Issue Comments

PPL.PR.I To Reset To 4.302%

Pembina Pipeline Corporation has announced:

that it does not intend to exercise its right to redeem the currently outstanding Cumulative Redeemable Rate Reset Class A Preferred Shares, Series 9 (“Series 9 Shares”) (TSX: PPL.PR.I) on December 1, 2020 (the “Conversion Date”).

As a result, subject to certain terms of the Series 9 Shares, the holders of the Series 9 Shares will have the right to convert all or part of their Series 9 Shares on a one-for-one basis into Cumulative Redeemable Floating Rate Class A Preferred Shares, Series 10 of Pembina (“Series 10 Shares”) on the Conversion Date. Holders who do not exercise their right to convert their Series 9 Shares into Series 10 Shares will retain their Series 9 Shares.

As provided in the terms of the Series 9 Shares: (i) if Pembina determines that there would remain outstanding immediately following the conversion less than 1,000,000 Series 9 Shares, then all remaining Series 9 Shares will be automatically converted into Series 10 Shares on a one-for-one basis effective December 1, 2020; or (ii) if Pembina determines that there would be less than 1,000,000 Series 10 Shares after December 1, 2020, no Series 9 Shares will be converted into Series 10 Shares on the Conversion Date. There are currently 9,000,000 Series 9 Shares outstanding.

With respect to any Series 9 Shares that remain outstanding after December 1, 2020, holders thereof will be entitled to receive quarterly fixed cumulative preferential cash dividends, if, as and when declared by the Board of Directors of Pembina. The annual dividend rate for the Series 9 Shares for the five-year period from and including December 1, 2020 to, but excluding, December 1, 2025 will be 4.302 percent, being equal to the five-year Government of Canada bond yield of 0.392 percent determined as of today plus 3.91 percent, in accordance with the terms of the Series 9 Shares.

With respect to any Series 10 Shares that may be issued on December 1, 2020, holders thereof will be entitled to receive quarterly floating rate cumulative preferential cash dividends, if, as and when declared by the Board of Directors of Pembina. The annual dividend rate applicable to Series 10 Shares for the three-month floating rate period from and including December 1, 2020 to, but excluding, March 1, 2021 will be 3.996 percent, being equal to the annual rate of interest for the most recent auction of 90-day Government of Canada treasury bills of 0.086 percent plus 3.91 percent, in accordance with the terms of the Series 10 Shares (the “Floating Quarterly Dividend Rate”). The Floating Quarterly Dividend Rate will be reset every quarter.

Beneficial holders of Series 9 Shares who wish to exercise their right of conversion during the conversion period, which runs from November 2, 2020 until 3:00 (MT) / 5:00 pm (ET) on November 16, 2020, should communicate as soon as possible with their broker or other intermediary for more information. It is recommended that this be done well in advance of the deadline in order to provide the broker or other intermediary with the time to complete the necessary steps. Any notices received after this deadline will not be valid.

As previously announced, the dividend payable on December 1, 2020 to holders of the Series 9 Shares of record on November 2, 2020 will be $0.296875 per Series 9 Share, consistent with the dividend rate in effect since issuance of the Series 9 Shares. For more information on the terms of the Series 9 Shares and the Series 10 Shares, please see the prospectus supplement dated April 2, 2015 which can be found on SEDAR, under the profile of Pembina Pipeline Corporation, at www.sedar.com.

PPL.PR.I is a FixedReset, 4.75%+391, that commenced trading 2015-4-10 after being announced 2015-3-31. It is tracked by HIMIPref™ but relegated to the Scraps index on credit concerns.

Issue Comments

CU.PR.I To Reset At 4.50% (Guaranteed Minimum Reset)

Canadian Utilities Limited has announced:

that it has notified the registered shareholder of its Cumulative Redeemable Second Preferred Shares Series FF (“Series FF Preferred Shares”) of a conversion privilege and applicable dividend rates. As a result, subject to certain conditions, the holders of Series FF Preferred Shares will have the right to choose one of the following options with regard to their shares:

To retain any or all of their Series FF Preferred 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 FF Preferred Shares into Cumulative Redeemable Second Preferred Shares Series GG (“Series GG Preferred Shares”) of Canadian Utilities Limited and receive a floating rate quarterly dividend.
Effective December 1, 2020, the annual dividend rate for the Series FF Preferred Shares is set at 4.50% for the five-year period from and including December 1, 2020 to but excluding December 1, 2025 and the dividend rate for the Series GG Preferred Shares is set at an annual rate of 3.78% for the three-month period commencing December 1, 2020 to but excluding March 1, 2021. The dividend rate for the Series GG Preferred Shares will be reset each quarter. Both rates were calculated according to the terms described in the prospectus supplement of Canadian Utilities Limited dated September 16, 2015.

Beneficial owners of Series FF Preferred Shares who wish 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 3 p.m. (Calgary time) / 5 p.m. (Toronto time) on November 16, 2020. 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 intermediary with time to complete the necessary steps.

The foregoing conversions are subject to the conditions that: (i) if Canadian Utilities Limited determines that there would be less than 2,000,000 Series FF Preferred Shares outstanding on December 1, 2020, then all remaining Series FF Preferred Shares will automatically be converted into Series GG Preferred Shares on December 1, 2020, and (ii) alternatively, if Canadian Utilities Limited determines that there would be less than 2,000,000 Series GG Preferred Shares outstanding on December 1, 2020 after giving effect to conversion notices received, no Series FF Preferred Shares will be converted into Series GG Preferred Shares. If either of these scenarios occurs, Canadian Utilities Limited will issue a news release to that effect on or before November 23, 2020.

Holders of the Series FF Preferred Shares and the Series GG Preferred Shares, as applicable, will have the opportunity to convert their shares again on December 1, 2025, 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 FF Preferred Shares and the Series GG Preferred Shares, please see Canadian Utilities Limited’s prospectus supplement dated September 16, 2015, which can be found under Canadian Utilities Limited’s profile on SEDAR at www.sedar.com.

CU.PR.I is a FixedReset, 4.50%+369M450, that commenced trading 2015-9-24 after being announced 2015-9-14. It is tracked by HIMIPref™ and is assigned to the FixedReset-Premium subindex.

It is of interest to note that CU.PR.I is very expensive relative to CU Straights according to Implied Volatility Theory:

impvol_custraight_201102
Click for Big

The Current Yield on the issue is 4.49% vs. a theoretical yield (derived from the Straights) of 4.79% – a price difference of $1.59. To rationalize this, one must assume the market is assigning a very high probability to much higher interest rates in the future.

Issue Comments

TRP.PR.G To Reset At 3.351%

TC Energy Corporation has announced:

that it does not intend to exercise its right to redeem its Cumulative Redeemable First Preferred Shares, Series 11 (Series 11 Shares) on November 30, 2020. As a result, subject to certain conditions, the holders of Series 11 Shares have the right to choose one of the following options regarding their shares:

to retain any or all of their Series 11 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 11 Shares into Cumulative Redeemable First Preferred Shares, Series 12 (Series 12 Shares) of TC Energy and receive a floating rate quarterly dividend.
Should holders of Series 11 Shares choose to retain their shares, such shareholders will receive the new annual fixed dividend rate applicable to the Series 11 Shares of 3.351% for the five-year period commencing November 30, 2020 to, but excluding, November 28, 2025.

Should holders of Series 11 Shares choose to convert their shares to Series 12 Shares, holders of Series 12 Shares will receive the floating quarterly dividend rate applicable to the Series 12 Shares of 3.046% for the first quarterly floating rate period commencing November 30, 2020 to, but excluding, February 26, 2021. The floating quarterly dividend rate will be reset every quarter.

Beneficial owners of Series 11 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 to meet the deadline to exercise such right, which is 5 p.m. (EDT) on November 16, 2020. Any notices received after this deadline will not be valid. It is recommended that this be done well in advance of the deadline to provide the broker or other nominee with time to complete the necessary steps.

Beneficial owners of Series 11 Shares who do not exercise their conversion right through their broker or other nominee by the deadline will retain their Series 11 Shares and receive the new annual fixed dividend rate applicable to the Series 11 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 11 Shares outstanding after November 30, 2020, then all remaining Series 11 Shares will automatically be converted into Series 12 Shares on a one-for-one basis on November 30, 2020 and (ii) alternatively, if TC Energy determines that there would be less than one million Series 12 Shares outstanding after November 30, 2020, no Series 11 Shares will be converted into Series 12 Shares. In either case, TC Energy will issue a news release to that effect no later than November 23, 2020.

