September 14, 2021

September 15th, 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 -1.6311 % 2,524.1
FixedFloater 0.00 % 0.00 % 0 0.00 0 -1.6311 % 4,631.6
Floater 3.44 % 3.40 % 55,539 18.78 3 -1.6311 % 2,669.2
OpRet 0.00 % 0.00 % 0 0.00 0 0.1644 % 3,702.2
SplitShare 4.63 % 3.74 % 34,714 3.74 6 0.1644 % 4,421.3
Interest-Bearing 0.00 % 0.00 % 0 0.00 0 0.1644 % 3,449.6
Perpetual-Premium 5.03 % -13.44 % 56,637 0.09 31 -0.1691 % 3,324.0
Perpetual-Discount 4.67 % -16.84 % 71,363 0.09 1 -0.9743 % 4,000.3
FixedReset Disc 4.00 % 3.43 % 103,252 17.94 42 -0.0296 % 2,842.9
Insurance Straight 4.87 % -11.62 % 84,367 0.09 21 -0.3000 % 3,738.1
FloatingReset 3.01 % 3.01 % 28,648 19.72 1 2.4096 % 2,644.6
FixedReset Prem 4.67 % 3.15 % 136,305 2.44 33 -0.1246 % 2,760.7
FixedReset Bank Non 0.00 % 0.00 % 0 0.00 0 -0.0296 % 2,906.0
FixedReset Ins Non 4.05 % 3.30 % 103,401 18.35 20 0.1464 % 2,944.8
Performance Highlights
Issue Index Change Notes
BAM.PR.K Floater -1.73 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-09-14
Maturity Price : 12.19
Evaluated at bid price : 12.19
Bid-YTW : 3.51 %
MFC.PR.C Insurance Straight -1.64 % YTW SCENARIO
Maturity Type : Call
Maturity Date : 2021-10-14
Maturity Price : 25.00
Evaluated at bid price : 25.15
Bid-YTW : -3.51 %
CU.PR.I FixedReset Prem -1.08 % YTW SCENARIO
Maturity Type : Call
Maturity Date : 2025-12-01
Maturity Price : 25.00
Evaluated at bid price : 26.51
Bid-YTW : 3.02 %
PWF.PR.P FixedReset Disc -1.05 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-09-14
Maturity Price : 17.00
Evaluated at bid price : 17.00
Bid-YTW : 3.48 %
SLF.PR.H FixedReset Ins Non 1.04 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-09-14
Maturity Price : 22.42
Evaluated at bid price : 23.26
Bid-YTW : 3.16 %
BAM.PF.J FixedReset Prem 1.18 % YTW SCENARIO
Maturity Type : Call
Maturity Date : 2022-12-31
Maturity Price : 25.00
Evaluated at bid price : 25.70
Bid-YTW : 2.40 %
MFC.PR.F FixedReset Ins Non 1.46 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-09-14
Maturity Price : 17.40
Evaluated at bid price : 17.40
Bid-YTW : 3.26 %
TRP.PR.F FloatingReset 2.41 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-09-14
Maturity Price : 17.00
Evaluated at bid price : 17.00
Bid-YTW : 3.01 %
SLF.PR.G FixedReset Ins Non 2.45 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-09-14
Maturity Price : 16.70
Evaluated at bid price : 16.70
Bid-YTW : 3.25 %
CU.PR.C FixedReset Disc 3.00 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-09-14
Maturity Price : 21.85
Evaluated at bid price : 22.35
Bid-YTW : 3.60 %
Volume Highlights
Issue Index Shares
Traded
Notes
BAM.PR.R FixedReset Disc 83,200 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-09-14
Maturity Price : 20.10
Evaluated at bid price : 20.10
Bid-YTW : 3.93 %
GWO.PR.N FixedReset Ins Non 72,200 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-09-14
Maturity Price : 15.30
Evaluated at bid price : 15.30
Bid-YTW : 3.35 %
MFC.PR.F FixedReset Ins Non 54,775 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-09-14
Maturity Price : 17.40
Evaluated at bid price : 17.40
Bid-YTW : 3.26 %
RY.PR.H FixedReset Disc 37,157 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-09-14
Maturity Price : 23.07
Evaluated at bid price : 24.18
Bid-YTW : 3.20 %
BMO.PR.S FixedReset Disc 32,614 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-09-14
Maturity Price : 23.18
Evaluated at bid price : 24.35
Bid-YTW : 3.26 %
SLF.PR.G FixedReset Ins Non 28,000 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-09-14
Maturity Price : 16.70
Evaluated at bid price : 16.70
Bid-YTW : 3.25 %
There were 15 other index-included issues trading in excess of 10,000 shares.
Wide Spread Highlights
Issue Index Quote Data and Yield Notes
BAM.PR.X FixedReset Disc Quote: 17.07 – 17.80
Spot Rate : 0.7300
Average : 0.5096

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-09-14
Maturity Price : 17.07
Evaluated at bid price : 17.07
Bid-YTW : 3.87 %

TD.PF.B FixedReset Disc Quote: 24.01 – 24.45
Spot Rate : 0.4400
Average : 0.2767

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-09-14
Maturity Price : 23.00
Evaluated at bid price : 24.01
Bid-YTW : 3.26 %

BAM.PR.K Floater Quote: 12.19 – 12.77
Spot Rate : 0.5800
Average : 0.4369

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-09-14
Maturity Price : 12.19
Evaluated at bid price : 12.19
Bid-YTW : 3.51 %

BAM.PR.M Perpetual-Premium Quote: 25.38 – 25.89
Spot Rate : 0.5100
Average : 0.3681

YTW SCENARIO
Maturity Type : Call
Maturity Date : 2021-10-14
Maturity Price : 25.00
Evaluated at bid price : 25.38
Bid-YTW : -15.52 %

BIP.PR.F FixedReset Prem Quote: 25.70 – 26.11
Spot Rate : 0.4100
Average : 0.2701

YTW SCENARIO
Maturity Type : Call
Maturity Date : 2023-12-31
Maturity Price : 25.00
Evaluated at bid price : 25.70
Bid-YTW : 3.74 %

