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Archive for July, 2021

July PrefLetter Released! Note software problem!

Monday, July 12th, 2021

The July, 2021, edition of PrefLetter has been released and is now available for purchase as the “Previous edition”. Those who subscribe for a full year receive the “Previous edition” as a bonus.

The July edition is somewhat foreshortened, but contains the most critical elements.

There is a problem with the site certificate; this is being updated but takes a surprising amount of time. If your browser warns you the link may not be private, just check that the domain is prefletter.com and you may proceed. A new problem this month is that the https: in the link emailed to you should be replaced with http:.

I do apologize for this. Everything happens at once!

PrefLetter may now be purchased by all Canadian residents.

Until further notice, the “Previous Edition” will refer to the June, 2021, issue, while the “Next Edition” will be the August, 2021, issue, scheduled to be prepared as of the close August 13, 2021, and eMailed to subscribers prior to market-opening on August 16.

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

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

Note: There have been problems lately with corporate eMail protection systems that substitute “safe” links for the links sent in the eMails; the problem being that the “safe” links do not work and an error is generated by my software. To avoid possible problems and delays, please subscribe through an eMail account that is not “protected” by such software.

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

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

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

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

Note: Assiduous Reader DG informs me:

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

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

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

But Adrian2 now advises:

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

Posted in PrefLetter | 2 Comments »

MAPF Performance : June, 2021

Saturday, July 10th, 2021

Malachite Aggressive Preferred Fund’s Net Asset Value per Unit as of the close June 30, 2021, was $10.3712 after a distribution of 0.106426.

Returns to June 30, 2021
Period	MAPF	TXPR* Total Return	CPD – according to Blackrock
One Month	+2.22%	-0.22%	N/A
Three Months	+8.61%	+5.02%	N/A
One Year	+70.95%	+36.63%	+35.74%
Two Years (annualized)	+20.20%	+12.58%	N/A
Three Years (annualized)	+6.07%	+4.71%	+4.05%
Four Years (annualized)	+7.44%	+4.84%	N/A
Five Years (annualized)	+11.59%	+7.68%	+7.12%
Six Years (annualized)	+6.89%	+4.57%	N/A
Seven Years (annualized)	+4.87%	+2.77%	N/A
Eight Years (annualized)	+5.24%	+2.85%	N/A
Nine Years (annualized)	+5.34%	+2.81%	N/A
Ten Years (annualized)	+4.78%	+2.93%	+2.43%
Eleven Years (annualized)	+6.06%	+3.68%
Twelve Years (annualized)	+7.21%	+4.17%
Thirteen Years (annualized)	+9.56%	+3.85%
Fourteen Years (annualized)	+8.50%	+3.10%
Fifteen Years (annualized)	+8.28%
Sixteen Years (annualized)	+8.05%
Seventeen Years (annualized)	+8.15%
Eighteen Years (annualized)	+8.79%
Nineteen Years (annualized)	+8.71%
Twenty Years (annualized)	+9.03%
MAPF returns assume reinvestment of distributions, and are shown after expenses but before fees.
The BMO Capital Markets “50” Preferred Share Index is no longer being calculated. The final performance report incorporating this venerable index was published as of December, 2020.
“TXPR” is the S&P/TSX Preferred Share Index. It is calculated without accounting for fees, but does assume reinvestment of dividends.
CPD Returns are for the NAV and are after all fees and expenses. Reinvestment of dividends is assumed.
Figures for National Bank Preferred Equity Income Fund (formerly Omega Preferred Equity) (which are after all fees and expenses) for 1-, 3- and 12-months are +0.03%, +6.34% and +43.80%, respectively, according to Globe & Mail / Fundata after all fees & expenses. Three year performance is +6.82%; five year is +8.47%; ten year is +3.97% 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 -0.39%, +6.28% & +45.76%, respectively. Three year performance is +4.67%, five-year is +8.18%
Figures for National Bank Preferred Equity Fund (formerly Altamira Preferred Equity Fund) are -0.41%, +6.45% and +45.97% for one-, three- and twelve months, respectively. Three year performance is +4.94%; five-year is +8.50%. 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 +44.95% for the past twelve months. Two year performance is +14.08%, three year is +4.64%, five year is +8.58%.
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 -0.59%, +3.85% and +36.31% for the past one-, three- and twelve-months, respectively. Two year performance is +10.80%; three year is +1.89%; five-year is +4.68%.
Figures for PowerShares Canadian Preferred Share Index Class, Series F (PPS) are +39.42% for the past twelve months. The three-year figure is +4.11%; five years is +8.21%; ten-year is +2.52%
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 +0.10%, +7.15% and +47.98% for the past one, three and twelve months, respectively. Three year performance is +3.23%, five-year is +6.51%.
Figures for the Desjardins Canadian Preferred Share Fund A Class (A Class), as reported by the company are -0.13%, +5.41% and +36.12% for the past one, three and twelve months, respectively. Two year performance is +11.56%, three-year is +2.89%, five-year is +6.19%
Figures for the RBC Canadian Preferred Share ETF (RPF) as reported by Morningstar are -0.21%, +5.85% and +45.42% for the past one, three and twelve months, respectively. Three-year performance is +4.14%
Figures for the Dynamic Active Preferred Shares ETF (DXP) are +0.0%, +7.1% and +49.3% for the past one, three and twelve months, respectively. Three-year performance is +6.0%

