August 5, 2020

August 5th, 2020

PerpetualDiscounts now yield 5.66%, equivalent to 7.36% interest at the standard equivalency factor of 1.3x. Long corporates now yield 2.85%, so the pre-tax interest-equivalent spread (in this context, the “Seniority Spread”) has remained steady at 450bp, the same as the 450bp reported July 29. We remain slightly above the pre-2020 record of 445bp briefly touched in 2008.

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 -0.3666 % 1,588.1
FixedFloater 0.00 % 0.00 % 0 0.00 0 -0.3666 % 2,914.0
Floater 5.26 % 5.32 % 58,631 14.92 3 -0.3666 % 1,679.4
OpRet 0.00 % 0.00 % 0 0.00 0 0.0099 % 3,486.6
SplitShare 4.68 % 4.72 % 45,775 3.27 8 0.0099 % 4,163.8
Interest-Bearing 0.00 % 0.00 % 0 0.00 0 0.0099 % 3,248.8
Perpetual-Premium 5.58 % 4.87 % 81,918 4.05 4 0.2468 % 3,085.0
Perpetual-Discount 5.49 % 5.66 % 75,407 14.38 31 0.1622 % 3,326.5
FixedReset Disc 5.74 % 4.44 % 120,506 16.11 67 0.4148 % 1,994.3
Deemed-Retractible 5.25 % 5.34 % 92,274 14.53 27 0.0730 % 3,271.0
FloatingReset 2.93 % 2.35 % 32,537 1.47 3 0.3863 % 1,765.0
FixedReset Prem 5.28 % 4.39 % 239,728 1.00 11 0.0722 % 2,602.6
FixedReset Bank Non 1.96 % 2.54 % 112,192 1.46 2 0.1217 % 2,828.0
FixedReset Ins Non 5.83 % 4.54 % 97,581 15.73 22 -0.4836 % 2,041.8
Performance Highlights
Issue Index Change Notes
SLF.PR.I FixedReset Ins Non -13.41 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-08-05
Maturity Price : 15.50
Evaluated at bid price : 15.50
Bid-YTW : 5.08 %
TRP.PR.C FixedReset Disc -2.51 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-08-05
Maturity Price : 8.53
Evaluated at bid price : 8.53
Bid-YTW : 5.48 %
PWF.PR.P FixedReset Disc -2.49 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-08-05
Maturity Price : 9.80
Evaluated at bid price : 9.80
Bid-YTW : 4.92 %
IFC.PR.A FixedReset Ins Non -2.32 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-08-05
Maturity Price : 12.21
Evaluated at bid price : 12.21
Bid-YTW : 4.62 %
RY.PR.S FixedReset Disc -1.95 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-08-05
Maturity Price : 18.61
Evaluated at bid price : 18.61
Bid-YTW : 4.13 %
CM.PR.Q FixedReset Disc -1.37 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-08-05
Maturity Price : 17.26
Evaluated at bid price : 17.26
Bid-YTW : 4.54 %
TD.PF.A FixedReset Disc -1.18 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-08-05
Maturity Price : 16.70
Evaluated at bid price : 16.70
Bid-YTW : 4.20 %
CCS.PR.C Deemed-Retractible -1.14 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-08-05
Maturity Price : 22.27
Evaluated at bid price : 22.54
Bid-YTW : 5.61 %
POW.PR.C Perpetual-Discount 1.01 % YTW SCENARIO
Maturity Type : Call
Maturity Date : 2020-09-04
Maturity Price : 25.00
Evaluated at bid price : 25.10
Bid-YTW : 5.02 %
PWF.PR.T FixedReset Disc 1.14 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-08-05
Maturity Price : 15.98
Evaluated at bid price : 15.98
Bid-YTW : 4.67 %
IFC.PR.C FixedReset Ins Non 1.23 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-08-05
Maturity Price : 16.50
Evaluated at bid price : 16.50
Bid-YTW : 4.59 %
TRP.PR.F FloatingReset 1.30 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-08-05
Maturity Price : 10.13
Evaluated at bid price : 10.13
Bid-YTW : 5.22 %
CM.PR.O FixedReset Disc 1.31 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-08-05
Maturity Price : 16.26
Evaluated at bid price : 16.26
Bid-YTW : 4.44 %
MFC.PR.Q FixedReset Ins Non 1.44 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-08-05
Maturity Price : 17.65
Evaluated at bid price : 17.65
Bid-YTW : 4.52 %
CU.PR.I FixedReset Disc 1.54 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-08-05
Maturity Price : 24.14
Evaluated at bid price : 24.85
Bid-YTW : 4.49 %
BMO.PR.E FixedReset Disc 1.71 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-08-05
Maturity Price : 19.63
Evaluated at bid price : 19.63
Bid-YTW : 4.21 %
TRP.PR.G FixedReset Disc 1.99 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-08-05
Maturity Price : 15.35
Evaluated at bid price : 15.35
Bid-YTW : 5.44 %
BAM.PR.R FixedReset Disc 2.72 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-08-05
Maturity Price : 12.45
Evaluated at bid price : 12.45
Bid-YTW : 5.35 %
TRP.PR.B FixedReset Disc 3.00 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-08-05
Maturity Price : 8.25
Evaluated at bid price : 8.25
Bid-YTW : 4.96 %
TD.PF.E FixedReset Disc 4.00 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-08-05
Maturity Price : 18.72
Evaluated at bid price : 18.72
Bid-YTW : 4.27 %
RY.PR.M FixedReset Disc 17.49 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-08-05
Maturity Price : 18.00
Evaluated at bid price : 18.00
Bid-YTW : 4.08 %
Volume Highlights
Issue Index Shares
Traded
Notes
CM.PR.S FixedReset Disc 204,960 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-08-05
Maturity Price : 17.71
Evaluated at bid price : 17.71
Bid-YTW : 4.27 %
RY.PR.M FixedReset Disc 80,000 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-08-05
Maturity Price : 18.00
Evaluated at bid price : 18.00
Bid-YTW : 4.08 %
TD.PF.H FixedReset Prem 41,915 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-08-05
Maturity Price : 23.85
Evaluated at bid price : 25.05
Bid-YTW : 4.39 %
RY.PR.Q FixedReset Prem 33,842 YTW SCENARIO
Maturity Type : Call
Maturity Date : 2021-05-24
Maturity Price : 25.00
Evaluated at bid price : 25.20
Bid-YTW : 4.11 %
BMO.PR.B FixedReset Prem 27,900 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-08-05
Maturity Price : 23.75
Evaluated at bid price : 25.10
Bid-YTW : 4.31 %
TRP.PR.D FixedReset Disc 23,452 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-08-05
Maturity Price : 13.51
Evaluated at bid price : 13.51
Bid-YTW : 5.50 %
There were 13 other index-included issues trading in excess of 10,000 shares.
Wide Spread Highlights
Issue Index Quote Data and Yield Notes
SLF.PR.I FixedReset Ins Non Quote: 15.50 – 18.26
Spot Rate : 2.7600
Average : 1.6030

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-08-05
Maturity Price : 15.50
Evaluated at bid price : 15.50
Bid-YTW : 5.08 %

BAM.PR.R FixedReset Disc Quote: 12.45 – 13.27
Spot Rate : 0.8200
Average : 0.5967

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-08-05
Maturity Price : 12.45
Evaluated at bid price : 12.45
Bid-YTW : 5.35 %

RY.PR.H FixedReset Disc Quote: 17.01 – 17.43
Spot Rate : 0.4200
Average : 0.2639

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-08-05
Maturity Price : 17.01
Evaluated at bid price : 17.01
Bid-YTW : 4.11 %

TRP.PR.A FixedReset Disc Quote: 11.98 – 12.54
Spot Rate : 0.5600
Average : 0.4165

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-08-05
Maturity Price : 11.98
Evaluated at bid price : 11.98
Bid-YTW : 5.43 %

TRP.PR.C FixedReset Disc Quote: 8.53 – 9.25
Spot Rate : 0.7200
Average : 0.5791

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-08-05
Maturity Price : 8.53
Evaluated at bid price : 8.53
Bid-YTW : 5.48 %

IFC.PR.A FixedReset Ins Non Quote: 12.21 – 12.90
Spot Rate : 0.6900
Average : 0.5583

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-08-05
Maturity Price : 12.21
Evaluated at bid price : 12.21
Bid-YTW : 4.62 %

