Archive for May, 2020

MAPF Performance : May, 2020

Sunday, May 31st, 2020

Malachite Aggressive Preferred Fund’s Net Asset Value per Unit as of the close May 29, 2020, was $6.2721.

Quote quality is much better this this month, with the difference in portfolio values when calculated with closing prices vs. calculation with bid prices shrinking from about 1.9% to 0.6%.

Mind you, there are still puzzling differences in returns, as shown by the six series of TRP issues retained by the fund after it sold out of TRP.PR.E:

Ticker Issue
Reset
Spread
Bid
5/29
Bid
Yield
5/29
Performance
bid/bid
May 2020
TRP.PR.A 192bp 11.25 5.82% -3.31%
TRP.PR.B 128bp 7.41 5.54% -6.28%
TRP.PR.C 154bp 8.34 5.81% -4.69%
TRP.PR.D 238bp 12.98 5.89% -3.85%
TRP.PR.F 192bp
Floating
Rate
9.80 5.50% +4.06%
TRP.PR.G 296bp 14.00 5.99% +5.04%
Returns to May 29, 2020
Period MAPF BMO-CM “50” Preferred Share Index TXPR*
Total Return
CPD – according to Blackrock
One Month -0.28% +% -1.72% N/A
Three Months -15.55% -% -11.61% N/A
One Year -17.33% -% -10.02% -%
Two Years (annualized) -17.51% -% -9.95% N/A
Three Years (annualized) -7.57% -% -4.35% -%
Four Years (annualized) -0.87% +% +0.33% N/A
Five Years (annualized) -4.01% -% -2.25% -%
Six Years (annualized) -3.63% -% -2.40% N/A
Seven Years (annualized) -2.77% -% -2.09% N/A
Eight Years (annualized) -1.27% -% -1.16% N/A
Nine Years (annualized) -1.19% -% -0.67% N/A
Ten Years (annualized) +1.33% +% +0.73% +%
Eleven Years (annualized) +2.91% +% +1.40%  
Twelve Years (annualized) +4.72% +% +0.81%  
Thirteen Years (annualized) +4.56% +%    
Fourteen Years (annualized) +4.60% +%    
Fifteen Years (annualized) +4.65% +%    
Sixteen Years (annualized) +4.98% +%    
Seventeen Years (annualized) +5.88% +%    
Eighteen Years (annualized) +5.91% +%    
Nineteen Years (annualized) +6.44% +%    
MAPF returns assume reinvestment of distributions, and are shown after expenses but before fees.
The full name of the BMO-CM “50” index is the BMO Capital Markets “50” Preferred Share Index. It is calculated without accounting for fees. I am advised that the “BMO50 is expected to be decommissioned at the end of 2020.”
“TXPR” is the S&P/TSX Preferred Share Index. It is calculated without accounting for fees, but does assume reinvestment of dividends.
CPD Returns are for the NAV and are after all fees and expenses. Reinvestment of dividends is assumed.
Figures for National Bank Preferred Equity Income Fund (formerly Omega Preferred Equity) (which are after all fees and expenses) for 1-, 3- and 12-months are +%, -% and -%, respectively, according to Globe & Mail / Fundata after all fees & expenses. Three year performance is -%; five year is -%; ten year is +%

Figures from Morningstar are no longer conveniently available.

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

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

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

The figures for the NAV of BMO S&P/TSX Laddered Preferred Share Index ETF (ZPR) is -% for the past twelve months. Two year performance is -%, three year is -%, five year is -%.
Figures for Fiera Canadian Preferred Share Class Cg Series F, (formerly Natixis Canadian Preferred Share Class Series F) (formerly NexGen Canadian Preferred Share Tax Managed Fund) are +%, -% and -% for one-, three- and twelve-months, respectively. Three year performance is -%; five-year is -%
Figures for BMO Preferred Share Fund (advisor series) according to BMO are +%, -% and -% for the past one-, three- and twelve-months, respectively. Two year performance is -%; three year is -%; five-year is -%.
Figures for PowerShares Canadian Preferred Share Index Class, Series F (PPS) are -% for the past twelve months. The three-year figure is -%; five years is -%
Figures for the First Asset Preferred Share Investment Trust (PSF.UN) are no longer available since the fund has merged with First Asset Preferred Share ETF (FPR).

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

Figures for Lysander-Slater Preferred Share Dividend Fund (Class F) according to the company are +%, -% and -% for the past one, three and twelve months, respectively. Three year performance is -%, five-year is -%.
Figures for the Desjardins Canadian Preferred Share Fund A Class (A Class), as reported by the company are +%, -% and -% for the past one, three and twelve months, respectively. Three year performance is -%.

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

The preferred share market continues to be underpriced relative to other capital markets, leaving a lot of room for outsized gains. The Seniority Spread (the interest-equivalent yield on reasonably liquid, investment-grade PerpetualDiscounts less the yield on long term corporate bonds) is extremely elevated (chart end-date 2020-5-8):

pl_200508_body_chart_1
Click for Big

Note that the Seniority Spread was an incredible 445bp near month-end, a little wider than last month’s figure of 435bp. 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 2020-3-20):

pl_200508_body_chart_5
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In addition, I feel that the yield on five-year Canadas is unsustainably low (it should be the inflation rate plus an increment of … 1%? 1.5%? 2.0%?),and a return to sustainable levels is likely over the medium term.

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

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

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

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

FixedReset (Discount) performance on the month was -0.95% vs. PerpetualDiscounts of +1.41% 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_200529
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Floaters had yet another bad month, returning -4.22% for March and the figure for the past twelve months remains awful at -28.63%. Look at the long-term performance:

himi_floaterperf_200529
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 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_200529
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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 $4.10 and $3.38 rich, respectively. These figures are not significantly different from the 4.42 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 increased from 470bp last month to 489bp this month, while GOC-5 has declined from 0.45% to 0.36%.

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 2.17, 2.28 and 2.07, respectively, much more expensive than last month’s figures of 1.63, 1.25 and 1.07.

impvol_bam_200529
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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_200529_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_200529_3mo
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In the three-month chart, there are four data points in the Pfd-2 Group that are well below the range of the remainder. These are the Husky Energy issues, HSE.PR.A, HSE.PR.C, HSE.PR.E and HSE.PR.G, which have also suffered from the Saudi-Russian oil price war.

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
May, 2020 6.2721 6.14% 0.9900 6.202% 1.0000 $0.3890
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%
May, 2020 0.36% 0.24%

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

MAPF Portfolio Composition : May, 2020

Sunday, May 31st, 2020

Turnover declined in May to 15%.

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

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

Sectoral distribution of the MAPF portfolio on May 29 was as follows:

MAPF Sectoral Analysis 2020-5-29
HIMI Indices Sector Weighting YTW ModDur
Ratchet 0% N/A N/A
FixFloat 0% N/A N/A
Floater 0% N/A N/A
OpRet 0% N/A N/A
SplitShare 0% N/A N/A
Interest Rearing 0% N/A N/A
PerpetualPremium 0% N/A N/A
PerpetualDiscount 9.9% 5.61% 14.54
Fixed-Reset Discount 43.2% 6.59% 13.09
Deemed-Retractible 2.5% 5.82% 14.12
FloatingReset 7.5% 4.77% 15.99
FixedReset Premium 0% N/A N/A
FixedReset Bank non-NVCC 0% N/A N/A
FixedReset Insurance non-NVCC 23.1% 5.44% 14.42
Scraps – Ratchet 1.3% 8.19% 13.74
Scraps – FixedFloater 0% N/A N/A
Scraps – Floater 0% N/A N/A
Scraps – OpRet 0% N/A N/A
Scraps – SplitShare 0.5% 8.6% 3.04
Scraps – PerpPrem 0% N/A N/A
Scraps – PerpDisc 0% N/A N/A
Scraps – FR Discount 11.0% 7.53% 11.83
Scraps – DeemedRet 0% N/A N/A
Scraps – FloatingReset 0% N/A N/A
Scraps – FR Premium 0% N/A N/A
Scraps – Bank non-NVCC 0% N/A N/A
Scraps – Ins non-NVCC 0% N/A N/A
Cash 1.0% 0.00% 0.00
Total 100% 6.14% 13.47
Totals and changes will not add precisely due to rounding. Cash is included in totals with duration and yield both equal to zero.
The various “Scraps” indices include issues with a DBRS rating of Pfd-3(high) or lower and issues with an Average Trading Value (calculated with HIMIPref™ methodology, which is relatively complex) of less than $25,000. The issues considered “Scraps” are subdivided into indices which reflect those of the main indices.
DeemedRetractibles are comprised of all Straight Perpetuals (both PerpetualDiscount and PerpetualPremium) issued by BMO, BNS, CM, ELF, GWO, HSB, IAG, MFC, NA, RY, SLF and TD, which are not exchangable into common at the option of the company or the regulator. These issues are analyzed as if their prospectuses included a requirement to redeem at par on or prior to 2022-1-31 in the case of banks or normally in the case of insurers and insurance holding companies, in addition to the call schedule explicitly defined. See the Deemed Retractible Review: September 2016 for the rationale behind this analysis and IAIS Says No To DeemedRetractions for the recent change in policy with respect to insurers.

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

Calculations of resettable instruments are performed assuming a constant GOC-5 rate of 0.36%, a constant 3-Month Bill rate of 0.24% and a constant Canada Prime Rate of 2.45%

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

Credit distribution is:

MAPF Credit Analysis 2020-5-29
DBRS Rating Weighting
Pfd-1 0
Pfd-1(low) 0
Pfd-2(high) 31.0%
Pfd-2 25.9%
Pfd-2(low) 29.2%
Pfd-3(high) 3.4%
Pfd-3 5.3%
Pfd-3(low) 2.2%
Pfd-4(high) 0%
Pfd-4 0%
Pfd-4(low) 0.9%
Pfd-5(high) 0%
Pfd-5 0.0%
Cash 1.0%
Totals will not add precisely due to rounding.
The fund holds a position in AZP.PR.B, which is rated P-4(low) by S&P and is unrated by DBRS; it is included in the Pfd-4(low) total.
The fund holds a position in BIP.PR.D, BIP.PR.E and BIP.PR.F, which are rated P-2(low) by S&P and are unrated by DBRS; these are included in the Pfd-2(low) total.
A position held in EMA.PR.C which are not rated by DBRS, but have been included as “Pfd-3(high)” in the above table on the basis of its S&P rating of P-3.
A position held in INE.PR.A is not rated by DBRS, but has been included as “Pfd-3” in the above table on the basis of its S&P rating of P-3.

Liquidity Distribution is:

MAPF Liquidity Analysis 2020-5-29
Average Daily Trading Weighting
<$50,000 5.2%
$50,000 – $100,000 35.1%
$100,000 – $200,000 46.0%
$200,000 – $300,000 8.3%
>$300,000 4.4%
Cash 1.0%
Totals will not add precisely due to rounding.

The distribution of Issue Reset Spreads is:

Range MAPF Weight
<100bp 0%
100-149bp 7.2%
150-199bp 5.7%
200-249bp 6.7%
250-299bp 39.3%
300-349bp 11.5%
350-399bp 10.5%
400-449bp 2.4%
450-499bp 0.0%
500-549bp 1.4%
550-599bp 0%
>= 600bp 0%
Undefined 15.2%

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

Range MAPF Weight
Currently Floating 8.8%
0-1 Year 27.8%
1-2 Years 8.5%
2-3 Years 22.3%
3-4 Years 13.5%
4-5 Years 5.2%
5-6 Years 0%
>6 Years 0%
Not Floating Rate 14.0%

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

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

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

May 29, 2020

Friday, May 29th, 2020

Laurentian Bank chopped its dividend today:

At its meeting held on May 28, 2020, given the highly uncertain economic environment, the Board of Directors of the Laurentian Bank of Canada (TSX: LB) (the “Bank”) has approved a reduction of the quarterly dividend on its common shares by $0.27 or 40% to provide greater financial strength and flexibility to support continued growth, the pursuit of the Bank’s Strategic Plan, and the alignment of the Bank’s payout ratio with the Bank’s policy.