Calculation of MAPF Sustainable Income Per Unit
Month	NAVPU	Portfolio Average YTW	Leverage Divisor	Securities Average YTW	Capital Gains Multiplier	Sustainable Income per current Unit
June, 2007	9.3114	5.16%	1.03	5.01%	1.3240	0.3524
September	9.1489	5.35%	0.98	5.46%	1.3240	0.3773
December, 2007	9.0070	5.53%	0.942	5.87%	1.3240	0.3993
March, 2008	8.8512	6.17%	1.047	5.89%	1.3240	0.3938
June	8.3419	6.034%	0.952	6.338%	1.3240	$0.3993
September	8.1886	7.108%	0.969	7.335%	1.3240	$0.4537
December, 2008	8.0464	9.24%	1.008	9.166%	1.3240	$0.5571
March 2009	$8.8317	8.60%	0.995	8.802%	1.3240	$0.5872
June	10.9846	7.05%	0.999	7.057%	1.3240	$0.5855
September	12.3462	6.03%	0.998	6.042%	1.3240	$0.5634
December 2009	10.5662	5.74%	0.981	5.851%	1.1141	$0.5549
March 2010	10.2497	6.03%	0.992	6.079%	1.1141	$0.5593
June	10.5770	5.96%	0.996	5.984%	1.1141	$0.5681
September	11.3901	5.43%	0.980	5.540%	1.1141	$0.5664
December 2010	10.7659	5.37%	0.993	5.408%	1.0298	$0.5654
March, 2011	11.0560	6.00%	0.994	5.964%	1.0298	$0.6403
June	11.1194	5.87%	1.018	5.976%	1.0298	$0.6453
September	10.2709	6.10% Note	1.001	6.106%	1.0298	$0.6090
December, 2011	10.0793	5.63% Note	1.031	5.805%	1.0000	$0.5851
March, 2012	10.3944	5.13% Note	0.996	5.109%	1.0000	$0.5310
June	10.2151	5.32% Note	1.012	5.384%	1.0000	$0.5500
September	10.6703	4.61% Note	0.997	4.624%	1.0000	$0.4934
December, 2012	10.8307	4.24%	0.989	4.287%	1.0000	$0.4643
March, 2013	10.9033	3.87%	0.996	3.886%	1.0000	$0.4237
June	10.3261	4.81%	0.998	4.80%	1.0000	$0.4957
September	10.0296	5.62%	0.996	5.643%	1.0000	$0.5660
December, 2013	9.8717	6.02%	1.008	5.972%	1.0000	$0.5895
March, 2014	10.2233	5.55%	0.998	5.561%	1.0000	$0.5685
June	10.5877	5.09%	0.998	5.100%	1.0000	$0.5395
September	10.4601	5.28%	0.997	5.296%	1.0000	$0.5540
December, 2014	10.5701	4.83%	1.009	4.787%	1.0000	$0.5060
March, 2015	9.9573	4.99%	1.001	4.985%	1.0000	$0.4964
June, 2015	9.4181	5.55%	1.002	5.539%	1.0000	$0.5217
September	7.8140	6.98%	0.999	6.987%	1.0000	$0.5460
December, 2015	8.1379	6.85%	0.997	6.871%	1.0000	$0.5592
March, 2016	7.4416	7.79%	0.998	7.805%	1.0000	$0.5808
June	7.6704	7.67%	1.011	7.587%	1.0000	$0.5819
September	8.0590	7.35%	0.993	7.402%	1.0000	$0.5965
December, 2016	8.5844	7.24%	0.990	7.313%	1.0000	$0.6278
March, 2017	9.3984	6.26%	0.994	6.298%	1.0000	$0.5919
June	9.5313	6.41%	0.998	6.423%	1.0000	$0.6122
September	9.7129	6.56%	0.998	6.573%	1.0000	$0.6384
December, 2017	10.0566	6.06%	1.004	6.036%	1.0000	$0.6070
March, 2018	10.2701	6.22%	1.007	6.177%	1.0000	$0.6344
June	10.2518	6.22%	0.995	6.251%	1.0000	$0.6408
September	10.2965	6.62%	1.018	6.503%	1.0000	$0.6696
December, 2018	8.6875	7.16%	0.997	7.182%	1.0000	$0.6240
March, 2019	8.4778	7.09%	1.007	7.041%	1.0000	$0.5969
June	8.0896	7.33%	0.996	7.359%	1.0000	$0.5953
September	7.7948	7.96%	0.998	7.976%	1.0000	$0.6217
December, 2019	8.0900	6.03%	0.995	6.060%	1.0000	$0.4903
March	5.5596	7.04%	1.006	6.998%	1.0000	$0.3891
June	6.3568	6.10%	0.9900	6.162%	1.0000	$0.3917
September	7.2852	5.32%	1.00	5.320%	1.0000	$0.3876
December, 2020	8.3947	4.46%	0.999	4.464%	1.0000	$0.3747
March, 2021	9.6473	4.48%	0.996	4.498%	1.0000	$0.4339
June, 2021	10.3712	3.92%	0.985	3.980%	1.0000	$0.4127
NAVPU is shown after quarterly distributions of dividend income and annual distribution of capital gains. Portfolio YTW includes cash (or margin borrowing), with an assumed interest rate of 0.00% The Leverage Divisor indicates the level of cash in the account: if the portfolio is 1% in cash, the Leverage Divisor will be 0.99 Securities YTW divides “Portfolio YTW” by the “Leverage Divisor” to show the average YTW on the securities held; this assumes that the cash is invested in (or raised from) all securities held, in proportion to their holdings. The Capital Gains Multiplier adjusts for the effects of Capital Gains Dividends. On 2009-12-31, there was a capital gains distribution of $1.989262 which is assumed for this purpose to have been reinvested at the final price of $10.5662. Thus, a holder of one unit pre-distribution would have held 1.1883 units post-distribution; the CG Multiplier reflects this to make the time-series comparable. Note that Dividend Distributions are not assumed to be reinvested. Sustainable Income is the resultant estimate of the fund’s dividend income per current unit, before fees and expenses. Note that a “current unit” includes reinvestment of prior capital gains; a unitholder would have had the calculated sustainable income with only, say, 0.9 units in the past which, with reinvestment of capital gains, would become 1.0 current units.
DeemedRetractibles are comprised of all Straight Perpetuals (both PerpetualDiscount and PerpetualPremium) issued by BMO, BNS, CM, ELF, GWO, HSB, IAG, MFC, NA, RY, SLF and TD, which are not exchangable into common at the option of the company or the regulator (definition refined in May, 2011). These issues are analyzed as if their prospectuses included a requirement to redeem at par on or prior to 2022-1-31 (banks) or the Deemed Maturity date for insurers and insurance holding companies (see below)), in addition to the call schedule explicitly defined. See the Deemed Retractible Review: September 2016 for the rationale behind this analysis. The same reasoning is also applied to FixedResets from these issuers, other than explicitly defined NVCC from banks. In November, 2019, the assumption of DeemedRetraction for insurance issues was cancelled in the wake of the IAIS decision included in ICS 2.0. This resulted in a large drop in the yield calculated for these issues
The Deemed Maturity date for insurers was set at 2022-1-31 at the commencement of the process in February, 2011. It was extended to 2025-1-31 in April, 2013 and to 2030-1-31 in December, 2018. In November, 2019, the assumption of DeemedRetraction was cancelled in the wake of the IAIS decision included in ICS 2.0.
Yields for September, 2011, to January, 2012, were calculated by imposing a cap of 10% on the yields of YLO issues held, in order to avoid their extremely high calculated yields distorting the calculation and to reflect the uncertainty in the marketplace that these yields will be realized. From February to September 2012, yields on these issues have been set to zero. All YLO issues held were sold in October 2012.