BAM.PR.T FixedReset Disc Quote: 20.02 – 20.80
Spot Rate : 0.7800
Average : 0.6407

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-09-14
Maturity Price : 20.02
Evaluated at bid price : 20.02
Bid-YTW : 3.94 %

September 13, 2021

September 13th, 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 0.1845 % 2,566.0
FixedFloater 0.00 % 0.00 % 0 0.00 0 0.1845 % 4,708.4
Floater 3.38 % 3.41 % 56,471 18.63 3 0.1845 % 2,713.5
OpRet 0.00 % 0.00 % 0 0.00 0 0.0443 % 3,696.2
SplitShare 4.58 % 3.56 % 32,627 3.22 7 0.0443 % 4,414.0
Interest-Bearing 0.00 % 0.00 % 0 0.00 0 0.0443 % 3,444.0
Perpetual-Premium 5.12 % -18.62 % 53,579 0.09 25 0.0261 % 3,329.7
Perpetual-Discount 4.61 % -4.20 % 72,416 0.08 8 -0.0883 % 4,039.6
FixedReset Disc 3.95 % 3.39 % 122,207 18.22 40 0.1205 % 2,843.7
Insurance Straight 4.85 % -16.81 % 80,599 0.09 22 0.1416 % 3,749.4
FloatingReset 2.80 % 3.08 % 28,131 19.54 2 -0.0312 % 2,582.4
FixedReset Prem 4.75 % 2.95 % 137,240 2.17 30 0.0116 % 2,764.2
FixedReset Bank Non 0.00 % 0.00 % 0 0.00 0 0.1205 % 2,906.8
FixedReset Ins Non 4.05 % 3.31 % 103,770 18.27 20 -0.3198 % 2,940.5
Performance Highlights
Issue Index Change Notes
SLF.PR.G FixedReset Ins Non -2.98 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-09-13
Maturity Price : 16.30
Evaluated at bid price : 16.30
Bid-YTW : 3.33 %
MFC.PR.F FixedReset Ins Non -2.67 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-09-13
Maturity Price : 17.15
Evaluated at bid price : 17.15
Bid-YTW : 3.31 %
GWO.PR.N FixedReset Ins Non -2.23 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-09-13
Maturity Price : 15.35
Evaluated at bid price : 15.35
Bid-YTW : 3.34 %
BAM.PF.E FixedReset Disc 2.87 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-09-13
Maturity Price : 21.61
Evaluated at bid price : 21.86
Bid-YTW : 3.95 %
Volume Highlights
Issue Index Shares
Traded
Notes
GWO.PR.N FixedReset Ins Non 125,500 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-09-13
Maturity Price : 15.35
Evaluated at bid price : 15.35
Bid-YTW : 3.34 %
BMO.PR.W FixedReset Disc 100,235 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-09-13
Maturity Price : 23.05
Evaluated at bid price : 24.22
Bid-YTW : 3.20 %
SLF.PR.G FixedReset Ins Non 76,830 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-09-13
Maturity Price : 16.30
Evaluated at bid price : 16.30
Bid-YTW : 3.33 %
MFC.PR.F FixedReset Ins Non 64,600 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-09-13
Maturity Price : 17.15
Evaluated at bid price : 17.15
Bid-YTW : 3.31 %
BIP.PR.F FixedReset Prem 53,800 YTW SCENARIO
Maturity Type : Call
Maturity Date : 2023-12-31
Maturity Price : 25.00
Evaluated at bid price : 25.70
Bid-YTW : 3.74 %
RY.PR.Z FixedReset Disc 41,700 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-09-13
Maturity Price : 23.09
Evaluated at bid price : 24.15
Bid-YTW : 3.17 %
There were 9 other index-included issues trading in excess of 10,000 shares.
Wide Spread Highlights
Issue Index Quote Data and Yield Notes
CU.PR.C FixedReset Disc Quote: 21.70 – 22.95
Spot Rate : 1.2500
Average : 1.0205

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-09-13
Maturity Price : 21.40
Evaluated at bid price : 21.70
Bid-YTW : 3.73 %

SLF.PR.H FixedReset Ins Non Quote: 23.02 – 23.45
Spot Rate : 0.4300
Average : 0.2797

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-09-13
Maturity Price : 22.29
Evaluated at bid price : 23.02
Bid-YTW : 3.20 %

SLF.PR.G FixedReset Ins Non Quote: 16.30 – 16.80
Spot Rate : 0.5000
Average : 0.3535

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-09-13
Maturity Price : 16.30
Evaluated at bid price : 16.30
Bid-YTW : 3.33 %

GWO.PR.Q Insurance Straight Quote: 25.52 – 25.90
Spot Rate : 0.3800
Average : 0.2630

YTW SCENARIO
Maturity Type : Call
Maturity Date : 2021-10-30
Maturity Price : 25.00
Evaluated at bid price : 25.52
Bid-YTW : -12.32 %

RY.PR.P Perpetual-Premium Quote: 27.03 – 27.49
Spot Rate : 0.4600
Average : 0.3598

YTW SCENARIO
Maturity Type : Call
Maturity Date : 2021-10-13
Maturity Price : 26.00
Evaluated at bid price : 27.03
Bid-YTW : -35.36 %

BAM.PR.T FixedReset Disc Quote: 20.23 – 20.80
Spot Rate : 0.5700
Average : 0.4879

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-09-13
Maturity Price : 20.23
Evaluated at bid price : 20.23
Bid-YTW : 3.96 %

September PrefLetter Released!

September 13th, 2021

The September, 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 September 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 September, 2021, issue, while the “Next Edition” will be the October, 2021, issue, scheduled to be prepared as of the close October 8, 2021, and eMailed to subscribers prior to market-opening on October 12.

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?).

MAPF Performance : August, 2021

September 12th, 2021

Malachite Aggressive Preferred Fund’s Net Asset Value per Unit as of the close August 31, 2021, was $10.6684.