Holders of Series 11 Shares and Series 12 Shares will have the opportunity to convert their shares again on November 28, 2025 and the last business day of November in every fifth year thereafter as long as the shares remain outstanding. For more information on the terms of, and risks associated with an investment in the Series 11 Shares and the Series 12 Shares, please see the Corporation’s prospectus supplement dated February 23, 2015 which is available on sedar.com or on our website.

TRP.PR.G is a FixedReset, 3.80%+296, that commenced trading 2015-3-2 after being announced 2015-2-23. It is tracked by HIMIPref™ and is assigned to the FixedReset-Discount subindex.

Market Action

November 2, 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 4.8303 % 1,593.6
FixedFloater 0.00 % 0.00 % 0 0.00 0 4.8303 % 2,924.2
Floater 5.34 % 5.41 % 41,582 14.79 3 4.8303 % 1,685.3
OpRet 0.00 % 0.00 % 0 0.00 0 0.2084 % 3,535.3
SplitShare 4.80 % 4.75 % 46,201 3.52 8 0.2084 % 4,221.9
Interest-Bearing 0.00 % 0.00 % 0 0.00 0 0.2084 % 3,294.1
Perpetual-Premium 5.35 % -1.59 % 76,573 0.14 14 -0.1590 % 3,178.6
Perpetual-Discount 5.20 % 5.15 % 88,483 15.20 19 0.4576 % 3,554.6
FixedReset Disc 5.51 % 4.21 % 132,275 16.53 64 0.6682 % 2,103.2
Insurance Straight 5.13 % 5.00 % 109,120 15.14 22 0.3314 % 3,463.6
FloatingReset 1.97 % 2.31 % 49,320 1.23 3 0.1520 % 1,795.5
FixedReset Prem 5.22 % 3.64 % 250,981 0.79 15 0.1241 % 2,647.4
FixedReset Bank Non 1.94 % 1.94 % 140,808 1.23 2 0.2214 % 2,866.5
FixedReset Ins Non 5.49 % 4.27 % 72,516 16.38 22 0.3935 % 2,199.6
Performance Highlights
Issue Index Change Notes
GWO.PR.N FixedReset Ins Non -1.31 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-11-02
Maturity Price : 9.82
Evaluated at bid price : 9.82
Bid-YTW : 4.37 %
NA.PR.S FixedReset Disc -1.03 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-11-02
Maturity Price : 17.25
Evaluated at bid price : 17.25
Bid-YTW : 4.39 %
CM.PR.Y FixedReset Disc 1.00 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-11-02
Maturity Price : 23.33
Evaluated at bid price : 25.15
Bid-YTW : 4.11 %
IAF.PR.G FixedReset Ins Non 1.01 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-11-02
Maturity Price : 19.09
Evaluated at bid price : 19.09
Bid-YTW : 4.35 %
BAM.PF.H FixedReset Disc 1.01 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-11-02
Maturity Price : 24.24
Evaluated at bid price : 25.05
Bid-YTW : 5.00 %
BMO.PR.T FixedReset Disc 1.06 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-11-02
Maturity Price : 17.10
Evaluated at bid price : 17.10
Bid-YTW : 4.13 %
TRP.PR.K FixedReset Disc 1.09 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-11-02
Maturity Price : 23.75
Evaluated at bid price : 25.11
Bid-YTW : 4.88 %
BMO.PR.D FixedReset Disc 1.12 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-11-02
Maturity Price : 22.32
Evaluated at bid price : 22.65
Bid-YTW : 3.99 %
NA.PR.W FixedReset Disc 1.21 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-11-02
Maturity Price : 16.75
Evaluated at bid price : 16.75
Bid-YTW : 4.35 %
BIP.PR.D FixedReset Disc 1.25 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-11-02
Maturity Price : 21.51
Evaluated at bid price : 21.87
Bid-YTW : 5.77 %
BAM.PR.B Floater 1.26 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-11-02
Maturity Price : 8.05
Evaluated at bid price : 8.05
Bid-YTW : 5.39 %
IFC.PR.A FixedReset Ins Non 1.26 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-11-02
Maturity Price : 12.81
Evaluated at bid price : 12.81
Bid-YTW : 4.49 %
MFC.PR.L FixedReset Ins Non 1.30 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-11-02
Maturity Price : 16.40
Evaluated at bid price : 16.40
Bid-YTW : 4.31 %
BAM.PF.F FixedReset Disc 1.34 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-11-02
Maturity Price : 15.90
Evaluated at bid price : 15.90
Bid-YTW : 5.46 %
SLF.PR.C Insurance Straight 1.40 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-11-02
Maturity Price : 22.88
Evaluated at bid price : 23.15
Bid-YTW : 4.84 %
BAM.PF.G FixedReset Disc 1.47 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-11-02
Maturity Price : 15.15
Evaluated at bid price : 15.15
Bid-YTW : 5.41 %
SLF.PR.B Insurance Straight 1.65 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-11-02
Maturity Price : 24.46
Evaluated at bid price : 24.70
Bid-YTW : 4.90 %
BAM.PF.A FixedReset Disc 1.68 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-11-02
Maturity Price : 16.95
Evaluated at bid price : 16.95
Bid-YTW : 5.37 %
BAM.PR.X FixedReset Disc 1.70 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-11-02
Maturity Price : 10.75
Evaluated at bid price : 10.75
Bid-YTW : 5.28 %
SLF.PR.I FixedReset Ins Non 1.71 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-11-02
Maturity Price : 19.07
Evaluated at bid price : 19.07
Bid-YTW : 4.20 %
MFC.PR.M FixedReset Ins Non 1.89 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-11-02
Maturity Price : 17.75
Evaluated at bid price : 17.75
Bid-YTW : 4.25 %
BMO.PR.Y FixedReset Disc 2.02 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-11-02
Maturity Price : 19.15
Evaluated at bid price : 19.15
Bid-YTW : 4.04 %
TD.PF.D FixedReset Disc 2.04 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-11-02
Maturity Price : 19.50
Evaluated at bid price : 19.50
Bid-YTW : 4.10 %
BAM.PF.D Perpetual-Discount 2.27 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-11-02
Maturity Price : 22.73
Evaluated at bid price : 23.01
Bid-YTW : 5.38 %
BAM.PR.T FixedReset Disc 2.33 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-11-02
Maturity Price : 13.15
Evaluated at bid price : 13.15
Bid-YTW : 5.34 %
MFC.PR.C Insurance Straight 2.41 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-11-02
Maturity Price : 23.09
Evaluated at bid price : 23.35
Bid-YTW : 4.87 %
BAM.PF.J FixedReset Disc 2.50 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-11-02
Maturity Price : 23.39
Evaluated at bid price : 24.60
Bid-YTW : 4.81 %
CM.PR.Q FixedReset Disc 2.59 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-11-02
Maturity Price : 19.00
Evaluated at bid price : 19.00
Bid-YTW : 4.20 %
RY.PR.J FixedReset Disc 2.82 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-11-02
Maturity Price : 19.66
Evaluated at bid price : 19.66
Bid-YTW : 4.01 %
TRP.PR.G FixedReset Disc 3.16 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-11-02
Maturity Price : 14.71
Evaluated at bid price : 14.71
Bid-YTW : 5.80 %
CU.PR.F Perpetual-Discount 3.52 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-11-02
Maturity Price : 23.10
Evaluated at bid price : 23.55
Bid-YTW : 4.83 %
TRP.PR.B FixedReset Disc 10.67 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-11-02
Maturity Price : 8.30
Evaluated at bid price : 8.30
Bid-YTW : 5.11 %
BAM.PR.C Floater 13.76 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-11-02
Maturity Price : 8.02
Evaluated at bid price : 8.02
Bid-YTW : 5.41 %
Volume Highlights
Issue Index Shares
Traded		 Notes
RY.PR.Q FixedReset Prem 78,650 YTW SCENARIO
Maturity Type : Call
Maturity Date : 2021-05-24
Maturity Price : 25.00
Evaluated at bid price : 25.23
Bid-YTW : 3.22 %
RY.PR.M FixedReset Disc 70,236 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-11-02
Maturity Price : 18.47
Evaluated at bid price : 18.47
Bid-YTW : 4.08 %
SLF.PR.G FixedReset Ins Non 52,550 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-11-02
Maturity Price : 10.85
Evaluated at bid price : 10.85
Bid-YTW : 4.21 %
IFC.PR.I Perpetual-Premium 42,401 YTW SCENARIO
Maturity Type : Call
Maturity Date : 2029-03-31
Maturity Price : 25.00
Evaluated at bid price : 25.70
Bid-YTW : 5.09 %
SLF.PR.D Insurance Straight 33,100 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-11-02
Maturity Price : 22.82
Evaluated at bid price : 23.10
Bid-YTW : 4.85 %
TD.PF.H FixedReset Prem 31,325 YTW SCENARIO
Maturity Type : Call
Maturity Date : 2021-10-31
Maturity Price : 25.00
Evaluated at bid price : 25.25
Bid-YTW : 3.86 %
There were 16 other index-included issues trading in excess of 10,000 shares.
Wide Spread Highlights
Issue Index Quote Data and Yield Notes
IAF.PR.G FixedReset Ins Non Quote: 19.09 – 25.00
Spot Rate : 5.9100
Average : 3.4330