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

Canada Yields Assumed in Calculations
Month-end	GOC-5	3-Month Bill
September, 2015	0.78%	0.40%
December, 2015	0.71%	0.46%
March, 2016	0.70%	0.44%
June	0.57%	0.47%
September	0.58%	0.53%
December, 2016	1.16%	0.47%
March, 2017	1.08%	0.55%
June	1.35%	0.69%
September	1.79%	0.97%
December, 2017	1.83%	1.00%
March, 2018	2.06%	1.08%
June	1.95%	1.22%
September	2.33%	1.55%
December, 2018	1.88%	1.65%
March, 2019	1.46%	1.66%
June	1.34%	1.66%
September	1.41%	1.66%
December, 2019	1.68%	1.68%
March, 2020	0.57%	0.21%
June	0.37%	0.21%
September	0.35%	0.14%
December, 2020	0.42%	0.08%
March, 2021	0.94%	0.09%
June, 2021	0.93%	0.13%

Posted in MAPF | No Comments »

July 8, 2021

Thursday, July 8th, 2021

HIMIPref™ Preferred Indices These values reflect the December 2008 revision of the HIMIPref™ Indices Values are provisional and are finalized monthly
Index	Mean Current Yield (at bid)	Median YTW	Median Average Trading Value	Median Mod Dur (YTW)	Issues	Day’s Perf.	Index Value
Ratchet	0.00 %	0.00 %	0	0.00	0	-0.2518 %	2,674.6
FixedFloater	0.00 %	0.00 %	0	0.00	0	-0.2518 %	4,907.9
Floater	3.25 %	3.26 %	101,967	19.11	3	-0.2518 %	2,828.4
OpRet	0.00 %	0.00 %	0	0.00	0	0.0000 %	3,695.6
SplitShare	4.63 %	3.86 %	41,092	3.88	6	0.0000 %	4,413.4
Interest-Bearing	0.00 %	0.00 %	0	0.00	0	0.0000 %	3,443.5
Perpetual-Premium	5.15 %	-6.38 %	62,252	0.09	30	-0.5456 %	3,286.7
Perpetual-Discount	4.63 %	4.68 %	45,678	16.04	4	-0.0706 %	3,933.9
FixedReset Disc	4.06 %	3.72 %	134,001	17.92	40	-0.5154 %	2,768.2
Insurance Straight	4.90 %	-1.22 %	79,405	0.09	22	-0.1104 %	3,717.9
FloatingReset	2.80 %	3.06 %	35,985	19.59	2	-0.5247 %	2,596.1
FixedReset Prem	4.84 %	2.99 %	181,579	1.43	33	-0.5543 %	2,749.4
FixedReset Bank Non	1.80 %	2.28 %	90,054	0.56	1	-0.0798 %	2,895.4
FixedReset Ins Non	4.08 %	3.60 %	120,865	17.83	20	-0.5962 %	2,924.5

