February 6, 2019

February 6th, 2019

PerpetualDiscounts now yield 5.65%, equivalent to 7.34% interest at the standard conversion factor of 1.3x. Long corporates now yield about 3.95%, so the pre-tax interest-equivalent spread (in this context, the “Seniority Spread”) is now about 340bp, a slight (and perhaps spurious) narrowing from the 345bp reported January 30.

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

Values are provisional and are finalized monthly
Index Mean
Current
Yield
(at bid)
Median
YTW
Median
Average
Trading
Value
Median
Mod Dur
(YTW)
Issues Day’s Perf. Index Value
Ratchet 0.00 % 0.00 % 0 0.00 0 -0.8600 % 2,297.8
FixedFloater 0.00 % 0.00 % 0 0.00 0 -0.8600 % 4,216.3
Floater 5.10 % 5.39 % 31,151 14.81 4 -0.8600 % 2,429.9
OpRet 0.00 % 0.00 % 0 0.00 0 0.1499 % 3,226.3
SplitShare 4.90 % 4.87 % 65,446 3.97 8 0.1499 % 3,852.9
Interest-Bearing 0.00 % 0.00 % 0 0.00 0 0.1499 % 3,006.2
Perpetual-Premium 5.86 % -0.90 % 91,804 0.08 4 0.1492 % 2,886.9
Perpetual-Discount 5.58 % 5.65 % 72,807 14.30 31 0.2754 % 2,983.0
FixedReset Disc 5.06 % 5.44 % 217,632 14.81 65 0.1554 % 2,245.8
Deemed-Retractible 5.35 % 6.28 % 101,105 8.16 27 0.5102 % 2,966.4
FloatingReset 4.31 % 5.42 % 63,023 8.49 6 -0.0559 % 2,446.2
FixedReset Prem 5.14 % 4.23 % 268,468 2.30 18 0.2142 % 2,531.8
FixedReset Bank Non 2.79 % 3.91 % 155,199 2.86 5 0.2241 % 2,598.6
FixedReset Ins Non 5.03 % 7.01 % 131,661 8.25 22 -0.3065 % 2,212.5
Performance Highlights
Issue Index Change Notes
SLF.PR.G FixedReset Ins Non -2.53 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2030-01-31
Maturity Price : 25.00
Evaluated at bid price : 14.62
Bid-YTW : 9.30 %
RY.PR.J FixedReset Disc -1.46 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-02-06
Maturity Price : 21.34
Evaluated at bid price : 21.63
Bid-YTW : 5.25 %
HSE.PR.A FixedReset Disc -1.39 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-02-06
Maturity Price : 14.15
Evaluated at bid price : 14.15
Bid-YTW : 6.16 %
PWF.PR.A Floater -1.35 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-02-06
Maturity Price : 15.39
Evaluated at bid price : 15.39
Bid-YTW : 4.49 %
MFC.PR.L FixedReset Ins Non -1.33 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2030-01-31
Maturity Price : 25.00
Evaluated at bid price : 17.87
Bid-YTW : 8.11 %
MFC.PR.M FixedReset Ins Non -1.32 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2030-01-31
Maturity Price : 25.00
Evaluated at bid price : 18.75
Bid-YTW : 7.73 %
CM.PR.P FixedReset Disc -1.17 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-02-06
Maturity Price : 18.63
Evaluated at bid price : 18.63
Bid-YTW : 5.53 %
MFC.PR.F FixedReset Ins Non -1.10 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2030-01-31
Maturity Price : 25.00
Evaluated at bid price : 14.39
Bid-YTW : 9.29 %
GWO.PR.N FixedReset Ins Non -1.09 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2030-01-31
Maturity Price : 25.00
Evaluated at bid price : 14.54
Bid-YTW : 9.12 %
BAM.PR.K Floater -1.08 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-02-06
Maturity Price : 12.86
Evaluated at bid price : 12.86
Bid-YTW : 5.44 %
MFC.PR.K FixedReset Ins Non -1.07 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2030-01-31
Maturity Price : 25.00
Evaluated at bid price : 19.40
Bid-YTW : 7.38 %
RY.PR.Z FixedReset Disc 1.03 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-02-06
Maturity Price : 19.65
Evaluated at bid price : 19.65
Bid-YTW : 5.21 %
GWO.PR.G Deemed-Retractible 1.05 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2030-01-31
Maturity Price : 25.00
Evaluated at bid price : 23.03
Bid-YTW : 6.31 %
GWO.PR.I Deemed-Retractible 1.09 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2030-01-31
Maturity Price : 25.00
Evaluated at bid price : 20.38
Bid-YTW : 7.04 %
GWO.PR.T Deemed-Retractible 1.09 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2030-01-31
Maturity Price : 25.00
Evaluated at bid price : 23.15
Bid-YTW : 6.19 %
BIP.PR.D FixedReset Disc 1.11 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-02-06
Maturity Price : 22.30
Evaluated at bid price : 22.80
Bid-YTW : 6.12 %
CCS.PR.C Deemed-Retractible 1.12 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2030-01-31
Maturity Price : 25.00
Evaluated at bid price : 22.65
Bid-YTW : 6.30 %
SLF.PR.D Deemed-Retractible 1.23 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2030-01-31
Maturity Price : 25.00
Evaluated at bid price : 20.55
Bid-YTW : 6.88 %
MFC.PR.J FixedReset Ins Non 1.37 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2030-01-31
Maturity Price : 25.00
Evaluated at bid price : 21.39
Bid-YTW : 6.58 %
BMO.PR.S FixedReset Disc 1.38 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-02-06
Maturity Price : 19.77
Evaluated at bid price : 19.77
Bid-YTW : 5.33 %
CU.PR.C FixedReset Disc 1.49 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-02-06
Maturity Price : 19.05
Evaluated at bid price : 19.05
Bid-YTW : 5.40 %
PWF.PR.L Perpetual-Discount 1.52 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-02-06
Maturity Price : 22.44
Evaluated at bid price : 22.70
Bid-YTW : 5.65 %
GWO.PR.S Deemed-Retractible 1.60 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2030-01-31
Maturity Price : 25.00
Evaluated at bid price : 24.20
Bid-YTW : 5.75 %
CU.PR.H Perpetual-Discount 1.62 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-02-06
Maturity Price : 23.07
Evaluated at bid price : 23.45
Bid-YTW : 5.59 %
BAM.PR.M Perpetual-Discount 1.86 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-02-06
Maturity Price : 20.85
Evaluated at bid price : 20.85
Bid-YTW : 5.78 %
BAM.PR.N Perpetual-Discount 1.91 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-02-06
Maturity Price : 20.85
Evaluated at bid price : 20.85
Bid-YTW : 5.78 %
IFC.PR.F Deemed-Retractible 2.19 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2030-01-31
Maturity Price : 25.00
Evaluated at bid price : 23.35
Bid-YTW : 6.25 %
BAM.PF.D Perpetual-Discount 2.95 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-02-06
Maturity Price : 21.71
Evaluated at bid price : 22.00
Bid-YTW : 5.63 %
BIP.PR.F FixedReset Disc 3.43 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-02-06
Maturity Price : 21.66
Evaluated at bid price : 22.03
Bid-YTW : 5.85 %
Volume Highlights
Issue Index Shares
Traded
Notes
RY.PR.M FixedReset Disc 226,000 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-02-06
Maturity Price : 21.15
Evaluated at bid price : 21.15
Bid-YTW : 5.22 %
TD.PF.A FixedReset Disc 142,350 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-02-06
Maturity Price : 19.78
Evaluated at bid price : 19.78
Bid-YTW : 5.23 %
RY.PR.H FixedReset Disc 132,750 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-02-06
Maturity Price : 19.90
Evaluated at bid price : 19.90
Bid-YTW : 5.20 %
RY.PR.Q FixedReset Prem 131,500 YTW SCENARIO
Maturity Type : Call
Maturity Date : 2021-05-24
Maturity Price : 25.00
Evaluated at bid price : 25.75
Bid-YTW : 4.02 %
TD.PF.L FixedReset Prem 89,927 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-02-06
Maturity Price : 23.21
Evaluated at bid price : 25.20
Bid-YTW : 5.04 %
PWF.PR.K Perpetual-Discount 81,320 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-02-06
Maturity Price : 21.47
Evaluated at bid price : 21.73
Bid-YTW : 5.73 %
There were 28 other index-included issues trading in excess of 10,000 shares.
Wide Spread Highlights
Issue Index Quote Data and Yield Notes
CM.PR.Q FixedReset Disc Quote: 21.22 – 21.76
Spot Rate : 0.5400
Average : 0.3691

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-02-06
Maturity Price : 21.22
Evaluated at bid price : 21.22
Bid-YTW : 5.41 %

SLF.PR.G FixedReset Ins Non Quote: 14.62 – 15.07
Spot Rate : 0.4500
Average : 0.3116

YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2030-01-31
Maturity Price : 25.00
Evaluated at bid price : 14.62
Bid-YTW : 9.30 %

TRP.PR.K FixedReset Disc Quote: 24.38 – 24.74
Spot Rate : 0.3600
Average : 0.2268

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-02-06
Maturity Price : 23.10
Evaluated at bid price : 24.38
Bid-YTW : 5.74 %

PWF.PR.S Perpetual-Discount Quote: 21.30 – 21.69
Spot Rate : 0.3900
Average : 0.2575

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-02-06
Maturity Price : 21.30
Evaluated at bid price : 21.30
Bid-YTW : 5.68 %

MFC.PR.J FixedReset Ins Non Quote: 21.39 – 21.73
Spot Rate : 0.3400
Average : 0.2128

YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2030-01-31
Maturity Price : 25.00
Evaluated at bid price : 21.39
Bid-YTW : 6.58 %

CM.PR.P FixedReset Disc Quote: 18.63 – 19.05
Spot Rate : 0.4200
Average : 0.2936

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-02-06
Maturity Price : 18.63
Evaluated at bid price : 18.63
Bid-YTW : 5.53 %

BIK.PR.A Firm on Good Volume

February 5th, 2019

Brookfield Infrastructure has announced:

the completion of its previously announced issuance of $100,000,000 of Senior Preferred Shares, Series 1 (“Series 1 Shares”). The offering was underwritten by a syndicate of underwriters led by TD Securities Inc., BMO Capital Markets, CIBC Capital Markets, RBC Capital Markets and Scotiabank.

