MAPF

MAPF Portfolio Composition : December, 2020

Turnover dropped precipitously to 1% in December.

The fund’s trading will probably be higher in the future than has been normal for the past several years, since the extreme segmentation in the marketplace that I complained about for so long is now effectively ended. Low-Reset insurance issues were considered so cheap relative to their peers that a large portion of the fund’s holdings were effectively frozen. However, this differentiating factor is no longer considered applicable.

I am no longer making any adjustments for special qualities of insurance issues but note that this policy may change again in the future – a requirement for a Principal Loss Absorbency Mechanism (PLAM), whereby any security included in Tier 1 Capital will be wiped out prior to a government bail-out, even if technical bankruptcy is avoided, remains good public policy; it is a disgrace that the IAIS has rejected this principle and even worse that OSFI argued strenuously against it. I will continue to read notifications from these two entities with great interest, but while it is within the realm of possibility that ICS 2.0 will be revised following the expiry of the current five-year testing period, I can’t say I have any great confidence in the wisdom of the bureaucrats. However, it is a positive move that the increase in the limit for preferred share issuance was increased from 10% of the capital requirement to 15%; but this increase may only be met with issues having a PLAM.

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

MAPF Sectoral Analysis 2020-12-31
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 0.3% 4.64% 4.26
Interest Rearing 0% N/A N/A
PerpetualPremium 0% N/A N/A
PerpetualDiscount 2.4% 4.79% 15.80
Fixed-Reset Discount 47.0% 4.24% 16.73
Insurance – Straight 0% N/A N/A
FloatingReset 0% N/A N/A
FixedReset Premium 0% N/A N/A
FixedReset Bank non-NVCC 3.9% 1.87% 1.07
FixedReset Insurance non-NVCC 24.8% 3.94% 17.36
Scraps – Ratchet 1.2% 5.54% 17.61
Scraps – FixedFloater 0% N/A N/A
Scraps – Floater 0% N/A N/A
Scraps – OpRet 0% N/A N/A
Scraps – SplitShare 1.0% 4.62% 4.28
Scraps – PerpPrem 0% N/A N/A
Scraps – PerpDisc 0% N/A N/A
Scraps – FR Discount 19.3% 6.05% 13.83
Scraps – Insurance Straight 0% N/A N/A
Scraps – FloatingReset 0% N/A N/A
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 0.1% 0.00% 0.00
Total 100% 4.46% 15.53
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 were comprised of all Straight Perpetuals (both PerpetualDiscount and PerpetualPremium) issued by BMO, BNS, CM, ELF, GWO, HSB, IAG, MFC, NA, RY, SLF and TD, which are not exchangable into common at the option of the company or the regulator. These issues are analyzed as if their prospectuses included a requirement to redeem at par on or prior to 2022-1-31 in the case of banks or normally in the case of 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 and IAIS Says No To DeemedRetractions for the recent change in policy with respect to insurers.

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; the estimate was eliminated in November. However, the distinctions are being kept because it is useful to distinguish insurance issues from others.

The name of this subindex has been changed to "Insurance Straight" as of November, 2020
Calculations of resettable instruments are performed assuming a constant GOC-5 rate of 0.42%, a constant 3-Month Bill rate of 0.08% and a constant Canada Prime Rate of 2.45%

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.

An additional wrinkle to the division into sub-indices is the fact that some issues are classed here as FixedResets, even though for analytical purposes they are classified as Straights – this is due to the fact that these particular issues reset with a floor rate which is (given the current level of the GOC 5-Year bond) currently expected to be effective.

For MAPF, these issues are BIP.PR.D, BIP.PR.E, BIP.PR.F and ECN.PR.C, with a combined portfolio weight of 4.0%. The total portfolio is therefore 93.3% “Floating”, which means the rates will reset periodically based upon the GOC-5, T-Bill or Canada Prime levels.

Credit distribution is:

MAPF Credit Analysis 2020-12-31
DBRS Rating MAPF Weighting
Pfd-1 0
Pfd-1(low) 0
Pfd-2(high) 32.6%
Pfd-2 25.9%
Pfd-2(low) 19.9%
Pfd-3(high) 12.7%
Pfd-3 3.0%
Pfd-3(low) 2.1%
Pfd-4(high) 3.0%
Pfd-4 0%
Pfd-4(low) 0.7%
Pfd-5(high) 0%
Pfd-5 0.0%
Cash +0.1%
Totals will not add precisely due to rounding.
The fund holds a position in AZP.PR.B, which is rated P-4(low) by S&P and is unrated by DBRS; it is included in the Pfd-4(low) total.
The fund holds a position in BIP.PR.D, BIP.PR.E and BIP.PR.F, which are rated P-2(low) by S&P and are unrated by DBRS; these are included in the Pfd-2(low) total.
A position held in INE.PR.A is not rated by DBRS, but has been included as “Pfd-4(high)” in the above table on the basis of its S&P rating of P-3.

Liquidity Distribution is:

MAPF Liquidity Analysis 2020-12-31
Average Daily Trading MAPF Weighting
<$50,000 9.4%
$50,000 – $100,000 40.9%
$100,000 – $200,000 38.8%
$200,000 – $300,000 9.2%
>$300,000 1.7%
Cash +0.1%
Totals will not add precisely due to rounding.

The distribution of Issue Reset Spreads is:

Range MAPF Weight
<100bp 0%
100-149bp 8.4%
150-199bp 7.6%
200-249bp 11.0%
250-299bp 50.2%
300-349bp 4.1%
350-399bp 10.8%
400-449bp 1.7%
450-499bp 0.0%
500-549bp 1.3%
550-599bp 0%
>= 600bp 0%
Undefined 5.0%

Distribution of Floating Rate Start Dates is shown in the table below. This is the date of the next adjustment to the dividend rate, if the issue is currently paying a fixed rate for a limited time; which in practice is successive terms of 5 years. Issues that adjust quarterly are considered “Currently Floating”.

Range MAPF Weight
Currently Floating 1.2%
0-1 Year 9.6%
1-2 Years 13.6%
2-3 Years 19.1%
3-4 Years 14.8%
4-5 Years 39.0%
5-6 Years 0%
>6 Years 0%
Not Floating Rate 2.8%

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 directly from Hymas Investment Management. A “unit trust” is like a regular mutual fund, but are not sold with a 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.

Issue Comments

TRP.PR.C To Reset At 1.949%

TC Energy Corporation has announced:

that it does not intend to exercise its right to redeem its Cumulative Redeemable First Preferred Shares, Series 5 (Series 5 Shares) and Cumulative Redeemable First Preferred Shares, Series 6 (Series 6 Shares) on January 30, 2021. As a result, subject to certain conditions:

(a) the holders of Series 5 Shares have the right to choose one of the following options with regard to their shares:

to retain any or all of their Series 5 Shares and continue to receive a fixed rate quarterly dividend; or

to convert, on a one-for-one basis, any or all of their Series 5 Shares into Series 6 Shares and receive a floating rate quarterly dividend, and
(b) the holders of Series 6 Shares have the right to choose one of the following options with regard to their shares:

to retain any or all of their Series 6 Shares and continue to receive a floating rate quarterly dividend; or

to convert, on a one-for-one basis, any or all of their Series 6 Shares into Series 5 Shares and receive fixed rate quarterly dividend.
Should a holder of Series 5 Shares choose to retain their shares, such shareholders will receive the new annual fixed dividend rate applicable to Series 5 Shares of 1.949% for the five-year period commencing January 30, 2021 to, but excluding, January 30, 2026. Should a holder of Series 5 Shares choose to convert their shares to Series 6 Shares, holders of Series 6 Shares will receive the floating quarterly dividend rate applicable to the Series 6 Shares of 1.655% for the three-month period commencing January 30, 2021 to, but excluding, April 30, 2021. The floating dividend rate will be reset every quarter.

Should a holder of Series 6 Shares choose to retain their shares, such shareholders will receive the floating quarterly dividend rate applicable to Series 6 Shares of 1.655% for the three-month period commencing January 30, 2021 to, but excluding, April 30, 2021. The floating dividend rate will be reset every quarter. Should a holder of Series 6 Shares choose to convert their shares to Series 5 Shares, holders of Series 5 Shares will receive the new fixed quarterly dividend rate applicable to the Series 5 Shares of 1.949% for the five-year period commencing January 30, 2021 to, but excluding, January 30, 2026.

Beneficial owners of Series 5 Shares and Series 6 Shares who want to exercise their right of conversion should communicate as soon as possible with their broker or other nominee and ensure that they follow their instructions in order to meet the deadline to exercise such right, which is 5 p.m. (EST) on January 15, 2021. Any notices received after this deadline will not be valid. As such, it is recommended that this be done well in advance of the deadline in order to provide the broker or other nominee with time to complete the necessary steps.

Beneficial owners of Series 5 or Series 6 Shares who do not provide notice or communicate with their broker or other nominee by the deadline will retain their respective Series 5 Shares or Series 6 Shares, as applicable, and receive the new dividend rate applicable to such shares, subject to the conditions stated below.

The foregoing conversions are subject to the conditions that: (i) if TC Energy determines that there would be less than one million Series 5 Shares outstanding after January 30, 2021, then all remaining Series 5 Shares will automatically be converted into Series 6 Shares on a one-for-one basis on January 30, 2021, and (ii) if TC Energy determines that there would be less than one million Series 6 Shares outstanding after January 30, 2021, then all of the remaining outstanding Series 6 Shares will automatically be converted into Series 5 Shares on a one-for-one basis on January 30, 2021. In either case, TC Energy will issue a news release to that effect no later than January 22, 2021.