Performance Highlights
Issue	Index	Change	Notes
MFC.PR.F	FixedReset Ins Non	-2.76 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2051-07-08 Maturity Price : 17.26 Evaluated at bid price : 17.26 Bid-YTW : 3.52 %
BAM.PR.X	FixedReset Disc	-2.42 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2051-07-08 Maturity Price : 16.91 Evaluated at bid price : 16.91 Bid-YTW : 4.16 %
CM.PR.Y	FixedReset Prem	-1.79 %	YTW SCENARIO Maturity Type : Call Maturity Date : 2024-07-31 Maturity Price : 25.00 Evaluated at bid price : 26.29 Bid-YTW : 3.29 %
TRP.PR.E	FixedReset Disc	-1.69 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2051-07-08 Maturity Price : 20.32 Evaluated at bid price : 20.32 Bid-YTW : 4.21 %
TRP.PR.D	FixedReset Disc	-1.63 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2051-07-08 Maturity Price : 20.52 Evaluated at bid price : 20.52 Bid-YTW : 4.21 %
BAM.PF.G	FixedReset Disc	-1.52 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2051-07-08 Maturity Price : 22.10 Evaluated at bid price : 22.61 Bid-YTW : 4.10 %
CU.PR.I	FixedReset Prem	-1.51 %	YTW SCENARIO Maturity Type : Call Maturity Date : 2025-12-01 Maturity Price : 25.00 Evaluated at bid price : 26.77 Bid-YTW : 2.90 %
IFC.PR.C	FixedReset Ins Non	-1.45 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2051-07-08 Maturity Price : 23.49 Evaluated at bid price : 24.46 Bid-YTW : 3.69 %
GWO.PR.N	FixedReset Ins Non	-1.25 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2051-07-08 Maturity Price : 15.80 Evaluated at bid price : 15.80 Bid-YTW : 3.46 %
BAM.PF.A	FixedReset Disc	-1.20 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2051-07-08 Maturity Price : 23.07 Evaluated at bid price : 23.92 Bid-YTW : 4.18 %
TRP.PR.B	FixedReset Disc	-1.11 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2051-07-08 Maturity Price : 13.40 Evaluated at bid price : 13.40 Bid-YTW : 4.06 %
IFC.PR.G	FixedReset Ins Non	-1.10 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2051-07-08 Maturity Price : 23.68 Evaluated at bid price : 25.25 Bid-YTW : 3.54 %
SLF.PR.H	FixedReset Ins Non	-1.05 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2051-07-08 Maturity Price : 22.51 Evaluated at bid price : 23.45 Bid-YTW : 3.32 %
MFC.PR.H	FixedReset Ins Non	-1.05 %	YTW SCENARIO Maturity Type : Call Maturity Date : 2022-03-19 Maturity Price : 25.00 Evaluated at bid price : 25.33 Bid-YTW : 2.72 %
BMO.PR.T	FixedReset Disc	-1.02 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2051-07-08 Maturity Price : 22.57 Evaluated at bid price : 23.25 Bid-YTW : 3.53 %
TRP.PR.C	FixedReset Disc	-1.02 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2051-07-08 Maturity Price : 14.61 Evaluated at bid price : 14.61 Bid-YTW : 4.12 %
CU.PR.C	FixedReset Disc	-1.01 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2051-07-08 Maturity Price : 21.32 Evaluated at bid price : 21.60 Bid-YTW : 3.95 %
TRP.PR.A	FixedReset Disc	-1.00 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2051-07-08 Maturity Price : 18.78 Evaluated at bid price : 18.78 Bid-YTW : 4.05 %
NA.PR.S	FixedReset Disc	1.00 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2051-07-08 Maturity Price : 23.07 Evaluated at bid price : 24.15 Bid-YTW : 3.51 %
PWF.PR.P	FixedReset Disc	5.22 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2051-07-08 Maturity Price : 17.10 Evaluated at bid price : 17.10 Bid-YTW : 3.61 %