August 4, 2020

August 4th, 2020
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 0.0408 % 1,593.9
FixedFloater 0.00 % 0.00 % 0 0.00 0 0.0408 % 2,924.7
Floater 5.24 % 5.30 % 58,226 14.97 3 0.0408 % 1,685.5
OpRet 0.00 % 0.00 % 0 0.00 0 0.1292 % 3,486.3
SplitShare 4.68 % 4.69 % 46,341 3.27 8 0.1292 % 4,163.4
Interest-Bearing 0.00 % 0.00 % 0 0.00 0 0.1292 % 3,248.4
Perpetual-Premium 5.57 % 4.84 % 78,560 4.05 4 0.0498 % 3,077.4
Perpetual-Discount 5.49 % 5.66 % 74,278 14.39 31 0.2024 % 3,321.1
FixedReset Disc 5.76 % 4.46 % 139,046 16.03 67 -0.2536 % 1,986.1
Deemed-Retractible 5.25 % 5.34 % 93,252 14.53 27 0.0746 % 3,268.6
FloatingReset 2.94 % 2.46 % 33,863 1.47 3 -0.1361 % 1,758.2
FixedReset Prem 5.28 % 4.40 % 245,340 1.02 11 0.1084 % 2,600.8
FixedReset Bank Non 1.96 % 2.56 % 113,146 1.46 2 0.2032 % 2,824.6
FixedReset Ins Non 5.80 % 4.53 % 98,879 16.02 22 0.1525 % 2,051.8
Performance Highlights
Issue Index Change Notes
RY.PR.M FixedReset Disc -15.36 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-08-04
Maturity Price : 15.32
Evaluated at bid price : 15.32
Bid-YTW : 4.80 %
BAM.PR.R FixedReset Disc -2.26 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-08-04
Maturity Price : 12.12
Evaluated at bid price : 12.12
Bid-YTW : 5.50 %
CM.PR.O FixedReset Disc -1.59 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-08-04
Maturity Price : 16.05
Evaluated at bid price : 16.05
Bid-YTW : 4.50 %
TD.PF.I FixedReset Disc -1.50 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-08-04
Maturity Price : 21.05
Evaluated at bid price : 21.05
Bid-YTW : 4.12 %
BIP.PR.E FixedReset Disc -1.46 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-08-04
Maturity Price : 20.20
Evaluated at bid price : 20.20
Bid-YTW : 6.28 %
CM.PR.T FixedReset Disc -1.32 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-08-04
Maturity Price : 21.98
Evaluated at bid price : 22.40
Bid-YTW : 4.38 %
TRP.PR.G FixedReset Disc -1.31 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-08-04
Maturity Price : 15.05
Evaluated at bid price : 15.05
Bid-YTW : 5.55 %
TD.PF.K FixedReset Disc -1.31 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-08-04
Maturity Price : 18.90
Evaluated at bid price : 18.90
Bid-YTW : 4.27 %
MFC.PR.N FixedReset Ins Non -1.26 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-08-04
Maturity Price : 15.71
Evaluated at bid price : 15.71
Bid-YTW : 4.64 %
BMO.PR.F FixedReset Disc -1.12 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-08-04
Maturity Price : 22.78
Evaluated at bid price : 23.80
Bid-YTW : 4.21 %
BMO.PR.W FixedReset Disc -1.00 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-08-04
Maturity Price : 16.78
Evaluated at bid price : 16.78
Bid-YTW : 4.21 %
IFC.PR.A FixedReset Ins Non 1.21 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-08-04
Maturity Price : 12.50
Evaluated at bid price : 12.50
Bid-YTW : 4.50 %
TRP.PR.K FixedReset Disc 1.24 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-08-04
Maturity Price : 23.22
Evaluated at bid price : 23.59
Bid-YTW : 5.27 %
SLF.PR.H FixedReset Ins Non 1.36 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-08-04
Maturity Price : 14.19
Evaluated at bid price : 14.19
Bid-YTW : 4.46 %
TRP.PR.A FixedReset Disc 1.52 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-08-04
Maturity Price : 12.00
Evaluated at bid price : 12.00
Bid-YTW : 5.41 %
CU.PR.C FixedReset Disc 1.82 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-08-04
Maturity Price : 15.69
Evaluated at bid price : 15.69
Bid-YTW : 4.50 %
MFC.PR.F FixedReset Ins Non 1.98 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-08-04
Maturity Price : 9.81
Evaluated at bid price : 9.81
Bid-YTW : 4.50 %
BAM.PF.J FixedReset Disc 2.00 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-08-04
Maturity Price : 22.52
Evaluated at bid price : 23.00
Bid-YTW : 5.20 %
BMO.PR.Y FixedReset Disc 5.85 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-08-04
Maturity Price : 18.10
Evaluated at bid price : 18.10
Bid-YTW : 4.18 %
TD.PF.D FixedReset Disc 5.99 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-08-04
Maturity Price : 18.76
Evaluated at bid price : 18.76
Bid-YTW : 4.15 %
Volume Highlights
Issue Index Shares
Traded
Notes
CM.PR.P FixedReset Disc 103,825 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-08-04
Maturity Price : 16.38
Evaluated at bid price : 16.38
Bid-YTW : 4.43 %
W.PR.M FixedReset Disc 66,055 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-08-04
Maturity Price : 24.03
Evaluated at bid price : 24.45
Bid-YTW : 5.35 %
NA.PR.X FixedReset Prem 62,900 YTW SCENARIO
Maturity Type : Call
Maturity Date : 2021-05-15
Maturity Price : 25.00
Evaluated at bid price : 25.10
Bid-YTW : 4.85 %
CU.PR.C FixedReset Disc 51,549 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-08-04
Maturity Price : 15.69
Evaluated at bid price : 15.69
Bid-YTW : 4.50 %
BAM.PF.B FixedReset Disc 44,779 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-08-04
Maturity Price : 15.05
Evaluated at bid price : 15.05
Bid-YTW : 5.53 %
BMO.PR.E FixedReset Disc 39,025 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-08-04
Maturity Price : 19.30
Evaluated at bid price : 19.30
Bid-YTW : 4.29 %
There were 14 other index-included issues trading in excess of 10,000 shares.
Wide Spread Highlights
Issue Index Quote Data and Yield Notes
IAF.PR.G FixedReset Ins Non Quote: 18.25 – 25.00
Spot Rate : 6.7500
Average : 3.6124

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-08-04
Maturity Price : 18.25
Evaluated at bid price : 18.25
Bid-YTW : 4.47 %

RY.PR.M FixedReset Disc Quote: 15.32 – 18.50
Spot Rate : 3.1800
Average : 2.3424

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-08-04
Maturity Price : 15.32
Evaluated at bid price : 15.32
Bid-YTW : 4.80 %

EIT.PR.B SplitShare Quote: 25.30 – 26.30
Spot Rate : 1.0000
Average : 0.6217

YTW SCENARIO
Maturity Type : Soft Maturity
Maturity Date : 2025-03-14
Maturity Price : 25.00
Evaluated at bid price : 25.30
Bid-YTW : 4.69 %

MFC.PR.N FixedReset Ins Non Quote: 15.71 – 17.00
Spot Rate : 1.2900
Average : 0.9471

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-08-04
Maturity Price : 15.71
Evaluated at bid price : 15.71
Bid-YTW : 4.64 %

EIT.PR.A SplitShare Quote: 25.22 – 26.00
Spot Rate : 0.7800
Average : 0.5514

YTW SCENARIO
Maturity Type : Soft Maturity
Maturity Date : 2024-03-14
Maturity Price : 25.00
Evaluated at bid price : 25.22
Bid-YTW : 4.76 %

MFC.PR.J FixedReset Ins Non Quote: 17.55 – 19.17
Spot Rate : 1.6200
Average : 1.4221

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-08-04
Maturity Price : 17.55
Evaluated at bid price : 17.55
Bid-YTW : 4.60 %

ENB.PF.G To Reset At 2.983%

August 4th, 2020

Enbridge Inc. has announced:

that it does not intend to exercise its right to redeem its currently outstanding Cumulative Redeemable Preference Shares, Series 15 (Series 15 Shares) (TSX: ENB.PF.G) on September 1, 2020. As a result, subject to certain conditions, the holders of the Series 15 Shares have the right to convert all or part of their Series 15 Shares on a one-for-one basis into Cumulative Redeemable Preference Shares, Series 16 of Enbridge (Series 16 Shares) on September 1, 2020. Holders who do not exercise their right to convert their Series 15 Shares into Series 16 Shares will retain their Series 15 Shares.

The foregoing conversion right is subject to the conditions that: (i) if Enbridge determines that there would be less than 1,000,000 Series 15 Shares outstanding after September 1, 2020, then all remaining Series 15 Shares will automatically be converted into Series 16 Shares on a one-for-one basis on September 1, 2020; and (ii) alternatively, if Enbridge determines that there would be less than 1,000,000 Series 16 Shares outstanding after September 1, 2020, no Series 15 Shares will be converted into Series 16 Shares. There are currently 11,000,000 Series 15 Shares outstanding.

With respect to any Series 15 Shares that remain outstanding after September 1, 2020, holders thereof will be entitled to receive quarterly fixed cumulative preferential cash dividends, as and when declared by the Board of Directors of Enbridge. The new annual dividend rate applicable to the Series 15 Shares for the five-year period commencing on September 1, 2020 to, but excluding, September 1, 2025 will be 2.983 percent, being equal to the five-year Government of Canada bond yield of 0.303 percent determined as of today plus 2.68 percent in accordance with the terms of the Series 15 Shares.

With respect to any Series 16 Shares that may be issued on September 1, 2020, holders thereof will be entitled to receive quarterly floating rate cumulative preferential cash dividends, as and when declared by the Board of Directors of Enbridge. The dividend rate applicable to the Series 16 Shares for the three-month floating rate period commencing on September 1, 2020 to, but excluding, December 1, 2020 will be 0.70861 percent, based on the annual rate on three month Government of Canada treasury bills for the most recent treasury bills auction of 0.17 percent plus 2.68 percent in accordance with the terms of the Series 16 Shares (the Floating Quarterly Dividend Rate). The Floating Quarterly Dividend Rate will be reset every quarter.

Beneficial holders of Series 15 Shares who wish to exercise their right of conversion during the conversion period, which runs from August 2, 2020 until 5:00 p.m. (EST) on August 17, 2020, should communicate as soon as possible with their broker or other intermediary for more information. It is recommended that this be done well in advance of the deadline in order to provide the broker or other intermediary time to complete the necessary steps. Any notices received after this deadline will not be valid.

ENB.PF.G is a FixedReset, 4.40%+268, that commenced trading 2014-9-23 after being announced 2014-9-11. It is tracked by HIMIPref™ but is relegated to the Scraps – FixedReset (Discount) subindex on credit concerns.

MAPF Performance: July, 2020

August 2nd, 2020

Malachite Aggressive Preferred Fund’s Net Asset Value per Unit as of the close July 31, 2020, was $7.0713.

Excellent performance by the fund was led by FixedResets with low Issue Reset Spreads. The fund held positions in ten issues with performance for the month in excess of 15%, comprising about 37% of the portfolio at month-end, all FixedResets with spreads ranging from 130bp (GWO.PR.N, returning +16.00%) to 338bp (CM.PR.R, returning +19.93%).