The Series 1 Shares were issued by BIP Investment Corporation (“BIPIC”), a wholly-owned subsidiary of Brookfield Infrastructure, and are fully and unconditionally guaranteed by Brookfield Infrastructure and certain of its key holding subsidiaries. BIPIC issued 4,000,000 Series 1 Shares at a price of $25.00 per share, for total gross proceeds of $100,000,000. Holders of the Series 1 Shares will be entitled to receive a cumulative quarterly fixed dividend at a rate of 5.85% annually for the initial period ending March 31, 2024. Thereafter, the dividend rate will be reset every five years at a rate equal to the greater of: (i) the 5-year Government of Canada bond yield plus 3.96%, and (ii) 5.85%. The Series 1 Shares will commence trading on the Toronto Stock Exchange this morning under the ticker BIK.PR.A.

The net proceeds of the issue of the Series 1 Shares will be used to fund new investments and/or for general working capital purposes.

BIK.PR.A is a FixedReset, 5.85%+396M585, announced 2019-1-29. It will be tracked by HIMIPref™ and has been assigned to the FixedReset (Premium) sub-index.

The issue traded 327,789 shares today in a range of 24.95-15 before closing at 25.06-09. Vital statistics are:

BIK.PR.A FixedReset Prem YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-02-05
Maturity Price : 23.17
Evaluated at bid price : 25.06
Bid-YTW : 5.78 %

February 5, 2019

February 5th, 2019
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 1.0727 % 2,317.7
FixedFloater 0.00 % 0.00 % 0 0.00 0 1.0727 % 4,252.9
Floater 5.06 % 5.36 % 31,722 14.86 4 1.0727 % 2,450.9
OpRet 0.00 % 0.00 % 0 0.00 0 -0.0150 % 3,221.5
SplitShare 4.91 % 4.98 % 68,110 3.97 8 -0.0150 % 3,847.2
Interest-Bearing 0.00 % 0.00 % 0 0.00 0 -0.0150 % 3,001.7
Perpetual-Premium 5.87 % 1.82 % 92,591 0.08 4 0.0298 % 2,882.6
Perpetual-Discount 5.58 % 5.73 % 75,596 14.27 31 0.2010 % 2,974.8
FixedReset Disc 5.06 % 5.47 % 218,046 14.81 65 0.4005 % 2,242.3
Deemed-Retractible 5.38 % 6.35 % 93,621 8.14 27 0.1220 % 2,951.3
FloatingReset 4.31 % 5.38 % 63,453 8.50 6 0.2990 % 2,447.6
FixedReset Prem 5.15 % 4.28 % 272,030 2.30 18 -0.0715 % 2,526.4
FixedReset Bank Non 2.79 % 3.83 % 143,640 2.86 5 0.1163 % 2,592.8
FixedReset Ins Non 5.01 % 6.99 % 135,883 8.26 22 1.0517 % 2,219.3
Performance Highlights
Issue Index Change Notes
BIP.PR.F FixedReset Disc -1.84 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-02-05
Maturity Price : 21.30
Evaluated at bid price : 21.30
Bid-YTW : 6.07 %
TD.PF.C FixedReset Disc -1.27 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-02-05
Maturity Price : 19.40
Evaluated at bid price : 19.40
Bid-YTW : 5.33 %
RY.PR.Z FixedReset Disc -1.07 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-02-05
Maturity Price : 19.45
Evaluated at bid price : 19.45
Bid-YTW : 5.26 %
TRP.PR.A FixedReset Disc 1.01 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-02-05
Maturity Price : 16.06
Evaluated at bid price : 16.06
Bid-YTW : 5.94 %
TD.PF.J FixedReset Disc 1.03 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-02-05
Maturity Price : 22.11
Evaluated at bid price : 22.65
Bid-YTW : 5.08 %
CCS.PR.C Deemed-Retractible 1.13 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2030-01-31
Maturity Price : 25.00
Evaluated at bid price : 22.40
Bid-YTW : 6.44 %
BAM.PF.F FixedReset Disc 1.14 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-02-05
Maturity Price : 20.46
Evaluated at bid price : 20.46
Bid-YTW : 5.85 %
BAM.PR.C Floater 1.17 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-02-05
Maturity Price : 13.00
Evaluated at bid price : 13.00
Bid-YTW : 5.38 %
MFC.PR.H FixedReset Ins Non 1.19 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2030-01-31
Maturity Price : 25.00
Evaluated at bid price : 22.08
Bid-YTW : 6.37 %
BAM.PF.C Perpetual-Discount 1.19 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-02-05
Maturity Price : 21.21
Evaluated at bid price : 21.21
Bid-YTW : 5.80 %
IAF.PR.G FixedReset Ins Non 1.25 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2030-01-31
Maturity Price : 25.00
Evaluated at bid price : 20.20
Bid-YTW : 6.99 %
ELF.PR.H Perpetual-Discount 1.26 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-02-05
Maturity Price : 23.65
Evaluated at bid price : 24.15
Bid-YTW : 5.73 %
W.PR.J Perpetual-Discount 1.27 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-02-05
Maturity Price : 23.69
Evaluated at bid price : 24.00
Bid-YTW : 5.88 %
PWF.PR.A Floater 1.36 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-02-05
Maturity Price : 15.60
Evaluated at bid price : 15.60
Bid-YTW : 4.43 %
BAM.PR.K Floater 1.40 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-02-05
Maturity Price : 13.00
Evaluated at bid price : 13.00
Bid-YTW : 5.38 %
BIP.PR.E FixedReset Disc 1.42 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-02-05
Maturity Price : 21.45
Evaluated at bid price : 21.45
Bid-YTW : 5.91 %
BAM.PF.J FixedReset Disc 1.45 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-02-05
Maturity Price : 23.08
Evaluated at bid price : 24.50
Bid-YTW : 5.00 %
HSE.PR.C FixedReset Disc 1.50 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-02-05
Maturity Price : 20.30
Evaluated at bid price : 20.30
Bid-YTW : 6.21 %
NA.PR.G FixedReset Disc 1.50 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-02-05
Maturity Price : 21.88
Evaluated at bid price : 22.33
Bid-YTW : 5.29 %
BMO.PR.Y FixedReset Disc 1.52 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-02-05
Maturity Price : 21.32
Evaluated at bid price : 21.32
Bid-YTW : 5.31 %
IFC.PR.E Deemed-Retractible 1.55 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2030-01-31
Maturity Price : 25.00
Evaluated at bid price : 22.90
Bid-YTW : 6.38 %
TD.PF.I FixedReset Disc 1.61 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-02-05
Maturity Price : 22.59
Evaluated at bid price : 23.40
Bid-YTW : 5.12 %
MFC.PR.I FixedReset Ins Non 1.70 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2030-01-31
Maturity Price : 25.00
Evaluated at bid price : 20.90
Bid-YTW : 6.84 %
BAM.PF.B FixedReset Disc 1.85 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-02-05
Maturity Price : 19.81
Evaluated at bid price : 19.81
Bid-YTW : 5.76 %
SLF.PR.H FixedReset Ins Non 2.23 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2030-01-31
Maturity Price : 25.00
Evaluated at bid price : 17.91
Bid-YTW : 7.61 %
SLF.PR.G FixedReset Ins Non 2.39 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2030-01-31
Maturity Price : 25.00
Evaluated at bid price : 15.00
Bid-YTW : 8.99 %
BIP.PR.A FixedReset Disc 2.44 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-02-05
Maturity Price : 21.00
Evaluated at bid price : 21.00
Bid-YTW : 6.46 %
TD.PF.D FixedReset Disc 2.51 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-02-05
Maturity Price : 21.64
Evaluated at bid price : 22.05
Bid-YTW : 5.20 %
BMO.PR.W FixedReset Disc 2.72 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-02-05
Maturity Price : 19.25
Evaluated at bid price : 19.25
Bid-YTW : 5.32 %
HSE.PR.A FixedReset Disc 3.24 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-02-05
Maturity Price : 14.35
Evaluated at bid price : 14.35
Bid-YTW : 6.08 %
RY.PR.J FixedReset Disc 3.54 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-02-05
Maturity Price : 21.57
Evaluated at bid price : 21.95
Bid-YTW : 5.17 %
MFC.PR.F FixedReset Ins Non 3.63 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2030-01-31
Maturity Price : 25.00
Evaluated at bid price : 14.55
Bid-YTW : 9.16 %
MFC.PR.K FixedReset Ins Non 6.17 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2030-01-31
Maturity Price : 25.00
Evaluated at bid price : 19.61
Bid-YTW : 7.25 %
Volume Highlights
Issue Index Shares
Traded
Notes
BIK.PR.A FixedReset Prem 327,789 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-02-05
Maturity Price : 23.17
Evaluated at bid price : 25.06
Bid-YTW : 5.78 %
BAM.PF.J FixedReset Disc 121,610 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-02-05
Maturity Price : 23.08
Evaluated at bid price : 24.50
Bid-YTW : 5.00 %
MFC.PR.O FixedReset Ins Non 74,055 YTW SCENARIO
Maturity Type : Call
Maturity Date : 2021-06-19
Maturity Price : 25.00
Evaluated at bid price : 25.99
Bid-YTW : 4.19 %
TD.PF.G FixedReset Prem 64,680 YTW SCENARIO
Maturity Type : Call
Maturity Date : 2021-04-30
Maturity Price : 25.00
Evaluated at bid price : 25.81
Bid-YTW : 4.02 %
CM.PR.R FixedReset Disc 54,019 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-02-05
Maturity Price : 22.59
Evaluated at bid price : 23.35
Bid-YTW : 5.43 %
RY.PR.A Deemed-Retractible 43,340 YTW SCENARIO
Maturity Type : Call
Maturity Date : 2019-03-07
Maturity Price : 25.00
Evaluated at bid price : 25.03
Bid-YTW : 0.17 %
There were 26 other index-included issues trading in excess of 10,000 shares.
Wide Spread Highlights
Issue Index Quote Data and Yield Notes
IFC.PR.G FixedReset Ins Non Quote: 20.50 – 21.80
Spot Rate : 1.3000
Average : 0.9161

YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2030-01-31
Maturity Price : 25.00
Evaluated at bid price : 20.50
Bid-YTW : 7.15 %

NA.PR.G FixedReset Disc Quote: 22.33 – 23.00
Spot Rate : 0.6700
Average : 0.4566

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-02-05
Maturity Price : 21.88
Evaluated at bid price : 22.33
Bid-YTW : 5.29 %

CCS.PR.C Deemed-Retractible Quote: 22.40 – 23.00
Spot Rate : 0.6000
Average : 0.4238

YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2030-01-31
Maturity Price : 25.00
Evaluated at bid price : 22.40
Bid-YTW : 6.44 %

W.PR.M FixedReset Prem Quote: 24.85 – 25.28
Spot Rate : 0.4300
Average : 0.2796

YTW SCENARIO
Maturity Type : Call
Maturity Date : 2021-10-15
Maturity Price : 25.00
Evaluated at bid price : 24.85
Bid-YTW : 5.61 %

GWO.PR.I Deemed-Retractible Quote: 20.16 – 20.48
Spot Rate : 0.3200
Average : 0.2099

YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2030-01-31
Maturity Price : 25.00
Evaluated at bid price : 20.16
Bid-YTW : 7.18 %

MFC.PR.C Deemed-Retractible Quote: 20.09 – 20.39
Spot Rate : 0.3000
Average : 0.1916

YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2030-01-31
Maturity Price : 25.00
Evaluated at bid price : 20.09
Bid-YTW : 7.24 %

Toronto Rock Lacrosse Ticket Giveaway – Update #5

February 5th, 2019

I have ten nine eight seven six five pairs of Toronto Rock Lacrosse tickets to give away! Congratulations to Assiduous Reader BLANK, who won the tickets to the Feb. 15 game against the San Diego Seals!