… and the stock got hammered, down 9.14% with volume at a thirty-day (at least) high. Paul Chiasson comments in the Globe:

Laurentian Bank of Canada slashed its dividend by 40 per cent on Friday after a sharp drop in profit, becoming the first large Canadian bank to cut its payout in nearly 30 years.

The Montreal-based bank came into the COVID-19 crisis on a back foot, having struggled in recent years with wage disputes and a challenging transition toward digital banking that has seen it shutter many branches and phase out teller services.

Canada’s seventh largest bank reported a 79-per-cent drop in profit for the three months ended April 30, with net income falling to $8.9-million from $43.3-million in the same quarter last year. The decline was largely attributed to a spike in provisions for potential loan losses tied to weakening economic conditions.

Laurentian responded by cutting its quarterly dividend to 40 cents a share, down from 67 cents. This is the first time a large Canadian bank has cut its dividend since National Bank of Canada did so in 1992, according to data from Refinitiv.

The bank’s capital position deteriorated slightly in the quarter, with the closely watched common equity Tier 1 ratio falling to 8.8 per cent from 9 per cent. The bank said it now expects its capital levels ”will remain below the level observed over the recent quarters.”

The preferreds were relatively unscathed, with LB.PR.H down 1.5% on elevated volume and LB.PR.J down 0.38% on slightly above average volume.

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 -0.6654 % 1,411.5
FixedFloater 0.00 % 0.00 % 0 0.00 0 -0.6654 % 2,590.0
Floater 5.47 % 5.89 % 32,434 13.97 4 -0.6654 % 1,492.6
OpRet 0.00 % 0.00 % 0 0.00 0 0.0926 % 3,417.0
SplitShare 4.92 % 5.15 % 61,165 3.89 7 0.0926 % 4,080.6
Interest-Bearing 0.00 % 0.00 % 0 0.00 0 0.0926 % 3,183.8
Perpetual-Premium 0.00 % 0.00 % 0 0.00 0 0.2170 % 2,946.3
Perpetual-Discount 5.71 % 5.94 % 78,973 13.95 35 0.2170 % 3,160.2
FixedReset Disc 6.45 % 5.28 % 177,909 14.58 83 0.6730 % 1,766.3
Deemed-Retractible 5.44 % 5.78 % 90,841 14.05 27 0.0941 % 3,127.8
FloatingReset 5.12 % 5.22 % 47,479 15.19 3 1.5156 % 1,759.7
FixedReset Prem 0.00 % 0.00 % 0 0.00 0 0.6730 % 2,442.7
FixedReset Bank Non 2.00 % 3.60 % 151,856 1.63 2 0.1865 % 2,755.4
FixedReset Ins Non 6.74 % 5.36 % 112,051 14.49 22 0.2940 % 1,770.3
Performance Highlights
Issue Index Change Notes
BAM.PR.B Floater -2.76 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-05-29
Maturity Price : 7.40
Evaluated at bid price : 7.40
Bid-YTW : 5.89 %
BAM.PR.K Floater -2.00 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-05-29
Maturity Price : 7.35
Evaluated at bid price : 7.35
Bid-YTW : 5.93 %
BAM.PF.E FixedReset Disc -1.77 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-05-29
Maturity Price : 12.74
Evaluated at bid price : 12.74
Bid-YTW : 6.24 %
CCS.PR.C Deemed-Retractible -1.50 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-05-29
Maturity Price : 21.21
Evaluated at bid price : 21.21
Bid-YTW : 5.90 %
TRP.PR.H FloatingReset -1.45 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-05-29
Maturity Price : 7.27
Evaluated at bid price : 7.27
Bid-YTW : 5.22 %
BAM.PR.C Floater -1.33 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-05-29
Maturity Price : 7.40
Evaluated at bid price : 7.40
Bid-YTW : 5.89 %
IFC.PR.E Deemed-Retractible -1.17 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-05-29
Maturity Price : 22.55
Evaluated at bid price : 22.85
Bid-YTW : 5.78 %
MFC.PR.H FixedReset Ins Non -1.10 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-05-29
Maturity Price : 16.22
Evaluated at bid price : 16.22
Bid-YTW : 5.52 %
BIK.PR.A FixedReset Disc -1.05 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-05-29
Maturity Price : 22.05
Evaluated at bid price : 22.51
Bid-YTW : 6.48 %
MFC.PR.L FixedReset Ins Non -1.05 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-05-29
Maturity Price : 13.21
Evaluated at bid price : 13.21
Bid-YTW : 5.33 %
IAF.PR.G FixedReset Ins Non -1.00 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-05-29
Maturity Price : 14.80
Evaluated at bid price : 14.80
Bid-YTW : 5.54 %
BMO.PR.W FixedReset Disc 1.00 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-05-29
Maturity Price : 14.14
Evaluated at bid price : 14.14
Bid-YTW : 5.16 %
BNS.PR.G FixedReset Disc 1.03 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-05-29
Maturity Price : 24.21
Evaluated at bid price : 24.61
Bid-YTW : 5.23 %
ELF.PR.H Perpetual-Discount 1.04 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-05-29
Maturity Price : 23.11
Evaluated at bid price : 23.40
Bid-YTW : 5.95 %
TD.PF.K FixedReset Disc 1.05 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-05-29
Maturity Price : 16.41
Evaluated at bid price : 16.41
Bid-YTW : 5.13 %
ELF.PR.G Perpetual-Discount 1.06 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-05-29
Maturity Price : 21.05
Evaluated at bid price : 21.05
Bid-YTW : 5.73 %
BAM.PR.Z FixedReset Disc 1.08 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-05-29
Maturity Price : 14.91
Evaluated at bid price : 14.91
Bid-YTW : 6.07 %
PVS.PR.H SplitShare 1.17 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2027-02-28
Maturity Price : 25.00
Evaluated at bid price : 24.30
Bid-YTW : 5.21 %
TRP.PR.C FixedReset Disc 1.21 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-05-29
Maturity Price : 8.34
Evaluated at bid price : 8.34
Bid-YTW : 5.81 %
GWO.PR.I Deemed-Retractible 1.23 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-05-29
Maturity Price : 19.79
Evaluated at bid price : 19.79
Bid-YTW : 5.79 %
MFC.PR.R FixedReset Ins Non 1.24 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-05-29
Maturity Price : 19.56
Evaluated at bid price : 19.56
Bid-YTW : 5.45 %
BMO.PR.T FixedReset Disc 1.26 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-05-29
Maturity Price : 13.69
Evaluated at bid price : 13.69
Bid-YTW : 5.23 %
BIP.PR.D FixedReset Disc 1.30 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-05-29
Maturity Price : 19.50
Evaluated at bid price : 19.50
Bid-YTW : 6.42 %
BMO.PR.E FixedReset Disc 1.34 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-05-29
Maturity Price : 16.63
Evaluated at bid price : 16.63
Bid-YTW : 5.14 %
PWF.PR.S Perpetual-Discount 1.37 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-05-29
Maturity Price : 20.75
Evaluated at bid price : 20.75
Bid-YTW : 5.86 %
HSE.PR.E FixedReset Disc 1.38 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-05-29
Maturity Price : 11.05
Evaluated at bid price : 11.05
Bid-YTW : 9.77 %
IAF.PR.B Deemed-Retractible 1.54 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-05-29
Maturity Price : 20.48
Evaluated at bid price : 20.48
Bid-YTW : 5.62 %
BMO.PR.C FixedReset Disc 1.62 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-05-29
Maturity Price : 18.20
Evaluated at bid price : 18.20
Bid-YTW : 5.23 %
RY.PR.W Perpetual-Discount 1.72 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-05-29
Maturity Price : 23.36
Evaluated at bid price : 23.65
Bid-YTW : 5.20 %
SLF.PR.I FixedReset Ins Non 1.72 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-05-29
Maturity Price : 14.75
Evaluated at bid price : 14.75
Bid-YTW : 5.36 %
BIP.PR.E FixedReset Disc 1.79 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-05-29
Maturity Price : 19.38
Evaluated at bid price : 19.38
Bid-YTW : 6.46 %
IFC.PR.A FixedReset Ins Non 1.94 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-05-29
Maturity Price : 11.01
Evaluated at bid price : 11.01
Bid-YTW : 5.28 %
CM.PR.Y FixedReset Disc 2.08 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-05-29
Maturity Price : 20.60
Evaluated at bid price : 20.60
Bid-YTW : 5.25 %
BMO.PR.D FixedReset Disc 2.12 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-05-29
Maturity Price : 17.36
Evaluated at bid price : 17.36
Bid-YTW : 5.28 %
TRP.PR.A FixedReset Disc 2.21 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-05-29
Maturity Price : 11.25
Evaluated at bid price : 11.25
Bid-YTW : 5.82 %
TD.PF.D FixedReset Disc 2.44 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-05-29
Maturity Price : 15.55
Evaluated at bid price : 15.55
Bid-YTW : 5.14 %
RY.PR.M FixedReset Disc 2.74 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-05-29
Maturity Price : 14.61
Evaluated at bid price : 14.61
Bid-YTW : 5.15 %
PWF.PR.A Floater 2.79 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-05-29
Maturity Price : 9.20
Evaluated at bid price : 9.20
Bid-YTW : 4.70 %
HSE.PR.A FixedReset Disc 3.09 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-05-29
Maturity Price : 6.00
Evaluated at bid price : 6.00
Bid-YTW : 9.03 %
RY.PR.J FixedReset Disc 3.55 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-05-29
Maturity Price : 15.75
Evaluated at bid price : 15.75
Bid-YTW : 4.96 %
TD.PF.E FixedReset Disc 3.76 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-05-29
Maturity Price : 15.73
Evaluated at bid price : 15.73
Bid-YTW : 5.22 %
SLF.PR.G FixedReset Ins Non 3.84 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-05-29
Maturity Price : 9.20
Evaluated at bid price : 9.20
Bid-YTW : 4.82 %
CU.PR.C FixedReset Disc 4.26 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-05-29
Maturity Price : 15.67
Evaluated at bid price : 15.67
Bid-YTW : 4.53 %
TRP.PR.F FloatingReset 4.72 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-05-29
Maturity Price : 9.80
Evaluated at bid price : 9.80
Bid-YTW : 5.50 %
GWO.PR.N FixedReset Ins Non 5.08 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-05-29
Maturity Price : 9.30
Evaluated at bid price : 9.30
Bid-YTW : 4.60 %
TRP.PR.G FixedReset Disc 6.38 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-05-29
Maturity Price : 14.00
Evaluated at bid price : 14.00
Bid-YTW : 5.99 %
PWF.PR.P FixedReset Disc 17.18 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-05-29
Maturity Price : 9.55
Evaluated at bid price : 9.55
Bid-YTW : 5.24 %
Volume Highlights
Issue Index Shares
Traded
Notes
BMO.PR.T FixedReset Disc 116,256 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-05-29
Maturity Price : 13.69
Evaluated at bid price : 13.69
Bid-YTW : 5.23 %
RY.PR.H FixedReset Disc 106,400 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-05-29
Maturity Price : 14.61
Evaluated at bid price : 14.61
Bid-YTW : 4.92 %
TD.PF.A FixedReset Disc 101,636 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-05-29
Maturity Price : 14.24
Evaluated at bid price : 14.24
Bid-YTW : 5.11 %
BMO.PR.S FixedReset Disc 100,177 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-05-29
Maturity Price : 14.11
Evaluated at bid price : 14.11
Bid-YTW : 5.27 %
CM.PR.R FixedReset Disc 96,398 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-05-29
Maturity Price : 17.51
Evaluated at bid price : 17.51
Bid-YTW : 5.54 %
MFC.PR.C Deemed-Retractible 59,380 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-05-29
Maturity Price : 20.32
Evaluated at bid price : 20.32
Bid-YTW : 5.55 %
There were 18 other index-included issues trading in excess of 10,000 shares.
Wide Spread Highlights
Issue Index Quote Data and Yield Notes
CU.PR.C FixedReset Disc Quote: 15.67 – 18.00
Spot Rate : 2.3300
Average : 1.4781