The fine performance of the preferred share market can be ascribed to the approval and issuance of the “LRCN” securities by RBC, as discussed below.

Quote quality remained steady this month, with the difference in portfolio values when calculated with closing prices vs. calculation with bid prices increasing slightly from about 0.8% to 0.83%.

Returns to July 31, 2020
Period MAPF BMO-CM “50” Preferred Share Index TXPR*
Total Return
CPD – according to Blackrock
One Month +11.24% +% +6.38% N/A
Three Months +14.54% +% +8.66% N/A
One Year -6.46% % -2.60% %
Two Years (annualized) -12.34% % -5.99% N/A
Three Years (annualized) -5.28% % -2.38% %
Four Years (annualized) +2.09% % +2.13% N/A
Five Years (annualized) +0.36% % +1.20% %
Six Years (annualized) -1.57% % -1.03% N/A
Seven Years (annualized) -0.08% % -0.22% N/A
Eight Years (annualized) +0.18% % -0.14% N/A
Nine Years (annualized) +0.47% % +0.34% N/A
Ten Years (annualized) +1.90% +% +1.31% +%
Eleven Years (annualized) +3.07% +% +1.90%  
Twelve Years (annualized) +6.72% +% +2.22%  
Thirteen Years (annualized) +5.59% +% +2.05%  
Fourteen Years (annualized) +5.59% %    
Fifteen Years (annualized) +5.52% +%    
Sixteen Years (annualized) +5.63% +%    
Seventeen Years (annualized) +6.39% +%    
Eighteen Years (annualized) +6.77% +%    
Nineteen Years (annualized) +7.00% +%    
MAPF returns assume reinvestment of distributions, and are shown after expenses but before fees.
The full name of the BMO-CM “50” index is the BMO Capital Markets “50” Preferred Share Index. It is calculated without accounting for fees. I am advised that the “BMO50 is expected to be decommissioned at the end of 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 +7.24%, +9.41% & -4.53%, respectively. Three year performance is -4.06%, five-year is +0.85%
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 -%, -% and -% for one-, three- and twelve-months, respectively. Three year performance is -%; five-year is -%
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 -4.03% for the past twelve months. The three-year figure is -3.50%; five years is +1.58%
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 -%

MAPF returns assume reinvestment of dividends, and are shown after expenses but before fees. Past performance is not a guarantee of future performance. You can lose money investing in Malachite Aggressive Preferred Fund or any other fund. For more information, see the fund’s main page. The fund is available directly from Hymas Investment Management.

The preferred share market continues to be underpriced relative to other capital markets, leaving a lot of room for outsized gains. The Seniority Spread (the interest-equivalent yield on reasonably liquid, investment-grade PerpetualDiscounts less the yield on long term corporate bonds) is extremely elevated (chart end-date 2020-7-10):

pl_200710_body_chart_1
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Note that the Seniority Spread was recorded at 450bp shortly before month-end a slight widening from the 440bp near June month-end. As a good practical example of the spreads between markets, consider that CIU issued a long-term bond in early September, 2019 yielding 2.963%, about 411bp cheaper than the interest-equivalent figure of 7.07% for CIU.PR.A, which was then yielding about 5.44% as a dividend. Shaw Communications issued 30-year notes at 4.25% interest on December 5, 2019, when their FixedResets, SJR.PR.A, were yielding 6.59% dividends; at the end of May, 2020, Pembina issued 30-year notes at 4.67% at a time when their FixedResets were yielding between 6.92% and 8.22% as dividends.

As has been noted, the increase in the Seniority Spread over the past one or two years has been due not to an increase in yield (drop in prices) of Straight Preferreds over the year, but largely because the yield of the Straight Preferreds has remained relatively constant while the yield of long-term corporate bonds has dropped dramatically.

… and the relationship between five-year Canada yields and yields on investment-grade FixedResets has gone even deeper into what I consider ‘decoupled panic’ territory (chart end-date 2020-7-10):

pl_200710_body_chart_5
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In addition, I feel that the yield on five-year Canadas is unsustainably low (it should be the inflation rate plus an increment of … 1%? 1.5%? 2.0%?),and a return to sustainable levels is likely over the medium term.

It seems clear that many market players are, wittingly or not, using FixedResets to speculate on future moves in the Canada 5-Year yield. This is excellent news for those who take market action based on fundamentals and the long term characteristics of the market because nobody can consistently time the markets. The speculators will, over the long run and in aggregate, lose money, handing it over to more sober investors.

It should be noted that I have been unable to explain the relatively strong performance of Floor issues during the 2018-19 downdraft relative to their non-Floor counterparts. See the discussions on PrefBlog at LINK, LINK and LINK.

I believe the bear-market outperformance by the Floor issues is a behavioural phenomenon with very little basis in fundamentals. When interest rates in general move, FixedReset prices should not change much (to a first approximation, for issues priced near par), since in Fixed Income investing it is spreads that are important, not absolute yields. There should be some effect on Floor issues, which should move up slightly in price as yields go down since the ‘option’ to receive the floor rate will become more valuable. Adjustments due to this effect should be fairly small, however – and over the past year issues with a floor, that started the period being expensive, have simply gotten even more expensive, relative to their non-floored counterparts.

And the tricky thing about behavioural models of investing is that they can lose their explanatory power very quickly when an investment fashion shifts, whereas fundamentals will always be effective – sometimes it just takes a little time! Just to give an example from the preferred share market – until the end of 2014, FixedResets were priced relative to each other according to their initial dividend; when the reset of TRP.PR.A shocked a lot of investors, relative pricing became much more dependent upon the Issue Reset Spread, a much more logical and fundamental property. This paradigm shift was discussed extensively in PrefLetter.

FixedReset (Discount) performance on the month was +9.20% vs. PerpetualDiscounts of +2.51% in July; the two classes finally decoupled in mid-November, 2018, after months of moving in lockstep, but it still appears to me that yields available on FixedResets are keeping the yields of PerpetualDiscounts up, even though a consistent valuation based on an expectation of declining interest rates would greatly increase the attractiveness of PerpetualDiscounts (in other words, PerpetualDiscounts are now priced off FixedResets rather than off Long-term Corporates):

himi_indexperf_200731
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Floaters performed well, returning +10.12% for July but the figure for the past twelve months remains awful at -20.42%. Look at the long-term performance:

himi_floaterperf_200731
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Some Assiduous Readers will be interested to observe that the ‘Quantitative Easing’ decline was not initially as bad as the ‘Credit Crunch’ decline, which took the sector down to the point where the 15-year cumulative total return was negative. I wrote about that at the time. but it became worse in August, 2019! On August 30, 2019 the HIMI Floater Index (total return) value was calculated as 1906.6; the index first surpassed this value on 2003-8-13. Thus, cumulative total return (that is, including dividends) was negative over a period of slightly-over sixteen years. Worse, on March 31, 2020, the index level was 1454.8, a milestone first passed on 1997-7-30; a cumulative negative total return for 22 years and 8 months; at its low on March 18 the index level was 1253.7, first surpassed on 1996-1-4, a span of 24 years and over two months!

It seems clear that Floaters are used, wittingly or otherwise, as a vehicle for speculation on the policy rate and Canada Prime, while FixedResets are being used as a vehicle for speculation on the five-year Canada rate. In support of this idea, I present an Implied Volatility analysis of the TRP series of FixedResets as of July 31, which is comprised of six issues without a Minimum Rate Guarantee and two issues which do have this feature:

impvol_trp_200731
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The two issues with floors, TRP.PR.J (+469, minimum 5.50%) and TRP.PR.K (+385, minimum 4.90%) are $2.99 and $2.30 rich, respectively. These figures are much narrower than the 4.39 and 4.18 calculated last month’s figures; this reflects underperformance of these two issues relative to their siblings over the past month. The floors have become effective since five-year Canadas dipped below 0.81% and 1.05%, respectively.

It will also be noted that the spread of a notional non-callable TRP FixedReset priced at par has declined slightly from 481bp last month to 457bp this month, while GOC-5 has been declined from 0.37% to 0.32%.

I also show results for the BAM series of FixedResets, which includes three issues with dividend floors: BAM.PF.H (+417, Minimum 5.00%); BAM.PF.I (+386, Minimum 4.80%); and BAM.PF.J (+310, Minimum 4.75%); these issues are all rich compared to their non-floor siblings, being rich 0.36, 0.24 and 0.78 respectively, respectively, cheapening up markedly from last month’s figures of 1.99, 2.06 and 1.58

impvol_bam_200731
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It will also be noted that the spread of a notional non-callable BAM FixedReset priced at par has declined sharply; 526bp last month to 477bp this month, while GOC-5 has declined from 0.36% to 0.32%.

Relative performance during the month was correlated with Issue Reset Spreads for the “Pfd-2 Group” (20%) but not for the “Pfd-3 Group” issues:

frperf_200731_1mo
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… while results over the quarter for the Pfd-2 Group were uncorrelated but weakly correlated for the Pfd-3 Group (11%) – however, the correlation for the latter group is unduly influenced by the performance of ECN.PR.A (6.50%+544M650, +45.03%):

frperf_200731_3mo
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Disaggregating the one-month performance for the Pfd-2 group reveals stronger correlations (banks, 43%; insurance 21%; general 25%):

frperf_200731_1mo_detail
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This fine performance by bank and insurance issues may be presumed to be due to OSFI’s approval of the LRCN structure for bank Alternative Tier 1 Capital. This new type of instrument was discussed on PrefBlog on July 15, July 16, July 17 and July 22. Briefly, the bank will issue preferred shares to a separate, but consolidated, entity and this entity will then issue 60-year notes to institutional investors – retail is not encouraged to participate. These notes may be counted as Tier 1 Capital, up to an allowable limit on the total.