Holders of Series 5 Shares and Series 6 Shares will have the opportunity to convert their shares again on January 30, 2021 and every five years thereafter as long as the shares remain outstanding. For more information on the terms of, and risks associated with an investment in the Series 5 Shares and the Series 6 Shares, please see the prospectus supplement dated June 17, 2010 which is available on sedar.com or on our website.

TRP.PR.C was issued as a FixedReset, 4.40%+154, that commenced trading 2010-06-29 after being announced 2010-6-17. Notice of extension was published in 2015 and the issue reset to 2.263%. There was 9% conversion to the FloatingReset TRP.PR.I.

TRP.PR.I is a FloatingReset, Bills+154, that arose from a partial conversion from the FixedReset TRP.PR.C.

Market Action

December 31, 2020

Well, that’s another year wrapped up … what a wild one, from the depths of March to the peaks of December!

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 -0.3741 % 1,888.9
FixedFloater 0.00 % 0.00 % 0 0.00 0 -0.3741 % 3,466.1
Floater 4.60 % 4.56 % 76,381 16.31 2 -0.3741 % 1,997.5
OpRet 0.00 % 0.00 % 0 0.00 0 0.0913 % 3,628.2
SplitShare 4.78 % 4.33 % 40,030 3.79 9 0.0913 % 4,332.8
Interest-Bearing 0.00 % 0.00 % 0 0.00 0 0.0913 % 3,380.6
Perpetual-Premium 5.33 % 0.27 % 68,102 0.09 19 0.1343 % 3,211.1
Perpetual-Discount 4.99 % 5.01 % 71,335 15.40 12 0.0549 % 3,685.5
FixedReset Disc 5.01 % 3.87 % 144,284 17.30 56 0.5268 % 2,335.9
Insurance Straight 5.05 % 4.81 % 88,002 15.40 22 0.1694 % 3,561.1
FloatingReset 1.90 % 1.89 % 35,413 1.07 3 0.1637 % 1,857.0
FixedReset Prem 5.15 % 3.10 % 209,365 0.81 22 0.1092 % 2,682.8
FixedReset Bank Non 1.93 % 1.79 % 165,198 1.07 2 0.0599 % 2,883.2
FixedReset Ins Non 5.01 % 3.85 % 91,366 17.33 22 1.2552 % 2,432.2
Performance Highlights
Issue Index Change Notes
BAM.PR.K Floater -1.18 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-12-31
Maturity Price : 9.21
Evaluated at bid price : 9.21
Bid-YTW : 4.66 %
MFC.PR.F FixedReset Ins Non 1.01 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-12-31
Maturity Price : 12.00
Evaluated at bid price : 12.00
Bid-YTW : 3.85 %
NA.PR.E FixedReset Disc 1.02 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-12-31
Maturity Price : 20.82
Evaluated at bid price : 20.82
Bid-YTW : 3.88 %
MFC.PR.L FixedReset Ins Non 1.56 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-12-31
Maturity Price : 18.18
Evaluated at bid price : 18.18
Bid-YTW : 3.86 %
BAM.PR.X FixedReset Disc 1.57 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-12-31
Maturity Price : 12.30
Evaluated at bid price : 12.30
Bid-YTW : 4.62 %
TRP.PR.B FixedReset Disc 1.60 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-12-31
Maturity Price : 9.50
Evaluated at bid price : 9.50
Bid-YTW : 4.50 %
IFC.PR.A FixedReset Ins Non 1.65 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-12-31
Maturity Price : 15.44
Evaluated at bid price : 15.44
Bid-YTW : 3.68 %
BAM.PF.G FixedReset Disc 2.24 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-12-31
Maturity Price : 16.87
Evaluated at bid price : 16.87
Bid-YTW : 4.86 %
RY.PR.H FixedReset Disc 2.66 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-12-31
Maturity Price : 21.20
Evaluated at bid price : 21.20
Bid-YTW : 3.39 %
SLF.PR.H FixedReset Ins Non 3.42 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-12-31
Maturity Price : 17.84
Evaluated at bid price : 17.84
Bid-YTW : 3.66 %
MFC.PR.G FixedReset Ins Non 6.83 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-12-31
Maturity Price : 21.87
Evaluated at bid price : 22.38
Bid-YTW : 3.72 %
IAF.PR.G FixedReset Ins Non 8.06 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-12-31
Maturity Price : 20.64
Evaluated at bid price : 20.64
Bid-YTW : 4.03 %
TRP.PR.D FixedReset Disc 12.60 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-12-31
Maturity Price : 15.10
Evaluated at bid price : 15.10
Bid-YTW : 4.97 %
Volume Highlights
Issue Index Shares
Traded		 Notes
CU.PR.E Perpetual-Discount 37,700 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-12-31
Maturity Price : 24.60
Evaluated at bid price : 24.85
Bid-YTW : 4.97 %
BNS.PR.G FixedReset Prem 27,525 YTW SCENARIO
Maturity Type : Call
Maturity Date : 2021-07-25
Maturity Price : 25.00
Evaluated at bid price : 25.63
Bid-YTW : 2.76 %
GWO.PR.L Insurance Straight 24,300 YTW SCENARIO
Maturity Type : Call
Maturity Date : 2021-01-30
Maturity Price : 25.00
Evaluated at bid price : 25.33
Bid-YTW : -10.07 %
MFC.PR.G FixedReset Ins Non 17,832 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-12-31
Maturity Price : 21.87
Evaluated at bid price : 22.38
Bid-YTW : 3.72 %
CM.PR.S FixedReset Disc 17,552 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-12-31
Maturity Price : 20.52
Evaluated at bid price : 20.52
Bid-YTW : 3.72 %
RY.PR.P Perpetual-Premium 16,921 YTW SCENARIO
Maturity Type : Call
Maturity Date : 2021-02-24
Maturity Price : 26.00
Evaluated at bid price : 26.32
Bid-YTW : 0.27 %
There were 5 other index-included issues trading in excess of 10,000 shares.
Wide Spread Highlights
Issue Index Quote Data and Yield Notes
RS.PR.A SplitShare Quote: 10.32 – 11.68
Spot Rate : 1.3600
Average : 0.7483

YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-12-31
Maturity Price : 10.00
Evaluated at bid price : 10.32
Bid-YTW : 4.56 %
TD.PF.D FixedReset Disc Quote: 22.11 – 23.50
Spot Rate : 1.3900
Average : 0.9505

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-12-31
Maturity Price : 21.73
Evaluated at bid price : 22.11
Bid-YTW : 3.64 %
POW.PR.G Perpetual-Premium Quote: 25.25 – 26.25
Spot Rate : 1.0000
Average : 0.5672

YTW SCENARIO
Maturity Type : Call
Maturity Date : 2021-04-15
Maturity Price : 25.00
Evaluated at bid price : 25.25
Bid-YTW : 1.31 %
RY.PR.M FixedReset Disc Quote: 21.28 – 25.50
Spot Rate : 4.2200
Average : 3.8490

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-12-31
Maturity Price : 21.28
Evaluated at bid price : 21.28
Bid-YTW : 3.60 %
BAM.PF.B FixedReset Disc Quote: 17.13 – 18.24
Spot Rate : 1.1100
Average : 0.8119

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-12-31
Maturity Price : 17.13
Evaluated at bid price : 17.13
Bid-YTW : 4.84 %
IFC.PR.C FixedReset Ins Non Quote: 20.35 – 21.00
Spot Rate : 0.6500
Average : 0.4836

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-12-31
Maturity Price : 20.35
Evaluated at bid price : 20.35
Bid-YTW : 3.81 %
Market Action

December 30, 2020

PerpetualDiscounts now yield 5.05%, equivalent to 6.56% interest at the standard equivalency factor of 1.3x. Long corporates now yield 2.84%, so the pre-tax interest-equivalent spread (in this context, the “Seniority Spread”) has narrowed slightly (and perhaps spuriously) to 370bp from the 375bp reported December 16.