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-05-29
Maturity Price : 15.67
Evaluated at bid price : 15.67
Bid-YTW : 4.53 %

BMO.PR.C FixedReset Disc Quote: 18.20 – 19.51
Spot Rate : 1.3100
Average : 0.7303

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-05-29
Maturity Price : 18.20
Evaluated at bid price : 18.20
Bid-YTW : 5.23 %

TD.PF.D FixedReset Disc Quote: 15.55 – 18.80
Spot Rate : 3.2500
Average : 2.7136

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-05-29
Maturity Price : 15.55
Evaluated at bid price : 15.55
Bid-YTW : 5.14 %

MFC.PR.F FixedReset Ins Non Quote: 8.99 – 10.20
Spot Rate : 1.2100
Average : 0.6991

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-05-29
Maturity Price : 8.99
Evaluated at bid price : 8.99
Bid-YTW : 4.99 %

MFC.PR.Q FixedReset Ins Non Quote: 15.21 – 16.38
Spot Rate : 1.1700
Average : 0.7224

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-05-29
Maturity Price : 15.21
Evaluated at bid price : 15.21
Bid-YTW : 5.30 %

BIK.PR.A FixedReset Disc Quote: 22.51 – 24.00
Spot Rate : 1.4900
Average : 1.1496

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-05-29
Maturity Price : 22.05
Evaluated at bid price : 22.51
Bid-YTW : 6.48 %

A case study in how not to invest in bank stocks

Friday, May 29th, 2020

Many thanks to John Heinzl for quoting me in his piece A case study in how not to invest in bank stocks:

BK and BK.PR.A are two different classes of shares issued by Canadian Banc Corp., an investment vehicle known as a “split share” corporation. Canadian Banc Corp. holds a portfolio of the six biggest Canadian bank stocks, and while BK and BK.PR.A both provide exposure to those underlying stocks, they do so in different ways and with dramatically different results.

You may be wondering how BK can pay a 10-per-cent dividend when the preferred shares are already yielding 5 per cent. According to the prospectus, “to supplement the dividends received on the portfolio and to reduce risk, the company will from time to time write covered call options in respect of some or all of the common shares in the portfolio.”

But many split share corporations also resort to selling stocks in the underlying portfolio to generate cash required to pay dividends on their class A shares, said James Hymas, president of Hymas Investment Management. “It is my belief that, if people understood class A split shares, they wouldn’t buy them.”

What’s more, your adviser should have known that, although BK and BK.PR.A have different characteristics on their own, they are complementary pieces of the same underlying portfolio. When you put them together you’re essentially buying a portfolio of bank stocks – just in two different wrappers that add unnecessary layers of complexity and fees. Canadian Banc Corp.’s management expense ratio of 1.35 per cent is more than double ZEB’s MER of 0.62 per cent.

“Your reader was given really stupid advice by the adviser, because when you own the class A shares and preferred shares in equal proportions, all you own is a fund with a lot of bells and whistles that owns bank stocks,” Mr. Hymas said. “You can do that a whole lot easier by buying an ETF that owns bank stocks. And it’s much cheaper.”

Neither Mr. Heizl nor I can be faulted for any lack of consistency, since nine years ago he quoted me as saying:

For those reasons, Mr. Hymas says the capital shares are only appropriate for “suckers.”

That sparked a certain amount of debate. I look forward to receiving a lot of angry mail from everyone who’s ever made a nickel on their Capital Unit investments!

May 28, 2020

Thursday, May 28th, 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 -1.1588 % 1,420.9
FixedFloater 0.00 % 0.00 % 0 0.00 0 -1.1588 % 2,607.3
Floater 5.43 % 5.72 % 32,861 14.23 4 -1.1588 % 1,502.6
OpRet 0.00 % 0.00 % 0 0.00 0 0.0290 % 3,413.8
SplitShare 4.92 % 5.19 % 63,424 3.90 7 0.0290 % 4,076.8
Interest-Bearing 0.00 % 0.00 % 0 0.00 0 0.0290 % 3,180.9
Perpetual-Premium 0.00 % 0.00 % 0 0.00 0 0.3783 % 2,939.9
Perpetual-Discount 5.72 % 5.95 % 79,938 13.94 35 0.3783 % 3,153.4
FixedReset Disc 6.49 % 5.36 % 178,062 14.57 83 0.3696 % 1,754.5
Deemed-Retractible 5.44 % 5.71 % 91,998 14.02 27 0.2219 % 3,124.9
FloatingReset 5.13 % 5.14 % 47,615 15.18 3 0.6199 % 1,733.4
FixedReset Prem 0.00 % 0.00 % 0 0.00 0 0.3696 % 2,426.4
FixedReset Bank Non 2.00 % 3.70 % 153,095 1.64 2 -0.1035 % 2,750.2
FixedReset Ins Non 6.76 % 5.42 % 112,747 14.51 22 1.1582 % 1,765.1
Performance Highlights
Issue Index Change Notes
GWO.PR.N FixedReset Ins Non -6.35 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-05-28
Maturity Price : 8.85
Evaluated at bid price : 8.85
Bid-YTW : 4.84 %
MFC.PR.I FixedReset Ins Non -4.35 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-05-28
Maturity Price : 15.40
Evaluated at bid price : 15.40
Bid-YTW : 5.48 %
HSE.PR.A FixedReset Disc -3.96 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-05-28
Maturity Price : 5.82
Evaluated at bid price : 5.82
Bid-YTW : 9.32 %
PWF.PR.A Floater -2.51 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-05-28
Maturity Price : 8.95
Evaluated at bid price : 8.95
Bid-YTW : 4.83 %
IAF.PR.B Deemed-Retractible -1.65 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-05-28
Maturity Price : 20.17
Evaluated at bid price : 20.17
Bid-YTW : 5.71 %
SLF.PR.I FixedReset Ins Non -1.49 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-05-28
Maturity Price : 14.50
Evaluated at bid price : 14.50
Bid-YTW : 5.45 %
CU.PR.C FixedReset Disc -1.44 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-05-28
Maturity Price : 15.03
Evaluated at bid price : 15.03
Bid-YTW : 4.73 %
CM.PR.Y FixedReset Disc -1.32 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-05-28
Maturity Price : 20.18
Evaluated at bid price : 20.18
Bid-YTW : 5.36 %
HSE.PR.C FixedReset Disc -1.31 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-05-28
Maturity Price : 10.56
Evaluated at bid price : 10.56
Bid-YTW : 9.56 %
BAM.PF.H FixedReset Disc -1.30 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-05-28
Maturity Price : 23.56
Evaluated at bid price : 24.25
Bid-YTW : 5.20 %
NA.PR.A FixedReset Disc -1.03 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-05-28
Maturity Price : 22.60
Evaluated at bid price : 23.07
Bid-YTW : 5.49 %
BIK.PR.A FixedReset Disc 1.12 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-05-28
Maturity Price : 22.20
Evaluated at bid price : 22.75
Bid-YTW : 6.41 %
SLF.PR.J FloatingReset 1.14 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-05-28
Maturity Price : 8.90
Evaluated at bid price : 8.90
Bid-YTW : 4.62 %
MFC.PR.L FixedReset Ins Non 1.14 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-05-28
Maturity Price : 13.35
Evaluated at bid price : 13.35
Bid-YTW : 5.27 %
TD.PF.G FixedReset Disc 1.15 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-05-28
Maturity Price : 24.11
Evaluated at bid price : 24.58
Bid-YTW : 5.16 %
BAM.PF.A FixedReset Disc 1.17 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-05-28
Maturity Price : 15.63
Evaluated at bid price : 15.63
Bid-YTW : 5.93 %
MFC.PR.H FixedReset Ins Non 1.23 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-05-28
Maturity Price : 16.40
Evaluated at bid price : 16.40
Bid-YTW : 5.46 %
BMO.PR.F FixedReset Disc 1.25 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-05-28
Maturity Price : 20.25
Evaluated at bid price : 20.25
Bid-YTW : 5.15 %
RY.PR.Z FixedReset Disc 1.26 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-05-28
Maturity Price : 14.45
Evaluated at bid price : 14.45
Bid-YTW : 4.90 %
GWO.PR.P Deemed-Retractible 1.34 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-05-28
Maturity Price : 23.17
Evaluated at bid price : 23.43
Bid-YTW : 5.86 %
TD.PF.K FixedReset Disc 1.50 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-05-28
Maturity Price : 16.24
Evaluated at bid price : 16.24
Bid-YTW : 5.18 %
BMO.PR.T FixedReset Disc 1.50 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-05-28
Maturity Price : 13.52
Evaluated at bid price : 13.52
Bid-YTW : 5.30 %
TRP.PR.K FixedReset Disc 1.55 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-05-28
Maturity Price : 22.58
Evaluated at bid price : 22.90
Bid-YTW : 5.36 %
RY.PR.W Perpetual-Discount 1.57 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-05-28
Maturity Price : 22.98
Evaluated at bid price : 23.25
Bid-YTW : 5.29 %
PWF.PR.T FixedReset Disc 1.58 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-05-28
Maturity Price : 14.15
Evaluated at bid price : 14.15
Bid-YTW : 5.49 %
TD.PF.J FixedReset Disc 1.61 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-05-28
Maturity Price : 16.36
Evaluated at bid price : 16.36
Bid-YTW : 5.16 %
CM.PR.O FixedReset Disc 1.68 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-05-28
Maturity Price : 13.32
Evaluated at bid price : 13.32
Bid-YTW : 5.60 %
SLF.PR.G FixedReset Ins Non 1.84 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-05-28
Maturity Price : 8.86
Evaluated at bid price : 8.86
Bid-YTW : 5.00 %
TRP.PR.C FixedReset Disc 1.98 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-05-28
Maturity Price : 8.24
Evaluated at bid price : 8.24
Bid-YTW : 5.88 %
CM.PR.P FixedReset Disc 2.04 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-05-28
Maturity Price : 14.00
Evaluated at bid price : 14.00
Bid-YTW : 5.36 %
BAM.PF.E FixedReset Disc 2.05 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-05-28
Maturity Price : 12.97
Evaluated at bid price : 12.97
Bid-YTW : 6.12 %
MFC.PR.N FixedReset Ins Non 2.11 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-05-28
Maturity Price : 14.06
Evaluated at bid price : 14.06
Bid-YTW : 5.22 %
BAM.PF.B FixedReset Disc 2.21 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-05-28
Maturity Price : 14.31
Evaluated at bid price : 14.31
Bid-YTW : 5.94 %
TRP.PR.A FixedReset Disc 2.37 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-05-28
Maturity Price : 11.22
Evaluated at bid price : 11.22
Bid-YTW : 5.98 %
BAM.PR.X FixedReset Disc 2.44 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-05-28
Maturity Price : 9.67
Evaluated at bid price : 9.67
Bid-YTW : 5.89 %
IFC.PR.A FixedReset Ins Non 3.35 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-05-28
Maturity Price : 10.80
Evaluated at bid price : 10.80
Bid-YTW : 5.39 %
PWF.PR.P FixedReset Disc 12.88 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-05-28
Maturity Price : 8.15
Evaluated at bid price : 8.15
Bid-YTW : 6.15 %
SLF.PR.H FixedReset Ins Non 37.25 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-05-28
Maturity Price : 12.16
Evaluated at bid price : 12.16
Bid-YTW : 5.25 %
Volume Highlights
Issue Index Shares
Traded
Notes
MFC.PR.G FixedReset Ins Non 64,600 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-05-28
Maturity Price : 15.33
Evaluated at bid price : 15.33
Bid-YTW : 5.42 %
IAF.PR.G FixedReset Ins Non 61,000 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-05-28
Maturity Price : 14.95
Evaluated at bid price : 14.95
Bid-YTW : 5.48 %
RY.PR.Q FixedReset Disc 51,500 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-05-28
Maturity Price : 23.51
Evaluated at bid price : 24.05
Bid-YTW : 5.12 %
TD.PF.D FixedReset Disc 49,700 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-05-28
Maturity Price : 15.18
Evaluated at bid price : 15.18
Bid-YTW : 5.26 %
TD.PF.J FixedReset Disc 43,850 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-05-28
Maturity Price : 16.36
Evaluated at bid price : 16.36
Bid-YTW : 5.16 %
BAM.PF.E FixedReset Disc 31,866 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-05-28
Maturity Price : 12.97
Evaluated at bid price : 12.97
Bid-YTW : 6.12 %
There were 23 other index-included issues trading in excess of 10,000 shares.
Wide Spread Highlights
Issue Index Quote Data and Yield Notes
TD.PF.D FixedReset Disc Quote: 15.18 – 18.80
Spot Rate : 3.6200
Average : 2.1254

