July 14, 2020

July 14th, 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 0.5369 % 1,458.9
FixedFloater 0.00 % 0.00 % 0 0.00 0 0.5369 % 2,676.9
Floater 5.72 % 5.77 % 76,499 14.26 3 0.5369 % 1,542.7
OpRet 0.00 % 0.00 % 0 0.00 0 0.2453 % 3,472.7
SplitShare 4.84 % 4.77 % 56,345 3.77 7 0.2453 % 4,147.2
Interest-Bearing 0.00 % 0.00 % 0 0.00 0 0.2453 % 3,235.8
Perpetual-Premium 5.16 % 5.04 % 66,194 4.05 1 -0.0786 % 3,052.6
Perpetual-Discount 5.62 % 5.78 % 77,715 14.29 35 -0.2586 % 3,244.5
FixedReset Disc 6.15 % 5.07 % 135,554 15.03 75 0.1981 % 1,836.9
Deemed-Retractible 5.34 % 5.57 % 77,787 14.33 27 -0.1419 % 3,205.9
FloatingReset 2.42 % 2.80 % 32,382 1.52 4 1.0033 % 1,731.5
FixedReset Prem 5.50 % 5.10 % 325,797 15.30 3 0.1336 % 2,560.0
FixedReset Bank Non 1.98 % 2.84 % 125,830 1.52 2 -0.1633 % 2,795.8
FixedReset Ins Non 6.42 % 5.14 % 96,173 14.91 22 0.6631 % 1,856.0
Performance Highlights
Issue Index Change Notes
BAM.PF.D Perpetual-Discount -5.10 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-07-14
Maturity Price : 21.01
Evaluated at bid price : 21.01
Bid-YTW : 5.89 %
GWO.PR.R Deemed-Retractible -1.64 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-07-14
Maturity Price : 21.00
Evaluated at bid price : 21.00
Bid-YTW : 5.77 %
PWF.PR.P FixedReset Disc -1.51 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-07-14
Maturity Price : 8.47
Evaluated at bid price : 8.47
Bid-YTW : 5.80 %
TD.PF.L FixedReset Disc -1.49 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-07-14
Maturity Price : 19.90
Evaluated at bid price : 19.90
Bid-YTW : 4.98 %
MFC.PR.C Deemed-Retractible -1.42 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-07-14
Maturity Price : 20.85
Evaluated at bid price : 20.85
Bid-YTW : 5.46 %
ELF.PR.H Perpetual-Discount -1.01 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-07-14
Maturity Price : 23.23
Evaluated at bid price : 23.51
Bid-YTW : 5.87 %
RY.PR.Q FixedReset Disc 1.02 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-07-14
Maturity Price : 24.43
Evaluated at bid price : 24.85
Bid-YTW : 4.99 %
NA.PR.A FixedReset Disc 1.04 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-07-14
Maturity Price : 23.76
Evaluated at bid price : 24.25
Bid-YTW : 5.16 %
BAM.PF.E FixedReset Disc 1.12 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-07-14
Maturity Price : 13.55
Evaluated at bid price : 13.55
Bid-YTW : 5.76 %
BIP.PR.F FixedReset Disc 1.18 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-07-14
Maturity Price : 20.55
Evaluated at bid price : 20.55
Bid-YTW : 6.27 %
CU.PR.C FixedReset Disc 1.27 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-07-14
Maturity Price : 14.36
Evaluated at bid price : 14.36
Bid-YTW : 4.98 %
TRP.PR.C FixedReset Disc 1.29 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-07-14
Maturity Price : 8.61
Evaluated at bid price : 8.61
Bid-YTW : 5.53 %
IFC.PR.I Perpetual-Discount 1.35 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-07-14
Maturity Price : 23.71
Evaluated at bid price : 24.05
Bid-YTW : 5.65 %
BIP.PR.A FixedReset Disc 1.36 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-07-14
Maturity Price : 14.90
Evaluated at bid price : 14.90
Bid-YTW : 6.67 %
MFC.PR.F FixedReset Ins Non 1.44 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-07-14
Maturity Price : 9.13
Evaluated at bid price : 9.13
Bid-YTW : 4.92 %
GWO.PR.N FixedReset Ins Non 1.67 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-07-14
Maturity Price : 9.15
Evaluated at bid price : 9.15
Bid-YTW : 4.59 %
TRP.PR.F FloatingReset 1.78 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-07-14
Maturity Price : 9.70
Evaluated at bid price : 9.70
Bid-YTW : 5.46 %
MFC.PR.M FixedReset Ins Non 1.78 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-07-14
Maturity Price : 14.83
Evaluated at bid price : 14.83
Bid-YTW : 5.08 %
MFC.PR.N FixedReset Ins Non 1.82 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-07-14
Maturity Price : 14.53
Evaluated at bid price : 14.53
Bid-YTW : 5.07 %
BMO.PR.A FloatingReset 1.91 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2022-01-31
Maturity Price : 25.00
Evaluated at bid price : 24.51
Bid-YTW : 2.60 %
TRP.PR.B FixedReset Disc 1.97 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-07-14
Maturity Price : 7.75
Evaluated at bid price : 7.75
Bid-YTW : 5.36 %
IFC.PR.A FixedReset Ins Non 2.18 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-07-14
Maturity Price : 11.24
Evaluated at bid price : 11.24
Bid-YTW : 5.10 %
BAM.PR.X FixedReset Disc 2.20 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-07-14
Maturity Price : 9.74
Evaluated at bid price : 9.74
Bid-YTW : 5.75 %
IFC.PR.C FixedReset Ins Non 2.79 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-07-14
Maturity Price : 14.39
Evaluated at bid price : 14.39
Bid-YTW : 5.31 %
SLF.PR.G FixedReset Ins Non 3.59 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-07-14
Maturity Price : 9.52
Evaluated at bid price : 9.52
Bid-YTW : 4.70 %
Volume Highlights
Issue Index Shares
Traded
Notes
SLF.PR.C Deemed-Retractible 76,400 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-07-14
Maturity Price : 21.20
Evaluated at bid price : 21.20
Bid-YTW : 5.30 %
MFC.PR.I FixedReset Ins Non 57,800 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-07-14
Maturity Price : 16.50
Evaluated at bid price : 16.50
Bid-YTW : 5.13 %
CU.PR.F Perpetual-Discount 44,610 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-07-14
Maturity Price : 21.60
Evaluated at bid price : 21.60
Bid-YTW : 5.28 %
TRP.PR.A FixedReset Disc 43,100 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-07-14
Maturity Price : 11.36
Evaluated at bid price : 11.36
Bid-YTW : 5.79 %
MFC.PR.L FixedReset Ins Non 40,000 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-07-14
Maturity Price : 13.70
Evaluated at bid price : 13.70
Bid-YTW : 5.15 %
RY.PR.Q FixedReset Disc 39,695 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-07-14
Maturity Price : 24.43
Evaluated at bid price : 24.85
Bid-YTW : 4.99 %
There were 10 other index-included issues trading in excess of 10,000 shares.
Wide Spread Highlights
Issue Index Quote Data and Yield Notes
BIP.PR.E FixedReset Disc Quote: 20.12 – 21.81
Spot Rate : 1.6900
Average : 1.1160

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-07-14
Maturity Price : 20.12
Evaluated at bid price : 20.12
Bid-YTW : 6.28 %

BAM.PF.D Perpetual-Discount Quote: 21.01 – 22.27
Spot Rate : 1.2600
Average : 0.7081

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-07-14
Maturity Price : 21.01
Evaluated at bid price : 21.01
Bid-YTW : 5.89 %

MFC.PR.K FixedReset Ins Non Quote: 14.33 – 15.21
Spot Rate : 0.8800
Average : 0.6231

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-07-14
Maturity Price : 14.33
Evaluated at bid price : 14.33
Bid-YTW : 5.12 %

BMO.PR.C FixedReset Disc Quote: 19.35 – 20.00
Spot Rate : 0.6500
Average : 0.4339

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-07-14
Maturity Price : 19.35
Evaluated at bid price : 19.35
Bid-YTW : 4.94 %

EIT.PR.B SplitShare Quote: 25.18 – 26.18
Spot Rate : 1.0000
Average : 0.7855

YTW SCENARIO
Maturity Type : Soft Maturity
Maturity Date : 2025-03-14
Maturity Price : 25.00
Evaluated at bid price : 25.18
Bid-YTW : 4.74 %

MFC.PR.R FixedReset Ins Non Quote: 20.95 – 21.65
Spot Rate : 0.7000
Average : 0.4914

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-07-14
Maturity Price : 20.95
Evaluated at bid price : 20.95
Bid-YTW : 5.12 %

July 13, 2020

July 13th, 2020

The Bank of Canada is worrying about how to measure inflation:

While the official CPI data indicated potentially worrisome declines in consumer prices in the peak lockdown months – a 0.2-per-cent drop year over year in April, and an even deeper 0.4-per-cent decline in May – the newly developed “analytical price index,” as Statscan is calling it, showed a flat reading for April and a slim 0.1-per-cent decline for May. Still in deflationary territory, but just barely.

Deflation is a potentially catastrophic threat to any economy, so the CPI trend had definitely raised some antennae. It’s an especially big deal for the Bank of Canada, which relies on an inflation target of 2 per cent as its guide to applying monetary policy to help steer the economy to health.

But during the lockdowns, some items in the usual basket have been unavailable or at least very difficult to buy (e.g. theatre tickets, flights abroad, sit-down restaurant meals, haircuts), while other items became a higher priority on households’ shopping lists (e.g. store-bought food, baking supplies, hand sanitizer). The normal CPI basket didn’t seem to apply; Statscan has been measuring the prices for goods that no one is buying, while under-weighting things that have dominated consumer spending.