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 0.2680 % 1,896.0
FixedFloater 0.00 % 0.00 % 0 0.00 0 0.2680 % 3,479.1
Floater 4.58 % 4.57 % 77,058 16.27 2 0.2680 % 2,005.0
OpRet 0.00 % 0.00 % 0 0.00 0 -0.0462 % 3,624.9
SplitShare 4.78 % 4.33 % 41,667 3.79 9 -0.0462 % 4,328.9
Interest-Bearing 0.00 % 0.00 % 0 0.00 0 -0.0462 % 3,377.6
Perpetual-Premium 5.34 % 0.51 % 70,904 0.09 19 0.0503 % 3,206.8
Perpetual-Discount 5.00 % 5.05 % 73,922 15.39 12 0.3514 % 3,683.5
FixedReset Disc 5.03 % 3.88 % 144,178 17.32 56 0.1481 % 2,323.6
Insurance Straight 5.06 % 4.84 % 88,571 15.35 22 0.1032 % 3,555.1
FloatingReset 1.90 % 2.11 % 36,869 1.07 3 0.0327 % 1,853.9
FixedReset Prem 5.16 % 3.15 % 212,199 0.78 22 0.0274 % 2,679.9
FixedReset Bank Non 1.93 % 1.82 % 166,555 1.07 2 0.0000 % 2,881.5
FixedReset Ins Non 5.10 % 3.89 % 87,652 17.20 22 0.1010 % 2,402.0
Performance Highlights
Issue Index Change Notes
TRP.PR.D FixedReset Disc -9.58 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-12-30
Maturity Price : 13.41
Evaluated at bid price : 13.41
Bid-YTW : 5.62 %
IAF.PR.G FixedReset Ins Non -6.60 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-12-30
Maturity Price : 19.10
Evaluated at bid price : 19.10
Bid-YTW : 4.35 %
SLF.PR.H FixedReset Ins Non -2.87 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-12-30
Maturity Price : 17.25
Evaluated at bid price : 17.25
Bid-YTW : 3.78 %
RY.PR.H FixedReset Disc -2.36 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-12-30
Maturity Price : 20.65
Evaluated at bid price : 20.65
Bid-YTW : 3.49 %
CM.PR.Q FixedReset Disc -1.44 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-12-30
Maturity Price : 20.55
Evaluated at bid price : 20.55
Bid-YTW : 3.89 %
BAM.PR.R FixedReset Disc 1.03 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-12-30
Maturity Price : 14.75
Evaluated at bid price : 14.75
Bid-YTW : 4.65 %
CU.PR.G Perpetual-Discount 1.06 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-12-30
Maturity Price : 23.30
Evaluated at bid price : 23.77
Bid-YTW : 4.75 %
TRP.PR.C FixedReset Disc 1.08 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-12-30
Maturity Price : 10.25
Evaluated at bid price : 10.25
Bid-YTW : 4.79 %
IFC.PR.A FixedReset Ins Non 1.20 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-12-30
Maturity Price : 15.19
Evaluated at bid price : 15.19
Bid-YTW : 3.74 %
TRP.PR.E FixedReset Disc 1.25 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-12-30
Maturity Price : 14.75
Evaluated at bid price : 14.75
Bid-YTW : 5.05 %
NA.PR.G FixedReset Disc 1.30 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-12-30
Maturity Price : 22.23
Evaluated at bid price : 22.65
Bid-YTW : 3.82 %
BAM.PF.G FixedReset Disc 1.48 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-12-30
Maturity Price : 16.50
Evaluated at bid price : 16.50
Bid-YTW : 4.97 %
BAM.PF.B FixedReset Disc 1.49 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-12-30
Maturity Price : 16.98
Evaluated at bid price : 16.98
Bid-YTW : 4.89 %
MFC.PR.M FixedReset Ins Non 1.53 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-12-30
Maturity Price : 19.20
Evaluated at bid price : 19.20
Bid-YTW : 3.91 %
TRP.PR.A FixedReset Disc 1.54 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-12-30
Maturity Price : 13.20
Evaluated at bid price : 13.20
Bid-YTW : 4.94 %
IFC.PR.C FixedReset Ins Non 2.28 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-12-30
Maturity Price : 20.20
Evaluated at bid price : 20.20
Bid-YTW : 3.84 %
BAM.PR.T FixedReset Disc 2.43 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-12-30
Maturity Price : 14.75
Evaluated at bid price : 14.75
Bid-YTW : 4.74 %
MFC.PR.H FixedReset Ins Non 3.96 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-12-30
Maturity Price : 22.90
Evaluated at bid price : 23.39
Bid-YTW : 3.83 %
Volume Highlights
Issue Index Shares
Traded		 Notes
RY.PR.J FixedReset Disc 124,000 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-12-30
Maturity Price : 21.64
Evaluated at bid price : 21.97
Bid-YTW : 3.61 %
TD.PF.A FixedReset Disc 44,200 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-12-30
Maturity Price : 20.74
Evaluated at bid price : 20.74
Bid-YTW : 3.48 %
TD.PF.G FixedReset Prem 30,620 YTW SCENARIO
Maturity Type : Call
Maturity Date : 2021-04-30
Maturity Price : 25.00
Evaluated at bid price : 25.48
Bid-YTW : 2.34 %
TRP.PR.E FixedReset Disc 24,750 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-12-30
Maturity Price : 14.75
Evaluated at bid price : 14.75
Bid-YTW : 5.05 %
RY.PR.H FixedReset Disc 18,400 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-12-30
Maturity Price : 20.65
Evaluated at bid price : 20.65
Bid-YTW : 3.49 %
BMO.PR.D FixedReset Disc 17,300 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-12-30
Maturity Price : 23.84
Evaluated at bid price : 24.20
Bid-YTW : 3.79 %
There were 4 other index-included issues trading in excess of 10,000 shares.
Wide Spread Highlights
Issue Index Quote Data and Yield Notes
RY.PR.M FixedReset Disc Quote: 21.28 – 25.50
Spot Rate : 4.2200
Average : 3.4422

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-12-30
Maturity Price : 21.28
Evaluated at bid price : 21.28
Bid-YTW : 3.60 %
TRP.PR.D FixedReset Disc Quote: 13.41 – 15.30
Spot Rate : 1.8900
Average : 1.1581

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-12-30
Maturity Price : 13.41
Evaluated at bid price : 13.41
Bid-YTW : 5.62 %
IAF.PR.I FixedReset Ins Non Quote: 21.10 – 22.85
Spot Rate : 1.7500
Average : 1.0542

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-12-30
Maturity Price : 21.10
Evaluated at bid price : 21.10
Bid-YTW : 4.00 %
IAF.PR.G FixedReset Ins Non Quote: 19.10 – 20.79
Spot Rate : 1.6900
Average : 1.2533

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-12-30
Maturity Price : 19.10
Evaluated at bid price : 19.10
Bid-YTW : 4.35 %
TRP.PR.A FixedReset Disc Quote: 13.20 – 13.95
Spot Rate : 0.7500
Average : 0.4493

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-12-30
Maturity Price : 13.20
Evaluated at bid price : 13.20
Bid-YTW : 4.94 %
MFC.PR.L FixedReset Ins Non Quote: 17.90 – 18.75
Spot Rate : 0.8500
Average : 0.5911

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-12-30
Maturity Price : 17.90
Evaluated at bid price : 17.90
Bid-YTW : 3.92 %
Market Action