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-05-28
Maturity Price : 15.18
Evaluated at bid price : 15.18
Bid-YTW : 5.26 %

BIK.PR.A FixedReset Disc Quote: 22.75 – 24.00
Spot Rate : 1.2500
Average : 0.7764

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-05-28
Maturity Price : 22.20
Evaluated at bid price : 22.75
Bid-YTW : 6.41 %

CM.PR.Y FixedReset Disc Quote: 20.18 – 21.35
Spot Rate : 1.1700
Average : 0.7223

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-05-28
Maturity Price : 20.18
Evaluated at bid price : 20.18
Bid-YTW : 5.36 %

MFC.PR.J FixedReset Ins Non Quote: 15.44 – 16.50
Spot Rate : 1.0600
Average : 0.6531

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-05-28
Maturity Price : 15.44
Evaluated at bid price : 15.44
Bid-YTW : 5.27 %

MFC.PR.I FixedReset Ins Non Quote: 15.40 – 16.50
Spot Rate : 1.1000
Average : 0.7826

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-05-28
Maturity Price : 15.40
Evaluated at bid price : 15.40
Bid-YTW : 5.48 %

TD.PF.M FixedReset Disc Quote: 20.75 – 21.67
Spot Rate : 0.9200
Average : 0.6160

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-05-28
Maturity Price : 20.75
Evaluated at bid price : 20.75
Bid-YTW : 5.13 %

May 27, 2020

Wednesday, May 27th, 2020

Pembina Pipeline has announced (on 2020-5-26):

that it has agreed to issue $500 million of senior unsecured medium-term notes (the “Offering”). The Offering will be conducted in two tranches consisting of $400 million in senior unsecured medium-term notes, series 16 (the “Series 16 Notes”) having a fixed coupon of 4.67 percent per annum, paid semi-annually, and maturing on May 28, 2050; and $100 million principal amount to be issued through a re-opening of the Company’s 3.71 percent medium-term notes, series 7, due August 11, 2026 (the “Series 7 Notes”).

Closing of the Offering is expected to occur on May 28, 2020 and the net proceeds are intended to be used to repay indebtedness of the Company under its unsecured $2.5 billion revolving credit facility due May 2024 incurred in connection with the acquisition of the U.S. portion of the Cochin Pipeline system, as well as to fund Pembina’s capital program and for general corporate purposes.

The Series 16 Notes and the re-opening of the Series 7 Notes are being offered through a syndicate of dealers under Pembina’s short-form base shelf prospectus dated August 30, 2019, as supplemented by related pricing supplements dated May 26, 2020.

Yesterday, PPL’s FixedResets closed with a fairly wide range of yields, given GOC-5 of 0.36% and 3-Month Bills of 0.24%; from 6.92% (PPL.PR.K; has a minimum rate guarantee) to 8.22% (PPL.PR.O); the interest-equivalent range is 9.00% to 10.69%. The spread between the newly issued 30-year bonds and the FixedResets is therefore between 433bp to 602bp – not directly comparable to the Seniority Spread, of course, because these are FixedResets, but an indication nevertheless of why issuers aren’t coming out with new issues!

PerpetualDiscounts now yield 5.97%, equivalent to 7.76% interest at the standard equivalency factor of 1.3x. Long corporates now yield 3.31%, so the pre-tax interest-equivalent spread (in this context, the “Seniority Spread”) has narrowed slightly (and perhaps spuriously), to 445bp from the 450bp reported May 20. We are still equal to 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 1.4295 % 1,437.6
FixedFloater 0.00 % 0.00 % 0 0.00 0 1.4295 % 2,637.9
Floater 5.37 % 5.68 % 33,403 14.30 4 1.4295 % 1,520.2
OpRet 0.00 % 0.00 % 0 0.00 0 0.0753 % 3,412.8
SplitShare 4.92 % 5.14 % 65,955 3.90 7 0.0753 % 4,075.6
Interest-Bearing 0.00 % 0.00 % 0 0.00 0 0.0753 % 3,180.0
Perpetual-Premium 0.00 % 0.00 % 0 0.00 0 -0.0942 % 2,928.9
Perpetual-Discount 5.75 % 5.97 % 80,342 13.91 35 -0.0942 % 3,141.5
FixedReset Disc 6.50 % 5.37 % 179,585 14.52 83 -0.3548 % 1,748.0
Deemed-Retractible 5.45 % 5.76 % 92,384 13.94 27 0.0082 % 3,118.0
FloatingReset 5.16 % 5.14 % 47,921 15.19 3 -0.3090 % 1,722.7
FixedReset Prem 0.00 % 0.00 % 0 0.00 0 -0.3548 % 2,417.5
FixedReset Bank Non 2.00 % 3.69 % 159,353 1.64 2 0.2907 % 2,753.1
FixedReset Ins Non 6.82 % 5.43 % 113,424 14.40 22 -1.2285 % 1,744.9
Performance Highlights
Issue Index Change Notes
SLF.PR.H FixedReset Ins Non -22.96 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-05-27
Maturity Price : 8.86
Evaluated at bid price : 8.86
Bid-YTW : 7.22 %
PWF.PR.P FixedReset Disc -8.03 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-05-27
Maturity Price : 7.22
Evaluated at bid price : 7.22
Bid-YTW : 6.96 %
IFC.PR.A FixedReset Ins Non -4.22 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-05-27
Maturity Price : 10.45
Evaluated at bid price : 10.45
Bid-YTW : 5.58 %
TD.PF.J FixedReset Disc -3.07 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-05-27
Maturity Price : 16.10
Evaluated at bid price : 16.10
Bid-YTW : 5.24 %
BAM.PR.X FixedReset Disc -2.68 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-05-27
Maturity Price : 9.44
Evaluated at bid price : 9.44
Bid-YTW : 6.04 %
MFC.PR.O FixedReset Ins Non -2.47 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-05-27
Maturity Price : 23.11
Evaluated at bid price : 23.65
Bid-YTW : 5.63 %
BMO.PR.F FixedReset Disc -2.44 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-05-27
Maturity Price : 20.00
Evaluated at bid price : 20.00
Bid-YTW : 5.22 %
RY.PR.Z FixedReset Disc -2.39 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-05-27
Maturity Price : 14.27
Evaluated at bid price : 14.27
Bid-YTW : 4.97 %
CM.PR.S FixedReset Disc -2.34 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-05-27
Maturity Price : 14.60
Evaluated at bid price : 14.60
Bid-YTW : 5.37 %
BMO.PR.W FixedReset Disc -2.17 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-05-27
Maturity Price : 14.00
Evaluated at bid price : 14.00
Bid-YTW : 5.21 %
BMO.PR.S FixedReset Disc -2.16 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-05-27
Maturity Price : 14.01
Evaluated at bid price : 14.01
Bid-YTW : 5.30 %
TD.PF.B FixedReset Disc -2.15 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-05-27
Maturity Price : 14.11
Evaluated at bid price : 14.11
Bid-YTW : 5.18 %
BMO.PR.T FixedReset Disc -2.13 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-05-27
Maturity Price : 13.32
Evaluated at bid price : 13.32
Bid-YTW : 5.38 %
TD.PF.K FixedReset Disc -1.84 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-05-27
Maturity Price : 16.00
Evaluated at bid price : 16.00
Bid-YTW : 5.26 %
PVS.PR.H SplitShare -1.84 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2027-02-28
Maturity Price : 25.00
Evaluated at bid price : 24.00
Bid-YTW : 5.42 %
HSE.PR.C FixedReset Disc -1.83 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-05-27
Maturity Price : 10.70
Evaluated at bid price : 10.70
Bid-YTW : 9.42 %
TRP.PR.C FixedReset Disc -1.82 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-05-27
Maturity Price : 8.08
Evaluated at bid price : 8.08
Bid-YTW : 5.99 %
RY.PR.W Perpetual-Discount -1.76 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-05-27
Maturity Price : 22.64
Evaluated at bid price : 22.89
Bid-YTW : 5.37 %
TD.PF.I FixedReset Disc -1.75 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-05-27
Maturity Price : 17.44
Evaluated at bid price : 17.44
Bid-YTW : 5.14 %
CM.PR.T FixedReset Disc -1.69 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-05-27
Maturity Price : 19.17
Evaluated at bid price : 19.17
Bid-YTW : 5.30 %
TD.PF.M FixedReset Disc -1.66 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-05-27
Maturity Price : 20.75
Evaluated at bid price : 20.75
Bid-YTW : 5.13 %
TD.PF.C FixedReset Disc -1.64 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-05-27
Maturity Price : 14.36
Evaluated at bid price : 14.36
Bid-YTW : 5.21 %
HSE.PR.A FixedReset Disc -1.62 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-05-27
Maturity Price : 6.06
Evaluated at bid price : 6.06
Bid-YTW : 8.94 %
NA.PR.S FixedReset Disc -1.62 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-05-27
Maturity Price : 14.00
Evaluated at bid price : 14.00
Bid-YTW : 5.50 %
CM.PR.O FixedReset Disc -1.58 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-05-27
Maturity Price : 13.10
Evaluated at bid price : 13.10
Bid-YTW : 5.70 %
TRP.PR.K FixedReset Disc -1.57 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-05-27
Maturity Price : 22.25
Evaluated at bid price : 22.55
Bid-YTW : 5.45 %
BMO.PR.E FixedReset Disc -1.55 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-05-27
Maturity Price : 16.50
Evaluated at bid price : 16.50
Bid-YTW : 5.18 %
CM.PR.Q FixedReset Disc -1.48 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-05-27
Maturity Price : 14.01
Evaluated at bid price : 14.01
Bid-YTW : 5.70 %
MFC.PR.M FixedReset Ins Non -1.48 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-05-27
Maturity Price : 14.01
Evaluated at bid price : 14.01
Bid-YTW : 5.36 %
CM.PR.P FixedReset Disc -1.44 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-05-27
Maturity Price : 13.72
Evaluated at bid price : 13.72
Bid-YTW : 5.48 %
IFC.PR.G FixedReset Ins Non -1.33 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-05-27
Maturity Price : 14.85
Evaluated at bid price : 14.85
Bid-YTW : 5.64 %
BAM.PF.A FixedReset Disc -1.28 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-05-27
Maturity Price : 15.45
Evaluated at bid price : 15.45
Bid-YTW : 6.00 %
CU.PR.G Perpetual-Discount -1.13 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-05-27
Maturity Price : 20.96
Evaluated at bid price : 20.96
Bid-YTW : 5.40 %
BMO.PR.C FixedReset Disc 1.14 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-05-27
Maturity Price : 17.82
Evaluated at bid price : 17.82
Bid-YTW : 5.34 %
BAM.PR.Z FixedReset Disc 1.16 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-05-27
Maturity Price : 14.82
Evaluated at bid price : 14.82
Bid-YTW : 6.10 %
TRP.PR.E FixedReset Disc 1.21 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-05-27
Maturity Price : 12.55
Evaluated at bid price : 12.55
Bid-YTW : 6.04 %
BIP.PR.E FixedReset Disc 1.32 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-05-27
Maturity Price : 19.26
Evaluated at bid price : 19.26
Bid-YTW : 6.62 %
IAF.PR.B Deemed-Retractible 1.32 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-05-27
Maturity Price : 20.80
Evaluated at bid price : 20.80
Bid-YTW : 5.63 %
BAM.PF.H FixedReset Disc 1.32 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-05-27
Maturity Price : 23.96
Evaluated at bid price : 24.57
Bid-YTW : 5.14 %
PWF.PR.A Floater 1.32 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-05-27
Maturity Price : 9.18
Evaluated at bid price : 9.18
Bid-YTW : 4.70 %
BAM.PR.C Floater 1.34 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-05-27
Maturity Price : 7.57
Evaluated at bid price : 7.57
Bid-YTW : 5.75 %
EIT.PR.A SplitShare 1.49 % YTW SCENARIO
Maturity Type : Soft Maturity
Maturity Date : 2024-03-14
Maturity Price : 25.00
Evaluated at bid price : 24.56
Bid-YTW : 5.28 %
BIP.PR.A FixedReset Disc 1.85 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-05-27
Maturity Price : 14.32
Evaluated at bid price : 14.32
Bid-YTW : 6.99 %
BAM.PR.B Floater 2.27 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-05-27
Maturity Price : 7.67
Evaluated at bid price : 7.67
Bid-YTW : 5.68 %
IFC.PR.C FixedReset Ins Non 2.60 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-05-27
Maturity Price : 13.80
Evaluated at bid price : 13.80
Bid-YTW : 5.62 %
BIP.PR.F FixedReset Disc 2.87 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-05-27
Maturity Price : 20.06
Evaluated at bid price : 20.06
Bid-YTW : 6.48 %
TRP.PR.B FixedReset Disc 3.33 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-05-27
Maturity Price : 7.44
Evaluated at bid price : 7.44
Bid-YTW : 5.61 %
BAM.PF.B FixedReset Disc 4.32 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-05-27
Maturity Price : 14.00
Evaluated at bid price : 14.00
Bid-YTW : 6.08 %
Volume Highlights
Issue Index Shares
Traded
Notes
BAM.PR.M Perpetual-Discount 75,261 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-05-27
Maturity Price : 20.05
Evaluated at bid price : 20.05
Bid-YTW : 6.03 %
BMO.PR.E FixedReset Disc 63,800 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-05-27
Maturity Price : 16.50
Evaluated at bid price : 16.50
Bid-YTW : 5.18 %
BAM.PF.D Perpetual-Discount 61,363 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-05-27
Maturity Price : 20.61
Evaluated at bid price : 20.61
Bid-YTW : 6.05 %
PWF.PR.T FixedReset Disc 56,500 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-05-27
Maturity Price : 13.93
Evaluated at bid price : 13.93
Bid-YTW : 5.58 %
BAM.PR.R FixedReset Disc 50,390 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-05-27
Maturity Price : 11.21
Evaluated at bid price : 11.21
Bid-YTW : 6.10 %
MFC.PR.G FixedReset Ins Non 46,581 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-05-27
Maturity Price : 15.30
Evaluated at bid price : 15.30
Bid-YTW : 5.43 %
There were 39 other index-included issues trading in excess of 10,000 shares.
Wide Spread Highlights
Issue Index Quote Data and Yield Notes
SLF.PR.H FixedReset Ins Non Quote: 8.86 – 12.17
Spot Rate : 3.3100
Average : 1.9498