Volume Highlights
Issue	Index	Shares Traded	Notes
BNS.PR.G	FixedReset Prem	218,607	YTW SCENARIO Maturity Type : Call Maturity Date : 2021-08-24 Maturity Price : 25.00 Evaluated at bid price : 24.98 Bid-YTW : 3.93 %
IFC.PR.G	FixedReset Ins Non	70,210	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2051-07-08 Maturity Price : 23.68 Evaluated at bid price : 25.25 Bid-YTW : 3.54 %
NA.PR.A	FixedReset Prem	52,775	YTW SCENARIO Maturity Type : Call Maturity Date : 2021-08-15 Maturity Price : 25.00 Evaluated at bid price : 24.97 Bid-YTW : 1.16 %
BIP.PR.C	FixedReset Prem	42,368	YTW SCENARIO Maturity Type : Call Maturity Date : 2021-09-30 Maturity Price : 25.00 Evaluated at bid price : 25.25 Bid-YTW : 1.50 %
NA.PR.S	FixedReset Disc	41,214	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2051-07-08 Maturity Price : 23.07 Evaluated at bid price : 24.15 Bid-YTW : 3.51 %
TRP.PR.D	FixedReset Disc	39,974	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2051-07-08 Maturity Price : 20.52 Evaluated at bid price : 20.52 Bid-YTW : 4.21 %
There were 22 other index-included issues trading in excess of 10,000 shares.

Wide Spread Highlights
Issue	Index	Quote Data and Yield Notes
IFC.PR.G	FixedReset Ins Non	Quote: 25.25 – 26.69 Spot Rate : 1.4400 Average : 0.8346 YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2051-07-08 Maturity Price : 23.68 Evaluated at bid price : 25.25 Bid-YTW : 3.54 %
TRP.PR.D	FixedReset Disc	Quote: 20.52 – 21.00 Spot Rate : 0.4800 Average : 0.3165 YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2051-07-08 Maturity Price : 20.52 Evaluated at bid price : 20.52 Bid-YTW : 4.21 %
TRP.PR.C	FixedReset Disc	Quote: 14.61 – 15.24 Spot Rate : 0.6300 Average : 0.4707 YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2051-07-08 Maturity Price : 14.61 Evaluated at bid price : 14.61 Bid-YTW : 4.12 %
IFC.PR.E	Insurance Straight	Quote: 26.03 – 26.71 Spot Rate : 0.6800 Average : 0.5518 YTW SCENARIO Maturity Type : Call Maturity Date : 2025-06-30 Maturity Price : 25.25 Evaluated at bid price : 26.03 Bid-YTW : 4.36 %
TRP.PR.E	FixedReset Disc	Quote: 20.32 – 20.70 Spot Rate : 0.3800 Average : 0.2541 YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2051-07-08 Maturity Price : 20.32 Evaluated at bid price : 20.32 Bid-YTW : 4.21 %
IFC.PR.I	Perpetual-Premium	Quote: 26.60 – 27.45 Spot Rate : 0.8500 Average : 0.7290 YTW SCENARIO Maturity Type : Call Maturity Date : 2029-03-31 Maturity Price : 25.00 Evaluated at bid price : 26.60 Bid-YTW : 4.46 %

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July 7, 2021

Wednesday, July 7th, 2021

PerpetualDiscounts now yield 4.63%, equivalent to 6.02% interest at the standard equivalency factor of 1.3x. Long corporates now yield 3.21%, so the pre-tax interest-equivalent spread (in this context, the “Seniority Spread”) is narrower at 281bp than the 315bp reported March 17.

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	-0.3762 %	2,681.4
FixedFloater	0.00 %	0.00 %	0	0.00	0	-0.3762 %	4,920.2
Floater	3.24 %	3.26 %	97,724	19.12	3	-0.3762 %	2,835.6
OpRet	0.00 %	0.00 %	0	0.00	0	0.0902 %	3,695.6
SplitShare	4.63 %	3.82 %	42,673	3.37	6	0.0902 %	4,413.4
Interest-Bearing	0.00 %	0.00 %	0	0.00	0	0.0902 %	3,443.5
Perpetual-Premium	5.12 %	-7.79 %	62,727	0.09	30	0.1714 %	3,304.7
Perpetual-Discount	4.63 %	4.68 %	47,543	16.03	4	0.0808 %	3,936.7
FixedReset Disc	4.04 %	3.74 %	133,742	17.85	40	0.1972 %	2,782.5
Insurance Straight	4.89 %	-1.62 %	80,550	0.09	22	0.1570 %	3,722.0
FloatingReset	2.79 %	3.04 %	36,173	19.66	2	0.3096 %	2,609.8
FixedReset Prem	4.81 %	2.66 %	183,008	1.43	33	0.2095 %	2,764.7
FixedReset Bank Non	1.80 %	1.90 %	91,434	0.13	1	0.0799 %	2,897.8
FixedReset Ins Non	4.05 %	3.59 %	121,326	17.91	20	0.3976 %	2,942.0