December 29, 2020

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 1.0834 % 1,890.9
FixedFloater 0.00 % 0.00 % 0 0.00 0 1.0834 % 3,469.8
Floater 4.60 % 4.60 % 77,972 16.23 2 1.0834 % 1,999.7
OpRet 0.00 % 0.00 % 0 0.00 0 0.1740 % 3,626.5
SplitShare 4.78 % 4.33 % 43,268 3.80 9 0.1740 % 4,330.9
Interest-Bearing 0.00 % 0.00 % 0 0.00 0 0.1740 % 3,379.1
Perpetual-Premium 5.34 % 0.84 % 72,044 0.09 19 0.1448 % 3,205.2
Perpetual-Discount 5.01 % 5.05 % 76,702 15.37 12 0.1068 % 3,670.6
FixedReset Disc 5.04 % 3.89 % 144,648 17.30 56 0.2235 % 2,320.2
Insurance Straight 5.06 % 4.85 % 92,006 15.40 22 -0.0037 % 3,551.4
FloatingReset 1.90 % 2.11 % 38,384 1.08 3 0.0164 % 1,853.3
FixedReset Prem 5.15 % 3.49 % 214,252 0.77 22 0.0054 % 2,679.2
FixedReset Bank Non 1.93 % 1.82 % 173,199 1.07 2 0.0000 % 2,881.5
FixedReset Ins Non 5.10 % 3.92 % 86,840 17.23 22 0.3583 % 2,399.6
Performance Highlights
Issue Index Change Notes
BAM.PF.G FixedReset Disc -3.33 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-12-29
Maturity Price : 16.26
Evaluated at bid price : 16.26
Bid-YTW : 5.04 %
MFC.PR.G FixedReset Ins Non -3.01 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-12-29
Maturity Price : 20.95
Evaluated at bid price : 20.95
Bid-YTW : 4.02 %
MFC.PR.H FixedReset Ins Non -2.17 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-12-29
Maturity Price : 21.94
Evaluated at bid price : 22.50
Bid-YTW : 3.97 %
SLF.PR.I FixedReset Ins Non -1.89 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-12-29
Maturity Price : 20.80
Evaluated at bid price : 20.80
Bid-YTW : 3.84 %
BAM.PF.B FixedReset Disc -1.88 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-12-29
Maturity Price : 16.73
Evaluated at bid price : 16.73
Bid-YTW : 4.96 %
BAM.PR.T FixedReset Disc -1.71 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-12-29
Maturity Price : 14.40
Evaluated at bid price : 14.40
Bid-YTW : 4.85 %
MFC.PR.F FixedReset Ins Non -1.41 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-12-29
Maturity Price : 11.88
Evaluated at bid price : 11.88
Bid-YTW : 3.89 %
SLF.PR.G FixedReset Ins Non -1.28 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-12-29
Maturity Price : 11.60
Evaluated at bid price : 11.60
Bid-YTW : 3.96 %
IFC.PR.G FixedReset Ins Non -1.26 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-12-29
Maturity Price : 19.65
Evaluated at bid price : 19.65
Bid-YTW : 4.11 %
EIT.PR.A SplitShare -1.24 % YTW SCENARIO
Maturity Type : Soft Maturity
Maturity Date : 2024-03-14
Maturity Price : 25.00
Evaluated at bid price : 25.53
Bid-YTW : 4.18 %
TD.PF.K FixedReset Disc -1.17 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-12-29
Maturity Price : 21.80
Evaluated at bid price : 22.05
Bid-YTW : 3.73 %
TRP.PR.C FixedReset Disc -1.15 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-12-29
Maturity Price : 10.28
Evaluated at bid price : 10.28
Bid-YTW : 4.85 %
BAM.PF.D Perpetual-Discount -1.02 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-12-29
Maturity Price : 23.72
Evaluated at bid price : 24.25
Bid-YTW : 5.05 %
BAM.PF.J FixedReset Disc 1.01 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-12-29
Maturity Price : 23.55
Evaluated at bid price : 24.90
Bid-YTW : 4.71 %
BAM.PF.C Perpetual-Discount 1.06 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-12-29
Maturity Price : 23.49
Evaluated at bid price : 23.92
Bid-YTW : 5.07 %
BAM.PR.Z FixedReset Disc 1.11 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-12-29
Maturity Price : 18.16
Evaluated at bid price : 18.16
Bid-YTW : 4.88 %
MFC.PR.K FixedReset Ins Non 1.14 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-12-29
Maturity Price : 18.63
Evaluated at bid price : 18.63
Bid-YTW : 3.89 %
BAM.PR.X FixedReset Disc 1.34 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-12-29
Maturity Price : 12.11
Evaluated at bid price : 12.11
Bid-YTW : 4.69 %
BAM.PF.A FixedReset Disc 1.35 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-12-29
Maturity Price : 18.75
Evaluated at bid price : 18.75
Bid-YTW : 4.81 %
MFC.PR.C Insurance Straight 1.44 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-12-29
Maturity Price : 23.69
Evaluated at bid price : 23.99
Bid-YTW : 4.71 %
SLF.PR.H FixedReset Ins Non 1.49 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-12-29
Maturity Price : 17.76
Evaluated at bid price : 17.76
Bid-YTW : 3.67 %
RY.PR.M FixedReset Disc 1.67 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-12-29
Maturity Price : 21.35
Evaluated at bid price : 21.35
Bid-YTW : 3.58 %
TRP.PR.D FixedReset Disc 1.68 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-12-29
Maturity Price : 15.10
Evaluated at bid price : 15.10
Bid-YTW : 5.08 %
MFC.PR.L FixedReset Ins Non 1.76 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-12-29
Maturity Price : 17.90
Evaluated at bid price : 17.90
Bid-YTW : 3.92 %
TRP.PR.A FixedReset Disc 1.96 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-12-29
Maturity Price : 13.00
Evaluated at bid price : 13.00
Bid-YTW : 5.02 %
BAM.PR.K Floater 2.08 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-12-29
Maturity Price : 9.32
Evaluated at bid price : 9.32
Bid-YTW : 4.61 %
CU.PR.F Perpetual-Discount 2.65 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-12-29
Maturity Price : 23.34
Evaluated at bid price : 23.61
Bid-YTW : 4.80 %
RY.PR.Z FixedReset Disc 2.77 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-12-29
Maturity Price : 20.77
Evaluated at bid price : 20.77
Bid-YTW : 3.41 %
MFC.PR.M FixedReset Ins Non 6.42 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-12-29
Maturity Price : 18.91
Evaluated at bid price : 18.91
Bid-YTW : 3.97 %
IAF.PR.G FixedReset Ins Non 6.96 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-12-29
Maturity Price : 20.45
Evaluated at bid price : 20.45
Bid-YTW : 4.06 %
TD.PF.D FixedReset Disc 9.43 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-12-29
Maturity Price : 21.69
Evaluated at bid price : 22.05
Bid-YTW : 3.66 %
Volume Highlights
Issue Index Shares
Traded		 Notes
PWF.PR.P FixedReset Disc 205,902 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-12-29
Maturity Price : 11.63
Evaluated at bid price : 11.63
Bid-YTW : 4.41 %
BIP.PR.A FixedReset Disc 73,241 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-12-29
Maturity Price : 19.15
Evaluated at bid price : 19.15
Bid-YTW : 5.23 %
TRP.PR.K FixedReset Disc 70,692 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-12-29
Maturity Price : 23.70
Evaluated at bid price : 24.85
Bid-YTW : 4.91 %
BNS.PR.H FixedReset Prem 65,560 YTW SCENARIO
Maturity Type : Call
Maturity Date : 2022-01-26
Maturity Price : 25.00
Evaluated at bid price : 25.57
Bid-YTW : 3.49 %
CM.PR.Y FixedReset Prem 55,800 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-12-29
Maturity Price : 23.40
Evaluated at bid price : 25.31
Bid-YTW : 4.07 %
TRP.PR.D FixedReset Disc 34,662 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-12-29
Maturity Price : 15.10
Evaluated at bid price : 15.10
Bid-YTW : 5.08 %
There were 19 other index-included issues trading in excess of 10,000 shares.
Wide Spread Highlights
Issue Index Quote Data and Yield Notes
RY.PR.M FixedReset Disc Quote: 21.35 – 25.50
Spot Rate : 4.1500
Average : 2.5894

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-12-29
Maturity Price : 21.35
Evaluated at bid price : 21.35
Bid-YTW : 3.58 %
NA.PR.W FixedReset Disc Quote: 18.95 – 20.44
Spot Rate : 1.4900
Average : 0.8808

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-12-29
Maturity Price : 18.95
Evaluated at bid price : 18.95
Bid-YTW : 3.89 %
MFC.PR.G FixedReset Ins Non Quote: 20.95 – 22.34
Spot Rate : 1.3900
Average : 0.9907

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-12-29
Maturity Price : 20.95
Evaluated at bid price : 20.95
Bid-YTW : 4.02 %
RY.PR.J FixedReset Disc Quote: 21.91 – 22.65
Spot Rate : 0.7400
Average : 0.4987

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-12-29
Maturity Price : 21.60
Evaluated at bid price : 21.91
Bid-YTW : 3.62 %
BAM.PF.G FixedReset Disc Quote: 16.26 – 16.80
Spot Rate : 0.5400
Average : 0.3138

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-12-29
Maturity Price : 16.26
Evaluated at bid price : 16.26
Bid-YTW : 5.04 %
BAM.PF.E FixedReset Disc Quote: 15.80 – 16.60
Spot Rate : 0.8000
Average : 0.5837

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-12-29
Maturity Price : 15.80
Evaluated at bid price : 15.80
Bid-YTW : 4.95 %
Market Action

