Archive for October, 2020

October 8, 2020

Thursday, October 8th, 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 -0.4414 % 1,641.3
FixedFloater 0.00 % 0.00 % 0 0.00 0 -0.4414 % 3,011.6
Floater 5.18 % 5.22 % 49,403 15.16 3 -0.4414 % 1,735.6
OpRet 0.00 % 0.00 % 0 0.00 0 -0.0547 % 3,516.6
SplitShare 4.82 % 4.77 % 53,039 3.59 8 -0.0547 % 4,199.5
Interest-Bearing 0.00 % 0.00 % 0 0.00 0 -0.0547 % 3,276.6
Perpetual-Premium 5.30 % -8.24 % 90,441 0.09 17 0.1777 % 3,193.2
Perpetual-Discount 5.08 % 5.03 % 93,406 15.32 17 -0.0701 % 3,622.8
FixedReset Disc 5.45 % 4.15 % 125,124 16.58 65 0.5611 % 2,120.6
Deemed-Retractible 5.03 % 4.75 % 105,986 15.31 22 -0.2483 % 3,531.4
FloatingReset 1.98 % 2.44 % 41,458 1.30 3 0.2018 % 1,800.6
FixedReset Prem 5.22 % 3.25 % 274,234 0.78 14 0.0639 % 2,642.1
FixedReset Bank Non 1.94 % 2.09 % 104,899 1.29 2 0.0201 % 2,857.7
FixedReset Ins Non 5.50 % 4.24 % 78,469 16.45 22 1.7816 % 2,195.7
Performance Highlights
Issue Index Change Notes
TRP.PR.A FixedReset Disc -1.87 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-10-08
Maturity Price : 11.57
Evaluated at bid price : 11.57
Bid-YTW : 5.67 %
BAM.PR.C Floater -1.78 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-10-08
Maturity Price : 8.28
Evaluated at bid price : 8.28
Bid-YTW : 5.22 %
GWO.PR.H Deemed-Retractible -1.48 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-10-08
Maturity Price : 24.29
Evaluated at bid price : 24.60
Bid-YTW : 4.95 %
CU.PR.E Perpetual-Discount -1.47 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-10-08
Maturity Price : 24.53
Evaluated at bid price : 24.80
Bid-YTW : 4.99 %
NA.PR.E FixedReset Disc 1.02 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-10-08
Maturity Price : 18.73
Evaluated at bid price : 18.73
Bid-YTW : 4.22 %
MFC.PR.Q FixedReset Ins Non 1.06 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-10-08
Maturity Price : 19.01
Evaluated at bid price : 19.01
Bid-YTW : 4.20 %
MFC.PR.J FixedReset Ins Non 1.07 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-10-08
Maturity Price : 18.94
Evaluated at bid price : 18.94
Bid-YTW : 4.26 %
RY.PR.M FixedReset Disc 1.07 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-10-08
Maturity Price : 18.89
Evaluated at bid price : 18.89
Bid-YTW : 4.01 %
NA.PR.S FixedReset Disc 1.16 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-10-08
Maturity Price : 17.48
Evaluated at bid price : 17.48
Bid-YTW : 4.28 %
TRP.PR.B FixedReset Disc 1.18 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-10-08
Maturity Price : 8.60
Evaluated at bid price : 8.60
Bid-YTW : 4.87 %
TD.PF.C FixedReset Disc 1.21 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-10-08
Maturity Price : 18.31
Evaluated at bid price : 18.31
Bid-YTW : 3.95 %
TD.PF.E FixedReset Disc 1.22 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-10-08
Maturity Price : 19.71
Evaluated at bid price : 19.71
Bid-YTW : 4.12 %
TD.PF.I FixedReset Disc 1.26 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-10-08
Maturity Price : 21.78
Evaluated at bid price : 22.28
Bid-YTW : 3.88 %
BIP.PR.C FixedReset Disc 1.28 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-10-08
Maturity Price : 23.22
Evaluated at bid price : 23.78
Bid-YTW : 5.64 %
BMO.PR.D FixedReset Disc 1.33 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-10-08
Maturity Price : 22.48
Evaluated at bid price : 22.82
Bid-YTW : 3.99 %
CM.PR.P FixedReset Disc 1.40 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-10-08
Maturity Price : 18.14
Evaluated at bid price : 18.14
Bid-YTW : 4.01 %
MFC.PR.M FixedReset Ins Non 1.48 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-10-08
Maturity Price : 17.84
Evaluated at bid price : 17.84
Bid-YTW : 4.18 %
BAM.PF.G FixedReset Disc 1.64 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-10-08
Maturity Price : 15.53
Evaluated at bid price : 15.53
Bid-YTW : 5.23 %
SLF.PR.I FixedReset Ins Non 1.66 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-10-08
Maturity Price : 18.95
Evaluated at bid price : 18.95
Bid-YTW : 4.18 %
MFC.PR.F FixedReset Ins Non 1.67 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-10-08
Maturity Price : 10.98
Evaluated at bid price : 10.98
Bid-YTW : 4.11 %
CM.PR.S FixedReset Disc 1.72 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-10-08
Maturity Price : 18.89
Evaluated at bid price : 18.89
Bid-YTW : 4.02 %
NA.PR.G FixedReset Disc 1.79 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-10-08
Maturity Price : 19.86
Evaluated at bid price : 19.86
Bid-YTW : 4.30 %
BAM.PR.Z FixedReset Disc 1.87 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-10-08
Maturity Price : 16.86
Evaluated at bid price : 16.86
Bid-YTW : 5.26 %
BAM.PR.X FixedReset Disc 1.98 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-10-08
Maturity Price : 11.34
Evaluated at bid price : 11.34
Bid-YTW : 4.93 %
PWF.PR.T FixedReset Disc 1.99 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-10-08
Maturity Price : 16.79
Evaluated at bid price : 16.79
Bid-YTW : 4.47 %
BMO.PR.W FixedReset Disc 2.54 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-10-08
Maturity Price : 18.20
Evaluated at bid price : 18.20
Bid-YTW : 3.97 %
SLF.PR.H FixedReset Ins Non 2.66 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-10-08
Maturity Price : 15.41
Evaluated at bid price : 15.41
Bid-YTW : 4.17 %
MFC.PR.G FixedReset Ins Non 2.67 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-10-08
Maturity Price : 19.61
Evaluated at bid price : 19.61
Bid-YTW : 4.25 %
BAM.PR.T FixedReset Disc 3.00 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-10-08
Maturity Price : 13.41
Evaluated at bid price : 13.41
Bid-YTW : 5.18 %
TRP.PR.F FloatingReset 3.00 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-10-08
Maturity Price : 10.29
Evaluated at bid price : 10.29
Bid-YTW : 4.94 %
MFC.PR.K FixedReset Ins Non 3.62 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-10-08
Maturity Price : 17.46
Evaluated at bid price : 17.46
Bid-YTW : 4.14 %
IAF.PR.G FixedReset Ins Non 3.73 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-10-08
Maturity Price : 18.90
Evaluated at bid price : 18.90
Bid-YTW : 4.35 %
MFC.PR.I FixedReset Ins Non 4.00 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-10-08
Maturity Price : 19.50
Evaluated at bid price : 19.50
Bid-YTW : 4.32 %
IFC.PR.G FixedReset Ins Non 4.06 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-10-08
Maturity Price : 17.95
Evaluated at bid price : 17.95
Bid-YTW : 4.49 %
SLF.PR.G FixedReset Ins Non 4.67 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-10-08
Maturity Price : 10.99
Evaluated at bid price : 10.99
Bid-YTW : 4.10 %
MFC.PR.H FixedReset Ins Non 5.12 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-10-08
Maturity Price : 20.94
Evaluated at bid price : 20.94
Bid-YTW : 4.28 %
Volume Highlights
Issue Index Shares
Traded
Notes
BMO.PR.B FixedReset Prem 103,500 YTW SCENARIO
Maturity Type : Call
Maturity Date : 2022-02-25
Maturity Price : 25.00
Evaluated at bid price : 25.61
Bid-YTW : 3.48 %
TD.PF.G FixedReset Prem 81,635 YTW SCENARIO
Maturity Type : Call
Maturity Date : 2021-04-30
Maturity Price : 25.00
Evaluated at bid price : 25.34
Bid-YTW : 2.38 %
PVS.PR.I SplitShare 69,810 YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-10-31
Maturity Price : 25.00
Evaluated at bid price : 25.00
Bid-YTW : 4.76 %
PWF.PR.Z Perpetual-Discount 63,350 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-10-08
Maturity Price : 24.51
Evaluated at bid price : 25.00
Bid-YTW : 5.13 %
SLF.PR.C Deemed-Retractible 55,100 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-10-08
Maturity Price : 23.63
Evaluated at bid price : 23.90
Bid-YTW : 4.67 %
SLF.PR.G FixedReset Ins Non 54,413 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-10-08
Maturity Price : 10.99
Evaluated at bid price : 10.99
Bid-YTW : 4.10 %
There were 50 other index-included issues trading in excess of 10,000 shares.
Wide Spread Highlights
Issue Index Quote Data and Yield Notes
IFC.PR.C FixedReset Ins Non Quote: 16.89 – 23.99
Spot Rate : 7.1000
Average : 4.6504

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-10-08
Maturity Price : 16.89
Evaluated at bid price : 16.89
Bid-YTW : 4.54 %

PWF.PR.R Perpetual-Premium Quote: 25.21 – 25.79
Spot Rate : 0.5800
Average : 0.3729

YTW SCENARIO
Maturity Type : Call
Maturity Date : 2020-11-07
Maturity Price : 25.25
Evaluated at bid price : 25.21
Bid-YTW : 3.23 %

MFC.PR.F FixedReset Ins Non Quote: 10.98 – 11.59
Spot Rate : 0.6100
Average : 0.4062

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-10-08
Maturity Price : 10.98
Evaluated at bid price : 10.98
Bid-YTW : 4.11 %

MFC.PR.L FixedReset Ins Non Quote: 16.49 – 18.00
Spot Rate : 1.5100
Average : 1.3305

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-10-08
Maturity Price : 16.49
Evaluated at bid price : 16.49
Bid-YTW : 4.24 %

TD.PF.J FixedReset Disc Quote: 20.01 – 20.74
Spot Rate : 0.7300
Average : 0.5507

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-10-08
Maturity Price : 20.01
Evaluated at bid price : 20.01
Bid-YTW : 4.10 %

IFC.PR.E Deemed-Retractible Quote: 25.15 – 25.85
Spot Rate : 0.7000
Average : 0.5552

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-10-08
Maturity Price : 24.66
Evaluated at bid price : 25.15
Bid-YTW : 5.18 %

October 7, 2020

Wednesday, October 7th, 2020

PerpetualDiscounts now yield 5.04%, equivalent to 6.55% interest at the standard equivalency factor of 1.3x. Long corporates now yield 2.95%, so the pre-tax interest-equivalent spread (in this context, the “Seniority Spread”) has narrowed dramatically to 360bp from the 395bp reported September 30.