Returns to August 31, 2021
Period MAPF TXPR*
Total Return
CPD – according to Blackrock
One Month +2.37% +1.06% +1.02%
Three Months +5.15% +1.64% +1.52%
One Year +49.35% +25.15% +24.37%
Two Years (annualized) +25.33% +15.20% N/A
Three Years (annualized) +6.47% +4.69% +4.04%
Four Years (annualized) +7.72% +5.23% N/A
Five Years (annualized) +10.93% +7.08% +6.52%
Six Years (annualized) +9.26% +6.32% N/A
Seven Years (annualized) +5.19% +2.90% N/A
Eight Years (annualized) +5.94% +3.36% N/A
Nine Years (annualized) +5.14% +2.86% N/A
Ten Years (annualized) +5.05% +3.10% +2.60%
Eleven Years (annualized) +5.90% +3.57%  
Twelve Years (annualized) +6.19% +3.77%  
Thirteen Years (annualized) +9.52% +3.98%  
Fourteen Years (annualized) +8.71% +3.20%  
Fifteen Years (annualized) +8.34%    
Sixteen Years (annualized) +8.19%    
Seventeen Years (annualized) +8.09%    
Eighteen Years (annualized) +8.62%    
Nineteen Years (annualized) +9.11%    
Twenty Years (annualized) +9.02%    
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 +1.14%, +2.09% and +31.16%, respectively, according to Globe & Mail / Fundata after all fees & expenses. Three year performance is +6.98%; five year is +8.03%; ten year is +4.18%

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 +1.00%, +1.76% & +31.66%, respectively. Three year performance is +4.70%, five-year is +7.60%
Figures for National Bank Preferred Equity Fund (formerly Altamira Preferred Equity Fund) are +0.96%, +1.72% and +31.88% for one-, three- and twelve months, respectively. Three year performance is +4.97%; five-year is +7.87%.

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 +30.56% for the past twelve months. Two year performance is +17.33%, three year is +4.63%, five year is +7.89%.
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 +0.98%, +1.27% and +22.64% for the past one-, three- and twelve-months, respectively. Two year performance is +14.20%; three year is +1.86%; five-year is +4.10%.
Figures for PowerShares Canadian Preferred Share Index Class, Series F (PPS) are +27.42% for the past twelve months. The three-year figure is +4.12%; five years is +7.48%; ten-year is +2.74%
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 +1.05%, +2.04% and +37.67% for the past one, three and twelve months, respectively. Three year performance is +3.34%, five-year is +6.13%.
Figures for the Desjardins Canadian Preferred Share Fund A Class (A Class), as reported by the company are +1.08%, +1.69% and +25.12% for the past one, three and twelve months, respectively. Two year performance is +14.45%, three-year is +2.89%, five-year is +5.62%
Figures for the RBC Canadian Preferred Share ETF (RPF) as reported by Morningstar are +1.07%, +2.04% and +31.09% for the past one, three and twelve months, respectively. Three-year performance is +4.12%
Figures for the Dynamic Active Preferred Shares ETF (DXP) are +1.2%, +2.2% and +35.3% 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 10.3712 3.92% 0.985 3.980% 1.0000 $0.4127
August, 2021 10.6684 3.69% 0.972 3.796% 1.0000 $0.4050
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 0.93% 0.13%
August, 2021 0.81% 0.17%

September 10, 2021

September 11th, 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 1.5525 % 2,561.2
FixedFloater 0.00 % 0.00 % 0 0.00 0 1.5525 % 4,699.7
Floater 3.39 % 3.43 % 58,570 18.60 3 1.5525 % 2,708.5
OpRet 0.00 % 0.00 % 0 0.00 0 -0.0387 % 3,694.5
SplitShare 4.59 % 3.57 % 32,168 3.23 7 -0.0387 % 4,412.0
Interest-Bearing 0.00 % 0.00 % 0 0.00 0 -0.0387 % 3,442.5
Perpetual-Premium 5.12 % -19.52 % 54,402 0.09 25 0.0369 % 3,328.8
Perpetual-Discount 4.61 % -8.04 % 75,355 0.08 8 0.0834 % 4,043.2
FixedReset Disc 3.95 % 3.40 % 120,964 18.23 40 0.1745 % 2,840.3
Insurance Straight 4.86 % -12.61 % 83,730 0.09 22 0.1117 % 3,744.1
FloatingReset 2.80 % 3.08 % 28,283 19.55 2 0.2188 % 2,583.2
FixedReset Prem 4.75 % 2.86 % 139,370 2.18 30 0.0193 % 2,763.9
FixedReset Bank Non 0.00 % 0.00 % 0 0.00 0 0.1745 % 2,903.3
FixedReset Ins Non 4.04 % 3.27 % 105,269 18.27 20 -0.1265 % 2,950.0
Performance Highlights
Issue Index Change Notes
CU.PR.C FixedReset Disc -3.13 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-09-10
Maturity Price : 21.40
Evaluated at bid price : 21.70
Bid-YTW : 3.72 %
BAM.PR.X FixedReset Disc -1.93 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-09-10
Maturity Price : 17.26
Evaluated at bid price : 17.26
Bid-YTW : 3.88 %
MFC.PR.M FixedReset Ins Non -1.03 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-09-10
Maturity Price : 22.96
Evaluated at bid price : 24.05
Bid-YTW : 3.34 %
TRP.PR.A FixedReset Disc 1.05 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-09-10
Maturity Price : 18.23
Evaluated at bid price : 18.23
Bid-YTW : 3.96 %
TRP.PR.E FixedReset Disc 1.07 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-09-10
Maturity Price : 20.74
Evaluated at bid price : 20.74
Bid-YTW : 3.99 %
BAM.PR.B Floater 1.44 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-09-10
Maturity Price : 12.69
Evaluated at bid price : 12.69
Bid-YTW : 3.42 %
RY.PR.M FixedReset Disc 1.65 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-09-10
Maturity Price : 23.08
Evaluated at bid price : 24.60
Bid-YTW : 3.32 %
BAM.PR.K Floater 2.76 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-09-10
Maturity Price : 12.64
Evaluated at bid price : 12.64
Bid-YTW : 3.43 %
Volume Highlights
Issue Index Shares
Traded
Notes
CM.PR.Y FixedReset Prem 34,300 YTW SCENARIO
Maturity Type : Call
Maturity Date : 2024-07-31
Maturity Price : 25.00
Evaluated at bid price : 26.60
Bid-YTW : 3.06 %
PWF.PR.I Perpetual-Premium 32,900 YTW SCENARIO
Maturity Type : Call
Maturity Date : 2021-10-10
Maturity Price : 25.00
Evaluated at bid price : 25.92
Bid-YTW : -27.76 %
CM.PR.S FixedReset Disc 25,000 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-09-10
Maturity Price : 23.80
Evaluated at bid price : 25.08
Bid-YTW : 3.30 %
SLF.PR.I FixedReset Ins Non 23,300 YTW SCENARIO
Maturity Type : Call
Maturity Date : 2021-12-31
Maturity Price : 25.00
Evaluated at bid price : 25.01
Bid-YTW : 3.01 %
BMO.PR.F FixedReset Prem 22,800 YTW SCENARIO
Maturity Type : Call
Maturity Date : 2024-05-25
Maturity Price : 25.00
Evaluated at bid price : 26.90
Bid-YTW : 2.28 %
PWF.PR.P FixedReset Disc 20,500 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-09-10
Maturity Price : 17.10
Evaluated at bid price : 17.10
Bid-YTW : 3.45 %
There were 11 other index-included issues trading in excess of 10,000 shares.
Wide Spread Highlights
Issue Index Quote Data and Yield Notes
SLF.PR.E Insurance Straight Quote: 25.21 – 26.21
Spot Rate : 1.0000
Average : 0.6582