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-11-02
Maturity Price : 19.09
Evaluated at bid price : 19.09
Bid-YTW : 4.35 %
BAM.PF.E FixedReset Disc Quote: 14.45 – 15.49
Spot Rate : 1.0400
Average : 0.5898

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-11-02
Maturity Price : 14.45
Evaluated at bid price : 14.45
Bid-YTW : 5.45 %
PWF.PR.G Perpetual-Premium Quote: 25.30 – 26.24
Spot Rate : 0.9400
Average : 0.5781

YTW SCENARIO
Maturity Type : Call
Maturity Date : 2020-12-02
Maturity Price : 25.00
Evaluated at bid price : 25.30
Bid-YTW : -8.08 %
MFC.PR.M FixedReset Ins Non Quote: 17.75 – 18.75
Spot Rate : 1.0000
Average : 0.6774

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-11-02
Maturity Price : 17.75
Evaluated at bid price : 17.75
Bid-YTW : 4.25 %
W.PR.M FixedReset Prem Quote: 25.05 – 25.80
Spot Rate : 0.7500
Average : 0.4987

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-11-02
Maturity Price : 24.73
Evaluated at bid price : 25.05
Bid-YTW : 5.22 %
BIP.PR.B FixedReset Disc Quote: 24.00 – 24.70
Spot Rate : 0.7000
Average : 0.4747

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-11-02
Maturity Price : 22.77
Evaluated at bid price : 24.00
Bid-YTW : 5.74 %
MAPF

MAPF Portfolio Composition : October, 2020

Turnover increased in October to 14%.

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 October 30 was as follows:

MAPF Sectoral Analysis 2020-10-30
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 14.5% 5.01% 15.43
Fixed-Reset Discount 36.7% 4.99% 15.32
Insurance – Straight 1.3% 4.91% 15.61
FloatingReset 0% N/A N/A
FixedReset Premium 0% N/A N/A
FixedReset Bank non-NVCC 3.7% 2.28% 1.24
FixedReset Insurance non-NVCC 24.1% 4.41% 16.30
Scraps – Ratchet 1.2% 6.60% 16.27
Scraps – FixedFloater 0% N/A N/A
Scraps – Floater 0% N/A N/A
Scraps – OpRet 0% N/A N/A
Scraps – SplitShare 1.2% 5.52% 3.66
Scraps – PerpPrem 0% N/A N/A
Scraps – PerpDisc 0% N/A N/A
Scraps – FR Discount 17.2% 7.87% 11.48
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 0.2% 0.00% 0.00
Total 100% 5.27% 14.25
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 0.38%, a constant 3-Month Bill rate of 0.09% 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 4.6%. The total portfolio is therefore 78.3% “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 2020-10-30
DBRS Rating MAPF Weighting
Pfd-1 0
Pfd-1(low) 0
Pfd-2(high) 37.8%
Pfd-2 22.8%
Pfd-2(low) 19.6%
Pfd-3(high) 10.4%
Pfd-3 5.2%
Pfd-3(low) 2.2%
Pfd-4(high) 1.0%
Pfd-4 0%
Pfd-4(low) 0.8%
Pfd-5(high) 0%
Pfd-5 0.0%
Cash +0.2%
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-3” in the above table on the basis of its S&P rating of P-3.

Liquidity Distribution is:

MAPF Liquidity Analysis 2020-10-30
Average Daily Trading MAPF Weighting
<$50,000 19.2%
$50,000 – $100,000 34.4%
$100,000 – $200,000 39.1%
$200,000 – $300,000 6.0%
>$300,000 1.2%
Cash +0.2%
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 7.8%
200-249bp 10.4%
250-299bp 38.9%
300-349bp 4.0%
350-399bp 9.0%
400-449bp 1.8%
450-499bp 0.0%
500-549bp 1.4%
550-599bp 0%
>= 600bp 0%
Undefined 18.3%

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 7.1%
1-2 Years 13.0%
2-3 Years 10.9%
3-4 Years 17.1%
4-5 Years 33.5%
5-6 Years 0%
>6 Years 0%
Not Floating Rate 17.1%

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

RY.PR.M To Reset At 3.00%

Royal Bank of Canada has announced (on October 26):

the applicable dividend rates for its Non-Viability Contingent Capital (NVCC) Non-Cumulative 5-Year Rate Reset First Preferred Shares, Series BF (RY.PR.M on TSX ) (the “Series BF shares”) and NVCC Non-Cumulative Floating Rate First Preferred Shares, Series BG (the “Series BG shares”).

With respect to any Series BF shares that remain outstanding after November 24, 2020, holders will be entitled to receive quarterly fixed rate non-cumulative preferential cash dividends, as and when declared by the Board of Directors of Royal Bank of Canada, subject to the provisions of the Bank Act (Canada).

The dividend rate for the 5-year period from and including November 24, 2020 to, but excluding, November 24, 2025 will be 3.00% for the Series BF shares, being equal to the 5-Year Government of Canada bond yield determined as of October 26, 2020 plus 2.62%, as determined in accordance with the terms of the Series BF shares.

With respect to any Series BG shares that may be issued on November 24, 2020, holders will be entitled to receive quarterly floating rate non-cumulative preferential cash dividends, calculated on the basis of the actual number of days elapsed in such quarterly period divided by 365, as and when declared by the Board of Directors of Royal Bank of Canada, subject to the provisions of the Bank Act (Canada).

The dividend rate for the floating rate period from and including November 24, 2020 to, but excluding, February 24, 2021 will be 2.71% for the Series BG shares, being equal to the 3-month Government of Canada Treasury Bill yield determined as of October 26, 2020 plus 2.62%, as determined in accordance with the terms of the Series BG shares.

Beneficial owners of Series BF shares who wish to exercise their conversion rights should instruct their broker or other nominee to exercise such rights on or prior to the deadline for notice of intention to convert, which is 5:00 p.m. (EST) on November 9, 2020.

RY.PR.M is a FixedReset, 3.60%+262, NVCC-compliant, that commenced trading 2015-3-15 after being announced 2015-3-5. The company announced extension earlier in October. The issue is tracked by HIMIPref™ and is assigned to the FixedReset-Discount subindex.