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 -0.4792 % 1,648.5
FixedFloater 0.00 % 0.00 % 0 0.00 0 -0.4792 % 3,025.0
Floater 5.16 % 5.22 % 50,103 15.15 3 -0.4792 % 1,743.3
OpRet 0.00 % 0.00 % 0 0.00 0 0.1545 % 3,518.5
SplitShare 4.82 % 4.76 % 55,016 3.59 8 0.1545 % 4,201.8
Interest-Bearing 0.00 % 0.00 % 0 0.00 0 0.1545 % 3,278.4
Perpetual-Premium 5.27 % -0.02 % 84,868 0.09 17 0.2864 % 3,187.5
Perpetual-Discount 5.06 % 5.04 % 91,584 15.10 17 0.6173 % 3,625.3
FixedReset Disc 5.47 % 4.18 % 125,752 16.50 65 1.0959 % 2,108.8
Deemed-Retractible 5.01 % 4.73 % 105,601 4.36 22 0.5877 % 3,540.2
FloatingReset 1.98 % 2.11 % 40,620 1.30 3 0.2698 % 1,796.9
FixedReset Prem 5.21 % 3.46 % 255,423 0.78 14 0.1777 % 2,640.4
FixedReset Bank Non 1.94 % 2.21 % 104,001 1.29 2 0.0805 % 2,857.1
FixedReset Ins Non 5.60 % 4.29 % 78,738 16.34 22 2.0067 % 2,157.2
Performance Highlights
Issue Index Change Notes
MFC.PR.H FixedReset Ins Non -2.50 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-10-07
Maturity Price : 19.92
Evaluated at bid price : 19.92
Bid-YTW : 4.51 %
SLF.PR.G FixedReset Ins Non -2.23 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-10-07
Maturity Price : 10.50
Evaluated at bid price : 10.50
Bid-YTW : 4.29 %
TRP.PR.F FloatingReset -2.06 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-10-07
Maturity Price : 9.99
Evaluated at bid price : 9.99
Bid-YTW : 5.09 %
BAM.PR.K Floater -1.56 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-10-07
Maturity Price : 8.22
Evaluated at bid price : 8.22
Bid-YTW : 5.26 %
BAM.PR.T FixedReset Disc -1.21 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-10-07
Maturity Price : 13.02
Evaluated at bid price : 13.02
Bid-YTW : 5.33 %
SLF.PR.E Deemed-Retractible 1.01 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-10-07
Maturity Price : 23.68
Evaluated at bid price : 23.95
Bid-YTW : 4.71 %
NA.PR.W FixedReset Disc 1.03 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-10-07
Maturity Price : 16.72
Evaluated at bid price : 16.72
Bid-YTW : 4.31 %
BAM.PF.G FixedReset Disc 1.06 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-10-07
Maturity Price : 15.28
Evaluated at bid price : 15.28
Bid-YTW : 5.31 %
TD.PF.B FixedReset Disc 1.09 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-10-07
Maturity Price : 17.66
Evaluated at bid price : 17.66
Bid-YTW : 4.10 %
BMO.PR.A FloatingReset 1.10 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2022-01-31
Maturity Price : 25.00
Evaluated at bid price : 24.72
Bid-YTW : 2.06 %
POW.PR.B Perpetual-Discount 1.11 % YTW SCENARIO
Maturity Type : Call
Maturity Date : 2020-11-06
Maturity Price : 25.00
Evaluated at bid price : 25.58
Bid-YTW : -22.62 %
GWO.PR.N FixedReset Ins Non 1.11 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-10-07
Maturity Price : 10.01
Evaluated at bid price : 10.01
Bid-YTW : 4.22 %
PWF.PR.L Perpetual-Discount 1.17 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-10-07
Maturity Price : 24.88
Evaluated at bid price : 25.11
Bid-YTW : 5.16 %
BAM.PF.F FixedReset Disc 1.18 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-10-07
Maturity Price : 16.35
Evaluated at bid price : 16.35
Bid-YTW : 5.25 %
BAM.PF.A FixedReset Disc 1.18 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-10-07
Maturity Price : 17.20
Evaluated at bid price : 17.20
Bid-YTW : 5.23 %
MFC.PR.F FixedReset Ins Non 1.22 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-10-07
Maturity Price : 10.80
Evaluated at bid price : 10.80
Bid-YTW : 4.18 %
TD.PF.A FixedReset Disc 1.25 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-10-07
Maturity Price : 17.77
Evaluated at bid price : 17.77
Bid-YTW : 4.05 %
BAM.PF.I FixedReset Disc 1.29 % YTW SCENARIO
Maturity Type : Call
Maturity Date : 2022-03-31
Maturity Price : 25.00
Evaluated at bid price : 25.15
Bid-YTW : 4.48 %
BAM.PF.J FixedReset Disc 1.29 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-10-07
Maturity Price : 23.55
Evaluated at bid price : 25.07
Bid-YTW : 4.68 %
CU.PR.F Perpetual-Discount 1.30 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-10-07
Maturity Price : 23.93
Evaluated at bid price : 24.22
Bid-YTW : 4.68 %
SLF.PR.C Deemed-Retractible 1.30 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-10-07
Maturity Price : 23.84
Evaluated at bid price : 24.09
Bid-YTW : 4.63 %
BAM.PR.N Perpetual-Discount 1.33 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-10-07
Maturity Price : 22.61
Evaluated at bid price : 22.86
Bid-YTW : 5.22 %
TD.PF.E FixedReset Disc 1.34 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-10-07
Maturity Price : 19.70
Evaluated at bid price : 19.70
Bid-YTW : 4.18 %
IAF.PR.I FixedReset Ins Non 1.35 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-10-07
Maturity Price : 19.51
Evaluated at bid price : 19.51
Bid-YTW : 4.33 %
MFC.PR.C Deemed-Retractible 1.36 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-10-07
Maturity Price : 23.65
Evaluated at bid price : 23.92
Bid-YTW : 4.73 %
MFC.PR.Q FixedReset Ins Non 1.40 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-10-07
Maturity Price : 18.81
Evaluated at bid price : 18.81
Bid-YTW : 4.25 %
PWF.PR.K Perpetual-Discount 1.40 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-10-07
Maturity Price : 24.27
Evaluated at bid price : 24.57
Bid-YTW : 5.11 %
BIP.PR.D FixedReset Disc 1.43 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-10-07
Maturity Price : 22.38
Evaluated at bid price : 22.77
Bid-YTW : 5.51 %
BMO.PR.W FixedReset Disc 1.43 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-10-07
Maturity Price : 17.75
Evaluated at bid price : 17.75
Bid-YTW : 4.08 %
BMO.PR.E FixedReset Disc 1.44 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-10-07
Maturity Price : 20.47
Evaluated at bid price : 20.47
Bid-YTW : 4.14 %
SLF.PR.D Deemed-Retractible 1.44 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-10-07
Maturity Price : 23.71
Evaluated at bid price : 23.98
Bid-YTW : 4.65 %
MFC.PR.M FixedReset Ins Non 1.50 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-10-07
Maturity Price : 17.58
Evaluated at bid price : 17.58
Bid-YTW : 4.25 %
GWO.PR.H Deemed-Retractible 1.55 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-10-07
Maturity Price : 24.69
Evaluated at bid price : 24.97
Bid-YTW : 4.87 %
RY.PR.M FixedReset Disc 1.58 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-10-07
Maturity Price : 18.69
Evaluated at bid price : 18.69
Bid-YTW : 4.05 %
CM.PR.P FixedReset Disc 1.65 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-10-07
Maturity Price : 17.89
Evaluated at bid price : 17.89
Bid-YTW : 4.07 %
CU.PR.C FixedReset Disc 1.66 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-10-07
Maturity Price : 16.52
Evaluated at bid price : 16.52
Bid-YTW : 4.32 %
TD.PF.I FixedReset Disc 1.74 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-10-07
Maturity Price : 21.78
Evaluated at bid price : 22.28
Bid-YTW : 3.95 %
GWO.PR.R Deemed-Retractible 1.75 % YTW SCENARIO
Maturity Type : Call
Maturity Date : 2021-12-31
Maturity Price : 25.00
Evaluated at bid price : 25.03
Bid-YTW : 4.81 %
MFC.PR.J FixedReset Ins Non 1.85 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-10-07
Maturity Price : 18.74
Evaluated at bid price : 18.74
Bid-YTW : 4.31 %
BIP.PR.F FixedReset Disc 1.91 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-10-07
Maturity Price : 22.04
Evaluated at bid price : 22.42
Bid-YTW : 5.71 %
BMO.PR.Y FixedReset Disc 2.00 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-10-07
Maturity Price : 18.88
Evaluated at bid price : 18.88
Bid-YTW : 4.12 %
CM.PR.O FixedReset Disc 2.12 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-10-07
Maturity Price : 17.31
Evaluated at bid price : 17.31
Bid-YTW : 4.20 %
BNS.PR.I FixedReset Disc 2.13 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-10-07
Maturity Price : 20.12
Evaluated at bid price : 20.12
Bid-YTW : 3.90 %
BIP.PR.E FixedReset Disc 2.13 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-10-07
Maturity Price : 21.60
Evaluated at bid price : 22.01
Bid-YTW : 5.70 %
NA.PR.E FixedReset Disc 2.15 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-10-07
Maturity Price : 18.54
Evaluated at bid price : 18.54
Bid-YTW : 4.26 %
GWO.PR.I Deemed-Retractible 2.46 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-10-07
Maturity Price : 23.49
Evaluated at bid price : 23.76
Bid-YTW : 4.75 %
BAM.PR.X FixedReset Disc 2.49 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-10-07
Maturity Price : 11.12
Evaluated at bid price : 11.12
Bid-YTW : 5.03 %
BIP.PR.A FixedReset Disc 2.56 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-10-07
Maturity Price : 17.20
Evaluated at bid price : 17.20
Bid-YTW : 5.78 %
NA.PR.C FixedReset Disc 2.63 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-10-07
Maturity Price : 23.44
Evaluated at bid price : 23.76
Bid-YTW : 4.04 %
IFC.PR.C FixedReset Ins Non 2.80 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-10-07
Maturity Price : 16.88
Evaluated at bid price : 16.88
Bid-YTW : 4.54 %
IFC.PR.A FixedReset Ins Non 3.41 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-10-07
Maturity Price : 12.43
Evaluated at bid price : 12.43
Bid-YTW : 4.58 %
TD.PF.D FixedReset Disc 3.62 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-10-07
Maturity Price : 19.18
Evaluated at bid price : 19.18
Bid-YTW : 4.20 %
MFC.PR.N FixedReset Ins Non 4.36 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-10-07
Maturity Price : 17.22
Evaluated at bid price : 17.22
Bid-YTW : 4.25 %
MFC.PR.L FixedReset Ins Non 4.36 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-10-07
Maturity Price : 16.50
Evaluated at bid price : 16.50
Bid-YTW : 4.23 %
IAF.PR.G FixedReset Ins Non 4.71 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-10-07
Maturity Price : 18.22
Evaluated at bid price : 18.22
Bid-YTW : 4.52 %
RY.PR.J FixedReset Disc 17.22 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-10-07
Maturity Price : 19.40
Evaluated at bid price : 19.40
Bid-YTW : 4.08 %
MFC.PR.G FixedReset Ins Non 23.23 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-10-07
Maturity Price : 19.10
Evaluated at bid price : 19.10
Bid-YTW : 4.36 %
Volume Highlights
Issue Index Shares
Traded
Notes
PWF.PR.P FixedReset Disc 359,807 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-10-07
Maturity Price : 10.35
Evaluated at bid price : 10.35
Bid-YTW : 4.86 %
CM.PR.T FixedReset Disc 161,500 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-10-07
Maturity Price : 23.11
Evaluated at bid price : 24.48
Bid-YTW : 3.96 %
PVS.PR.I SplitShare 148,200 YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-10-31
Maturity Price : 25.00
Evaluated at bid price : 25.00
Bid-YTW : 4.76 %
IFC.PR.C FixedReset Ins Non 94,215 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-10-07
Maturity Price : 16.88
Evaluated at bid price : 16.88
Bid-YTW : 4.54 %
TD.PF.B FixedReset Disc 70,429 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-10-07
Maturity Price : 17.66
Evaluated at bid price : 17.66
Bid-YTW : 4.10 %
TD.PF.M FixedReset Disc 69,200 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-10-07
Maturity Price : 23.33
Evaluated at bid price : 25.18
Bid-YTW : 4.08 %
There were 44 other index-included issues trading in excess of 10,000 shares.
Wide Spread Highlights
Issue Index Quote Data and Yield Notes
IFC.PR.I Perpetual-Premium Quote: 25.73 – 27.00
Spot Rate : 1.2700
Average : 0.7685

YTW SCENARIO
Maturity Type : Call
Maturity Date : 2029-03-31
Maturity Price : 25.00
Evaluated at bid price : 25.73
Bid-YTW : 5.02 %

MFC.PR.C Deemed-Retractible Quote: 23.92 – 24.90
Spot Rate : 0.9800
Average : 0.5595