There is (or, perhaps, was?) some argument that this alternative route to Alternative Tier 1 Capital (since the introduction of the NVCC rules, issuance has been restricted to preferred shares) will lead to a reduction of future supply and therefore to an increase in prices, with some pundits speculating that there could be wholesale redemption of bank issues currently trading far below par.

As explained in my links above, I’m pleased that future supply will be somewhat reduced, but highly skeptical that prices should be responding in a significant way to this news; and even more skeptical about the ‘wholesale redemption’ part of the story! As it stands, the TXPR Total Return index gained 6.76% from the close July 14 to the close July 16, and finished the month with a total gain of 6.38% … so if you weren’t holding preferreds on those two days, you missed all the fun!

As for the future, of course, it’s one thing to say that ‘spreads are unsustainable and so are government yields’ and it’s quite another to forecast just how and when a more economically sustainable environment will take effect. It could be years. The same caution applies for an end to the overpricing of issues with a minimum rate guarantee. There could be a reversal, particularly if either Trump’s international trade policies or the economic damage wreaked by the coronavirus approaches the gloomier extreme of current forecasts. And, of course, I could be just plain wrong about the sustainability of the current environment.

On the other hand, I will pass on my observation that international interest in the Canadian preferred share market is increasing, as other Floating Rate indices globally are doing much better. Consider, for example the Solactive Australian Bank Senior Floating Rate Bond Index, which “provides exposure to the largest and most liquid floating rate debt securities issued by selected Australian banks. The index is comprised of investment grade floating rate debt securities denominated in AUD and calculated as a Total Return Index” (LINK although the index constituents currently all have a remaining term of less than five years), and the S&P U.S. Floating Rate Preferred Stock Index.

Yields on preferred shares of all stripes are extremely high compared to those available from other investments of similar quality. As I told John Heinzl in an eMail interview in late November, 2018, the best advice I can offer investors remains Shut up and clip your coupons!

I think that a broad, sustainable rally in FixedResets will require higher five-year Canada yields (or a widespread expectation of them), since paradigm shifts generally require a trigger (a Wile E. Coyote moment, as they say!) … and although I’m sure this will happen eventually, it would be foolish to speculate on just when it will happen.

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
July, 2020 7.0713 5.49% 0.997 5.507% 1.0000 $0.3894
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%
July, 2020 0.34% 0.17%

I note that the sustainable yield calculated above is not directly comparable with any yield calculation currently reported by any other preferred share fund as far as I am aware. The Sustainable Yield depends on:
i) Calculating Yield-to-Worst for each instrument and using this yield for reporting purposes;
ii) Using the contemporary value of Five-Year Canadas to estimate dividends after reset for FixedResets. The assumption regarding the five-year Canada rate has become more important as the proportion of low-spread FixedResets in the portfolio has increased.
iii) Making the assumption that deeply discounted NVCC non-compliant issues from banks (and insurers, until November 2019), both Straight and FixedResets will be redeemed at par on their DeemedMaturity date as discussed above.

MAPF Portfolio Composition : July, 2020

August 1st, 2020

Turnover remained steady in July at 10%.

The fund’s trading will probably be higher in the future than has been normal for the past several years, since the extreme segmentation in the marketplace that I complained about for so long is now effectively ended. Low-Reset insurance issues were considered so cheap relative to their peers that a large portion of the fund’s holdings were effectively frozen. However, this differentiating factor is no longer considered applicable.

I am no longer making any adjustments for special qualities of insurance issues but note that this policy may change again in the future – a requirement for a Principal Loss Absorbency Mechanism (PLAM), whereby any security included in Tier 1 Capital will be wiped out prior to a government bail-out, even if technical bankruptcy is avoided, remains good public policy; it is a disgrace that the IAIS has rejected this principle and even worse that OSFI argued strenuously against it. I will continue to read notifications from these two entities with great interest, but while it is within the realm of possibility that ICS 2.0 will be revised following the expiry of the current five-year testing period, I can’t say I have any great confidence in the wisdom of the bureaucrats. However, it is a positive move that the increase in the limit for preferred share issuance was increased from 10% of the capital requirement to 15%; but this increase may only be met with issues having a PLAM.

Sectoral distribution of the MAPF portfolio on July 31 was as follows:

MAPF Sectoral Analysis 2020-7-31
HIMI Indices Sector Weighting YTW ModDur
Ratchet 0% N/A N/A
FixFloat 0% N/A N/A
Floater 0.1% 5.29% 14.99
OpRet 0% N/A N/A
SplitShare 0% N/A N/A
Interest Rearing 0% N/A N/A
PerpetualPremium 0% N/A N/A
PerpetualDiscount 13.0% 5.55% 14.60
Fixed-Reset Discount 32.6% 5.09% 15.17
Deemed-Retractible 3.9% 5.38% 14.86
FloatingReset 1.3% 5.26% 15.05
FixedReset Premium 0% N/A N/A
FixedReset Bank non-NVCC 0% N/A N/A
FixedReset Insurance non-NVCC 28.6% 4.49% 16.15
Scraps – Ratchet 1.2% 6.96% 15.57
Scraps – FixedFloater 0% N/A N/A
Scraps – Floater 0% N/A N/A
Scraps – OpRet 0% N/A N/A
Scraps – SplitShare 0.5% 8.6% 3.04
Scraps – PerpPrem 0% N/A N/A
Scraps – PerpDisc 0% N/A N/A
Scraps – FR Discount 19.0% 7.69% 11.61
Scraps – DeemedRet 0% N/A N/A
Scraps – FloatingReset 0% N/A N/A
Scraps – FR Premium 0% N/A N/A
Scraps – Bank non-NVCC 0% N/A N/A
Scraps – Ins non-NVCC 0% N/A N/A
Cash 0.3% 0.00% 0.00
Total 100% 5.49% 14.65
Totals and changes will not add precisely due to rounding. Cash is included in totals with duration and yield both equal to zero.
The various “Scraps” indices include issues with a DBRS rating of Pfd-3(high) or lower and issues with an Average Trading Value (calculated with HIMIPref™ methodology, which is relatively complex) of less than $25,000. The issues considered “Scraps” are subdivided into indices which reflect those of the main indices.
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. These issues are analyzed as if their prospectuses included a requirement to redeem at par on or prior to 2022-1-31 in the case of banks or normally in the case of insurers and insurance holding companies, in addition to the call schedule explicitly defined. See the Deemed Retractible Review: September 2016 for the rationale behind this analysis and IAIS Says No To DeemedRetractions for the recent change in policy with respect to insurers.

Note that the estimate for the time this will become effective for insurers and insurance holding companies was extended by three years in April 2013, due to the delays in OSFI’s providing clarity on the issue and by a further five years in December, 2018; the estimate was eliminated in November. However, the distinctions are being kept because it is useful to distinguish insurance issues from others.

Calculations of resettable instruments are performed assuming a constant GOC-5 rate of 0.34%, a constant 3-Month Bill rate of 0.17% and a constant Canada Prime Rate of 2.45%

The “total” reflects the un-leveraged total portfolio (i.e., cash is included in the portfolio calculations and is deemed to have a duration and yield of 0.00.). MAPF will often have relatively large cash balances, both credit and debit, to facilitate trading. Figures presented in the table have been rounded to the indicated precision.

Credit distribution is:

MAPF Credit Analysis 2020-7-31
DBRS Rating Weighting
Pfd-1 0
Pfd-1(low) 0
Pfd-2(high) 34.6%
Pfd-2 25.1%
Pfd-2(low) 19.8%
Pfd-3(high) 11.2%
Pfd-3 5.1%
Pfd-3(low) 2.1%
Pfd-4(high) 1.0%
Pfd-4 0%
Pfd-4(low) 0.8%
Pfd-5(high) 0%
Pfd-5 0.0%
Cash +0.3%
Totals will not add precisely due to rounding.
The fund holds a position in AZP.PR.B, which is rated P-4(low) by S&P and is unrated by DBRS; it is included in the Pfd-4(low) total.
The fund holds a position in BIP.PR.D, BIP.PR.E and BIP.PR.F, which are rated P-2(low) by S&P and are unrated by DBRS; these are included in the Pfd-2(low) total.
A position held in INE.PR.A is not rated by DBRS, but has been included as “Pfd-3” in the above table on the basis of its S&P rating of P-3.

Liquidity Distribution is:

MAPF Liquidity Analysis 2020-7-31
Average Daily Trading Weighting
<$50,000 21.5%
$50,000 – $100,000 30.3%
$100,000 – $200,000 38.2%
$200,000 – $300,000 2.9%
>$300,000 6.7%
Cash +0.3%
Totals will not add precisely due to rounding.

The distribution of Issue Reset Spreads is:

Range MAPF Weight
<100bp 0%
100-149bp 7.3%
150-199bp 4.0%
200-249bp 10.2%
250-299bp 35.0%
300-349bp 10.2%
350-399bp 9.8%
400-449bp 2.4%
450-499bp 0.0%
500-549bp 2.3%
550-599bp 0%
>= 600bp 0%
Undefined 18.6%

Distribution of Floating Rate Start Dates is shown in the table below. This is the date of the next adjustment to the dividend rate, if the issue is currently paying a fixed rate for a limited time; which in practice is successive terms of 5 years. Issues that adjust quarterly are considered “Currently Floating”.