The analytical price index – which essentially reweights the CPI to reflect the sudden and sweeping changes in spending patterns – does, indeed, reveal these distortions. While Statscan cautioned that the findings are “experimental,” and shouldn’t be considered a replacement for the official inflation statistics, they do support the views expressed by Bank of Canada Governor Tiff Macklem in a speech and press conference three weeks ago: that prices probably haven’t slid as deeply as the CPI suggests, but the reality is only modestly better.

The comments a few weeks ago were full of yield curve control … and the BoC is buying long bonds:

The BoC on Monday purchased $600-million of 30-year bonds in a reverse auction. The maximum amount had previously been $400-million, according to strategists.

The 30-year yield jumped by more than 10 basis points – its largest increase since mid-March – last week when the government released its new deficit forecast.

The BoC appears “to be changing the composition” of its balance sheet to more closely match Ottawa’s preference for longer-term borrowing, said Andrew Kelvin, chief Canada strategist at TD Securities.

Investors will on Wednesday eye the BoC’s interest rate announcement, as well as the central bank’s Monetary Policy Report, the first since Tiff Macklem took the reins as governor, for changes to the bond-buying program.

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 0.3142 % 1,451.1
FixedFloater 0.00 % 0.00 % 0 0.00 0 0.3142 % 2,662.6
Floater 5.76 % 5.81 % 77,717 14.20 3 0.3142 % 1,534.5
OpRet 0.00 % 0.00 % 0 0.00 0 -0.0171 % 3,464.2
SplitShare 4.85 % 4.82 % 58,637 3.78 7 -0.0171 % 4,137.0
Interest-Bearing 0.00 % 0.00 % 0 0.00 0 -0.0171 % 3,227.9
Perpetual-Premium 5.16 % 5.01 % 66,544 4.06 1 0.7123 % 3,055.0
Perpetual-Discount 5.61 % 5.76 % 78,140 14.29 35 0.2168 % 3,252.9
FixedReset Disc 6.17 % 5.05 % 138,394 15.01 75 0.1833 % 1,833.3
Deemed-Retractible 5.33 % 5.55 % 79,849 14.35 27 0.1259 % 3,210.4
FloatingReset 2.45 % 3.84 % 31,355 1.53 4 -0.1047 % 1,714.3
FixedReset Prem 5.51 % 5.10 % 337,040 15.31 3 0.0535 % 2,556.5
FixedReset Bank Non 1.97 % 2.84 % 127,211 1.52 2 0.1431 % 2,800.4
FixedReset Ins Non 6.46 % 5.17 % 97,478 14.77 22 -0.0832 % 1,843.8
Performance Highlights
Issue Index Change Notes
TD.PF.C FixedReset Disc -1.76 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-07-13
Maturity Price : 15.04
Evaluated at bid price : 15.04
Bid-YTW : 4.86 %
IFC.PR.G FixedReset Ins Non -1.59 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-07-13
Maturity Price : 15.50
Evaluated at bid price : 15.50
Bid-YTW : 5.27 %
SLF.PR.I FixedReset Ins Non -1.14 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-07-13
Maturity Price : 15.55
Evaluated at bid price : 15.55
Bid-YTW : 5.10 %
BAM.PR.X FixedReset Disc -1.14 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-07-13
Maturity Price : 9.53
Evaluated at bid price : 9.53
Bid-YTW : 5.87 %
IAF.PR.I FixedReset Ins Non -1.04 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-07-13
Maturity Price : 17.12
Evaluated at bid price : 17.12
Bid-YTW : 4.98 %
BAM.PF.H FixedReset Disc -1.03 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-07-13
Maturity Price : 23.21
Evaluated at bid price : 24.00
Bid-YTW : 5.21 %
BIP.PR.C FixedReset Disc 1.00 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-07-13
Maturity Price : 22.65
Evaluated at bid price : 23.13
Bid-YTW : 5.81 %
BAM.PR.K Floater 1.09 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-07-13
Maturity Price : 7.45
Evaluated at bid price : 7.45
Bid-YTW : 5.81 %
GWO.PR.N FixedReset Ins Non 1.12 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-07-13
Maturity Price : 9.00
Evaluated at bid price : 9.00
Bid-YTW : 4.67 %
BAM.PR.Z FixedReset Disc 1.20 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-07-13
Maturity Price : 15.18
Evaluated at bid price : 15.18
Bid-YTW : 5.88 %
CU.PR.H Perpetual-Discount 1.54 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-07-13
Maturity Price : 24.08
Evaluated at bid price : 24.37
Bid-YTW : 5.45 %
MFC.PR.F FixedReset Ins Non 1.58 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-07-13
Maturity Price : 9.00
Evaluated at bid price : 9.00
Bid-YTW : 5.00 %
TRP.PR.C FixedReset Disc 1.67 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-07-13
Maturity Price : 8.50
Evaluated at bid price : 8.50
Bid-YTW : 5.60 %
SLF.PR.J FloatingReset 1.75 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-07-13
Maturity Price : 8.70
Evaluated at bid price : 8.70
Bid-YTW : 4.60 %
BIK.PR.A FixedReset Disc 1.89 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-07-13
Maturity Price : 22.97
Evaluated at bid price : 24.20
Bid-YTW : 6.04 %
SLF.PR.G FixedReset Ins Non 2.68 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-07-13
Maturity Price : 9.19
Evaluated at bid price : 9.19
Bid-YTW : 4.87 %
PWF.PR.P FixedReset Disc 2.99 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-07-13
Maturity Price : 8.60
Evaluated at bid price : 8.60
Bid-YTW : 5.71 %
CCS.PR.C Deemed-Retractible 6.84 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-07-13
Maturity Price : 22.39
Evaluated at bid price : 22.65
Bid-YTW : 5.55 %
TD.PF.E FixedReset Disc 12.59 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-07-13
Maturity Price : 16.10
Evaluated at bid price : 16.10
Bid-YTW : 5.02 %
Volume Highlights
Issue Index Shares
Traded
Notes
BAM.PR.B Floater 100,800 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-07-13
Maturity Price : 7.45
Evaluated at bid price : 7.45
Bid-YTW : 5.81 %
PVS.PR.H SplitShare 39,550 YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2027-02-28
Maturity Price : 25.00
Evaluated at bid price : 24.45
Bid-YTW : 5.21 %
POW.PR.G Perpetual-Discount 34,070 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-07-13
Maturity Price : 23.57
Evaluated at bid price : 23.85
Bid-YTW : 5.90 %
RY.PR.R FixedReset Prem 30,923 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-07-13
Maturity Price : 23.92
Evaluated at bid price : 25.11
Bid-YTW : 5.16 %
GWO.PR.F Deemed-Retractible 26,554 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-07-13
Maturity Price : 24.68
Evaluated at bid price : 25.00
Bid-YTW : 5.94 %
TD.PF.K FixedReset Disc 26,000 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-07-13
Maturity Price : 16.91
Evaluated at bid price : 16.91
Bid-YTW : 4.84 %
There were 18 other index-included issues trading in excess of 10,000 shares.
Wide Spread Highlights
Issue Index Quote Data and Yield Notes
BIP.PR.E FixedReset Disc Quote: 20.12 – 20.80
Spot Rate : 0.6800
Average : 0.4866

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-07-13
Maturity Price : 20.12
Evaluated at bid price : 20.12
Bid-YTW : 6.28 %

TRP.PR.D FixedReset Disc Quote: 12.72 – 13.20
Spot Rate : 0.4800
Average : 0.3072

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-07-13
Maturity Price : 12.72
Evaluated at bid price : 12.72
Bid-YTW : 5.91 %

CU.PR.C FixedReset Disc Quote: 14.18 – 14.73
Spot Rate : 0.5500
Average : 0.3797

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-07-13
Maturity Price : 14.18
Evaluated at bid price : 14.18
Bid-YTW : 5.04 %

TRP.PR.B FixedReset Disc Quote: 7.60 – 7.98
Spot Rate : 0.3800
Average : 0.2130

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-07-13
Maturity Price : 7.60
Evaluated at bid price : 7.60
Bid-YTW : 5.47 %

BAM.PF.H FixedReset Disc Quote: 24.00 – 24.55
Spot Rate : 0.5500
Average : 0.3832

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-07-13
Maturity Price : 23.21
Evaluated at bid price : 24.00
Bid-YTW : 5.21 %

PVS.PR.H SplitShare Quote: 24.45 – 24.88
Spot Rate : 0.4300
Average : 0.2673

YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2027-02-28
Maturity Price : 25.00
Evaluated at bid price : 24.45
Bid-YTW : 5.21 %

July PrefLetter Released

July 13th, 2020

The July, 2020, edition of PrefLetter has been released and is now available for purchase as the “Previous edition”. Those who subscribe for a full year receive the “Previous edition” as a bonus.

PrefLetter may now be purchased by all Canadian residents.

Until further notice, the “Previous Edition” will refer to the July, 2020, issue, while the “Next Edition” will be the August, 2020, issue, scheduled to be prepared as of the close August 14, 2020, and eMailed to subscribers prior to market-opening on August 17.

PrefLetter is intended for long term investors seeking issues to buy-and-hold. At least one recommendation from each of the major preferred share sectors is included and discussed.