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-10-07
Maturity Price : 23.65
Evaluated at bid price : 23.92
Bid-YTW : 4.73 %

MFC.PR.K FixedReset Ins Non Quote: 16.85 – 17.90
Spot Rate : 1.0500
Average : 0.7345

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-10-07
Maturity Price : 16.85
Evaluated at bid price : 16.85
Bid-YTW : 4.29 %

MFC.PR.H FixedReset Ins Non Quote: 19.92 – 20.74
Spot Rate : 0.8200
Average : 0.5544

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-10-07
Maturity Price : 19.92
Evaluated at bid price : 19.92
Bid-YTW : 4.51 %

BNS.PR.I FixedReset Disc Quote: 20.12 – 20.88
Spot Rate : 0.7600
Average : 0.5304

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-10-07
Maturity Price : 20.12
Evaluated at bid price : 20.12
Bid-YTW : 3.90 %

BAM.PF.D Perpetual-Discount Quote: 23.31 – 23.70
Spot Rate : 0.3900
Average : 0.2414

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-10-07
Maturity Price : 23.02
Evaluated at bid price : 23.31
Bid-YTW : 5.28 %

October 6, 2020

Wednesday, October 7th, 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 1.0492 % 1,656.5
FixedFloater 0.00 % 0.00 % 0 0.00 0 1.0492 % 3,039.6
Floater 5.14 % 5.17 % 50,765 15.24 3 1.0492 % 1,751.7
OpRet 0.00 % 0.00 % 0 0.00 0 0.2053 % 3,513.1
SplitShare 4.83 % 4.82 % 55,626 3.59 8 0.2053 % 4,195.3
Interest-Bearing 0.00 % 0.00 % 0 0.00 0 0.2053 % 3,273.4
Perpetual-Premium 5.29 % 3.47 % 84,731 0.15 17 -0.0023 % 3,178.4
Perpetual-Discount 5.09 % 5.08 % 92,067 15.08 17 0.1168 % 3,603.1
FixedReset Disc 5.53 % 4.35 % 127,359 16.36 65 -0.3944 % 2,085.9
Deemed-Retractible 5.04 % 4.79 % 106,942 15.29 22 0.5225 % 3,519.5
FloatingReset 1.99 % 2.90 % 40,714 1.30 3 -0.1179 % 1,792.1
FixedReset Prem 5.22 % 3.77 % 250,550 0.84 14 0.2489 % 2,635.7
FixedReset Bank Non 1.95 % 2.29 % 100,981 1.30 2 -0.1406 % 2,854.8
FixedReset Ins Non 5.71 % 4.38 % 79,005 16.13 22 -1.3620 % 2,114.8
Performance Highlights
Issue Index Change Notes
MFC.PR.G FixedReset Ins Non -18.21 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-10-06
Maturity Price : 15.50
Evaluated at bid price : 15.50
Bid-YTW : 5.39 %
RY.PR.J FixedReset Disc -14.03 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-10-06
Maturity Price : 16.55
Evaluated at bid price : 16.55
Bid-YTW : 4.80 %
IAF.PR.G FixedReset Ins Non -5.79 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-10-06
Maturity Price : 17.40
Evaluated at bid price : 17.40
Bid-YTW : 4.73 %
MFC.PR.I FixedReset Ins Non -3.35 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-10-06
Maturity Price : 18.75
Evaluated at bid price : 18.75
Bid-YTW : 4.50 %
TD.PF.D FixedReset Disc -3.04 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-10-06
Maturity Price : 18.51
Evaluated at bid price : 18.51
Bid-YTW : 4.35 %
MFC.PR.N FixedReset Ins Non -3.00 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-10-06
Maturity Price : 16.50
Evaluated at bid price : 16.50
Bid-YTW : 4.44 %
BNS.PR.I FixedReset Disc -2.96 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-10-06
Maturity Price : 19.70
Evaluated at bid price : 19.70
Bid-YTW : 3.99 %
BIP.PR.A FixedReset Disc -2.78 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-10-06
Maturity Price : 16.77
Evaluated at bid price : 16.77
Bid-YTW : 5.93 %
NA.PR.G FixedReset Disc -2.76 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-10-06
Maturity Price : 19.40
Evaluated at bid price : 19.40
Bid-YTW : 4.41 %
NA.PR.E FixedReset Disc -2.42 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-10-06
Maturity Price : 18.15
Evaluated at bid price : 18.15
Bid-YTW : 4.35 %
IFC.PR.G FixedReset Ins Non -2.34 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-10-06
Maturity Price : 17.10
Evaluated at bid price : 17.10
Bid-YTW : 4.73 %
NA.PR.C FixedReset Disc -2.11 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-10-06
Maturity Price : 22.83
Evaluated at bid price : 23.15
Bid-YTW : 4.15 %
SLF.PR.H FixedReset Ins Non -2.02 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-10-06
Maturity Price : 15.00
Evaluated at bid price : 15.00
Bid-YTW : 4.28 %
BIP.PR.E FixedReset Disc -1.91 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-10-06
Maturity Price : 21.27
Evaluated at bid price : 21.55
Bid-YTW : 5.83 %
BAM.PR.X FixedReset Disc -1.63 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-10-06
Maturity Price : 10.85
Evaluated at bid price : 10.85
Bid-YTW : 5.16 %
IFC.PR.A FixedReset Ins Non -1.48 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-10-06
Maturity Price : 12.02
Evaluated at bid price : 12.02
Bid-YTW : 4.74 %
CM.PR.O FixedReset Disc -1.17 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-10-06
Maturity Price : 16.95
Evaluated at bid price : 16.95
Bid-YTW : 4.29 %
IAF.PR.I FixedReset Ins Non -1.13 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-10-06
Maturity Price : 19.25
Evaluated at bid price : 19.25
Bid-YTW : 4.39 %
BMO.PR.W FixedReset Disc -1.13 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-10-06
Maturity Price : 17.50
Evaluated at bid price : 17.50
Bid-YTW : 4.14 %
SLF.PR.B Deemed-Retractible 1.01 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-10-06
Maturity Price : 24.69
Evaluated at bid price : 25.01
Bid-YTW : 4.81 %
SLF.PR.A Deemed-Retractible 1.06 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-10-06
Maturity Price : 24.51
Evaluated at bid price : 24.76
Bid-YTW : 4.81 %
GWO.PR.H Deemed-Retractible 1.11 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-10-06
Maturity Price : 24.29
Evaluated at bid price : 24.59
Bid-YTW : 4.95 %
BAM.PR.C Floater 1.21 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-10-06
Maturity Price : 8.35
Evaluated at bid price : 8.35
Bid-YTW : 5.17 %
BAM.PR.T FixedReset Disc 1.38 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-10-06
Maturity Price : 13.18
Evaluated at bid price : 13.18
Bid-YTW : 5.27 %
SLF.PR.D Deemed-Retractible 1.42 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-10-06
Maturity Price : 23.35
Evaluated at bid price : 23.64
Bid-YTW : 4.72 %
POW.PR.D Perpetual-Discount 1.42 % YTW SCENARIO
Maturity Type : Call
Maturity Date : 2020-11-05
Maturity Price : 25.00
Evaluated at bid price : 25.00
Bid-YTW : 3.52 %
GWO.PR.I Deemed-Retractible 1.49 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-10-06
Maturity Price : 22.92
Evaluated at bid price : 23.19
Bid-YTW : 4.87 %
TRP.PR.D FixedReset Disc 1.62 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-10-06
Maturity Price : 13.78
Evaluated at bid price : 13.78
Bid-YTW : 5.42 %
SLF.PR.C Deemed-Retractible 1.75 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-10-06
Maturity Price : 23.51
Evaluated at bid price : 23.78
Bid-YTW : 4.69 %
BIK.PR.A FixedReset Prem 1.86 % YTW SCENARIO
Maturity Type : Call
Maturity Date : 2024-03-31
Maturity Price : 25.00
Evaluated at bid price : 25.21
Bid-YTW : 5.66 %
MFC.PR.M FixedReset Ins Non 1.88 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-10-06
Maturity Price : 17.32
Evaluated at bid price : 17.32
Bid-YTW : 4.31 %
MFC.PR.H FixedReset Ins Non 2.00 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-10-06
Maturity Price : 20.43
Evaluated at bid price : 20.43
Bid-YTW : 4.39 %
SLF.PR.I FixedReset Ins Non 2.20 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-10-06
Maturity Price : 18.60
Evaluated at bid price : 18.60
Bid-YTW : 4.26 %
BAM.PF.J FixedReset Disc 2.53 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-10-06
Maturity Price : 23.43
Evaluated at bid price : 24.75
Bid-YTW : 4.75 %
BIP.PR.F FixedReset Disc 2.85 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-10-06
Maturity Price : 21.73
Evaluated at bid price : 22.00
Bid-YTW : 5.83 %
SLF.PR.G FixedReset Ins Non 3.37 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-10-06
Maturity Price : 10.74
Evaluated at bid price : 10.74
Bid-YTW : 4.19 %
Volume Highlights
Issue Index Shares
Traded
Notes
PVS.PR.I SplitShare 367,425 YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-10-31
Maturity Price : 25.00
Evaluated at bid price : 24.95
Bid-YTW : 4.80 %
GWO.PR.H Deemed-Retractible 88,376 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-10-06
Maturity Price : 24.29
Evaluated at bid price : 24.59
Bid-YTW : 4.95 %
GWO.PR.I Deemed-Retractible 56,822 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-10-06
Maturity Price : 22.92
Evaluated at bid price : 23.19
Bid-YTW : 4.87 %
TD.PF.M FixedReset Disc 56,400 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-10-06
Maturity Price : 23.28
Evaluated at bid price : 25.02
Bid-YTW : 4.11 %
SLF.PR.E Deemed-Retractible 47,385 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-10-06
Maturity Price : 23.42
Evaluated at bid price : 23.71
Bid-YTW : 4.76 %
RY.PR.J FixedReset Disc 44,885 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-10-06
Maturity Price : 16.55
Evaluated at bid price : 16.55
Bid-YTW : 4.80 %
There were 41 other index-included issues trading in excess of 10,000 shares.
Wide Spread Highlights
Issue Index Quote Data and Yield Notes
IFC.PR.C FixedReset Ins Non Quote: 16.42 – 23.99
Spot Rate : 7.5700
Average : 4.0966

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-10-06
Maturity Price : 16.42
Evaluated at bid price : 16.42
Bid-YTW : 4.67 %

IAF.PR.G FixedReset Ins Non Quote: 17.40 – 25.00
Spot Rate : 7.6000
Average : 4.2271

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-10-06
Maturity Price : 17.40
Evaluated at bid price : 17.40
Bid-YTW : 4.73 %

MFC.PR.G FixedReset Ins Non Quote: 15.50 – 19.30
Spot Rate : 3.8000
Average : 2.3919

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-10-06
Maturity Price : 15.50
Evaluated at bid price : 15.50
Bid-YTW : 5.39 %

RY.PR.J FixedReset Disc Quote: 16.55 – 19.55
Spot Rate : 3.0000
Average : 1.6927

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-10-06
Maturity Price : 16.55
Evaluated at bid price : 16.55
Bid-YTW : 4.80 %

MFC.PR.L FixedReset Ins Non Quote: 15.81 – 18.00
Spot Rate : 2.1900
Average : 1.2472

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-10-06
Maturity Price : 15.81
Evaluated at bid price : 15.81
Bid-YTW : 4.42 %

MFC.PR.I FixedReset Ins Non Quote: 18.75 – 20.00
Spot Rate : 1.2500
Average : 0.7192

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-10-06
Maturity Price : 18.75
Evaluated at bid price : 18.75
Bid-YTW : 4.50 %

PVS.PR.I Settles Firm On Good Volume

Wednesday, October 7th, 2020

Partners Value Split Corp. did not issue a press release today on their site regarding the settlement of PVS.PR.I, although there is a notice on Bloomberg:

Partners Value Split Corp. (the “Company”) announced today the completion of its previously announced issue of 6,000,000 Class AA Preferred Shares, Series 11 (the “Series 11 Preferred Shares”) at an offering price of $25.00 per Series 11 Preferred Share, raising gross proceeds of $150,000,000. The Series 11 Preferred Shares carry quarterly fixed cumulative preferential dividends representing a 4.75% annualized yield on the offering price and have a final maturity of October 31, 2025. The Series 11 Preferred Shares have been listed and posted for trading on the Toronto Stock Exchange under the symbol PVS.PR.I. The net proceeds of the offering will be used to partially fund the redemption of the Company’s Class AA Preferred Shares, Series 6.