December 24, 2020

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 0.5447 % 1,870.7
FixedFloater 0.00 % 0.00 % 0 0.00 0 0.5447 % 3,432.6
Floater 4.65 % 4.60 % 74,996 16.23 2 0.5447 % 1,978.2
OpRet 0.00 % 0.00 % 0 0.00 0 -0.3316 % 3,620.2
SplitShare 4.78 % 4.48 % 42,035 3.81 9 -0.3316 % 4,323.3
Interest-Bearing 0.00 % 0.00 % 0 0.00 0 -0.3316 % 3,373.2
Perpetual-Premium 5.35 % 1.01 % 72,842 0.08 19 -0.0971 % 3,200.6
Perpetual-Discount 5.01 % 5.04 % 76,902 15.44 12 -0.1067 % 3,666.7
FixedReset Disc 5.05 % 3.92 % 142,266 17.30 56 -0.4459 % 2,315.0
Insurance Straight 5.06 % 4.83 % 85,186 15.37 22 0.0738 % 3,551.6
FloatingReset 1.93 % 1.80 % 39,960 1.09 3 0.0819 % 1,853.0
FixedReset Prem 5.15 % 3.01 % 217,665 0.78 22 0.0773 % 2,679.0
FixedReset Bank Non 1.93 % 1.82 % 178,987 1.09 2 0.0400 % 2,881.5
FixedReset Ins Non 5.12 % 3.92 % 85,853 17.15 22 -1.4472 % 2,391.0
Performance Highlights
Issue Index Change Notes
TD.PF.D FixedReset Disc -9.11 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-12-24
Maturity Price : 20.15
Evaluated at bid price : 20.15
Bid-YTW : 4.05 %
IAF.PR.G FixedReset Ins Non -7.18 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-12-24
Maturity Price : 19.12
Evaluated at bid price : 19.12
Bid-YTW : 4.37 %
MFC.PR.M FixedReset Ins Non -6.57 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-12-24
Maturity Price : 17.77
Evaluated at bid price : 17.77
Bid-YTW : 4.25 %
RY.PR.Z FixedReset Disc -3.67 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-12-24
Maturity Price : 20.21
Evaluated at bid price : 20.21
Bid-YTW : 3.53 %
SLF.PR.H FixedReset Ins Non -3.37 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-12-24
Maturity Price : 17.50
Evaluated at bid price : 17.50
Bid-YTW : 3.75 %
MFC.PR.G FixedReset Ins Non -2.79 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-12-24
Maturity Price : 21.32
Evaluated at bid price : 21.60
Bid-YTW : 3.89 %
CU.PR.F Perpetual-Discount -2.38 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-12-24
Maturity Price : 22.73
Evaluated at bid price : 23.00
Bid-YTW : 4.92 %
RY.PR.M FixedReset Disc -1.87 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-12-24
Maturity Price : 21.00
Evaluated at bid price : 21.00
Bid-YTW : 3.66 %
GWO.PR.N FixedReset Ins Non -1.77 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-12-24
Maturity Price : 11.10
Evaluated at bid price : 11.10
Bid-YTW : 3.94 %
MFC.PR.H FixedReset Ins Non -1.71 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-12-24
Maturity Price : 22.54
Evaluated at bid price : 23.00
Bid-YTW : 3.91 %
BAM.PR.Z FixedReset Disc -1.64 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-12-24
Maturity Price : 17.96
Evaluated at bid price : 17.96
Bid-YTW : 4.95 %
MFC.PR.I FixedReset Ins Non -1.52 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-12-24
Maturity Price : 21.60
Evaluated at bid price : 22.00
Bid-YTW : 3.84 %
MFC.PR.Q FixedReset Ins Non -1.49 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-12-24
Maturity Price : 20.54
Evaluated at bid price : 20.54
Bid-YTW : 3.92 %
MFC.PR.N FixedReset Ins Non -1.40 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-12-24
Maturity Price : 18.95
Evaluated at bid price : 18.95
Bid-YTW : 3.89 %
MFC.PR.L FixedReset Ins Non -1.40 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-12-24
Maturity Price : 17.59
Evaluated at bid price : 17.59
Bid-YTW : 4.01 %
IFC.PR.C FixedReset Ins Non -1.25 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-12-24
Maturity Price : 19.75
Evaluated at bid price : 19.75
Bid-YTW : 3.95 %
BMO.PR.Y FixedReset Disc -1.18 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-12-24
Maturity Price : 21.00
Evaluated at bid price : 21.00
Bid-YTW : 3.76 %
CM.PR.P FixedReset Disc -1.12 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-12-24
Maturity Price : 19.75
Evaluated at bid price : 19.75
Bid-YTW : 3.71 %
TRP.PR.A FixedReset Disc -1.09 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-12-24
Maturity Price : 12.75
Evaluated at bid price : 12.75
Bid-YTW : 5.15 %
PVS.PR.E SplitShare -1.09 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2022-10-31
Maturity Price : 25.00
Evaluated at bid price : 25.52
Bid-YTW : 4.50 %
BAM.PR.X FixedReset Disc -1.08 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-12-24
Maturity Price : 11.95
Evaluated at bid price : 11.95
Bid-YTW : 4.79 %
BAM.PF.A FixedReset Disc -1.07 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-12-24
Maturity Price : 18.50
Evaluated at bid price : 18.50
Bid-YTW : 4.89 %
TD.PF.A FixedReset Disc -1.06 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-12-24
Maturity Price : 20.62
Evaluated at bid price : 20.62
Bid-YTW : 3.52 %
BMO.PR.T FixedReset Disc -1.05 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-12-24
Maturity Price : 19.75
Evaluated at bid price : 19.75
Bid-YTW : 3.64 %
BIP.PR.D FixedReset Disc -1.03 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-12-24
Maturity Price : 23.64
Evaluated at bid price : 24.10
Bid-YTW : 5.19 %
BMO.PR.S FixedReset Disc -1.01 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-12-24
Maturity Price : 20.50
Evaluated at bid price : 20.50
Bid-YTW : 3.63 %
BAM.PF.C Perpetual-Discount -1.00 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-12-24
Maturity Price : 23.41
Evaluated at bid price : 23.67
Bid-YTW : 5.13 %
TRP.PR.E FixedReset Disc 1.10 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-12-24
Maturity Price : 14.70
Evaluated at bid price : 14.70
Bid-YTW : 5.20 %
TRP.PR.D FixedReset Disc 8.00 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-12-24
Maturity Price : 14.85
Evaluated at bid price : 14.85
Bid-YTW : 5.19 %
Volume Highlights
Issue Index Shares
Traded		 Notes
BMO.PR.Q FixedReset Bank Non 51,509 YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2022-01-31
Maturity Price : 25.00
Evaluated at bid price : 24.98
Bid-YTW : 1.92 %
TD.PF.B FixedReset Disc 21,060 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-12-24
Maturity Price : 20.37
Evaluated at bid price : 20.37
Bid-YTW : 3.59 %
CM.PR.P FixedReset Disc 20,407 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-12-24
Maturity Price : 19.75
Evaluated at bid price : 19.75
Bid-YTW : 3.71 %
BNS.PR.Z FixedReset Bank Non 15,300 YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2022-01-31
Maturity Price : 25.00
Evaluated at bid price : 25.08
Bid-YTW : 1.82 %
NA.PR.E FixedReset Disc 14,233 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-12-24
Maturity Price : 20.65
Evaluated at bid price : 20.65
Bid-YTW : 3.93 %
NA.PR.X FixedReset Prem 14,094 YTW SCENARIO
Maturity Type : Call
Maturity Date : 2021-05-15
Maturity Price : 25.00
Evaluated at bid price : 25.40
Bid-YTW : 2.98 %
There were 4 other index-included issues trading in excess of 10,000 shares.
Wide Spread Highlights
Issue Index Quote Data and Yield Notes
SLF.PR.H FixedReset Ins Non Quote: 17.50 – 19.00
Spot Rate : 1.5000
Average : 0.8328

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-12-24
Maturity Price : 17.50
Evaluated at bid price : 17.50
Bid-YTW : 3.75 %
TD.PF.D FixedReset Disc Quote: 20.15 – 22.10
Spot Rate : 1.9500
Average : 1.2865

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-12-24
Maturity Price : 20.15
Evaluated at bid price : 20.15
Bid-YTW : 4.05 %
MFC.PR.M FixedReset Ins Non Quote: 17.77 – 19.27
Spot Rate : 1.5000
Average : 0.9774

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-12-24
Maturity Price : 17.77
Evaluated at bid price : 17.77
Bid-YTW : 4.25 %
CU.PR.C FixedReset Disc Quote: 18.40 – 20.22
Spot Rate : 1.8200
Average : 1.3565

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-12-24
Maturity Price : 18.40
Evaluated at bid price : 18.40
Bid-YTW : 3.95 %
IAF.PR.G FixedReset Ins Non Quote: 19.12 – 20.70
Spot Rate : 1.5800
Average : 1.2398

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-12-24
Maturity Price : 19.12
Evaluated at bid price : 19.12
Bid-YTW : 4.37 %
IFC.PR.E Insurance Straight Quote: 25.45 – 26.30
Spot Rate : 0.8500
Average : 0.5332

YTW SCENARIO
Maturity Type : Call
Maturity Date : 2025-06-30
Maturity Price : 25.25
Evaluated at bid price : 25.45
Bid-YTW : 4.96 %
Market Action

December 23, 2020

I was fascinated to read about the Royal Ottawa Golf Club’s CEWS-derived operating surplus:

The Royal Ottawa Golf Club, one of the country’s most prominent private courses, has banked a $1-million surplus from its past season, thanks mostly to federal subsidies for workers’ wages during the COVID-19 pandemic.

CBC News has obtained the club’s audited financial statements, and a recording of its annual general meeting, in which its board told members about the club’s “very strong financial position” due to the Canada emergency wage subsidy (CEWS) windfall.

“We ended up with a rather substantial subsidy,” Doug McLarty, the club treasurer, told participants in the Dec. 5 online video meeting. “It was over a million dollars. And that ended up on the bottom line.”
…
“I can tell you that pretty well every club in Ontario that we are aware of, and in Quebec, applied for that subsidy. And many of them are in a similar situation to what we have enjoyed this year — they have an operating surplus that they weren’t anticipating.” [said McLarty]

It was interesting because not only did the effect go far beyond partial mitigation of coronavirus damage, but because I can’t figure out how they qualified. This puzzlement led to curiosity about investment management firms – we weren’t subject to lockdowns and fees are based on assets under management. So I used the CRA CEWS Registry to search for a few investment management companies that might have obtained some of this largesse … it turns out that quite a few of them were sucking government tit!

If anybody can tell me why these guys don’t deserve to be classed as welfare bums, let me know!

