW : 4.34 %
BAM.PR.B Floater 47,600 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-03-22
Maturity Price : 11.55
Evaluated at bid price : 11.55
Bid-YTW : 3.71 %
PWF.PR.S Perpetual-Discount 44,700 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-03-22
Maturity Price : 23.96
Evaluated at bid price : 24.22
Bid-YTW : 5.01 %
There were 27 other index-included issues trading in excess of 10,000 shares.
Wide Spread Highlights
Issue Index Quote Data and Yield Notes
BAM.PR.K Floater Quote: 11.09 – 15.88
Spot Rate : 4.7900
Average : 2.7804

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-03-22
Maturity Price : 11.09
Evaluated at bid price : 11.09
Bid-YTW : 3.86 %

TRP.PR.E FixedReset Disc Quote: 19.31 – 20.50
Spot Rate : 1.1900
Average : 0.7639

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-03-22
Maturity Price : 19.31
Evaluated at bid price : 19.31
Bid-YTW : 4.49 %

BAM.PF.G FixedReset Disc Quote: 19.91 – 20.70
Spot Rate : 0.7900
Average : 0.5394

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-03-22
Maturity Price : 19.91
Evaluated at bid price : 19.91
Bid-YTW : 4.66 %

BAM.PR.R FixedReset Disc Quote: 17.81 – 18.80
Spot Rate : 0.9900
Average : 0.7613

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-03-22
Maturity Price : 17.81
Evaluated at bid price : 17.81
Bid-YTW : 4.64 %

BAM.PF.E FixedReset Disc Quote: 19.25 – 19.90
Spot Rate : 0.6500
Average : 0.4245

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-03-22
Maturity Price : 19.25
Evaluated at bid price : 19.25
Bid-YTW : 4.62 %

RY.PR.P Perpetual-Premium Quote: 26.20 – 26.78
Spot Rate : 0.5800
Average : 0.3618

YTW SCENARIO
Maturity Type : Call
Maturity Date : 2021-04-21
Maturity Price : 26.00
Evaluated at bid price : 26.20
Bid-YTW : 0.06 %

TD.PF.G To Be Redeemed

March 20th, 2021

The Toronto-Dominion Bank has announced:

that it will exercise its right to redeem all of its 28,000,000 outstanding Non-Cumulative 5-Year Rate Reset Class A First Preferred Shares, Series 12 (Non-Viability Contingent Capital) (the “Series 12 Shares”) on April 30, 2021 at the price of $25.00 per Series 12 Share for an aggregate total of approximately $700 million.

On February 25, 2021, TD announced that dividends of $0.34375 per Series 12 Share had been declared. These will be the final dividends on the Series 12 Shares, and will be paid in the usual manner on April 30, 2021 to shareholders of record on April 9, 2021, as previously announced. After April 30, 2021, the Series 12 Shares will cease to be entitled to dividends and the only remaining rights of holders of such shares will be to receive payment of the redemption amount.

Beneficial holders who are not directly the registered holder of Series 12 Shares should contact the financial institution, broker or other intermediary through which they hold these shares to confirm how they will receive their redemption proceeds. Inquiries should be directed to our Registrar and Transfer Agent, AST Trust Company (Canada), at 1-800-387-0825 (or in Toronto 416-682-3860).

TD.PF.G is a FixedReset, 5.50%+466, NVCC-compliant issue that commenced trading 2016-1-14 after being announced 2016-1-5.

Thanks to Assiduous Reader CanSiamCyp for ensuring I did not miss this!