Prior to the closing of the offering, the Company subdivided the existing capital shares held by Partners Value Investments Inc. so that there are an equal number of preferred shares and capital shares outstanding.

I have also received a copy of a NYSE/ICE press release that states:

The Toronto Stock Exchange reports that Partners Value Split Corp.’s Class AA preferred shares, Series 11, will be listed at 5:01 p.m. on Oct. 5, 2020, for trading at the open on Oct. 6, 2020. According to the TSX, the listing will cover six million Series 11 shares to be issued in a public offering at $25 per share, pursuant to the terms of a prospectus supplement dated Sept. 29, 2020. The Series 11 shares will trade under the symbol PVS.PR.I, in Canadian dollars and under Cusip No. 70214J 86 3.

The TSX reports that the company will pay quarterly dividends on the Series 11 shares on or about March 7, June 7, Sept. 7 and Dec. 7 of each year at an annual dividend rate of $1.1875 per share. The initial dividend payment of 47.5 cents per Series 11 share will be payable on March 7, 2021, covering the period from the closing of the offering to Feb. 28, 2021.

According to the TSX, the Series 11 shares may be redeemed by the company at any time on or after Oct. 31, 2023, and before Oct. 31, 2025 (the redemption date), at a price that, prior to Oct. 31, 2024, will equal $25.50 per share plus accrued and unpaid dividends. The redemption price will decline by 50 cents per share on Oct. 31, 2024. All Series 11 shares outstanding on the redemption date will be redeemed for a cash amount equal to the lesser of $25 plus accrued and unpaid dividends, and the net asset value per unit.

Notwithstanding the first sentence of the previous paragraph, the company may redeem Series 11 shares before Oct. 31, 2023, for $26 per share plus accrued and unpaid dividends if, and will not redeem Series 11 shares before Oct. 31, 2023, unless: (i) capital shares have been retracted; or (ii) there is a takeover bid for the Brookfield Asset Management Inc. shares and the board of directors of the company determines that such bid is in the best interest of the holders of the capital shares.

PVS.PR.I is a SplitShare, 5-Year, 4.75%, announced 2020-9-25. It will be tracked by HIMIPref™ and has been added to the SplitShare subindex.

The long first coupon might lead to some interesting trade possibilities close to the ex-dividend date!

Vital statistics are:

PVS.PR.I SplitShare YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-10-31
Maturity Price : 25.00
Evaluated at bid price : 24.95
Bid-YTW : 4.80 %

TD.PF.E To Reset At 3.242%

Tuesday, October 6th, 2020

The Toronto-Dominion Bank has announced (on October 1):

the applicable dividend rates for its Non-Cumulative 5-Year Rate Reset Preferred Shares, Series 9 (Non-Viability Contingent Capital (NVCC)) (the “Series 9 Shares”) and Non-Cumulative Floating Rate Preferred Shares, Series 10 (NVCC) (the “Series 10 Shares”).

With respect to any Series 9 Shares that remain outstanding after November 2, 2020 (being the first business day following the conversion date of October 31, 2020, which falls on a Saturday), holders of the Series 9 Shares will be entitled to receive quarterly fixed non-cumulative preferential cash dividends, as and when declared by the Board of Directors of TD, subject to the provisions of the Bank Act (Canada). The dividend rate for the 5-year period from and including October 31, 2020 to but excluding October 31, 2025 will be 3.242%, being equal to the 5-Year Government of Canada bond yield determined as at October 1, 2020 plus 2.87%, as determined in accordance with the terms of the Series 9 Shares.

With respect to any Series 10 Shares that may be issued on November 2, 2020, holders of the Series 10 Shares will be entitled to receive quarterly floating rate non-cumulative preferential cash dividends, calculated on the basis of the actual number of days elapsed in such quarterly period divided by 365, as and when declared by the Board of Directors of TD, subject to the provisions of the Bank Act (Canada). The dividend rate for the floating rate period from and including October 31, 2020 to but excluding January 31, 2021, will be 3.006%, being equal to the 90-day Government of Canada Treasury Bill yield determined as of October 1, 2020 plus 2.87%, as determined in accordance with the terms of the Series 10 Shares.

Beneficial owners of Series 9 Shares who wish to exercise their conversion right should communicate as soon as possible with their broker or other nominee to obtain instructions for exercising such right on or prior to the deadline for exercise, which is 5:00 p.m. (Toronto time) on October 16, 2020.

Inquiries should be directed to TD’s Registrar and Transfer Agent, AST Trust Company (Canada), at 1-800-387-0825 (or in Toronto 416-682-3860).

TD.PF.E is a FixedReset, 3.70%+287, that commenced trading 2015-4-24 after being announced 2015-4-15. Notice of extension was provided on 2020-9-17. The issue is tracked by HIMIPref™ and is assigned to the FixedReset (Discount) subindex.

October 5, 2020

Monday, October 5th, 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 0.1212 % 1,639.3
FixedFloater 0.00 % 0.00 % 0 0.00 0 0.1212 % 3,008.0
Floater 5.19 % 5.23 % 52,795 15.14 3 0.1212 % 1,733.5
OpRet 0.00 % 0.00 % 0 0.00 0 -0.1026 % 3,505.9
SplitShare 4.85 % 4.84 % 55,646 3.59 7 -0.1026 % 4,186.7
Interest-Bearing 0.00 % 0.00 % 0 0.00 0 -0.1026 % 3,266.7
Perpetual-Premium 5.29 % 2.54 % 79,669 0.09 17 -0.0275 % 3,178.5
Perpetual-Discount 5.10 % 5.10 % 90,111 15.05 17 0.1877 % 3,598.9
FixedReset Disc 5.50 % 4.24 % 126,174 16.43 65 0.5835 % 2,094.2
Deemed-Retractible 5.07 % 4.80 % 105,754 15.30 22 0.6803 % 3,501.2
FloatingReset 1.98 % 2.90 % 39,546 1.31 3 -0.3938 % 1,794.2
FixedReset Prem 5.23 % 3.64 % 248,252 0.84 14 -0.0287 % 2,629.2
FixedReset Bank Non 1.94 % 2.04 % 101,458 1.30 2 0.1182 % 2,858.9
FixedReset Ins Non 5.64 % 4.36 % 79,176 16.24 22 0.7264 % 2,144.0
Performance Highlights
Issue Index Change Notes
BAM.PF.J FixedReset Disc -1.47 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-10-05
Maturity Price : 23.17
Evaluated at bid price : 24.14
Bid-YTW : 4.89 %
BIK.PR.A FixedReset Prem -1.20 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-10-05
Maturity Price : 23.22
Evaluated at bid price : 24.75
Bid-YTW : 5.88 %
GWO.PR.N FixedReset Ins Non -1.00 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-10-05
Maturity Price : 9.90
Evaluated at bid price : 9.90
Bid-YTW : 4.26 %
RY.PR.H FixedReset Disc 1.00 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-10-05
Maturity Price : 18.13
Evaluated at bid price : 18.13
Bid-YTW : 3.95 %
BMO.PR.T FixedReset Disc 1.01 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-10-05
Maturity Price : 17.02
Evaluated at bid price : 17.02
Bid-YTW : 4.19 %
CU.PR.F Perpetual-Discount 1.01 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-10-05
Maturity Price : 23.44
Evaluated at bid price : 23.95
Bid-YTW : 4.72 %
TD.PF.L FixedReset Disc 1.02 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-10-05
Maturity Price : 23.19
Evaluated at bid price : 24.70
Bid-YTW : 3.93 %
TRP.PR.C FixedReset Disc 1.04 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-10-05
Maturity Price : 8.72
Evaluated at bid price : 8.72
Bid-YTW : 5.49 %
MFC.PR.L FixedReset Ins Non 1.08 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-10-05
Maturity Price : 15.90
Evaluated at bid price : 15.90
Bid-YTW : 4.40 %
GWO.PR.H Deemed-Retractible 1.12 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-10-05
Maturity Price : 24.06
Evaluated at bid price : 24.32
Bid-YTW : 5.01 %
CM.PR.S FixedReset Disc 1.15 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-10-05
Maturity Price : 18.55
Evaluated at bid price : 18.55
Bid-YTW : 4.09 %
SLF.PR.D Deemed-Retractible 1.17 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-10-05
Maturity Price : 23.04
Evaluated at bid price : 23.31
Bid-YTW : 4.79 %
MFC.PR.M FixedReset Ins Non 1.19 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-10-05
Maturity Price : 17.00
Evaluated at bid price : 17.00
Bid-YTW : 4.40 %
CM.PR.Y FixedReset Disc 1.20 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-10-05
Maturity Price : 23.40
Evaluated at bid price : 25.40
Bid-YTW : 4.03 %
MFC.PR.G FixedReset Ins Non 1.23 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-10-05
Maturity Price : 18.95
Evaluated at bid price : 18.95
Bid-YTW : 4.40 %
CM.PR.T FixedReset Disc 1.24 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-10-05
Maturity Price : 23.07
Evaluated at bid price : 24.40
Bid-YTW : 3.97 %
BAM.PF.B FixedReset Disc 1.28 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-10-05
Maturity Price : 15.80
Evaluated at bid price : 15.80
Bid-YTW : 5.27 %
IAF.PR.B Deemed-Retractible 1.29 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-10-05
Maturity Price : 24.06
Evaluated at bid price : 24.32
Bid-YTW : 4.74 %
MFC.PR.C Deemed-Retractible 1.30 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-10-05
Maturity Price : 23.14
Evaluated at bid price : 23.40
Bid-YTW : 4.83 %
MFC.PR.I FixedReset Ins Non 1.31 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-10-05
Maturity Price : 19.40
Evaluated at bid price : 19.40
Bid-YTW : 4.34 %
CM.PR.R FixedReset Disc 1.31 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-10-05
Maturity Price : 22.83
Evaluated at bid price : 23.20
Bid-YTW : 4.09 %
IFC.PR.A FixedReset Ins Non 1.33 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-10-05
Maturity Price : 12.20
Evaluated at bid price : 12.20
Bid-YTW : 4.67 %
PWF.PR.T FixedReset Disc 1.34 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-10-05
Maturity Price : 16.62
Evaluated at bid price : 16.62
Bid-YTW : 4.61 %
BNS.PR.I FixedReset Disc 1.34 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-10-05
Maturity Price : 20.30
Evaluated at bid price : 20.30
Bid-YTW : 3.86 %
NA.PR.C FixedReset Disc 1.35 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-10-05
Maturity Price : 23.33
Evaluated at bid price : 23.65
Bid-YTW : 4.06 %
BAM.PR.R FixedReset Disc 1.36 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-10-05
Maturity Price : 12.67
Evaluated at bid price : 12.67
Bid-YTW : 5.33 %
SLF.PR.A Deemed-Retractible 1.37 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-10-05
Maturity Price : 24.21
Evaluated at bid price : 24.50
Bid-YTW : 4.86 %
SLF.PR.C Deemed-Retractible 1.39 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-10-05
Maturity Price : 23.11
Evaluated at bid price : 23.37
Bid-YTW : 4.78 %
GWO.PR.P Deemed-Retractible 1.39 % YTW SCENARIO
Maturity Type : Call
Maturity Date : 2020-11-04
Maturity Price : 25.00
Evaluated at bid price : 25.50
Bid-YTW : -17.05 %
TD.PF.J FixedReset Disc 1.50 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-10-05
Maturity Price : 20.30
Evaluated at bid price : 20.30
Bid-YTW : 4.13 %
GWO.PR.I Deemed-Retractible 1.56 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-10-05
Maturity Price : 22.60
Evaluated at bid price : 22.85
Bid-YTW : 4.94 %
IAF.PR.G FixedReset Ins Non 1.76 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-10-05
Maturity Price : 18.47
Evaluated at bid price : 18.47
Bid-YTW : 4.45 %
NA.PR.E FixedReset Disc 1.82 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-10-05
Maturity Price : 18.60
Evaluated at bid price : 18.60
Bid-YTW : 4.24 %
MFC.PR.Q FixedReset Ins Non 1.83 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-10-05
Maturity Price : 18.38
Evaluated at bid price : 18.38
Bid-YTW : 4.35 %
MFC.PR.N FixedReset Ins Non 1.86 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-10-05
Maturity Price : 17.01
Evaluated at bid price : 17.01
Bid-YTW : 4.30 %
CU.PR.C FixedReset Disc 1.86 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-10-05
Maturity Price : 16.40
Evaluated at bid price : 16.40
Bid-YTW : 4.35 %
BMO.PR.D FixedReset Disc 1.92 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-10-05
Maturity Price : 21.80
Evaluated at bid price : 22.30
Bid-YTW : 4.07 %
PWF.PR.P FixedReset Disc 1.97 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-10-05
Maturity Price : 10.35
Evaluated at bid price : 10.35
Bid-YTW : 4.86 %
RY.PR.S FixedReset Disc 1.99 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-10-05
Maturity Price : 20.50
Evaluated at bid price : 20.50
Bid-YTW : 3.83 %
SLF.PR.H FixedReset Ins Non 2.07 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-10-05
Maturity Price : 15.31
Evaluated at bid price : 15.31
Bid-YTW : 4.19 %
BIP.PR.E FixedReset Disc 2.14 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-10-05
Maturity Price : 21.57
Evaluated at bid price : 21.97
Bid-YTW : 5.71 %
MFC.PR.F FixedReset Ins Non 4.71 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-10-05
Maturity Price : 10.68
Evaluated at bid price : 10.68
Bid-YTW : 4.23 %
Volume Highlights
Issue Index Shares
Traded
Notes
CM.PR.T FixedReset Disc 115,098 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-10-05
Maturity Price : 23.07
Evaluated at bid price : 24.40
Bid-YTW : 3.97 %
TD.PF.L FixedReset Disc 84,894 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-10-05
Maturity Price : 23.19
Evaluated at bid price : 24.70
Bid-YTW : 3.93 %
SLF.PR.A Deemed-Retractible 75,328 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-10-05
Maturity Price : 24.21
Evaluated at bid price : 24.50
Bid-YTW : 4.86 %
CM.PR.R FixedReset Disc 67,422 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-10-05
Maturity Price : 22.83
Evaluated at bid price : 23.20
Bid-YTW : 4.09 %
TD.PF.M FixedReset Disc 55,670 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-10-05
Maturity Price : 23.27
Evaluated at bid price : 25.00
Bid-YTW : 4.11 %
CM.PR.O FixedReset Disc 30,958 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-10-05
Maturity Price : 17.15
Evaluated at bid price : 17.15
Bid-YTW : 4.24 %
There were 31 other index-included issues trading in excess of 10,000 shares.
Wide Spread Highlights
Issue Index Quote Data and Yield Notes
TRP.PR.A FixedReset Disc Quote: 11.80 – 12.99
Spot Rate : 1.1900
Average : 0.8653