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 -0.2716 % 1,860.5
FixedFloater 0.00 % 0.00 % 0 0.00 0 -0.2716 % 3,414.0
Floater 4.67 % 4.61 % 75,891 16.22 2 -0.2716 % 1,967.5
OpRet 0.00 % 0.00 % 0 0.00 0 0.1780 % 3,632.3
SplitShare 4.77 % 4.36 % 43,755 3.82 9 0.1780 % 4,337.7
Interest-Bearing 0.00 % 0.00 % 0 0.00 0 0.1780 % 3,384.5
Perpetual-Premium 5.34 % -0.10 % 73,036 0.08 19 0.1277 % 3,203.7
Perpetual-Discount 5.01 % 5.01 % 71,597 15.40 12 -0.0378 % 3,670.6
FixedReset Disc 5.02 % 3.90 % 148,051 17.22 56 -0.0818 % 2,325.4
Insurance Straight 5.07 % 4.85 % 88,356 15.37 22 -0.0719 % 3,549.0
FloatingReset 1.93 % 1.91 % 41,600 1.09 3 0.0656 % 1,851.5
FixedReset Prem 5.15 % 3.14 % 220,925 0.78 22 0.0573 % 2,677.0
FixedReset Bank Non 1.93 % 1.81 % 174,846 1.09 2 -0.0200 % 2,880.3
FixedReset Ins Non 5.05 % 3.87 % 84,829 17.29 22 0.4152 % 2,426.1
Performance Highlights
Issue Index Change Notes
TRP.PR.D FixedReset Disc -7.72 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-12-23
Maturity Price : 13.75
Evaluated at bid price : 13.75
Bid-YTW : 5.62 %
CU.PR.F Perpetual-Discount -1.92 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-12-23
Maturity Price : 23.30
Evaluated at bid price : 23.56
Bid-YTW : 4.81 %
IAF.PR.I FixedReset Ins Non -1.65 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-12-23
Maturity Price : 20.90
Evaluated at bid price : 20.90
Bid-YTW : 4.05 %
BAM.PR.K Floater -1.63 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-12-23
Maturity Price : 9.05
Evaluated at bid price : 9.05
Bid-YTW : 4.74 %
MFC.PR.C Insurance Straight -1.62 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-12-23
Maturity Price : 23.36
Evaluated at bid price : 23.65
Bid-YTW : 4.77 %
IFC.PR.A FixedReset Ins Non -1.51 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-12-23
Maturity Price : 14.97
Evaluated at bid price : 14.97
Bid-YTW : 3.82 %
TRP.PR.C FixedReset Disc -1.43 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-12-23
Maturity Price : 10.37
Evaluated at bid price : 10.37
Bid-YTW : 4.85 %
BAM.PR.Z FixedReset Disc -1.30 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-12-23
Maturity Price : 18.26
Evaluated at bid price : 18.26
Bid-YTW : 4.87 %
MFC.PR.L FixedReset Ins Non -1.16 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-12-23
Maturity Price : 17.84
Evaluated at bid price : 17.84
Bid-YTW : 3.95 %
IAF.PR.B Insurance Straight -1.10 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-12-23
Maturity Price : 23.98
Evaluated at bid price : 24.23
Bid-YTW : 4.75 %
TD.PF.D FixedReset Disc 1.00 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-12-23
Maturity Price : 21.77
Evaluated at bid price : 22.17
Bid-YTW : 3.65 %
GWO.PR.R Insurance Straight 1.07 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-12-23
Maturity Price : 24.01
Evaluated at bid price : 24.45
Bid-YTW : 4.90 %
BAM.PR.B Floater 1.09 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-12-23
Maturity Price : 9.31
Evaluated at bid price : 9.31
Bid-YTW : 4.61 %
GWO.PR.N FixedReset Ins Non 1.35 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-12-23
Maturity Price : 11.30
Evaluated at bid price : 11.30
Bid-YTW : 3.87 %
RY.PR.M FixedReset Disc 1.37 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-12-23
Maturity Price : 21.40
Evaluated at bid price : 21.40
Bid-YTW : 3.59 %
CU.PR.G Perpetual-Discount 1.81 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-12-23
Maturity Price : 23.16
Evaluated at bid price : 23.60
Bid-YTW : 4.79 %
RY.PR.H FixedReset Disc 2.16 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-12-23
Maturity Price : 21.26
Evaluated at bid price : 21.26
Bid-YTW : 3.40 %
PWF.PR.T FixedReset Disc 2.35 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-12-23
Maturity Price : 18.75
Evaluated at bid price : 18.75
Bid-YTW : 4.11 %
MFC.PR.H FixedReset Ins Non 4.00 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-12-23
Maturity Price : 22.91
Evaluated at bid price : 23.40
Bid-YTW : 3.84 %
IAF.PR.G FixedReset Ins Non 7.85 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-12-23
Maturity Price : 20.60
Evaluated at bid price : 20.60
Bid-YTW : 4.05 %
Volume Highlights
Issue Index Shares
Traded		 Notes
BMO.PR.B FixedReset Prem 201,550 YTW SCENARIO
Maturity Type : Call
Maturity Date : 2022-02-25
Maturity Price : 25.00
Evaluated at bid price : 25.65
Bid-YTW : 2.93 %
TD.PF.A FixedReset Disc 22,763 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-12-23
Maturity Price : 20.84
Evaluated at bid price : 20.84
Bid-YTW : 3.48 %
BMO.PR.T FixedReset Disc 21,600 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-12-23
Maturity Price : 19.96
Evaluated at bid price : 19.96
Bid-YTW : 3.60 %
BNS.PR.I FixedReset Disc 20,015 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-12-23
Maturity Price : 21.89
Evaluated at bid price : 22.20
Bid-YTW : 3.60 %
RY.PR.Z FixedReset Disc 18,700 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-12-23
Maturity Price : 20.98
Evaluated at bid price : 20.98
Bid-YTW : 3.39 %
BNS.PR.Z FixedReset Bank Non 18,300 YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2022-01-31
Maturity Price : 25.00
Evaluated at bid price : 25.08
Bid-YTW : 1.81 %
There were 20 other index-included issues trading in excess of 10,000 shares.
Wide Spread Highlights
Issue Index Quote Data and Yield Notes
TRP.PR.D FixedReset Disc Quote: 13.75 – 15.05
Spot Rate : 1.3000
Average : 0.7427

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-12-23
Maturity Price : 13.75
Evaluated at bid price : 13.75
Bid-YTW : 5.62 %
MFC.PR.K FixedReset Ins Non Quote: 18.60 – 20.17
Spot Rate : 1.5700
Average : 1.2743

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-12-23
Maturity Price : 18.60
Evaluated at bid price : 18.60
Bid-YTW : 3.91 %
BAM.PF.E FixedReset Disc Quote: 15.90 – 16.79
Spot Rate : 0.8900
Average : 0.5950

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-12-23
Maturity Price : 15.90
Evaluated at bid price : 15.90
Bid-YTW : 4.94 %
MFC.PR.C Insurance Straight Quote: 23.65 – 24.23
Spot Rate : 0.5800
Average : 0.3975

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-12-23
Maturity Price : 23.36
Evaluated at bid price : 23.65
Bid-YTW : 4.77 %
CU.PR.D Perpetual-Discount Quote: 24.85 – 25.85
Spot Rate : 1.0000
Average : 0.8451

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-12-23
Maturity Price : 24.61
Evaluated at bid price : 24.85
Bid-YTW : 4.97 %
CU.PR.C FixedReset Disc Quote: 18.42 – 19.42
Spot Rate : 1.0000
Average : 0.8483

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-12-23
Maturity Price : 18.42
Evaluated at bid price : 18.42
Bid-YTW : 3.94 %
Market Action