Range MAPF Weight
Currently Floating 7.7%
0-1 Year 8.6%
1-2 Years 20.4%
2-3 Years 13.6%
3-4 Years 7.7%
4-5 Years 24.6%
5-6 Years 0%
>6 Years 0%
Not Floating Rate 17.3%

MAPF is, of course, Malachite Aggressive Preferred Fund, a “unit trust” managed by Hymas Investment Management Inc. Further information and links to performance, audited financials and subscription information are available the fund’s web page. The fund may be purchased directly from Hymas Investment Management. A “unit trust” is like a regular mutual fund, but are not sold with a prospectus. This is cheaper, but means subscription is restricted to “accredited investors” (as defined by the Ontario Securities Commission). Fund past performances are not a guarantee of future performance. You can lose money investing in MAPF or any other fund.

A similar portfolio composition analysis has been performed on the Claymore Preferred Share ETF (symbol CPD) (and other funds) as of July 31, 2017, and published in the August, 2017, PrefLetter. It is fair to say:

  • MAPF credit quality is similar
  • MAPF liquidity is lower
  • MAPF Yield is higher
  • Weightings
    • MAPF is less exposed to Straight Perpetuals
    • Neither portfolio is exposed to Operating Retractibles (there aren’t too many of those any more!)
    • MAPF is similarly exposed to SplitShares
    • MAPF is less exposed to FixFloat / Floater / Ratchet
    • MAPF is higher weighted in FixedResets, with a greater emphasis on lower-spread issues

GMP To Suspend Preferred Share Dividends

July 31st, 2020

GMP Capital Inc. has announced:

DIVIDENDS

The Company’s net working capital as at June 30, 2020 was $122.8 million. While this level of liquidity is sufficient to pay dividends, under Section 38(3) of the Business Corporations Act (Ontario), the Company’s governing corporate statute, the Company cannot pay a dividend if there are reasonable grounds for believing that the net realizable value of the Company’s assets would be less than the aggregate of its liabilities and its legal stated capital of all classes of shares (common and preferred).

Due to the current level of stated capital of the Company’s outstanding common and preferred shares, the Board of Directors has reasonable grounds to believe that this test would not be satisfied as at September 30, 2020, the date on which its quarterly preferred share dividend would normally be paid. As such the Company is suspending the dividends on its preferred shares. At its next meeting of common shareholders, the Company intends to seek the approval of its common shareholders to reduce the stated capital of the common shares to allow the Company to resume paying dividends, including accrued, unpaid dividends on the preferred shares.

Dividends on the outstanding preferred shares are cumulative and will continue to accrue in accordance with the rights, privileges, restrictions and conditions associated with each series of preferred shares.

Affected issues are GMP.PR.B and GMP.PR.C.

These issues have been on Review-Developing at DBRS for a long time, due to uncertainty regarding the proposed deal with Richardson GMP. It looks like the uncertainty became a lot more uncertain!

Of particular interest is the following quote (emphasis added):

At its next meeting of common shareholders, the Company intends to seek the approval of its common shareholders to reduce the stated capital of the common shares to allow the Company to resume paying dividends, including accrued, unpaid dividends on the preferred shares.

So there’s no indication as to how much of a reduction in stated capital the company will seek. A sharp reduction in stated capital at Aimia allowed the company to resume dividends on the common and to execute a Substantial Issuer Bid for that common, neither of which was good for the preferred shareholders.

Thanks to Assiduous Reader DR for bring this to my attention!

July 31, 2020

July 31st, 2020
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 -0.9685 % 1,593.3
FixedFloater 0.00 % 0.00 % 0 0.00 0 -0.9685 % 2,923.5
Floater 5.24 % 5.29 % 58,829 14.98 3 -0.9685 % 1,684.9
OpRet 0.00 % 0.00 % 0 0.00 0 0.1763 % 3,481.8
SplitShare 4.83 % 4.77 % 53,253 3.73 7 0.1763 % 4,158.0
Interest-Bearing 0.00 % 0.00 % 0 0.00 0 0.1763 % 3,244.2
Perpetual-Premium 5.19 % 4.90 % 78,366 4.06 1 -0.0395 % 3,075.9
Perpetual-Discount 5.51 % 5.65 % 74,588 14.35 35 0.1888 % 3,314.4
FixedReset Disc 5.68 % 4.48 % 153,376 15.97 75 0.0656 % 1,991.1
Deemed-Retractible 5.25 % 5.32 % 94,629 14.50 27 0.1814 % 3,266.2
FloatingReset 2.37 % 2.74 % 35,244 1.48 4 -0.1415 % 1,760.6
FixedReset Prem 5.45 % 4.08 % 349,011 1.04 3 -0.1055 % 2,597.9
FixedReset Bank Non 1.97 % 2.56 % 117,468 1.48 2 -0.3781 % 2,818.8
FixedReset Ins Non 5.81 % 4.59 % 97,922 15.92 22 0.3949 % 2,048.6
Performance Highlights
Issue Index Change Notes
TD.PF.D FixedReset Disc -5.60 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-07-31
Maturity Price : 17.70
Evaluated at bid price : 17.70
Bid-YTW : 4.45 %
TD.PF.E FixedReset Disc -5.56 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-07-31
Maturity Price : 18.00
Evaluated at bid price : 18.00
Bid-YTW : 4.49 %
BMO.PR.Y FixedReset Disc -3.68 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-07-31
Maturity Price : 17.10
Evaluated at bid price : 17.10
Bid-YTW : 4.47 %
SLF.PR.G FixedReset Ins Non -3.24 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-07-31
Maturity Price : 10.45
Evaluated at bid price : 10.45
Bid-YTW : 4.28 %
TRP.PR.B FixedReset Disc -3.03 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-07-31
Maturity Price : 8.00
Evaluated at bid price : 8.00
Bid-YTW : 5.19 %
BNS.PR.I FixedReset Disc -2.21 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-07-31
Maturity Price : 19.46
Evaluated at bid price : 19.46
Bid-YTW : 4.05 %
BAM.PF.J FixedReset Disc -2.08 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-07-31
Maturity Price : 22.21
Evaluated at bid price : 22.55
Bid-YTW : 5.31 %
CU.PR.C FixedReset Disc -1.85 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-07-31
Maturity Price : 15.41
Evaluated at bid price : 15.41
Bid-YTW : 4.63 %
PWF.PR.P FixedReset Disc -1.57 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-07-31
Maturity Price : 10.05
Evaluated at bid price : 10.05
Bid-YTW : 4.87 %
BIP.PR.A FixedReset Disc -1.26 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-07-31
Maturity Price : 15.70
Evaluated at bid price : 15.70
Bid-YTW : 6.33 %
BAM.PR.B Floater -1.20 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-07-31
Maturity Price : 8.20
Evaluated at bid price : 8.20
Bid-YTW : 5.29 %
BAM.PR.C Floater -1.09 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-07-31
Maturity Price : 8.19
Evaluated at bid price : 8.19
Bid-YTW : 5.29 %
IFC.PR.I Perpetual-Discount 1.02 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-07-31
Maturity Price : 24.34
Evaluated at bid price : 24.73
Bid-YTW : 5.51 %
BMO.PR.W FixedReset Disc 1.06 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-07-31
Maturity Price : 16.95
Evaluated at bid price : 16.95
Bid-YTW : 4.20 %
IFC.PR.E Deemed-Retractible 1.08 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-07-31
Maturity Price : 23.81
Evaluated at bid price : 24.26
Bid-YTW : 5.40 %
TRP.PR.D FixedReset Disc 1.12 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-07-31
Maturity Price : 13.50
Evaluated at bid price : 13.50
Bid-YTW : 5.56 %
BMO.PR.F FixedReset Disc 1.20 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-07-31
Maturity Price : 22.91
Evaluated at bid price : 24.07
Bid-YTW : 4.17 %
IFC.PR.A FixedReset Ins Non 1.23 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-07-31
Maturity Price : 12.35
Evaluated at bid price : 12.35
Bid-YTW : 4.61 %
BIK.PR.A FixedReset Disc 1.24 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-07-31
Maturity Price : 23.11
Evaluated at bid price : 24.51
Bid-YTW : 5.98 %
IAF.PR.G FixedReset Ins Non 1.40 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-07-31
Maturity Price : 18.15
Evaluated at bid price : 18.15
Bid-YTW : 4.53 %
TD.PF.I FixedReset Disc 1.52 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-07-31
Maturity Price : 21.37
Evaluated at bid price : 21.37
Bid-YTW : 4.09 %
IFC.PR.F Deemed-Retractible 1.66 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-07-31
Maturity Price : 24.04
Evaluated at bid price : 24.50
Bid-YTW : 5.45 %
ELF.PR.G Perpetual-Discount 1.68 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-07-31
Maturity Price : 21.49
Evaluated at bid price : 21.75
Bid-YTW : 5.49 %
TRP.PR.E FixedReset Disc 2.64 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-07-31
Maturity Price : 13.61
Evaluated at bid price : 13.61
Bid-YTW : 5.46 %
SLF.PR.I FixedReset Ins Non 3.14 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-07-31
Maturity Price : 18.05
Evaluated at bid price : 18.05
Bid-YTW : 4.39 %
TRP.PR.C FixedReset Disc 3.31 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-07-31
Maturity Price : 8.74
Evaluated at bid price : 8.74
Bid-YTW : 5.44 %
RY.PR.M FixedReset Disc 18.15 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-07-31
Maturity Price : 18.10
Evaluated at bid price : 18.10
Bid-YTW : 4.10 %
Volume Highlights
Issue Index Shares
Traded
Notes
RY.PR.M FixedReset Disc 135,103 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-07-31
Maturity Price : 18.10
Evaluated at bid price : 18.10
Bid-YTW : 4.10 %
TD.PF.K FixedReset Disc 47,221 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-07-31
Maturity Price : 19.15
Evaluated at bid price : 19.15
Bid-YTW : 4.25 %
CM.PR.Q FixedReset Disc 44,909 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-07-31
Maturity Price : 17.40
Evaluated at bid price : 17.40
Bid-YTW : 4.52 %
CM.PR.R FixedReset Disc 38,036 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-07-31
Maturity Price : 21.31
Evaluated at bid price : 21.60
Bid-YTW : 4.40 %
TRP.PR.E FixedReset Disc 31,000 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-07-31
Maturity Price : 13.61
Evaluated at bid price : 13.61
Bid-YTW : 5.46 %
RY.PR.F Deemed-Retractible 26,400 YTW SCENARIO
Maturity Type : Call
Maturity Date : 2020-08-30
Maturity Price : 25.00
Evaluated at bid price : 25.03
Bid-YTW : -0.57 %
There were 15 other index-included issues trading in excess of 10,000 shares.
Wide Spread Highlights
Issue Index Quote Data and Yield Notes
MFC.PR.L FixedReset Ins Non Quote: 14.90 – 18.50
Spot Rate : 3.6000
Average : 2.0928

