February 17, 2021

February 18th, 2021

PerpetualDiscounts now yield 4.89%, equivalent to 6.36% interest at the standard equivalency factor of 1.3x. Long corporates now yield 3.01%, so the pre-tax interest-equivalent spread (in this context, the “Seniority Spread”) is sharply wider at 335bp than the 310bp reported February 10.

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 -0.2687 % 2,245.9
FixedFloater 0.00 % 0.00 % 0 0.00 0 -0.2687 % 4,121.0
Floater 3.85 % 3.88 % 53,479 17.62 3 -0.2687 % 2,375.0
OpRet 0.00 % 0.00 % 0 0.00 0 -0.0973 % 3,640.1
SplitShare 4.69 % 4.42 % 36,494 4.13 8 -0.0973 % 4,347.0
Interest-Bearing 0.00 % 0.00 % 0 0.00 0 -0.0973 % 3,391.7
Perpetual-Premium 5.34 % -1.39 % 72,294 0.08 18 -0.1300 % 3,246.6
Perpetual-Discount 4.93 % 4.89 % 83,762 15.44 13 -0.0406 % 3,757.3
FixedReset Disc 4.61 % 3.61 % 172,797 17.91 56 0.1228 % 2,544.8
Insurance Straight 4.95 % 4.66 % 81,539 15.32 22 0.0144 % 3,634.2
FloatingReset 3.27 % 2.59 % 28,940 20.77 2 -6.8724 % 2,115.0
FixedReset Prem 5.12 % 2.88 % 229,684 0.92 20 -0.0803 % 2,713.4
FixedReset Bank Non 1.80 % 1.69 % 174,300 0.94 1 0.0000 % 2,892.0
FixedReset Ins Non 4.41 % 3.37 % 115,970 18.34 22 -0.1793 % 2,760.3
Performance Highlights
Issue Index Change Notes
TRP.PR.F FloatingReset -11.94 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-02-17
Maturity Price : 12.17
Evaluated at bid price : 12.17
Bid-YTW : 4.13 %
SLF.PR.J FloatingReset -2.11 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-02-17
Maturity Price : 14.39
Evaluated at bid price : 14.39
Bid-YTW : 2.59 %
BAM.PF.D Perpetual-Discount -2.00 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-02-17
Maturity Price : 24.20
Evaluated at bid price : 24.51
Bid-YTW : 5.05 %
BIP.PR.E FixedReset Disc -1.74 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-02-17
Maturity Price : 23.26
Evaluated at bid price : 24.27
Bid-YTW : 5.17 %
BAM.PF.F FixedReset Disc -1.72 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-02-17
Maturity Price : 20.00
Evaluated at bid price : 20.00
Bid-YTW : 4.41 %
EIT.PR.A SplitShare -1.54 % YTW SCENARIO
Maturity Type : Soft Maturity
Maturity Date : 2024-03-14
Maturity Price : 25.00
Evaluated at bid price : 25.50
Bid-YTW : 4.42 %
TD.PF.J FixedReset Disc -1.52 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-02-17
Maturity Price : 23.08
Evaluated at bid price : 23.93
Bid-YTW : 3.45 %
MFC.PR.I FixedReset Ins Non -1.41 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-02-17
Maturity Price : 24.17
Evaluated at bid price : 24.50
Bid-YTW : 3.52 %
MFC.PR.N FixedReset Ins Non -1.38 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-02-17
Maturity Price : 21.81
Evaluated at bid price : 22.18
Bid-YTW : 3.36 %
TD.PF.D FixedReset Disc -1.02 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-02-17
Maturity Price : 22.51
Evaluated at bid price : 23.36
Bid-YTW : 3.45 %
BMO.PR.Y FixedReset Disc 1.12 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-02-17
Maturity Price : 22.00
Evaluated at bid price : 22.50
Bid-YTW : 3.49 %
TRP.PR.D FixedReset Disc 1.12 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-02-17
Maturity Price : 18.00
Evaluated at bid price : 18.00
Bid-YTW : 4.26 %
BIP.PR.A FixedReset Disc 1.32 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-02-17
Maturity Price : 22.38
Evaluated at bid price : 23.11
Bid-YTW : 4.37 %
TRP.PR.E FixedReset Disc 1.36 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-02-17
Maturity Price : 17.89
Evaluated at bid price : 17.89
Bid-YTW : 4.25 %
MFC.PR.J FixedReset Ins Non 1.59 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-02-17
Maturity Price : 23.26
Evaluated at bid price : 24.25
Bid-YTW : 3.34 %
CU.PR.F Perpetual-Discount 2.71 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-02-17
Maturity Price : 23.29
Evaluated at bid price : 23.54
Bid-YTW : 4.78 %
PWF.PR.P FixedReset Disc 3.47 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-02-17
Maturity Price : 14.90
Evaluated at bid price : 14.90
Bid-YTW : 3.49 %
NA.PR.E FixedReset Disc 3.50 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-02-17
Maturity Price : 23.05
Evaluated at bid price : 23.35
Bid-YTW : 3.45 %
Volume Highlights
Issue Index Shares
Traded
Notes
TRP.PR.F FloatingReset 100,700 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-02-17
Maturity Price : 12.17
Evaluated at bid price : 12.17
Bid-YTW : 4.13 %
SLF.PR.B Insurance Straight 76,306 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-02-17
Maturity Price : 24.84
Evaluated at bid price : 25.07
Bid-YTW : 4.84 %
BNS.PR.H FixedReset Prem 70,700 YTW SCENARIO
Maturity Type : Call
Maturity Date : 2022-01-26
Maturity Price : 25.00
Evaluated at bid price : 25.63
Bid-YTW : 2.45 %
MFC.PR.L FixedReset Ins Non 68,400 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-02-17
Maturity Price : 21.34
Evaluated at bid price : 21.65
Bid-YTW : 3.29 %
TD.PF.H FixedReset Prem 66,193 YTW SCENARIO
Maturity Type : Call
Maturity Date : 2021-10-31
Maturity Price : 25.00
Evaluated at bid price : 25.44
Bid-YTW : 2.65 %
CU.PR.C FixedReset Disc 62,780 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-02-17
Maturity Price : 19.45
Evaluated at bid price : 19.45
Bid-YTW : 3.76 %
There were 43 other index-included issues trading in excess of 10,000 shares.
Wide Spread Highlights
Issue Index Quote Data and Yield Notes
TRP.PR.F FloatingReset Quote: 12.17 – 14.00
Spot Rate : 1.8300
Average : 1.0818

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-02-17
Maturity Price : 12.17
Evaluated at bid price : 12.17
Bid-YTW : 4.13 %

IFC.PR.F Insurance Straight Quote: 25.85 – 27.24
Spot Rate : 1.3900
Average : 1.1208

YTW SCENARIO
Maturity Type : Call
Maturity Date : 2025-09-30
Maturity Price : 25.25
Evaluated at bid price : 25.85
Bid-YTW : 4.87 %

EIT.PR.A SplitShare Quote: 25.50 – 26.15
Spot Rate : 0.6500
Average : 0.4200

YTW SCENARIO
Maturity Type : Soft Maturity
Maturity Date : 2024-03-14
Maturity Price : 25.00
Evaluated at bid price : 25.50
Bid-YTW : 4.42 %

BAM.PF.F FixedReset Disc Quote: 20.00 – 20.74
Spot Rate : 0.7400
Average : 0.5244

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-02-17
Maturity Price : 20.00
Evaluated at bid price : 20.00
Bid-YTW : 4.41 %

MFC.PR.Q FixedReset Ins Non Quote: 23.76 – 24.25
Spot Rate : 0.4900
Average : 0.2992

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-02-17
Maturity Price : 22.97
Evaluated at bid price : 23.76
Bid-YTW : 3.38 %

MFC.PR.I FixedReset Ins Non Quote: 24.50 – 25.05
Spot Rate : 0.5500
Average : 0.3790

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-02-17
Maturity Price : 24.17
Evaluated at bid price : 24.50
Bid-YTW : 3.52 %