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-10-05
Maturity Price : 11.80
Evaluated at bid price : 11.80
Bid-YTW : 5.54 %

CM.PR.Q FixedReset Disc Quote: 18.87 – 20.00
Spot Rate : 1.1300
Average : 0.8243

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-10-05
Maturity Price : 18.87
Evaluated at bid price : 18.87
Bid-YTW : 4.19 %

RY.PR.P Perpetual-Premium Quote: 26.41 – 26.99
Spot Rate : 0.5800
Average : 0.3712

YTW SCENARIO
Maturity Type : Call
Maturity Date : 2021-02-24
Maturity Price : 26.00
Evaluated at bid price : 26.41
Bid-YTW : 2.45 %

BAM.PF.J FixedReset Disc Quote: 24.14 – 24.75
Spot Rate : 0.6100
Average : 0.4549

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-10-05
Maturity Price : 23.17
Evaluated at bid price : 24.14
Bid-YTW : 4.89 %

BIP.PR.C FixedReset Disc Quote: 23.21 – 23.75
Spot Rate : 0.5400
Average : 0.3969

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-10-05
Maturity Price : 22.67
Evaluated at bid price : 23.21
Bid-YTW : 5.78 %

BIP.PR.F FixedReset Disc Quote: 21.39 – 22.29
Spot Rate : 0.9000
Average : 0.7817

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-10-05
Maturity Price : 21.39
Evaluated at bid price : 21.39
Bid-YTW : 6.01 %

MAPF Performance : September, 2020

Sunday, October 4th, 2020

Malachite Aggressive Preferred Fund’s Net Asset Value per Unit as of the close September 30, 2020, was $7.2852 after a distribution of 0.103820.

The market was essentially flat over the month, with price declines offsetting dividend receipts.

Disappointing performance was recorded by HSE.PR.G, HSE.PR.C, BPO.PR.R and BPO.PR.N, all returning less than -10% with a total weight in the portfolio of 9.0%, but note that each of these issues were strong performers in August. Strong performance was achieved by PWF.PR.S, ECN.PR.C, SLF.PR.D and SLF.PR.C, all returning more than 4.00%, with a total portfolio weight of 8.8% at month-end.

Quote quality deteriorated sharply this month, with the difference in portfolio values when calculated with closing prices vs. calculation with bid prices increasing from 0.44% to 1.71%. Note that the market rose sharply in the month’s last half-hour of trading, so a certain amount of deterioration was expected.

Returns to September 30, 2020
Period MAPF BMO-CM “50” Preferred Share Index TXPR*
Total Return
CPD – according to Blackrock
One Month -1.28% +0.09% +0.16% N/A
Three Months +16.24% +12.70% +11.40% N/A
One Year +0.62% +2.93% +2.78% +2.15%
Two Years (annualized) -10.59% -5.49% -4.02% N/A
Three Years (annualized) -4.12% -1.66% -1.07% -1.66%
Four Years (annualized) +2.54% +3.23% +3.05% N/A
Five Years (annualized) +3.79% +4.37% +4.12% +3.57%
Six Years (annualized) -0.88% +0.03% -0.28% N/A
Seven Years (annualized) +0.55% +0.61% +0.53% N/A
Eight Years (annualized) +0.34% +0.59% +0.34% N/A
Nine Years (annualized) +1.64% +1.23% +1.01% N/A
Ten Years (annualized) +1.75% +1.88% +1.42% +0.93%
Eleven Years (annualized) +2.93% +2.59% +2.09%  
Twelve Years (annualized) +6.89% +3.20% +2.65%  
Thirteen Years (annualized) +6.03% +2.41% +2.45%  
Fourteen Years (annualized) +5.68% +2.09%    
Fifteen Years (annualized) +5.70% +2.21%    
Sixteen Years (annualized) +5.78% +2.40%    
Seventeen Years (annualized) +6.33% +2.55%    
Eighteen Years (annualized) +7.61% +2.81%    
Nineteen Years (annualized) +6.92% +2.83%    
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 -0.25%, +11.62% and +2.40%, respectively, according to Globe & Mail / Fundata after all fees & expenses. Three year performance is -0.86%; five year is +3.60%; ten year is +1.95%

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 -0.52%, +12.51% & +1.82%, respectively. Three year performance is -2.77%, five-year is +3.55%
Figures for National Bank Preferred Equity Fund (formerly Altamira Preferred Equity Fund) are -0.60%, +12.38% and +2.19% for one-, three- and twelve months, respectively. Three year performance is -2.56%; five-year is +3.74%.

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 +0.95% for the past twelve months. Two year performance is -6.53%, three year is -2.89%, five year is +3.41%.
Figures for Fiera Canadian Preferred Share Class Cg Series F, (formerly Natixis Canadian Preferred Share Class Series F) (formerly NexGen Canadian Preferred Share Tax Managed Fund) are no longer available as the Fund is now the property of Canoe Financial. The last reported performance for the merged fund was May 2020.
Figures for BMO Preferred Share Fund (advisor series) according to BMO are -0.47%, +12.68% and +2.27% for the past one-, three- and twelve-months, respectively. Two year performance is -7.03%; three year is -3.97%; five-year is +1.31%.
Figures for PowerShares Canadian Preferred Share Index Class, Series F (PPS) are +1.18% for the past twelve months. The three-year figure is -2.26%; five years is +4.17%
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 -0.07%, +9.50% and -4.79% for the past one, three and twelve months, respectively. Three year performance is -5.34%, five-year is +0.72%.
Figures for the Desjardins Canadian Preferred Share Fund A Class (A Class), as reported by the company are -0.55%, +10.17% and +0.91% for the past one, three and twelve months, respectively. Two year performance is -6.67%, three-year is -3.35%
Figures for the RBC Canadian Preferred Share ETF (RPF) as reported by Morningstar are -0.69%, +12.64% and +1.31% for the past one, three and twelve months, respectively. Three-year performance is -3.47%

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 2020-9-11:

pl_200911_body_chart_1
Click for Big

Note that the Seniority Spread was recorded at 395bp at month-end, a significant narrowing from the 415bp shortly after August month-end. As a good practical example of the spreads between markets, consider that CIU issued a long-term bond in early September, 2019 yielding 2.963%, about 411bp cheaper than the interest-equivalent figure of 7.07% for CIU.PR.A, which was then yielding about 5.44% as a dividend. CIU issued another bond in late September, 2020, yielding 2.609%, which was 399bp cheaper than the interest-equivalent figure of 6.60% for CIU.

… 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 2020-8-14):

pl_200911_body_chart_5
Click for Big

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

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

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

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

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

FixedReset (Discount) performance on the month was -1.00% vs. PerpetualDiscounts of +2.54% in September; 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_200930
Click for Big

Floaters performed poorly, returning -2.15% for September but the figure for the past twelve months remains awful at -13.70%. Look at the long-term performance:

himi_floaterperf_200930
Click for Big

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

It seems clear that Floaters are used, wittingly or otherwise, as a vehicle for speculation on the policy rate and Canada Prime, while FixedResets are being used as a vehicle for speculation on the five-year Canada rate. In support of this idea, I present an Implied Volatility analysis of the TRP series of FixedResets as of September 30, which is comprised of six issues without a Minimum Rate Guarantee and two issues which do have this feature:

impvol_trp_200930
Click for Big

The two issues with floors, TRP.PR.J (+469, minimum 5.50%) and TRP.PR.K (+385, minimum 4.90%) are $3.44 and $3.95 rich, respectively. These figures are wider than the 3.15 and 3.55 calculated last month’s figures. The floors have become effective since five-year Canadas dipped below 0.81% and 1.05%, respectively.

It will also be noted that the spread of a notional non-callable TRP FixedReset priced at par has widened slightly from 439bp last month to 444bp this month, while GOC-5 has declined from 0.40% to 0.35%.

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%); surprisingly, these issues are all rich compared to their non-floor siblings, being rich 0.12, cheap 0.16, cheap 0.16 respectively, respectively, similar to last month’s figures of cheap 0.25, rich 0.37 and cheap 0.04.

impvol_bam_200930
Click for Big

It will also be noted that the spread of a notional non-callable BAM FixedReset priced at par has widened slightly; 454bp last month to 465bp this month, while GOC-5 has declined from 0.40% to 0.35%.