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-05-27
Maturity Price : 8.86
Evaluated at bid price : 8.86
Bid-YTW : 7.22 %

PWF.PR.P FixedReset Disc Quote: 7.22 – 9.71
Spot Rate : 2.4900
Average : 1.8592

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-05-27
Maturity Price : 7.22
Evaluated at bid price : 7.22
Bid-YTW : 6.96 %

TD.PF.H FixedReset Disc Quote: 22.40 – 23.25
Spot Rate : 0.8500
Average : 0.4956

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-05-27
Maturity Price : 21.87
Evaluated at bid price : 22.40
Bid-YTW : 5.06 %

MFC.PR.M FixedReset Ins Non Quote: 14.01 – 16.17
Spot Rate : 2.1600
Average : 1.8383

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-05-27
Maturity Price : 14.01
Evaluated at bid price : 14.01
Bid-YTW : 5.36 %

EML.PR.A FixedReset Ins Non Quote: 22.75 – 23.47
Spot Rate : 0.7200
Average : 0.4057

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-05-27
Maturity Price : 22.10
Evaluated at bid price : 22.75
Bid-YTW : 5.96 %

TD.PF.E FixedReset Disc Quote: 15.20 – 16.03
Spot Rate : 0.8300
Average : 0.5393

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-05-27
Maturity Price : 15.20
Evaluated at bid price : 15.20
Bid-YTW : 5.40 %

