July 5, 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 1.7449 % 2,676.7
FixedFloater 0.00 % 0.00 % 0 0.00 0 1.7449 % 4,911.6
Floater 3.24 % 3.26 % 93,365 19.11 3 1.7449 % 2,830.6
OpRet 0.00 % 0.00 % 0 0.00 0 -0.1289 % 3,685.4
SplitShare 4.64 % 3.98 % 42,827 3.37 6 -0.1289 % 4,401.1
Interest-Bearing 0.00 % 0.00 % 0 0.00 0 -0.1289 % 3,433.9
Perpetual-Premium 5.13 % -4.07 % 62,083 0.09 30 0.0286 % 3,299.1
Perpetual-Discount 4.65 % 4.59 % 53,817 16.20 4 0.7241 % 3,923.6
FixedReset Disc 4.05 % 3.78 % 135,410 17.81 40 0.3693 % 2,773.4
Insurance Straight 4.90 % 0.50 % 81,703 0.09 22 -0.1017 % 3,712.6
FloatingReset 2.82 % 3.12 % 37,925 19.45 2 -0.8992 % 2,574.4
FixedReset Prem 4.82 % 2.81 % 186,828 1.44 33 -0.2631 % 2,757.0
FixedReset Bank Non 1.80 % 2.25 % 98,068 0.57 1 0.0000 % 2,895.4
FixedReset Ins Non 4.07 % 3.59 % 118,215 17.85 20 0.0151 % 2,929.5
Performance Highlights
Issue Index Change Notes
TRP.PR.F FloatingReset -2.01 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-07-05
Maturity Price : 16.56
Evaluated at bid price : 16.56
Bid-YTW : 3.12 %
NA.PR.G FixedReset Prem -1.76 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-07-05
Maturity Price : 23.43
Evaluated at bid price : 24.80
Bid-YTW : 3.83 %
GWO.PR.T Insurance Straight -1.13 % YTW SCENARIO
Maturity Type : Call
Maturity Date : 2025-06-30
Maturity Price : 25.25
Evaluated at bid price : 26.21
Bid-YTW : 4.10 %
TRP.PR.B FixedReset Disc -1.11 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-07-05
Maturity Price : 13.40
Evaluated at bid price : 13.40
Bid-YTW : 4.06 %
CM.PR.Q FixedReset Disc -1.10 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-07-05
Maturity Price : 22.58
Evaluated at bid price : 23.45
Bid-YTW : 3.83 %
NA.PR.S FixedReset Disc -1.02 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-07-05
Maturity Price : 22.96
Evaluated at bid price : 23.92
Bid-YTW : 3.56 %
NA.PR.W FixedReset Disc 1.02 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-07-05
Maturity Price : 22.70
Evaluated at bid price : 23.60
Bid-YTW : 3.47 %
TRP.PR.G FixedReset Disc 1.08 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-07-05
Maturity Price : 22.58
Evaluated at bid price : 23.50
Bid-YTW : 4.04 %
CM.PR.P FixedReset Disc 1.29 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-07-05
Maturity Price : 22.71
Evaluated at bid price : 23.60
Bid-YTW : 3.49 %
BAM.PR.X FixedReset Disc 1.47 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-07-05
Maturity Price : 17.25
Evaluated at bid price : 17.25
Bid-YTW : 4.08 %
BAM.PF.A FixedReset Disc 1.64 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-07-05
Maturity Price : 23.21
Evaluated at bid price : 24.23
Bid-YTW : 4.11 %
TRP.PR.D FixedReset Disc 1.95 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-07-05
Maturity Price : 20.92
Evaluated at bid price : 20.92
Bid-YTW : 4.13 %
BMO.PR.Y FixedReset Disc 2.11 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-07-05
Maturity Price : 22.93
Evaluated at bid price : 24.20
Bid-YTW : 3.64 %
CIU.PR.A Perpetual-Discount 2.51 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-07-05
Maturity Price : 24.25
Evaluated at bid price : 24.55
Bid-YTW : 4.72 %
BAM.PF.G FixedReset Disc 2.74 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-07-05
Maturity Price : 22.29
Evaluated at bid price : 22.91
Bid-YTW : 4.04 %
BAM.PF.F FixedReset Disc 2.74 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-07-05
Maturity Price : 22.94
Evaluated at bid price : 24.00
Bid-YTW : 3.99 %
TRP.PR.A FixedReset Disc 2.83 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-07-05
Maturity Price : 18.52
Evaluated at bid price : 18.52
Bid-YTW : 4.11 %
BAM.PR.K Floater 4.61 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-07-05
Maturity Price : 13.15
Evaluated at bid price : 13.15
Bid-YTW : 3.28 %
Volume Highlights
Issue Index Shares
Traded
Notes
BAM.PF.C Perpetual-Premium 91,900 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-07-05
Maturity Price : 24.61
Evaluated at bid price : 24.86
Bid-YTW : 4.90 %
RY.PR.Z FixedReset Disc 38,031 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-07-05
Maturity Price : 22.73
Evaluated at bid price : 23.49
Bid-YTW : 3.47 %
W.PR.M FixedReset Prem 28,158 YTW SCENARIO
Maturity Type : Call
Maturity Date : 2021-10-15
Maturity Price : 25.00
Evaluated at bid price : 25.25
Bid-YTW : 1.10 %
TRP.PR.B FixedReset Disc 27,752 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-07-05
Maturity Price : 13.40
Evaluated at bid price : 13.40
Bid-YTW : 4.06 %
TD.PF.K FixedReset Prem 27,600 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-07-05
Maturity Price : 23.58
Evaluated at bid price : 25.20
Bid-YTW : 3.63 %
PWF.PR.P FixedReset Disc 25,350 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-07-05
Maturity Price : 16.38
Evaluated at bid price : 16.38
Bid-YTW : 3.81 %
There were 12 other index-included issues trading in excess of 10,000 shares.
Wide Spread Highlights
Issue Index Quote Data and Yield Notes
PWF.PR.P FixedReset Disc Quote: 16.38 – 24.68
Spot Rate : 8.3000
Average : 4.6373