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

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

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

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

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

Note: Assiduous Reader DG informs me:

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

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

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

But Adrian2 now advises:

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

July 10, 2020

July 10th, 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 1.0431 % 1,446.5
FixedFloater 0.00 % 0.00 % 0 0.00 0 1.0431 % 2,654.3
Floater 5.77 % 5.81 % 75,447 14.21 3 1.0431 % 1,529.7
OpRet 0.00 % 0.00 % 0 0.00 0 0.0114 % 3,464.8
SplitShare 4.85 % 4.84 % 58,379 3.79 7 0.0114 % 4,137.7
Interest-Bearing 0.00 % 0.00 % 0 0.00 0 0.0114 % 3,228.4
Perpetual-Premium 5.19 % 5.18 % 65,593 4.06 1 0.0792 % 3,033.4
Perpetual-Discount 5.62 % 5.75 % 78,717 14.30 35 -0.0274 % 3,245.9
FixedReset Disc 6.18 % 5.05 % 140,132 15.00 75 -0.0372 % 1,829.9
Deemed-Retractible 5.34 % 5.66 % 80,265 14.34 27 0.1131 % 3,206.4
FloatingReset 2.45 % 3.20 % 29,965 1.54 4 0.1498 % 1,716.1
FixedReset Prem 5.51 % 5.10 % 341,603 15.31 3 -0.0267 % 2,555.2
FixedReset Bank Non 1.98 % 3.01 % 127,773 1.53 2 -0.1632 % 2,796.4
FixedReset Ins Non 6.45 % 5.17 % 101,473 14.78 22 0.3638 % 1,845.3
Performance Highlights
Issue Index Change Notes
TD.PF.E FixedReset Disc -12.91 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-07-10
Maturity Price : 14.30
Evaluated at bid price : 14.30
Bid-YTW : 5.65 %
MFC.PR.F FixedReset Ins Non -2.42 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-07-10
Maturity Price : 8.86
Evaluated at bid price : 8.86
Bid-YTW : 5.07 %
PWF.PR.P FixedReset Disc -2.11 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-07-10
Maturity Price : 8.35
Evaluated at bid price : 8.35
Bid-YTW : 5.88 %
TRP.PR.A FixedReset Disc -2.07 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-07-10
Maturity Price : 11.36
Evaluated at bid price : 11.36
Bid-YTW : 5.78 %
BIK.PR.A FixedReset Disc -2.06 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-07-10
Maturity Price : 22.77
Evaluated at bid price : 23.75
Bid-YTW : 6.17 %
CU.PR.H Perpetual-Discount -1.92 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-07-10
Maturity Price : 23.72
Evaluated at bid price : 24.00
Bid-YTW : 5.53 %
NA.PR.S FixedReset Disc -1.31 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-07-10
Maturity Price : 15.10
Evaluated at bid price : 15.10
Bid-YTW : 4.99 %
CM.PR.T FixedReset Disc 1.07 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-07-10
Maturity Price : 19.90
Evaluated at bid price : 19.90
Bid-YTW : 5.01 %
BAM.PR.B Floater 1.08 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-07-10
Maturity Price : 7.46
Evaluated at bid price : 7.46
Bid-YTW : 5.80 %
BIP.PR.D FixedReset Disc 1.11 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-07-10
Maturity Price : 21.02
Evaluated at bid price : 21.02
Bid-YTW : 6.00 %
SLF.PR.I FixedReset Ins Non 1.16 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-07-10
Maturity Price : 15.73
Evaluated at bid price : 15.73
Bid-YTW : 5.04 %
MFC.PR.K FixedReset Ins Non 1.20 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-07-10
Maturity Price : 14.37
Evaluated at bid price : 14.37
Bid-YTW : 5.10 %
BAM.PR.C Floater 1.22 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-07-10
Maturity Price : 7.45
Evaluated at bid price : 7.45
Bid-YTW : 5.81 %
BAM.PR.R FixedReset Disc 1.35 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-07-10
Maturity Price : 11.25
Evaluated at bid price : 11.25
Bid-YTW : 5.99 %
BAM.PR.Z FixedReset Disc 1.35 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-07-10
Maturity Price : 15.00
Evaluated at bid price : 15.00
Bid-YTW : 5.95 %
IFC.PR.A FixedReset Ins Non 1.39 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-07-10
Maturity Price : 10.95
Evaluated at bid price : 10.95
Bid-YTW : 5.24 %
BAM.PF.G FixedReset Disc 1.62 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-07-10
Maturity Price : 13.82
Evaluated at bid price : 13.82
Bid-YTW : 5.86 %
CM.PR.S FixedReset Disc 1.64 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-07-10
Maturity Price : 15.50
Evaluated at bid price : 15.50
Bid-YTW : 4.95 %
BAM.PR.T FixedReset Disc 1.72 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-07-10
Maturity Price : 11.80
Evaluated at bid price : 11.80
Bid-YTW : 5.89 %
IFC.PR.G FixedReset Ins Non 2.61 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-07-10
Maturity Price : 15.75
Evaluated at bid price : 15.75
Bid-YTW : 5.18 %
BAM.PF.E FixedReset Disc 2.83 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-07-10
Maturity Price : 13.46
Evaluated at bid price : 13.46
Bid-YTW : 5.80 %
TD.PF.D FixedReset Disc 5.23 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-07-10
Maturity Price : 15.89
Evaluated at bid price : 15.89
Bid-YTW : 4.95 %
Volume Highlights
Issue Index Shares
Traded
Notes
CU.PR.E Perpetual-Discount 55,000 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-07-10
Maturity Price : 22.74
Evaluated at bid price : 23.06
Bid-YTW : 5.37 %
RY.PR.Z FixedReset Disc 50,137 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-07-10
Maturity Price : 15.13
Evaluated at bid price : 15.13
Bid-YTW : 4.70 %
CU.PR.D Perpetual-Discount 42,600 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-07-10
Maturity Price : 22.76
Evaluated at bid price : 23.10
Bid-YTW : 5.36 %
BMO.PR.D FixedReset Disc 33,406 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-07-10
Maturity Price : 18.55
Evaluated at bid price : 18.55
Bid-YTW : 4.96 %
SLF.PR.A Deemed-Retractible 29,600 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-07-10
Maturity Price : 22.16
Evaluated at bid price : 22.44
Bid-YTW : 5.32 %
CM.PR.Q FixedReset Disc 27,173 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-07-10
Maturity Price : 15.07
Evaluated at bid price : 15.07
Bid-YTW : 5.23 %
There were 16 other index-included issues trading in excess of 10,000 shares.
Wide Spread Highlights
Issue Index Quote Data and Yield Notes
TD.PF.E FixedReset Disc Quote: 14.30 – 16.67
Spot Rate : 2.3700
Average : 1.4047

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-07-10
Maturity Price : 14.30
Evaluated at bid price : 14.30
Bid-YTW : 5.65 %

BIP.PR.A FixedReset Disc Quote: 14.61 – 15.30
Spot Rate : 0.6900
Average : 0.3656

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-07-10
Maturity Price : 14.61
Evaluated at bid price : 14.61
Bid-YTW : 6.80 %

BAM.PF.J FixedReset Disc Quote: 23.00 – 23.79
Spot Rate : 0.7900
Average : 0.4975

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-07-10
Maturity Price : 22.51
Evaluated at bid price : 23.00
Bid-YTW : 5.17 %

NA.PR.A FixedReset Disc Quote: 23.80 – 24.70
Spot Rate : 0.9000
Average : 0.6113

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-07-10
Maturity Price : 23.28
Evaluated at bid price : 23.80
Bid-YTW : 5.25 %

RY.PR.P Perpetual-Premium Quote: 25.27 – 25.89
Spot Rate : 0.6200
Average : 0.3869

YTW SCENARIO
Maturity Type : Call
Maturity Date : 2025-02-24
Maturity Price : 25.00
Evaluated at bid price : 25.27
Bid-YTW : 5.18 %

IAF.PR.G FixedReset Ins Non Quote: 15.75 – 16.50
Spot Rate : 0.7500
Average : 0.5329

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-07-10
Maturity Price : 15.75
Evaluated at bid price : 15.75
Bid-YTW : 5.22 %

EMA.PR.A / EMA.PR.B To Be Extended

July 10th, 2020

Emera Incorporated has announced:

that it does not intend to exercise its right to redeem all or any part of the currently outstanding Cumulative Rate Reset First Preferred Shares, Series A (the “Series A Shares”) or the Cumulative Floating Rate First Preferred Shares, Series B (the “Series B Shares”) of the Company on August 15, 2020. There are currently 3,864,636 Series A Shares and 2,135,364 Series B Shares outstanding.

As a result, subject to certain conditions set out in the prospectus supplement of the Company dated May 26, 2010, to the short form base shelf prospectus of the Company dated May 19, 2010 (collectively, the “Prospectus”), on August 15, 2020 (the “Conversion Date”):

(a) The holders of Series A Shares have the right, at their option:

To retain any or all of their Series A Shares and continue to receive a fixed rate quarterly dividend; or
To convert any or all of their Series A Shares, on a one-for-one basis, into Series B Shares and receive a floating rate quarterly dividend, and
(b) The holders of Series B Shares have the right, at their option:

To retain any or all of their Series B Shares and continue to receive a floating rate quarterly dividend; or
To convert any or all of their Series B Shares, on a one-for-one basis, into Series A Shares and receive a fixed rate quarterly dividend.
The conversion of Series A Shares is subject to the conditions that: (i) if the Company determines, after having taken into account all shares tendered for conversion by holders of Series A Shares that there would remain outstanding on such Conversion Date less than 1,000,000 Series A Shares, such remaining number of Series A Shares will automatically be converted into Series B Shares on a one-for-one basis on such Conversion Date, and (ii) alternatively, if the Company determines that, after conversion, there would remain outstanding on such Conversion Date less than 1,000,000 Series B Shares, then no Series A Shares will be converted into Series B Shares.

The conversion of Series B Shares is subject to the conditions that: (i) if the Company determines, after having taken into account all shares tendered for conversion by holders of Series B Shares that there would remain outstanding on such Conversion Date less than 1,000,000 Series B Shares, such remaining number of Series B Shares will automatically be converted into Series A Shares on a one-for-one basis on such Conversion Date, and (ii) alternatively, if the Company determines that, after conversion, there would be outstanding on such Conversion Date less than 1,000,000 Series A Shares, then no Series B Shares will be converted into Series A Shares.

In either case, Emera will give written notice to that effect to the holders of Series A Shares and the holders of Series B Shares at least seven days prior to the Conversion Date.