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

frperf_200930_1mo
Click for Big

… but the three-month period showed some correlation for the Pfd-2 Group (14%):

frperf_200930_3mo
Click for Big

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

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

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

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

Calculation of MAPF Sustainable Income Per Unit
Month NAVPU Portfolio
Average
YTW
Leverage
Divisor
Securities
Average
YTW
Capital
Gains
Multiplier
Sustainable
Income
per
current
Unit
June, 2007 9.3114 5.16% 1.03 5.01% 1.3240 0.3524
September 9.1489 5.35% 0.98 5.46% 1.3240 0.3773
December, 2007 9.0070 5.53% 0.942 5.87% 1.3240 0.3993
March, 2008 8.8512 6.17% 1.047 5.89% 1.3240 0.3938
June 8.3419 6.034% 0.952 6.338% 1.3240 $0.3993
September 8.1886 7.108% 0.969 7.335% 1.3240 $0.4537
December, 2008 8.0464 9.24% 1.008 9.166% 1.3240 $0.5571
March 2009 $8.8317 8.60% 0.995 8.802% 1.3240 $0.5872
June 10.9846 7.05% 0.999 7.057% 1.3240 $0.5855
September 12.3462 6.03% 0.998 6.042% 1.3240 $0.5634
December 2009 10.5662 5.74% 0.981 5.851% 1.1141 $0.5549
March 2010 10.2497 6.03% 0.992 6.079% 1.1141 $0.5593
June 10.5770 5.96% 0.996 5.984% 1.1141 $0.5681
September 11.3901 5.43% 0.980 5.540% 1.1141 $0.5664
December 2010 10.7659 5.37% 0.993 5.408% 1.0298 $0.5654
March, 2011 11.0560 6.00% 0.994 5.964% 1.0298 $0.6403
June 11.1194 5.87% 1.018 5.976% 1.0298 $0.6453
September 10.2709 6.10%
Note
1.001 6.106% 1.0298 $0.6090
December, 2011 10.0793 5.63%
Note
1.031 5.805% 1.0000 $0.5851
March, 2012 10.3944 5.13%
Note
0.996 5.109% 1.0000 $0.5310
June 10.2151 5.32%
Note
1.012 5.384% 1.0000 $0.5500
September 10.6703 4.61%
Note
0.997 4.624% 1.0000 $0.4934
December, 2012 10.8307 4.24% 0.989 4.287% 1.0000 $0.4643
March, 2013 10.9033 3.87% 0.996 3.886% 1.0000 $0.4237
June 10.3261 4.81% 0.998 4.80% 1.0000 $0.4957
September 10.0296 5.62% 0.996 5.643% 1.0000 $0.5660
December, 2013 9.8717 6.02% 1.008 5.972% 1.0000 $0.5895
March, 2014 10.2233 5.55% 0.998 5.561% 1.0000 $0.5685
June 10.5877 5.09% 0.998 5.100% 1.0000 $0.5395
September 10.4601 5.28% 0.997 5.296% 1.0000 $0.5540
December, 2014 10.5701 4.83% 1.009 4.787% 1.0000 $0.5060
March, 2015 9.9573 4.99% 1.001 4.985% 1.0000 $0.4964
June, 2015 9.4181 5.55% 1.002 5.539% 1.0000 $0.5217
September 7.8140 6.98% 0.999 6.987% 1.0000 $0.5460
December, 2015 8.1379 6.85% 0.997 6.871% 1.0000 $0.5592
March, 2016 7.4416 7.79% 0.998 7.805% 1.0000 $0.5808
June 7.6704 7.67% 1.011 7.587% 1.0000 $0.5819
September 8.0590 7.35% 0.993 7.402% 1.0000 $0.5965
December, 2016 8.5844 7.24% 0.990 7.313% 1.0000 $0.6278
March, 2017 9.3984 6.26% 0.994 6.298% 1.0000 $0.5919
June 9.5313 6.41% 0.998 6.423% 1.0000 $0.6122
September 9.7129 6.56% 0.998 6.573% 1.0000 $0.6384
December, 2017 10.0566 6.06% 1.004 6.036% 1.0000 $0.6070
March, 2018 10.2701 6.22% 1.007 6.177% 1.0000 $0.6344
June 10.2518 6.22% 0.995 6.251% 1.0000 $0.6408
September 10.2965 6.62% 1.018 6.503% 1.0000 $0.6696
December, 2018 8.6875 7.16% 0.997 7.182% 1.0000 $0.6240
March, 2019 8.4778 7.09% 1.007 7.041% 1.0000 $0.5969
June 8.0896 7.33% 0.996 7.359% 1.0000 $0.5953
September 7.7948 7.96% 0.998 7.976% 1.0000 $0.6217
December, 2019 8.0900 6.03% 0.995 6.060% 1.0000 $0.4903
March 5.5596 7.04% 1.006 6.998% 1.0000 $0.3891
June 6.3568 6.10% 0.9900 6.162% 1.0000 $0.3917
September, 2020 7.2852 5.32% 1.00 5.320% 1.0000 $0.3876
NAVPU is shown after quarterly distributions of dividend income and annual distribution of capital gains.
Portfolio YTW includes cash (or margin borrowing), with an assumed interest rate of 0.00%
The Leverage Divisor indicates the level of cash in the account: if the portfolio is 1% in cash, the Leverage Divisor will be 0.99
Securities YTW divides “Portfolio YTW” by the “Leverage Divisor” to show the average YTW on the securities held; this assumes that the cash is invested in (or raised from) all securities held, in proportion to their holdings.
The Capital Gains Multiplier adjusts for the effects of Capital Gains Dividends. On 2009-12-31, there was a capital gains distribution of $1.989262 which is assumed for this purpose to have been reinvested at the final price of $10.5662. Thus, a holder of one unit pre-distribution would have held 1.1883 units post-distribution; the CG Multiplier reflects this to make the time-series comparable. Note that Dividend Distributions are not assumed to be reinvested.
Sustainable Income is the resultant estimate of the fund’s dividend income per current unit, before fees and expenses. Note that a “current unit” includes reinvestment of prior capital gains; a unitholder would have had the calculated sustainable income with only, say, 0.9 units in the past which, with reinvestment of capital gains, would become 1.0 current units.
DeemedRetractibles are comprised of all Straight Perpetuals (both PerpetualDiscount and PerpetualPremium) issued by BMO, BNS, CM, ELF, GWO, HSB, IAG, MFC, NA, RY, SLF and TD, which are not exchangable into common at the option of the company or the regulator (definition refined in May, 2011). These issues are analyzed as if their prospectuses included a requirement to redeem at par on or prior to 2022-1-31 (banks) or the Deemed Maturity date for insurers and insurance holding companies (see below)), in addition to the call schedule explicitly defined. See the Deemed Retractible Review: September 2016 for the rationale behind this analysis.

The same reasoning is also applied to FixedResets from these issuers, other than explicitly defined NVCC from banks.

In November, 2019, the assumption of DeemedRetraction for insurance issues was cancelled in the wake of the IAIS decision included in ICS 2.0. This resulted in a large drop in the yield calculated for these issues

The Deemed Maturity date for insurers was set at 2022-1-31 at the commencement of the process in February, 2011. It was extended to 2025-1-31 in April, 2013 and to 2030-1-31 in December, 2018. In November, 2019, the assumption of DeemedRetraction was cancelled in the wake of the IAIS decision included in ICS 2.0.
Yields for September, 2011, to January, 2012, were calculated by imposing a cap of 10% on the yields of YLO issues held, in order to avoid their extremely high calculated yields distorting the calculation and to reflect the uncertainty in the marketplace that these yields will be realized. From February to September 2012, yields on these issues have been set to zero. All YLO issues held were sold in October 2012.

These calculations were performed assuming constant contemporary GOC-5 and 3-Month Bill rates, as follows:

Canada Yields Assumed in Calculations
Month-end GOC-5 3-Month Bill
September, 2015 0.78% 0.40%
December, 2015 0.71% 0.46%
March, 2016 0.70% 0.44%
June 0.57% 0.47%
September 0.58% 0.53%
December, 2016 1.16% 0.47%
March, 2017 1.08% 0.55%
June 1.35% 0.69%
September 1.79% 0.97%
December, 2017 1.83% 1.00%
March, 2018 2.06% 1.08%
June 1.95% 1.22%
September 2.33% 1.55%
December, 2018 1.88% 1.65%
March, 2019 1.46% 1.66%
June 1.34% 1.66%
September 1.41% 1.66%
December, 2019 1.68% 1.68%
March, 2020 0.57% 0.21%
June 0.37% 0.21%
September, 2020 0.35% 0.14%

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 : September, 2020

Saturday, October 3rd, 2020

Turnover decreased in September to 8%.

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 September 30 was as follows:

MAPF Sectoral Analysis 2020-9-30
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 17.9% 5.04% 15.35
Fixed-Reset Discount 29.9% 5.03% 15.31
Deemed-Retractible 4.9% 4.92% 15.64
FloatingReset 0% N/A N/A
FixedReset Premium 0% N/A N/A
FixedReset Bank non-NVCC 3.3% 2.72% 1.31
FixedReset Insurance non-NVCC 24.5% 4.45% 16.28
Scraps – Ratchet 1.3% 6.42% 16.42
Scraps – FixedFloater 0% N/A N/A
Scraps – Floater 0% N/A N/A
Scraps – OpRet 0% N/A N/A
Scraps – SplitShare 1.2% 5.63% 3.72
Scraps – PerpPrem 0% N/A N/A
Scraps – PerpDisc 0% N/A N/A
Scraps – FR Discount 17.2% 7.81% 11.62
Scraps – DeemedRet 0% N/A N/A
Scraps – FloatingReset 0% N/A N/A
Scraps – FR Premium 0% N/A N/A
Scraps – Bank non-NVCC 0% N/A N/A
Scraps – Ins non-NVCC 0% N/A N/A
Cash 0.0% 0.00% 0.00
Total 100% 5.32% 14.36
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 0.35%, a constant 3-Month Bill rate of 0.14% 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.

An additional wrinkle to the division into sub-indices is the fact that some issues are classed here as FixedResets, even though for analytical purposes they are classified as Straights – this is due to the fact that these particular issues reset with a floor rate which is (given the current level of the GOC 5-Year bond) currently expected to be effective.

For MAPF, these issues are BIP.PR.D, BIP.PR.E, BIP.PR.F and ECN.PR.C, with a combined portfolio weight of 4.7%. The total portfolio is therefore 71.4% “Floating”, which means the rates will reset periodically based upon the GOC-5, T-Bill or Canada Prime levels.

Credit distribution is:

MAPF Credit Analysis 2020-9-30
DBRS Rating MAPF Weighting
Pfd-1 0
Pfd-1(low) 0
Pfd-2(high) 41.6%
Pfd-2 19.2%
Pfd-2(low) 19.6%
Pfd-3(high) 10.1%
Pfd-3 4.6%
Pfd-3(low) 3.1%
Pfd-4(high) 1.0%
Pfd-4 0%
Pfd-4(low) 0.8%
Pfd-5(high) 0%
Pfd-5 0.0%
Cash +0.0%
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 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 2020-9-30
Average Daily Trading MAPF Weighting
<$50,000 22.8%
$50,000 – $100,000 42.2%
$100,000 – $200,000 28.8%
$200,000 – $300,000 5.1%
>$300,000 1.2%
Cash +0%
Totals will not add precisely due to rounding.

The distribution of Issue Reset Spreads is:

Range MAPF Weight
<100bp 0%
100-149bp 9.1%
150-199bp 2.9%
200-249bp 11.0%
250-299bp 35.8%
300-349bp 4.1%
350-399bp 8.7%
400-449bp 1.8%
450-499bp 0.0%
500-549bp 1.4%
550-599bp 0%
>= 600bp 0%
Undefined 25.2%

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 2.3%
0-1 Year 9.5%
1-2 Years 13.1%
2-3 Years 10.3%
3-4 Years 12.1%
4-5 Years 28.8%
5-6 Years 0%
>6 Years 0%
Not Floating Rate 23.9%

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.

October 2, 2020

Saturday, October 3rd, 2020

It’s a bit odd calling +661,000 a bad jobs number but here we are:

Job growth slowed further in September, as fading government support and the failure to contain the coronavirus threatened to short-circuit the once-promising economic recovery.

Employers brought back 661,000 jobs in September, the Labor Department said Friday. That is down from 1.5 million in August, and far below the 4.8 million jobs added in June. The unemployment rate fell to 7.9 percent, in part because nearly 700,000 people left the labor force.