May 26, 2020

Tuesday, May 26th, 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 0.0636 % 1,417.3
FixedFloater 0.00 % 0.00 % 0 0.00 0 0.0636 % 2,600.7
Floater 5.45 % 5.81 % 31,817 14.11 4 0.0636 % 1,498.8
OpRet 0.00 % 0.00 % 0 0.00 0 0.1219 % 3,410.2
SplitShare 4.93 % 5.09 % 68,613 3.90 7 0.1219 % 4,072.6
Interest-Bearing 0.00 % 0.00 % 0 0.00 0 0.1219 % 3,177.6
Perpetual-Premium 0.00 % 0.00 % 0 0.00 0 0.4782 % 2,931.6
Perpetual-Discount 5.74 % 5.96 % 80,468 13.93 35 0.4782 % 3,144.5
FixedReset Disc 6.48 % 5.34 % 180,759 14.61 83 0.4043 % 1,754.2
Deemed-Retractible 5.45 % 5.77 % 90,057 13.97 27 0.2891 % 3,117.7
FloatingReset 5.15 % 5.14 % 48,691 15.19 3 -0.3026 % 1,728.0
FixedReset Prem 0.00 % 0.00 % 0 0.00 0 0.4043 % 2,426.1
FixedReset Bank Non 2.01 % 3.64 % 160,851 1.64 2 0.0000 % 2,745.1
FixedReset Ins Non 6.74 % 5.38 % 113,083 14.48 22 0.0178 % 1,766.6
Performance Highlights
Issue Index Change Notes
PWF.PR.P FixedReset Disc -13.26 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-05-26
Maturity Price : 7.85
Evaluated at bid price : 7.85
Bid-YTW : 6.39 %
TRP.PR.B FixedReset Disc -6.49 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-05-26
Maturity Price : 7.20
Evaluated at bid price : 7.20
Bid-YTW : 5.80 %
BAM.PF.B FixedReset Disc -5.89 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-05-26
Maturity Price : 13.42
Evaluated at bid price : 13.42
Bid-YTW : 6.36 %
IFC.PR.C FixedReset Ins Non -4.27 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-05-26
Maturity Price : 13.45
Evaluated at bid price : 13.45
Bid-YTW : 5.76 %
SLF.PR.H FixedReset Ins Non -3.89 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-05-26
Maturity Price : 11.50
Evaluated at bid price : 11.50
Bid-YTW : 5.55 %
MFC.PR.N FixedReset Ins Non -2.69 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-05-26
Maturity Price : 13.77
Evaluated at bid price : 13.77
Bid-YTW : 5.34 %
BIP.PR.F FixedReset Disc -2.50 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-05-26
Maturity Price : 19.50
Evaluated at bid price : 19.50
Bid-YTW : 6.67 %
TRP.PR.E FixedReset Disc -1.98 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-05-26
Maturity Price : 12.40
Evaluated at bid price : 12.40
Bid-YTW : 6.12 %
TD.PF.A FixedReset Disc -1.89 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-05-26
Maturity Price : 14.05
Evaluated at bid price : 14.05
Bid-YTW : 5.18 %
IFC.PR.A FixedReset Ins Non -1.71 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-05-26
Maturity Price : 10.91
Evaluated at bid price : 10.91
Bid-YTW : 5.33 %
HSE.PR.C FixedReset Disc -1.62 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-05-26
Maturity Price : 10.90
Evaluated at bid price : 10.90
Bid-YTW : 9.23 %
HSE.PR.E FixedReset Disc -1.43 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-05-26
Maturity Price : 11.04
Evaluated at bid price : 11.04
Bid-YTW : 9.77 %
HSE.PR.G FixedReset Disc -1.43 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-05-26
Maturity Price : 10.35
Evaluated at bid price : 10.35
Bid-YTW : 9.63 %
CU.PR.I FixedReset Disc -1.42 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-05-26
Maturity Price : 23.58
Evaluated at bid price : 24.30
Bid-YTW : 4.60 %
BIP.PR.A FixedReset Disc -1.33 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-05-26
Maturity Price : 14.06
Evaluated at bid price : 14.06
Bid-YTW : 7.12 %
BAM.PR.B Floater -1.32 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-05-26
Maturity Price : 7.50
Evaluated at bid price : 7.50
Bid-YTW : 5.81 %
EIT.PR.A SplitShare -1.02 % YTW SCENARIO
Maturity Type : Soft Maturity
Maturity Date : 2024-03-14
Maturity Price : 25.00
Evaluated at bid price : 24.20
Bid-YTW : 5.71 %
MFC.PR.O FixedReset Ins Non -1.02 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-05-26
Maturity Price : 23.76
Evaluated at bid price : 24.25
Bid-YTW : 5.49 %
PWF.PR.S Perpetual-Discount 1.04 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-05-26
Maturity Price : 20.46
Evaluated at bid price : 20.46
Bid-YTW : 5.94 %
CM.PR.R FixedReset Disc 1.05 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-05-26
Maturity Price : 17.33
Evaluated at bid price : 17.33
Bid-YTW : 5.60 %
TD.PF.B FixedReset Disc 1.12 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-05-26
Maturity Price : 14.42
Evaluated at bid price : 14.42
Bid-YTW : 5.07 %
MFC.PR.C Deemed-Retractible 1.13 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-05-26
Maturity Price : 20.50
Evaluated at bid price : 20.50
Bid-YTW : 5.50 %
PWF.PR.R Perpetual-Discount 1.18 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-05-26
Maturity Price : 22.79
Evaluated at bid price : 23.08
Bid-YTW : 6.02 %
W.PR.M FixedReset Disc 1.21 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-05-26
Maturity Price : 23.85
Evaluated at bid price : 24.26
Bid-YTW : 5.41 %
BAM.PR.T FixedReset Disc 1.33 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-05-26
Maturity Price : 11.45
Evaluated at bid price : 11.45
Bid-YTW : 6.16 %
MFC.PR.G FixedReset Ins Non 1.33 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-05-26
Maturity Price : 15.21
Evaluated at bid price : 15.21
Bid-YTW : 5.46 %
BAM.PF.G FixedReset Disc 1.38 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-05-26
Maturity Price : 13.25
Evaluated at bid price : 13.25
Bid-YTW : 6.16 %
CU.PR.F Perpetual-Discount 1.43 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-05-26
Maturity Price : 21.21
Evaluated at bid price : 21.21
Bid-YTW : 5.33 %
BMO.PR.F FixedReset Disc 1.43 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-05-26
Maturity Price : 20.50
Evaluated at bid price : 20.50
Bid-YTW : 5.08 %
TD.PF.L FixedReset Disc 1.53 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-05-26
Maturity Price : 19.90
Evaluated at bid price : 19.90
Bid-YTW : 5.05 %
PWF.PR.T FixedReset Disc 1.53 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-05-26
Maturity Price : 13.90
Evaluated at bid price : 13.90
Bid-YTW : 5.60 %
BMO.PR.E FixedReset Disc 1.58 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-05-26
Maturity Price : 16.76
Evaluated at bid price : 16.76
Bid-YTW : 5.09 %
POW.PR.B Perpetual-Discount 1.58 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-05-26
Maturity Price : 22.22
Evaluated at bid price : 22.50
Bid-YTW : 6.02 %
TD.PF.M FixedReset Disc 1.64 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-05-26
Maturity Price : 21.10
Evaluated at bid price : 21.10
Bid-YTW : 5.04 %
CU.PR.G Perpetual-Discount 1.68 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-05-26
Maturity Price : 21.20
Evaluated at bid price : 21.20
Bid-YTW : 5.34 %
BNS.PR.I FixedReset Disc 1.76 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-05-26
Maturity Price : 17.30
Evaluated at bid price : 17.30
Bid-YTW : 4.68 %
BMO.PR.Y FixedReset Disc 1.82 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-05-26
Maturity Price : 14.51
Evaluated at bid price : 14.51
Bid-YTW : 5.33 %
TD.PF.I FixedReset Disc 1.84 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-05-26
Maturity Price : 17.75
Evaluated at bid price : 17.75
Bid-YTW : 5.04 %
MFC.PR.L FixedReset Ins Non 1.84 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-05-26
Maturity Price : 13.25
Evaluated at bid price : 13.25
Bid-YTW : 5.31 %
PWF.PR.A Floater 2.03 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-05-26
Maturity Price : 9.06
Evaluated at bid price : 9.06
Bid-YTW : 4.77 %
BMO.PR.B FixedReset Disc 2.30 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-05-26
Maturity Price : 21.77
Evaluated at bid price : 22.25
Bid-YTW : 5.01 %
CCS.PR.C Deemed-Retractible 2.38 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-05-26
Maturity Price : 21.70
Evaluated at bid price : 21.95
Bid-YTW : 5.78 %
MFC.PR.J FixedReset Ins Non 2.58 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-05-26
Maturity Price : 15.49
Evaluated at bid price : 15.49
Bid-YTW : 5.25 %
NA.PR.G FixedReset Disc 2.89 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-05-26
Maturity Price : 16.00
Evaluated at bid price : 16.00
Bid-YTW : 5.51 %
MFC.PR.I FixedReset Ins Non 3.90 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-05-26
Maturity Price : 16.00
Evaluated at bid price : 16.00
Bid-YTW : 5.27 %
RY.PR.J FixedReset Disc 4.12 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-05-26
Maturity Price : 15.15
Evaluated at bid price : 15.15
Bid-YTW : 5.15 %
W.PR.K FixedReset Disc 6.00 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-05-26
Maturity Price : 23.15
Evaluated at bid price : 23.85
Bid-YTW : 5.54 %
BAM.PF.I FixedReset Disc 6.45 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-05-26
Maturity Price : 23.06
Evaluated at bid price : 23.42
Bid-YTW : 5.19 %
BMO.PR.D FixedReset Disc 7.19 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-05-26
Maturity Price : 17.15
Evaluated at bid price : 17.15
Bid-YTW : 5.34 %
GWO.PR.N FixedReset Ins Non 7.43 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-05-26
Maturity Price : 9.40
Evaluated at bid price : 9.40
Bid-YTW : 4.53 %
Volume Highlights
Issue Index Shares
Traded
Notes
NA.PR.C FixedReset Disc 89,473 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-05-26
Maturity Price : 17.46
Evaluated at bid price : 17.46
Bid-YTW : 5.61 %
BAM.PF.G FixedReset Disc 65,479 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-05-26
Maturity Price : 13.25
Evaluated at bid price : 13.25
Bid-YTW : 6.16 %
TRP.PR.J FixedReset Disc 60,021 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-05-26
Maturity Price : 24.54
Evaluated at bid price : 24.90
Bid-YTW : 5.54 %
NA.PR.W FixedReset Disc 28,900 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-05-26
Maturity Price : 13.70
Evaluated at bid price : 13.70
Bid-YTW : 5.41 %
TRP.PR.E FixedReset Disc 27,949 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-05-26
Maturity Price : 12.40
Evaluated at bid price : 12.40
Bid-YTW : 6.12 %
CM.PR.R FixedReset Disc 25,661 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-05-26
Maturity Price : 17.33
Evaluated at bid price : 17.33
Bid-YTW : 5.60 %
There were 17 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: 14.22 – 16.17
Spot Rate : 1.9500
Average : 1.4855

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-05-26
Maturity Price : 14.22
Evaluated at bid price : 14.22
Bid-YTW : 5.28 %

BAM.PF.B FixedReset Disc Quote: 13.42 – 14.40
Spot Rate : 0.9800
Average : 0.6559

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-05-26
Maturity Price : 13.42
Evaluated at bid price : 13.42
Bid-YTW : 6.36 %

PWF.PR.P FixedReset Disc Quote: 7.85 – 9.26
Spot Rate : 1.4100
Average : 1.1675

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-05-26
Maturity Price : 7.85
Evaluated at bid price : 7.85
Bid-YTW : 6.39 %

SLF.PR.H FixedReset Ins Non Quote: 11.50 – 12.17
Spot Rate : 0.6700
Average : 0.4584

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-05-26
Maturity Price : 11.50
Evaluated at bid price : 11.50
Bid-YTW : 5.55 %

TRP.PR.G FixedReset Disc Quote: 13.16 – 14.29
Spot Rate : 1.1300
Average : 0.9520

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-05-26
Maturity Price : 13.16
Evaluated at bid price : 13.16
Bid-YTW : 6.37 %

BIP.PR.A FixedReset Disc Quote: 14.06 – 14.53
Spot Rate : 0.4700
Average : 0.3114

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-05-26
Maturity Price : 14.06
Evaluated at bid price : 14.06
Bid-YTW : 7.12 %