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-07-31
Maturity Price : 14.90
Evaluated at bid price : 14.90
Bid-YTW : 4.72 %

TD.PF.E FixedReset Disc Quote: 18.00 – 20.50
Spot Rate : 2.5000
Average : 1.4954

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-07-31
Maturity Price : 18.00
Evaluated at bid price : 18.00
Bid-YTW : 4.49 %

TD.PF.D FixedReset Disc Quote: 17.70 – 19.10
Spot Rate : 1.4000
Average : 0.8838

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-07-31
Maturity Price : 17.70
Evaluated at bid price : 17.70
Bid-YTW : 4.45 %

MFC.PR.J FixedReset Ins Non Quote: 17.50 – 19.17
Spot Rate : 1.6700
Average : 1.2052

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-07-31
Maturity Price : 17.50
Evaluated at bid price : 17.50
Bid-YTW : 4.65 %

MFC.PR.G FixedReset Ins Non Quote: 18.15 – 19.17
Spot Rate : 1.0200
Average : 0.6159

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-07-31
Maturity Price : 18.15
Evaluated at bid price : 18.15
Bid-YTW : 4.59 %

BMO.PR.Y FixedReset Disc Quote: 17.10 – 18.10
Spot Rate : 1.0000
Average : 0.6301

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-07-31
Maturity Price : 17.10
Evaluated at bid price : 17.10
Bid-YTW : 4.47 %

BMO.PR.Y To Reset At 3.054%

July 31st, 2020

Bank of Montreal has announced (on July 27):

the applicable dividend rates for its Non-Cumulative 5-Year Rate Reset Class B Preferred Shares, Series 33 (Non-Viability Contingent Capital (NVCC)) (the “Preferred Shares Series 33”) and Non-Cumulative Floating Rate Class B Preferred Shares, Series 34 (Non-Viability Contingent Capital (NVCC)) (the “Preferred Shares Series 34”).

With respect to any Preferred Shares Series 33 that remain outstanding after August 25, 2020, commencing as of such date, holders thereof will be entitled to receive fixed rate non-cumulative preferential cash dividends on a quarterly basis, as and when declared by the Board of Directors of the Bank and subject to the provisions of the Bank Act (Canada). The dividend rate for the five-year period commencing on August 25, 2020, and ending on August 24, 2025, will be 3.054 per cent, being equal to the sum of the five-year Government of Canada bond yield as at July 27, 2020 (being the first business day following the dividend rate calculation date of July 26, 2020, established in the Preferred Shares Series 33 prospectus, which falls on a Sunday), plus 2.71 per cent, as determined in accordance with the terms of the Preferred Shares Series 33.

With respect to any Preferred Shares Series 34 that may be issued on August 25, 2020, holders thereof will be entitled to receive floating rate non-cumulative preferential cash dividends on a quarterly basis, calculated on the basis of the actual number of days elapsed in each quarterly floating rate period divided by 365, as and when declared by the Board of Directors of the Bank and subject to the provisions of the Bank Act (Canada). The dividend rate for the three-month period commencing on August 25, 2020, and ending on November 24, 2020, will be 2.878 per cent, being equal to the sum of the three-month Government of Canada Treasury bill yield as at July 27, 2020 (being the first business day following the dividend rate calculation date of July 26, 2020), plus 2.71 per cent, as determined in accordance with the terms of the Preferred Shares Series 34.

Beneficial owners of Preferred Shares Series 33 who wish to exercise their right of conversion should communicate as soon as possible with their broker or other nominee and ensure that they follow their instructions in order to ensure that they meet the deadline to exercise such right, which is 5:00 p.m. (EDT) on August 10, 2020.

Conversion enquiries should be directed to BMO’s Registrar and Transfer Agent, Computershare Trust Company of Canada, at 1-800-340-5021.

BMO.PR.Y is a FixedReset, 3.80%+271, that commenced trading 2015-6-5 after being announced 2015-5-27. Notice of extension was published 2020-6-29. The issue is tracked by HIMIPref™ and is assigned to the FixedReset (Discount) subindex.

July 30, 2020

July 30th, 2020
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 -0.8403 % 1,608.8
FixedFloater 0.00 % 0.00 % 0 0.00 0 -0.8403 % 2,952.1
Floater 5.19 % 5.23 % 58,923 15.08 3 -0.8403 % 1,701.3
OpRet 0.00 % 0.00 % 0 0.00 0 -0.0512 % 3,475.7
SplitShare 4.83 % 4.87 % 54,074 3.74 7 -0.0512 % 4,150.7
Interest-Bearing 0.00 % 0.00 % 0 0.00 0 -0.0512 % 3,238.5
Perpetual-Premium 5.19 % 4.89 % 74,795 4.06 1 -0.0395 % 3,077.1
Perpetual-Discount 5.52 % 5.67 % 77,288 14.37 35 0.1324 % 3,308.2
FixedReset Disc 5.69 % 4.45 % 148,515 15.90 75 -0.3223 % 1,989.8
Deemed-Retractible 5.26 % 5.33 % 94,708 14.50 27 0.1482 % 3,260.3
FloatingReset 2.37 % 2.55 % 35,798 1.48 4 -0.0146 % 1,763.1
FixedReset Prem 5.44 % 4.11 % 353,903 1.04 3 -0.5249 % 2,600.7
FixedReset Bank Non 1.95 % 2.48 % 118,788 1.48 2 -0.3823 % 2,829.5
FixedReset Ins Non 5.84 % 4.63 % 96,549 15.90 22 0.9574 % 2,040.6
Performance Highlights
Issue Index Change Notes
BAM.PR.B Floater -2.47 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-07-30
Maturity Price : 8.30
Evaluated at bid price : 8.30
Bid-YTW : 5.22 %
TRP.PR.D FixedReset Disc -2.20 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-07-30
Maturity Price : 13.35
Evaluated at bid price : 13.35
Bid-YTW : 5.62 %
PWF.PR.T FixedReset Disc -2.15 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-07-30
Maturity Price : 15.90
Evaluated at bid price : 15.90
Bid-YTW : 4.74 %
BAM.PR.C Floater -2.01 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-07-30
Maturity Price : 8.28
Evaluated at bid price : 8.28
Bid-YTW : 5.23 %
BAM.PF.B FixedReset Disc -1.69 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-07-30
Maturity Price : 15.08
Evaluated at bid price : 15.08
Bid-YTW : 5.55 %
BIP.PR.D FixedReset Disc -1.67 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-07-30
Maturity Price : 21.14
Evaluated at bid price : 21.14
Bid-YTW : 5.99 %
TRP.PR.A FixedReset Disc -1.66 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-07-30
Maturity Price : 11.85
Evaluated at bid price : 11.85
Bid-YTW : 5.53 %
TD.PF.I FixedReset Disc -1.64 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-07-30
Maturity Price : 21.05
Evaluated at bid price : 21.05
Bid-YTW : 4.16 %
BIK.PR.A FixedReset Disc -1.59 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-07-30
Maturity Price : 22.98
Evaluated at bid price : 24.21
Bid-YTW : 6.06 %
CU.PR.C FixedReset Disc -1.57 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-07-30
Maturity Price : 15.70
Evaluated at bid price : 15.70
Bid-YTW : 4.54 %
TRP.PR.E FixedReset Disc -1.41 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-07-30
Maturity Price : 13.26
Evaluated at bid price : 13.26
Bid-YTW : 5.61 %
TD.PF.G FixedReset Prem -1.34 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-07-30
Maturity Price : 24.69
Evaluated at bid price : 25.06
Bid-YTW : 5.01 %
W.PR.K FixedReset Disc -1.14 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-07-30
Maturity Price : 23.60
Evaluated at bid price : 24.35
Bid-YTW : 5.40 %
BAM.PR.X FixedReset Disc -1.06 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-07-30
Maturity Price : 10.29
Evaluated at bid price : 10.29
Bid-YTW : 5.43 %
TD.PF.L FixedReset Disc -1.02 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-07-30
Maturity Price : 22.48
Evaluated at bid price : 23.21
Bid-YTW : 4.19 %
ELF.PR.G Perpetual-Discount -1.02 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-07-30
Maturity Price : 21.39
Evaluated at bid price : 21.39
Bid-YTW : 5.60 %
CCS.PR.C Deemed-Retractible 1.03 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-07-30
Maturity Price : 22.26
Evaluated at bid price : 22.53
Bid-YTW : 5.60 %
W.PR.M FixedReset Disc 1.29 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-07-30
Maturity Price : 23.98
Evaluated at bid price : 24.41
Bid-YTW : 5.35 %
IAF.PR.I FixedReset Ins Non 1.42 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-07-30
Maturity Price : 19.22
Evaluated at bid price : 19.22
Bid-YTW : 4.41 %
SLF.PR.H FixedReset Ins Non 1.45 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-07-30
Maturity Price : 14.00
Evaluated at bid price : 14.00
Bid-YTW : 4.57 %
SLF.PR.I FixedReset Ins Non 1.74 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-07-30
Maturity Price : 17.50
Evaluated at bid price : 17.50
Bid-YTW : 4.53 %
MFC.PR.C Deemed-Retractible 1.75 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-07-30
Maturity Price : 21.25
Evaluated at bid price : 21.52
Bid-YTW : 5.28 %
BAM.PR.K Floater 2.12 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-07-30
Maturity Price : 8.20
Evaluated at bid price : 8.20
Bid-YTW : 5.29 %
SLF.PR.G FixedReset Ins Non 3.25 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-07-30
Maturity Price : 10.80
Evaluated at bid price : 10.80
Bid-YTW : 4.13 %
PWF.PR.Z Perpetual-Discount 3.64 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-07-30
Maturity Price : 22.51
Evaluated at bid price : 22.80
Bid-YTW : 5.67 %
MFC.PR.I FixedReset Ins Non 19.16 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-07-30
Maturity Price : 18.35
Evaluated at bid price : 18.35
Bid-YTW : 4.60 %
Volume Highlights
Issue Index Shares
Traded
Notes
CM.PR.O FixedReset Disc 118,782 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-07-30
Maturity Price : 16.31
Evaluated at bid price : 16.31
Bid-YTW : 4.46 %
NA.PR.C FixedReset Disc 81,610 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-07-30
Maturity Price : 21.45
Evaluated at bid price : 21.80
Bid-YTW : 4.40 %
RY.PR.Q FixedReset Disc 78,280 YTW SCENARIO
Maturity Type : Call
Maturity Date : 2021-05-24
Maturity Price : 25.00
Evaluated at bid price : 25.15
Bid-YTW : 4.28 %
TD.PF.M FixedReset Disc 69,600 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-07-30
Maturity Price : 23.02
Evaluated at bid price : 24.40
Bid-YTW : 4.17 %
TD.PF.K FixedReset Disc 57,705 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-07-30
Maturity Price : 19.15
Evaluated at bid price : 19.15
Bid-YTW : 4.25 %
TD.PF.L FixedReset Disc 49,050 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-07-30
Maturity Price : 22.48
Evaluated at bid price : 23.21
Bid-YTW : 4.19 %
There were 27 other index-included issues trading in excess of 10,000 shares.
Wide Spread Highlights
Issue Index Quote Data and Yield Notes
RY.PR.M FixedReset Disc Quote: 15.32 – 18.50
Spot Rate : 3.1800
Average : 2.5467