The dividend rate applicable for the Series A Shares for the five-year period commencing on August 15, 2020 and ending on (and inclusive of) August 14, 2025, and the dividend rate applicable to the Series B Shares for the 3-month period commencing on August 15, 2020 and ending on (and inclusive of) November 14, 2020, will be determined on July 16, 2020. Notice of such dividend rates shall be provided to the holders of the Series A Shares and the holders of the Series B Shares on that day.

Beneficial owners of Series A Shares or Series B Shares who wish to exercise their conversion right should communicate with their broker or other nominee to obtain instructions for exercising such right during the conversion period, which runs from July 16, 2020 until the deadline of 5:00 p.m. (Toronto Time) on July 31, 2020. Any notices received after this deadline will not be valid. As such, it is recommended that this be done well in advance of the deadline in order to provide their broker or other nominee with adequate time to complete the necessary steps.

Beneficial owners of Series A Shares who do not provide notice or communicate with their broker or other nominee by the deadline will retain their Series A Shares and receive the new annual fixed dividend rate applicable to the Series A Shares, subject to the conditions stated above. Beneficial owners of Series B Shares who do not provide notice or communicate with their broker or other nominee by the deadline will retain their Series B Shares and receive the floating rate quarterly dividend applicable to the Series B Shares, subject to the conditions stated above.

Holders of Series A Shares and Series B Shares will have the opportunity to convert their shares again on August 15, 2025 and every five years thereafter as long as the shares remain outstanding. For more information on the terms of, and risks associated with, an investment in Series A Shares and Series B Shares, please see the Company’s Prospectus, which is available on www.sedar.com.

EMA.PR.A was issued as a FixedReset, 4.40%+184, that commenced trading 2010-6-2 after being announced 2010-5-25. Extension was announced in 2015 and a reset to 2.555% announced. I receommended against conversion, but there was a 36% conversion to EMA.PR.B anyway.

EMA.PR.B is a FloatingReset, Bills+184, that became extant in 2015 via a 36% conversion from EMA.PR.A.

July 9, 2020

July 9th, 2020

I understand that Enbridge Inc. has issued US$1 bil 5.75% hybrid ser 2020-A due 07/15/2080; the prospectus is available on EDGAR. It will be noted that I am permitted to link directly to this prospectus, as the SEC promotes investor understanding of their investments, unlike the situation in Canada.

The Notes, including accrued and unpaid interest thereon, will be converted automatically (an “Automatic Conversion”), without the consent of the holders thereof (the “Noteholders”), into shares of a newly-issued series of our preference shares, designated as Preference Shares, Series 2020-A (the “Conversion Preference Shares”) upon the occurrence of an Automatic Conversion Event (as defined herein). As the events that give rise to an Automatic Conversion are bankruptcy and related events, it is in our interest to ensure that an Automatic Conversion does not occur, although the events that could give rise to an Automatic Conversion may be beyond our control. We are under no obligation to, and do not intend to, list the Conversion Preference Shares on any stock exchange or other market. We may, at our option, redeem the Notes, in whole at any time or in part from time to time, on any day in the period commencing on (and including) April 15, 2030 (being the date falling three months prior to the Initial Interest Reset Date (as defined herein)) and ending on (and including) the Initial Interest Reset Date, and thereafter on any day in the period commencing on the date falling three months prior to any Interest Reset Date and ending on (and including) any Interest Reset Date at a redemption price equal to 100% of the principal amount thereof, together with accrued and unpaid interest to, but excluding, the date fixed for redemption. Within 90 days following the occurrence of a Tax Event (as defined herein), we may, at our option, redeem all (but not less than all) of the Notes at a redemption price equal to 100% of the principal amount thereof, together with accrued and unpaid interest to, but excluding, the date fixed for redemption. Within 90 days following the occurrence of a Rating Event (as defined herein), we may, at our option, redeem all (but not less than all) of the Notes at a redemption price equal to 102% of the principal amount thereof, together with accrued and unpaid interest to, but excluding, the date fixed for redemption.

I haven’t checked, but I assume the terms – other than coupon and term – are similar to the currently extant ENBA.

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 -0.6757 % 1,431.6
FixedFloater 0.00 % 0.00 % 0 0.00 0 -0.6757 % 2,626.9
Floater 5.83 % 5.88 % 75,868 14.11 3 -0.6757 % 1,513.9
OpRet 0.00 % 0.00 % 0 0.00 0 0.2804 % 3,464.4
SplitShare 4.85 % 4.94 % 60,449 3.79 7 0.2804 % 4,137.2
Interest-Bearing 0.00 % 0.00 % 0 0.00 0 0.2804 % 3,228.0
Perpetual-Premium 5.20 % 5.20 % 65,891 4.06 1 0.3178 % 3,031.0
Perpetual-Discount 5.62 % 5.75 % 76,435 14.30 35 -0.0499 % 3,246.8
FixedReset Disc 6.17 % 5.09 % 142,042 15.03 75 -0.2176 % 1,830.6
Deemed-Retractible 5.35 % 5.65 % 80,499 14.35 27 -0.1919 % 3,202.8
FloatingReset 2.48 % 3.43 % 31,185 1.54 4 -0.3731 % 1,713.5
FixedReset Prem 5.51 % 5.12 % 346,849 15.29 3 -0.1146 % 2,555.9
FixedReset Bank Non 1.97 % 2.80 % 126,229 1.53 2 0.4715 % 2,800.9
FixedReset Ins Non 6.47 % 5.20 % 101,741 14.71 22 -0.3002 % 1,838.6
Performance Highlights
Issue Index Change Notes
TD.PF.D FixedReset Disc -7.68 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-07-09
Maturity Price : 15.10
Evaluated at bid price : 15.10
Bid-YTW : 5.25 %
BAM.PR.R FixedReset Disc -5.13 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-07-09
Maturity Price : 11.10
Evaluated at bid price : 11.10
Bid-YTW : 6.11 %
TD.PF.L FixedReset Disc -2.07 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-07-09
Maturity Price : 20.21
Evaluated at bid price : 20.21
Bid-YTW : 4.91 %
IFC.PR.A FixedReset Ins Non -1.82 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-07-09
Maturity Price : 10.80
Evaluated at bid price : 10.80
Bid-YTW : 5.35 %
BAM.PR.T FixedReset Disc -1.69 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-07-09
Maturity Price : 11.60
Evaluated at bid price : 11.60
Bid-YTW : 6.03 %
IAF.PR.G FixedReset Ins Non -1.69 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-07-09
Maturity Price : 15.75
Evaluated at bid price : 15.75
Bid-YTW : 5.25 %
TD.PF.M FixedReset Disc -1.64 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-07-09
Maturity Price : 21.35
Evaluated at bid price : 21.35
Bid-YTW : 4.91 %
CU.PR.C FixedReset Disc -1.58 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-07-09
Maturity Price : 14.30
Evaluated at bid price : 14.30
Bid-YTW : 5.03 %
BIP.PR.E FixedReset Disc -1.48 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-07-09
Maturity Price : 20.00
Evaluated at bid price : 20.00
Bid-YTW : 6.31 %
BAM.PR.Z FixedReset Disc -1.40 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-07-09
Maturity Price : 14.80
Evaluated at bid price : 14.80
Bid-YTW : 6.06 %
SLF.PR.I FixedReset Ins Non -1.40 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-07-09
Maturity Price : 15.55
Evaluated at bid price : 15.55
Bid-YTW : 5.13 %
SLF.PR.J FloatingReset -1.39 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-07-09
Maturity Price : 8.50
Evaluated at bid price : 8.50
Bid-YTW : 4.77 %
IFC.PR.F Deemed-Retractible -1.36 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-07-09
Maturity Price : 22.83
Evaluated at bid price : 23.16
Bid-YTW : 5.75 %
TD.PF.K FixedReset Disc -1.22 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-07-09
Maturity Price : 17.00
Evaluated at bid price : 17.00
Bid-YTW : 4.83 %
BAM.PR.K Floater -1.22 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-07-09
Maturity Price : 7.31
Evaluated at bid price : 7.31
Bid-YTW : 5.92 %
BAM.PF.E FixedReset Disc -1.21 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-07-09
Maturity Price : 13.09
Evaluated at bid price : 13.09
Bid-YTW : 6.00 %
PWF.PR.T FixedReset Disc -1.19 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-07-09
Maturity Price : 14.42
Evaluated at bid price : 14.42
Bid-YTW : 5.27 %
SLF.PR.G FixedReset Ins Non -1.10 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-07-09
Maturity Price : 9.00
Evaluated at bid price : 9.00
Bid-YTW : 4.98 %
BIP.PR.D FixedReset Disc -1.00 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-07-09
Maturity Price : 20.79
Evaluated at bid price : 20.79
Bid-YTW : 6.07 %
MFC.PR.M FixedReset Ins Non 1.03 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-07-09
Maturity Price : 14.75
Evaluated at bid price : 14.75
Bid-YTW : 5.13 %
BMO.PR.F FixedReset Disc 1.16 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-07-09
Maturity Price : 20.99
Evaluated at bid price : 20.99
Bid-YTW : 5.01 %
BAM.PF.F FixedReset Disc 1.37 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-07-09
Maturity Price : 14.80
Evaluated at bid price : 14.80
Bid-YTW : 5.85 %
BAM.PF.A FixedReset Disc 1.88 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-07-09
Maturity Price : 15.70
Evaluated at bid price : 15.70
Bid-YTW : 5.81 %
EIT.PR.B SplitShare 2.45 % YTW SCENARIO
Maturity Type : Soft Maturity
Maturity Date : 2025-03-14
Maturity Price : 25.00
Evaluated at bid price : 25.10
Bid-YTW : 4.81 %
W.PR.M FixedReset Disc 11.83 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-07-09
Maturity Price : 23.64
Evaluated at bid price : 24.10
Bid-YTW : 5.40 %
Volume Highlights
Issue Index Shares
Traded
Notes
NA.PR.W FixedReset Disc 78,280 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-07-09
Maturity Price : 14.82
Evaluated at bid price : 14.82
Bid-YTW : 4.92 %
BAM.PR.X FixedReset Disc 61,938 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-07-09
Maturity Price : 9.65
Evaluated at bid price : 9.65
Bid-YTW : 5.84 %
TRP.PR.A FixedReset Disc 58,986 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-07-09
Maturity Price : 11.60
Evaluated at bid price : 11.60
Bid-YTW : 5.69 %
BMO.PR.D FixedReset Disc 51,362 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-07-09
Maturity Price : 18.50
Evaluated at bid price : 18.50
Bid-YTW : 5.00 %
CM.PR.R FixedReset Disc 51,235 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-07-09
Maturity Price : 18.50
Evaluated at bid price : 18.50
Bid-YTW : 5.19 %
BNS.PR.H FixedReset Disc 35,400 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-07-09
Maturity Price : 22.60
Evaluated at bid price : 23.00
Bid-YTW : 4.97 %
There were 25 other index-included issues trading in excess of 10,000 shares.
Wide Spread Highlights
Issue Index Quote Data and Yield Notes
MFC.PR.K FixedReset Ins Non Quote: 14.20 – 15.21
Spot Rate : 1.0100
Average : 0.6759