Performance Highlights
Issue	Index	Change	Notes
TRP.PR.G	FixedReset Disc	-3.13 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2051-07-07 Maturity Price : 22.45 Evaluated at bid price : 23.25 Bid-YTW : 4.09 %
CU.PR.E	Perpetual-Premium	-1.77 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2051-07-07 Maturity Price : 24.72 Evaluated at bid price : 25.00 Bid-YTW : 4.94 %
RY.PR.J	FixedReset Disc	-1.64 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2051-07-07 Maturity Price : 22.87 Evaluated at bid price : 24.00 Bid-YTW : 3.74 %
SLF.PR.G	FixedReset Ins Non	-1.30 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2051-07-07 Maturity Price : 15.90 Evaluated at bid price : 15.90 Bid-YTW : 3.63 %
IFC.PR.I	Perpetual-Premium	-1.30 %	YTW SCENARIO Maturity Type : Call Maturity Date : 2029-03-31 Maturity Price : 25.00 Evaluated at bid price : 26.50 Bid-YTW : 4.52 %
BIP.PR.A	FixedReset Disc	-1.07 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2051-07-07 Maturity Price : 21.80 Evaluated at bid price : 22.16 Bid-YTW : 5.01 %
PWF.PR.T	FixedReset Disc	1.06 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2051-07-07 Maturity Price : 23.00 Evaluated at bid price : 23.92 Bid-YTW : 3.62 %
TRP.PR.B	FixedReset Disc	1.12 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2051-07-07 Maturity Price : 13.55 Evaluated at bid price : 13.55 Bid-YTW : 4.02 %
MFC.PR.H	FixedReset Ins Non	1.19 %	YTW SCENARIO Maturity Type : Call Maturity Date : 2022-03-19 Maturity Price : 25.00 Evaluated at bid price : 25.60 Bid-YTW : 1.16 %
GWO.PR.N	FixedReset Ins Non	1.27 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2051-07-07 Maturity Price : 16.00 Evaluated at bid price : 16.00 Bid-YTW : 3.42 %
TRP.PR.A	FixedReset Disc	1.34 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2051-07-07 Maturity Price : 18.97 Evaluated at bid price : 18.97 Bid-YTW : 4.01 %
MFC.PR.F	FixedReset Ins Non	2.84 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2051-07-07 Maturity Price : 17.75 Evaluated at bid price : 17.75 Bid-YTW : 3.42 %
CU.PR.H	Perpetual-Premium	3.72 %	YTW SCENARIO Maturity Type : Call Maturity Date : 2021-09-01 Maturity Price : 25.75 Evaluated at bid price : 25.93 Bid-YTW : 3.81 %
BAM.PR.X	FixedReset Disc	13.12 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2051-07-07 Maturity Price : 17.33 Evaluated at bid price : 17.33 Bid-YTW : 4.06 %

Volume Highlights
Issue	Index	Shares Traded	Notes
CU.PR.C	FixedReset Disc	167,213	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2051-07-07 Maturity Price : 21.48 Evaluated at bid price : 21.82 Bid-YTW : 3.91 %
CIU.PR.A	Perpetual-Discount	72,258	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2051-07-07 Maturity Price : 24.54 Evaluated at bid price : 24.79 Bid-YTW : 4.68 %
PWF.PR.P	FixedReset Disc	50,984	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2051-07-07 Maturity Price : 16.37 Evaluated at bid price : 16.37 Bid-YTW : 3.81 %
TRP.PR.D	FixedReset Disc	44,362	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2051-07-07 Maturity Price : 20.86 Evaluated at bid price : 20.86 Bid-YTW : 4.14 %
TRP.PR.E	FixedReset Disc	40,588	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2051-07-07 Maturity Price : 20.67 Evaluated at bid price : 20.67 Bid-YTW : 4.14 %
BAM.PF.E	FixedReset Disc	39,072	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2051-07-07 Maturity Price : 21.29 Evaluated at bid price : 21.29 Bid-YTW : 4.20 %
There were 23 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: 26.50 – 27.45 Spot Rate : 0.9500 Average : 0.5963 YTW SCENARIO Maturity Type : Call Maturity Date : 2029-03-31 Maturity Price : 25.00 Evaluated at bid price : 26.50 Bid-YTW : 4.52 %
BIP.PR.B	FixedReset Prem	Quote: 26.86 – 27.86 Spot Rate : 1.0000 Average : 0.7353 YTW SCENARIO Maturity Type : Call Maturity Date : 2025-12-31 Maturity Price : 25.00 Evaluated at bid price : 26.86 Bid-YTW : 3.73 %
TRP.PR.G	FixedReset Disc	Quote: 23.25 – 24.06 Spot Rate : 0.8100 Average : 0.5626 YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2051-07-07 Maturity Price : 22.45 Evaluated at bid price : 23.25 Bid-YTW : 4.09 %
RY.PR.J	FixedReset Disc	Quote: 24.00 – 24.60 Spot Rate : 0.6000 Average : 0.3932 YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2051-07-07 Maturity Price : 22.87 Evaluated at bid price : 24.00 Bid-YTW : 3.74 %
CU.PR.E	Perpetual-Premium	Quote: 25.00 – 25.45 Spot Rate : 0.4500 Average : 0.3074 YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2051-07-07 Maturity Price : 24.72 Evaluated at bid price : 25.00 Bid-YTW : 4.94 %
TD.PF.J	FixedReset Prem	Quote: 25.40 – 25.80 Spot Rate : 0.4000 Average : 0.2747 YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2051-07-07 Maturity Price : 23.77 Evaluated at bid price : 25.40 Bid-YTW : 3.67 %