In early March I will declare the lucky winner of the March 16 tickets to see Rock play Rochester. Get your requests in early!

The games take place at the Air Canada Centre Scotiabank Arena and the seats are very good. Just tell me which ones you would like and feel free to enter multiple times. A decision regarding who gets tickets will be made two weeks before each game and I will mail them to the lucky winner; while preference will be given to customers and those who tell me they’ve got a kid who plays lacrosse, anybody can win. If you win and don’t want your name publicized, that’s fine.

The games are:

Toronto Rock Lacrosse Ticket Giveaway
Date Opponent
Friday
2018-12-28
7:30pm
Georgia Swarm
Friday
2019-1-4
7:30pm
Philadelphia Wings
Friday
2019-1-18
7:30pm
Georgia Swarm
Friday
2019-2-1
7:30pm
Saskatchewan Rush
Friday
2019-2-15
7:30pm
San Diego Seals
Saturday
2019-3-16
7:00pm
Rochester Knighthawks
Saturday
2019-3-30
7:00pm
Philadelphia Wings
Friday
2019-4-5
7:30pm
Buffalo Bandits
Friday
2019-4-12
7:30pm
New England Black Wolves
???
???
???
Home Playoff Game #1
If there is one!

The games are a lot of fun. One thing that has impressed me is that these guys’ technical skills are so good they can concentrate on strategy … there are a lot fewer loose balls than I remember from my days of box lacrosse at age 10!

The play-off game? There’s no guarantee that there will be one, but you could always try your luck and ask for them.

To try your luck at receiving a pair of tickets, just eMail me or comment on this post.

*** Contest rules are subject to change without notice ***
*** I may be entirely capricious in selecting winners

FTS.PR.K Reset Rate to Remain Secret

February 4th, 2019

I sent three eMails of inquiry (on 1/31, 2/1 and 2/4) to Fortis Investor Relations regarding the reset rate for FTS.PR.K:

Will the captioned security be redeemed? Or will the dividend rate be reset, with a conversion option? Will there be a press release, similar to the press releases of your competitors for capital, Enbridge and Pembina Pipelines, with respect to their issues resetting on the same date?

I finally got a reply today well after the close of business:

Good Evening Mr. Hymas,

Thank you for contacting Fortis Inc. Fortis does not intend to exercise its right to redeem all or any part of the currently outstanding Cumulative Redeemable Fixed Rate Reset First Preference Shares, Series K of the Corporation (the “Series K Shares”) on March 1, 2019.

Subject to certain conditions set out in the prospectus supplement of the Corporation dated July 9, 2013 to the base shelf prospectus of the Corporation dated May 10, 2012 relating to the issuance of the Series K Shares, the holders of the Series K Shares have the right to convert all or part of their Series K Shares, on a one-for-one basis, into Cumulative Redeemable Floating Rate First Preference Shares, Series L of the Corporation (the “Series L Shares”) on March 1, 2019 (the “Conversion Date”). This prospectus is on the Fortis website.

You should check CDS Advisory Bulletins for ongoing corporate actions relating to the conversion and/or redemption of Series K first preference shares. Furthermore, Fortis will be announcing the new dividend rate for the Series K upon the board of directors approval and declaration, which should occur around mid-February.

If you have any further questions please let me know.

There is a lot to complain about here.

First is the question of timing:

Fortis will be announcing the new dividend rate for the Series K upon the board of directors approval and declaration, which should occur around mid-February.

I note from the prospectus:

The holders of Series K First Preference Shares will have the right, at their option, to convert any or all of their Series K First Preference Shares into an equal number of Cumulative Redeemable Floating Rate First Preference Shares, Series L of the Corporation (the “Series L First Preference Shares”), subject to certain conditions, on March 1, 2019, and on March 1 every fifth year thereafter (each, a “Series K Conversion Date”).

The conversion of the Series K First Preference Shares may be effected by delivery to the Corporation of written notice thereof not earlier than the 30th day prior to, but not later than 5:00 p.m. (Toronto time) on the 15th day preceding, a Series K Conversion Date.

So March 1, 2019, is a Series K Conversion Date and the deadline for notification of conversion is the 15th day preceding this date, which is February 14, which is “around mid-February”. So the deadline for notification of conversion and the public announcement of the new rate will occur more or less simultaneously.

However, we may also note, from the prospectus, that:

“Fixed Rate Calculation Date” means, for any Subsequent Fixed Rate Period, the 30th day prior to the first day of such Subsequent Fixed Rate Period.

“Subsequent Fixed Rate Period” means, for the initial Subsequent Fixed Rate Period, the period commencing on March 1, 2019 to, but excluding, March 1, 2024 and, for each succeeding Subsequent Fixed Rate Period, the period commencing on the first day of March immediately following the end of the immediately preceding Subsequent Fixed Rate Period to, but excluding, March 1 in the fifth year thereafter.

The Corporation will, on the Fixed Rate Calculation Date, give written notice of the Annual Fixed Dividend Rate for the ensuing Subsequent Fixed Rate Period to the registered holders of the then outstanding Series K First Preference Shares.

So we may assume that Fortis has followed the letter of the prospectus and has already notified the “registered holders” of FTS.PR.K of the reset rate.

One thing sometimes forgotten when discussing “registered holders” nowadays is that there is usually exactly one registered holder: the depositary, which maintains accounts for each of its participants (brokerages) which in turn maintain accounts for each of their customers. This is called a “book based” system and is described in the prospectus, from which the following is extracted:

Except as otherwise provided below, the Series K First Preference Shares and the Series L First Preference Shares will be issued in a “book entry only” form and must be purchased or transferred through participants (“Participants”) in the depository service of CDS Clearing and Depository Services Inc. (“CDS”) or its nominee which include securities brokers and dealers, banks and trust companies. On the Closing Date, the Corporation will cause a global certificate representing the Series K First Preference Shares to be delivered to, and registered in the name of, CDS or its nominee. Except as otherwise provided below, no purchaser of Series K First Preference Shares or Series L First Preference Shares will be entitled to a certificate or other instrument from the Corporation or CDS evidencing that purchaser’s ownership, and no purchaser will be shown on the records maintained by CDS except through a book entry account of a Participant acting on behalf of the purchaser. Each purchaser of Series K First Preference Shares or Series L First Preference Shares will receive a customer confirmation of purchase from the registered dealer from which the Series K First Preference Shares or Series L First Preference Shares are purchased in accordance with the practices and procedures of the dealer. The practices of registered dealers may vary, but generally customer confirmations are issued promptly after execution of a customer order.

So what this means is that CDS has been notified, at which point Fortis has taken no further action to disseminate the information; refusing even to answer direct questions to their Investor Relations Department.

This is ridiculous. This is selective disclosure – perhaps not in law, but for all practical purposes this means that CDS (an entity controlled by the Toronto Stock Exchange) and the brokerages (who are “participants” in CDS) are getting notification of the news and are then advising clients at some later time when they damn well choose.

As far as interested investors and advisors are concerned, I’ve looked up how to get access to the CDS Advisory Bulletins:

The Advisory Bulletins service provides issuers an additional facility to communicate extraordinary details related to pending, ongoing or completed entitlements and corporate actions.

Delivery: Web, MT564/MT568 (ISO 15022)

Depending upon the nature of the message, the details of the bulletin will also be delivered via MT564 – Entitlements Notification and MT568 – Entitlements Narrative message.

Pricing: $1,125

Access the product sheet.

Contact us for pricing and other information

Non – CDS Participant Inquiries for CDS Innovation /TMX Datalinx
Email: datasales@tmx.com

CDS Participant & Issuer Inquiries
Client Relationship Managers cdscdccrelationshipmgmt@tmx.com

I have written to the Exchange:

What is the cost to subscribe to the captioned service? May these bulletins be purchased individually?

There is nothing filed regarding this matter on SEDAR, that bastion of brokerage privilege. Fortis seems very eager to pad the profits of TMX Group Limited!

I’m sure Fortis is operating within the letter of the laws and regulations and I’m sure they’ve got large legal bills to prove it. But I consider the lack of immediate public disclosure – which is standard for its competitors, I can’t think of a single other exception to this practice off the top of my head – to be contrary to the spirit of the regulations.

Given the obsession of Fortis management with keeping this information strictly under wraps, to the extent of refusing to answer a direct question regarding the reset rate when selective disclosure has already been made, I am unable to publish a formal recommendation regarding whether FTS.PR.K security holders should convert or hold their shares.

February 4, 2019

February 4th, 2019
unicorn_190204
Click for Big

TXPR closed at 629.97, up 0.53% on the day. Volume of 2.22-million was painlessly average in the context of the past thirty days.

CPD closed at 12.59, up 0.24% on the day. Volume of 89,873 was low in the context of the past thirty days.

ZPR closed at 10.26, up 0.39% on the day. Volume of 108,534 was low in the context of the past thirty days.