YTW SCENARIO
Maturity Type : Call
Maturity Date : 2021-10-10
Maturity Price : 25.00
Evaluated at bid price : 25.21
Bid-YTW : -8.50 %

CU.PR.C FixedReset Disc Quote: 21.70 – 22.75
Spot Rate : 1.0500
Average : 0.7688

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-09-10
Maturity Price : 21.40
Evaluated at bid price : 21.70
Bid-YTW : 3.72 %

BAM.PR.Z FixedReset Disc Quote: 24.45 – 25.00
Spot Rate : 0.5500
Average : 0.3674

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-09-10
Maturity Price : 24.05
Evaluated at bid price : 24.45
Bid-YTW : 3.99 %

BAM.PF.D Perpetual-Discount Quote: 25.85 – 26.40
Spot Rate : 0.5500
Average : 0.3821

YTW SCENARIO
Maturity Type : Call
Maturity Date : 2021-10-30
Maturity Price : 25.25
Evaluated at bid price : 25.85
Bid-YTW : -5.44 %

TD.PF.E FixedReset Disc Quote: 25.10 – 25.50
Spot Rate : 0.4000
Average : 0.2762

YTW SCENARIO
Maturity Type : Call
Maturity Date : 2025-10-31
Maturity Price : 25.00
Evaluated at bid price : 25.10
Bid-YTW : 3.24 %

PWF.PR.H Perpetual-Premium Quote: 25.96 – 26.37
Spot Rate : 0.4100
Average : 0.2962

YTW SCENARIO
Maturity Type : Call
Maturity Date : 2021-10-10
Maturity Price : 25.00
Evaluated at bid price : 25.96
Bid-YTW : -29.87 %

September 9, 2021

September 10th, 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 -0.7703 % 2,522.1
FixedFloater 0.00 % 0.00 % 0 0.00 0 -0.7703 % 4,627.9
Floater 3.44 % 3.46 % 59,454 18.52 3 -0.7703 % 2,667.1
OpRet 0.00 % 0.00 % 0 0.00 0 0.0332 % 3,696.0
SplitShare 4.58 % 3.61 % 29,785 3.23 7 0.0332 % 4,413.8
Interest-Bearing 0.00 % 0.00 % 0 0.00 0 0.0332 % 3,443.8
Perpetual-Premium 5.12 % -19.23 % 56,377 0.09 25 -0.0031 % 3,327.6
Perpetual-Discount 4.61 % -5.34 % 77,900 0.08 8 0.4190 % 4,039.8
FixedReset Disc 3.96 % 3.41 % 121,904 18.23 40 -0.2212 % 2,835.3
Insurance Straight 4.87 % -11.25 % 82,029 0.09 22 -0.0779 % 3,739.9
FloatingReset 2.84 % 3.13 % 29,440 19.43 2 0.3764 % 2,577.6
FixedReset Prem 4.75 % 2.87 % 139,765 2.18 30 -0.0361 % 2,763.3
FixedReset Bank Non 0.00 % 0.00 % 0 0.00 0 -0.2212 % 2,898.3
FixedReset Ins Non 4.04 % 3.28 % 106,188 18.32 20 0.2385 % 2,953.7
Performance Highlights
Issue Index Change Notes
BAM.PF.E FixedReset Disc -2.52 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-09-09
Maturity Price : 21.25
Evaluated at bid price : 21.25
Bid-YTW : 4.08 %
RY.PR.M FixedReset Disc -2.02 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-09-09
Maturity Price : 22.92
Evaluated at bid price : 24.20
Bid-YTW : 3.38 %
BAM.PR.K Floater -1.99 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-09-09
Maturity Price : 12.30
Evaluated at bid price : 12.30
Bid-YTW : 3.52 %
BIP.PR.A FixedReset Disc -1.53 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-09-09
Maturity Price : 22.81
Evaluated at bid price : 23.85
Bid-YTW : 4.45 %
IFC.PR.E Insurance Straight -1.52 % YTW SCENARIO
Maturity Type : Call
Maturity Date : 2022-06-30
Maturity Price : 26.00
Evaluated at bid price : 26.59
Bid-YTW : 3.39 %
BAM.PR.R FixedReset Disc -1.46 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-09-09
Maturity Price : 20.20
Evaluated at bid price : 20.20
Bid-YTW : 3.96 %
TRP.PR.G FixedReset Disc -1.26 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-09-09
Maturity Price : 22.60
Evaluated at bid price : 23.50
Bid-YTW : 3.88 %
IFC.PR.I Perpetual-Premium -1.00 % YTW SCENARIO
Maturity Type : Call
Maturity Date : 2025-03-31
Maturity Price : 26.00
Evaluated at bid price : 27.72
Bid-YTW : 3.53 %
MFC.PR.Q FixedReset Ins Non 1.00 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-09-09
Maturity Price : 23.74
Evaluated at bid price : 25.25
Bid-YTW : 3.34 %
CIU.PR.A Perpetual-Discount 1.08 % YTW SCENARIO
Maturity Type : Call
Maturity Date : 2021-10-09
Maturity Price : 25.00
Evaluated at bid price : 25.34
Bid-YTW : -10.36 %
MFC.PR.M FixedReset Ins Non 1.08 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-09-09
Maturity Price : 23.07
Evaluated at bid price : 24.30
Bid-YTW : 3.28 %
TRP.PR.C FixedReset Disc 1.10 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-09-09
Maturity Price : 14.69
Evaluated at bid price : 14.69
Bid-YTW : 3.90 %
PWF.PR.P FixedReset Disc 1.25 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-09-09
Maturity Price : 17.01
Evaluated at bid price : 17.01
Bid-YTW : 3.46 %
BMO.PR.T FixedReset Disc 1.61 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-09-09
Maturity Price : 23.00
Evaluated at bid price : 24.05
Bid-YTW : 3.19 %
MFC.PR.F FixedReset Ins Non 2.33 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-09-09
Maturity Price : 17.55
Evaluated at bid price : 17.55
Bid-YTW : 3.22 %
Volume Highlights
Issue Index Shares
Traded
Notes
CIU.PR.A Perpetual-Discount 247,100 YTW SCENARIO
Maturity Type : Call
Maturity Date : 2021-10-09
Maturity Price : 25.00
Evaluated at bid price : 25.34
Bid-YTW : -10.36 %
TD.PF.H FixedReset Prem 167,980 YTW SCENARIO
Maturity Type : Call
Maturity Date : 2021-10-31
Maturity Price : 25.00
Evaluated at bid price : 25.25
Bid-YTW : 1.55 %
TRP.PR.K FixedReset Prem 151,300 YTW SCENARIO
Maturity Type : Call
Maturity Date : 2022-05-31
Maturity Price : 25.00
Evaluated at bid price : 25.51
Bid-YTW : 2.29 %
SLF.PR.I FixedReset Ins Non 92,664 YTW SCENARIO
Maturity Type : Call
Maturity Date : 2021-12-31
Maturity Price : 25.00
Evaluated at bid price : 25.05
Bid-YTW : 2.46 %
IAF.PR.G FixedReset Ins Non 90,000 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-09-09
Maturity Price : 24.48
Evaluated at bid price : 24.90
Bid-YTW : 3.66 %
TD.PF.D FixedReset Disc 56,413 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-09-09
Maturity Price : 23.13
Evaluated at bid price : 24.63
Bid-YTW : 3.51 %
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: 24.20 – 24.99
Spot Rate : 0.7900
Average : 0.4929