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-07-05
Maturity Price : 16.38
Evaluated at bid price : 16.38
Bid-YTW : 3.81 %

BIP.PR.A FixedReset Disc Quote: 22.35 – 23.20
Spot Rate : 0.8500
Average : 0.5691

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-07-05
Maturity Price : 21.93
Evaluated at bid price : 22.35
Bid-YTW : 4.96 %

NA.PR.G FixedReset Prem Quote: 24.80 – 25.39
Spot Rate : 0.5900
Average : 0.3535

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-07-05
Maturity Price : 23.43
Evaluated at bid price : 24.80
Bid-YTW : 3.83 %

CM.PR.Q FixedReset Disc Quote: 23.45 – 23.99
Spot Rate : 0.5400
Average : 0.3509

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-07-05
Maturity Price : 22.58
Evaluated at bid price : 23.45
Bid-YTW : 3.83 %

IFC.PR.A FixedReset Ins Non Quote: 20.80 – 21.90
Spot Rate : 1.1000
Average : 0.9170

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-07-05
Maturity Price : 20.80
Evaluated at bid price : 20.80
Bid-YTW : 3.35 %

TRP.PR.C FixedReset Disc Quote: 14.42 – 15.24
Spot Rate : 0.8200
Average : 0.6561

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-07-05
Maturity Price : 14.42
Evaluated at bid price : 14.42
Bid-YTW : 4.17 %

10 Responses to “July 5, 2021”

  1. CanSiamCyp says:

    Announced Redemptions from BMO Monthly Pref Report

    26-Jul-21 BNS.PR.G Bank Of Nova Scotia 5.50% 472 Fixed Reset
    31-Jul-21 CWB.PR.C Canadian Western Bank 6.25% 547 Fixed Reset
    16-Aug-21 NA.PR.A National Bank Of Canada 5.40% 466 Fixed Reset
    24-Aug-21 RY.PR.R Royal Bank Of Canada 5.50% 480 Fixed Reset

  2. CanSiamCyp says:

    Another one bites the dust!

    Brookfield Renewable Partners L.P. (TSX: BEP.UN; NYSE: BEP) today announced that it intends to redeem all of its outstanding Class A Preferred Limited Partnership Units, Series 9 (the “Series 9 Preferred Units”) (TSX: BEP.PR.I) for cash on July 31, 2021.

    Spread of 501 b.p.

  3. CanSiamCyp says:

    And another one bites the dust!

    “Brookfield Infrastructure Partners L.P. (TSX: BIP.UN; NYSE: BIP) (“Brookfield Infrastructure”) today announced the closing of a public offering of $250 million of fixed rate subordinated notes due May 24, 2081 (the “notes”).