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-07-30
Maturity Price : 15.32
Evaluated at bid price : 15.32
Bid-YTW : 4.84 %

W.PR.K FixedReset Disc Quote: 24.35 – 24.94
Spot Rate : 0.5900
Average : 0.4161

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-07-30
Maturity Price : 23.60
Evaluated at bid price : 24.35
Bid-YTW : 5.40 %

CU.PR.I FixedReset Disc Quote: 24.80 – 25.45
Spot Rate : 0.6500
Average : 0.4783

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-07-30
Maturity Price : 24.08
Evaluated at bid price : 24.80
Bid-YTW : 4.56 %

IFC.PR.C FixedReset Ins Non Quote: 16.50 – 17.50
Spot Rate : 1.0000
Average : 0.8285

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-07-30
Maturity Price : 16.50
Evaluated at bid price : 16.50
Bid-YTW : 4.63 %

TD.PF.G FixedReset Prem Quote: 25.06 – 25.51
Spot Rate : 0.4500
Average : 0.2817

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-07-30
Maturity Price : 24.69
Evaluated at bid price : 25.06
Bid-YTW : 5.01 %

PVS.PR.G SplitShare Quote: 25.00 – 26.00
Spot Rate : 1.0000
Average : 0.8617

YTW SCENARIO
Maturity Type : Option Certainty
Maturity Date : 2026-02-28
Maturity Price : 25.00
Evaluated at bid price : 25.00
Bid-YTW : 5.08 %

July 29, 2020

July 30th, 2020

There were no real surprises in the FOMC statement:

The Federal Reserve is committed to using its full range of tools to support the U.S. economy in this challenging time, thereby promoting its maximum employment and price stability goals.

The coronavirus outbreak is causing tremendous human and economic hardship across the United States and around the world. Following sharp declines, economic activity and employment have picked up somewhat in recent months but remain well below their levels at the beginning of the year. Weaker demand and significantly lower oil prices are holding down consumer price inflation. Overall financial conditions have improved in recent months, in part reflecting policy measures to support the economy and the flow of credit to U.S. households and businesses.

The path of the economy will depend significantly on the course of the virus. The ongoing public health crisis will weigh heavily on economic activity, employment, and inflation in the near term, and poses considerable risks to the economic outlook over the medium term. In light of these developments, the Committee decided to maintain the target range for the federal funds rate at 0 to 1/4 percent. The Committee expects to maintain this target range until it is confident that the economy has weathered recent events and is on track to achieve its maximum employment and price stability goals.

The Committee will continue to monitor the implications of incoming information for the economic outlook, including information related to public health, as well as global developments and muted inflation pressures, and will use its tools and act as appropriate to support the economy. In determining the timing and size of future adjustments to the stance of monetary policy, the Committee will assess realized and expected economic conditions relative to its maximum employment objective and its symmetric 2 percent inflation objective. This assessment will take into account a wide range of information, including measures of labor market conditions, indicators of inflation pressures and inflation expectations, and readings on financial and international developments.

To support the flow of credit to households and businesses, over coming months the Federal Reserve will increase its holdings of Treasury securities and agency residential and commercial mortgage-backed securities at least at the current pace to sustain smooth market functioning, thereby fostering effective transmission of monetary policy to broader financial conditions. In addition, the Open Market Desk will continue to offer large-scale overnight and term repurchase agreement operations. The Committee will closely monitor developments and is prepared to adjust its plans as appropriate.

Voting for the monetary policy action were Jerome H. Powell, Chair; John C. Williams, Vice Chair; Michelle W. Bowman; Lael Brainard; Richard H. Clarida; Patrick Harker; Robert S. Kaplan; Neel Kashkari; Loretta J. Mester; and Randal K. Quarles.

Powell’s a bit nervous:

“The path forward for the economy is extraordinarily uncertain and will depend in large part on our success in keeping the virus in check,” Mr. Powell said at a news conference following the Fed’s two-day meeting, noting that infections have surged since late June and the “pace of recovery looks like it has slowed.”

Mr. Powell said policymakers needed more data before drawing firm conclusions about the scope of the pullback, but he noted that debit and credit card spending were slowing and labor market indicators suggested that recent job gains might be weakening. More than 14 million people who held jobs in February are no longer employed, Mr. Powell said, warning that it will take a while for workers in certain industries, like restaurants, hotels and travel, to find new jobs.

“There’s probably going to be a long tail where a large number of people are struggling to get back to work,” he said, adding that the Fed was “not even thinking about thinking about thinking about” raising rates.

While the Fed took no major actions on Wednesday, Mr. Powell’s comments underlined both the peril ahead for American workers and the reality that interest rates are likely to be very low — making money cheap to borrow — for an extended period of time. Stock prices climbed following his remarks as investors took heart in the Fed’s patient stance.

Meanwhile US stimulus talks are going nowhere:

The prospects for a quick agreement between the Trump administration and congressional Democrats on a new round of aid for the ailing economy faded on Wednesday, as President Trump undercut his own party’s efforts to negotiate a deal and a top White House official declared that a lifeline to unemployed workers would run out as scheduled at week’s end.

With negotiations barely started to find a middle ground between Republicans’ $1 trillion plan and Democrats’ $3 trillion package, Mr. Trump poured cold water on the entire enterprise, saying that he would prefer a bare-bones package that would send “payments to the people” and protect them from being evicted.

“The rest of it, we’re so far apart, we don’t care,” Mr. Trump said before leaving the White House for an event in Texas. “We really don’t care.”

The breakdown reflects a predicament for Republicans that has placed Mr. Trump in a difficult negotiating position. After the enactment of nearly $3 trillion in pandemic-related stimulus in the spring, many Senate Republicans are opposed to additional deficit spending to fuel the economy, meaning that any agreement would need to attract significant support from Democrats to clear Congress.

As previously noted, monetary and fiscal policy should work in tandem, but loose monetary policy helps the rich get richer, while loose fiscal policy makes them poorer. So guess what policy mix is favoured by those who run the country!

PerpetualDiscounts now yield 5.65%, equivalent to 7.34% interest at the standard equivalency factor of 1.3x. Long corporates now yield 2.85%, so the pre-tax interest-equivalent spread (in this context, the “Seniority Spread”) has widened slightly (and perhaps spuriously) to 450bp from the 445bp reported July 22. We are now slightly above the pre-2020 record of 445bp briefly touched in 2008.