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-07-09
Maturity Price : 14.20
Evaluated at bid price : 14.20
Bid-YTW : 5.20 %

TD.PF.D FixedReset Disc Quote: 15.10 – 16.10
Spot Rate : 1.0000
Average : 0.6672

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-07-09
Maturity Price : 15.10
Evaluated at bid price : 15.10
Bid-YTW : 5.25 %

MFC.PR.N FixedReset Ins Non Quote: 14.23 – 15.00
Spot Rate : 0.7700
Average : 0.4665

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-07-09
Maturity Price : 14.23
Evaluated at bid price : 14.23
Bid-YTW : 5.21 %

MFC.PR.M FixedReset Ins Non Quote: 14.75 – 17.00
Spot Rate : 2.2500
Average : 1.9748

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-07-09
Maturity Price : 14.75
Evaluated at bid price : 14.75
Bid-YTW : 5.13 %

BAM.PR.R FixedReset Disc Quote: 11.10 – 11.80
Spot Rate : 0.7000
Average : 0.4474

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-07-09
Maturity Price : 11.10
Evaluated at bid price : 11.10
Bid-YTW : 6.11 %

BAM.PR.Z FixedReset Disc Quote: 14.80 – 15.58
Spot Rate : 0.7800
Average : 0.5521

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-07-09
Maturity Price : 14.80
Evaluated at bid price : 14.80
Bid-YTW : 6.06 %

July 8, 2020

July 8th, 2020

PerpetualDiscounts now yield 5.76%, equivalent to 7.49% interest at the standard equivalency factor of 1.3x. Long corporates now yield 2.98%, so the pre-tax interest-equivalent spread (in this context, the “Seniority Spread”) has widened to 450bp from the 440bp reported June 24. We are now back 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 0.3617 % 1,441.3
FixedFloater 0.00 % 0.00 % 0 0.00 0 0.3617 % 2,644.8
Floater 5.79 % 5.84 % 78,654 14.16 3 0.3617 % 1,524.2
OpRet 0.00 % 0.00 % 0 0.00 0 -0.0458 % 3,454.7
SplitShare 4.86 % 4.94 % 61,347 3.79 7 -0.0458 % 4,125.7
Interest-Bearing 0.00 % 0.00 % 0 0.00 0 -0.0458 % 3,219.0
Perpetual-Premium 5.21 % 5.26 % 64,639 14.95 1 -0.1190 % 3,021.4
Perpetual-Discount 5.59 % 5.76 % 77,576 14.29 35 -0.0272 % 3,248.4
FixedReset Disc 6.14 % 5.07 % 138,722 15.01 75 -0.4114 % 1,834.6
Deemed-Retractible 5.34 % 5.63 % 82,913 14.37 27 -0.2189 % 3,208.9
FloatingReset 2.47 % 3.12 % 32,455 1.54 4 -0.0149 % 1,719.9
FixedReset Prem 5.48 % 5.12 % 351,694 15.15 3 0.3333 % 2,558.8
FixedReset Bank Non 1.98 % 3.01 % 127,657 1.54 2 0.0000 % 2,787.8
FixedReset Ins Non 6.45 % 5.19 % 102,679 14.69 22 -0.2964 % 1,844.1
Performance Highlights
Issue Index Change Notes
W.PR.M FixedReset Disc -12.11 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-07-08
Maturity Price : 21.28
Evaluated at bid price : 21.55
Bid-YTW : 6.05 %
GWO.PR.N FixedReset Ins Non -5.85 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-07-08
Maturity Price : 8.85
Evaluated at bid price : 8.85
Bid-YTW : 4.80 %
PWF.PR.P FixedReset Disc -3.00 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-07-08
Maturity Price : 8.73
Evaluated at bid price : 8.73
Bid-YTW : 5.79 %
EIT.PR.B SplitShare -2.00 % YTW SCENARIO
Maturity Type : Soft Maturity
Maturity Date : 2025-03-14
Maturity Price : 25.00
Evaluated at bid price : 24.50
Bid-YTW : 5.39 %
BMO.PR.F FixedReset Disc -1.89 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-07-08
Maturity Price : 20.75
Evaluated at bid price : 20.75
Bid-YTW : 5.07 %
BIP.PR.A FixedReset Disc -1.88 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-07-08
Maturity Price : 14.62
Evaluated at bid price : 14.62
Bid-YTW : 6.79 %
NA.PR.E FixedReset Disc -1.88 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-07-08
Maturity Price : 16.21
Evaluated at bid price : 16.21
Bid-YTW : 4.93 %
IFC.PR.I Perpetual-Discount -1.86 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-07-08
Maturity Price : 23.43
Evaluated at bid price : 23.75
Bid-YTW : 5.72 %
CM.PR.Y FixedReset Disc -1.71 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-07-08
Maturity Price : 20.65
Evaluated at bid price : 20.65
Bid-YTW : 5.18 %
TRP.PR.C FixedReset Disc -1.64 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-07-08
Maturity Price : 8.38
Evaluated at bid price : 8.38
Bid-YTW : 5.73 %
CM.PR.P FixedReset Disc -1.34 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-07-08
Maturity Price : 14.70
Evaluated at bid price : 14.70
Bid-YTW : 5.03 %
MFC.PR.K FixedReset Ins Non -1.31 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-07-08
Maturity Price : 14.32
Evaluated at bid price : 14.32
Bid-YTW : 5.15 %
TD.PF.I FixedReset Disc -1.24 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-07-08
Maturity Price : 18.28
Evaluated at bid price : 18.28
Bid-YTW : 4.92 %
BAM.PF.A FixedReset Disc -1.22 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-07-08
Maturity Price : 15.41
Evaluated at bid price : 15.41
Bid-YTW : 5.92 %
IFC.PR.A FixedReset Ins Non -1.17 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-07-08
Maturity Price : 11.00
Evaluated at bid price : 11.00
Bid-YTW : 5.25 %
BNS.PR.I FixedReset Disc -1.14 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-07-08
Maturity Price : 17.34
Evaluated at bid price : 17.34
Bid-YTW : 4.60 %
TRP.PR.D FixedReset Disc -1.09 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-07-08
Maturity Price : 12.71
Evaluated at bid price : 12.71
Bid-YTW : 5.94 %
MFC.PR.F FixedReset Ins Non 1.00 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-07-08
Maturity Price : 9.08
Evaluated at bid price : 9.08
Bid-YTW : 5.00 %
BAM.PF.B FixedReset Disc 1.00 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-07-08
Maturity Price : 14.09
Evaluated at bid price : 14.09
Bid-YTW : 5.99 %
SLF.PR.G FixedReset Ins Non 1.11 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-07-08
Maturity Price : 9.10
Evaluated at bid price : 9.10
Bid-YTW : 4.93 %
PVS.PR.H SplitShare 1.43 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2027-02-28
Maturity Price : 25.00
Evaluated at bid price : 24.80
Bid-YTW : 4.94 %
TD.PF.J FixedReset Disc 1.45 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-07-08
Maturity Price : 17.50
Evaluated at bid price : 17.50
Bid-YTW : 4.85 %
CU.PR.C FixedReset Disc 1.47 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-07-08
Maturity Price : 14.53
Evaluated at bid price : 14.53
Bid-YTW : 4.94 %
BAM.PR.R FixedReset Disc 1.56 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-07-08
Maturity Price : 11.70
Evaluated at bid price : 11.70
Bid-YTW : 5.79 %
BIK.PR.A FixedReset Disc 1.68 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-07-08
Maturity Price : 22.97
Evaluated at bid price : 24.20
Bid-YTW : 6.04 %
Volume Highlights
Issue Index Shares
Traded
Notes
NA.PR.S FixedReset Disc 37,430 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-07-08
Maturity Price : 15.34
Evaluated at bid price : 15.34
Bid-YTW : 4.93 %
BAM.PR.R FixedReset Disc 27,391 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-07-08
Maturity Price : 11.70
Evaluated at bid price : 11.70
Bid-YTW : 5.79 %
CU.PR.G Perpetual-Discount 27,250 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-07-08
Maturity Price : 21.79
Evaluated at bid price : 21.79
Bid-YTW : 5.23 %
TRP.PR.A FixedReset Disc 25,135 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-07-08
Maturity Price : 11.60
Evaluated at bid price : 11.60
Bid-YTW : 5.69 %
MFC.PR.C Deemed-Retractible 23,974 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-07-08
Maturity Price : 21.24
Evaluated at bid price : 21.24
Bid-YTW : 5.35 %
BAM.PR.T FixedReset Disc 23,750 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-07-08
Maturity Price : 11.80
Evaluated at bid price : 11.80
Bid-YTW : 5.93 %
There were 24 other index-included issues trading in excess of 10,000 shares.
Wide Spread Highlights
Issue Index Quote Data and Yield Notes
W.PR.M FixedReset Disc Quote: 21.55 – 24.49
Spot Rate : 2.9400
Average : 1.5975