The monthly report, the last before the presidential election, is the latest sign that the recovery is losing steam. Government data released on Thursday showed that personal income fell in August and that consumer spending grew more slowly as supplemental unemployment benefits expired.

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 -0.4825 % 1,637.3
FixedFloater 0.00 % 0.00 % 0 0.00 0 -0.4825 % 3,004.4
Floater 5.20 % 5.23 % 53,179 15.14 3 -0.4825 % 1,731.4
OpRet 0.00 % 0.00 % 0 0.00 0 0.1884 % 3,509.5
SplitShare 4.84 % 4.81 % 55,755 3.60 7 0.1884 % 4,191.0
Interest-Bearing 0.00 % 0.00 % 0 0.00 0 0.1884 % 3,270.0
Perpetual-Premium 5.29 % 0.36 % 78,792 0.09 17 0.4441 % 3,179.3
Perpetual-Discount 5.11 % 5.13 % 88,131 15.12 17 0.9350 % 3,592.1
FixedReset Disc 5.53 % 4.22 % 125,523 16.38 65 0.0724 % 2,082.0
Deemed-Retractible 5.10 % 4.84 % 105,044 15.34 22 0.3451 % 3,477.5
FloatingReset 2.02 % 2.29 % 39,298 1.31 3 0.2349 % 1,801.3
FixedReset Prem 5.21 % 4.01 % 249,847 0.78 14 0.0591 % 2,629.9
FixedReset Bank Non 1.94 % 2.23 % 139,830 1.31 2 0.2413 % 2,855.5
FixedReset Ins Non 5.68 % 4.37 % 80,201 16.17 22 0.3409 % 2,128.5
Performance Highlights
Issue Index Change Notes
BIP.PR.F FixedReset Disc -4.98 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-10-02
Maturity Price : 21.38
Evaluated at bid price : 21.38
Bid-YTW : 6.01 %
TRP.PR.C FixedReset Disc -4.11 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-10-02
Maturity Price : 8.63
Evaluated at bid price : 8.63
Bid-YTW : 5.48 %
IAF.PR.G FixedReset Ins Non -2.84 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-10-02
Maturity Price : 18.15
Evaluated at bid price : 18.15
Bid-YTW : 4.50 %
MFC.PR.H FixedReset Ins Non -2.59 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-10-02
Maturity Price : 19.97
Evaluated at bid price : 19.97
Bid-YTW : 4.47 %
GWO.PR.N FixedReset Ins Non -2.44 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-10-02
Maturity Price : 10.00
Evaluated at bid price : 10.00
Bid-YTW : 4.17 %
PWF.PR.T FixedReset Disc -2.38 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-10-02
Maturity Price : 16.40
Evaluated at bid price : 16.40
Bid-YTW : 4.65 %
MFC.PR.Q FixedReset Ins Non -2.38 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-10-02
Maturity Price : 18.05
Evaluated at bid price : 18.05
Bid-YTW : 4.40 %
BIP.PR.C FixedReset Disc -2.32 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-10-02
Maturity Price : 22.62
Evaluated at bid price : 23.15
Bid-YTW : 5.79 %
BIP.PR.D FixedReset Disc -2.20 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-10-02
Maturity Price : 21.77
Evaluated at bid price : 22.25
Bid-YTW : 5.63 %
BAM.PR.R FixedReset Disc -2.11 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-10-02
Maturity Price : 12.50
Evaluated at bid price : 12.50
Bid-YTW : 5.36 %
BIP.PR.B FixedReset Disc -2.02 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-10-02
Maturity Price : 22.63
Evaluated at bid price : 23.71
Bid-YTW : 5.79 %
PWF.PR.P FixedReset Disc -1.93 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-10-02
Maturity Price : 10.15
Evaluated at bid price : 10.15
Bid-YTW : 4.90 %
TD.PF.E FixedReset Disc -1.77 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-10-02
Maturity Price : 19.40
Evaluated at bid price : 19.40
Bid-YTW : 4.21 %
BAM.PF.G FixedReset Disc -1.76 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-10-02
Maturity Price : 15.05
Evaluated at bid price : 15.05
Bid-YTW : 5.37 %
RY.PR.S FixedReset Disc -1.71 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-10-02
Maturity Price : 20.10
Evaluated at bid price : 20.10
Bid-YTW : 3.88 %
BMO.PR.D FixedReset Disc -1.66 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-10-02
Maturity Price : 21.51
Evaluated at bid price : 21.88
Bid-YTW : 4.14 %
MFC.PR.R FixedReset Ins Non -1.51 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-10-02
Maturity Price : 23.80
Evaluated at bid price : 24.20
Bid-YTW : 4.37 %
TD.PF.K FixedReset Disc -1.44 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-10-02
Maturity Price : 19.81
Evaluated at bid price : 19.81
Bid-YTW : 4.15 %
MFC.PR.I FixedReset Ins Non -1.44 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-10-02
Maturity Price : 19.15
Evaluated at bid price : 19.15
Bid-YTW : 4.37 %
IFC.PR.A FixedReset Ins Non -1.39 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-10-02
Maturity Price : 12.04
Evaluated at bid price : 12.04
Bid-YTW : 4.69 %
NA.PR.E FixedReset Disc -1.38 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-10-02
Maturity Price : 18.55
Evaluated at bid price : 18.55
Bid-YTW : 4.32 %
TD.PF.B FixedReset Disc -1.36 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-10-02
Maturity Price : 17.45
Evaluated at bid price : 17.45
Bid-YTW : 4.12 %
BIP.PR.E FixedReset Disc -1.33 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-10-02
Maturity Price : 21.51
Evaluated at bid price : 21.51
Bid-YTW : 5.86 %
SLF.PR.H FixedReset Ins Non -1.32 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-10-02
Maturity Price : 15.00
Evaluated at bid price : 15.00
Bid-YTW : 4.25 %
TRP.PR.G FixedReset Disc -1.23 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-10-02
Maturity Price : 15.21
Evaluated at bid price : 15.21
Bid-YTW : 5.51 %
TD.PF.D FixedReset Disc -1.14 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-10-02
Maturity Price : 19.00
Evaluated at bid price : 19.00
Bid-YTW : 4.22 %
BAM.PR.T FixedReset Disc -1.07 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-10-02
Maturity Price : 12.91
Evaluated at bid price : 12.91
Bid-YTW : 5.34 %
RY.PR.J FixedReset Disc -1.03 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-10-02
Maturity Price : 19.25
Evaluated at bid price : 19.25
Bid-YTW : 4.09 %
TRP.PR.D FixedReset Disc -1.02 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-10-02
Maturity Price : 13.56
Evaluated at bid price : 13.56
Bid-YTW : 5.48 %
IAF.PR.I FixedReset Ins Non -1.02 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-10-02
Maturity Price : 19.40
Evaluated at bid price : 19.40
Bid-YTW : 4.33 %
CU.PR.G Perpetual-Discount 1.03 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-10-02
Maturity Price : 23.17
Evaluated at bid price : 23.59
Bid-YTW : 4.80 %
IAF.PR.B Deemed-Retractible 1.05 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-10-02
Maturity Price : 23.70
Evaluated at bid price : 24.01
Bid-YTW : 4.80 %
TRP.PR.B FixedReset Disc 1.08 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-10-02
Maturity Price : 8.45
Evaluated at bid price : 8.45
Bid-YTW : 4.90 %
BAM.PF.D Perpetual-Discount 1.12 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-10-02
Maturity Price : 23.14
Evaluated at bid price : 23.43
Bid-YTW : 5.25 %
MFC.PR.M FixedReset Ins Non 1.14 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-10-02
Maturity Price : 16.80
Evaluated at bid price : 16.80
Bid-YTW : 4.42 %
CU.PR.E Perpetual-Discount 1.17 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-10-02
Maturity Price : 24.77
Evaluated at bid price : 25.08
Bid-YTW : 4.92 %
TD.PF.L FixedReset Disc 1.24 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-10-02
Maturity Price : 23.09
Evaluated at bid price : 24.45
Bid-YTW : 3.97 %
CM.PR.T FixedReset Disc 1.26 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-10-02
Maturity Price : 22.95
Evaluated at bid price : 24.10
Bid-YTW : 4.02 %
BAM.PF.C Perpetual-Discount 1.33 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-10-02
Maturity Price : 22.60
Evaluated at bid price : 22.87
Bid-YTW : 5.32 %
BAM.PR.N Perpetual-Discount 1.35 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-10-02
Maturity Price : 22.22
Evaluated at bid price : 22.50
Bid-YTW : 5.30 %
TRP.PR.K FixedReset Disc 1.39 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-10-02
Maturity Price : 23.62
Evaluated at bid price : 24.84
Bid-YTW : 4.92 %
BAM.PF.A FixedReset Disc 1.43 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-10-02
Maturity Price : 17.00
Evaluated at bid price : 17.00
Bid-YTW : 5.27 %
CU.PR.F Perpetual-Discount 1.59 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-10-02
Maturity Price : 23.24
Evaluated at bid price : 23.71
Bid-YTW : 4.77 %
BAM.PR.M Perpetual-Discount 1.61 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-10-02
Maturity Price : 22.41
Evaluated at bid price : 22.67
Bid-YTW : 5.26 %
GWO.PR.R Deemed-Retractible 1.80 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-10-02
Maturity Price : 24.11
Evaluated at bid price : 24.38
Bid-YTW : 4.94 %
POW.PR.D Perpetual-Discount 2.06 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-10-02
Maturity Price : 24.55
Evaluated at bid price : 24.80
Bid-YTW : 5.05 %
POW.PR.B Perpetual-Discount 2.54 % YTW SCENARIO
Maturity Type : Call
Maturity Date : 2020-11-01
Maturity Price : 25.00
Evaluated at bid price : 25.48
Bid-YTW : -19.15 %
MFC.PR.K FixedReset Ins Non 2.77 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-10-02
Maturity Price : 16.71
Evaluated at bid price : 16.71
Bid-YTW : 4.30 %
IFC.PR.G FixedReset Ins Non 3.40 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-10-02
Maturity Price : 17.62
Evaluated at bid price : 17.62
Bid-YTW : 4.55 %
MFC.PR.G FixedReset Ins Non 20.77 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-10-02
Maturity Price : 18.72
Evaluated at bid price : 18.72
Bid-YTW : 4.42 %
RY.PR.M FixedReset Disc 55.34 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-10-02
Maturity Price : 18.61
Evaluated at bid price : 18.61
Bid-YTW : 4.04 %
Volume Highlights
Issue Index Shares
Traded
Notes
TD.PF.C FixedReset Disc 131,271 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-10-02
Maturity Price : 18.25
Evaluated at bid price : 18.25
Bid-YTW : 4.01 %
TD.PF.L FixedReset Disc 125,900 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-10-02
Maturity Price : 23.09
Evaluated at bid price : 24.45
Bid-YTW : 3.97 %
SLF.PR.A Deemed-Retractible 102,265 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-10-02
Maturity Price : 23.93
Evaluated at bid price : 24.17
Bid-YTW : 4.93 %
CM.PR.P FixedReset Disc 91,080 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-10-02
Maturity Price : 17.67
Evaluated at bid price : 17.67
Bid-YTW : 4.09 %
TD.PF.M FixedReset Disc 78,040 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-10-02
Maturity Price : 23.23
Evaluated at bid price : 24.90
Bid-YTW : 4.12 %
BMO.PR.C FixedReset Disc 54,397 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-10-02
Maturity Price : 23.00
Evaluated at bid price : 23.40
Bid-YTW : 4.02 %
There were 44 other index-included issues trading in excess of 10,000 shares.
Wide Spread Highlights
Issue Index Quote Data and Yield Notes
PWF.PR.T FixedReset Disc Quote: 16.40 – 17.98
Spot Rate : 1.5800
Average : 1.0711

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-10-02
Maturity Price : 16.40
Evaluated at bid price : 16.40
Bid-YTW : 4.65 %

CU.PR.C FixedReset Disc Quote: 16.10 – 18.00
Spot Rate : 1.9000
Average : 1.5208

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-10-02
Maturity Price : 16.10
Evaluated at bid price : 16.10
Bid-YTW : 4.41 %

GWO.PR.G Deemed-Retractible Quote: 25.12 – 25.99
Spot Rate : 0.8700
Average : 0.4971

YTW SCENARIO
Maturity Type : Call
Maturity Date : 2020-11-01
Maturity Price : 25.00
Evaluated at bid price : 25.12
Bid-YTW : -0.30 %

BIP.PR.F FixedReset Disc Quote: 21.38 – 22.30
Spot Rate : 0.9200
Average : 0.6520

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-10-02
Maturity Price : 21.38
Evaluated at bid price : 21.38
Bid-YTW : 6.01 %

BIP.PR.B FixedReset Disc Quote: 23.71 – 24.45
Spot Rate : 0.7400
Average : 0.5418

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-10-02
Maturity Price : 22.63
Evaluated at bid price : 23.71
Bid-YTW : 5.79 %

NA.PR.E FixedReset Disc Quote: 18.55 – 18.99
Spot Rate : 0.4400
Average : 0.2676

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-10-02
Maturity Price : 18.55
Evaluated at bid price : 18.55
Bid-YTW : 4.32 %

October 1, 2020

Friday, October 2nd, 2020

Sorry, this report will be delayed until the evening of October 2.