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 -2.5731 % 1,622.5
FixedFloater 0.00 % 0.00 % 0 0.00 0 -2.5731 % 2,977.2
Floater 5.15 % 5.13 % 61,069 15.27 3 -2.5731 % 1,715.7
OpRet 0.00 % 0.00 % 0 0.00 0 -0.1362 % 3,477.5
SplitShare 4.83 % 4.86 % 56,186 3.74 7 -0.1362 % 4,152.8
Interest-Bearing 0.00 % 0.00 % 0 0.00 0 -0.1362 % 3,240.2
Perpetual-Premium 5.18 % 4.87 % 75,705 4.07 1 -0.1183 % 3,078.3
Perpetual-Discount 5.53 % 5.65 % 79,716 14.36 35 0.0564 % 3,303.8
FixedReset Disc 5.67 % 4.41 % 148,555 15.88 75 0.3023 % 1,996.3
Deemed-Retractible 5.27 % 5.39 % 95,255 14.48 27 -0.0414 % 3,255.4
FloatingReset 2.37 % 2.54 % 35,968 1.48 4 0.6742 % 1,763.3
FixedReset Prem 5.41 % 3.63 % 349,531 0.96 3 0.5012 % 2,614.4
FixedReset Bank Non 1.95 % 2.05 % 102,364 1.48 2 0.1209 % 2,840.4
FixedReset Ins Non 5.89 % 4.63 % 96,998 15.53 22 -0.5395 % 2,021.2
Performance Highlights
Issue Index Change Notes
RY.PR.M FixedReset Disc -16.33 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-07-29
Maturity Price : 15.32
Evaluated at bid price : 15.32
Bid-YTW : 4.84 %
MFC.PR.I FixedReset Ins Non -15.29 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-07-29
Maturity Price : 15.40
Evaluated at bid price : 15.40
Bid-YTW : 5.51 %
BAM.PR.K Floater -5.31 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-07-29
Maturity Price : 8.03
Evaluated at bid price : 8.03
Bid-YTW : 5.40 %
PWF.PR.Z Perpetual-Discount -3.51 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-07-29
Maturity Price : 21.70
Evaluated at bid price : 22.00
Bid-YTW : 5.87 %
W.PR.M FixedReset Disc -2.63 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-07-29
Maturity Price : 23.63
Evaluated at bid price : 24.10
Bid-YTW : 5.42 %
SLF.PR.H FixedReset Ins Non -2.47 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-07-29
Maturity Price : 13.80
Evaluated at bid price : 13.80
Bid-YTW : 4.63 %
MFC.PR.C Deemed-Retractible -2.08 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-07-29
Maturity Price : 21.15
Evaluated at bid price : 21.15
Bid-YTW : 5.39 %
BAM.PR.B Floater -1.50 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-07-29
Maturity Price : 8.51
Evaluated at bid price : 8.51
Bid-YTW : 5.09 %
BIP.PR.C FixedReset Disc -1.28 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-07-29
Maturity Price : 22.71
Evaluated at bid price : 23.20
Bid-YTW : 5.81 %
PVS.PR.G SplitShare -1.15 % YTW SCENARIO
Maturity Type : Option Certainty
Maturity Date : 2026-02-28
Maturity Price : 25.00
Evaluated at bid price : 24.91
Bid-YTW : 5.15 %
W.PR.K FixedReset Disc -1.08 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-07-29
Maturity Price : 23.95
Evaluated at bid price : 24.63
Bid-YTW : 5.34 %
TD.PF.C FixedReset Disc -1.05 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-07-29
Maturity Price : 17.02
Evaluated at bid price : 17.02
Bid-YTW : 4.26 %
TD.PF.H FixedReset Disc 1.00 % YTW SCENARIO
Maturity Type : Call
Maturity Date : 2021-10-31
Maturity Price : 25.00
Evaluated at bid price : 25.15
Bid-YTW : 4.35 %
CU.PR.I FixedReset Disc 1.02 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-07-29
Maturity Price : 24.01
Evaluated at bid price : 24.75
Bid-YTW : 4.57 %
BAM.PF.H FixedReset Disc 1.04 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-07-29
Maturity Price : 23.51
Evaluated at bid price : 24.30
Bid-YTW : 5.16 %
CM.PR.Y FixedReset Disc 1.04 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-07-29
Maturity Price : 22.96
Evaluated at bid price : 24.25
Bid-YTW : 4.28 %
CU.PR.E Perpetual-Discount 1.07 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-07-29
Maturity Price : 23.30
Evaluated at bid price : 23.60
Bid-YTW : 5.26 %
TRP.PR.C FixedReset Disc 1.07 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-07-29
Maturity Price : 8.48
Evaluated at bid price : 8.48
Bid-YTW : 5.60 %
ELF.PR.H Perpetual-Discount 1.08 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-07-29
Maturity Price : 24.07
Evaluated at bid price : 24.36
Bid-YTW : 5.68 %
CM.PR.S FixedReset Disc 1.09 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-07-29
Maturity Price : 17.65
Evaluated at bid price : 17.65
Bid-YTW : 4.32 %
BMO.PR.C FixedReset Disc 1.11 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-07-29
Maturity Price : 22.50
Evaluated at bid price : 22.85
Bid-YTW : 4.14 %
SLF.PR.I FixedReset Ins Non 1.18 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-07-29
Maturity Price : 17.20
Evaluated at bid price : 17.20
Bid-YTW : 4.61 %
BNS.PR.H FixedReset Disc 1.20 % YTW SCENARIO
Maturity Type : Call
Maturity Date : 2022-01-26
Maturity Price : 25.00
Evaluated at bid price : 25.30
Bid-YTW : 4.05 %
BAM.PF.J FixedReset Disc 1.23 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-07-29
Maturity Price : 22.53
Evaluated at bid price : 23.03
Bid-YTW : 5.19 %
BIK.PR.A FixedReset Disc 1.23 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-07-29
Maturity Price : 23.14
Evaluated at bid price : 24.60
Bid-YTW : 5.95 %
CM.PR.O FixedReset Disc 1.31 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-07-29
Maturity Price : 16.25
Evaluated at bid price : 16.25
Bid-YTW : 4.48 %
BMO.PR.F FixedReset Disc 1.46 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-07-29
Maturity Price : 23.00
Evaluated at bid price : 24.30
Bid-YTW : 4.20 %
PVS.PR.H SplitShare 1.48 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2027-02-28
Maturity Price : 25.00
Evaluated at bid price : 24.72
Bid-YTW : 5.05 %
TRP.PR.D FixedReset Disc 1.87 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-07-29
Maturity Price : 13.65
Evaluated at bid price : 13.65
Bid-YTW : 5.49 %
MFC.PR.N FixedReset Ins Non 2.06 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-07-29
Maturity Price : 15.82
Evaluated at bid price : 15.82
Bid-YTW : 4.64 %
BAM.PF.B FixedReset Disc 2.13 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-07-29
Maturity Price : 15.34
Evaluated at bid price : 15.34
Bid-YTW : 5.45 %
TRP.PR.E FixedReset Disc 2.36 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-07-29
Maturity Price : 13.45
Evaluated at bid price : 13.45
Bid-YTW : 5.53 %
BAM.PF.I FixedReset Disc 2.41 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-07-29
Maturity Price : 23.00
Evaluated at bid price : 23.40
Bid-YTW : 5.16 %
PWF.PR.T FixedReset Disc 2.85 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-07-29
Maturity Price : 16.25
Evaluated at bid price : 16.25
Bid-YTW : 4.63 %
TRP.PR.A FixedReset Disc 2.99 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-07-29
Maturity Price : 12.05
Evaluated at bid price : 12.05
Bid-YTW : 5.43 %
TD.PF.J FixedReset Disc 4.46 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-07-29
Maturity Price : 19.90
Evaluated at bid price : 19.90
Bid-YTW : 4.13 %
TRP.PR.F FloatingReset 5.10 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-07-29
Maturity Price : 10.10
Evaluated at bid price : 10.10
Bid-YTW : 5.23 %
Volume Highlights
Issue Index Shares
Traded
Notes
RY.PR.W Perpetual-Discount 111,000 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-07-29
Maturity Price : 24.64
Evaluated at bid price : 24.90
Bid-YTW : 4.91 %
TD.PF.M FixedReset Disc 73,614 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-07-29
Maturity Price : 22.94
Evaluated at bid price : 24.20
Bid-YTW : 4.22 %
CM.PR.R FixedReset Disc 69,785 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-07-29
Maturity Price : 21.27
Evaluated at bid price : 21.55
Bid-YTW : 4.41 %
BNS.PR.H FixedReset Disc 66,929 YTW SCENARIO
Maturity Type : Call
Maturity Date : 2022-01-26
Maturity Price : 25.00
Evaluated at bid price : 25.30
Bid-YTW : 4.05 %
GWO.PR.H Deemed-Retractible 61,100 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-07-29
Maturity Price : 21.65
Evaluated at bid price : 21.90
Bid-YTW : 5.59 %
TRP.PR.D FixedReset Disc 58,200 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-07-29
Maturity Price : 13.65
Evaluated at bid price : 13.65
Bid-YTW : 5.49 %
There were 42 other index-included issues trading in excess of 10,000 shares.
Wide Spread Highlights
Issue Index Quote Data and Yield Notes
RY.PR.M FixedReset Disc Quote: 15.32 – 18.50
Spot Rate : 3.1800
Average : 1.8523

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-07-29
Maturity Price : 15.32
Evaluated at bid price : 15.32
Bid-YTW : 4.84 %

MFC.PR.I FixedReset Ins Non Quote: 15.40 – 18.44
Spot Rate : 3.0400
Average : 1.9364

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-07-29
Maturity Price : 15.40
Evaluated at bid price : 15.40
Bid-YTW : 5.51 %

IFC.PR.E Deemed-Retractible Quote: 23.99 – 25.00
Spot Rate : 1.0100
Average : 0.6106

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-07-29
Maturity Price : 23.58
Evaluated at bid price : 23.99
Bid-YTW : 5.46 %

PWF.PR.Z Perpetual-Discount Quote: 22.00 – 23.00
Spot Rate : 1.0000
Average : 0.6197

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-07-29
Maturity Price : 21.70
Evaluated at bid price : 22.00
Bid-YTW : 5.87 %

BAM.PF.J FixedReset Disc Quote: 23.03 – 24.00
Spot Rate : 0.9700
Average : 0.6463

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-07-29
Maturity Price : 22.53
Evaluated at bid price : 23.03
Bid-YTW : 5.19 %

TD.PF.C FixedReset Disc Quote: 17.02 – 18.89
Spot Rate : 1.8700
Average : 1.5618

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-07-29
Maturity Price : 17.02
Evaluated at bid price : 17.02
Bid-YTW : 4.26 %