February 16, 2021

February 16th, 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 4.3289 % 2,251.9
FixedFloater 0.00 % 0.00 % 0 0.00 0 4.3289 % 4,132.1
Floater 3.84 % 3.88 % 55,442 17.63 3 4.3289 % 2,381.4
OpRet 0.00 % 0.00 % 0 0.00 0 -0.0219 % 3,643.6
SplitShare 4.68 % 4.38 % 36,617 3.66 8 -0.0219 % 4,351.2
Interest-Bearing 0.00 % 0.00 % 0 0.00 0 -0.0219 % 3,395.0
Perpetual-Premium 5.33 % -4.22 % 70,987 0.08 18 0.0282 % 3,250.8
Perpetual-Discount 4.93 % 4.91 % 81,083 15.48 13 -0.3887 % 3,758.8
FixedReset Disc 4.61 % 3.60 % 178,305 17.88 56 0.7740 % 2,541.6
Insurance Straight 4.95 % 4.67 % 82,673 15.30 22 -0.0324 % 3,633.7
FloatingReset 3.04 % 2.53 % 29,836 20.92 2 2.2956 % 2,271.1
FixedReset Prem 5.11 % 2.57 % 227,925 0.92 20 0.0529 % 2,715.5
FixedReset Bank Non 1.80 % 1.68 % 171,484 0.95 1 0.0000 % 2,892.0
FixedReset Ins Non 4.41 % 3.36 % 111,444 18.36 22 0.2656 % 2,765.2
Performance Highlights
Issue Index Change Notes
CU.PR.F Perpetual-Discount -5.48 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-02-16
Maturity Price : 22.66
Evaluated at bid price : 22.92
Bid-YTW : 4.91 %
MFC.PR.J FixedReset Ins Non -1.16 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-02-16
Maturity Price : 23.56
Evaluated at bid price : 23.87
Bid-YTW : 3.45 %
CM.PR.Q FixedReset Disc 1.02 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-02-16
Maturity Price : 22.15
Evaluated at bid price : 22.73
Bid-YTW : 3.55 %
PWF.PR.T FixedReset Disc 1.04 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-02-16
Maturity Price : 21.37
Evaluated at bid price : 21.37
Bid-YTW : 3.60 %
IFC.PR.G FixedReset Ins Non 1.10 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-02-16
Maturity Price : 22.52
Evaluated at bid price : 23.00
Bid-YTW : 3.55 %
BAM.PF.F FixedReset Disc 1.14 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-02-16
Maturity Price : 20.35
Evaluated at bid price : 20.35
Bid-YTW : 4.33 %
RY.PR.Z FixedReset Disc 1.15 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-02-16
Maturity Price : 21.70
Evaluated at bid price : 21.96
Bid-YTW : 3.23 %
BAM.PF.A FixedReset Disc 1.18 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-02-16
Maturity Price : 21.50
Evaluated at bid price : 21.50
Bid-YTW : 4.27 %
TD.PF.K FixedReset Disc 1.19 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-02-16
Maturity Price : 22.89
Evaluated at bid price : 23.73
Bid-YTW : 3.42 %
TRP.PR.C FixedReset Disc 1.23 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-02-16
Maturity Price : 12.35
Evaluated at bid price : 12.35
Bid-YTW : 4.10 %
TD.PF.J FixedReset Disc 1.25 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-02-16
Maturity Price : 23.25
Evaluated at bid price : 24.30
Bid-YTW : 3.38 %
BAM.PR.Z FixedReset Disc 1.26 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-02-16
Maturity Price : 21.38
Evaluated at bid price : 21.70
Bid-YTW : 4.14 %
TD.PF.D FixedReset Disc 1.29 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-02-16
Maturity Price : 22.63
Evaluated at bid price : 23.60
Bid-YTW : 3.40 %
IFC.PR.A FixedReset Ins Non 1.45 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-02-16
Maturity Price : 17.55
Evaluated at bid price : 17.55
Bid-YTW : 3.34 %
SLF.PR.H FixedReset Ins Non 1.50 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-02-16
Maturity Price : 20.99
Evaluated at bid price : 20.99
Bid-YTW : 3.21 %
BAM.PR.X FixedReset Disc 1.60 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-02-16
Maturity Price : 14.58
Evaluated at bid price : 14.58
Bid-YTW : 4.03 %
RY.PR.J FixedReset Disc 1.77 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-02-16
Maturity Price : 22.32
Evaluated at bid price : 23.00
Bid-YTW : 3.46 %
TRP.PR.A FixedReset Disc 1.85 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-02-16
Maturity Price : 15.38
Evaluated at bid price : 15.38
Bid-YTW : 4.33 %
TRP.PR.F FloatingReset 2.14 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-02-16
Maturity Price : 13.82
Evaluated at bid price : 13.82
Bid-YTW : 3.63 %
BAM.PF.B FixedReset Disc 2.20 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-02-16
Maturity Price : 19.55
Evaluated at bid price : 19.55
Bid-YTW : 4.33 %
SLF.PR.J FloatingReset 2.44 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-02-16
Maturity Price : 14.70
Evaluated at bid price : 14.70
Bid-YTW : 2.53 %
BAM.PF.G FixedReset Disc 2.77 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-02-16
Maturity Price : 19.30
Evaluated at bid price : 19.30
Bid-YTW : 4.35 %
TD.PF.C FixedReset Disc 2.92 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-02-16
Maturity Price : 21.86
Evaluated at bid price : 22.24
Bid-YTW : 3.30 %
BAM.PR.T FixedReset Disc 3.17 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-02-16
Maturity Price : 17.27
Evaluated at bid price : 17.27
Bid-YTW : 4.16 %
BAM.PR.C Floater 3.44 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-02-16
Maturity Price : 11.13
Evaluated at bid price : 11.13
Bid-YTW : 3.89 %
PWF.PR.P FixedReset Disc 3.60 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-02-16
Maturity Price : 14.40
Evaluated at bid price : 14.40
Bid-YTW : 3.61 %
BAM.PF.E FixedReset Disc 3.65 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-02-16
Maturity Price : 18.45
Evaluated at bid price : 18.45
Bid-YTW : 4.33 %
MFC.PR.F FixedReset Ins Non 3.99 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-02-16
Maturity Price : 15.90
Evaluated at bid price : 15.90
Bid-YTW : 3.03 %
BAM.PR.K Floater 4.30 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-02-16
Maturity Price : 11.16
Evaluated at bid price : 11.16
Bid-YTW : 3.88 %
BAM.PR.R FixedReset Disc 4.50 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-02-16
Maturity Price : 17.19
Evaluated at bid price : 17.19
Bid-YTW : 4.11 %
BAM.PR.B Floater 5.26 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-02-16
Maturity Price : 11.21
Evaluated at bid price : 11.21
Bid-YTW : 3.86 %
Volume Highlights
Issue Index Shares
Traded
Notes
PWF.PR.L Perpetual-Discount 125,750 YTW SCENARIO
Maturity Type : Call
Maturity Date : 2021-03-18
Maturity Price : 25.00
Evaluated at bid price : 25.11
Bid-YTW : 2.29 %
CM.PR.R FixedReset Disc 111,229 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-02-16
Maturity Price : 23.75
Evaluated at bid price : 25.00
Bid-YTW : 3.85 %
TD.PF.J FixedReset Disc 91,300 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-02-16
Maturity Price : 23.25
Evaluated at bid price : 24.30
Bid-YTW : 3.38 %
MFC.PR.C Insurance Straight 76,250 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-02-16
Maturity Price : 24.85
Evaluated at bid price : 25.06
Bid-YTW : 4.55 %
SLF.PR.D Insurance Straight 74,800 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-02-16
Maturity Price : 24.60
Evaluated at bid price : 24.85
Bid-YTW : 4.52 %
CU.PR.G Perpetual-Discount 73,600 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-02-16
Maturity Price : 23.97
Evaluated at bid price : 24.26
Bid-YTW : 4.63 %
There were 47 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: 22.24 – 24.30
Spot Rate : 2.0600
Average : 1.3763

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-02-16
Maturity Price : 21.82
Evaluated at bid price : 22.24
Bid-YTW : 3.44 %

BAM.PF.E FixedReset Disc Quote: 18.45 – 22.24
Spot Rate : 3.7900
Average : 3.1466

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-02-16
Maturity Price : 18.45
Evaluated at bid price : 18.45
Bid-YTW : 4.33 %

CU.PR.F Perpetual-Discount Quote: 22.92 – 24.50
Spot Rate : 1.5800
Average : 0.9557

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-02-16
Maturity Price : 22.66
Evaluated at bid price : 22.92
Bid-YTW : 4.91 %

IFC.PR.F Insurance Straight Quote: 25.85 – 27.24
Spot Rate : 1.3900
Average : 0.8256

YTW SCENARIO
Maturity Type : Call
Maturity Date : 2025-09-30
Maturity Price : 25.25
Evaluated at bid price : 25.85
Bid-YTW : 4.87 %

CU.PR.I FixedReset Prem Quote: 25.61 – 26.40
Spot Rate : 0.7900
Average : 0.4864

YTW SCENARIO
Maturity Type : Call
Maturity Date : 2025-12-01
Maturity Price : 25.00
Evaluated at bid price : 25.61
Bid-YTW : 3.92 %

EIT.PR.B SplitShare Quote: 25.96 – 26.96
Spot Rate : 1.0000
Average : 0.7599

YTW SCENARIO
Maturity Type : Soft Maturity
Maturity Date : 2025-03-14
Maturity Price : 25.00
Evaluated at bid price : 25.96
Bid-YTW : 4.01 %

February PrefLetter Released!

February 15th, 2021

The February, 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.

PrefLetter may now be purchased by all Canadian residents.

Until further notice, the “Previous Edition” will refer to the February, 2021, issue, while the “Next Edition” will be the March, 2021, issue, scheduled to be prepared as of the close March 12, 2021, and eMailed to subscribers prior to market-opening on March15.

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?).