Market Action

October 30, 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 -6.2041 % 1,520.2
FixedFloater 0.00 % 0.00 % 0 0.00 0 -6.2041 % 2,789.5
Floater 5.60 % 5.45 % 38,527 14.72 3 -6.2041 % 1,607.6
OpRet 0.00 % 0.00 % 0 0.00 0 0.0397 % 3,527.9
SplitShare 4.81 % 4.78 % 46,684 3.53 8 0.0397 % 4,213.1
Interest-Bearing 0.00 % 0.00 % 0 0.00 0 0.0397 % 3,287.2
Perpetual-Premium 5.33 % -0.23 % 92,063 0.15 17 -0.1814 % 3,183.7
Perpetual-Discount 5.20 % 5.16 % 82,784 15.21 17 -0.4743 % 3,538.4
FixedReset Disc 5.54 % 4.29 % 136,615 16.45 65 0.0048 % 2,089.2
Deemed-Retractible 5.14 % 5.00 % 110,684 15.14 22 -0.1384 % 3,452.1
FloatingReset 1.98 % 2.53 % 50,178 1.24 3 -0.0626 % 1,792.8
FixedReset Prem 5.23 % 3.33 % 257,913 0.77 14 -0.0587 % 2,644.1
FixedReset Bank Non 1.95 % 2.13 % 187,249 1.24 2 -0.0345 % 2,860.2
FixedReset Ins Non 5.51 % 4.27 % 75,277 16.37 22 -0.4398 % 2,191.0
Performance Highlights
Issue Index Change Notes
BAM.PR.C Floater -14.02 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-10-30
Maturity Price : 7.05
Evaluated at bid price : 7.05
Bid-YTW : 6.16 %
TRP.PR.B FixedReset Disc -9.64 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-10-30
Maturity Price : 7.50
Evaluated at bid price : 7.50
Bid-YTW : 5.64 %
CU.PR.F Perpetual-Discount -3.81 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-10-30
Maturity Price : 22.48
Evaluated at bid price : 22.75
Bid-YTW : 5.01 %
TD.PF.D FixedReset Disc -2.75 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-10-30
Maturity Price : 19.11
Evaluated at bid price : 19.11
Bid-YTW : 4.18 %
RY.PR.J FixedReset Disc -2.70 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-10-30
Maturity Price : 19.12
Evaluated at bid price : 19.12
Bid-YTW : 4.11 %
CM.PR.Q FixedReset Disc -2.63 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-10-30
Maturity Price : 18.52
Evaluated at bid price : 18.52
Bid-YTW : 4.29 %
MFC.PR.F FixedReset Ins Non -2.61 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-10-30
Maturity Price : 10.45
Evaluated at bid price : 10.45
Bid-YTW : 4.36 %
BAM.PR.B Floater -2.57 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-10-30
Maturity Price : 7.95
Evaluated at bid price : 7.95
Bid-YTW : 5.45 %
BMO.PR.Y FixedReset Disc -2.06 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-10-30
Maturity Price : 18.77
Evaluated at bid price : 18.77
Bid-YTW : 4.11 %
BAM.PR.K Floater -1.97 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-10-30
Maturity Price : 7.98
Evaluated at bid price : 7.98
Bid-YTW : 5.43 %
BAM.PF.D Perpetual-Discount -1.96 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-10-30
Maturity Price : 22.22
Evaluated at bid price : 22.50
Bid-YTW : 5.50 %
BIP.PR.D FixedReset Disc -1.91 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-10-30
Maturity Price : 21.31
Evaluated at bid price : 21.60
Bid-YTW : 5.85 %
SLF.PR.I FixedReset Ins Non -1.73 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-10-30
Maturity Price : 18.75
Evaluated at bid price : 18.75
Bid-YTW : 4.26 %
MFC.PR.L FixedReset Ins Non -1.46 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-10-30
Maturity Price : 16.19
Evaluated at bid price : 16.19
Bid-YTW : 4.35 %
BAM.PR.Z FixedReset Disc -1.34 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-10-30
Maturity Price : 16.20
Evaluated at bid price : 16.20
Bid-YTW : 5.52 %
NA.PR.G FixedReset Disc -1.25 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-10-30
Maturity Price : 19.75
Evaluated at bid price : 19.75
Bid-YTW : 4.36 %
BAM.PR.R FixedReset Disc -1.24 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-10-30
Maturity Price : 12.74
Evaluated at bid price : 12.74
Bid-YTW : 5.35 %
PWF.PR.E Perpetual-Premium -1.19 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-10-30
Maturity Price : 24.68
Evaluated at bid price : 24.95
Bid-YTW : 5.53 %
BAM.PR.T FixedReset Disc -1.15 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-10-30
Maturity Price : 12.85
Evaluated at bid price : 12.85
Bid-YTW : 5.45 %
CU.PR.D Perpetual-Discount -1.10 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-10-30
Maturity Price : 24.04
Evaluated at bid price : 24.35
Bid-YTW : 5.10 %
TD.PF.C FixedReset Disc -1.09 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-10-30
Maturity Price : 18.15
Evaluated at bid price : 18.15
Bid-YTW : 4.01 %
BAM.PR.M Perpetual-Discount -1.04 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-10-30
Maturity Price : 21.52
Evaluated at bid price : 21.78
Bid-YTW : 5.50 %
MFC.PR.K FixedReset Ins Non -1.04 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-10-30
Maturity Price : 17.07
Evaluated at bid price : 17.07
Bid-YTW : 4.27 %
MFC.PR.M FixedReset Ins Non -1.02 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-10-30
Maturity Price : 17.42
Evaluated at bid price : 17.42
Bid-YTW : 4.32 %
TD.PF.K FixedReset Disc -1.00 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-10-30
Maturity Price : 19.80
Evaluated at bid price : 19.80
Bid-YTW : 4.12 %
POW.PR.B Perpetual-Discount 1.05 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-10-30
Maturity Price : 24.65
Evaluated at bid price : 24.91
Bid-YTW : 5.41 %
TD.PF.E FixedReset Disc 1.11 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-10-30
Maturity Price : 20.02
Evaluated at bid price : 20.02
Bid-YTW : 4.08 %
BMO.PR.W FixedReset Disc 1.24 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-10-30
Maturity Price : 17.83
Evaluated at bid price : 17.83
Bid-YTW : 4.00 %
SLF.PR.A Deemed-Retractible 1.25 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-10-30
Maturity Price : 24.05
Evaluated at bid price : 24.30
Bid-YTW : 4.93 %
NA.PR.C FixedReset Disc 1.28 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-10-30
Maturity Price : 22.69
Evaluated at bid price : 23.01
Bid-YTW : 4.20 %
BIP.PR.A FixedReset Disc 2.32 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-10-30
Maturity Price : 17.20
Evaluated at bid price : 17.20
Bid-YTW : 5.82 %
TD.PF.L FixedReset Disc 27.12 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-10-30
Maturity Price : 23.03
Evaluated at bid price : 24.28
Bid-YTW : 3.97 %
Volume Highlights
Issue Index Shares
Traded		 Notes
SLF.PR.A Deemed-Retractible 92,549 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-10-30
Maturity Price : 24.05
Evaluated at bid price : 24.30
Bid-YTW : 4.93 %
PWF.PR.F Perpetual-Premium 59,800 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-10-30
Maturity Price : 24.44
Evaluated at bid price : 24.68
Bid-YTW : 5.34 %
TRP.PR.K FixedReset Disc 53,697 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-10-30
Maturity Price : 23.64
Evaluated at bid price : 24.84
Bid-YTW : 4.94 %
RY.PR.Q FixedReset Prem 48,120 YTW SCENARIO
Maturity Type : Call
Maturity Date : 2021-05-24
Maturity Price : 25.00
Evaluated at bid price : 25.25
Bid-YTW : 3.03 %
RY.PR.Z FixedReset Disc 41,409 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-10-30
Maturity Price : 17.95
Evaluated at bid price : 17.95
Bid-YTW : 3.88 %
TD.PF.G FixedReset Prem 40,240 YTW SCENARIO
Maturity Type : Call
Maturity Date : 2021-04-30
Maturity Price : 25.00
Evaluated at bid price : 25.26
Bid-YTW : 3.32 %
There were 34 other index-included issues trading in excess of 10,000 shares.
Wide Spread Highlights
Issue Index Quote Data and Yield Notes
BAM.PR.C Floater Quote: 7.05 – 8.05
Spot Rate : 1.0000
Average : 0.5563

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-10-30
Maturity Price : 7.05
Evaluated at bid price : 7.05
Bid-YTW : 6.16 %
CU.PR.F Perpetual-Discount Quote: 22.75 – 23.86
Spot Rate : 1.1100
Average : 0.6921

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-10-30
Maturity Price : 22.48
Evaluated at bid price : 22.75
Bid-YTW : 5.01 %
TRP.PR.B FixedReset Disc Quote: 7.50 – 8.45
Spot Rate : 0.9500
Average : 0.5455

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-10-30
Maturity Price : 7.50
Evaluated at bid price : 7.50
Bid-YTW : 5.64 %
BMO.PR.Y FixedReset Disc Quote: 18.77 – 19.66
Spot Rate : 0.8900
Average : 0.5224

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-10-30
Maturity Price : 18.77
Evaluated at bid price : 18.77
Bid-YTW : 4.11 %
MFC.PR.K FixedReset Ins Non Quote: 17.07 – 17.90
Spot Rate : 0.8300
Average : 0.5219

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-10-30
Maturity Price : 17.07
Evaluated at bid price : 17.07
Bid-YTW : 4.27 %
RY.PR.J FixedReset Disc Quote: 19.12 – 19.75
Spot Rate : 0.6300
Average : 0.3655

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-10-30
Maturity Price : 19.12
Evaluated at bid price : 19.12
Bid-YTW : 4.11 %
Market Action

October 29, 2020

DBRS finalized the rating on the CWB LRCNs at BB(high):

DBRS Limited (DBRS Morningstar) finalized its provisional rating of BB (high) with a Negative trend on Canadian Western Bank’s (CWB or the Bank) NVCC Additional Tier 1 (AT1) Limited Recourse Capital Notes (the Capital Notes).