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-09-09
Maturity Price : 22.92
Evaluated at bid price : 24.20
Bid-YTW : 3.38 %

IFC.PR.E Insurance Straight Quote: 26.59 – 27.35
Spot Rate : 0.7600
Average : 0.5857

YTW SCENARIO
Maturity Type : Call
Maturity Date : 2022-06-30
Maturity Price : 26.00
Evaluated at bid price : 26.59
Bid-YTW : 3.39 %

TRP.PR.A FixedReset Disc Quote: 18.04 – 18.65
Spot Rate : 0.6100
Average : 0.4473

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-09-09
Maturity Price : 18.04
Evaluated at bid price : 18.04
Bid-YTW : 3.99 %

BAM.PF.E FixedReset Disc Quote: 21.25 – 21.95
Spot Rate : 0.7000
Average : 0.5455

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-09-09
Maturity Price : 21.25
Evaluated at bid price : 21.25
Bid-YTW : 4.08 %

IFC.PR.I Perpetual-Premium Quote: 27.72 – 28.48
Spot Rate : 0.7600
Average : 0.6161

YTW SCENARIO
Maturity Type : Call
Maturity Date : 2025-03-31
Maturity Price : 26.00
Evaluated at bid price : 27.72
Bid-YTW : 3.53 %

PVS.PR.H SplitShare Quote: 25.68 – 26.10
Spot Rate : 0.4200
Average : 0.2815

YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2027-02-28
Maturity Price : 25.00
Evaluated at bid price : 25.68
Bid-YTW : 4.17 %