February 12, 2021

February 12th, 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 1.7105 % 2,158.5
FixedFloater 0.00 % 0.00 % 0 0.00 0 1.7105 % 3,960.7
Floater 4.01 % 4.05 % 56,038 17.29 3 1.7105 % 2,282.6
OpRet 0.00 % 0.00 % 0 0.00 0 0.0633 % 3,644.4
SplitShare 4.68 % 4.37 % 36,484 3.67 8 0.0633 % 4,352.2
Interest-Bearing 0.00 % 0.00 % 0 0.00 0 0.0633 % 3,395.8
Perpetual-Premium 5.33 % -5.05 % 69,367 0.09 18 0.0108 % 3,249.9
Perpetual-Discount 4.91 % 4.88 % 75,018 15.49 13 0.0404 % 3,773.5
FixedReset Disc 4.65 % 3.63 % 167,267 17.89 56 0.9391 % 2,522.1
Insurance Straight 4.95 % 4.55 % 82,988 4.07 22 -0.0468 % 3,634.9
FloatingReset 3.11 % 2.59 % 28,056 20.76 2 1.0145 % 2,220.1
FixedReset Prem 5.12 % 2.52 % 230,688 0.93 20 0.1256 % 2,714.1
FixedReset Bank Non 1.80 % 1.66 % 174,047 0.96 1 0.0000 % 2,892.0
FixedReset Ins Non 4.42 % 3.37 % 110,060 18.37 22 -0.1551 % 2,757.9
Performance Highlights
Issue Index Change Notes
MFC.PR.F FixedReset Ins Non -3.35 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-02-12
Maturity Price : 15.29
Evaluated at bid price : 15.29
Bid-YTW : 3.15 %
IAF.PR.I FixedReset Ins Non -1.73 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-02-12
Maturity Price : 23.34
Evaluated at bid price : 24.46
Bid-YTW : 3.43 %
MFC.PR.M FixedReset Ins Non -1.32 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-02-12
Maturity Price : 21.94
Evaluated at bid price : 22.35
Bid-YTW : 3.40 %
IAF.PR.B Insurance Straight -1.16 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-02-12
Maturity Price : 24.50
Evaluated at bid price : 24.73
Bid-YTW : 4.70 %
SLF.PR.J FloatingReset -1.03 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-02-12
Maturity Price : 14.35
Evaluated at bid price : 14.35
Bid-YTW : 2.59 %
BMO.PR.T FixedReset Disc 1.01 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-02-12
Maturity Price : 21.01
Evaluated at bid price : 21.01
Bid-YTW : 3.44 %
CM.PR.O FixedReset Disc 1.10 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-02-12
Maturity Price : 21.08
Evaluated at bid price : 21.08
Bid-YTW : 3.55 %
IFC.PR.C FixedReset Ins Non 1.12 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-02-12
Maturity Price : 21.98
Evaluated at bid price : 22.55
Bid-YTW : 3.49 %
BAM.PF.G FixedReset Disc 1.13 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-02-12
Maturity Price : 18.78
Evaluated at bid price : 18.78
Bid-YTW : 4.47 %
BMO.PR.S FixedReset Disc 1.14 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-02-12
Maturity Price : 21.91
Evaluated at bid price : 22.25
Bid-YTW : 3.33 %
TD.PF.I FixedReset Disc 1.14 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-02-12
Maturity Price : 23.61
Evaluated at bid price : 24.85
Bid-YTW : 3.53 %
TRP.PR.D FixedReset Disc 1.14 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-02-12
Maturity Price : 17.70
Evaluated at bid price : 17.70
Bid-YTW : 4.33 %
RY.PR.H FixedReset Disc 1.18 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-02-12
Maturity Price : 21.90
Evaluated at bid price : 22.26
Bid-YTW : 3.23 %
BIP.PR.A FixedReset Disc 1.25 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-02-12
Maturity Price : 22.17
Evaluated at bid price : 22.76
Bid-YTW : 4.44 %
RY.PR.M FixedReset Disc 1.37 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-02-12
Maturity Price : 21.75
Evaluated at bid price : 22.15
Bid-YTW : 3.46 %
CM.PR.P FixedReset Disc 1.38 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-02-12
Maturity Price : 21.29
Evaluated at bid price : 21.29
Bid-YTW : 3.51 %
BAM.PF.E FixedReset Disc 1.42 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-02-12
Maturity Price : 17.80
Evaluated at bid price : 17.80
Bid-YTW : 4.49 %
BAM.PR.B Floater 1.43 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-02-12
Maturity Price : 10.65
Evaluated at bid price : 10.65
Bid-YTW : 4.07 %
GWO.PR.N FixedReset Ins Non 1.46 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-02-12
Maturity Price : 14.61
Evaluated at bid price : 14.61
Bid-YTW : 3.08 %
BAM.PR.C Floater 1.61 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-02-12
Maturity Price : 10.76
Evaluated at bid price : 10.76
Bid-YTW : 4.02 %
MFC.PR.J FixedReset Ins Non 1.68 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-02-12
Maturity Price : 23.21
Evaluated at bid price : 24.15
Bid-YTW : 3.35 %
BAM.PF.A FixedReset Disc 1.92 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-02-12
Maturity Price : 21.25
Evaluated at bid price : 21.25
Bid-YTW : 4.32 %
BAM.PR.K Floater 2.10 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-02-12
Maturity Price : 10.70
Evaluated at bid price : 10.70
Bid-YTW : 4.05 %
TRP.PR.C FixedReset Disc 2.35 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-02-12
Maturity Price : 12.20
Evaluated at bid price : 12.20
Bid-YTW : 4.19 %
TRP.PR.B FixedReset Disc 2.95 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-02-12
Maturity Price : 11.51
Evaluated at bid price : 11.51
Bid-YTW : 3.85 %
BAM.PR.T FixedReset Disc 3.02 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-02-12
Maturity Price : 16.74
Evaluated at bid price : 16.74
Bid-YTW : 4.29 %
TRP.PR.E FixedReset Disc 3.27 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-02-12
Maturity Price : 17.71
Evaluated at bid price : 17.71
Bid-YTW : 4.29 %
TRP.PR.F FloatingReset 3.28 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-02-12
Maturity Price : 13.53
Evaluated at bid price : 13.53
Bid-YTW : 3.71 %
BAM.PF.B FixedReset Disc 3.35 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-02-12
Maturity Price : 19.13
Evaluated at bid price : 19.13
Bid-YTW : 4.43 %
BAM.PF.F FixedReset Disc 3.44 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-02-12
Maturity Price : 20.12
Evaluated at bid price : 20.12
Bid-YTW : 4.38 %
BAM.PR.X FixedReset Disc 3.91 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-02-12
Maturity Price : 14.35
Evaluated at bid price : 14.35
Bid-YTW : 4.09 %
PWF.PR.T FixedReset Disc 3.93 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-02-12
Maturity Price : 21.15
Evaluated at bid price : 21.15
Bid-YTW : 3.63 %
BAM.PR.R FixedReset Disc 5.31 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-02-12
Maturity Price : 16.45
Evaluated at bid price : 16.45
Bid-YTW : 4.30 %
BMO.PR.Y FixedReset Disc 5.51 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-02-12
Maturity Price : 21.95
Evaluated at bid price : 22.42
Bid-YTW : 3.50 %
BAM.PR.Z FixedReset Disc 5.83 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-02-12
Maturity Price : 21.43
Evaluated at bid price : 21.43
Bid-YTW : 4.22 %
Volume Highlights
Issue Index Shares
Traded
Notes
BNS.PR.G FixedReset Prem 674,100 YTW SCENARIO
Maturity Type : Call
Maturity Date : 2021-07-25
Maturity Price : 25.00
Evaluated at bid price : 25.40
Bid-YTW : 2.48 %
BMO.PR.Y FixedReset Disc 227,300 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-02-12
Maturity Price : 21.95
Evaluated at bid price : 22.42
Bid-YTW : 3.50 %
PWF.PR.P FixedReset Disc 209,900 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-02-12
Maturity Price : 13.90
Evaluated at bid price : 13.90
Bid-YTW : 3.78 %
NA.PR.X FixedReset Prem 162,700 YTW SCENARIO
Maturity Type : Call
Maturity Date : 2021-05-15
Maturity Price : 25.00
Evaluated at bid price : 25.30
Bid-YTW : 0.65 %
GWO.PR.N FixedReset Ins Non 112,350 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-02-12
Maturity Price : 14.61
Evaluated at bid price : 14.61
Bid-YTW : 3.08 %
MFC.PR.F FixedReset Ins Non 101,710 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-02-12
Maturity Price : 15.29
Evaluated at bid price : 15.29
Bid-YTW : 3.15 %
There were 28 other index-included issues trading in excess of 10,000 shares.
Wide Spread Highlights
Issue Index Quote Data and Yield Notes
BAM.PF.E FixedReset Disc Quote: 17.80 – 22.24
Spot Rate : 4.4400
Average : 2.4413

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-02-12
Maturity Price : 17.80
Evaluated at bid price : 17.80
Bid-YTW : 4.49 %

BAM.PR.T FixedReset Disc Quote: 16.74 – 18.18
Spot Rate : 1.4400
Average : 0.7903

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-02-12
Maturity Price : 16.74
Evaluated at bid price : 16.74
Bid-YTW : 4.29 %

SLF.PR.H FixedReset Ins Non Quote: 20.68 – 22.00
Spot Rate : 1.3200
Average : 0.8300

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-02-12
Maturity Price : 20.68
Evaluated at bid price : 20.68
Bid-YTW : 3.26 %

PWF.PR.T FixedReset Disc Quote: 21.15 – 22.00
Spot Rate : 0.8500
Average : 0.5618

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-02-12
Maturity Price : 21.15
Evaluated at bid price : 21.15
Bid-YTW : 3.63 %

TD.PF.D FixedReset Disc Quote: 23.30 – 24.00
Spot Rate : 0.7000
Average : 0.4753

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-02-12
Maturity Price : 22.47
Evaluated at bid price : 23.30
Bid-YTW : 3.45 %

RY.PR.M FixedReset Disc Quote: 22.15 – 23.00
Spot Rate : 0.8500
Average : 0.6267

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-02-12
Maturity Price : 21.75
Evaluated at bid price : 22.15
Bid-YTW : 3.46 %

February 11, 2021

February 11th, 2021
rainbow_210211
Click for Big

S&P has weighed in on the MFC LRCNs discussed yesterday:

S&P Global Ratings said today it assigned its ‘BBB+’ issue-level rating to Manulife Financial Corp.’s (MFC; A/Stable/–) Canadian dollar-denominated limited recourse capital notes.

The notes are subordinated obligations, not callable in the first five years, and have a 60-year maturity. At the same time, MFC will issue an equivalent amount of perpetual preferred shares, also not callable within the first five years, that offer a typical features of preferred shares including subordination to senior obligations and dividend payments payable at MFC’s discretion. The preferred shares will be held in a dedicated trust and the trustee will provide a revocable waiver for all dividends while the shares remain in the trust. We have assigned the same ‘BBB+’ issue-level rating to the preferred shares.

While the notes do not explicitly allow MFC to defer or cancel any payments of interest or principal, the sole recourse the noteholders have for any nonpayment or any event of default is their proportional part of the preferred shares held in the trust. MFC could decide at any point to stop payment on the notes, trigger the delivery of the preferred shares to the noteholders, simultaneously cancel the preferred shares’ dividends, and suffer no negative consequences thereafter. This, in our view, effectively renders the payments on the notes cancelable at MFC’s discretion.

The ‘BBB+’ ratings for both the notes and the preferred shares are two notches below MFC’s issuer credit rating, incorporating a deduction of one notch, reflecting subordination of the issuances; and a deduction of an additional notch, reflecting optional coupon and dividend cancelability.

We have assigned the equity content of the notes and the preferred shares as intermediate, because we view their features as contributing to MFC’s loss-absorption capacity. In addition, the notes and the preferred shares are only redeemable after five years, with no additional incentive to call either at that date. Therefore, the notes’ and preferred shares’ longevity is also a factor in our evaluation of their intermediate equity content.

We do not expect the issuance of the notes to materially change MFC’s financial leverage or fixed-charge coverage because we anticipate the company will use the proceeds mostly to fund upcoming maturities and redemptions. Since the preferred shares are held in trust solely for the purpose of potential recourse to the noteholders, we will exclude them from any capital, leverage, and coverage calculations while the shares remain in the trust.

TXPR closed at 645.98, up 0.68% on the day. Volume today was 5.49-million, by far the highest daily volume in the past 20 trading days, well ahead of second-place February 3 with 3.87-million.

CPD closed at 12.90, up 1.02% on the day. Volume was 59,103, perhaps a little below the median of the past 20 trading days.

ZPR closed at 10.45, up 0.97% on the day. Volume of 433,493 was second-highest of the past 20 trading days, behind only February 4.

Five-year Canada yields were unchanged at 0.49% today.