December 22, 2020

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 -0.2168 % 1,865.6
FixedFloater 0.00 % 0.00 % 0 0.00 0 -0.2168 % 3,423.3
Floater 4.66 % 4.66 % 75,171 16.13 2 -0.2168 % 1,972.9
OpRet 0.00 % 0.00 % 0 0.00 0 0.4493 % 3,625.8
SplitShare 4.78 % 4.46 % 42,866 3.82 9 0.4493 % 4,330.0
Interest-Bearing 0.00 % 0.00 % 0 0.00 0 0.4493 % 3,378.5
Perpetual-Premium 5.33 % 3.05 % 75,832 0.08 19 0.0412 % 3,199.6
Perpetual-Discount 5.00 % 5.01 % 77,020 15.40 12 0.1999 % 3,672.0
FixedReset Disc 5.01 % 3.90 % 150,304 17.23 56 0.2252 % 2,327.3
Insurance Straight 5.06 % 4.85 % 88,663 15.36 22 -0.0092 % 3,551.5
FloatingReset 1.93 % 1.86 % 43,308 1.10 3 0.0164 % 1,850.3
FixedReset Prem 5.16 % 3.21 % 218,211 0.66 22 0.0807 % 2,675.4
FixedReset Bank Non 1.93 % 1.81 % 169,099 1.09 2 0.0200 % 2,880.9
FixedReset Ins Non 5.07 % 3.89 % 87,209 17.25 22 0.0490 % 2,416.1
Performance Highlights
Issue Index Change Notes
IAF.PR.G FixedReset Ins Non -5.91 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-12-22
Maturity Price : 19.10
Evaluated at bid price : 19.10
Bid-YTW : 4.37 %
CU.PR.G Perpetual-Discount -2.28 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-12-22
Maturity Price : 22.91
Evaluated at bid price : 23.18
Bid-YTW : 4.88 %
RY.PR.H FixedReset Disc -2.07 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-12-22
Maturity Price : 20.81
Evaluated at bid price : 20.81
Bid-YTW : 3.48 %
CM.PR.Q FixedReset Disc -1.78 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-12-22
Maturity Price : 21.00
Evaluated at bid price : 21.00
Bid-YTW : 3.87 %
TRP.PR.E FixedReset Disc -1.68 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-12-22
Maturity Price : 14.62
Evaluated at bid price : 14.62
Bid-YTW : 5.23 %
BAM.PF.F FixedReset Disc -1.57 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-12-22
Maturity Price : 17.57
Evaluated at bid price : 17.57
Bid-YTW : 4.93 %
BAM.PR.X FixedReset Disc -1.48 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-12-22
Maturity Price : 12.01
Evaluated at bid price : 12.01
Bid-YTW : 4.76 %
SLF.PR.D Insurance Straight -1.24 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-12-22
Maturity Price : 23.58
Evaluated at bid price : 23.85
Bid-YTW : 4.67 %
TRP.PR.C FixedReset Disc -1.13 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-12-22
Maturity Price : 10.52
Evaluated at bid price : 10.52
Bid-YTW : 4.78 %
BAM.PF.D Perpetual-Discount 1.03 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-12-22
Maturity Price : 24.03
Evaluated at bid price : 24.45
Bid-YTW : 5.01 %
NA.PR.W FixedReset Disc 1.06 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-12-22
Maturity Price : 19.01
Evaluated at bid price : 19.01
Bid-YTW : 3.90 %
CM.PR.P FixedReset Disc 1.09 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-12-22
Maturity Price : 20.42
Evaluated at bid price : 20.42
Bid-YTW : 3.65 %
EIT.PR.A SplitShare 1.17 % YTW SCENARIO
Maturity Type : Soft Maturity
Maturity Date : 2024-03-14
Maturity Price : 25.00
Evaluated at bid price : 26.05
Bid-YTW : 3.47 %
BMO.PR.E FixedReset Disc 1.21 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-12-22
Maturity Price : 22.22
Evaluated at bid price : 22.65
Bid-YTW : 3.72 %
BMO.PR.S FixedReset Disc 1.27 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-12-22
Maturity Price : 20.76
Evaluated at bid price : 20.76
Bid-YTW : 3.58 %
RY.PR.Z FixedReset Disc 1.35 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-12-22
Maturity Price : 20.99
Evaluated at bid price : 20.99
Bid-YTW : 3.39 %
MFC.PR.Q FixedReset Ins Non 1.35 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-12-22
Maturity Price : 20.98
Evaluated at bid price : 20.98
Bid-YTW : 3.83 %
PVS.PR.H SplitShare 1.36 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2027-02-28
Maturity Price : 25.00
Evaluated at bid price : 25.40
Bid-YTW : 4.46 %
BMO.PR.W FixedReset Disc 1.41 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-12-22
Maturity Price : 20.20
Evaluated at bid price : 20.20
Bid-YTW : 3.61 %
CU.PR.F Perpetual-Discount 1.44 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-12-22
Maturity Price : 23.74
Evaluated at bid price : 24.02
Bid-YTW : 4.71 %
BAM.PR.N Perpetual-Discount 1.50 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-12-22
Maturity Price : 23.36
Evaluated at bid price : 23.65
Bid-YTW : 5.03 %
GWO.PR.N FixedReset Ins Non 2.01 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-12-22
Maturity Price : 11.15
Evaluated at bid price : 11.15
Bid-YTW : 3.92 %
IAF.PR.B Insurance Straight 2.08 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-12-22
Maturity Price : 24.21
Evaluated at bid price : 24.50
Bid-YTW : 4.70 %
BAM.PR.R FixedReset Disc 2.10 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-12-22
Maturity Price : 14.60
Evaluated at bid price : 14.60
Bid-YTW : 4.72 %
MFC.PR.G FixedReset Ins Non 2.18 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-12-22
Maturity Price : 21.66
Evaluated at bid price : 22.07
Bid-YTW : 3.80 %
TD.PF.D FixedReset Disc 9.15 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-12-22
Maturity Price : 21.62
Evaluated at bid price : 21.95
Bid-YTW : 3.69 %
Volume Highlights
Issue Index Shares
Traded		 Notes
BMO.PR.E FixedReset Disc 56,093 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-12-22
Maturity Price : 22.22
Evaluated at bid price : 22.65
Bid-YTW : 3.72 %
TRP.PR.C FixedReset Disc 54,611 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-12-22
Maturity Price : 10.52
Evaluated at bid price : 10.52
Bid-YTW : 4.78 %
PWF.PR.T FixedReset Disc 52,754 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-12-22
Maturity Price : 18.32
Evaluated at bid price : 18.32
Bid-YTW : 4.21 %
MFC.PR.Q FixedReset Ins Non 50,640 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-12-22
Maturity Price : 20.98
Evaluated at bid price : 20.98
Bid-YTW : 3.83 %
GWO.PR.G Insurance Straight 27,892 YTW SCENARIO
Maturity Type : Call
Maturity Date : 2021-01-21
Maturity Price : 25.00
Evaluated at bid price : 24.97
Bid-YTW : 5.16 %
TRP.PR.K FixedReset Disc 23,769 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-12-22
Maturity Price : 23.68
Evaluated at bid price : 24.81
Bid-YTW : 4.92 %
There were 13 other index-included issues trading in excess of 10,000 shares.
Wide Spread Highlights
Issue Index Quote Data and Yield Notes
RY.PR.M FixedReset Disc Quote: 21.11 – 25.50
Spot Rate : 4.3900
Average : 2.9242

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-12-22
Maturity Price : 21.11
Evaluated at bid price : 21.11
Bid-YTW : 3.64 %
IAF.PR.G FixedReset Ins Non Quote: 19.10 – 21.15
Spot Rate : 2.0500
Average : 1.3894

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-12-22
Maturity Price : 19.10
Evaluated at bid price : 19.10
Bid-YTW : 4.37 %
MFC.PR.K FixedReset Ins Non Quote: 18.60 – 20.17
Spot Rate : 1.5700
Average : 0.9501

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-12-22
Maturity Price : 18.60
Evaluated at bid price : 18.60
Bid-YTW : 3.91 %
EIT.PR.B SplitShare Quote: 26.10 – 27.10
Spot Rate : 1.0000
Average : 0.6364

YTW SCENARIO
Maturity Type : Soft Maturity
Maturity Date : 2025-03-14
Maturity Price : 25.00
Evaluated at bid price : 26.10
Bid-YTW : 3.71 %
BAM.PR.X FixedReset Disc Quote: 12.01 – 13.40
Spot Rate : 1.3900
Average : 1.0330

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-12-22
Maturity Price : 12.01
Evaluated at bid price : 12.01
Bid-YTW : 4.76 %
CU.PR.G Perpetual-Discount Quote: 23.18 – 24.10
Spot Rate : 0.9200
Average : 0.5734

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-12-22
Maturity Price : 22.91
Evaluated at bid price : 23.18
Bid-YTW : 4.88 %
Market Action