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-07-08
Maturity Price : 21.28
Evaluated at bid price : 21.55
Bid-YTW : 6.05 %

MFC.PR.Q FixedReset Ins Non Quote: 15.88 – 18.00
Spot Rate : 2.1200
Average : 1.3013

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-07-08
Maturity Price : 15.88
Evaluated at bid price : 15.88
Bid-YTW : 5.11 %

MFC.PR.M FixedReset Ins Non Quote: 14.60 – 17.00
Spot Rate : 2.4000
Average : 1.6732

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-07-08
Maturity Price : 14.60
Evaluated at bid price : 14.60
Bid-YTW : 5.18 %

PVS.PR.D SplitShare Quote: 25.18 – 26.18
Spot Rate : 1.0000
Average : 0.5637

YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2021-10-08
Maturity Price : 25.00
Evaluated at bid price : 25.18
Bid-YTW : 4.24 %

NA.PR.G FixedReset Disc Quote: 17.45 – 18.29
Spot Rate : 0.8400
Average : 0.5984

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-07-08
Maturity Price : 17.45
Evaluated at bid price : 17.45
Bid-YTW : 4.96 %

BAM.PF.F FixedReset Disc Quote: 14.60 – 15.39
Spot Rate : 0.7900
Average : 0.5686

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-07-08
Maturity Price : 14.60
Evaluated at bid price : 14.60
Bid-YTW : 5.93 %

July 7, 2020

July 7th, 2020

Great-West Lifeco Inc. has announced:

that it has entered into an agreement with a syndicate of agents co-led by RBC Capital Markets, BMO Capital Markets and Scotiabank for the sale on an agency basis of $250 million aggregate principal amount of debentures maturing July 8, 2050 (the Debentures).

The Debentures will be dated July 8, 2020, will be issued at par and will mature on July 8, 2050. Interest on the Debentures at the rate of 2.981% per annum will be payable semi-annually in arrears on January 8 and July 8 in each year, commencing January 8, 2021, until the date on which the Debentures are repaid. The Debentures are redeemable at any time prior to January 8, 2050 in whole or in part at the greater of the Canada Yield Price and par, and on or after January 8, 2050 in whole or in part at par, together in each case with accrued and unpaid interest.

The Debenture offering is expected to close on or about July 8, 2020. The net proceeds will be used by Lifeco for general corporate purposes.

GWO PerpetualDiscounts are trading to yield about 5.65% today, equivalent to 7.34% interest at the standard equivalency factor of 1.3x, so the Seniority Spread for GWO is about 435bp, comparable to the overall figure reported June 24.

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 -1.3821 % 1,436.1
FixedFloater 0.00 % 0.00 % 0 0.00 0 -1.3821 % 2,635.2
Floater 5.81 % 5.87 % 77,548 14.13 3 -1.3821 % 1,518.7
OpRet 0.00 % 0.00 % 0 0.00 0 0.1260 % 3,456.3
SplitShare 4.86 % 4.98 % 63,881 3.79 7 0.1260 % 4,127.6
Interest-Bearing 0.00 % 0.00 % 0 0.00 0 0.1260 % 3,220.5
Perpetual-Premium 5.21 % 5.24 % 65,275 4.07 1 0.0000 % 3,025.0
Perpetual-Discount 5.59 % 5.76 % 77,795 14.29 35 0.1426 % 3,249.3
FixedReset Disc 6.12 % 5.08 % 140,474 15.02 75 -0.1302 % 1,842.1
Deemed-Retractible 5.32 % 5.58 % 83,902 14.43 27 0.1208 % 3,216.0
FloatingReset 2.47 % 3.01 % 33,777 1.54 4 0.1644 % 1,720.2
FixedReset Prem 5.50 % 5.14 % 347,325 15.17 3 -0.0267 % 2,550.3
FixedReset Bank Non 1.98 % 3.00 % 129,568 1.54 2 0.0615 % 2,787.8
FixedReset Ins Non 6.44 % 5.18 % 104,132 14.66 22 0.3122 % 1,849.6
Performance Highlights
Issue Index Change Notes
IFC.PR.C FixedReset Ins Non -3.45 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-07-07
Maturity Price : 14.00
Evaluated at bid price : 14.00
Bid-YTW : 5.49 %
PWF.PR.P FixedReset Disc -2.91 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-07-07
Maturity Price : 9.00
Evaluated at bid price : 9.00
Bid-YTW : 5.61 %
CU.PR.C FixedReset Disc -2.59 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-07-07
Maturity Price : 14.32
Evaluated at bid price : 14.32
Bid-YTW : 5.02 %
TD.PF.J FixedReset Disc -2.54 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-07-07
Maturity Price : 17.25
Evaluated at bid price : 17.25
Bid-YTW : 4.93 %
NA.PR.G FixedReset Disc -1.97 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-07-07
Maturity Price : 17.45
Evaluated at bid price : 17.45
Bid-YTW : 4.96 %
MFC.PR.N FixedReset Ins Non -1.92 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-07-07
Maturity Price : 14.30
Evaluated at bid price : 14.30
Bid-YTW : 5.18 %
BAM.PR.B Floater -1.60 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-07-07
Maturity Price : 7.37
Evaluated at bid price : 7.37
Bid-YTW : 5.87 %
BNS.PR.I FixedReset Disc -1.52 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-07-07
Maturity Price : 17.54
Evaluated at bid price : 17.54
Bid-YTW : 4.55 %
IFC.PR.A FixedReset Ins Non -1.42 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-07-07
Maturity Price : 11.13
Evaluated at bid price : 11.13
Bid-YTW : 5.18 %
BAM.PR.K Floater -1.34 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-07-07
Maturity Price : 7.36
Evaluated at bid price : 7.36
Bid-YTW : 5.87 %
TRP.PR.B FixedReset Disc -1.29 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-07-07
Maturity Price : 7.65
Evaluated at bid price : 7.65
Bid-YTW : 5.44 %
BAM.PR.C Floater -1.20 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-07-07
Maturity Price : 7.39
Evaluated at bid price : 7.39
Bid-YTW : 5.85 %
TRP.PR.E FixedReset Disc -1.17 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-07-07
Maturity Price : 12.65
Evaluated at bid price : 12.65
Bid-YTW : 5.91 %
CM.PR.O FixedReset Disc -1.05 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-07-07
Maturity Price : 14.07
Evaluated at bid price : 14.07
Bid-YTW : 5.23 %
SLF.PR.I FixedReset Ins Non 1.03 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-07-07
Maturity Price : 15.76
Evaluated at bid price : 15.76
Bid-YTW : 5.06 %
IFC.PR.E Deemed-Retractible 1.12 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-07-07
Maturity Price : 23.05
Evaluated at bid price : 23.41
Bid-YTW : 5.58 %
SLF.PR.H FixedReset Ins Non 1.25 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-07-07
Maturity Price : 12.15
Evaluated at bid price : 12.15
Bid-YTW : 5.31 %
MFC.PR.M FixedReset Ins Non 1.39 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-07-07
Maturity Price : 14.60
Evaluated at bid price : 14.60
Bid-YTW : 5.18 %
MFC.PR.K FixedReset Ins Non 1.47 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-07-07
Maturity Price : 14.51
Evaluated at bid price : 14.51
Bid-YTW : 5.08 %
BAM.PF.F FixedReset Disc 1.53 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-07-07
Maturity Price : 14.60
Evaluated at bid price : 14.60
Bid-YTW : 5.93 %
MFC.PR.L FixedReset Ins Non 1.72 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-07-07
Maturity Price : 13.58
Evaluated at bid price : 13.58
Bid-YTW : 5.23 %
TD.PF.E FixedReset Disc 1.76 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-07-07
Maturity Price : 16.80
Evaluated at bid price : 16.80
Bid-YTW : 4.92 %
BAM.PF.G FixedReset Disc 1.85 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-07-07
Maturity Price : 13.75
Evaluated at bid price : 13.75
Bid-YTW : 5.89 %
BMO.PR.F FixedReset Disc 1.93 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-07-07
Maturity Price : 21.15
Evaluated at bid price : 21.15
Bid-YTW : 4.97 %
BAM.PF.D Perpetual-Discount 2.50 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-07-07
Maturity Price : 21.73
Evaluated at bid price : 21.73
Bid-YTW : 5.68 %
BAM.PR.T FixedReset Disc 2.60 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-07-07
Maturity Price : 11.85
Evaluated at bid price : 11.85
Bid-YTW : 5.90 %
TRP.PR.A FixedReset Disc 2.64 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-07-07
Maturity Price : 11.66
Evaluated at bid price : 11.66
Bid-YTW : 5.65 %
BMO.PR.Y FixedReset Disc 3.94 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-07-07
Maturity Price : 16.11
Evaluated at bid price : 16.11
Bid-YTW : 4.85 %
GWO.PR.N FixedReset Ins Non 5.86 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-07-07
Maturity Price : 9.40
Evaluated at bid price : 9.40
Bid-YTW : 4.51 %
Volume Highlights
Issue Index Shares
Traded
Notes
CM.PR.R FixedReset Disc 118,900 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-07-07
Maturity Price : 18.73
Evaluated at bid price : 18.73
Bid-YTW : 5.13 %
TD.PF.J FixedReset Disc 53,350 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-07-07
Maturity Price : 17.25
Evaluated at bid price : 17.25
Bid-YTW : 4.93 %
RY.PR.H FixedReset Disc 52,690 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-07-07
Maturity Price : 15.30
Evaluated at bid price : 15.30
Bid-YTW : 4.74 %
TD.PF.A FixedReset Disc 51,760 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-07-07
Maturity Price : 15.17
Evaluated at bid price : 15.17
Bid-YTW : 4.81 %
RY.PR.Q FixedReset Disc 50,700 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-07-07
Maturity Price : 23.94
Evaluated at bid price : 24.46
Bid-YTW : 5.08 %
TD.PF.E FixedReset Disc 50,700 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-07-07
Maturity Price : 16.80
Evaluated at bid price : 16.80
Bid-YTW : 4.92 %
There were 19 other index-included issues trading in excess of 10,000 shares.
Wide Spread Highlights
Issue Index Quote Data and Yield Notes
CCS.PR.C Deemed-Retractible Quote: 21.00 – 23.00
Spot Rate : 2.0000
Average : 1.6815