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 0.7018 % 2,122.2
FixedFloater 0.00 % 0.00 % 0 0.00 0 0.7018 % 3,894.1
Floater 4.07 % 4.12 % 55,570 17.13 3 0.7018 % 2,244.2
OpRet 0.00 % 0.00 % 0 0.00 0 0.0536 % 3,642.1
SplitShare 4.69 % 4.36 % 36,451 3.68 8 0.0536 % 4,349.4
Interest-Bearing 0.00 % 0.00 % 0 0.00 0 0.0536 % 3,393.6
Perpetual-Premium 5.33 % -5.20 % 69,742 0.09 18 0.1063 % 3,249.5
Perpetual-Discount 4.92 % 4.92 % 75,846 15.49 13 0.0747 % 3,772.0
FixedReset Disc 4.70 % 3.74 % 166,883 17.86 56 0.7857 % 2,498.7
Insurance Straight 4.94 % 4.56 % 86,183 4.07 22 0.3794 % 3,636.6
FloatingReset 3.14 % 2.57 % 27,220 20.83 2 7.1845 % 2,197.8
FixedReset Prem 5.12 % 2.73 % 213,592 0.93 20 0.1552 % 2,710.7
FixedReset Bank Non 1.80 % 1.66 % 174,223 0.96 1 0.0000 % 2,892.0
FixedReset Ins Non 4.41 % 3.34 % 107,372 18.34 22 4.5276 % 2,762.2
Performance Highlights
Issue Index Change Notes
BMO.PR.Y FixedReset Disc -3.63 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-02-11
Maturity Price : 21.25
Evaluated at bid price : 21.25
Bid-YTW : 3.74 %
MFC.PR.H FixedReset Ins Non 1.01 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-02-11
Maturity Price : 23.93
Evaluated at bid price : 25.11
Bid-YTW : 3.60 %
BIP.PR.A FixedReset Disc 1.03 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-02-11
Maturity Price : 21.99
Evaluated at bid price : 22.48
Bid-YTW : 4.51 %
BAM.PF.G FixedReset Disc 1.09 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-02-11
Maturity Price : 18.57
Evaluated at bid price : 18.57
Bid-YTW : 4.52 %
BMO.PR.W FixedReset Disc 1.14 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-02-11
Maturity Price : 21.35
Evaluated at bid price : 21.35
Bid-YTW : 3.42 %
SLF.PR.D Insurance Straight 1.14 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-02-11
Maturity Price : 24.55
Evaluated at bid price : 24.80
Bid-YTW : 4.53 %
BMO.PR.S FixedReset Disc 1.15 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-02-11
Maturity Price : 21.73
Evaluated at bid price : 22.00
Bid-YTW : 3.37 %
BMO.PR.E FixedReset Disc 1.18 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-02-11
Maturity Price : 23.00
Evaluated at bid price : 23.98
Bid-YTW : 3.47 %
BAM.PR.Z FixedReset Disc 1.25 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-02-11
Maturity Price : 20.25
Evaluated at bid price : 20.25
Bid-YTW : 4.47 %
BMO.PR.T FixedReset Disc 1.32 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-02-11
Maturity Price : 20.80
Evaluated at bid price : 20.80
Bid-YTW : 3.47 %
BAM.PF.A FixedReset Disc 1.36 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-02-11
Maturity Price : 20.85
Evaluated at bid price : 20.85
Bid-YTW : 4.41 %
TRP.PR.E FixedReset Disc 1.42 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-02-11
Maturity Price : 17.15
Evaluated at bid price : 17.15
Bid-YTW : 4.43 %
NA.PR.S FixedReset Disc 1.52 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-02-11
Maturity Price : 21.32
Evaluated at bid price : 21.32
Bid-YTW : 3.62 %
BAM.PR.X FixedReset Disc 1.54 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-02-11
Maturity Price : 13.81
Evaluated at bid price : 13.81
Bid-YTW : 4.25 %
SLF.PR.E Insurance Straight 1.59 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-02-11
Maturity Price : 24.64
Evaluated at bid price : 24.90
Bid-YTW : 4.56 %
TRP.PR.G FixedReset Disc 1.59 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-02-11
Maturity Price : 19.15
Evaluated at bid price : 19.15
Bid-YTW : 4.48 %
TRP.PR.D FixedReset Disc 1.74 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-02-11
Maturity Price : 17.50
Evaluated at bid price : 17.50
Bid-YTW : 4.38 %
PWF.PR.T FixedReset Disc 1.75 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-02-11
Maturity Price : 20.35
Evaluated at bid price : 20.35
Bid-YTW : 3.78 %
SLF.PR.C Insurance Straight 1.80 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-02-11
Maturity Price : 24.64
Evaluated at bid price : 24.90
Bid-YTW : 4.51 %
TRP.PR.B FixedReset Disc 2.01 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-02-11
Maturity Price : 11.18
Evaluated at bid price : 11.18
Bid-YTW : 3.97 %
IAF.PR.G FixedReset Ins Non 2.08 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-02-11
Maturity Price : 24.13
Evaluated at bid price : 24.50
Bid-YTW : 3.45 %
TRP.PR.A FixedReset Disc 2.25 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-02-11
Maturity Price : 15.02
Evaluated at bid price : 15.02
Bid-YTW : 4.44 %
MFC.PR.I FixedReset Ins Non 2.27 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-02-11
Maturity Price : 23.62
Evaluated at bid price : 24.80
Bid-YTW : 3.41 %
MFC.PR.G FixedReset Ins Non 2.34 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-02-11
Maturity Price : 24.52
Evaluated at bid price : 24.92
Bid-YTW : 3.43 %
MFC.PR.J FixedReset Ins Non 2.37 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-02-11
Maturity Price : 23.43
Evaluated at bid price : 23.75
Bid-YTW : 3.46 %
NA.PR.W FixedReset Disc 2.51 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-02-11
Maturity Price : 20.80
Evaluated at bid price : 20.80
Bid-YTW : 3.56 %
IAF.PR.I FixedReset Ins Non 2.64 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-02-11
Maturity Price : 23.51
Evaluated at bid price : 24.89
Bid-YTW : 3.34 %
BAM.PR.C Floater 2.92 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-02-11
Maturity Price : 10.59
Evaluated at bid price : 10.59
Bid-YTW : 4.09 %
CU.PR.C FixedReset Disc 2.92 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-02-11
Maturity Price : 19.40
Evaluated at bid price : 19.40
Bid-YTW : 3.77 %
SLF.PR.I FixedReset Ins Non 3.00 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-02-11
Maturity Price : 23.42
Evaluated at bid price : 24.00
Bid-YTW : 3.37 %
BAM.PR.T FixedReset Disc 3.11 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-02-11
Maturity Price : 16.25
Evaluated at bid price : 16.25
Bid-YTW : 4.42 %
TRP.PR.C FixedReset Disc 3.47 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-02-11
Maturity Price : 11.92
Evaluated at bid price : 11.92
Bid-YTW : 4.29 %
MFC.PR.Q FixedReset Ins Non 3.68 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-02-11
Maturity Price : 23.06
Evaluated at bid price : 23.95
Bid-YTW : 3.34 %
IFC.PR.G FixedReset Ins Non 4.06 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-02-11
Maturity Price : 22.38
Evaluated at bid price : 22.79
Bid-YTW : 3.58 %
IFC.PR.C FixedReset Ins Non 4.21 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-02-11
Maturity Price : 21.82
Evaluated at bid price : 22.30
Bid-YTW : 3.53 %
IFC.PR.A FixedReset Ins Non 4.85 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-02-11
Maturity Price : 17.30
Evaluated at bid price : 17.30
Bid-YTW : 3.39 %
PWF.PR.P FixedReset Disc 5.95 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-02-11
Maturity Price : 13.90
Evaluated at bid price : 13.90
Bid-YTW : 3.78 %
MFC.PR.K FixedReset Ins Non 7.09 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-02-11
Maturity Price : 22.26
Evaluated at bid price : 22.65
Bid-YTW : 3.23 %
SLF.PR.H FixedReset Ins Non 7.59 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-02-11
Maturity Price : 20.55
Evaluated at bid price : 20.55
Bid-YTW : 3.28 %
MFC.PR.M FixedReset Ins Non 8.63 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-02-11
Maturity Price : 22.14
Evaluated at bid price : 22.65
Bid-YTW : 3.34 %
MFC.PR.N FixedReset Ins Non 9.56 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-02-11
Maturity Price : 22.07
Evaluated at bid price : 22.57
Bid-YTW : 3.28 %
MFC.PR.L FixedReset Ins Non 9.83 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-02-11
Maturity Price : 21.36
Evaluated at bid price : 21.67
Bid-YTW : 3.28 %
SLF.PR.G FixedReset Ins Non 10.18 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-02-11
Maturity Price : 15.15
Evaluated at bid price : 15.15
Bid-YTW : 3.14 %
GWO.PR.N FixedReset Ins Non 12.50 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-02-11
Maturity Price : 14.40
Evaluated at bid price : 14.40
Bid-YTW : 3.12 %
SLF.PR.J FloatingReset 14.62 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-02-11
Maturity Price : 14.50
Evaluated at bid price : 14.50
Bid-YTW : 2.57 %
MFC.PR.F FixedReset Ins Non 14.97 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-02-11
Maturity Price : 15.82
Evaluated at bid price : 15.82
Bid-YTW : 3.04 %
Volume Highlights
Issue Index Shares
Traded
Notes
BNS.PR.G FixedReset Prem 1,314,100 YTW SCENARIO
Maturity Type : Call
Maturity Date : 2021-07-25
Maturity Price : 25.00
Evaluated at bid price : 25.37
Bid-YTW : 2.73 %
MFC.PR.F FixedReset Ins Non 480,225 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-02-11
Maturity Price : 15.82
Evaluated at bid price : 15.82
Bid-YTW : 3.04 %
TD.PF.D FixedReset Disc 340,823 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-02-11
Maturity Price : 22.47
Evaluated at bid price : 23.30
Bid-YTW : 3.45 %
SLF.PR.H FixedReset Ins Non 240,940 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-02-11
Maturity Price : 20.55
Evaluated at bid price : 20.55
Bid-YTW : 3.28 %
MFC.PR.M FixedReset Ins Non 176,930 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-02-11
Maturity Price : 22.14
Evaluated at bid price : 22.65
Bid-YTW : 3.34 %
MFC.PR.K FixedReset Ins Non 149,924 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-02-11
Maturity Price : 22.26
Evaluated at bid price : 22.65
Bid-YTW : 3.23 %
SLF.PR.B Insurance Straight 108,500 YTW SCENARIO
Maturity Type : Call
Maturity Date : 2021-03-13
Maturity Price : 25.00
Evaluated at bid price : 25.21
Bid-YTW : 1.29 %
CM.PR.R FixedReset Disc 100,650 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-02-11
Maturity Price : 23.76
Evaluated at bid price : 25.05
Bid-YTW : 3.84 %
There were 50 other index-included issues trading in excess of 10,000 shares.
Wide Spread Highlights
Issue Index Quote Data and Yield Notes
BMO.PR.Y FixedReset Disc Quote: 21.25 – 22.85
Spot Rate : 1.6000
Average : 0.9658

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-02-11
Maturity Price : 21.25
Evaluated at bid price : 21.25
Bid-YTW : 3.74 %

TRP.PR.E FixedReset Disc Quote: 17.15 – 18.55
Spot Rate : 1.4000
Average : 0.8419

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-02-11
Maturity Price : 17.15
Evaluated at bid price : 17.15
Bid-YTW : 4.43 %

RY.PR.J FixedReset Disc Quote: 22.70 – 23.56
Spot Rate : 0.8600
Average : 0.5139

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-02-11
Maturity Price : 22.14
Evaluated at bid price : 22.70
Bid-YTW : 3.51 %

BAM.PR.Z FixedReset Disc Quote: 20.25 – 21.00
Spot Rate : 0.7500
Average : 0.4486

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-02-11
Maturity Price : 20.25
Evaluated at bid price : 20.25
Bid-YTW : 4.47 %

BAM.PR.R FixedReset Disc Quote: 15.62 – 16.45
Spot Rate : 0.8300
Average : 0.5388

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-02-11
Maturity Price : 15.62
Evaluated at bid price : 15.62
Bid-YTW : 4.53 %

SLF.PR.J FloatingReset Quote: 14.50 – 15.30
Spot Rate : 0.8000
Average : 0.5671

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-02-11
Maturity Price : 14.50
Evaluated at bid price : 14.50
Bid-YTW : 2.57 %

February 10, 2021

February 10th, 2021

Manulife will be issuing LRCNs, provisionally rated A(low) by DBRS:

DBRS Limited (DBRS Morningstar) assigned a provisional rating of A (low) with a Stable trend to Manulife Financial Corporation’s (Manulife or the Company) Limited Recourse Capital Notes (the Capital Notes). DBRS Morningstar assigned the rating equal to the Company’s Issuer Rating of A (high) less two rating notches, which is consistent with DBRS Morningstar’s notching approach for capital instruments issued by insurance holding companies. This is one notch below the rating of Manulife’s Unsecured Subordinated Debentures.