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 0.5205 % 2,293.1
FixedFloater 0.00 % 0.00 % 0 0.00 0 0.5205 % 4,207.7
Floater 5.11 % 5.38 % 31,933 14.83 4 0.5205 % 2,424.9
OpRet 0.00 % 0.00 % 0 0.00 0 0.4063 % 3,222.0
SplitShare 4.91 % 4.79 % 70,717 3.98 8 0.4063 % 3,847.8
Interest-Bearing 0.00 % 0.00 % 0 0.00 0 0.4063 % 3,002.2
Perpetual-Premium 5.87 % 1.62 % 94,040 0.08 4 -0.3766 % 2,881.7
Perpetual-Discount 5.59 % 5.73 % 76,365 14.25 31 0.3060 % 2,968.8
FixedReset Disc 5.08 % 5.46 % 215,511 14.75 65 0.8089 % 2,233.4
Deemed-Retractible 5.38 % 6.39 % 94,474 8.14 27 -0.0813 % 2,947.7
FloatingReset 4.32 % 5.42 % 64,137 8.49 6 0.0280 % 2,440.3
FixedReset Prem 5.10 % 4.29 % 275,197 2.30 17 0.0693 % 2,528.2
FixedReset Bank Non 2.80 % 4.05 % 145,596 2.86 5 0.4424 % 2,589.8
FixedReset Ins Non 5.07 % 7.05 % 136,036 8.27 22 0.6046 % 2,196.2
Performance Highlights
Issue Index Change Notes
TD.PF.D FixedReset Disc -2.54 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-02-04
Maturity Price : 21.51
Evaluated at bid price : 21.51
Bid-YTW : 5.36 %
MFC.PR.F FixedReset Ins Non -2.36 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2030-01-31
Maturity Price : 25.00
Evaluated at bid price : 14.04
Bid-YTW : 9.58 %
RY.PR.J FixedReset Disc -2.26 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-02-04
Maturity Price : 21.20
Evaluated at bid price : 21.20
Bid-YTW : 5.37 %
IFC.PR.F Deemed-Retractible -2.19 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2030-01-31
Maturity Price : 25.00
Evaluated at bid price : 22.80
Bid-YTW : 6.54 %
IFC.PR.E Deemed-Retractible -1.96 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2030-01-31
Maturity Price : 25.00
Evaluated at bid price : 22.55
Bid-YTW : 6.57 %
IFC.PR.G FixedReset Ins Non -1.88 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2030-01-31
Maturity Price : 25.00
Evaluated at bid price : 20.36
Bid-YTW : 7.23 %
BMO.PR.W FixedReset Disc -1.63 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-02-04
Maturity Price : 18.74
Evaluated at bid price : 18.74
Bid-YTW : 5.46 %
IFC.PR.A FixedReset Ins Non -1.55 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2030-01-31
Maturity Price : 25.00
Evaluated at bid price : 15.85
Bid-YTW : 8.87 %
PWF.PR.E Perpetual-Discount -1.24 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-02-04
Maturity Price : 23.59
Evaluated at bid price : 23.86
Bid-YTW : 5.80 %
IGM.PR.B Perpetual-Premium -1.15 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-02-04
Maturity Price : 24.68
Evaluated at bid price : 24.99
Bid-YTW : 5.94 %
MFC.PR.K FixedReset Ins Non -1.02 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2030-01-31
Maturity Price : 25.00
Evaluated at bid price : 18.47
Bid-YTW : 7.99 %
BAM.PF.C Perpetual-Discount 1.01 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-02-04
Maturity Price : 20.96
Evaluated at bid price : 20.96
Bid-YTW : 5.87 %
BMO.PR.D FixedReset Disc 1.05 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-02-04
Maturity Price : 22.43
Evaluated at bid price : 23.09
Bid-YTW : 5.29 %
BMO.PR.T FixedReset Disc 1.05 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-02-04
Maturity Price : 19.20
Evaluated at bid price : 19.20
Bid-YTW : 5.36 %
POW.PR.A Perpetual-Discount 1.07 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-02-04
Maturity Price : 24.34
Evaluated at bid price : 24.65
Bid-YTW : 5.73 %
EIT.PR.A SplitShare 1.07 % YTW SCENARIO
Maturity Type : Soft Maturity
Maturity Date : 2024-03-14
Maturity Price : 25.00
Evaluated at bid price : 24.59
Bid-YTW : 5.36 %
IFC.PR.C FixedReset Ins Non 1.07 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2030-01-31
Maturity Price : 25.00
Evaluated at bid price : 18.85
Bid-YTW : 7.60 %
PWF.PR.L Perpetual-Discount 1.09 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-02-04
Maturity Price : 22.06
Evaluated at bid price : 22.35
Bid-YTW : 5.73 %
BAM.PR.N Perpetual-Discount 1.09 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-02-04
Maturity Price : 20.40
Evaluated at bid price : 20.40
Bid-YTW : 5.90 %
BMO.PR.C FixedReset Disc 1.10 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-02-04
Maturity Price : 22.89
Evaluated at bid price : 23.90
Bid-YTW : 5.26 %
TD.PF.A FixedReset Disc 1.12 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-02-04
Maturity Price : 19.80
Evaluated at bid price : 19.80
Bid-YTW : 5.22 %
BAM.PR.B Floater 1.17 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-02-04
Maturity Price : 13.01
Evaluated at bid price : 13.01
Bid-YTW : 5.38 %
NA.PR.E FixedReset Disc 1.17 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-02-04
Maturity Price : 20.69
Evaluated at bid price : 20.69
Bid-YTW : 5.45 %
VNR.PR.A FixedReset Disc 1.18 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-02-04
Maturity Price : 22.44
Evaluated at bid price : 23.12
Bid-YTW : 5.05 %
PWF.PR.T FixedReset Disc 1.26 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-02-04
Maturity Price : 19.25
Evaluated at bid price : 19.25
Bid-YTW : 5.55 %
BMO.PR.Q FixedReset Bank Non 1.32 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2022-01-31
Maturity Price : 25.00
Evaluated at bid price : 22.97
Bid-YTW : 4.93 %
RY.PR.M FixedReset Disc 1.34 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-02-04
Maturity Price : 21.15
Evaluated at bid price : 21.15
Bid-YTW : 5.22 %
BAM.PR.Z FixedReset Disc 1.42 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-02-04
Maturity Price : 21.45
Evaluated at bid price : 21.45
Bid-YTW : 5.67 %
BAM.PF.D Perpetual-Discount 1.70 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-02-04
Maturity Price : 21.50
Evaluated at bid price : 21.50
Bid-YTW : 5.78 %
MFC.PR.H FixedReset Ins Non 1.72 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2030-01-31
Maturity Price : 25.00
Evaluated at bid price : 21.82
Bid-YTW : 6.52 %
BIP.PR.D FixedReset Disc 1.73 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-02-04
Maturity Price : 22.03
Evaluated at bid price : 22.40
Bid-YTW : 6.23 %
TD.PF.C FixedReset Disc 1.76 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-02-04
Maturity Price : 19.65
Evaluated at bid price : 19.65
Bid-YTW : 5.26 %
MFC.PR.N FixedReset Ins Non 1.80 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2030-01-31
Maturity Price : 25.00
Evaluated at bid price : 18.62
Bid-YTW : 7.72 %
BAM.PF.G FixedReset Disc 1.87 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-02-04
Maturity Price : 20.15
Evaluated at bid price : 20.15
Bid-YTW : 5.90 %
EMA.PR.F FixedReset Disc 1.89 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-02-04
Maturity Price : 19.90
Evaluated at bid price : 19.90
Bid-YTW : 5.66 %
CM.PR.Q FixedReset Disc 1.91 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-02-04
Maturity Price : 21.34
Evaluated at bid price : 21.34
Bid-YTW : 5.38 %
MFC.PR.M FixedReset Ins Non 1.99 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2030-01-31
Maturity Price : 25.00
Evaluated at bid price : 19.00
Bid-YTW : 7.56 %
TD.PF.E FixedReset Disc 2.01 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-02-04
Maturity Price : 21.83
Evaluated at bid price : 22.35
Bid-YTW : 5.20 %
BNS.PR.I FixedReset Disc 2.15 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-02-04
Maturity Price : 22.46
Evaluated at bid price : 23.33
Bid-YTW : 4.75 %
PWF.PR.P FixedReset Disc 2.29 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-02-04
Maturity Price : 14.75
Evaluated at bid price : 14.75
Bid-YTW : 5.70 %
HSE.PR.C FixedReset Disc 2.46 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-02-04
Maturity Price : 20.00
Evaluated at bid price : 20.00
Bid-YTW : 6.30 %
CM.PR.P FixedReset Disc 2.48 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-02-04
Maturity Price : 18.98
Evaluated at bid price : 18.98
Bid-YTW : 5.42 %
MFC.PR.L FixedReset Ins Non 2.54 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2030-01-31
Maturity Price : 25.00
Evaluated at bid price : 18.15
Bid-YTW : 7.92 %
MFC.PR.Q FixedReset Ins Non 2.76 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2030-01-31
Maturity Price : 25.00
Evaluated at bid price : 20.85
Bid-YTW : 6.84 %
HSE.PR.E FixedReset Disc 2.81 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-02-04
Maturity Price : 21.55
Evaluated at bid price : 21.55
Bid-YTW : 6.31 %
MFC.PR.J FixedReset Ins Non 3.00 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2030-01-31
Maturity Price : 25.00
Evaluated at bid price : 20.93
Bid-YTW : 6.84 %
GWO.PR.N FixedReset Ins Non 3.55 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2030-01-31
Maturity Price : 25.00
Evaluated at bid price : 14.60
Bid-YTW : 9.07 %
RY.PR.S FixedReset Disc 3.57 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-02-04
Maturity Price : 21.86
Evaluated at bid price : 22.33
Bid-YTW : 4.91 %
HSE.PR.G FixedReset Disc 3.81 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-02-04
Maturity Price : 21.27
Evaluated at bid price : 21.55
Bid-YTW : 6.25 %
HSE.PR.A FixedReset Disc 4.51 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-02-04
Maturity Price : 13.90
Evaluated at bid price : 13.90
Bid-YTW : 6.27 %
Volume Highlights
Issue Index Shares
Traded
Notes
CM.PR.T FixedReset Disc 146,390 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-02-04
Maturity Price : 23.15
Evaluated at bid price : 25.02
Bid-YTW : 5.12 %
TRP.PR.K FixedReset Disc 131,830 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-02-04
Maturity Price : 23.09
Evaluated at bid price : 24.37
Bid-YTW : 5.74 %
TD.PF.L FixedReset Prem 104,655 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-02-04
Maturity Price : 23.18
Evaluated at bid price : 25.10
Bid-YTW : 5.06 %
TD.PF.I FixedReset Disc 95,725 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-02-04
Maturity Price : 22.38
Evaluated at bid price : 23.03
Bid-YTW : 5.21 %
PWF.PR.R Perpetual-Discount 80,700 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-02-04
Maturity Price : 24.12
Evaluated at bid price : 24.47
Bid-YTW : 5.64 %
CU.PR.H Perpetual-Discount 72,968 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-02-04
Maturity Price : 22.99
Evaluated at bid price : 23.38
Bid-YTW : 5.70 %
There were 23 other index-included issues trading in excess of 10,000 shares.
Wide Spread Highlights
Issue Index Quote Data and Yield Notes
MFC.PR.I FixedReset Ins Non Quote: 20.55 – 22.80
Spot Rate : 2.2500
Average : 1.2395

YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2030-01-31
Maturity Price : 25.00
Evaluated at bid price : 20.55
Bid-YTW : 7.05 %

BAM.PR.R FixedReset Disc Quote: 17.01 – 18.65
Spot Rate : 1.6400
Average : 0.9472

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-02-04
Maturity Price : 17.01
Evaluated at bid price : 17.01
Bid-YTW : 5.96 %

MFC.PR.M FixedReset Ins Non Quote: 19.00 – 20.50
Spot Rate : 1.5000
Average : 0.8446

YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2030-01-31
Maturity Price : 25.00
Evaluated at bid price : 19.00
Bid-YTW : 7.56 %

RY.PR.J FixedReset Disc Quote: 21.20 – 22.45
Spot Rate : 1.2500
Average : 0.7189

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-02-04
Maturity Price : 21.20
Evaluated at bid price : 21.20
Bid-YTW : 5.37 %

TD.PF.D FixedReset Disc Quote: 21.51 – 22.60
Spot Rate : 1.0900
Average : 0.6121

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-02-04
Maturity Price : 21.51
Evaluated at bid price : 21.51
Bid-YTW : 5.36 %

TRP.PR.D FixedReset Disc Quote: 18.25 – 19.20
Spot Rate : 0.9500
Average : 0.5320

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-02-04
Maturity Price : 18.25
Evaluated at bid price : 18.25
Bid-YTW : 5.87 %

MAPF Performance: January 2019

February 2nd, 2019

Malachite Aggressive Preferred Fund’s Net Asset Value per Unit as of the close January 31, 2019, was $8.5108.