May 25, 2020

Monday, May 25th, 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 0.0000 % 1,416.4
FixedFloater 0.00 % 0.00 % 0 0.00 0 0.0000 % 2,599.1
Floater 5.45 % 5.73 % 31,283 14.23 4 0.0000 % 1,497.9
OpRet 0.00 % 0.00 % 0 0.00 0 0.5778 % 3,406.1
SplitShare 4.93 % 5.16 % 71,376 3.91 7 0.5778 % 4,067.6
Interest-Bearing 0.00 % 0.00 % 0 0.00 0 0.5778 % 3,173.7
Perpetual-Premium 0.00 % 0.00 % 0 0.00 0 -0.0473 % 2,917.7
Perpetual-Discount 5.77 % 6.00 % 79,640 13.89 35 -0.0473 % 3,129.5
FixedReset Disc 6.51 % 5.36 % 183,301 14.57 83 -0.6431 % 1,747.2
Deemed-Retractible 5.45 % 5.73 % 90,477 13.94 27 0.0379 % 3,108.7
FloatingReset 5.09 % 5.14 % 50,783 15.19 3 0.0765 % 1,733.3
FixedReset Prem 0.00 % 0.00 % 0 0.00 0 -0.6431 % 2,416.3
FixedReset Bank Non 2.01 % 3.86 % 166,550 1.64 2 -0.0415 % 2,745.1
FixedReset Ins Non 6.73 % 5.41 % 117,677 14.46 22 0.0185 % 1,766.3
Performance Highlights
Issue Index Change Notes
TRP.PR.G FixedReset Disc -8.16 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-05-25
Maturity Price : 13.16
Evaluated at bid price : 13.16
Bid-YTW : 6.37 %
BMO.PR.D FixedReset Disc -6.71 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-05-25
Maturity Price : 16.00
Evaluated at bid price : 16.00
Bid-YTW : 5.74 %
BAM.PF.I FixedReset Disc -6.42 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-05-25
Maturity Price : 21.60
Evaluated at bid price : 22.00
Bid-YTW : 5.52 %
GWO.PR.N FixedReset Ins Non -6.12 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-05-25
Maturity Price : 8.75
Evaluated at bid price : 8.75
Bid-YTW : 4.87 %
W.PR.K FixedReset Disc -5.34 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-05-25
Maturity Price : 21.95
Evaluated at bid price : 22.50
Bid-YTW : 5.89 %
RY.PR.J FixedReset Disc -4.21 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-05-25
Maturity Price : 14.55
Evaluated at bid price : 14.55
Bid-YTW : 5.36 %
MFC.PR.I FixedReset Ins Non -2.84 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-05-25
Maturity Price : 15.40
Evaluated at bid price : 15.40
Bid-YTW : 5.48 %
NA.PR.G FixedReset Disc -2.81 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-05-25
Maturity Price : 15.55
Evaluated at bid price : 15.55
Bid-YTW : 5.68 %
BMO.PR.B FixedReset Disc -2.73 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-05-25
Maturity Price : 21.42
Evaluated at bid price : 21.75
Bid-YTW : 5.14 %
TRP.PR.C FixedReset Disc -2.51 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-05-25
Maturity Price : 8.15
Evaluated at bid price : 8.15
Bid-YTW : 5.94 %
SLF.PR.H FixedReset Ins Non -2.41 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-05-25
Maturity Price : 12.15
Evaluated at bid price : 12.15
Bid-YTW : 5.35 %
BMO.PR.F FixedReset Disc -2.32 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-05-25
Maturity Price : 20.21
Evaluated at bid price : 20.21
Bid-YTW : 5.16 %
MFC.PR.L FixedReset Ins Non -2.11 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-05-25
Maturity Price : 13.01
Evaluated at bid price : 13.01
Bid-YTW : 5.41 %
TD.PF.M FixedReset Disc -2.08 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-05-25
Maturity Price : 20.76
Evaluated at bid price : 20.76
Bid-YTW : 5.13 %
TD.PF.L FixedReset Disc -2.00 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-05-25
Maturity Price : 19.60
Evaluated at bid price : 19.60
Bid-YTW : 5.13 %
CU.PR.C FixedReset Disc -1.93 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-05-25
Maturity Price : 15.25
Evaluated at bid price : 15.25
Bid-YTW : 4.66 %
BMO.PR.T FixedReset Disc -1.82 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-05-25
Maturity Price : 13.50
Evaluated at bid price : 13.50
Bid-YTW : 5.31 %
TRP.PR.A FixedReset Disc -1.79 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-05-25
Maturity Price : 11.00
Evaluated at bid price : 11.00
Bid-YTW : 6.11 %
BMO.PR.E FixedReset Disc -1.79 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-05-25
Maturity Price : 16.50
Evaluated at bid price : 16.50
Bid-YTW : 5.18 %
BNS.PR.I FixedReset Disc -1.73 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-05-25
Maturity Price : 17.00
Evaluated at bid price : 17.00
Bid-YTW : 4.77 %
BMO.PR.Y FixedReset Disc -1.72 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-05-25
Maturity Price : 14.25
Evaluated at bid price : 14.25
Bid-YTW : 5.43 %
PWF.PR.T FixedReset Disc -1.72 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-05-25
Maturity Price : 13.69
Evaluated at bid price : 13.69
Bid-YTW : 5.69 %
W.PR.M FixedReset Disc -1.60 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-05-25
Maturity Price : 23.53
Evaluated at bid price : 23.97
Bid-YTW : 5.48 %
IFC.PR.I Perpetual-Discount -1.54 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-05-25
Maturity Price : 23.32
Evaluated at bid price : 23.63
Bid-YTW : 5.85 %
CM.PR.Y FixedReset Disc -1.49 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-05-25
Maturity Price : 20.44
Evaluated at bid price : 20.44
Bid-YTW : 5.29 %
MFC.PR.G FixedReset Ins Non -1.38 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-05-25
Maturity Price : 15.01
Evaluated at bid price : 15.01
Bid-YTW : 5.53 %
BAM.PF.E FixedReset Disc -1.33 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-05-25
Maturity Price : 12.63
Evaluated at bid price : 12.63
Bid-YTW : 6.29 %
PWF.PR.R Perpetual-Discount -1.26 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-05-25
Maturity Price : 22.40
Evaluated at bid price : 22.81
Bid-YTW : 6.08 %
CU.PR.G Perpetual-Discount -1.18 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-05-25
Maturity Price : 20.85
Evaluated at bid price : 20.85
Bid-YTW : 5.42 %
BAM.PF.J FixedReset Disc -1.17 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-05-25
Maturity Price : 22.35
Evaluated at bid price : 22.78
Bid-YTW : 5.27 %
MFC.PR.J FixedReset Ins Non -1.11 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-05-25
Maturity Price : 15.10
Evaluated at bid price : 15.10
Bid-YTW : 5.39 %
TRP.PR.K FixedReset Disc -1.08 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-05-25
Maturity Price : 22.58
Evaluated at bid price : 22.90
Bid-YTW : 5.36 %
IFC.PR.E Deemed-Retractible -1.03 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-05-25
Maturity Price : 22.69
Evaluated at bid price : 23.01
Bid-YTW : 5.73 %
MFC.PR.M FixedReset Ins Non 1.07 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-05-25
Maturity Price : 14.15
Evaluated at bid price : 14.15
Bid-YTW : 5.30 %
MFC.PR.N FixedReset Ins Non 1.07 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-05-25
Maturity Price : 14.15
Evaluated at bid price : 14.15
Bid-YTW : 5.18 %
MFC.PR.B Deemed-Retractible 1.11 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-05-25
Maturity Price : 21.00
Evaluated at bid price : 21.00
Bid-YTW : 5.55 %
BMO.PR.Z Perpetual-Discount 1.13 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-05-25
Maturity Price : 22.88
Evaluated at bid price : 23.30
Bid-YTW : 5.38 %
SLF.PR.G FixedReset Ins Non 1.14 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-05-25
Maturity Price : 8.91
Evaluated at bid price : 8.91
Bid-YTW : 5.05 %
TRP.PR.E FixedReset Disc 1.20 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-05-25
Maturity Price : 12.65
Evaluated at bid price : 12.65
Bid-YTW : 5.99 %
ELF.PR.G Perpetual-Discount 1.38 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-05-25
Maturity Price : 20.50
Evaluated at bid price : 20.50
Bid-YTW : 5.88 %
HSE.PR.G FixedReset Disc 1.45 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-05-25
Maturity Price : 10.50
Evaluated at bid price : 10.50
Bid-YTW : 9.49 %
PVS.PR.H SplitShare 1.46 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2027-02-28
Maturity Price : 25.00
Evaluated at bid price : 24.35
Bid-YTW : 5.16 %
PVS.PR.F SplitShare 1.48 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2024-09-30
Maturity Price : 25.00
Evaluated at bid price : 24.66
Bid-YTW : 5.14 %
BIP.PR.A FixedReset Disc 1.57 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-05-25
Maturity Price : 14.25
Evaluated at bid price : 14.25
Bid-YTW : 7.02 %
BIP.PR.F FixedReset Disc 2.56 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-05-25
Maturity Price : 20.00
Evaluated at bid price : 20.00
Bid-YTW : 6.50 %
IFC.PR.A FixedReset Ins Non 3.93 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-05-25
Maturity Price : 11.10
Evaluated at bid price : 11.10
Bid-YTW : 5.23 %
IFC.PR.C FixedReset Ins Non 7.66 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-05-25
Maturity Price : 14.05
Evaluated at bid price : 14.05
Bid-YTW : 5.51 %
BMO.PR.W FixedReset Disc 10.04 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-05-25
Maturity Price : 14.25
Evaluated at bid price : 14.25
Bid-YTW : 5.12 %
PWF.PR.P FixedReset Disc 11.04 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-05-25
Maturity Price : 9.05
Evaluated at bid price : 9.05
Bid-YTW : 5.53 %
Volume Highlights
Issue Index Shares
Traded
Notes
NA.PR.S FixedReset Disc 21,500 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-05-25
Maturity Price : 14.21
Evaluated at bid price : 14.21
Bid-YTW : 5.41 %
BAM.PR.T FixedReset Disc 19,500 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-05-25
Maturity Price : 11.30
Evaluated at bid price : 11.30
Bid-YTW : 6.24 %
TRP.PR.C FixedReset Disc 18,510 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-05-25
Maturity Price : 8.15
Evaluated at bid price : 8.15
Bid-YTW : 5.94 %
BMO.PR.T FixedReset Disc 11,834 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-05-25
Maturity Price : 13.50
Evaluated at bid price : 13.50
Bid-YTW : 5.31 %
TD.PF.J FixedReset Disc 11,163 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-05-25
Maturity Price : 16.50
Evaluated at bid price : 16.50
Bid-YTW : 5.11 %
RY.PR.F Deemed-Retractible 10,715 YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2022-01-31
Maturity Price : 25.00
Evaluated at bid price : 25.00
Bid-YTW : 4.47 %
There were 2 other index-included issues trading in excess of 10,000 shares.
Wide Spread Highlights
Issue Index Quote Data and Yield Notes
MFC.PR.I FixedReset Ins Non Quote: 15.40 – 18.00
Spot Rate : 2.6000
Average : 1.5599

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-05-25
Maturity Price : 15.40
Evaluated at bid price : 15.40
Bid-YTW : 5.48 %

BAM.PF.I FixedReset Disc Quote: 22.00 – 23.81
Spot Rate : 1.8100
Average : 1.0562

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-05-25
Maturity Price : 21.60
Evaluated at bid price : 22.00
Bid-YTW : 5.52 %

W.PR.K FixedReset Disc Quote: 22.50 – 23.83
Spot Rate : 1.3300
Average : 0.8018

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-05-25
Maturity Price : 21.95
Evaluated at bid price : 22.50
Bid-YTW : 5.89 %

TRP.PR.G FixedReset Disc Quote: 13.16 – 14.35
Spot Rate : 1.1900
Average : 0.7569

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-05-25
Maturity Price : 13.16
Evaluated at bid price : 13.16
Bid-YTW : 6.37 %

BMO.PR.D FixedReset Disc Quote: 16.00 – 16.99
Spot Rate : 0.9900
Average : 0.5776

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-05-25
Maturity Price : 16.00
Evaluated at bid price : 16.00
Bid-YTW : 5.74 %

CCS.PR.C Deemed-Retractible Quote: 21.44 – 22.75
Spot Rate : 1.3100
Average : 0.9366

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-05-25
Maturity Price : 21.44
Evaluated at bid price : 21.44
Bid-YTW : 5.94 %