RATING DRIVERS
Given Manulife’s recent ratings upgrade, DBRS Morningstar does not see upward ratings pressure over the intermediate term. Over the longer term, if Manulife continues to improve profitability and de-risk by further reducing its exposures to product guarantees and long-term care products, while maintaining its capital profile, the ratings would be upgraded.

Conversely, persistent weaker and volatile profitability combined with a sustained deterioration in financial leverage and coverage ratios would result in a ratings downgrade. An adverse event causing regulatory capital to decline substantially would also result in a ratings downgrade.

PerpetualDiscounts now yield 4.66%, equivalent to 6.06% interest at the standard equivalency factor of 1.3x. Long corporates now yield 2.98%, so the pre-tax interest-equivalent spread (in this context, the “Seniority Spread”) is sharply narrower at 310bp than the 355bp reported February 3.

HIMIPref™ Preferred Indices
These values reflect the December 2008 revision of the HIMIPref™ Indices

Values are provisional and are finalized monthly
Index Mean
Current
Yield
(at bid)
Median
YTW
Median
Average
Trading
Value
Median
Mod Dur
(YTW)
Issues Day’s Perf. Index Value
Ratchet 0.00 % 0.00 % 0 0.00 0 -0.0638 % 2,107.4
FixedFloater 0.00 % 0.00 % 0 0.00 0 -0.0638 % 3,867.0
Floater 4.10 % 4.12 % 55,566 17.15 3 -0.0638 % 2,228.5
OpRet 0.00 % 0.00 % 0 0.00 0 0.0683 % 3,640.1
SplitShare 4.69 % 4.42 % 37,950 3.68 8 0.0683 % 4,347.1
Interest-Bearing 0.00 % 0.00 % 0 0.00 0 0.0683 % 3,391.8
Perpetual-Premium 5.34 % -5.08 % 69,402 0.08 18 -0.0065 % 3,246.1
Perpetual-Discount 4.92 % 4.66 % 76,890 15.48 13 0.2810 % 3,769.1
FixedReset Disc 4.73 % 3.69 % 156,210 17.68 56 -0.0535 % 2,479.2
Insurance Straight 4.96 % 4.63 % 89,713 15.37 22 0.1085 % 3,622.9
FloatingReset 3.37 % 3.83 % 29,131 17.74 2 3.5384 % 2,050.5
FixedReset Prem 5.13 % 2.92 % 215,579 0.93 20 -0.1687 % 2,706.5
FixedReset Bank Non 1.80 % 1.65 % 175,874 0.96 1 0.0000 % 2,892.0
FixedReset Ins Non 4.61 % 3.53 % 104,092 17.95 22 0.5705 % 2,642.5
Performance Highlights
Issue Index Change Notes
BAM.PR.C Floater -2.74 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-02-10
Maturity Price : 10.29
Evaluated at bid price : 10.29
Bid-YTW : 4.21 %
CU.PR.C FixedReset Disc -2.58 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-02-10
Maturity Price : 18.85
Evaluated at bid price : 18.85
Bid-YTW : 3.88 %
RY.PR.M FixedReset Disc -1.28 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-02-10
Maturity Price : 21.40
Evaluated at bid price : 21.67
Bid-YTW : 3.54 %
MFC.PR.K FixedReset Ins Non 1.10 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-02-10
Maturity Price : 21.15
Evaluated at bid price : 21.15
Bid-YTW : 3.51 %
MFC.PR.F FixedReset Ins Non 1.10 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-02-10
Maturity Price : 13.76
Evaluated at bid price : 13.76
Bid-YTW : 3.50 %
CM.PR.Q FixedReset Disc 1.13 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-02-10
Maturity Price : 21.97
Evaluated at bid price : 22.45
Bid-YTW : 3.60 %
MFC.PR.G FixedReset Ins Non 1.21 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-02-10
Maturity Price : 23.80
Evaluated at bid price : 24.35
Bid-YTW : 3.50 %
BAM.PF.D Perpetual-Discount 1.51 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-02-10
Maturity Price : 24.67
Evaluated at bid price : 24.90
Bid-YTW : 4.97 %
SLF.PR.G FixedReset Ins Non 1.85 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-02-10
Maturity Price : 13.75
Evaluated at bid price : 13.75
Bid-YTW : 3.46 %
MFC.PR.J FixedReset Ins Non 2.56 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-02-10
Maturity Price : 22.88
Evaluated at bid price : 23.20
Bid-YTW : 3.55 %
IFC.PR.A FixedReset Ins Non 2.80 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-02-10
Maturity Price : 16.50
Evaluated at bid price : 16.50
Bid-YTW : 3.55 %
PWF.PR.T FixedReset Disc 2.83 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-02-10
Maturity Price : 20.00
Evaluated at bid price : 20.00
Bid-YTW : 3.85 %
BAM.PR.K Floater 2.94 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-02-10
Maturity Price : 10.52
Evaluated at bid price : 10.52
Bid-YTW : 4.12 %
TRP.PR.F FloatingReset 7.64 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-02-10
Maturity Price : 13.10
Evaluated at bid price : 13.10
Bid-YTW : 3.83 %
Volume Highlights
Issue Index Shares
Traded
Notes
TRP.PR.A FixedReset Disc 151,770 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-02-10
Maturity Price : 14.69
Evaluated at bid price : 14.69
Bid-YTW : 4.54 %
SLF.PR.I FixedReset Ins Non 113,777 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-02-10
Maturity Price : 22.72
Evaluated at bid price : 23.30
Bid-YTW : 3.47 %
TD.PF.G FixedReset Prem 112,350 YTW SCENARIO
Maturity Type : Call
Maturity Date : 2021-04-30
Maturity Price : 25.00
Evaluated at bid price : 25.17
Bid-YTW : 2.98 %
MFC.PR.C Insurance Straight 111,501 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-02-10
Maturity Price : 24.57
Evaluated at bid price : 24.83
Bid-YTW : 4.58 %
BAM.PF.D Perpetual-Discount 108,722 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-02-10
Maturity Price : 24.67
Evaluated at bid price : 24.90
Bid-YTW : 4.97 %
TRP.PR.B FixedReset Disc 84,680 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-02-10
Maturity Price : 10.96
Evaluated at bid price : 10.96
Bid-YTW : 4.04 %
There were 39 other index-included issues trading in excess of 10,000 shares.
Wide Spread Highlights
Issue Index Quote Data and Yield Notes
MFC.PR.N FixedReset Ins Non Quote: 20.60 – 21.50
Spot Rate : 0.9000
Average : 0.5756

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-02-10
Maturity Price : 20.60
Evaluated at bid price : 20.60
Bid-YTW : 3.65 %

CU.PR.D Perpetual-Discount Quote: 25.00 – 25.50
Spot Rate : 0.5000
Average : 0.3047

YTW SCENARIO
Maturity Type : Call
Maturity Date : 2021-09-01
Maturity Price : 25.00
Evaluated at bid price : 25.00
Bid-YTW : 4.44 %

BIK.PR.A FixedReset Prem Quote: 25.75 – 26.25
Spot Rate : 0.5000
Average : 0.3160

YTW SCENARIO
Maturity Type : Call
Maturity Date : 2024-03-31
Maturity Price : 25.00
Evaluated at bid price : 25.75
Bid-YTW : 5.07 %

SLF.PR.H FixedReset Ins Non Quote: 19.10 – 19.80
Spot Rate : 0.7000
Average : 0.5262

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-02-10
Maturity Price : 19.10
Evaluated at bid price : 19.10
Bid-YTW : 3.53 %

BAM.PR.C Floater Quote: 10.29 – 10.75
Spot Rate : 0.4600
Average : 0.3008

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-02-10
Maturity Price : 10.29
Evaluated at bid price : 10.29
Bid-YTW : 4.21 %

IFC.PR.C FixedReset Ins Non Quote: 21.40 – 21.90
Spot Rate : 0.5000
Average : 0.3491

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-02-10
Maturity Price : 21.40
Evaluated at bid price : 21.40
Bid-YTW : 3.73 %