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Performance Highlights
Issue	Index	Change	Notes
SLF.PR.H	FixedReset Ins Non	-4.25 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2051-07-16 Maturity Price : 21.98 Evaluated at bid price : 22.52 Bid-YTW : 3.42 %
TD.PF.B	FixedReset Disc	-2.23 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2051-07-16 Maturity Price : 22.59 Evaluated at bid price : 23.27 Bid-YTW : 3.46 %
BMO.PR.Y	FixedReset Disc	-1.94 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2051-07-16 Maturity Price : 22.71 Evaluated at bid price : 23.70 Bid-YTW : 3.68 %
NA.PR.C	FixedReset Prem	-1.92 %	YTW SCENARIO Maturity Type : Call Maturity Date : 2022-11-15 Maturity Price : 25.00 Evaluated at bid price : 25.01 Bid-YTW : 4.16 %
BIP.PR.B	FixedReset Prem	-1.91 %	YTW SCENARIO Maturity Type : Call Maturity Date : 2025-12-31 Maturity Price : 25.00 Evaluated at bid price : 26.70 Bid-YTW : 3.91 %
BMO.PR.F	FixedReset Prem	-1.78 %	YTW SCENARIO Maturity Type : Call Maturity Date : 2024-05-25 Maturity Price : 25.00 Evaluated at bid price : 26.00 Bid-YTW : 3.90 %
IFC.PR.A	FixedReset Ins Non	-1.67 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2051-07-16 Maturity Price : 21.20 Evaluated at bid price : 21.20 Bid-YTW : 3.21 %
NA.PR.S	FixedReset Disc	-1.66 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2051-07-16 Maturity Price : 22.88 Evaluated at bid price : 23.75 Bid-YTW : 3.53 %
MFC.PR.N	FixedReset Ins Non	-1.60 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2051-07-16 Maturity Price : 22.25 Evaluated at bid price : 22.80 Bid-YTW : 3.62 %
TD.PF.M	FixedReset Prem	-1.52 %	YTW SCENARIO Maturity Type : Call Maturity Date : 2024-07-31 Maturity Price : 25.00 Evaluated at bid price : 25.85 Bid-YTW : 3.85 %
TRP.PR.A	FixedReset Disc	-1.39 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2051-07-16 Maturity Price : 18.42 Evaluated at bid price : 18.42 Bid-YTW : 4.06 %
IFC.PR.I	Perpetual-Premium	-1.38 %	YTW SCENARIO Maturity Type : Call Maturity Date : 2029-03-31 Maturity Price : 25.00 Evaluated at bid price : 26.53 Bid-YTW : 4.52 %
TRP.PR.C	FixedReset Disc	-1.32 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2051-07-16 Maturity Price : 15.00 Evaluated at bid price : 15.00 Bid-YTW : 3.93 %
GWO.PR.P	Insurance Straight	-1.17 %	YTW SCENARIO Maturity Type : Call Maturity Date : 2021-08-15 Maturity Price : 25.00 Evaluated at bid price : 25.40 Bid-YTW : -10.77 %
RY.PR.N	Perpetual-Premium	-1.14 %	YTW SCENARIO Maturity Type : Call Maturity Date : 2022-11-24 Maturity Price : 25.50 Evaluated at bid price : 26.00 Bid-YTW : 3.86 %
SLF.PR.D	Insurance Straight	-1.12 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2051-07-16 Maturity Price : 24.55 Evaluated at bid price : 24.80 Bid-YTW : 4.51 %
MFC.PR.L	FixedReset Ins Non	-1.09 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2051-07-16 Maturity Price : 22.29 Evaluated at bid price : 22.75 Bid-YTW : 3.49 %
CU.PR.H	Perpetual-Premium	-1.08 %	YTW SCENARIO Maturity Type : Call Maturity Date : 2023-09-01 Maturity Price : 25.25 Evaluated at bid price : 25.62 Bid-YTW : 4.82 %
BAM.PF.B	FixedReset Disc	-1.06 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2051-07-16 Maturity Price : 22.07 Evaluated at bid price : 22.40 Bid-YTW : 4.13 %
CM.PR.P	FixedReset Disc	1.01 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2051-07-16 Maturity Price : 22.95 Evaluated at bid price : 24.10 Bid-YTW : 3.34 %
BAM.PR.B	Floater	2.41 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2051-07-16 Maturity Price : 13.62 Evaluated at bid price : 13.62 Bid-YTW : 3.16 %