Returns to January 31, 2019
Period MAPF BMO-CM “50” Preferred Share Index TXPR*
Total Return
CPD – according to Blackrock
One Month -2.03% -0.93% -0.50% N/A
Three Months -12.85% -9.07% -7.93% N/A
One Year -15.86% -11.72% -9.81% -10.37%
Two Years (annualized) +0.72% +0.39% +0.02% N/A
Three Years (annualized) +11.35% +7.96% +7.51% +7.00%
Four Years (annualized) +0.72% +0.61% -0.19% N/A
Five Years (annualized) +1.52% +0.48% +0.06% -0.36%
Six Years (annualized) +0.66% +0.20% -0.36% N/A
Seven Years (annualized) +1.54% +0.75% +0.30% N/A
Eight Years (annualized) +1.92% +1.62% +1.08% N/A
Nine Years (annualized) +3.57% +2.64% +1.93% N/A
Ten Years (annualized) +7.71% +4.70% +3.82% +3.28%
Eleven Years (annualized) +7.45% +2.86% +1.84%  
Twelve Years (annualized) +6.86% +2.16%    
Thirteen Years (annualized) +6.76% +2.31%    
Fourteen Years (annualized) +6.69% +2.40%    
Fifteen Years (annualized) +7.01% +2.54%    
Sixteen Years (annualized) +8.18% +2.91%    
Seventeen Years (annualized) +7.85% +2.91%    
MAPF returns assume reinvestment of distributions, and are shown after expenses but before fees.
The full name of the BMO-CM “50” index is the BMO Capital Markets “50” Preferred Share Index. It is calculated without accounting for fees.
“TXPR” is the S&P/TSX Preferred Share Index. It is calculated without accounting for fees, but does assume reinvestment of dividends.
CPD Returns are for the NAV and are after all fees and expenses. Reinvestment of dividends is assumed.
Figures for National Bank Preferred Equity Income Fund (formerly Omega Preferred Equity) (which are after all fees and expenses) for 1-, 3- and 12-months are -0.26%, -5.66% and -8.58%, respectively, according to Morningstar after all fees & expenses. Three year performance is +7.02%; five year is +0.96%; ten year is +4.50%
Manulife Preferred Income Class Adv has been terminated by Manulife.
Figures for Horizons Active Preferred Share ETF (HPR) (which are after all fees and expenses) for 1-, 3- and 12-months are -0.44%, -9.62% & -12.27%, respectively. Three year performance is +7.22%, five-year is +0.80%
Figures for National Bank Preferred Equity Fund (formerly Altamira Preferred Equity Fund) are -0.31%, -9.47% and -12.57% for one-, three- and twelve months, respectively. Three year performance is +6.58%; five-year is -0.04%.

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 figures for the NAV of BMO S&P/TSX Laddered Preferred Share Index ETF (ZPR) is -11.54% for the past twelve months. Two year performance is -0.68%, three year is +8.55%, five year is -1.83%.
Figures for Natixis Canadian Preferred Share Class Series F (formerly NexGen Canadian Preferred Share Tax Managed Fund) are -2.05%, -9.34% and -12.33% for one-, three- and twelve-months, respectively. Three year performance is +5.26%; five-year is +1.54%
Figures for BMO Preferred Share Fund (advisor series) according to Morningstar are -0.89%, -9.99% and -13.65% for the past one-, three- and twelve-months, respectively. Three year performance is +4.06%; five-year is -1.86%.
Figures for PowerShares Canadian Preferred Share Index Class, Series F are -% for the past twelve months. The three-year figure is +%; five years is +%
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)
Figures for Lysander-Slater Preferred Share Dividend Fund according to Morningstar are -0.38%, -9.39% and -12.54% for the past one, three and twelve months, respectively. Three year performance is +5.00%.
Figures for the Desjardins Canadian Preferred Share Fund A Class, as reported by Morningstar are -0.62%, -8.82% and -11.94% for the past one, three and twelve months, respectively.

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 either directly from Hymas Investment Management or through a brokerage account at Odlum Brown Limited.

The preferred share market has suffered a sharp reverse in the past four months, 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 2019-1-11)

pl_190111_body_chart_1
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Note that the Seniority Spread was 345bp on January 30. As a good practical example of the spreads between markets, consider that on November 19, CIU issued $385-million of 30-year bonds yielding 3.95%, at a time when issuing Straight Perpetuals would have cost them about 5.75% – a very wide spread even before considering the tax effect.

… and the relationship between five-year Canada yields and yields on investment-grade FixedResets is also well within what I consider ‘decoupled panic’ territory (chart end-date 2018-12-14):

pl_190111_body_chart_5
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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, lose money, handing it over to more sober investors.

FixedReset (Discount) performance on the month was -1.12% vs. PerpetualDiscounts of +1.01% in January; the two classes finally decoupled in mid-November after months of moving in lockstep.:

himi_indexperf_190131
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Floaters took another hit over the month, as they returned -7.21% for January and -21.13% for the past twelve months. But look at the long-term performance:

himi_floaterperf_190131
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Some Assiduous Readers will be interested to observe that the ‘Quantitative Easing’ decline was not 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 and still can’t get over it. Fifteen years!

But, as mentioned earlier with respect to FixedResets, it seems clear that Floaters are used, wittingly or otherwise, as a vehicle for speculation on the policy rate and Canada Prime.

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. There could be a reversal, particularly if Trump’s international trade policies cause a severe recession or even a depression. And, of course, I could be just plain wrong about the sustainability of the current environment. However, the sharp declines of the past two months clarify the market’s fears, which were unclear on October 29: the market is behaving more as if it fears falling interest rates rather than rising ones – although this does not explain the very high value of the Seniority Spread, discussed above.

Yields on preferred shares of all stripes are extremely high compared to those available from other investments of similar quality. A I told John Heinzl in an eMail interview in late November, 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) … 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
January, 2019 8.5108 7.51% 1.000 7.510% 1.0000 $0.6392
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 (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.

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
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%
January, 2019 1.89% 1.63%

Significant positions were held in NVCC non-compliant regulated FixedReset issues on January 31, 2019; all of these currently have their yields calculated with the presumption that they will be called by the issuers at par prior to 2022-1-31 (banks) or 2030-1-31 (insurers and insurance holding companies) or on a different date (SplitShares, when present in the portfolio) This presents another complication in the calculation of sustainable yield, which also assumes that redemption proceeds will be reinvested at the same rate. It will also be noted that my analysis of likely insurance industry regulation as updated is not given much weight by the market.

I will also 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 both banks and insurers, both Straight and FixedResets will be redeemed at par on their DeemedMaturity date as discussed above.

MAPF Portfolio Composition: January 2019

February 2nd, 2019

Turnover exploded in January to slightly over 17%. This was due to large sectoral changes, with SplitShares declining from 6.4% to 0.0% of the portfolio, PerpetualDiscounts from 14.1% to 5.8% and DeemedRetractibles from 10.4% to 6.4%, while FixedReset (Discounts) increased from 22.5% to 34.7% and FixedReset Insurance non-NVCC from 35.2% to 41.5%.

Note that the changes by sector add up to more than the reported turnover. The turnover calculation is based on book-value and ignores cash (e.g., the effect on turnover of investing a cash balance is null), while the sectoral composition is based on market value and therefore may change even in the absence of any trading at all.

There is extreme segmentation in the marketplace, with OSFI’s NVCC rule changes in February 2011 having had the effect of splitting the formerly relatively homogeneous Straight Perpetual class of preferreds into three parts:

  • Unaffected Straight Perpetuals
  • DeemedRetractibles explicitly subject to the rules (banks)
  • DeemedRetractibles considered by me, but not (yet!) by the market, to be likely to be explicitly subject to the rules in the future (insurers and insurance holding companies)

This segmentation, and the extreme valuation differences between the segments, has cut down markedly on the opportunities for trading.

To make this more clear, it used to be that there were 70-odd Straight Perpetuals and I was more or less indifferent as to which ones I owned (subject, of course, to issuer concentration concerns and other risk management factors). Thus, if any one of these 70 were to go down in price by – say – $0.25, I would quite often have something in inventory that I’d be willing to swap for it. The segmentation means that I am no longer indifferent; in addition to checking the valuation of a potential buy to other Straights, I also have to check its peer group. This cuts down on the potential for trading.

And, of course, the same segmentation has the same effect on trading opportunities between FixedReset issues.

I have argued for a long time that insurers will become covered by NVCC rules similar to the banks, but regulatory process on the issue is very slow.

As a result of prior delays, I initially extended the Deemed Maturity date for insurers and insurance holding companies by three years (to 2025-1-31), in the expectation that when OSFI finally does provide clarity, they will allow the same degree of lead-in time for these companies as they did for banks. This had a major effect on the durations of preferred shares subject to the change but, fortunately, not much on their calculated yields as most of these issues were either trading near par when the change was made or were trading at sufficient premium that a par call was expected on economic grounds. However, with the declines in the market over the past nine months, the expected capital gain on redemption of the insurance-issued DeemedRetractibles has become an important component of the calculated yield.

I recently extended the DeemedMaturity date for insurance issues by another five years, to 2030-1-31.

The new date has been chosen with the idea that a decision will be made by the IAIS (International Association of Insurance Supervisors) in 2019, and (if favourable) will be implemented with an 11-year grace period, similarly to the banks. We shall see just how accurate these suppositions might be!