September 8, 2021

September 10th, 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 -0.7905 % 2,541.7
FixedFloater 0.00 % 0.00 % 0 0.00 0 -0.7905 % 4,663.8
Floater 3.42 % 3.45 % 61,978 18.55 3 -0.7905 % 2,687.8
OpRet 0.00 % 0.00 % 0 0.00 0 0.0332 % 3,694.7
SplitShare 4.59 % 3.73 % 29,662 3.23 7 0.0332 % 4,412.3
Interest-Bearing 0.00 % 0.00 % 0 0.00 0 0.0332 % 3,442.6
Perpetual-Premium 5.12 % -19.38 % 57,214 0.09 25 -0.1135 % 3,327.7
Perpetual-Discount 4.63 % 2.12 % 80,799 0.08 8 0.1382 % 4,023.0
FixedReset Disc 3.95 % 3.38 % 116,052 18.24 40 -0.1017 % 2,841.6
Insurance Straight 4.86 % -11.55 % 82,324 0.09 22 0.3786 % 3,742.8
FloatingReset 2.85 % 3.14 % 30,650 19.39 2 0.3778 % 2,567.9
FixedReset Prem 4.75 % 2.92 % 134,513 2.18 30 -0.1248 % 2,764.3
FixedReset Bank Non 0.00 % 0.00 % 0 0.00 0 -0.1017 % 2,904.7
FixedReset Ins Non 4.04 % 3.30 % 105,983 18.30 20 0.1463 % 2,946.7
Performance Highlights
Issue Index Change Notes
CU.PR.I FixedReset Prem -1.97 % YTW SCENARIO
Maturity Type : Call
Maturity Date : 2025-12-01
Maturity Price : 25.00
Evaluated at bid price : 26.86
Bid-YTW : 2.67 %
BAM.PF.E FixedReset Disc -1.36 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-09-08
Maturity Price : 21.45
Evaluated at bid price : 21.80
Bid-YTW : 3.94 %
BAM.PF.A FixedReset Disc -1.20 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-09-08
Maturity Price : 23.46
Evaluated at bid price : 24.70
Bid-YTW : 3.89 %
BAM.PR.C Floater -1.19 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-09-08
Maturity Price : 12.50
Evaluated at bid price : 12.50
Bid-YTW : 3.47 %
BAM.PR.K Floater -1.18 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-09-08
Maturity Price : 12.55
Evaluated at bid price : 12.55
Bid-YTW : 3.45 %
BAM.PR.X FixedReset Disc -1.12 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-09-08
Maturity Price : 17.60
Evaluated at bid price : 17.60
Bid-YTW : 3.79 %
TRP.PR.C FixedReset Disc -1.09 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-09-08
Maturity Price : 14.53
Evaluated at bid price : 14.53
Bid-YTW : 3.95 %
MFC.PR.M FixedReset Ins Non -1.07 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-09-08
Maturity Price : 22.95
Evaluated at bid price : 24.04
Bid-YTW : 3.33 %
IFC.PR.I Perpetual-Premium 1.05 % YTW SCENARIO
Maturity Type : Call
Maturity Date : 2025-03-31
Maturity Price : 26.00
Evaluated at bid price : 28.00
Bid-YTW : 3.21 %
IFC.PR.F Insurance Straight 1.12 % YTW SCENARIO
Maturity Type : Call
Maturity Date : 2022-09-30
Maturity Price : 26.00
Evaluated at bid price : 26.97
Bid-YTW : 2.46 %
MFC.PR.I FixedReset Ins Non 1.61 % YTW SCENARIO
Maturity Type : Call
Maturity Date : 2022-09-19
Maturity Price : 25.00
Evaluated at bid price : 25.21
Bid-YTW : 3.41 %
MFC.PR.N FixedReset Ins Non 1.88 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-09-08
Maturity Price : 22.84
Evaluated at bid price : 23.85
Bid-YTW : 3.29 %
TRP.PR.G FixedReset Disc 3.03 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-09-08
Maturity Price : 22.74
Evaluated at bid price : 23.80
Bid-YTW : 3.82 %
IAF.PR.B Insurance Straight 5.06 % YTW SCENARIO
Maturity Type : Call
Maturity Date : 2021-10-08
Maturity Price : 25.00
Evaluated at bid price : 25.11
Bid-YTW : -4.08 %
Volume Highlights
Issue Index Shares
Traded
Notes
MFC.PR.B Insurance Straight 222,720 YTW SCENARIO
Maturity Type : Call
Maturity Date : 2021-10-08
Maturity Price : 25.00
Evaluated at bid price : 25.18
Bid-YTW : -5.71 %
GWO.PR.M Insurance Straight 110,800 YTW SCENARIO
Maturity Type : Call
Maturity Date : 2021-10-08
Maturity Price : 25.00
Evaluated at bid price : 25.85
Bid-YTW : -35.57 %
PWF.PR.E Perpetual-Premium 102,610 YTW SCENARIO
Maturity Type : Call
Maturity Date : 2021-10-08
Maturity Price : 25.00
Evaluated at bid price : 25.80
Bid-YTW : -24.18 %
CM.PR.O FixedReset Disc 67,079 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-09-08
Maturity Price : 23.05
Evaluated at bid price : 24.13
Bid-YTW : 3.29 %
RY.PR.J FixedReset Disc 61,900 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-09-08
Maturity Price : 23.22
Evaluated at bid price : 24.82
Bid-YTW : 3.42 %
MFC.PR.I FixedReset Ins Non 54,719 YTW SCENARIO
Maturity Type : Call
Maturity Date : 2022-09-19
Maturity Price : 25.00
Evaluated at bid price : 25.21
Bid-YTW : 3.41 %
There were 61 other index-included issues trading in excess of 10,000 shares.
Wide Spread Highlights
Issue Index Quote Data and Yield Notes
CU.PR.C FixedReset Disc Quote: 22.50 – 23.20
Spot Rate : 0.7000
Average : 0.4389

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-09-08
Maturity Price : 21.95
Evaluated at bid price : 22.50
Bid-YTW : 3.56 %

CIU.PR.A Perpetual-Discount Quote: 25.07 – 25.75
Spot Rate : 0.6800
Average : 0.4337

YTW SCENARIO
Maturity Type : Call
Maturity Date : 2021-10-08
Maturity Price : 25.00
Evaluated at bid price : 25.07
Bid-YTW : 2.27 %

PWF.PR.G Perpetual-Premium Quote: 25.75 – 26.33
Spot Rate : 0.5800
Average : 0.3791

YTW SCENARIO
Maturity Type : Call
Maturity Date : 2021-10-08
Maturity Price : 25.00
Evaluated at bid price : 25.75
Bid-YTW : -21.28 %

BAM.PR.N Perpetual-Discount Quote: 25.50 – 25.95
Spot Rate : 0.4500
Average : 0.2824

YTW SCENARIO
Maturity Type : Call
Maturity Date : 2021-10-08
Maturity Price : 25.00
Evaluated at bid price : 25.50
Bid-YTW : -8.34 %

TD.PF.D FixedReset Disc Quote: 24.72 – 25.10
Spot Rate : 0.3800
Average : 0.2414

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-09-08
Maturity Price : 23.16
Evaluated at bid price : 24.72
Bid-YTW : 3.49 %

BAM.PF.C Perpetual-Discount Quote: 25.45 – 26.04
Spot Rate : 0.5900
Average : 0.4610

YTW SCENARIO
Maturity Type : Call
Maturity Date : 2022-03-31
Maturity Price : 25.00
Evaluated at bid price : 25.45
Bid-YTW : 3.30 %