Update, 2020-10-3:

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 0.6883 % 1,645.2
FixedFloater 0.00 % 0.00 % 0 0.00 0 0.6883 % 3,018.9
Floater 5.17 % 5.20 % 53,502 15.20 3 0.6883 % 1,739.8
OpRet 0.00 % 0.00 % 0 0.00 0 0.0057 % 3,502.9
SplitShare 4.85 % 4.96 % 54,255 3.60 7 0.0057 % 4,183.2
Interest-Bearing 0.00 % 0.00 % 0 0.00 0 0.0057 % 3,263.9
Perpetual-Premium 5.31 % 2.98 % 78,175 0.08 17 0.3428 % 3,165.3
Perpetual-Discount 5.16 % 5.18 % 88,341 15.09 17 0.7412 % 3,558.8
FixedReset Disc 5.53 % 4.26 % 119,124 16.38 65 -0.0436 % 2,080.5
Deemed-Retractible 5.12 % 4.93 % 100,838 15.33 22 0.2335 % 3,465.6
FloatingReset 2.03 % 2.88 % 38,735 1.31 3 0.1008 % 1,797.1
FixedReset Prem 5.21 % 4.02 % 244,048 0.79 14 -0.0225 % 2,628.4
FixedReset Bank Non 1.94 % 2.28 % 133,721 1.31 2 0.1611 % 2,848.6
FixedReset Ins Non 5.70 % 4.31 % 81,327 16.25 22 -0.4178 % 2,121.3
Performance Highlights
Issue Index Change Notes
RY.PR.M FixedReset Disc -35.94 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-10-01
Maturity Price : 11.98
Evaluated at bid price : 11.98
Bid-YTW : 6.30 %
MFC.PR.G FixedReset Ins Non -17.77 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-10-01
Maturity Price : 15.50
Evaluated at bid price : 15.50
Bid-YTW : 5.36 %
IFC.PR.G FixedReset Ins Non -4.80 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-10-01
Maturity Price : 17.04
Evaluated at bid price : 17.04
Bid-YTW : 4.71 %
TRP.PR.B FixedReset Disc -1.65 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-10-01
Maturity Price : 8.36
Evaluated at bid price : 8.36
Bid-YTW : 4.96 %
TRP.PR.A FixedReset Disc -1.43 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-10-01
Maturity Price : 11.70
Evaluated at bid price : 11.70
Bid-YTW : 5.56 %
BAM.PF.A FixedReset Disc -1.18 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-10-01
Maturity Price : 16.76
Evaluated at bid price : 16.76
Bid-YTW : 5.34 %
BIP.PR.E FixedReset Disc -1.13 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-10-01
Maturity Price : 21.45
Evaluated at bid price : 21.80
Bid-YTW : 5.76 %
NA.PR.C FixedReset Disc -1.01 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-10-01
Maturity Price : 23.09
Evaluated at bid price : 23.41
Bid-YTW : 4.15 %
PWF.PR.K Perpetual-Discount 1.00 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-10-01
Maturity Price : 23.99
Evaluated at bid price : 24.24
Bid-YTW : 5.18 %
RY.PR.Z FixedReset Disc 1.06 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-10-01
Maturity Price : 18.11
Evaluated at bid price : 18.11
Bid-YTW : 3.87 %
PWF.PR.T FixedReset Disc 1.08 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-10-01
Maturity Price : 16.80
Evaluated at bid price : 16.80
Bid-YTW : 4.53 %
BAM.PR.T FixedReset Disc 1.08 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-10-01
Maturity Price : 13.05
Evaluated at bid price : 13.05
Bid-YTW : 5.28 %
CM.PR.O FixedReset Disc 1.12 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-10-01
Maturity Price : 17.15
Evaluated at bid price : 17.15
Bid-YTW : 4.21 %
TRP.PR.G FixedReset Disc 1.25 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-10-01
Maturity Price : 15.40
Evaluated at bid price : 15.40
Bid-YTW : 5.44 %
BAM.PF.C Perpetual-Discount 1.30 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-10-01
Maturity Price : 22.30
Evaluated at bid price : 22.57
Bid-YTW : 5.39 %
BAM.PR.B Floater 1.34 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-10-01
Maturity Price : 8.30
Evaluated at bid price : 8.30
Bid-YTW : 5.20 %
CM.PR.Q FixedReset Disc 1.42 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-10-01
Maturity Price : 18.62
Evaluated at bid price : 18.62
Bid-YTW : 4.22 %
SLF.PR.I FixedReset Ins Non 1.43 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-10-01
Maturity Price : 18.50
Evaluated at bid price : 18.50
Bid-YTW : 4.26 %
BAM.PR.R FixedReset Disc 1.43 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-10-01
Maturity Price : 12.77
Evaluated at bid price : 12.77
Bid-YTW : 5.25 %
BAM.PR.N Perpetual-Discount 1.46 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-10-01
Maturity Price : 21.97
Evaluated at bid price : 22.20
Bid-YTW : 5.37 %
MFC.PR.L FixedReset Ins Non 1.49 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-10-01
Maturity Price : 15.68
Evaluated at bid price : 15.68
Bid-YTW : 4.43 %
BIP.PR.D FixedReset Disc 1.56 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-10-01
Maturity Price : 22.36
Evaluated at bid price : 22.75
Bid-YTW : 5.51 %
MFC.PR.H FixedReset Ins Non 1.59 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-10-01
Maturity Price : 20.50
Evaluated at bid price : 20.50
Bid-YTW : 4.35 %
PWF.PR.S Perpetual-Discount 1.63 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-10-01
Maturity Price : 23.22
Evaluated at bid price : 23.70
Bid-YTW : 5.12 %
BAM.PR.M Perpetual-Discount 1.64 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-10-01
Maturity Price : 22.08
Evaluated at bid price : 22.31
Bid-YTW : 5.35 %
SLF.PR.H FixedReset Ins Non 1.67 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-10-01
Maturity Price : 15.20
Evaluated at bid price : 15.20
Bid-YTW : 4.19 %
TRP.PR.F FloatingReset 1.67 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-10-01
Maturity Price : 10.33
Evaluated at bid price : 10.33
Bid-YTW : 5.02 %
MFC.PR.N FixedReset Ins Non 1.69 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-10-01
Maturity Price : 16.86
Evaluated at bid price : 16.86
Bid-YTW : 4.31 %
MFC.PR.I FixedReset Ins Non 1.73 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-10-01
Maturity Price : 19.43
Evaluated at bid price : 19.43
Bid-YTW : 4.31 %
BAM.PF.I FixedReset Disc 1.74 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-10-01
Maturity Price : 24.22
Evaluated at bid price : 24.56
Bid-YTW : 4.90 %
TD.PF.K FixedReset Disc 1.77 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-10-01
Maturity Price : 20.10
Evaluated at bid price : 20.10
Bid-YTW : 4.09 %
RY.PR.J FixedReset Disc 1.78 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-10-01
Maturity Price : 19.45
Evaluated at bid price : 19.45
Bid-YTW : 4.05 %
TD.PF.D FixedReset Disc 1.80 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-10-01
Maturity Price : 19.22
Evaluated at bid price : 19.22
Bid-YTW : 4.17 %
RY.PR.S FixedReset Disc 1.84 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-10-01
Maturity Price : 20.45
Evaluated at bid price : 20.45
Bid-YTW : 3.81 %
BAM.PF.D Perpetual-Discount 1.85 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-10-01
Maturity Price : 22.88
Evaluated at bid price : 23.17
Bid-YTW : 5.31 %
BAM.PF.J FixedReset Disc 2.26 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-10-01
Maturity Price : 23.31
Evaluated at bid price : 24.45
Bid-YTW : 4.82 %
BIP.PR.A FixedReset Disc 2.57 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-10-01
Maturity Price : 17.16
Evaluated at bid price : 17.16
Bid-YTW : 5.76 %
Volume Highlights
Issue Index Shares
Traded
Notes
SLF.PR.A Deemed-Retractible 109,006 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-10-01
Maturity Price : 23.92
Evaluated at bid price : 24.18
Bid-YTW : 4.93 %
RY.PR.Q FixedReset Prem 79,145 YTW SCENARIO
Maturity Type : Call
Maturity Date : 2021-05-24
Maturity Price : 25.00
Evaluated at bid price : 25.45
Bid-YTW : 3.54 %
TRP.PR.D FixedReset Disc 63,200 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-10-01
Maturity Price : 13.70
Evaluated at bid price : 13.70
Bid-YTW : 5.42 %
GWO.PR.I Deemed-Retractible 57,858 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-10-01
Maturity Price : 22.18
Evaluated at bid price : 22.46
Bid-YTW : 5.02 %
CM.PR.P FixedReset Disc 51,690 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-10-01
Maturity Price : 17.50
Evaluated at bid price : 17.50
Bid-YTW : 4.14 %
TD.PF.H FixedReset Prem 38,175 YTW SCENARIO
Maturity Type : Call
Maturity Date : 2021-10-31
Maturity Price : 25.00
Evaluated at bid price : 25.38
Bid-YTW : 4.20 %
There were 26 other index-included issues trading in excess of 10,000 shares.
Wide Spread Highlights
Issue Index Quote Data and Yield Notes
RY.PR.M FixedReset Disc Quote: 11.98 – 19.25
Spot Rate : 7.2700
Average : 4.9945

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-10-01
Maturity Price : 11.98
Evaluated at bid price : 11.98
Bid-YTW : 6.30 %

MFC.PR.G FixedReset Ins Non Quote: 15.50 – 19.29
Spot Rate : 3.7900
Average : 2.5730

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-10-01
Maturity Price : 15.50
Evaluated at bid price : 15.50
Bid-YTW : 5.36 %

CU.PR.C FixedReset Disc Quote: 16.10 – 18.00
Spot Rate : 1.9000
Average : 1.1050

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-10-01
Maturity Price : 16.10
Evaluated at bid price : 16.10
Bid-YTW : 4.40 %

IFC.PR.G FixedReset Ins Non Quote: 17.04 – 18.14
Spot Rate : 1.1000
Average : 0.6851

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-10-01
Maturity Price : 17.04
Evaluated at bid price : 17.04
Bid-YTW : 4.71 %

EIT.PR.A SplitShare Quote: 25.20 – 26.20
Spot Rate : 1.0000
Average : 0.6519

YTW SCENARIO
Maturity Type : Soft Maturity
Maturity Date : 2024-03-14
Maturity Price : 25.00
Evaluated at bid price : 25.20
Bid-YTW : 4.64 %

MFC.PR.F FixedReset Ins Non Quote: 10.25 – 11.04
Spot Rate : 0.7900
Average : 0.5200

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-10-01
Maturity Price : 10.25
Evaluated at bid price : 10.25
Bid-YTW : 4.36 %