Following the review of documentation associated with the recent offering, DBRS Morningstar confirmed that the terms of the issuance are consistent with those reviewed at the time the provisional rating was assigned on October 23, 2020. For further details on the provisional rating, please see the DBRS Morningstar press release entitled “DBRS Morningstar Assigns Provisional Rating of BB (high), Negative, to Canadian Western Bank’s NVCC Additional Tier 1 (AT1) Limited Recourse Capital Notes.”

The Bank plans to issue $175 million of Capital Notes on October 30, 2020. The Capital Notes mature on April 30, 2081, and will have an initial five-year fixed rate of 6.00%. DBRS Morningstar notes that the Office of the Superintendent of Financial Institutions granted Tier 1 capital treatment to the Capital Notes.

RATING DRIVERS
Given the Negative trend, an upgrade is unlikely at this time. The trend could change to Stable if the impact of the current economic crisis on CWB’s earnings and credit quality metrics is manageable.

Conversely, material losses in the loan portfolio as a result of the oil price shock and a longer-than-expected adverse impact of the Coronavirus Disease (COVID-19) pandemic, or significant pressures on funding and liquidity, could result in a rating downgrade.

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 0.4922 % 1,620.8
FixedFloater 0.00 % 0.00 % 0 0.00 0 0.4922 % 2,974.0
Floater 5.25 % 5.31 % 38,209 14.95 3 0.4922 % 1,713.9
OpRet 0.00 % 0.00 % 0 0.00 0 -0.0744 % 3,526.5
SplitShare 4.81 % 4.80 % 46,925 3.53 8 -0.0744 % 4,211.4
Interest-Bearing 0.00 % 0.00 % 0 0.00 0 -0.0744 % 3,285.9
Perpetual-Premium 5.31 % -1.23 % 89,012 0.15 17 0.0645 % 3,189.5
Perpetual-Discount 5.18 % 5.16 % 83,417 15.23 17 0.0519 % 3,555.3
FixedReset Disc 5.54 % 4.29 % 134,984 16.43 65 -0.5207 % 2,089.1
Deemed-Retractible 5.14 % 5.00 % 114,376 15.16 22 0.0580 % 3,456.9
FloatingReset 1.97 % 2.28 % 50,447 1.24 3 0.0168 % 1,793.9
FixedReset Prem 5.22 % 3.48 % 260,903 0.78 14 0.0000 % 2,645.6
FixedReset Bank Non 1.94 % 2.09 % 143,697 1.23 2 0.0201 % 2,861.2
FixedReset Ins Non 5.49 % 4.25 % 75,728 16.32 22 0.0835 % 2,200.7
Performance Highlights
Issue Index Change Notes
TD.PF.L FixedReset Disc -22.04 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-10-29
Maturity Price : 19.10
Evaluated at bid price : 19.10
Bid-YTW : 5.21 %
NA.PR.C FixedReset Disc -5.10 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-10-29
Maturity Price : 22.41
Evaluated at bid price : 22.72
Bid-YTW : 4.25 %
TRP.PR.G FixedReset Disc -3.65 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-10-29
Maturity Price : 14.26
Evaluated at bid price : 14.26
Bid-YTW : 5.97 %
TD.PF.E FixedReset Disc -1.98 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-10-29
Maturity Price : 19.80
Evaluated at bid price : 19.80
Bid-YTW : 4.13 %
BAM.PR.X FixedReset Disc -1.58 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-10-29
Maturity Price : 10.58
Evaluated at bid price : 10.58
Bid-YTW : 5.34 %
BAM.PR.R FixedReset Disc -1.53 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-10-29
Maturity Price : 12.90
Evaluated at bid price : 12.90
Bid-YTW : 5.28 %
BAM.PF.D Perpetual-Discount -1.29 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-10-29
Maturity Price : 22.67
Evaluated at bid price : 22.95
Bid-YTW : 5.39 %
BAM.PF.B FixedReset Disc -1.22 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-10-29
Maturity Price : 15.41
Evaluated at bid price : 15.41
Bid-YTW : 5.45 %
MFC.PR.J FixedReset Ins Non -1.21 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-10-29
Maturity Price : 18.72
Evaluated at bid price : 18.72
Bid-YTW : 4.34 %
BAM.PF.I FixedReset Disc -1.21 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-10-29
Maturity Price : 24.08
Evaluated at bid price : 24.45
Bid-YTW : 4.94 %
RY.PR.M FixedReset Disc -1.19 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-10-29
Maturity Price : 18.32
Evaluated at bid price : 18.32
Bid-YTW : 4.10 %
BIP.PR.E FixedReset Disc -1.13 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-10-29
Maturity Price : 21.46
Evaluated at bid price : 21.81
Bid-YTW : 5.78 %
CU.PR.G Perpetual-Discount -1.06 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-10-29
Maturity Price : 22.97
Evaluated at bid price : 23.25
Bid-YTW : 4.90 %
TRP.PR.A FixedReset Disc -1.03 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-10-29
Maturity Price : 11.56
Evaluated at bid price : 11.56
Bid-YTW : 5.71 %
CU.PR.C FixedReset Disc 1.09 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-10-29
Maturity Price : 16.70
Evaluated at bid price : 16.70
Bid-YTW : 4.31 %
NA.PR.G FixedReset Disc 1.21 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-10-29
Maturity Price : 20.00
Evaluated at bid price : 20.00
Bid-YTW : 4.30 %
BAM.PF.C Perpetual-Discount 1.27 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-10-29
Maturity Price : 21.86
Evaluated at bid price : 22.28
Bid-YTW : 5.48 %
BAM.PF.G FixedReset Disc 1.28 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-10-29
Maturity Price : 15.00
Evaluated at bid price : 15.00
Bid-YTW : 5.45 %
TD.PF.C FixedReset Disc 1.38 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-10-29
Maturity Price : 18.35
Evaluated at bid price : 18.35
Bid-YTW : 3.96 %
POW.PR.B Perpetual-Discount 1.65 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-10-29
Maturity Price : 24.34
Evaluated at bid price : 24.65
Bid-YTW : 5.46 %
NA.PR.W FixedReset Disc 1.79 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-10-29
Maturity Price : 16.50
Evaluated at bid price : 16.50
Bid-YTW : 4.40 %
SLF.PR.H FixedReset Ins Non 1.87 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-10-29
Maturity Price : 15.25
Evaluated at bid price : 15.25
Bid-YTW : 4.24 %
BAM.PR.M Perpetual-Discount 2.28 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-10-29
Maturity Price : 21.76
Evaluated at bid price : 22.01
Bid-YTW : 5.45 %
SLF.PR.G FixedReset Ins Non 2.38 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-10-29
Maturity Price : 10.75
Evaluated at bid price : 10.75
Bid-YTW : 4.22 %
TD.PF.D FixedReset Disc 3.37 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-10-29
Maturity Price : 19.65
Evaluated at bid price : 19.65
Bid-YTW : 4.06 %
Volume Highlights
Issue Index Shares
Traded		 Notes
RY.PR.M FixedReset Disc 90,000 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-10-29
Maturity Price : 18.32
Evaluated at bid price : 18.32
Bid-YTW : 4.10 %
TD.PF.G FixedReset Prem 52,150 YTW SCENARIO
Maturity Type : Call
Maturity Date : 2021-04-30
Maturity Price : 25.00
Evaluated at bid price : 25.32
Bid-YTW : 2.82 %
PWF.PR.O Perpetual-Premium 41,200 YTW SCENARIO
Maturity Type : Call
Maturity Date : 2020-11-28
Maturity Price : 25.00
Evaluated at bid price : 25.29
Bid-YTW : -8.46 %
TRP.PR.A FixedReset Disc 36,643 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-10-29
Maturity Price : 11.56
Evaluated at bid price : 11.56
Bid-YTW : 5.71 %
PWF.PR.K Perpetual-Discount 35,150 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-10-29
Maturity Price : 23.75
Evaluated at bid price : 24.06
Bid-YTW : 5.16 %
BMO.PR.S FixedReset Disc 22,556 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-10-29
Maturity Price : 17.86
Evaluated at bid price : 17.86
Bid-YTW : 4.16 %
There were 14 other index-included issues trading in excess of 10,000 shares.
Wide Spread Highlights
Issue Index Quote Data and Yield Notes
TD.PF.L FixedReset Disc Quote: 19.10 – 24.40
Spot Rate : 5.3000
Average : 2.8330