September 7, 2021

September 10th, 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 0.5032 % 2,561.9
FixedFloater 0.00 % 0.00 % 0 0.00 0 0.5032 % 4,701.0
Floater 3.39 % 3.43 % 62,776 18.61 3 0.5032 % 2,709.2
OpRet 0.00 % 0.00 % 0 0.00 0 -0.0111 % 3,693.5
SplitShare 4.59 % 3.77 % 29,383 3.24 7 -0.0111 % 4,410.8
Interest-Bearing 0.00 % 0.00 % 0 0.00 0 -0.0111 % 3,441.5
Perpetual-Premium 5.12 % -19.54 % 55,935 0.09 25 -0.0659 % 3,331.5
Perpetual-Discount 4.64 % 2.95 % 75,015 0.08 8 0.0741 % 4,017.4
FixedReset Disc 3.95 % 3.35 % 115,380 18.08 40 -0.1453 % 2,844.5
Insurance Straight 4.88 % -8.48 % 81,930 0.09 22 -0.2412 % 3,728.7
FloatingReset 2.86 % 3.17 % 31,073 19.34 2 -0.0629 % 2,558.3
FixedReset Prem 4.75 % 2.73 % 132,289 2.18 30 -0.1528 % 2,767.8
FixedReset Bank Non 0.00 % 0.00 % 0 0.00 0 -0.1453 % 2,907.7
FixedReset Ins Non 4.05 % 3.29 % 102,216 18.30 20 0.0086 % 2,942.4
Performance Highlights
Issue Index Change Notes
IAF.PR.B Insurance Straight -5.01 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-09-07
Maturity Price : 23.63
Evaluated at bid price : 23.90
Bid-YTW : 4.80 %
BMO.PR.T FixedReset Disc -2.07 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-09-07
Maturity Price : 22.78
Evaluated at bid price : 23.60
Bid-YTW : 3.27 %
CM.PR.Y FixedReset Prem -1.86 % YTW SCENARIO
Maturity Type : Call
Maturity Date : 2024-07-31
Maturity Price : 25.00
Evaluated at bid price : 26.45
Bid-YTW : 3.26 %
BAM.PR.Z FixedReset Disc -1.45 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-09-07
Maturity Price : 24.07
Evaluated at bid price : 24.46
Bid-YTW : 3.98 %
BAM.PF.J FixedReset Prem -1.34 % YTW SCENARIO
Maturity Type : Call
Maturity Date : 2022-12-31
Maturity Price : 25.00
Evaluated at bid price : 25.77
Bid-YTW : 3.06 %
BAM.PR.B Floater -1.33 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-09-07
Maturity Price : 12.60
Evaluated at bid price : 12.60
Bid-YTW : 3.44 %
CM.PR.P FixedReset Disc -1.19 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-09-07
Maturity Price : 22.93
Evaluated at bid price : 24.01
Bid-YTW : 3.28 %
TRP.PR.A FixedReset Disc -1.09 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-09-07
Maturity Price : 18.20
Evaluated at bid price : 18.20
Bid-YTW : 3.95 %
MFC.PR.L FixedReset Ins Non -1.05 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-09-07
Maturity Price : 22.73
Evaluated at bid price : 23.45
Bid-YTW : 3.23 %
CM.PR.Q FixedReset Disc -1.00 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-09-07
Maturity Price : 23.17
Evaluated at bid price : 24.75
Bid-YTW : 3.47 %
BMO.PR.E FixedReset Prem 1.22 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-09-07
Maturity Price : 23.75
Evaluated at bid price : 25.66
Bid-YTW : 3.42 %
BIP.PR.A FixedReset Disc 1.26 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-09-07
Maturity Price : 22.94
Evaluated at bid price : 24.15
Bid-YTW : 4.38 %
BAM.PR.K Floater 3.25 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-09-07
Maturity Price : 12.70
Evaluated at bid price : 12.70
Bid-YTW : 3.41 %
MFC.PR.F FixedReset Ins Non 5.21 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-09-07
Maturity Price : 17.15
Evaluated at bid price : 17.15
Bid-YTW : 3.30 %
Volume Highlights
Issue Index Shares
Traded
Notes
GWO.PR.G Insurance Straight 32,000 YTW SCENARIO
Maturity Type : Call
Maturity Date : 2021-10-07
Maturity Price : 25.00
Evaluated at bid price : 25.42
Bid-YTW : -18.19 %
NA.PR.G FixedReset Prem 28,225 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-09-07
Maturity Price : 23.73
Evaluated at bid price : 25.58
Bid-YTW : 3.54 %
NA.PR.S FixedReset Disc 21,570 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-09-07
Maturity Price : 23.28
Evaluated at bid price : 24.60
Bid-YTW : 3.30 %
RY.PR.J FixedReset Disc 17,940 YTW SCENARIO
Maturity Type : Call
Maturity Date : 2025-05-24
Maturity Price : 25.00
Evaluated at bid price : 25.05
Bid-YTW : 3.19 %
CU.PR.G Perpetual-Discount 16,300 YTW SCENARIO
Maturity Type : Call
Maturity Date : 2021-10-07
Maturity Price : 25.25
Evaluated at bid price : 25.30
Bid-YTW : 2.95 %
TD.PF.H FixedReset Prem 15,768 YTW SCENARIO
Maturity Type : Call
Maturity Date : 2021-10-31
Maturity Price : 25.00
Evaluated at bid price : 25.24
Bid-YTW : 1.76 %
There were 8 other index-included issues trading in excess of 10,000 shares.
Wide Spread Highlights
Issue Index Quote Data and Yield Notes
POW.PR.C Perpetual-Premium Quote: 26.20 – 28.91
Spot Rate : 2.7100
Average : 1.6037

YTW SCENARIO
Maturity Type : Call
Maturity Date : 2021-10-07
Maturity Price : 25.00
Evaluated at bid price : 26.20
Bid-YTW : -37.03 %

IAF.PR.B Insurance Straight Quote: 23.90 – 25.28
Spot Rate : 1.3800
Average : 1.0546

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-09-07
Maturity Price : 23.63
Evaluated at bid price : 23.90
Bid-YTW : 4.80 %

GWO.PR.N FixedReset Ins Non Quote: 15.56 – 16.25
Spot Rate : 0.6900
Average : 0.4218

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-09-07
Maturity Price : 15.56
Evaluated at bid price : 15.56
Bid-YTW : 3.28 %

CM.PR.Y FixedReset Prem Quote: 26.45 – 27.03
Spot Rate : 0.5800
Average : 0.3923

YTW SCENARIO
Maturity Type : Call
Maturity Date : 2024-07-31
Maturity Price : 25.00
Evaluated at bid price : 26.45
Bid-YTW : 3.26 %