February 9, 2021

February 9th, 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 -2.4565 % 2,108.7
FixedFloater 0.00 % 0.00 % 0 0.00 0 -2.4565 % 3,869.4
Floater 4.10 % 4.10 % 56,280 17.19 3 -2.4565 % 2,230.0
OpRet 0.00 % 0.00 % 0 0.00 0 0.0244 % 3,637.7
SplitShare 4.69 % 4.48 % 38,103 3.68 8 0.0244 % 4,344.1
Interest-Bearing 0.00 % 0.00 % 0 0.00 0 0.0244 % 3,389.5
Perpetual-Premium 5.34 % -4.60 % 70,245 0.09 18 0.1934 % 3,246.3
Perpetual-Discount 4.93 % 4.88 % 77,125 15.44 13 0.2190 % 3,758.6
FixedReset Disc 4.73 % 3.69 % 155,511 17.75 56 0.3702 % 2,480.5
Insurance Straight 4.97 % 4.66 % 90,247 15.33 22 0.0633 % 3,618.9
FloatingReset 3.49 % 2.93 % 23,075 19.87 2 -3.0409 % 1,980.4
FixedReset Prem 5.12 % 2.78 % 212,268 0.94 20 0.0353 % 2,711.1
FixedReset Bank Non 1.80 % 1.65 % 178,168 0.97 1 0.0000 % 2,892.0
FixedReset Ins Non 4.64 % 3.55 % 98,052 17.87 22 0.0129 % 2,627.5
Performance Highlights
Issue Index Change Notes
TRP.PR.F FloatingReset -6.74 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-02-09
Maturity Price : 12.17
Evaluated at bid price : 12.17
Bid-YTW : 4.13 %
BAM.PR.K Floater -4.49 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-02-09
Maturity Price : 10.22
Evaluated at bid price : 10.22
Bid-YTW : 4.24 %
IFC.PR.A FixedReset Ins Non -2.73 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-02-09
Maturity Price : 16.05
Evaluated at bid price : 16.05
Bid-YTW : 3.66 %
TRP.PR.C FixedReset Disc -2.39 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-02-09
Maturity Price : 11.42
Evaluated at bid price : 11.42
Bid-YTW : 4.48 %
BAM.PR.C Floater -1.67 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-02-09
Maturity Price : 10.58
Evaluated at bid price : 10.58
Bid-YTW : 4.09 %
MFC.PR.J FixedReset Ins Non -1.65 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-02-09
Maturity Price : 22.33
Evaluated at bid price : 22.62
Bid-YTW : 3.64 %
BAM.PR.B Floater -1.21 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-02-09
Maturity Price : 10.57
Evaluated at bid price : 10.57
Bid-YTW : 4.10 %
CU.PR.C FixedReset Disc -1.02 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-02-09
Maturity Price : 19.35
Evaluated at bid price : 19.35
Bid-YTW : 3.78 %
GWO.PR.N FixedReset Ins Non 1.11 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-02-09
Maturity Price : 12.75
Evaluated at bid price : 12.75
Bid-YTW : 3.53 %
TD.PF.B FixedReset Disc 1.18 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-02-09
Maturity Price : 21.48
Evaluated at bid price : 21.48
Bid-YTW : 3.41 %
BAM.PF.C Perpetual-Discount 1.19 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-02-09
Maturity Price : 24.37
Evaluated at bid price : 24.65
Bid-YTW : 4.97 %
NA.PR.W FixedReset Disc 1.24 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-02-09
Maturity Price : 20.36
Evaluated at bid price : 20.36
Bid-YTW : 3.64 %
BMO.PR.S FixedReset Disc 1.41 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-02-09
Maturity Price : 21.34
Evaluated at bid price : 21.65
Bid-YTW : 3.42 %
BAM.PR.R FixedReset Disc 1.89 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-02-09
Maturity Price : 15.60
Evaluated at bid price : 15.60
Bid-YTW : 4.53 %
BMO.PR.Y FixedReset Disc 2.33 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-02-09
Maturity Price : 21.66
Evaluated at bid price : 22.00
Bid-YTW : 3.58 %
RY.PR.H FixedReset Disc 2.63 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-02-09
Maturity Price : 21.61
Evaluated at bid price : 21.86
Bid-YTW : 3.30 %
CM.PR.Q FixedReset Disc 2.73 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-02-09
Maturity Price : 21.80
Evaluated at bid price : 22.20
Bid-YTW : 3.65 %
CU.PR.H Perpetual-Premium 3.40 % YTW SCENARIO
Maturity Type : Call
Maturity Date : 2021-09-01
Maturity Price : 25.75
Evaluated at bid price : 25.85
Bid-YTW : 3.89 %
SLF.PR.G FixedReset Ins Non 3.85 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-02-09
Maturity Price : 13.50
Evaluated at bid price : 13.50
Bid-YTW : 3.53 %
BAM.PF.F FixedReset Disc 4.48 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-02-09
Maturity Price : 19.35
Evaluated at bid price : 19.35
Bid-YTW : 4.56 %
Volume Highlights
Issue Index Shares
Traded
Notes
W.PR.M FixedReset Prem 251,547 YTW SCENARIO
Maturity Type : Call
Maturity Date : 2021-10-15
Maturity Price : 25.00
Evaluated at bid price : 25.50
Bid-YTW : 2.79 %
BAM.PR.K Floater 212,980 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-02-09
Maturity Price : 10.22
Evaluated at bid price : 10.22
Bid-YTW : 4.24 %
TD.PF.G FixedReset Prem 152,800 YTW SCENARIO
Maturity Type : Call
Maturity Date : 2021-04-30
Maturity Price : 25.00
Evaluated at bid price : 25.20
Bid-YTW : 2.39 %
IAF.PR.G FixedReset Ins Non 101,100 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-02-09
Maturity Price : 23.56
Evaluated at bid price : 24.00
Bid-YTW : 3.51 %
NA.PR.W FixedReset Disc 88,000 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-02-09
Maturity Price : 20.36
Evaluated at bid price : 20.36
Bid-YTW : 3.64 %
BMO.PR.C FixedReset Disc 82,500 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-02-09
Maturity Price : 23.85
Evaluated at bid price : 25.10
Bid-YTW : 3.76 %
There were 48 other index-included issues trading in excess of 10,000 shares.
Wide Spread Highlights
Issue Index Quote Data and Yield Notes
PWF.PR.T FixedReset Disc Quote: 19.45 – 20.99
Spot Rate : 1.5400
Average : 0.8596

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-02-09
Maturity Price : 19.45
Evaluated at bid price : 19.45
Bid-YTW : 3.96 %

TRP.PR.F FloatingReset Quote: 12.17 – 13.24
Spot Rate : 1.0700
Average : 0.6606

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-02-09
Maturity Price : 12.17
Evaluated at bid price : 12.17
Bid-YTW : 4.13 %

MFC.PR.J FixedReset Ins Non Quote: 22.62 – 23.23
Spot Rate : 0.6100
Average : 0.3691

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-02-09
Maturity Price : 22.33
Evaluated at bid price : 22.62
Bid-YTW : 3.64 %

TD.PF.D FixedReset Disc Quote: 23.20 – 24.00
Spot Rate : 0.8000
Average : 0.5780

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-02-09
Maturity Price : 22.42
Evaluated at bid price : 23.20
Bid-YTW : 3.47 %

BAM.PR.K Floater Quote: 10.22 – 10.80
Spot Rate : 0.5800
Average : 0.3712

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-02-09
Maturity Price : 10.22
Evaluated at bid price : 10.22
Bid-YTW : 4.24 %

EIT.PR.B SplitShare Quote: 26.00 – 27.00
Spot Rate : 1.0000
Average : 0.7962

YTW SCENARIO
Maturity Type : Soft Maturity
Maturity Date : 2025-03-14
Maturity Price : 25.00
Evaluated at bid price : 26.00
Bid-YTW : 3.95 %

DFN.PR.A To Get Bigger

February 9th, 2021

Quadravest has announced:

Dividend 15 Split Corp. (the “Company”) is pleased to announce it will undertake an offering of Preferred Shares and Class A Shares of the Company. The offering will be led by National Bank Financial Inc.

The Preferred Shares will be offered at a price of $10.00 per Preferred Share to yield 5.5% and the Class A Shares will be offered at a price of $7.15 per Class A Share to yield 16.8%.

The closing price on the TSX of each of the Preferred Shares and Class A Shares on February 8, 2021 was $10.33 and
$7.20, respectively.

Since inception of the Company, the aggregate dividends declared on the Preferred Shares have been $8.89 per share and the aggregate dividends declared on the Class A Shares have been $23.30 per share (including five special distributions of $0.25 per share, one special distribution of $0.50 per share and one special stock dividend of $1.75 per share), for a combined total of $32.19 per unit. All distributions paid to date have been made in tax advantage eligible Canadian dividends or capital gains dividends.

The net proceeds of the offering will be used by the Company to invest in an actively managed, high quality portfolio consisting of 15 dividend yielding Canadian companies as follows:

Bank of Montreal Enbridge Inc. TC Energy
The Bank of Nova Scotia Manulife Financial Corp. TELUS Corporation
BCE Inc. National Bank of Canada Thomson Reuters Corp.
Canadian Imperial Bank of Commerce Royal Bank of Canada The Toronto-Dominion Bank
CI Financial Corp. Sun Life Financial Inc. TransAlta Corporation

Preferred Shares:
i. to provide holders of the Preferred Shares with fixed, cumulative preferential monthly cash dividends in the
amount of 5.50% annually; and
ii. on or about the termination date, currently December 1, 2024 (subject to further 5 year extensions thereafter and it has been extended in the past), to pay the holders of the Preferred Shares $10.00 per Preferred Share.

Class A Shares:
i. to provide holders of the Class A Shares with regular monthly cash dividends currently targeted to be $0.10 per
share; and
ii. on or about the termination date, currently December 1, 2024 (subject to further 5 year extensions thereafter and it has been extended in the past) to pay holders of Class A Shares at least the original issue price of those shares.

The sales period of this overnight offering will end at 9:00 a.m. EST on February 10, 2021. The offering is expected to close on or about February 17, 2021 and is subject to certain closing conditions including approval by the TSX.

The NAVPU as of January 29 was 15.54 and Whole Units are being offered at 17.15 so, ignoring interim valuation changes, the premium is 10.4% … not a bad business to be in at all!

Update, 2021-2-17: The offering was very successful:

Dividend 15 Split Corp. (the “Company”) is pleased to announce it has completed the overnight offering of Preferred Shares and Class A Shares of the Company. Total gross proceeds of the offering were $92.2 million, bringing the Company’s net assets to approximately $1.0 billion.

MAPF Performance : January 2021

February 9th, 2021

Malachite Aggressive Preferred Fund’s Net Asset Value per Unit as of the close January 29, 2021, was $8.7395.

Six issues held at month-end returned less than 0% over the month: IFC.PR.A, IFC.PR.C, FTN.PR.A, CF.PR.C, BMO.PR.Y and SLF.PR.E, with a total weight in the portfolio (at month-end) of 11.7%. Star performers were PPL.PR.E, PPL.PR.O, INE.PR.A, TA.PR.D, AZP.PR.B, BPO.PR.R and BPO.PR.N, all returning in excess of 10% with a total month-end portfolio weight of 5.2%.

Quote quality remained fair this month, with the difference in portfolio values when calculated with closing prices vs. calculation with bid prices decreasing from 0.67% to 0.52%.

Returns to January 29, 2021
Period MAPF TXPR*
Total Return
CPD – according to Blackrock
One Month +4.11% +2.56% N/A
Three Months +20.77% +10.48% N/A
One Year +15.40% +8.82% +8.13%
Two Years (annualized) +7.76% +6.41% N/A
Three Years (annualized) -0.77% +0.70% +0.08%
Four Years (annualized) +4.18% +3.17% N/A
Five Years (annualized) +9.90% +7.07% +6.50%
Six Years (annualized) +3.02% +1.97% N/A
Seven Years (annualized) +3.27% +1.83% N/A
Eight Years (annualized) +2.39% +1.29% N/A
Nine Years (annualized) +2.89% +1.63% N/A
Ten Years (annualized) +3.06% +2.12% +1.63%
Eleven Years (annualized) +4.32% +2.73%  
Twelve Years (annualized) +7.72% +4.25%  
Thirteen Years (annualized) +7.50% +2.71%  
Fourteen Years (annualized) +6.99%    
Fifteen Years (annualized) +6.90%    
Sixteen Years (annualized) +6.82%    
Seventeen Years (annualized) +7.10%    
Eighteen Years (annualized) +8.13%    
Nineteen Years (annualized) +7.84%    
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 +3.23%, +12.55% and +10.31%, respectively, according to Globe & Mail / Fundata after all fees & expenses. Three year performance is +1.46%; five year is +6.97%; ten year is +2.78%

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 +3.16%, +13.48% & +9.76%, respectively. Three year performance is -0.41%, five-year is +6.77%
Figures for National Bank Preferred Equity Fund (formerly Altamira Preferred Equity Fund) are +3.15%, +13.66% and +10.18% for one-, three- and twelve months, respectively. Three year performance is -0.21%; five-year is +6.99%.