I must emphasize that these extensions do not give rise to any desire on my part to alter the fundamentals of my analysis. It is simply a reaction to the excessive time the regulators are taking to discuss the issue.

Sectoral distribution of the MAPF portfolio on January 31 was as follows:

MAPF Sectoral Analysis 2019-1-31
HIMI Indices Sector Weighting YTW ModDur
Ratchet 0% N/A N/A
FixFloat 0% N/A N/A
Floater 0% N/A N/A
OpRet 0% N/A N/A
SplitShare 0% N/A N/A
Interest Rearing 0% N/A N/A
PerpetualPremium 0% N/A N/A
PerpetualDiscount 5.8% 5.69% 14.30
Fixed-Reset Discount 34.7% 6.15% 13.99
Deemed-Retractible 6.4% 7.15% 8.24
FloatingReset 0% N/A N/A
FixedReset Premium 0% N/A N/A
FixedReset Bank non-NVCC 0% N/A N/A
FixedReset Insurance non-NVCC 41.5% 8.94% 8.49
Scraps – Ratchet 0% N/A N/A
Scraps – FixedFloater 0% N/A N/A
Scraps – Floater 0% N/A N/A
Scraps – OpRet 0% N/A N/A
Scraps – SplitShare 0% N/A N/A
Scraps – PerpPrem 0% N/A N/A
Scraps – PerpDisc 0% N/A N/A
Scraps – FR Discount 10.9% 7.54% 12.24
Scraps – DeemedRet 0% N/A N/A
Scraps – FloatingReset 0.7% 8.20% 11.13
Scraps – FR Premium 0% N/A N/A
Scraps – Bank non-NVCC 0% N/A N/A
Scraps – Ins non-NVCC 0% N/A N/A
Cash -0.0% 0.00% 0.00
Total 100% 7.51% 11.15
Totals and changes will not add precisely due to rounding. Cash is included in totals with duration and yield both equal to zero.
The various “Scraps” indices include issues with a DBRS rating of Pfd-3(high) or lower and issues with an Average Trading Value (calculated with HIMIPref™ methodology, which is relatively complex) of less than $25,000. The issues considered “Scraps” are subdivided into indices which reflect those of the main indices.
DeemedRetractibles are comprised of all Straight Perpetuals (both PerpetualDiscount and PerpetualPremium) issued by BMO, BNS, CM, ELF, GWO, HSB, IAG, MFC, NA, RY, SLF and TD, which are not exchangable into common at the option of the company. These issues are analyzed as if their prospectuses included a requirement to redeem at par on or prior to 2022-1-31 (banks) or 2030-1-31 (insurers and insurance holding companies), in addition to the call schedule explicitly defined. See the Deemed Retractible Review: September 2016 for the rationale behind this analysis.

Note that the estimate for the time this will become effective for insurers and insurance holding companies was extended by three years in April 2013, due to the delays in OSFI’s providing clarity on the issue and by a further five years in December, 2018.

Calculations of resettable instruments are performed assuming a constant GOC-5 rate of 1.89% and a constant 3-Month Bill rate of 1.63%

The “total” reflects the un-leveraged total portfolio (i.e., cash is included in the portfolio calculations and is deemed to have a duration and yield of 0.00.). MAPF will often have relatively large cash balances, both credit and debit, to facilitate trading. Figures presented in the table have been rounded to the indicated precision.

Credit distribution is:

MAPF Credit Analysis 2019-1-31
DBRS Rating Weighting
Pfd-1 0
Pfd-1(low) 0
Pfd-2(high) 24.5%
Pfd-2 34.4%
Pfd-2(low) 29.5%
Pfd-3(high) 3.3%
Pfd-3 4.5%
Pfd-3(low) 3.1%
Pfd-4(high) 0%
Pfd-4 0%
Pfd-4(low) 0%
Pfd-5(high) 0.7%
Pfd-5 0.0%
Cash -0.0%
Totals will not add precisely due to rounding.
The fund holds a position in AZP.PR.C, which is rated P-5(high) by S&P and is unrated by DBRS; it is included in the Pfd-5(high) total.
A position held in INE.PR.A is not rated by DBRS, but has been included as “Pfd-3” in the above table on the basis of its S&P rating of P-3.

Liquidity Distribution is:

MAPF Liquidity Analysis 2019-1-31
Average Daily Trading Weighting
<$50,000 3.5%
$50,000 – $100,000 38.7%
$100,000 – $200,000 53.6%
$200,000 – $300,000 2.8%
>$300,000 1.5%
Cash -0.0%
Totals will not add precisely due to rounding.

MAPF is, of course, Malachite Aggressive Preferred Fund, a “unit trust” managed by Hymas Investment Management Inc. Further information and links to performance, audited financials and subscription information are available the fund’s web page. The fund may be purchased either directly from Hymas Investment Management or through a brokerage account at Odlum Brown Limited. A “unit trust” is like a regular mutual fund, but is sold by offering memorandum rather than prospectus. This is cheaper, but means subscription is restricted to “accredited investors” (as defined by the Ontario Securities Commission). Fund past performances are not a guarantee of future performance. You can lose money investing in MAPF or any other fund.

A similar portfolio composition analysis has been performed on the Claymore Preferred Share ETF (symbol CPD) (and other funds) as of July 31, 2017, and published in the August, 2017, PrefLetter. It is fair to say:

  • MAPF credit quality is much better
  • MAPF liquidity is lower
  • MAPF Yield is higher
  • Weightings
    • MAPF is less exposed to Straight Perpetuals
    • Neither portfolio is exposed to Operating Retractibles (there aren’t too many of those any more!)
    • MAPF is equally exposed to SplitShares (that is to say, currently no exposure)
    • MAPF is less exposed to FixFloat / Floater / Ratchet
    • MAPF is significantly higher weighted in FixedResets, with a much greater emphasis on lower-spread and insurance issues

February 1, 2019

February 1st, 2019
unicorn_190201
Click for Big

TXPR closed at 626.64, up 0.67% on the day. Volume of 2.08-million was roughly average in the context of the past thirty days. The TXPR Total Return index turned positive for the year-to-date!

CPD closed at 12.56, up 0.72% on the day. Volume of 143,910 was mid-range in the context of the past thirty days.

ZPR closed at 10.22, up 1.19% on the day. Volume of 304,367 was fourth-highest of the past thirty days.

Here’s a graph that helps explain the past four months:

boc_5yrcanada
Bank of Canada – Five Year Canada Yield
Click for Big

GOC-5 was up 8bp to 1.86% today, according to TMXMoney citing CanDeal.