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-07-07
Maturity Price : 21.00
Evaluated at bid price : 21.00
Bid-YTW : 6.00 %

MFC.PR.K FixedReset Ins Non Quote: 14.51 – 15.21
Spot Rate : 0.7000
Average : 0.4297

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-07-07
Maturity Price : 14.51
Evaluated at bid price : 14.51
Bid-YTW : 5.08 %

PWF.PR.P FixedReset Disc Quote: 9.00 – 10.19
Spot Rate : 1.1900
Average : 0.9567

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-07-07
Maturity Price : 9.00
Evaluated at bid price : 9.00
Bid-YTW : 5.61 %

IFC.PR.C FixedReset Ins Non Quote: 14.00 – 14.65
Spot Rate : 0.6500
Average : 0.4305

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-07-07
Maturity Price : 14.00
Evaluated at bid price : 14.00
Bid-YTW : 5.49 %

TD.PF.J FixedReset Disc Quote: 17.25 – 17.90
Spot Rate : 0.6500
Average : 0.4805

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-07-07
Maturity Price : 17.25
Evaluated at bid price : 17.25
Bid-YTW : 4.93 %

BIK.PR.A FixedReset Disc Quote: 23.80 – 24.50
Spot Rate : 0.7000
Average : 0.5533

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-07-07
Maturity Price : 22.79
Evaluated at bid price : 23.80
Bid-YTW : 6.15 %

July 6, 2020

July 6th, 2020

I missed this earlier, but Scotiabank issued US$1,250,000,000 of 4.900% Fixed Rate Resetting Perpetual Subordinated Additional Tier 1 Capital Notes (Non-Viability Contingent Capital (NVCC)) closing on 2020-6-4:

The US$1,250,000,000 aggregate principal amount of 4.900% Fixed Rate Resetting Perpetual Subordinated Additional Tier 1 Capital Notes (Non-Viability Contingent Capital (NVCC)) (subordinated indebtedness) (the “Notes”) offered by this prospectus supplement (this “Prospectus Supplement”) have no scheduled maturity or scheduled redemption date. From and including June 4, 2020 (the “Issue Date”) to, but excluding, June 4, 2025 (such date and each fifth (5th) anniversary date thereafter, a “Reset Date”), interest will accrue on the Notes at an initial rate equal to 4.900% per annum. From and including each Reset Date to, but excluding, the next following Reset Date, interest will accrue on the Notes at a rate per annum equal to the sum, as determined by the Calculation Agent (as defined herein), of (i) the then-prevailing U.S. Treasury Rate (as defined herein) on the relevant Reset Rate Determination Date (as defined herein) and (ii) 4.551%. Subject to the cancellation rights described below, The Bank of Nova Scotia (the “Bank”) will pay interest on the Notes quarterly in arrears on March 4, June 4, September 4 and December 4 of each year, commencing on September 4, 2020 (each, an “Interest Payment Date”).

So that’s pretty close to the initial coupon and spread to five-years as you’d see on a Canadian dollar preferred shares … but the bank can deduct the interest from income for tax purposes. Who needs preferred shares?

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 1.6772 % 1,456.3
FixedFloater 0.00 % 0.00 % 0 0.00 0 1.6772 % 2,672.2
Floater 5.73 % 5.78 % 74,899 14.26 3 1.6772 % 1,540.0
OpRet 0.00 % 0.00 % 0 0.00 0 -0.0687 % 3,452.0
SplitShare 4.87 % 5.02 % 66,079 3.79 7 -0.0687 % 4,122.4
Interest-Bearing 0.00 % 0.00 % 0 0.00 0 -0.0687 % 3,216.4
Perpetual-Premium 0.00 % 0.00 % 0 0.00 1 0.4010 % 3,025.0
Perpetual-Discount 5.60 % 5.78 % 80,247 14.23 35 0.4010 % 3,244.7
FixedReset Disc 6.11 % 5.08 % 143,175 15.07 75 0.1551 % 1,844.6
Deemed-Retractible 5.33 % 5.61 % 87,337 14.42 27 0.0016 % 3,212.1
FloatingReset 2.47 % 3.27 % 33,861 1.55 4 0.0968 % 1,717.4
FixedReset Prem 0.00 % 0.00 % 0 0.00 3 0.1551 % 2,551.0
FixedReset Bank Non 1.98 % 3.16 % 119,921 1.54 2 0.0183 % 2,786.1
FixedReset Ins Non 6.46 % 5.18 % 107,577 14.84 22 0.3221 % 1,843.9
Performance Highlights
Issue Index Change Notes
CCS.PR.C Deemed-Retractible -6.67 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-07-06
Maturity Price : 21.00
Evaluated at bid price : 21.00
Bid-YTW : 6.00 %
TD.PF.E FixedReset Disc -2.60 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-07-06
Maturity Price : 16.51
Evaluated at bid price : 16.51
Bid-YTW : 5.01 %
NA.PR.C FixedReset Disc -1.42 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-07-06
Maturity Price : 19.45
Evaluated at bid price : 19.45
Bid-YTW : 4.98 %
NA.PR.A FixedReset Disc -1.40 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-07-06
Maturity Price : 23.49
Evaluated at bid price : 24.00
Bid-YTW : 5.23 %
TD.PF.J FixedReset Disc -1.28 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-07-06
Maturity Price : 17.70
Evaluated at bid price : 17.70
Bid-YTW : 4.79 %
NA.PR.S FixedReset Disc -1.23 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-07-06
Maturity Price : 15.30
Evaluated at bid price : 15.30
Bid-YTW : 4.95 %
NA.PR.E FixedReset Disc -1.20 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-07-06
Maturity Price : 16.50
Evaluated at bid price : 16.50
Bid-YTW : 4.84 %
BMO.PR.F FixedReset Disc -1.19 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-07-06
Maturity Price : 20.75
Evaluated at bid price : 20.75
Bid-YTW : 5.07 %
GWO.PR.N FixedReset Ins Non -1.00 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-07-06
Maturity Price : 8.88
Evaluated at bid price : 8.88
Bid-YTW : 4.78 %
IAF.PR.G FixedReset Ins Non 1.01 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-07-06
Maturity Price : 16.01
Evaluated at bid price : 16.01
Bid-YTW : 5.16 %
TRP.PR.G FixedReset Disc 1.06 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-07-06
Maturity Price : 14.30
Evaluated at bid price : 14.30
Bid-YTW : 5.92 %
GWO.PR.H Deemed-Retractible 1.07 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-07-06
Maturity Price : 21.40
Evaluated at bid price : 21.67
Bid-YTW : 5.62 %
SLF.PR.G FixedReset Ins Non 1.12 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-07-06
Maturity Price : 9.00
Evaluated at bid price : 9.00
Bid-YTW : 4.98 %
MFC.PR.G FixedReset Ins Non 1.14 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-07-06
Maturity Price : 15.93
Evaluated at bid price : 15.93
Bid-YTW : 5.26 %
BAM.PF.B FixedReset Disc 1.16 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-07-06
Maturity Price : 13.92
Evaluated at bid price : 13.92
Bid-YTW : 6.06 %
BAM.PF.F FixedReset Disc 1.20 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-07-06
Maturity Price : 14.38
Evaluated at bid price : 14.38
Bid-YTW : 6.02 %
GWO.PR.S Deemed-Retractible 1.21 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-07-06
Maturity Price : 23.12
Evaluated at bid price : 23.38
Bid-YTW : 5.64 %
SLF.PR.J FloatingReset 1.29 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-07-06
Maturity Price : 8.63
Evaluated at bid price : 8.63
Bid-YTW : 4.69 %
BMO.PR.C FixedReset Disc 1.32 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-07-06
Maturity Price : 19.25
Evaluated at bid price : 19.25
Bid-YTW : 4.98 %
BMO.PR.B FixedReset Disc 1.32 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-07-06
Maturity Price : 22.61
Evaluated at bid price : 23.00
Bid-YTW : 4.90 %
BAM.PF.I FixedReset Disc 1.34 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-07-06
Maturity Price : 23.14
Evaluated at bid price : 23.52
Bid-YTW : 5.12 %
CM.PR.Q FixedReset Disc 1.48 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-07-06
Maturity Price : 15.12
Evaluated at bid price : 15.12
Bid-YTW : 5.24 %
TRP.PR.D FixedReset Disc 1.57 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-07-06
Maturity Price : 12.95
Evaluated at bid price : 12.95
Bid-YTW : 5.82 %
CU.PR.G Perpetual-Discount 1.59 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-07-06
Maturity Price : 21.74
Evaluated at bid price : 21.74
Bid-YTW : 5.24 %
IFC.PR.I Perpetual-Discount 1.68 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-07-06
Maturity Price : 23.80
Evaluated at bid price : 24.15
Bid-YTW : 5.62 %
MFC.PR.I FixedReset Ins Non 1.86 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-07-06
Maturity Price : 16.40
Evaluated at bid price : 16.40
Bid-YTW : 5.19 %
TRP.PR.E FixedReset Disc 1.91 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-07-06
Maturity Price : 12.80
Evaluated at bid price : 12.80
Bid-YTW : 5.84 %
BAM.PR.R FixedReset Disc 2.31 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-07-06
Maturity Price : 11.50
Evaluated at bid price : 11.50
Bid-YTW : 5.89 %
MFC.PR.N FixedReset Ins Non 2.32 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-07-06
Maturity Price : 14.58
Evaluated at bid price : 14.58
Bid-YTW : 5.07 %
CU.PR.H Perpetual-Discount 2.33 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-07-06
Maturity Price : 24.26
Evaluated at bid price : 24.56
Bid-YTW : 5.40 %
BAM.PF.E FixedReset Disc 2.34 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-07-06
Maturity Price : 13.11
Evaluated at bid price : 13.11
Bid-YTW : 5.98 %
CU.PR.E Perpetual-Discount 2.61 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-07-06
Maturity Price : 22.82
Evaluated at bid price : 23.19
Bid-YTW : 5.33 %
BAM.PR.K Floater 4.63 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-07-06
Maturity Price : 7.46
Evaluated at bid price : 7.46
Bid-YTW : 5.79 %
Volume Highlights
Issue Index Shares
Traded
Notes
TD.PF.M FixedReset Disc 90,600 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-07-06
Maturity Price : 21.69
Evaluated at bid price : 22.01
Bid-YTW : 4.83 %
TD.PF.A FixedReset Disc 77,990 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-07-06
Maturity Price : 15.30
Evaluated at bid price : 15.30
Bid-YTW : 4.76 %
SLF.PR.B Deemed-Retractible 53,300 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-07-06
Maturity Price : 22.69
Evaluated at bid price : 22.93
Bid-YTW : 5.26 %
BAM.PF.I FixedReset Disc 41,550 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-07-06
Maturity Price : 23.14
Evaluated at bid price : 23.52
Bid-YTW : 5.12 %
BAM.PF.F FixedReset Disc 30,050 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-07-06
Maturity Price : 14.38
Evaluated at bid price : 14.38
Bid-YTW : 6.02 %
BAM.PR.K Floater 29,405 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-07-06
Maturity Price : 7.46
Evaluated at bid price : 7.46
Bid-YTW : 5.79 %
There were 9 other index-included issues trading in excess of 10,000 shares.
Wide Spread Highlights
Issue Index Quote Data and Yield Notes
MFC.PR.M FixedReset Ins Non Quote: 14.40 – 17.00
Spot Rate : 2.6000
Average : 1.7273