TRP.PR.G FixedReset Disc Quote: 23.10 – 24.10
Spot Rate : 1.0000
Average : 0.8283

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-09-07
Maturity Price : 22.38
Evaluated at bid price : 23.10
Bid-YTW : 3.96 %

BMO.PR.T FixedReset Disc Quote: 23.60 – 24.10
Spot Rate : 0.5000
Average : 0.3332

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-09-07
Maturity Price : 22.78
Evaluated at bid price : 23.60
Bid-YTW : 3.27 %

CF.PR.A To Reset At 4.028%

September 4th, 2021

Canaccord Genuity Group Inc. has announced (on 2021-9-1):

the applicable dividend rates for its Cumulative 5-Year Rate Reset First Preferred Shares, Series A (the “Series A Preferred Shares”) and its Cumulative Floating Rate First Preferred Shares, Series B (the “Series B Preferred Shares”), further to its press release dated August 3, 2021 announcing that it does not intend to exercise its right to redeem all or any part of the currently outstanding Series A Preferred Shares and, as a result of which, subject to certain conditions, the holders of the Series A Preferred Shares have the right to convert all or any part of their Series A Preferred Shares into Series B Preferred Shares on a one-for-one basis.

With respect to any Series A Preferred Shares that remain outstanding after September 30, 2021, holders thereof will be entitled to receive quarterly fixed, cumulative, preferential cash dividends, if, as and when declared by the Board of Directors of the Company, subject to the provisions of the Business Corporations Act (British Columbia). The dividend rate for the five-year period commencing on October 1, 2021 and ending on and including September 30, 2026 will be 4.028% per annum, being equal to the sum of the five-year Government of Canada bond yield determined as of today, plus 3.21%, in accordance with the terms of the Series A Preferred Shares.

With respect to any Series B Preferred Shares that may be issued on September 30, 2021, holders thereof will be entitled to receive quarterly floating rate, cumulative, preferential cash dividends, if, as and when declared by the Board of Directors of the Company, subject to the provisions of the Business Corporations Act (British Columbia). The dividend rate for the three-month period commencing on October 1, 2021 and ending on and including December 31, 2021 will be 3.388%per annum, being equal to the sum of the three-month Government of Canada Treasury Bill yield determined as of today, plus 3.21% (calculated on the basis of the actual number of days elapsed during such quarterly period divided by 365), in accordance with the terms of the Series B Preferred Shares. The quarterly floating dividend rate will be reset every quarter.

Beneficial owners of Series A Preferred Shares who wish to exercise their conversion right should communicate as soon as possible with their broker or other nominee to ensure their instructions are followed for exercising such right on or prior to the deadline for exercise, which is 5:00 p.m. (Toronto time) on September 15, 2021.

CF.PR.A was issued as a 5.50%+321 FixedReset that commenced trading 2011-6-23 after being announced 2011-6-6. After notice of extension the rate reset to 3.885% in 2016, but there was no conversion to FloatingReset.

BPO.PR.R To Reset To 4.30%

September 4th, 2021

Brookfield Office Properties Inc., a subsidiary of Brookfield Property Partners L.P., has announced (on 2021-9-1):

the reset dividend rate and conversion privileges on its Class AAA Preference Shares, Series R (“Series R Shares”) (TSX: BPO.PR.R) and Class AAA Preference Shares, Series S (“Series S Shares”) (TSX: BPO.PR.S).

Series R Shares

If declared, the fixed quarterly dividends on the Series R Shares for the five years commencing October 1, 2021 and ending September 30, 2026 will be paid at an annual rate of 4.30% ($0.26875 per share per quarter).

Holders of Series R Shares have the right, at their option, exercisable no later than 5:00 p.m. (Toronto time) on September 15, 2021, to convert all or part of their Series R Shares, on a one-for-one basis, into Class AAA Preference Shares, Series S (the “Series S Shares”), effective September 30, 2021.

The quarterly floating rate dividends on the Series S Shares have an annual rate, calculated for each quarter, of 3.48% over the annual yield on three-month Government of Canada treasury bills. The actual quarterly dividend rate for the October 1, 2021 to December 31, 2021 dividend period for the Series S Shares will be 0.92252% (3.66% on an annualized basis) and the dividend, if declared, for such dividend period will be $0.23063 per share, payable on December 31, 2021.

Holders of Series R Shares are not required to elect to convert all or any part of their Series R Shares into Series S Shares.

As provided in the share conditions of the Series R Shares, (i) if Brookfield determines that there would be fewer than 1,000,000 Series S Shares outstanding after September 30, 2021, all remaining Series R Shares will be automatically converted into Series S Shares on a one-for-one basis effective September 30, 2021; and (ii) if Brookfield determines that there would be fewer than 1,000,000 Series S Shares outstanding after September 30, 2021, no Series R Shares will be permitted to be converted into Series S Shares. There are currently 8,883,425 Series R Shares outstanding.

Series S Shares

Holders of Series S Shares have the right, at their option, exercisable no later than 5:00 p.m. (Toronto time) on September 15, 2021, to convert all or part of their Series S Shares, on a one-for-one basis, into the Series R Shares, effective September 30, 2021.

Holders of Series S Shares are not required to elect to convert all or any part of their Series S Shares into Series R Shares.

As provided in the share conditions of the Series S Shares, (i) if Brookfield determines that there would be fewer than 1,000,000 Series R Shares outstanding after September 30, 2021, all remaining Series S Shares will be automatically converted into Series R Shares on a one-for-one basis effective September 30, 2021; and (ii) if Brookfield determines that there would be fewer than 1,000,000 Series R Shares outstanding after September 30, 2021, no Series S Shares will be permitted to be converted into Series R Shares. There are currently 1,116,575 Series S Shares outstanding.

BPO.PR.R was issued as a 5.10%+348 FixedReset that commenced trading 2011-9-2 after being announced 2011-8-25. The issue reset to 4.155% in 2016 and there was an 11% conversion to the FloatingReset BPO.PR.S.

BPO.PR.S is a FloatingReset, Bills+348, that arose via a partial conversion from BPO.PR.R in 2016.