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-10-29
Maturity Price : 19.10
Evaluated at bid price : 19.10
Bid-YTW : 5.21 %
NA.PR.C FixedReset Disc Quote: 22.72 – 24.03
Spot Rate : 1.3100
Average : 0.7323

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-10-29
Maturity Price : 22.41
Evaluated at bid price : 22.72
Bid-YTW : 4.25 %
CIU.PR.A Perpetual-Discount Quote: 23.12 – 24.00
Spot Rate : 0.8800
Average : 0.5585

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-10-29
Maturity Price : 22.84
Evaluated at bid price : 23.12
Bid-YTW : 5.04 %
TRP.PR.D FixedReset Disc Quote: 12.90 – 13.70
Spot Rate : 0.8000
Average : 0.4938

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-10-29
Maturity Price : 12.90
Evaluated at bid price : 12.90
Bid-YTW : 5.86 %
MFC.PR.J FixedReset Ins Non Quote: 18.72 – 19.55
Spot Rate : 0.8300
Average : 0.6148

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-10-29
Maturity Price : 18.72
Evaluated at bid price : 18.72
Bid-YTW : 4.34 %
TRP.PR.G FixedReset Disc Quote: 14.26 – 14.85
Spot Rate : 0.5900
Average : 0.3859

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-10-29
Maturity Price : 14.26
Evaluated at bid price : 14.26
Bid-YTW : 5.97 %
Market Action

October 28, 2020

explosion_201028
Click for Big

TXPR closed at 578.55, down 0.69% on the day. Volume today was 2.15-million, above the median of the past thirty days.

CPD closed at 11.52, down 0.99% on the day. Volume was 189,115, above the median of the past 30 trading days.

ZPR closed at 9.06, down 1.52% on the day. Volume of 258,409, about the median of the past 30 trading days.

Five-year Canada yields were up 1bp at 0.37% today.

The damage has been attributed to the usual suspect:

Coronavirus flare-ups across the United States and new lockdown measures in major European economies sent stocks sliding to their worst performance in months on Wednesday.

The S&P 500 ended the day 3.5 percent lower, notching the market’s third straight decline and the worst drop for Wall Street since June 11.

The decline wiped out the S&P’s gains for the month as investors dumped shares. All 11 sectors fell as traders jettisoned stocks in economically sensitive sectors like energy. Even tech was squeezed — the tech giants were once thought to be almost immune to the economic effects of the virus. Treasury yields fell as investors sought the safety of government bonds, and economic nervousness pushed oil prices down: Benchmark West Texas Intermediate crude oil fell 5.5 percent to $37.39 a barrel.

As recently as Oct. 12, the S&P 500 was up more than 9 percent for the year, as investors seemed to grow more confident that Congress and the White House would be able to produce a new dose of federal stimulus before the election.
…
Even before trading opened in New York, European markets were enduring an ugly session. Major markets slid 4.2 percent in Germany and 3.4 percent in France. The pan-European Stoxx 600 index declined nearly 3 percent. As the U.S. trading day unfolded, Germany announced a new one-month partial lockdown aimed at stemming a surge of infections. France followed, announcing a full nationwide lockdown for the second time in 2020.
…
The United States, too, is suffering a renewed wave of coronavirus infections: The number of Covid-19 hospitalizations is up an estimated 46 percent over the last month. And New Jersey’s largest city, Newark, imposed a curfew and reinstated some limits on gatherings to control an outbreak there.

PerpetualDiscounts now yield 5.13%, equivalent to 6.67% interest at the standard equivalency factor of 1.3x. Long corporates now yield 2.98%, so the pre-tax interest-equivalent spread (in this context, the “Seniority Spread”) has remained steady at the 370bp reported October 21.