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 +9.93% for the past twelve months. Two year performance is +5.95%, three year is -0.23%, five year is +7.50%.
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 +2.48%, +10.35% and +8.76% for the past one-, three- and twelve-months, respectively. Two year performance is +4.37%; three year is -2.01%; five-year is +4.18%.
Figures for PowerShares Canadian Preferred Share Index Class, Series F (PPS) are +8.40% for the past twelve months. The three-year figure is -0.59%; five years is +7.11%
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 +3.90%, +15.39% and +3.66% for the past one, three and twelve months, respectively. Three year performance is -2.61%, five-year is +4.10%.
Figures for the Desjardins Canadian Preferred Share Fund A Class (A Class), as reported by the company are +2.62%, +10.44% and +7.79% for the past one, three and twelve months, respectively. Two year performance is +4.38%, three-year is -1.37%
Figures for the RBC Canadian Preferred Share ETF (RPF) as reported by Morningstar are +3.43%, +13.59% and +10.01% for the past one, three and twelve months, respectively. Three-year performance is -0.87%

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

The preferred share market continues to be underpriced relative to other capital markets, leaving a lot of room for outsized gains. The Seniority Spread (the interest-equivalent yield on reasonably liquid, investment-grade PerpetualDiscounts less the yield on long term corporate bonds) is extremely elevated (chart end-date 2021-1-8):

PL_210108_Body_Chart_1
Click for Big

Note that the Seniority Spread was recorded at 355bp just after month-end, significantly narrower than the 375bp just before year-end. As a good practical example of the spreads between markets, consider that CIU issued a long-term bond in early September, 2019 yielding 2.963%, about 411bp cheaper than the interest-equivalent figure of 7.07% for CIU.PR.A, which was then yielding about 5.44% as a dividend. CIU issued another bond in late September, 2020, yielding 2.609%, which was 399bp cheaper than the interest-equivalent figure of 6.60% for CIU.

… and the relationship between five-year Canada yields and yields on investment-grade FixedResets is still deep in ‘decoupled panic’ territory (chart end-date 2021-1-8):

PL_210108_Body_Chart_5
Click for Big

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

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

In this connection, it is useful to review some recent commentary regarding the preferred share market. Rob Carrick recently published a column with the title Rob Carrick: Does it make sense to use preferred shares as a bond substitute?, in which he gave a nod to the old shibboleth:

But does it truly make sense to substitute prefs for bonds? Not if you subscribe to the idea that the main point of bonds is not to generate income and returns, but rather to act as a portfolio life preserver when the stock market turns ugly.

… but then noted the crucial point:

Perpetuals are somewhat less touchy, but they’re not to be counted on in a stock market crash.

This distinction is meaningless to investors who are all about income and fine with portfolios that bounce around in price.

As I never get tired of repeating, Fixed Income portfolio management is a process that largely consists of balancing Security of Income vs. Security of Principal. These are opposing forces; the more you have of one, the less you’ll have of the other. And preferred shares are way, way over to the “security of income” pole. So in bad times … Shut up and Clip Your Coupons!

Financial Wisdom Forum’s long-running thread on preferred shares recently featured a series of posts which often deprecated preferred shares with some participants advocating market timing:

The thing about prefs is that timing is everything. You buy them when they’re being thrown out with the bathwater and you’ll be golden.

Yes, there’s money to be made, but only if the shares are in the order of a 30% discount.

If you care about total return, preferred shares probably aren’t for you, (unless of course you are interested in trading them or you have a crystal ball regarding interest rates).

If you want something that pays a decent, tax efficient dividend, in a non-registered account, and share price isn’t important, then straight perpetual preferred shares are probably fine (caveat for a few years with respect to NVCC – will no longer qualify as Tier 1 Capital post 2022). Suitable for the retired. Anything else – not so much. They all seem to favour the issuer.

Sure the market value is volatile but I don’t plan on selling so it doesn’t matter to me, barring default.

The part I’d like to focus on is:

Yes, there’s money to be made, but only if the shares are in the order of a 30% discount.

This is close – but not quite – to stating an essential point about Fixed Income investing: total returns are asymmetrical: you can lose a lot more than you can win. This is why credit quality is so important – a bankruptcy, or even a mere impairment, is going to take you a long way down the ‘bad side’ of the asymmetrical probability curve. But another point, often ignored, is that this implies that discounted issues are, all else being equal, better investments than premium issues: in good times, discounted issues can win a lot more than premium issues, which are tethered to their par value due to considerations of maturity or possible redemption. In bad times, they’ll lose a little more, since discounted issues have no ‘buffer’ to insulate them, while premium issues (and, to a lesser extent, issues trading modestly below par) have such a buffer that absorbs a portion of the shock – this is easier to understand in terms option values and volatility theory, as the negative value of the embedded option is reduced as the issue moves further away from par.

The implication for MAPF is that there is a bias towards holding issues trading well away from par value, which almost always means discounted issues. It’s only a bias, not a hard and fast rule, but this bias was deliberately built into the system in order to reduce the asymmetry of the projected returns curve. This means that MAPF will usually hold a portfolio more heavily weighted towards low coupon – low priced issues than the index and be correspondingly underweighted in high coupon – high priced instruments.

This in turn has the effect of introducing a bias in returns: MAPF will often underperform in poor markets (as it holds fewer of the better performing high-coupon issues than the index) and outperform in good markets (as it holds fewer of the worse performing high-coupon issues than the index). This is only a tendency, not an iron-clad rule, but the effect is there and it means that MAPF has a higher Beta than it might otherwise have, if you enjoy thinking in terms of investment models from the last century. And at all times, of course, the fund seeks to trade and exploit market inefficiencies, which mitigates but does not eliminate the effect.

On another FWF forum, there has been speculation that the fine performance of FixedResets since March, 2020, has been due to a conscious focus on spreads:

ZPR was up approximately 6% for 2020. Is this a reversal of the trend to follow interest rates downward? Perhaps investors will focus on the spread between preferred versus bond yields going forward rather than an irrational rush to the exits whenever prefs are resetting at lower rates.

[reply] It’s already happening. That’s why ZPR has finally had a positive year in a declining rate environment.

Well, this is something I would like to agree with. I’ve been pounding the ‘spreads’ drum for a long time…

Unfortunately, while one can only rarely point to a single mechanism explaining a change in relative prices and say, with any credibility whatsoever, that A caused B, I have to admit I’m more dubious than usual about this claim. I believe that the continued rally is due to continued interest rate anticipation, which is now (for some investors) considered to be on the way up rather than continuing the downward staggering of the past ten years; this in turn is derived from Central Bank ‘easy money’ policies and very loose government fiscal policies; which is considered to be on the verge of driving inflation upwards.

Who’s right? Well, we’ll know in ten years, at a time when half of the investing world will graciously explain at length how their uncanny ability to read global market forces allowed them to time the market and make enormous profits, while the other half will tell you the question is irrelevant because investing is about the future, not the past. My advice is, as always, to make asset allocation decisions based on the long-term characteristics of each asset class and how these characteristics interact with your long-term portfolio objectives.

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

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

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

FixedReset (Discount) performance on the month was +3.16% vs. PerpetualDiscounts of +0.45% in January; the two classes finally decoupled in mid-November, 2018, after months of moving in lockstep:

HIMI_indexPerf_210129
Click for Big

Floaters performed well, returning +6.80% for December but the past twelve months is still negative at -2.20%. Look at the long-term performance:

HIMI_floaterPerf_210129
Click for Big

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

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

impVol_TRP_210129
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The two issues with floors, TRP.PR.J (+469, minimum 5.50%) and TRP.PR.K (+385, minimum 4.90%) are $1.17 and $2.13 rich, respectively. These figures are much narrower than the 2.38 and 3.08 calculated with last month’s figures. The floors have become effective since five-year Canadas dipped below 0.81% and 1.05%, respectively.

It will also be noted that the spread of a notional non-callable TRP FixedReset priced at par has narrowed from 401bp last month to 376bp this month, while GOC-5 has remained constant at 0.42%.

I also show results for the BAM series of FixedResets, which includes three issues with dividend floors: BAM.PF.H (+417, Minimum 5.00%); BAM.PF.I (+386, Minimum 4.80%); and BAM.PF.J (+310, Minimum 4.75%); surprisingly, these issues show mixed results compared to their non-floor siblings, being cheap 2.09, cheap 1.79, and cheap 1.74 respectively, respectively, very different from last month’s figures of cheap 0.28, rich 0.09 and cheap 0.59. I note that it is normal for premium issues in a rising market to be cheap, since investors have an expectation for continued rising prices (and therefore an ‘automatic’ redemption), without considering the possibility of a market reversal, in which case the higher spreads will prove to be very useful.

impVol_BAM_210129
Click for Big

It will also be noted that the spread of a notional non-callable BAM FixedReset priced at par has narrowed significantly over the month; 416bp last month to 397bp this month, while GOC-5 has remained constant at 0.42%.

*****

Relative performance during the month was correlated (12%) with Issue Reset Spreads for the “Pfd-2 Group” but uncorrelated for the “Pfd-3 Group” issues:

perfFR_210129_1Mo
Click for Big

… with Pfd-2 Group correlation for the three-month period of 48%, negligible for Pfd-3:

perfFR_210129_3Mo
Click for Big

This suggests to me that November commenced an actual theme, one based on an expectation of higher government interest rates in the future (perhaps due to renewed hopes that the introduction of coronavirus vaccines will return things to normal) and that this theme has continued through January, finally replacing the uncorrelated messes we’ve seen through much of the market’s recovery since the end of March, 2020.

As for the future, of course, it’s one thing to say that ‘spreads are unsustainable and so are government yields’ and it’s quite another to forecast just how and when a more economically sustainable environment will take effect. It could be years. The same caution applies for an end to the overpricing of issues with a minimum rate guarantee.