    The notes, which have a coupon of 5.00%, will be listed on the New York Stock Exchange under the symbol “BIPH”. Brookfield Infrastructure intends to use the net proceeds of the offering for the redemption of its Class A Preferred Units, Series 5, which are redeemable by Brookfield Infrastructure on September 30, 2021, with the remainder to be used for general corporate purposes.”

    BIP.PR.C BROOKFIELD INFRA Ser 5 Min Reset with Spread 464

  4. RAV4guy says:

    Thank you for your 3 posts CanSiamCyp. I have been trying to keep a running total of the redemptions since August 2020 when EFN announced the redemption of EFN.PR.G and RY announced the redemption of $1.5 Billion worth of preferred shares.
    From then to the July 2 announcement of the BIP.PR.C redemption I calculate there have been $8.972 Billion of redemtions announced. In the same time frame I calculate there have been $622.5 Million of new issues announced (PVS.PR.I, MIC.PR.A, PVS.PR.J and EMA.PR.J). My calculations include the PVS redemptions and new issues but no there are no other split share preferreds included. I believe there have been several of these but I find it hard to get the data and do not bother.
    I do not the total size of the preferred share market accurately but if it is around $100 Billion then the market has has shrunk by about 8%.

  5. peet says:

    “I do not know the total size of the preferred share market accurately but if it is around $100 Billion then the market has shrunk by about 8%.”

    RAV4guy, interesting numbers, thanks.

    I think the pref market may be considerably smaller and the shrinkage effect due to the LRCNs materially higher.

    In September 2020, when Fiera Capital issued its report on Limited Recourse Capital Notes [“A Present for Preferred Share Investors”] they referred to a “$ 65- billion preferred share market”. That was after RBC had already closed its $1.75 billion LRCN.

    Since September 2020 the pref market has risen around 22%, using CPD as a proxy, so that $ 65 billion would be closer to $ 80 billion now … were it not for the redemptions & new issues.

    Subtracting your net $ 8.9 billion of redemptions & new issues [ some of which redemptions have already closed, others to close in July and August] suggests a market by the end of the summer closer to $ 70 billion. That would be a shrinkage of some 12.5% from late summer 2020.

  6. peet says:

    Correction: “your net 8.2” , not “8.9”.

    Correction 2: “That would be a shrinkage of some 12.5% from late summer 2020” … if one didn’t have to factor in the 8.2 of net redemptions & issuances.

    Also: I am assuming Fiera’s pref market numbers are based on market, not nominal par values.

  7. Tim says:

    Here is another redemption announcement, out today:

    TORONTO, July 16, 2021 /CNW/ – Bank of Montreal (TSX: BMO) (NYSE: BMO) (the “Bank”) today announced its intention to redeem all of its 9,425,607 outstanding Non-Cumulative 5-Year Rate Reset Class B Preferred Shares, Series 25 (“Preferred Shares Series 25”) for an aggregate total of approximately $236 million and all of its 2,174,393 outstanding Non-Cumulative Floating Rate Class B Preferred Shares, Series 26 (“Preferred Shares Series 26”) for an aggregate total of approximately $54 million on August 25, 2021. The redemption has been approved by the Office of the Superintendent of Financial Institutions.

    The Preferred Shares Series 25 and the Preferred Shares Series 26 are redeemable at the Bank’s option on August 25, 2021, at a redemption price of $25.00 per share. Payment of the redemption price will be made by the Bank on August 25, 2021.

  8. Brin says:

    I regards to preferreds being redeemed there are no dividends paid after the final ex-dividend date in most cases. For BMO series 25 there will be not be dividends paid from July 30 to August 25, they get to hold your funds for free.

  9. RAV4guy says:

    BMO is just following the rules it laid out in the 2011 prospectus for BMO.PR.Q and BMO.PR.A. The dividend payment date and the date for the call are as specified. I do not see anything nefarious here. One can always sell in the open market if unsatisfied with the terms.

  10. jiHymas says:

    Note the following from the BMO.PR.Q prospectus:

    The initial dividend, if declared, shall be payable on August 25, 2011 and shall be $0.44610 per share, based on the anticipated closing date of March 11, 2011. Thereafter, quarterly dividends shall be a rate of $0.24375 per share.

    So BMO is paying the full stated dividend rate for the entire period the issue is outstanding. The ex-dividend date simply determines who gets the cheque; the market will adjust accordingly and the issue will (barring silliness) trade below par following the final ex-dividend date.

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