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 -1.2955 % 1,612.8
FixedFloater 0.00 % 0.00 % 0 0.00 0 -1.2955 % 2,959.4
Floater 5.28 % 5.33 % 38,565 14.93 3 -1.2955 % 1,705.5
OpRet 0.00 % 0.00 % 0 0.00 0 -0.0644 % 3,529.2
SplitShare 4.81 % 4.79 % 48,861 3.53 8 -0.0644 % 4,214.6
Interest-Bearing 0.00 % 0.00 % 0 0.00 0 -0.0644 % 3,288.4
Perpetual-Premium 5.32 % -0.23 % 90,058 0.16 17 -0.1220 % 3,187.4
Perpetual-Discount 5.18 % 5.13 % 80,413 15.27 17 -1.0469 % 3,553.5
FixedReset Disc 5.51 % 4.29 % 135,747 16.43 65 -1.0026 % 2,100.1
Deemed-Retractible 5.14 % 5.01 % 116,136 15.15 22 -0.7631 % 3,454.9
FloatingReset 1.97 % 2.24 % 50,171 1.24 3 -0.2856 % 1,793.6
FixedReset Prem 5.22 % 3.32 % 263,985 0.78 14 -0.2813 % 2,645.6
FixedReset Bank Non 1.94 % 2.25 % 143,632 1.24 2 -0.0201 % 2,860.6
FixedReset Ins Non 5.49 % 4.25 % 78,384 16.33 22 -0.8129 % 2,198.8
Performance Highlights
Issue Index Change Notes
BAM.PR.M Perpetual-Discount -4.57 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-10-28
Maturity Price : 21.25
Evaluated at bid price : 21.52
Bid-YTW : 5.57 %
BAM.PF.G FixedReset Disc -3.83 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-10-28
Maturity Price : 14.81
Evaluated at bid price : 14.81
Bid-YTW : 5.52 %
POW.PR.B Perpetual-Discount -3.81 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-10-28
Maturity Price : 24.00
Evaluated at bid price : 24.25
Bid-YTW : 5.55 %
BAM.PF.F FixedReset Disc -3.55 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-10-28
Maturity Price : 15.75
Evaluated at bid price : 15.75
Bid-YTW : 5.50 %
BAM.PF.C Perpetual-Discount -3.51 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-10-28
Maturity Price : 21.62
Evaluated at bid price : 22.00
Bid-YTW : 5.56 %
SLF.PR.G FixedReset Ins Non -3.49 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-10-28
Maturity Price : 10.50
Evaluated at bid price : 10.50
Bid-YTW : 4.32 %
BAM.PR.Z FixedReset Disc -2.79 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-10-28
Maturity Price : 16.35
Evaluated at bid price : 16.35
Bid-YTW : 5.47 %
TD.PF.D FixedReset Disc -2.76 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-10-28
Maturity Price : 19.01
Evaluated at bid price : 19.01
Bid-YTW : 4.20 %
BIP.PR.A FixedReset Disc -2.31 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-10-28
Maturity Price : 16.90
Evaluated at bid price : 16.90
Bid-YTW : 5.92 %
NA.PR.S FixedReset Disc -2.26 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-10-28
Maturity Price : 17.30
Evaluated at bid price : 17.30
Bid-YTW : 4.36 %
TRP.PR.E FixedReset Disc -2.20 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-10-28
Maturity Price : 12.92
Evaluated at bid price : 12.92
Bid-YTW : 5.80 %
MFC.PR.Q FixedReset Ins Non -2.07 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-10-28
Maturity Price : 18.94
Evaluated at bid price : 18.94
Bid-YTW : 4.25 %
NA.PR.W FixedReset Disc -2.05 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-10-28
Maturity Price : 16.21
Evaluated at bid price : 16.21
Bid-YTW : 4.49 %
BAM.PR.T FixedReset Disc -2.03 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-10-28
Maturity Price : 13.01
Evaluated at bid price : 13.01
Bid-YTW : 5.38 %
GWO.PR.R Deemed-Retractible -2.03 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-10-28
Maturity Price : 23.90
Evaluated at bid price : 24.16
Bid-YTW : 5.01 %
SLF.PR.B Deemed-Retractible -1.98 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-10-28
Maturity Price : 24.01
Evaluated at bid price : 24.26
Bid-YTW : 4.99 %
BAM.PF.A FixedReset Disc -1.98 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-10-28
Maturity Price : 16.86
Evaluated at bid price : 16.86
Bid-YTW : 5.38 %
TRP.PR.C FixedReset Disc -1.91 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-10-28
Maturity Price : 8.75
Evaluated at bid price : 8.75
Bid-YTW : 5.52 %
SLF.PR.D Deemed-Retractible -1.89 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-10-28
Maturity Price : 22.55
Evaluated at bid price : 22.81
Bid-YTW : 4.91 %
BIP.PR.C FixedReset Disc -1.88 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-10-28
Maturity Price : 22.97
Evaluated at bid price : 23.55
Bid-YTW : 5.72 %
CM.PR.O FixedReset Disc -1.67 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-10-28
Maturity Price : 17.07
Evaluated at bid price : 17.07
Bid-YTW : 4.29 %
BIP.PR.B FixedReset Disc -1.64 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-10-28
Maturity Price : 22.77
Evaluated at bid price : 24.00
Bid-YTW : 5.73 %
MFC.PR.M FixedReset Ins Non -1.62 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-10-28
Maturity Price : 17.60
Evaluated at bid price : 17.60
Bid-YTW : 4.27 %
TRP.PR.F FloatingReset -1.60 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-10-28
Maturity Price : 9.86
Evaluated at bid price : 9.86
Bid-YTW : 5.15 %
TRP.PR.D FixedReset Disc -1.59 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-10-28
Maturity Price : 13.01
Evaluated at bid price : 13.01
Bid-YTW : 5.80 %
SLF.PR.A Deemed-Retractible -1.53 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-10-28
Maturity Price : 23.61
Evaluated at bid price : 23.88
Bid-YTW : 5.01 %
BAM.PF.H FixedReset Disc -1.39 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-10-28
Maturity Price : 23.86
Evaluated at bid price : 24.80
Bid-YTW : 5.04 %
BAM.PR.N Perpetual-Discount -1.38 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-10-28
Maturity Price : 21.85
Evaluated at bid price : 22.09
Bid-YTW : 5.43 %
CU.PR.C FixedReset Disc -1.37 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-10-28
Maturity Price : 16.52
Evaluated at bid price : 16.52
Bid-YTW : 4.35 %
TD.PF.C FixedReset Disc -1.36 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-10-28
Maturity Price : 18.10
Evaluated at bid price : 18.10
Bid-YTW : 4.02 %
CM.PR.T FixedReset Disc -1.35 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-10-28
Maturity Price : 22.95
Evaluated at bid price : 24.10
Bid-YTW : 4.07 %
NA.PR.E FixedReset Disc -1.34 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-10-28
Maturity Price : 18.40
Evaluated at bid price : 18.40
Bid-YTW : 4.32 %
BAM.PR.K Floater -1.33 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-10-28
Maturity Price : 8.13
Evaluated at bid price : 8.13
Bid-YTW : 5.33 %
BAM.PR.C Floater -1.33 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-10-28
Maturity Price : 8.14
Evaluated at bid price : 8.14
Bid-YTW : 5.32 %
MFC.PR.C Deemed-Retractible -1.33 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-10-28
Maturity Price : 22.70
Evaluated at bid price : 22.94
Bid-YTW : 4.95 %
BAM.PF.B FixedReset Disc -1.33 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-10-28
Maturity Price : 15.60
Evaluated at bid price : 15.60
Bid-YTW : 5.38 %
BMO.PR.W FixedReset Disc -1.33 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-10-28
Maturity Price : 17.85
Evaluated at bid price : 17.85
Bid-YTW : 4.08 %
SLF.PR.H FixedReset Ins Non -1.25 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-10-28
Maturity Price : 14.97
Evaluated at bid price : 14.97
Bid-YTW : 4.32 %
BAM.PF.E FixedReset Disc -1.23 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-10-28
Maturity Price : 14.40
Evaluated at bid price : 14.40
Bid-YTW : 5.45 %
BAM.PR.B Floater -1.22 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-10-28
Maturity Price : 8.11
Evaluated at bid price : 8.11
Bid-YTW : 5.34 %
MFC.PR.B Deemed-Retractible -1.21 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-10-28
Maturity Price : 23.34
Evaluated at bid price : 23.63
Bid-YTW : 4.97 %
TD.PF.M FixedReset Disc -1.19 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-10-28
Maturity Price : 23.22
Evaluated at bid price : 24.85
Bid-YTW : 4.09 %
IFC.PR.C FixedReset Ins Non -1.16 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-10-28
Maturity Price : 17.00
Evaluated at bid price : 17.00
Bid-YTW : 4.54 %
IAF.PR.I FixedReset Ins Non -1.15 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-10-28
Maturity Price : 19.76
Evaluated at bid price : 19.76
Bid-YTW : 4.30 %
BAM.PR.R FixedReset Disc -1.13 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-10-28
Maturity Price : 13.10
Evaluated at bid price : 13.10
Bid-YTW : 5.20 %
MFC.PR.N FixedReset Ins Non -1.13 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-10-28
Maturity Price : 17.50
Evaluated at bid price : 17.50
Bid-YTW : 4.20 %
CM.PR.P FixedReset Disc -1.11 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-10-28
Maturity Price : 17.80
Evaluated at bid price : 17.80
Bid-YTW : 4.12 %
PWF.PR.S Perpetual-Discount -1.09 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-10-28
Maturity Price : 23.08
Evaluated at bid price : 23.54
Bid-YTW : 5.10 %
BIP.PR.D FixedReset Disc -1.08 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-10-28
Maturity Price : 21.61
Evaluated at bid price : 22.01
Bid-YTW : 5.73 %
MFC.PR.H FixedReset Ins Non -1.07 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-10-28
Maturity Price : 21.27
Evaluated at bid price : 21.27
Bid-YTW : 4.24 %
CM.PR.S FixedReset Disc -1.07 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-10-28
Maturity Price : 18.50
Evaluated at bid price : 18.50
Bid-YTW : 4.14 %
BMO.PR.S FixedReset Disc -1.05 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-10-28
Maturity Price : 17.86
Evaluated at bid price : 17.86
Bid-YTW : 4.16 %
CM.PR.Y FixedReset Disc -1.03 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-10-28
Maturity Price : 23.28
Evaluated at bid price : 25.00
Bid-YTW : 4.14 %
MFC.PR.I FixedReset Ins Non -1.03 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-10-28
Maturity Price : 20.25
Evaluated at bid price : 20.25
Bid-YTW : 4.18 %
BAM.PR.X FixedReset Disc -1.01 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-10-28
Maturity Price : 10.75
Evaluated at bid price : 10.75
Bid-YTW : 5.25 %
TD.PF.L FixedReset Disc -1.01 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-10-28
Maturity Price : 23.12
Evaluated at bid price : 24.50
Bid-YTW : 3.92 %
TRP.PR.G FixedReset Disc -1.00 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-10-28
Maturity Price : 14.80
Evaluated at bid price : 14.80
Bid-YTW : 5.75 %
Volume Highlights
Issue Index Shares
Traded		 Notes
CM.PR.Y FixedReset Disc 73,750 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-10-28
Maturity Price : 23.28
Evaluated at bid price : 25.00
Bid-YTW : 4.14 %
BAM.PR.R FixedReset Disc 52,624 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-10-28
Maturity Price : 13.10
Evaluated at bid price : 13.10
Bid-YTW : 5.20 %
TD.PF.M FixedReset Disc 46,225 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-10-28
Maturity Price : 23.22
Evaluated at bid price : 24.85
Bid-YTW : 4.09 %
RY.PR.O Perpetual-Premium 41,922 YTW SCENARIO
Maturity Type : Call
Maturity Date : 2020-12-24
Maturity Price : 26.00
Evaluated at bid price : 26.15
Bid-YTW : -1.21 %
MFC.PR.I FixedReset Ins Non 33,800 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-10-28
Maturity Price : 20.25
Evaluated at bid price : 20.25
Bid-YTW : 4.18 %
CM.PR.R FixedReset Disc 33,500 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-10-28
Maturity Price : 22.82
Evaluated at bid price : 23.20
Bid-YTW : 4.12 %
There were 40 other index-included issues trading in excess of 10,000 shares.
Wide Spread Highlights
Issue Index Quote Data and Yield Notes
TD.PF.D FixedReset Disc Quote: 19.01 – 20.80
Spot Rate : 1.7900
Average : 1.0365