May 22, 2020

Friday, May 22nd, 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 -0.9134 % 1,416.4
FixedFloater 0.00 % 0.00 % 0 0.00 0 -0.9134 % 2,599.1
Floater 5.45 % 5.72 % 31,752 14.25 4 -0.9134 % 1,497.9
OpRet 0.00 % 0.00 % 0 0.00 0 -0.5572 % 3,386.5
SplitShare 4.96 % 5.43 % 71,643 3.91 7 -0.5572 % 4,044.2
Interest-Bearing 0.00 % 0.00 % 0 0.00 0 -0.5572 % 3,155.5
Perpetual-Premium 0.00 % 0.00 % 0 0.00 0 0.1998 % 2,919.1
Perpetual-Discount 5.77 % 6.00 % 81,343 13.87 35 0.1998 % 3,131.0
FixedReset Disc 6.47 % 5.42 % 186,302 14.54 83 -0.7619 % 1,758.5
Deemed-Retractible 5.45 % 5.71 % 89,092 13.93 27 -0.1941 % 3,107.5
FloatingReset 5.10 % 5.14 % 51,197 15.20 3 -1.4329 % 1,732.0
FixedReset Prem 0.00 % 0.00 % 0 0.00 0 -0.7619 % 2,431.9
FixedReset Bank Non 2.01 % 3.88 % 172,774 1.65 2 0.1039 % 2,746.3
FixedReset Ins Non 6.73 % 5.47 % 117,813 14.27 22 -0.7617 % 1,766.0
Performance Highlights
Issue Index Change Notes
PWF.PR.P FixedReset Disc -13.11 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-05-22
Maturity Price : 8.15
Evaluated at bid price : 8.15
Bid-YTW : 6.35 %
BMO.PR.W FixedReset Disc -10.13 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-05-22
Maturity Price : 12.95
Evaluated at bid price : 12.95
Bid-YTW : 5.77 %
IFC.PR.C FixedReset Ins Non -7.77 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-05-22
Maturity Price : 13.05
Evaluated at bid price : 13.05
Bid-YTW : 6.07 %
IFC.PR.A FixedReset Ins Non -6.40 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-05-22
Maturity Price : 10.68
Evaluated at bid price : 10.68
Bid-YTW : 5.59 %
TRP.PR.H FloatingReset -3.85 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-05-22
Maturity Price : 7.50
Evaluated at bid price : 7.50
Bid-YTW : 5.14 %
SLF.PR.G FixedReset Ins Non -3.50 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-05-22
Maturity Price : 8.81
Evaluated at bid price : 8.81
Bid-YTW : 5.31 %
HSE.PR.G FixedReset Disc -3.27 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-05-22
Maturity Price : 10.35
Evaluated at bid price : 10.35
Bid-YTW : 9.80 %
BAM.PR.X FixedReset Disc -2.61 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-05-22
Maturity Price : 9.70
Evaluated at bid price : 9.70
Bid-YTW : 6.03 %
BIP.PR.F FixedReset Disc -2.50 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-05-22
Maturity Price : 19.50
Evaluated at bid price : 19.50
Bid-YTW : 6.67 %
TD.PF.J FixedReset Disc -2.49 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-05-22
Maturity Price : 16.43
Evaluated at bid price : 16.43
Bid-YTW : 5.22 %
CM.PR.Q FixedReset Disc -2.23 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-05-22
Maturity Price : 14.00
Evaluated at bid price : 14.00
Bid-YTW : 5.83 %
BMO.PR.C FixedReset Disc -2.12 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-05-22
Maturity Price : 17.54
Evaluated at bid price : 17.54
Bid-YTW : 5.52 %
MFC.PR.B Deemed-Retractible -2.07 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-05-22
Maturity Price : 20.77
Evaluated at bid price : 20.77
Bid-YTW : 5.61 %
TD.PF.K FixedReset Disc -1.93 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-05-22
Maturity Price : 16.25
Evaluated at bid price : 16.25
Bid-YTW : 5.26 %
BAM.PR.C Floater -1.83 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-05-22
Maturity Price : 7.51
Evaluated at bid price : 7.51
Bid-YTW : 5.80 %
GWO.PR.N FixedReset Ins Non -1.79 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-05-22
Maturity Price : 9.32
Evaluated at bid price : 9.32
Bid-YTW : 4.75 %
MFC.PR.H FixedReset Ins Non -1.77 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-05-22
Maturity Price : 16.06
Evaluated at bid price : 16.06
Bid-YTW : 5.67 %
HSE.PR.E FixedReset Disc -1.75 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-05-22
Maturity Price : 11.20
Evaluated at bid price : 11.20
Bid-YTW : 9.71 %
TD.PF.I FixedReset Disc -1.74 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-05-22
Maturity Price : 17.54
Evaluated at bid price : 17.54
Bid-YTW : 5.19 %
BNS.PR.E FixedReset Disc -1.70 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-05-22
Maturity Price : 23.13
Evaluated at bid price : 23.71
Bid-YTW : 5.26 %
TRP.PR.C FixedReset Disc -1.65 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-05-22
Maturity Price : 8.36
Evaluated at bid price : 8.36
Bid-YTW : 5.99 %
MFC.PR.F FixedReset Ins Non -1.64 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-05-22
Maturity Price : 9.01
Evaluated at bid price : 9.01
Bid-YTW : 5.16 %
NA.PR.X FixedReset Disc -1.64 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-05-22
Maturity Price : 23.51
Evaluated at bid price : 24.05
Bid-YTW : 5.57 %
MFC.PR.J FixedReset Ins Non -1.55 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-05-22
Maturity Price : 15.27
Evaluated at bid price : 15.27
Bid-YTW : 5.43 %
MFC.PR.R FixedReset Ins Non -1.53 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-05-22
Maturity Price : 19.30
Evaluated at bid price : 19.30
Bid-YTW : 5.60 %
BMO.PR.Y FixedReset Disc -1.49 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-05-22
Maturity Price : 14.50
Evaluated at bid price : 14.50
Bid-YTW : 5.45 %
PVS.PR.F SplitShare -1.42 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2024-09-30
Maturity Price : 25.00
Evaluated at bid price : 24.30
Bid-YTW : 5.51 %
BMO.PR.E FixedReset Disc -1.41 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-05-22
Maturity Price : 16.80
Evaluated at bid price : 16.80
Bid-YTW : 5.17 %
TD.PF.E FixedReset Disc -1.41 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-05-22
Maturity Price : 15.40
Evaluated at bid price : 15.40
Bid-YTW : 5.44 %
TD.PF.B FixedReset Disc -1.38 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-05-22
Maturity Price : 14.31
Evaluated at bid price : 14.31
Bid-YTW : 5.20 %
RY.PR.H FixedReset Disc -1.36 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-05-22
Maturity Price : 14.55
Evaluated at bid price : 14.55
Bid-YTW : 5.04 %
BAM.PR.K Floater -1.32 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-05-22
Maturity Price : 7.46
Evaluated at bid price : 7.46
Bid-YTW : 5.84 %
RY.PR.R FixedReset Disc -1.21 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-05-22
Maturity Price : 24.10
Evaluated at bid price : 24.50
Bid-YTW : 5.37 %
PWF.PR.T FixedReset Disc -1.21 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-05-22
Maturity Price : 13.93
Evaluated at bid price : 13.93
Bid-YTW : 5.68 %
CM.PR.P FixedReset Disc -1.20 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-05-22
Maturity Price : 13.95
Evaluated at bid price : 13.95
Bid-YTW : 5.47 %
BMO.PR.B FixedReset Disc -1.19 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-05-22
Maturity Price : 21.84
Evaluated at bid price : 22.36
Bid-YTW : 5.05 %
TD.PF.A FixedReset Disc -1.17 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-05-22
Maturity Price : 14.37
Evaluated at bid price : 14.37
Bid-YTW : 5.15 %
W.PR.K FixedReset Disc -1.16 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-05-22
Maturity Price : 23.08
Evaluated at bid price : 23.77
Bid-YTW : 5.56 %
RY.PR.W Perpetual-Discount -1.07 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-05-22
Maturity Price : 22.93
Evaluated at bid price : 23.20
Bid-YTW : 5.30 %
TD.PF.G FixedReset Disc -1.05 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-05-22
Maturity Price : 23.89
Evaluated at bid price : 24.40
Bid-YTW : 5.26 %
PVS.PR.H SplitShare -1.03 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2027-02-28
Maturity Price : 25.00
Evaluated at bid price : 24.00
Bid-YTW : 5.41 %
PVS.PR.G SplitShare -1.01 % YTW SCENARIO
Maturity Type : Option Certainty
Maturity Date : 2026-02-28
Maturity Price : 25.00
Evaluated at bid price : 24.50
Bid-YTW : 5.30 %
BMO.PR.F FixedReset Disc -1.00 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-05-22
Maturity Price : 20.69
Evaluated at bid price : 20.69
Bid-YTW : 5.10 %
BAM.PF.B FixedReset Disc 1.13 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-05-22
Maturity Price : 14.26
Evaluated at bid price : 14.26
Bid-YTW : 6.05 %
SLF.PR.H FixedReset Ins Non 1.14 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-05-22
Maturity Price : 12.45
Evaluated at bid price : 12.45
Bid-YTW : 5.35 %
MFC.PR.L FixedReset Ins Non 1.30 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-05-22
Maturity Price : 13.29
Evaluated at bid price : 13.29
Bid-YTW : 5.40 %
MFC.PR.Q FixedReset Ins Non 1.33 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-05-22
Maturity Price : 15.20
Evaluated at bid price : 15.20
Bid-YTW : 5.40 %
MFC.PR.G FixedReset Ins Non 1.40 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-05-22
Maturity Price : 15.22
Evaluated at bid price : 15.22
Bid-YTW : 5.56 %
RY.PR.P Perpetual-Discount 1.43 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-05-22
Maturity Price : 24.31
Evaluated at bid price : 24.80
Bid-YTW : 5.30 %
MFC.PR.M FixedReset Ins Non 1.60 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-05-22
Maturity Price : 14.00
Evaluated at bid price : 14.00
Bid-YTW : 5.46 %
CU.PR.C FixedReset Disc 1.63 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-05-22
Maturity Price : 15.55
Evaluated at bid price : 15.55
Bid-YTW : 4.67 %
NA.PR.C FixedReset Disc 1.64 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-05-22
Maturity Price : 17.40
Evaluated at bid price : 17.40
Bid-YTW : 5.72 %
IFC.PR.I Perpetual-Discount 1.69 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-05-22
Maturity Price : 23.66
Evaluated at bid price : 24.00
Bid-YTW : 5.75 %
NA.PR.W FixedReset Disc 3.01 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-05-22
Maturity Price : 13.70
Evaluated at bid price : 13.70
Bid-YTW : 5.51 %
Volume Highlights
Issue Index Shares
Traded
Notes
RY.PR.Q FixedReset Disc 41,715 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-05-22
Maturity Price : 23.74
Evaluated at bid price : 24.25
Bid-YTW : 5.14 %
TD.PF.B FixedReset Disc 36,700 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-05-22
Maturity Price : 14.31
Evaluated at bid price : 14.31
Bid-YTW : 5.20 %
CM.PR.P FixedReset Disc 35,872 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-05-22
Maturity Price : 13.95
Evaluated at bid price : 13.95
Bid-YTW : 5.47 %
BMO.PR.E FixedReset Disc 30,100 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-05-22
Maturity Price : 16.80
Evaluated at bid price : 16.80
Bid-YTW : 5.17 %
CM.PR.O FixedReset Disc 29,701 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-05-22
Maturity Price : 13.50
Evaluated at bid price : 13.50
Bid-YTW : 5.62 %
TD.PF.C FixedReset Disc 25,735 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-05-22
Maturity Price : 14.61
Evaluated at bid price : 14.61
Bid-YTW : 5.21 %
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.D FixedReset Disc Quote: 15.12 – 18.80
Spot Rate : 3.6800
Average : 2.4431

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-05-22
Maturity Price : 15.12
Evaluated at bid price : 15.12
Bid-YTW : 5.39 %

BMO.PR.W FixedReset Disc Quote: 12.95 – 14.72
Spot Rate : 1.7700
Average : 1.0419

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-05-22
Maturity Price : 12.95
Evaluated at bid price : 12.95
Bid-YTW : 5.77 %

IFC.PR.C FixedReset Ins Non Quote: 13.05 – 14.12
Spot Rate : 1.0700
Average : 0.7688

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-05-22
Maturity Price : 13.05
Evaluated at bid price : 13.05
Bid-YTW : 6.07 %

PWF.PR.P FixedReset Disc Quote: 8.15 – 9.75
Spot Rate : 1.6000
Average : 1.3418

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-05-22
Maturity Price : 8.15
Evaluated at bid price : 8.15
Bid-YTW : 6.35 %

PVS.PR.F SplitShare Quote: 24.30 – 24.95
Spot Rate : 0.6500
Average : 0.3981

YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2024-09-30
Maturity Price : 25.00
Evaluated at bid price : 24.30
Bid-YTW : 5.51 %

IFC.PR.A FixedReset Ins Non Quote: 10.68 – 11.38
Spot Rate : 0.7000
Average : 0.4819

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-05-22
Maturity Price : 10.68
Evaluated at bid price : 10.68
Bid-YTW : 5.59 %

DF.PR.A On Review-Negative by DBRS

Friday, May 22nd, 2020

DBRS has announced that it:

placed the Preferred Shares issued by Dividend 15 Split Corp. II (the Company) Under Review with Negative Implications. The Company invests in a portfolio of securities (the Portfolio) funded by issuing two classes of shares: dividend-yielding Preferred Shares and capital shares (the Capital Shares). In such structure, the Preferred Shares normally benefit from the downside protection provided by the net asset value (NAV) of the Capital Shares. Following the stock market sell-off in response to the worldwide spread of the Coronavirus Disease (COVID-19) and various geopolitical news, the Preferred Shares experienced substantial declines in their downside protection. As a result, DBRS Morningstar has placed the Preferred Shares Under Review with Negative Implications. DBRS Morningstar will take further rating action on the Preferred Shares once a longer-term trend has been established for the NAV of the Company.

This rating action was based on factors that included additional analysis and, where appropriate, additional assumptions were applied to expected performance as a result of the global efforts to contain the spread of the coronavirus. On April 16, 2020, the DBRS Morningstar Sovereigns group published its outlook on the impact on key economic indicators for the 2020–22 time frame. For details see https://www.dbrsmorningstar.com/research/359679. For the current rating action, DBRS Morningstar’s analysis considered impacts consistent with the moderate scenario in the referenced commentary.

A description of how DBRS Morningstar considers ESG factors within the DBRS Morningstar analytical framework and its methodologies can be found at: https://www.dbrsmorningstar.com/research/357792.

The NAVPU was 11.67 as of May 15, so it’s no real surprise!