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 -0.2781 % 2,281.2
FixedFloater 0.00 % 0.00 % 0 0.00 0 -0.2781 % 4,185.9
Floater 5.14 % 5.44 % 32,331 14.74 4 -0.2781 % 2,412.4
OpRet 0.00 % 0.00 % 0 0.00 0 -0.0201 % 3,209.0
SplitShare 4.93 % 4.78 % 71,170 3.98 8 -0.0201 % 3,832.2
Interest-Bearing 0.00 % 0.00 % 0 0.00 0 -0.0201 % 2,990.0
Perpetual-Premium 5.90 % -8.36 % 146,805 0.08 2 -0.0198 % 2,892.6
Perpetual-Discount 5.62 % 5.72 % 75,988 14.24 33 0.3753 % 2,959.7
FixedReset Disc 5.12 % 5.53 % 221,381 14.68 65 1.0178 % 2,215.4
Deemed-Retractible 5.38 % 6.32 % 95,677 8.16 27 0.3933 % 2,950.1
FloatingReset 4.28 % 5.30 % 66,700 8.50 6 0.6395 % 2,439.6
FixedReset Prem 5.13 % 4.29 % 251,525 2.17 17 0.1527 % 2,526.4
FixedReset Bank Non 2.81 % 4.19 % 143,173 2.87 5 0.0835 % 2,578.4
FixedReset Ins Non 5.10 % 7.19 % 138,250 8.24 22 1.0052 % 2,183.0
Performance Highlights
Issue Index Change Notes
PVS.PR.E SplitShare -1.34 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2022-10-31
Maturity Price : 25.00
Evaluated at bid price : 25.85
Bid-YTW : 4.78 %
BIP.PR.E FixedReset Disc -1.12 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-02-01
Maturity Price : 21.11
Evaluated at bid price : 21.11
Bid-YTW : 6.00 %
GWO.PR.G Deemed-Retractible -1.09 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2030-01-31
Maturity Price : 25.00
Evaluated at bid price : 22.72
Bid-YTW : 6.47 %
GWO.PR.N FixedReset Ins Non -1.05 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2030-01-31
Maturity Price : 25.00
Evaluated at bid price : 14.10
Bid-YTW : 9.50 %
NA.PR.W FixedReset Disc 1.00 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-02-01
Maturity Price : 18.18
Evaluated at bid price : 18.18
Bid-YTW : 5.70 %
BIP.PR.D FixedReset Disc 1.01 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-02-01
Maturity Price : 21.75
Evaluated at bid price : 22.02
Bid-YTW : 6.36 %
BAM.PR.R FixedReset Disc 1.01 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-02-01
Maturity Price : 17.00
Evaluated at bid price : 17.00
Bid-YTW : 5.98 %
NA.PR.S FixedReset Disc 1.02 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-02-01
Maturity Price : 18.89
Evaluated at bid price : 18.89
Bid-YTW : 5.70 %
BAM.PR.C Floater 1.02 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-02-01
Maturity Price : 12.85
Evaluated at bid price : 12.85
Bid-YTW : 5.44 %
CGI.PR.D SplitShare 1.02 % YTW SCENARIO
Maturity Type : Soft Maturity
Maturity Date : 2023-06-14
Maturity Price : 25.00
Evaluated at bid price : 24.70
Bid-YTW : 4.20 %
BMO.PR.S FixedReset Disc 1.04 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-02-01
Maturity Price : 19.41
Evaluated at bid price : 19.41
Bid-YTW : 5.45 %
TRP.PR.K FixedReset Disc 1.04 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-02-01
Maturity Price : 23.04
Evaluated at bid price : 24.25
Bid-YTW : 5.78 %
W.PR.J Perpetual-Discount 1.06 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-02-01
Maturity Price : 23.63
Evaluated at bid price : 23.90
Bid-YTW : 5.91 %
PWF.PR.S Perpetual-Discount 1.09 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-02-01
Maturity Price : 21.40
Evaluated at bid price : 21.40
Bid-YTW : 5.65 %
GWO.PR.L Deemed-Retractible 1.10 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2030-01-31
Maturity Price : 25.00
Evaluated at bid price : 24.87
Bid-YTW : 5.82 %
BNS.PR.I FixedReset Disc 1.15 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-02-01
Maturity Price : 22.18
Evaluated at bid price : 22.84
Bid-YTW : 4.88 %
BAM.PF.E FixedReset Disc 1.17 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-02-01
Maturity Price : 19.00
Evaluated at bid price : 19.00
Bid-YTW : 5.92 %
SLF.PR.A Deemed-Retractible 1.17 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2030-01-31
Maturity Price : 25.00
Evaluated at bid price : 21.55
Bid-YTW : 6.63 %
CU.PR.C FixedReset Disc 1.18 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-02-01
Maturity Price : 18.86
Evaluated at bid price : 18.86
Bid-YTW : 5.55 %
CU.PR.H Perpetual-Discount 1.20 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-02-01
Maturity Price : 23.15
Evaluated at bid price : 23.53
Bid-YTW : 5.66 %
SLF.PR.H FixedReset Ins Non 1.22 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2030-01-31
Maturity Price : 25.00
Evaluated at bid price : 17.45
Bid-YTW : 7.93 %
CM.PR.S FixedReset Disc 1.23 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-02-01
Maturity Price : 20.60
Evaluated at bid price : 20.60
Bid-YTW : 5.35 %
IAF.PR.G FixedReset Ins Non 1.28 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2030-01-31
Maturity Price : 25.00
Evaluated at bid price : 19.81
Bid-YTW : 7.23 %
CM.PR.O FixedReset Disc 1.28 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-02-01
Maturity Price : 18.99
Evaluated at bid price : 18.99
Bid-YTW : 5.57 %
NA.PR.E FixedReset Disc 1.29 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-02-01
Maturity Price : 20.45
Evaluated at bid price : 20.45
Bid-YTW : 5.53 %
BAM.PR.X FixedReset Disc 1.33 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-02-01
Maturity Price : 15.20
Evaluated at bid price : 15.20
Bid-YTW : 5.82 %
RY.PR.Z FixedReset Disc 1.35 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-02-01
Maturity Price : 19.50
Evaluated at bid price : 19.50
Bid-YTW : 5.27 %
BMO.PR.D FixedReset Disc 1.42 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-02-01
Maturity Price : 22.29
Evaluated at bid price : 22.85
Bid-YTW : 5.37 %
EMA.PR.F FixedReset Disc 1.45 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-02-01
Maturity Price : 19.53
Evaluated at bid price : 19.53
Bid-YTW : 5.79 %
TRP.PR.D FixedReset Disc 1.51 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-02-01
Maturity Price : 18.20
Evaluated at bid price : 18.20
Bid-YTW : 5.91 %
PWF.PR.E Perpetual-Discount 1.51 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-02-01
Maturity Price : 23.92
Evaluated at bid price : 24.16
Bid-YTW : 5.72 %
BIP.PR.A FixedReset Disc 1.54 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-02-01
Maturity Price : 20.50
Evaluated at bid price : 20.50
Bid-YTW : 6.64 %
RY.PR.J FixedReset Disc 1.54 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-02-01
Maturity Price : 21.38
Evaluated at bid price : 21.69
Bid-YTW : 5.25 %
IFC.PR.E Deemed-Retractible 1.55 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2030-01-31
Maturity Price : 25.00
Evaluated at bid price : 23.00
Bid-YTW : 6.32 %
PWF.PR.P FixedReset Disc 1.55 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-02-01
Maturity Price : 14.42
Evaluated at bid price : 14.42
Bid-YTW : 5.85 %
IFC.PR.F Deemed-Retractible 1.57 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2030-01-31
Maturity Price : 25.00
Evaluated at bid price : 23.31
Bid-YTW : 6.26 %
CM.PR.Q FixedReset Disc 1.60 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-02-01
Maturity Price : 20.94
Evaluated at bid price : 20.94
Bid-YTW : 5.50 %
NA.PR.G FixedReset Disc 1.63 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-02-01
Maturity Price : 21.54
Evaluated at bid price : 21.85
Bid-YTW : 5.43 %
RY.PR.H FixedReset Disc 1.70 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-02-01
Maturity Price : 19.70
Evaluated at bid price : 19.70
Bid-YTW : 5.27 %
TD.PF.D FixedReset Disc 1.71 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-02-01
Maturity Price : 21.65
Evaluated at bid price : 22.07
Bid-YTW : 5.21 %
IFC.PR.G FixedReset Ins Non 1.72 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2030-01-31
Maturity Price : 25.00
Evaluated at bid price : 20.75
Bid-YTW : 7.00 %
PWF.PR.Z Perpetual-Discount 1.72 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-02-01
Maturity Price : 22.18
Evaluated at bid price : 22.50
Bid-YTW : 5.75 %
MFC.PR.L FixedReset Ins Non 1.72 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2030-01-31
Maturity Price : 25.00
Evaluated at bid price : 17.70
Bid-YTW : 8.24 %
MFC.PR.I FixedReset Ins Non 1.73 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2030-01-31
Maturity Price : 25.00
Evaluated at bid price : 20.55
Bid-YTW : 7.06 %
TRP.PR.A FixedReset Disc 1.73 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-02-01
Maturity Price : 15.84
Evaluated at bid price : 15.84
Bid-YTW : 6.05 %
TRP.PR.C FixedReset Disc 1.76 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-02-01
Maturity Price : 13.91
Evaluated at bid price : 13.91
Bid-YTW : 5.96 %
BMO.PR.E FixedReset Disc 1.79 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-02-01
Maturity Price : 22.14
Evaluated at bid price : 22.75
Bid-YTW : 5.08 %
TD.PF.J FixedReset Disc 1.83 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-02-01
Maturity Price : 21.88
Evaluated at bid price : 22.29
Bid-YTW : 5.19 %
HSE.PR.C FixedReset Disc 1.88 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-02-01
Maturity Price : 19.52
Evaluated at bid price : 19.52
Bid-YTW : 6.48 %
TRP.PR.G FixedReset Disc 1.89 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-02-01
Maturity Price : 19.96
Evaluated at bid price : 19.96
Bid-YTW : 6.03 %
MFC.PR.F FixedReset Ins Non 1.91 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2030-01-31
Maturity Price : 25.00
Evaluated at bid price : 14.38
Bid-YTW : 9.31 %
BMO.PR.T FixedReset Disc 1.93 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-02-01
Maturity Price : 19.00
Evaluated at bid price : 19.00
Bid-YTW : 5.44 %
SLF.PR.G FixedReset Ins Non 2.02 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2030-01-31
Maturity Price : 25.00
Evaluated at bid price : 14.65
Bid-YTW : 9.29 %
TRP.PR.B FixedReset Disc 2.04 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-02-01
Maturity Price : 13.03
Evaluated at bid price : 13.03
Bid-YTW : 6.00 %
TD.PF.C FixedReset Disc 2.06 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-02-01
Maturity Price : 19.31
Evaluated at bid price : 19.31
Bid-YTW : 5.37 %
TD.PF.K FixedReset Disc 2.08 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-02-01
Maturity Price : 21.68
Evaluated at bid price : 22.05
Bid-YTW : 5.17 %
TD.PF.B FixedReset Disc 2.12 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-02-01
Maturity Price : 19.72
Evaluated at bid price : 19.72
Bid-YTW : 5.30 %
BMO.PR.W FixedReset Disc 2.25 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-02-01
Maturity Price : 19.05
Evaluated at bid price : 19.05
Bid-YTW : 5.39 %
HSE.PR.G FixedReset Disc 2.27 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-02-01
Maturity Price : 20.76
Evaluated at bid price : 20.76
Bid-YTW : 6.52 %
IFC.PR.A FixedReset Ins Non 2.42 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2030-01-31
Maturity Price : 25.00
Evaluated at bid price : 16.10
Bid-YTW : 8.69 %
HSE.PR.E FixedReset Disc 2.49 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-02-01
Maturity Price : 20.96
Evaluated at bid price : 20.96
Bid-YTW : 6.51 %
MFC.PR.N FixedReset Ins Non 2.70 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2030-01-31
Maturity Price : 25.00
Evaluated at bid price : 18.29
Bid-YTW : 7.95 %
SLF.PR.I FixedReset Ins Non 2.74 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2030-01-31
Maturity Price : 25.00
Evaluated at bid price : 20.65
Bid-YTW : 6.70 %
MFC.PR.M FixedReset Ins Non 3.21 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2030-01-31
Maturity Price : 25.00
Evaluated at bid price : 18.63
Bid-YTW : 7.82 %
TRP.PR.F FloatingReset 3.51 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-02-01
Maturity Price : 15.92
Evaluated at bid price : 15.92
Bid-YTW : 5.64 %
Volume Highlights
Issue Index Shares
Traded
Notes
TD.PF.A FixedReset Disc 104,028 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-02-01
Maturity Price : 19.58
Evaluated at bid price : 19.58
Bid-YTW : 5.30 %
BIP.PR.D FixedReset Disc 96,175 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-02-01
Maturity Price : 21.75
Evaluated at bid price : 22.02
Bid-YTW : 6.36 %
CM.PR.T FixedReset Disc 93,018 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-02-01
Maturity Price : 23.15
Evaluated at bid price : 25.00
Bid-YTW : 5.14 %
NA.PR.A FixedReset Prem 78,355 YTW SCENARIO
Maturity Type : Call
Maturity Date : 2021-08-15
Maturity Price : 25.00
Evaluated at bid price : 25.47
Bid-YTW : 4.56 %
RY.PR.H FixedReset Disc 74,400 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-02-01
Maturity Price : 19.70
Evaluated at bid price : 19.70
Bid-YTW : 5.27 %
SLF.PR.G FixedReset Ins Non 68,000 YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2030-01-31
Maturity Price : 25.00
Evaluated at bid price : 14.65
Bid-YTW : 9.29 %
There were 28 other index-included issues trading in excess of 10,000 shares.
Wide Spread Highlights
Issue Index Quote Data and Yield Notes
HSE.PR.C FixedReset Disc Quote: 19.52 – 20.25
Spot Rate : 0.7300
Average : 0.5349

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-02-01
Maturity Price : 19.52
Evaluated at bid price : 19.52
Bid-YTW : 6.48 %

BAM.PR.T FixedReset Disc Quote: 17.02 – 17.54
Spot Rate : 0.5200
Average : 0.3336

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-02-01
Maturity Price : 17.02
Evaluated at bid price : 17.02
Bid-YTW : 6.04 %

BAM.PF.F FixedReset Disc Quote: 20.07 – 20.66
Spot Rate : 0.5900
Average : 0.4138

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-02-01
Maturity Price : 20.07
Evaluated at bid price : 20.07
Bid-YTW : 5.99 %

CU.PR.D Perpetual-Discount Quote: 22.09 – 22.45
Spot Rate : 0.3600
Average : 0.2173

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-02-01
Maturity Price : 22.09
Evaluated at bid price : 22.09
Bid-YTW : 5.65 %