December 21, 2020

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 -0.5391 % 1,869.7
FixedFloater 0.00 % 0.00 % 0 0.00 0 -0.5391 % 3,430.7
Floater 4.65 % 4.64 % 51,756 16.17 2 -0.5391 % 1,977.2
OpRet 0.00 % 0.00 % 0 0.00 0 0.0000 % 3,609.6
SplitShare 4.80 % 4.62 % 44,620 3.82 9 0.0000 % 4,310.7
Interest-Bearing 0.00 % 0.00 % 0 0.00 0 0.0000 % 3,363.3
Perpetual-Premium 5.33 % 0.23 % 73,645 0.08 19 -0.1071 % 3,198.3
Perpetual-Discount 5.01 % 5.05 % 74,024 15.37 12 -0.5416 % 3,664.6
FixedReset Disc 5.03 % 3.92 % 151,357 17.21 56 -0.4859 % 2,322.1
Insurance Straight 5.06 % 4.83 % 87,353 15.37 22 -0.6555 % 3,551.8
FloatingReset 1.93 % 1.90 % 43,323 1.10 3 -0.2944 % 1,850.0
FixedReset Prem 5.16 % 3.08 % 221,409 0.66 22 -0.2432 % 2,673.3
FixedReset Bank Non 1.93 % 1.80 % 171,617 1.09 2 0.0200 % 2,880.3
FixedReset Ins Non 5.07 % 3.89 % 87,675 17.23 22 -0.2259 % 2,414.9
Performance Highlights
Issue Index Change Notes
TD.PF.D FixedReset Disc -7.96 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-12-21
Maturity Price : 20.11
Evaluated at bid price : 20.11
Bid-YTW : 4.06 %
BAM.PR.T FixedReset Disc -3.45 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-12-21
Maturity Price : 14.55
Evaluated at bid price : 14.55
Bid-YTW : 4.83 %
BAM.PF.E FixedReset Disc -3.34 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-12-21
Maturity Price : 15.90
Evaluated at bid price : 15.90
Bid-YTW : 4.94 %
BAM.PF.F FixedReset Disc -2.99 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-12-21
Maturity Price : 17.85
Evaluated at bid price : 17.85
Bid-YTW : 4.85 %
TRP.PR.D FixedReset Disc -2.73 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-12-21
Maturity Price : 14.95
Evaluated at bid price : 14.95
Bid-YTW : 5.15 %
CU.PR.F Perpetual-Discount -2.35 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-12-21
Maturity Price : 23.41
Evaluated at bid price : 23.68
Bid-YTW : 4.78 %
MFC.PR.H FixedReset Ins Non -2.17 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-12-21
Maturity Price : 21.94
Evaluated at bid price : 22.50
Bid-YTW : 3.99 %
SLF.PR.E Insurance Straight -1.89 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-12-21
Maturity Price : 23.66
Evaluated at bid price : 23.93
Bid-YTW : 4.70 %
BAM.PF.A FixedReset Disc -1.82 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-12-21
Maturity Price : 18.85
Evaluated at bid price : 18.85
Bid-YTW : 4.79 %
IFC.PR.G FixedReset Ins Non -1.73 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-12-21
Maturity Price : 19.85
Evaluated at bid price : 19.85
Bid-YTW : 4.09 %
IFC.PR.I Perpetual-Premium -1.70 % YTW SCENARIO
Maturity Type : Call
Maturity Date : 2029-03-31
Maturity Price : 25.00
Evaluated at bid price : 25.51
Bid-YTW : 5.11 %
BAM.PR.Z FixedReset Disc -1.66 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-12-21
Maturity Price : 18.40
Evaluated at bid price : 18.40
Bid-YTW : 4.83 %
IFC.PR.E Insurance Straight -1.37 % YTW SCENARIO
Maturity Type : Option Certainty
Maturity Date : 2050-12-21
Maturity Price : 25.00
Evaluated at bid price : 25.20
Bid-YTW : 5.17 %
MFC.PR.B Insurance Straight -1.35 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-12-21
Maturity Price : 23.93
Evaluated at bid price : 24.17
Bid-YTW : 4.83 %
BAM.PF.B FixedReset Disc -1.34 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-12-21
Maturity Price : 16.94
Evaluated at bid price : 16.94
Bid-YTW : 4.92 %
TRP.PR.F FloatingReset -1.33 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-12-21
Maturity Price : 11.16
Evaluated at bid price : 11.16
Bid-YTW : 4.53 %
GWO.PR.R Insurance Straight -1.30 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-12-21
Maturity Price : 24.05
Evaluated at bid price : 24.30
Bid-YTW : 4.95 %
GWO.PR.I Insurance Straight -1.29 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-12-21
Maturity Price : 23.34
Evaluated at bid price : 23.63
Bid-YTW : 4.76 %
PWF.PR.S Perpetual-Discount -1.27 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-12-21
Maturity Price : 23.83
Evaluated at bid price : 24.10
Bid-YTW : 5.04 %
SLF.PR.C Insurance Straight -1.24 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-12-21
Maturity Price : 23.68
Evaluated at bid price : 23.95
Bid-YTW : 4.65 %
BAM.PR.N Perpetual-Discount -1.23 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-12-21
Maturity Price : 23.03
Evaluated at bid price : 23.30
Bid-YTW : 5.10 %
MFC.PR.J FixedReset Ins Non -1.20 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-12-21
Maturity Price : 20.65
Evaluated at bid price : 20.65
Bid-YTW : 3.94 %
BIK.PR.A FixedReset Prem -1.18 % YTW SCENARIO
Maturity Type : Call
Maturity Date : 2024-03-31
Maturity Price : 25.00
Evaluated at bid price : 25.10
Bid-YTW : 5.70 %
BMO.PR.W FixedReset Disc -1.14 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-12-21
Maturity Price : 19.92
Evaluated at bid price : 19.92
Bid-YTW : 3.66 %
BAM.PR.R FixedReset Disc -1.11 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-12-21
Maturity Price : 14.30
Evaluated at bid price : 14.30
Bid-YTW : 4.82 %
BAM.PR.B Floater -1.08 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-12-21
Maturity Price : 9.20
Evaluated at bid price : 9.20
Bid-YTW : 4.66 %
TRP.PR.E FixedReset Disc -1.06 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-12-21
Maturity Price : 14.87
Evaluated at bid price : 14.87
Bid-YTW : 5.13 %
IAF.PR.B Insurance Straight -1.03 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-12-21
Maturity Price : 23.69
Evaluated at bid price : 24.00
Bid-YTW : 4.79 %
BIP.PR.D FixedReset Disc -1.03 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-12-21
Maturity Price : 23.65
Evaluated at bid price : 24.10
Bid-YTW : 5.19 %
BAM.PF.D Perpetual-Discount -1.02 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-12-21
Maturity Price : 23.68
Evaluated at bid price : 24.20
Bid-YTW : 5.05 %
SLF.PR.B Insurance Straight -1.01 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-12-21
Maturity Price : 24.25
Evaluated at bid price : 24.55
Bid-YTW : 4.89 %
BIP.PR.C FixedReset Disc -1.00 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-12-21
Maturity Price : 24.17
Evaluated at bid price : 24.67
Bid-YTW : 5.42 %
NA.PR.W FixedReset Disc -1.00 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-12-21
Maturity Price : 18.81
Evaluated at bid price : 18.81
Bid-YTW : 3.94 %
RY.PR.M FixedReset Disc 1.09 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-12-21
Maturity Price : 21.24
Evaluated at bid price : 21.24
Bid-YTW : 3.62 %
CU.PR.D Perpetual-Discount 1.40 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-12-21
Maturity Price : 24.46
Evaluated at bid price : 24.70
Bid-YTW : 4.99 %
RY.PR.J FixedReset Disc 1.44 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-12-21
Maturity Price : 21.60
Evaluated at bid price : 21.91
Bid-YTW : 3.64 %
SLF.PR.H FixedReset Ins Non 1.64 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-12-21
Maturity Price : 17.99
Evaluated at bid price : 17.99
Bid-YTW : 3.65 %
RY.PR.H FixedReset Disc 2.11 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-12-21
Maturity Price : 21.25
Evaluated at bid price : 21.25
Bid-YTW : 3.40 %
CM.PR.Q FixedReset Disc 2.54 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-12-21
Maturity Price : 21.38
Evaluated at bid price : 21.38
Bid-YTW : 3.80 %
Volume Highlights
Issue Index Shares
Traded		 Notes
NA.PR.A FixedReset Prem 396,000 YTW SCENARIO
Maturity Type : Call
Maturity Date : 2021-08-15
Maturity Price : 25.00
Evaluated at bid price : 25.57
Bid-YTW : 2.72 %
RY.PR.H FixedReset Disc 110,931 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-12-21
Maturity Price : 21.25
Evaluated at bid price : 21.25
Bid-YTW : 3.40 %
TD.PF.B FixedReset Disc 85,530 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-12-21
Maturity Price : 20.43
Evaluated at bid price : 20.43
Bid-YTW : 3.57 %
TD.PF.A FixedReset Disc 78,899 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-12-21
Maturity Price : 20.70
Evaluated at bid price : 20.70
Bid-YTW : 3.50 %
NA.PR.S FixedReset Disc 38,412 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-12-21
Maturity Price : 19.56
Evaluated at bid price : 19.56
Bid-YTW : 3.93 %
TRP.PR.K FixedReset Disc 27,000 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-12-21
Maturity Price : 23.67
Evaluated at bid price : 24.80
Bid-YTW : 4.92 %
There were 23 other index-included issues trading in excess of 10,000 shares.
Wide Spread Highlights
Issue Index Quote Data and Yield Notes
IFC.PR.A FixedReset Ins Non Quote: 15.12 – 18.51
Spot Rate : 3.3900
Average : 1.8706

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-12-21
Maturity Price : 15.12
Evaluated at bid price : 15.12
Bid-YTW : 3.78 %
TD.PF.D FixedReset Disc Quote: 20.11 – 22.45
Spot Rate : 2.3400
Average : 1.3253

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-12-21
Maturity Price : 20.11
Evaluated at bid price : 20.11
Bid-YTW : 4.06 %
BAM.PF.B FixedReset Disc Quote: 16.94 – 18.24
Spot Rate : 1.3000
Average : 0.9068

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-12-21
Maturity Price : 16.94
Evaluated at bid price : 16.94
Bid-YTW : 4.92 %
CU.PR.D Perpetual-Discount Quote: 24.70 – 25.70
Spot Rate : 1.0000
Average : 0.7469

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-12-21
Maturity Price : 24.46
Evaluated at bid price : 24.70
Bid-YTW : 4.99 %
POW.PR.B Perpetual-Premium Quote: 25.20 – 25.78
Spot Rate : 0.5800
Average : 0.3372

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-12-21
Maturity Price : 24.88
Evaluated at bid price : 25.20
Bid-YTW : 5.39 %
TD.PF.J FixedReset Disc Quote: 22.58 – 23.45
Spot Rate : 0.8700
Average : 0.6368

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-12-21
Maturity Price : 22.24
Evaluated at bid price : 22.58
Bid-YTW : 3.70 %
Issue Comments

AZP 2020 NCIB Was Real!

Atlantic Power Corporation has announced:

that the Toronto Stock Exchange (“TSX”) has approved Atlantic Power’s renewal of its normal course issuer bid (“NCIB”) for the following series of the Company’s convertible unsecured subordinated debentures and its common shares and APPEL’s renewal of its NCIB for each of the following series of its preferred shares (collectively, the “Public Securities”):

a) the 6.0% Series E Convertible Unsecured Subordinated Debentures due January 31, 2025 (the “6.0% Cdn$115.0 Million Debentures”) (TSX: ATP.DB.E).

b) the common shares (the “Common Shares”) (TSX:ATP);

c) the 4.85% Cumulative Redeemable Preferred Shares, Series 1 (the “Series 1 Preferred Shares”) (TSX: AZP.PR.A);

d) the Cumulative Rate Reset Preferred Shares, Series 2 (the “Series 2 Preferred Shares”) (TSX: AZP.PR.B); and

e) the Cumulative Floating Rate Preferred Shares, Series 3 (the “Series 3 Preferred Shares”) (TSX: AZP.PR.C).

Atlantic Power and APPEL intend to commence their NCIBs on December 31, 2020. The NCIBs will expire on December 30, 2021 or such earlier date as the Company and/or APPEL complete their respective purchases pursuant to the NCIBs or terminate them at their option. Under its current NCIB which expires December 30, 2020, Atlantic Power has purchased 7,476,213 of its common shares at an average price of Cdn$2.85. There were no purchases of its 6.0% Series E Convertible Unsecured Subordinated Debentures. APPEL has purchased 381,794 of its Series 1 Preferred Shares at an average price of Cdn$15.17; 62,365 of its Series 2 Preferred Shares at an average price of Cdn$15.20; and 120,000 of its Series 3 Preferred Shares at an average price of Cdn$17.90.

So to put those 2020 numbers into tabular form:

Security Shares Purchased
/
Listed Shares out per TMXMoney.com		 Average Price Total Amount
ATP 7,476,213
/
89,222,568		 2.85 20,307,207
AZP.PR.A 381,794
/
3,599,606		 15.17 5,791,815
AZP.PR.B 62,365
/
2,441,766		 15.20 947,948
AZP.PR.C 120,000
/
957,391		 17.90 2,148,000

So a total of about $8.9-million was spent on preferreds, about 45% of the amount spent on common. Certainly not enough to cause a scarcity, but every little bit helps!