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

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

Calculation of MAPF Sustainable Income Per Unit
Month NAVPU Portfolio
Average
YTW
Leverage
Divisor
Securities
Average
YTW
Capital
Gains
Multiplier
Sustainable
Income
per
current
Unit
June, 2007 9.3114 5.16% 1.03 5.01% 1.3240 0.3524
September 9.1489 5.35% 0.98 5.46% 1.3240 0.3773
December, 2007 9.0070 5.53% 0.942 5.87% 1.3240 0.3993
March, 2008 8.8512 6.17% 1.047 5.89% 1.3240 0.3938
June 8.3419 6.034% 0.952 6.338% 1.3240 $0.3993
September 8.1886 7.108% 0.969 7.335% 1.3240 $0.4537
December, 2008 8.0464 9.24% 1.008 9.166% 1.3240 $0.5571
March 2009 $8.8317 8.60% 0.995 8.802% 1.3240 $0.5872
June 10.9846 7.05% 0.999 7.057% 1.3240 $0.5855
September 12.3462 6.03% 0.998 6.042% 1.3240 $0.5634
December 2009 10.5662 5.74% 0.981 5.851% 1.1141 $0.5549
March 2010 10.2497 6.03% 0.992 6.079% 1.1141 $0.5593
June 10.5770 5.96% 0.996 5.984% 1.1141 $0.5681
September 11.3901 5.43% 0.980 5.540% 1.1141 $0.5664
December 2010 10.7659 5.37% 0.993 5.408% 1.0298 $0.5654
March, 2011 11.0560 6.00% 0.994 5.964% 1.0298 $0.6403
June 11.1194 5.87% 1.018 5.976% 1.0298 $0.6453
September 10.2709 6.10%
Note
1.001 6.106% 1.0298 $0.6090
December, 2011 10.0793 5.63%
Note
1.031 5.805% 1.0000 $0.5851
March, 2012 10.3944 5.13%
Note
0.996 5.109% 1.0000 $0.5310
June 10.2151 5.32%
Note
1.012 5.384% 1.0000 $0.5500
September 10.6703 4.61%
Note
0.997 4.624% 1.0000 $0.4934
December, 2012 10.8307 4.24% 0.989 4.287% 1.0000 $0.4643
March, 2013 10.9033 3.87% 0.996 3.886% 1.0000 $0.4237
June 10.3261 4.81% 0.998 4.80% 1.0000 $0.4957
September 10.0296 5.62% 0.996 5.643% 1.0000 $0.5660
December, 2013 9.8717 6.02% 1.008 5.972% 1.0000 $0.5895
March, 2014 10.2233 5.55% 0.998 5.561% 1.0000 $0.5685
June 10.5877 5.09% 0.998 5.100% 1.0000 $0.5395
September 10.4601 5.28% 0.997 5.296% 1.0000 $0.5540
December, 2014 10.5701 4.83% 1.009 4.787% 1.0000 $0.5060
March, 2015 9.9573 4.99% 1.001 4.985% 1.0000 $0.4964
June, 2015 9.4181 5.55% 1.002 5.539% 1.0000 $0.5217
September 7.8140 6.98% 0.999 6.987% 1.0000 $0.5460
December, 2015 8.1379 6.85% 0.997 6.871% 1.0000 $0.5592
March, 2016 7.4416 7.79% 0.998 7.805% 1.0000 $0.5808
June 7.6704 7.67% 1.011 7.587% 1.0000 $0.5819
September 8.0590 7.35% 0.993 7.402% 1.0000 $0.5965
December, 2016 8.5844 7.24% 0.990 7.313% 1.0000 $0.6278
March, 2017 9.3984 6.26% 0.994 6.298% 1.0000 $0.5919
June 9.5313 6.41% 0.998 6.423% 1.0000 $0.6122
September 9.7129 6.56% 0.998 6.573% 1.0000 $0.6384
December, 2017 10.0566 6.06% 1.004 6.036% 1.0000 $0.6070
March, 2018 10.2701 6.22% 1.007 6.177% 1.0000 $0.6344
June 10.2518 6.22% 0.995 6.251% 1.0000 $0.6408
September 10.2965 6.62% 1.018 6.503% 1.0000 $0.6696
December, 2018 8.6875 7.16% 0.997 7.182% 1.0000 $0.6240
March, 2019 8.4778 7.09% 1.007 7.041% 1.0000 $0.5969
June 8.0896 7.33% 0.996 7.359% 1.0000 $0.5953
September 7.7948 7.96% 0.998 7.976% 1.0000 $0.6217
December, 2019 8.0900 6.03% 0.995 6.060% 1.0000 $0.4903
March 5.5596 7.04% 1.006 6.998% 1.0000 $0.3891
June 6.3568 6.10% 0.9900 6.162% 1.0000 $0.3917
September 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
January, 2021 8.7395 4.34% 1.001 4.336% 1.0000 $0.3789
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%
January, 2021 0.42% 0.07%

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

February 8, 2021

February 9th, 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 1.6756 % 2,161.8
FixedFloater 0.00 % 0.00 % 0 0.00 0 1.6756 % 3,966.9
Floater 4.00 % 4.05 % 51,997 17.30 3 1.6756 % 2,286.1
OpRet 0.00 % 0.00 % 0 0.00 0 0.0146 % 3,636.8
SplitShare 4.69 % 4.41 % 36,971 3.68 8 0.0146 % 4,343.1
Interest-Bearing 0.00 % 0.00 % 0 0.00 0 0.0146 % 3,388.6
Perpetual-Premium 5.35 % -5.20 % 69,008 0.09 18 -0.2580 % 3,240.0
Perpetual-Discount 4.94 % 4.69 % 77,073 15.39 13 0.1347 % 3,750.4
FixedReset Disc 4.75 % 3.74 % 156,276 17.71 56 -0.2604 % 2,471.4
Insurance Straight 4.97 % 4.63 % 89,064 15.35 22 -0.1536 % 3,616.6
FloatingReset 3.38 % 3.85 % 30,365 17.72 2 0.9445 % 2,042.5
FixedReset Prem 5.12 % 2.76 % 196,544 0.94 20 -0.1665 % 2,710.1
FixedReset Bank Non 1.80 % 1.64 % 185,487 0.97 1 0.0400 % 2,892.0
FixedReset Ins Non 4.64 % 3.57 % 92,325 17.88 22 0.0000 % 2,627.2
Performance Highlights
Issue Index Change Notes
BAM.PF.F FixedReset Disc -3.69 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-02-08
Maturity Price : 18.52
Evaluated at bid price : 18.52
Bid-YTW : 4.77 %
SLF.PR.G FixedReset Ins Non -3.20 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-02-08
Maturity Price : 13.00
Evaluated at bid price : 13.00
Bid-YTW : 3.66 %
BMO.PR.Y FixedReset Disc -2.93 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-02-08
Maturity Price : 21.50
Evaluated at bid price : 21.50
Bid-YTW : 3.69 %
CU.PR.H Perpetual-Premium -2.91 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-02-08
Maturity Price : 24.68
Evaluated at bid price : 25.00
Bid-YTW : 5.25 %
CM.PR.Q FixedReset Disc -2.88 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-02-08
Maturity Price : 21.32
Evaluated at bid price : 21.61
Bid-YTW : 3.76 %
BAM.PR.R FixedReset Disc -1.86 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-02-08
Maturity Price : 15.31
Evaluated at bid price : 15.31
Bid-YTW : 4.62 %
RY.PR.H FixedReset Disc -1.53 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-02-08
Maturity Price : 21.30
Evaluated at bid price : 21.30
Bid-YTW : 3.41 %
TD.PF.J FixedReset Disc -1.33 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-02-08
Maturity Price : 22.97
Evaluated at bid price : 23.73
Bid-YTW : 3.48 %
TD.PF.B FixedReset Disc -1.26 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-02-08
Maturity Price : 21.23
Evaluated at bid price : 21.23
Bid-YTW : 3.45 %
SLF.PR.B Insurance Straight -1.22 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-02-08
Maturity Price : 24.82
Evaluated at bid price : 25.04
Bid-YTW : 4.84 %
SLF.PR.A Insurance Straight -1.19 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-02-08
Maturity Price : 24.68
Evaluated at bid price : 25.00
Bid-YTW : 4.79 %
MFC.PR.M FixedReset Ins Non -1.15 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-02-08
Maturity Price : 20.67
Evaluated at bid price : 20.67
Bid-YTW : 3.72 %
RY.PR.J FixedReset Disc -1.13 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-02-08
Maturity Price : 22.18
Evaluated at bid price : 22.76
Bid-YTW : 3.50 %
BAM.PR.Z FixedReset Disc 1.01 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-02-08
Maturity Price : 19.95
Evaluated at bid price : 19.95
Bid-YTW : 4.54 %
MFC.PR.K FixedReset Ins Non 1.02 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-02-08
Maturity Price : 20.81
Evaluated at bid price : 20.81
Bid-YTW : 3.57 %
BAM.PR.K Floater 1.42 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-02-08
Maturity Price : 10.70
Evaluated at bid price : 10.70
Bid-YTW : 4.05 %
SLF.PR.J FloatingReset 1.61 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-02-08
Maturity Price : 12.60
Evaluated at bid price : 12.60
Bid-YTW : 2.96 %
BAM.PR.C Floater 1.70 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-02-08
Maturity Price : 10.76
Evaluated at bid price : 10.76
Bid-YTW : 4.02 %
BAM.PR.B Floater 1.90 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-02-08
Maturity Price : 10.70
Evaluated at bid price : 10.70
Bid-YTW : 4.05 %
TRP.PR.E FixedReset Disc 2.09 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-02-08
Maturity Price : 17.10
Evaluated at bid price : 17.10
Bid-YTW : 4.45 %
TRP.PR.G FixedReset Disc 2.45 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-02-08
Maturity Price : 18.85
Evaluated at bid price : 18.85
Bid-YTW : 4.55 %
GWO.PR.N FixedReset Ins Non 2.52 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-02-08
Maturity Price : 12.61
Evaluated at bid price : 12.61
Bid-YTW : 3.57 %
Volume Highlights
Issue Index Shares
Traded
Notes
NA.PR.C FixedReset Disc 75,550 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-02-08
Maturity Price : 23.65
Evaluated at bid price : 25.00
Bid-YTW : 3.89 %
SLF.PR.B Insurance Straight 73,594 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-02-08
Maturity Price : 24.82
Evaluated at bid price : 25.04
Bid-YTW : 4.84 %
BAM.PF.G FixedReset Disc 71,775 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-02-08
Maturity Price : 18.33
Evaluated at bid price : 18.33
Bid-YTW : 4.57 %
TD.PF.G FixedReset Prem 64,970 YTW SCENARIO
Maturity Type : Call
Maturity Date : 2021-04-30
Maturity Price : 25.00
Evaluated at bid price : 25.20
Bid-YTW : 2.36 %
RY.PR.R FixedReset Prem 62,585 YTW SCENARIO
Maturity Type : Call
Maturity Date : 2021-08-24
Maturity Price : 25.00
Evaluated at bid price : 25.32
Bid-YTW : 2.73 %
BAM.PF.A FixedReset Disc 60,700 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-02-08
Maturity Price : 20.54
Evaluated at bid price : 20.54
Bid-YTW : 4.47 %
There were 29 other index-included issues trading in excess of 10,000 shares.
Wide Spread Highlights
Issue Index Quote Data and Yield Notes
GWO.PR.Q Insurance Straight Quote: 25.28 – 27.30
Spot Rate : 2.0200
Average : 1.1406

YTW SCENARIO
Maturity Type : Call
Maturity Date : 2021-09-30
Maturity Price : 25.00
Evaluated at bid price : 25.28
Bid-YTW : 4.28 %

EIT.PR.B SplitShare Quote: 25.85 – 26.85
Spot Rate : 1.0000
Average : 0.5728

YTW SCENARIO
Maturity Type : Soft Maturity
Maturity Date : 2025-03-14
Maturity Price : 25.00
Evaluated at bid price : 25.85
Bid-YTW : 4.11 %

CU.PR.H Perpetual-Premium Quote: 25.00 – 25.91
Spot Rate : 0.9100
Average : 0.6139

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-02-08
Maturity Price : 24.68
Evaluated at bid price : 25.00
Bid-YTW : 5.25 %

BMO.PR.Y FixedReset Disc Quote: 21.50 – 22.22
Spot Rate : 0.7200
Average : 0.4543

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-02-08
Maturity Price : 21.50
Evaluated at bid price : 21.50
Bid-YTW : 3.69 %

IFC.PR.E Insurance Straight Quote: 25.72 – 26.35
Spot Rate : 0.6300
Average : 0.3816

YTW SCENARIO
Maturity Type : Call
Maturity Date : 2025-06-30
Maturity Price : 25.25
Evaluated at bid price : 25.72
Bid-YTW : 4.85 %

PWF.PR.P FixedReset Disc Quote: 12.90 – 13.60
Spot Rate : 0.7000
Average : 0.4562

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-02-08
Maturity Price : 12.90
Evaluated at bid price : 12.90
Bid-YTW : 4.08 %