Volume Highlights
Issue	Index	Shares Traded	Notes
PWF.PR.P	FixedReset Disc	296,725	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2051-07-16 Maturity Price : 17.01 Evaluated at bid price : 17.01 Bid-YTW : 3.56 %
BAM.PR.B	Floater	294,834	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2051-07-16 Maturity Price : 13.62 Evaluated at bid price : 13.62 Bid-YTW : 3.16 %
TRP.PR.G	FixedReset Disc	250,691	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2051-07-16 Maturity Price : 22.74 Evaluated at bid price : 23.82 Bid-YTW : 3.92 %
BAM.PR.K	Floater	250,080	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2051-07-16 Maturity Price : 13.30 Evaluated at bid price : 13.30 Bid-YTW : 3.24 %
CU.PR.H	Perpetual-Premium	134,597	YTW SCENARIO Maturity Type : Call Maturity Date : 2023-09-01 Maturity Price : 25.25 Evaluated at bid price : 25.62 Bid-YTW : 4.82 %
TD.PF.K	FixedReset Disc	112,171	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2051-07-16 Maturity Price : 23.51 Evaluated at bid price : 24.99 Bid-YTW : 3.55 %
MFC.PR.J	FixedReset Ins Non	111,706	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2051-07-16 Maturity Price : 23.62 Evaluated at bid price : 24.85 Bid-YTW : 3.60 %
CM.PR.P	FixedReset Disc	102,901	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2051-07-16 Maturity Price : 22.95 Evaluated at bid price : 24.10 Bid-YTW : 3.34 %
There were 109 other index-included issues trading in excess of 10,000 shares.

Volume Highlights
Issue	Index	Shares Traded	Notes
RY.PR.H	FixedReset Disc	152,110	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2051-07-15 Maturity Price : 22.89 Evaluated at bid price : 23.86 Bid-YTW : 3.38 %
NA.PR.A	FixedReset Prem	107,000	YTW SCENARIO Maturity Type : Call Maturity Date : 2021-08-15 Maturity Price : 25.00 Evaluated at bid price : 24.97 Bid-YTW : 1.42 %
TRP.PR.E	FixedReset Disc	84,900	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2051-07-15 Maturity Price : 20.71 Evaluated at bid price : 20.71 Bid-YTW : 4.07 %
BNS.PR.G	FixedReset Prem	83,000	YTW SCENARIO Maturity Type : Call Maturity Date : 2021-08-24 Maturity Price : 25.00 Evaluated at bid price : 24.99 Bid-YTW : 4.25 %
BMO.PR.S	FixedReset Disc	77,970	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2051-07-15 Maturity Price : 23.02 Evaluated at bid price : 24.05 Bid-YTW : 3.43 %
BAM.PR.T	FixedReset Disc	73,100	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2051-07-15 Maturity Price : 19.44 Evaluated at bid price : 19.44 Bid-YTW : 4.21 %
There were 17 other index-included issues trading in excess of 10,000 shares.

Performance Highlights
Issue	Index	Change	Notes
GWO.PR.N	FixedReset Ins Non	-1.95 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2051-07-14 Maturity Price : 15.56 Evaluated at bid price : 15.56 Bid-YTW : 3.43 %
BAM.PR.B	Floater	1.21 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2051-07-14 Maturity Price : 13.42 Evaluated at bid price : 13.42 Bid-YTW : 3.21 %
GWO.PR.S	Insurance Straight	1.53 %	YTW SCENARIO Maturity Type : Call Maturity Date : 2021-08-13 Maturity Price : 25.50 Evaluated at bid price : 26.60 Bid-YTW : -39.41 %
TRP.PR.G	FixedReset Disc	1.72 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2051-07-14 Maturity Price : 22.66 Evaluated at bid price : 23.65 Bid-YTW : 3.95 %
BIP.PR.A	FixedReset Disc	3.31 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2051-07-14 Maturity Price : 22.57 Evaluated at bid price : 23.40 Bid-YTW : 4.66 %
BAM.PR.K	Floater	5.53 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2051-07-14 Maturity Price : 13.35 Evaluated at bid price : 13.35 Bid-YTW : 3.23 %

Volume Highlights
Issue	Index	Shares Traded	Notes
PWF.PR.P	FixedReset Disc	95,765	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2051-07-14 Maturity Price : 17.10 Evaluated at bid price : 17.10 Bid-YTW : 3.54 %
SLF.PR.D	Insurance Straight	52,547	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2051-07-14 Maturity Price : 24.68 Evaluated at bid price : 25.00 Bid-YTW : 4.46 %
BMO.PR.S	FixedReset Disc	38,265	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2051-07-14 Maturity Price : 22.99 Evaluated at bid price : 24.00 Bid-YTW : 3.44 %
TD.PF.B	FixedReset Disc	32,338	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2051-07-14 Maturity Price : 22.83 Evaluated at bid price : 23.71 Bid-YTW : 3.38 %
RY.PR.J	FixedReset Disc	31,634	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2051-07-14 Maturity Price : 22.96 Evaluated at bid price : 24.20 Bid-YTW : 3.65 %
GWO.PR.N	FixedReset Ins Non	31,300	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2051-07-14 Maturity Price : 15.56 Evaluated at bid price : 15.56 Bid-YTW : 3.43 %
There were 17 other index-included issues trading in excess of 10,000 shares.

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