MFC.PR.K FixedReset Ins Non Quote: 18.66 – 19.15
Spot Rate : 0.4900
Average : 0.3498

YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2030-01-31
Maturity Price : 25.00
Evaluated at bid price : 18.66
Bid-YTW : 7.87 %

RY.PR.S FixedReset Disc Quote: 21.56 – 21.89
Spot Rate : 0.3300
Average : 0.2067

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-02-01
Maturity Price : 21.56
Evaluated at bid price : 21.56
Bid-YTW : 5.13 %

January 31, 2019

January 31st, 2019
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 -1.6411 % 2,287.6
FixedFloater 0.00 % 0.00 % 0 0.00 0 -1.6411 % 4,197.6
Floater 5.13 % 5.41 % 32,502 14.78 4 -1.6411 % 2,419.1
OpRet 0.00 % 0.00 % 0 0.00 0 0.1356 % 3,209.6
SplitShare 4.93 % 4.75 % 65,910 3.98 8 0.1356 % 3,833.0
Interest-Bearing 0.00 % 0.00 % 0 0.00 0 0.1356 % 2,990.6
Perpetual-Premium 5.90 % -8.55 % 148,369 0.08 2 0.2185 % 2,893.2
Perpetual-Discount 5.64 % 5.78 % 76,236 14.20 33 -0.1513 % 2,948.7
FixedReset Disc 5.17 % 5.60 % 226,957 14.66 65 -0.3102 % 2,193.1
Deemed-Retractible 5.40 % 6.34 % 96,210 8.15 27 0.1046 % 2,938.5
FloatingReset 4.31 % 5.31 % 68,258 8.51 6 -0.3841 % 2,424.1
FixedReset Prem 5.14 % 4.38 % 254,862 2.17 17 -0.0963 % 2,522.6
FixedReset Bank Non 2.81 % 4.20 % 148,558 2.87 5 -0.0894 % 2,576.2
FixedReset Ins Non 5.15 % 7.27 % 135,064 8.20 22 -1.0711 % 2,161.3
Performance Highlights
Issue Index Change Notes
PWF.PR.A Floater -3.14 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-01-31
Maturity Price : 15.40
Evaluated at bid price : 15.40
Bid-YTW : 4.49 %
IAF.PR.G FixedReset Ins Non -3.12 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2030-01-31
Maturity Price : 25.00
Evaluated at bid price : 19.56
Bid-YTW : 7.38 %
IFC.PR.G FixedReset Ins Non -2.63 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2030-01-31
Maturity Price : 25.00
Evaluated at bid price : 20.40
Bid-YTW : 7.21 %
SLF.PR.H FixedReset Ins Non -2.60 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2030-01-31
Maturity Price : 25.00
Evaluated at bid price : 17.24
Bid-YTW : 8.07 %
IFC.PR.A FixedReset Ins Non -2.48 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2030-01-31
Maturity Price : 25.00
Evaluated at bid price : 15.72
Bid-YTW : 8.97 %
NA.PR.G FixedReset Disc -2.27 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-01-31
Maturity Price : 21.50
Evaluated at bid price : 21.50
Bid-YTW : 5.54 %
IAF.PR.I FixedReset Ins Non -1.94 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2030-01-31
Maturity Price : 25.00
Evaluated at bid price : 21.24
Bid-YTW : 6.76 %
TRP.PR.F FloatingReset -1.91 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-01-31
Maturity Price : 15.38
Evaluated at bid price : 15.38
Bid-YTW : 5.84 %
BAM.PF.E FixedReset Disc -1.83 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-01-31
Maturity Price : 18.78
Evaluated at bid price : 18.78
Bid-YTW : 5.99 %
HSE.PR.C FixedReset Disc -1.79 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-01-31
Maturity Price : 19.16
Evaluated at bid price : 19.16
Bid-YTW : 6.60 %
BAM.PR.C Floater -1.78 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-01-31
Maturity Price : 12.72
Evaluated at bid price : 12.72
Bid-YTW : 5.50 %
BAM.PF.D Perpetual-Discount -1.72 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-01-31
Maturity Price : 21.14
Evaluated at bid price : 21.14
Bid-YTW : 5.87 %
MFC.PR.K FixedReset Ins Non -1.68 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2030-01-31
Maturity Price : 25.00
Evaluated at bid price : 18.68
Bid-YTW : 7.85 %
MFC.PR.F FixedReset Ins Non -1.67 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2030-01-31
Maturity Price : 25.00
Evaluated at bid price : 14.11
Bid-YTW : 9.53 %
MFC.PR.L FixedReset Ins Non -1.58 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2030-01-31
Maturity Price : 25.00
Evaluated at bid price : 17.40
Bid-YTW : 8.45 %
CU.PR.H Perpetual-Discount -1.48 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-01-31
Maturity Price : 22.88
Evaluated at bid price : 23.25
Bid-YTW : 5.73 %
BAM.PF.C Perpetual-Discount -1.48 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-01-31
Maturity Price : 20.70
Evaluated at bid price : 20.70
Bid-YTW : 5.94 %
IFC.PR.E Deemed-Retractible -1.44 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2030-01-31
Maturity Price : 25.00
Evaluated at bid price : 22.65
Bid-YTW : 6.51 %
SLF.PR.I FixedReset Ins Non -1.42 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2030-01-31
Maturity Price : 25.00
Evaluated at bid price : 20.10
Bid-YTW : 7.03 %
BIP.PR.F FixedReset Disc -1.32 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-01-31
Maturity Price : 21.47
Evaluated at bid price : 21.76
Bid-YTW : 5.92 %
TRP.PR.B FixedReset Disc -1.31 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-01-31
Maturity Price : 12.77
Evaluated at bid price : 12.77
Bid-YTW : 6.12 %
EMA.PR.F FixedReset Disc -1.19 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-01-31
Maturity Price : 19.25
Evaluated at bid price : 19.25
Bid-YTW : 5.87 %
BAM.PR.X FixedReset Disc -1.19 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-01-31
Maturity Price : 15.00
Evaluated at bid price : 15.00
Bid-YTW : 5.89 %
TRP.PR.A FixedReset Disc -1.14 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-01-31
Maturity Price : 15.57
Evaluated at bid price : 15.57
Bid-YTW : 6.16 %
TD.PF.E FixedReset Disc -1.09 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-01-31
Maturity Price : 21.38
Evaluated at bid price : 21.70
Bid-YTW : 5.38 %
BAM.PR.T FixedReset Disc -1.06 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-01-31
Maturity Price : 16.88
Evaluated at bid price : 16.88
Bid-YTW : 6.09 %
TD.PF.K FixedReset Disc -1.05 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-01-31
Maturity Price : 21.32
Evaluated at bid price : 21.60
Bid-YTW : 5.29 %
PWF.PR.P FixedReset Disc -1.05 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-01-31
Maturity Price : 14.20
Evaluated at bid price : 14.20
Bid-YTW : 5.94 %
TRP.PR.C FixedReset Disc -1.01 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-01-31
Maturity Price : 13.67
Evaluated at bid price : 13.67
Bid-YTW : 6.07 %
BAM.PR.Z FixedReset Disc 1.11 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-01-31
Maturity Price : 20.99
Evaluated at bid price : 20.99
Bid-YTW : 5.81 %
GWO.PR.G Deemed-Retractible 1.19 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2030-01-31
Maturity Price : 25.00
Evaluated at bid price : 22.97
Bid-YTW : 6.33 %
EMA.PR.H FixedReset Disc 1.31 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-01-31
Maturity Price : 22.47
Evaluated at bid price : 23.30
Bid-YTW : 5.23 %
GWO.PR.R Deemed-Retractible 2.67 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2030-01-31
Maturity Price : 25.00
Evaluated at bid price : 21.95
Bid-YTW : 6.46 %
Volume Highlights
Issue Index Shares
Traded
Notes
RY.PR.W Perpetual-Discount 321,450 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-01-31
Maturity Price : 23.89
Evaluated at bid price : 24.14
Bid-YTW : 5.07 %
CM.PR.T FixedReset Disc 173,275 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-01-31
Maturity Price : 23.13
Evaluated at bid price : 24.95
Bid-YTW : 5.15 %
BIP.PR.D FixedReset Disc 118,199 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-01-31
Maturity Price : 21.45
Evaluated at bid price : 21.80
Bid-YTW : 6.42 %
TD.PF.L FixedReset Disc 87,248 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-01-31
Maturity Price : 23.15
Evaluated at bid price : 25.02
Bid-YTW : 5.09 %
NA.PR.A FixedReset Prem 85,444 YTW SCENARIO
Maturity Type : Call
Maturity Date : 2021-08-15
Maturity Price : 25.00
Evaluated at bid price : 25.40
Bid-YTW : 4.67 %
CM.PR.R FixedReset Disc 85,375 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-01-31
Maturity Price : 22.40
Evaluated at bid price : 23.02
Bid-YTW : 5.52 %
There were 45 other index-included issues trading in excess of 10,000 shares.
Wide Spread Highlights
Issue Index Quote Data and Yield Notes
EIT.PR.A SplitShare Quote: 24.33 – 24.70
Spot Rate : 0.3700
Average : 0.2214

YTW SCENARIO
Maturity Type : Soft Maturity
Maturity Date : 2024-03-14
Maturity Price : 25.00
Evaluated at bid price : 24.33
Bid-YTW : 5.58 %

IFC.PR.G FixedReset Ins Non Quote: 20.40 – 20.85
Spot Rate : 0.4500
Average : 0.3164

YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2030-01-31
Maturity Price : 25.00
Evaluated at bid price : 20.40
Bid-YTW : 7.21 %

HSE.PR.G FixedReset Disc Quote: 20.30 – 20.95
Spot Rate : 0.6500
Average : 0.5184

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-01-31
Maturity Price : 20.30
Evaluated at bid price : 20.30
Bid-YTW : 6.67 %

BAM.PR.M Perpetual-Discount Quote: 20.13 – 20.66
Spot Rate : 0.5300
Average : 0.4187

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-01-31
Maturity Price : 20.13
Evaluated at bid price : 20.13
Bid-YTW : 5.98 %

TD.PF.K FixedReset Disc Quote: 21.60 – 22.00
Spot Rate : 0.4000
Average : 0.2901

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-01-31
Maturity Price : 21.32
Evaluated at bid price : 21.60
Bid-YTW : 5.29 %

BAM.PF.I FixedReset Prem Quote: 25.02 – 25.39
Spot Rate : 0.3700
Average : 0.2641

YTW SCENARIO
Maturity Type : Call
Maturity Date : 2022-03-31
Maturity Price : 25.00
Evaluated at bid price : 25.02
Bid-YTW : 4.94 %