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-07-06
Maturity Price : 14.40
Evaluated at bid price : 14.40
Bid-YTW : 5.26 %

CCS.PR.C Deemed-Retractible Quote: 21.00 – 23.00
Spot Rate : 2.0000
Average : 1.3322

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-07-06
Maturity Price : 21.00
Evaluated at bid price : 21.00
Bid-YTW : 6.00 %

BAM.PF.B FixedReset Disc Quote: 13.92 – 14.85
Spot Rate : 0.9300
Average : 0.6502

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-07-06
Maturity Price : 13.92
Evaluated at bid price : 13.92
Bid-YTW : 6.06 %

PWF.PR.P FixedReset Disc Quote: 9.27 – 10.19
Spot Rate : 0.9200
Average : 0.7010

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-07-06
Maturity Price : 9.27
Evaluated at bid price : 9.27
Bid-YTW : 5.45 %

MFC.PR.H FixedReset Ins Non Quote: 17.10 – 18.02
Spot Rate : 0.9200
Average : 0.7015

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-07-06
Maturity Price : 17.10
Evaluated at bid price : 17.10
Bid-YTW : 5.28 %

MFC.PR.J FixedReset Ins Non Quote: 15.83 – 16.50
Spot Rate : 0.6700
Average : 0.4784

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-07-06
Maturity Price : 15.83
Evaluated at bid price : 15.83
Bid-YTW : 5.18 %

MAPF Performance : June 2020

July 5th, 2020

Malachite Aggressive Preferred Fund’s Net Asset Value per Unit as of the close June, 2020, was $6.3568 after a dividend distribution of 0.119146.

Performance for the month was hurt by the fund’s relatively low holdings of low-spread bank issues – see discussion below on the insights obtained by disaggregating the 1-month performance of the Pfd-2 Group.

Quote quality declined slightly this this month, with the difference in portfolio values when calculated with closing prices vs. calculation with bid prices increasing from about 0.6% to 0.8%.

Returns to June 30, 2020
Period MAPF BMO-CM “50” Preferred Share Index TXPR*
Total Return
CPD – according to Blackrock
One Month +3.25% +3.99% +3.92% N/A
Three Months +16.48% +14.28% +15.02% N/A
One Year -15.49% -8.31% -7.24% -7.80%
Two Years (annualized) -16.44% -10.38% -8.33% N/A
Three Years (annualized) -7.97% -4.77% -4.02% -4.55%
Four Years (annualized) +0.30% +1.39% +1.45% N/A
Five Years (annualized) -2.69% -0.83% -0.87% -1.36%
Six Years (annualized) -3.34% -1.96% -1.99% N/A
Seven Years (annualized) -1.80% -1.21% -1.24% N/A
Eight Years (annualized) -0.84% -0.70% -0.78% N/A
Nine Years (annualized) -0.76% -0.12% -0.26% N/A
Ten Years (annualized) +1.11% +1.23% +0.86% +0.34%
Eleven Years (annualized) +2.76% +2.22% +1.63%  
Twelve Years (annualized) +5.57% +2.02% +1.50%  
Thirteen Years (annualized) +4.77% +1.51% +1.39%  
Fourteen Years (annualized) +4.81% +1.38%    
Fifteen Years (annualized) +4.79% +1.47%    
Sixteen Years (annualized) +5.10% +1.78%    
Seventeen Years (annualized) +5.94% +1.93%    
Eighteen Years (annualized) +6.01% +2.25%    
Nineteen Years (annualized) +6.48% +2.30%    
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 +3.94%, +14.87% and -7.72%, respectively, according to Globe & Mail / Fundata after all fees & expenses. Three year performance is -3.98%; five year is -0.75%; ten year is +1.35%

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 +4.10%, +15.11% & -9.56%, respectively. Three year performance is -5.78%, five-year is -1.23%
Figures for National Bank Preferred Equity Fund (formerly Altamira Preferred Equity Fund) are +4.12%, +15.10% and -13.40% for one-, three- and twelve months, respectively. Three year performance is -5.55%; five-year is -1.07%.

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 -10.22% for the past twelve months. Two year performance is -11.09%, three year is -5.89%, five year is -2.41%.
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 +4.26%, +15.65% and -9.88% for the past one-, three- and twelve-months, respectively. Two year performance is -11.89%; three year is -7.38%; five-year is -3.49%.
Figures for PowerShares Canadian Preferred Share Index Class, Series F (PPS) are -8.93% for the past twelve months. The three-year figure is -5.13%; five years is -0.53%
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 +3.32%, +11.92% and -13.90% for the past one, three and twelve months, respectively. Three year performance is -7.67%, five-year is -2.88%.
Figures for the Desjardins Canadian Preferred Share Fund A Class (A Class), as reported by the company are +3.33%, +14.00% and -8.56% for the past one, three and twelve months, respectively. Two year performance is -10.55%, three-year is -5.93%

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 2020-6-12):

pl_200508_body_chart_1
Click for Big

Note that the Seniority Spread was recorded at 440bp shortly before month-end a slight (and possibly spurious) narrowing from the incredible 445bp near May month-end. As a good practical example of the spreads between markets, consider that CIU issued a long-term bond in early September 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 2020-6-12):

pl_200508_body_chart_5
Click for Big

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 +3.24% vs. PerpetualDiscounts of +2.31% in May; 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_200630
Click for Big

Floaters underperformed FixedResets, returning +2.51% for June and the figure for the past twelve months remains awful at -25.00%. Look at the long-term performance:

himi_floaterperf_200630
Click for Big

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 May 29, which is comprised of six issues without a Minimum Rate Guarantee and two issues which do have this feature:

impvol_trp_200630
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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 $4.39 and $4.18 rich, respectively. These figures are wider than the 4.10 and 3.38 calculated last month’s figures; however, it should be noted that their floors have become effective since five-year Canadas dipped below 0.81% and 1.05%, respectively. We expect something of an increase in fair value as noted above; but these levels seem elevated!

It will also be noted that the spread of a notional non-callable TRP FixedReset priced at par has declined slightly from 489bp last month to 481bp this month, while GOC-5 has been steady, moving from 0.36% to 0.37%.

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 1.99, 2.06 and 1.58 respectively, respectively, cheapening up a bit from last month’s figures of 2.17, 2.28 and 2.07

impvol_bam_200630
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It will also be noted that the spread of a notional non-callable BAM FixedReset priced at par has remained fairly steady; 517bp last month to 526bp this month, while GOC-5 has declined from 0.45% to 0.36%.

Relative performance during the month was uncorrelated with Issue Reset Spreads for either the “Pfd-2 Group” or the “Pfd-3 Group” issues:

frperf_200630_1mo
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… and results over the quarter for the Pfd-2 Group were better correlated (26%) but uncorrelated for the Pfd-3 Group:

frperf_200630_3mo
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Disaggregating the one-month performance for the Pfd-2 group reveals an unusual pattern:

frperf_200630_1mo_pfd2disaggClick for Big

Bank issues with Issue Reset Spreads at the low end of their range performed unusually well and led to an unusual pattern in which the slope of the regression line for bank issues has a difference sign than that for insurance issues. I do not believe that this behaviour will continue.

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, 2020 6.3568 6.10% 0.9900 6.162% 1.0000 $0.3917
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, 2020 0.37% 0.21%

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.