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-10-28
Maturity Price : 19.01
Evaluated at bid price : 19.01
Bid-YTW : 4.20 %
POW.PR.B Perpetual-Discount Quote: 24.25 – 25.35
Spot Rate : 1.1000
Average : 0.5969

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-10-28
Maturity Price : 24.00
Evaluated at bid price : 24.25
Bid-YTW : 5.55 %
BAM.PF.F FixedReset Disc Quote: 15.75 – 16.99
Spot Rate : 1.2400
Average : 0.7383

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-10-28
Maturity Price : 15.75
Evaluated at bid price : 15.75
Bid-YTW : 5.50 %
CU.PR.C FixedReset Disc Quote: 16.52 – 17.48
Spot Rate : 0.9600
Average : 0.6123

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-10-28
Maturity Price : 16.52
Evaluated at bid price : 16.52
Bid-YTW : 4.35 %
TD.PF.E FixedReset Disc Quote: 20.20 – 21.00
Spot Rate : 0.8000
Average : 0.4748

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-10-28
Maturity Price : 20.20
Evaluated at bid price : 20.20
Bid-YTW : 4.04 %
BAM.PF.C Perpetual-Discount Quote: 22.00 – 22.75
Spot Rate : 0.7500
Average : 0.4649

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-10-28
Maturity Price : 21.62
Evaluated at bid price : 22.00
Bid-YTW : 5.56 %
Market Action

October 27, 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 0.0000 % 1,634.0
FixedFloater 0.00 % 0.00 % 0 0.00 0 0.0000 % 2,998.3
Floater 5.21 % 5.26 % 38,717 15.05 3 0.0000 % 1,727.9
OpRet 0.00 % 0.00 % 0 0.00 0 -0.0347 % 3,531.4
SplitShare 4.80 % 4.77 % 50,876 3.54 8 -0.0347 % 4,217.3
Interest-Bearing 0.00 % 0.00 % 0 0.00 0 -0.0347 % 3,290.5
Perpetual-Premium 5.31 % 0.98 % 89,287 0.09 17 -0.0207 % 3,191.3
Perpetual-Discount 5.12 % 5.08 % 80,366 15.29 17 -0.0660 % 3,591.1
FixedReset Disc 5.45 % 4.15 % 135,063 16.52 65 0.5772 % 2,121.3
Deemed-Retractible 5.10 % 4.91 % 117,591 15.21 22 0.2942 % 3,481.5
FloatingReset 1.97 % 2.27 % 47,299 1.25 3 0.2526 % 1,798.8
FixedReset Prem 5.20 % 3.16 % 266,003 0.78 14 0.1155 % 2,653.1
FixedReset Bank Non 1.94 % 2.09 % 145,425 1.24 2 0.0402 % 2,861.2
FixedReset Ins Non 5.45 % 4.21 % 78,816 16.48 22 0.1734 % 2,216.9
Performance Highlights
Issue Index Change Notes
BAM.PF.E FixedReset Disc -2.80 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-10-27
Maturity Price : 14.58
Evaluated at bid price : 14.58
Bid-YTW : 5.38 %
BAM.PR.X FixedReset Disc -1.90 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-10-27
Maturity Price : 10.86
Evaluated at bid price : 10.86
Bid-YTW : 5.20 %
MFC.PR.M FixedReset Ins Non -1.70 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-10-27
Maturity Price : 17.89
Evaluated at bid price : 17.89
Bid-YTW : 4.20 %
IAF.PR.G FixedReset Ins Non -1.32 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-10-27
Maturity Price : 18.75
Evaluated at bid price : 18.75
Bid-YTW : 4.41 %
BAM.PF.B FixedReset Disc -1.19 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-10-27
Maturity Price : 15.81
Evaluated at bid price : 15.81
Bid-YTW : 5.30 %
IAF.PR.B Deemed-Retractible -1.04 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-10-27
Maturity Price : 23.58
Evaluated at bid price : 23.85
Bid-YTW : 4.86 %
TD.PF.I FixedReset Disc -1.02 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-10-27
Maturity Price : 22.13
Evaluated at bid price : 22.37
Bid-YTW : 3.91 %
MFC.PR.N FixedReset Ins Non 1.03 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-10-27
Maturity Price : 17.70
Evaluated at bid price : 17.70
Bid-YTW : 4.15 %
SLF.PR.D Deemed-Retractible 1.09 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-10-27
Maturity Price : 22.98
Evaluated at bid price : 23.25
Bid-YTW : 4.82 %
NA.PR.S FixedReset Disc 1.14 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-10-27
Maturity Price : 17.70
Evaluated at bid price : 17.70
Bid-YTW : 4.26 %
BIP.PR.B FixedReset Disc 1.20 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-10-27
Maturity Price : 23.34
Evaluated at bid price : 24.40
Bid-YTW : 5.65 %
TD.PF.E FixedReset Disc 1.30 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-10-27
Maturity Price : 20.31
Evaluated at bid price : 20.31
Bid-YTW : 4.02 %
CM.PR.Q FixedReset Disc 2.08 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-10-27
Maturity Price : 19.15
Evaluated at bid price : 19.15
Bid-YTW : 4.15 %
SLF.PR.B Deemed-Retractible 4.21 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-10-27
Maturity Price : 24.50
Evaluated at bid price : 24.75
Bid-YTW : 4.89 %
MFC.PR.F FixedReset Ins Non 5.24 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-10-27
Maturity Price : 10.84
Evaluated at bid price : 10.84
Bid-YTW : 4.20 %
RY.PR.M FixedReset Disc 55.26 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-10-27
Maturity Price : 18.60
Evaluated at bid price : 18.60
Bid-YTW : 4.04 %
Volume Highlights
Issue Index Shares
Traded		 Notes
TD.PF.H FixedReset Prem 68,900 YTW SCENARIO
Maturity Type : Call
Maturity Date : 2021-10-31
Maturity Price : 25.00
Evaluated at bid price : 25.30
Bid-YTW : 3.60 %
TD.PF.M FixedReset Disc 60,102 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-10-27
Maturity Price : 23.33
Evaluated at bid price : 25.15
Bid-YTW : 4.03 %
BMO.PR.S FixedReset Disc 52,999 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-10-27
Maturity Price : 18.05
Evaluated at bid price : 18.05
Bid-YTW : 4.12 %
RY.PR.M FixedReset Disc 50,100 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-10-27
Maturity Price : 18.60
Evaluated at bid price : 18.60
Bid-YTW : 4.04 %
IFC.PR.G FixedReset Ins Non 36,740 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-10-27
Maturity Price : 18.20
Evaluated at bid price : 18.20
Bid-YTW : 4.46 %
TD.PF.E FixedReset Disc 33,266 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-10-27
Maturity Price : 20.31
Evaluated at bid price : 20.31
Bid-YTW : 4.02 %
There were 17 other index-included issues trading in excess of 10,000 shares.
Wide Spread Highlights
Issue Index Quote Data and Yield Notes
IAF.PR.G FixedReset Ins Non Quote: 18.75 – 25.00
Spot Rate : 6.2500
Average : 3.6684

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-10-27
Maturity Price : 18.75
Evaluated at bid price : 18.75
Bid-YTW : 4.41 %
MFC.PR.G FixedReset Ins Non Quote: 19.85 – 20.49
Spot Rate : 0.6400
Average : 0.4654

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-10-27
Maturity Price : 19.85
Evaluated at bid price : 19.85
Bid-YTW : 4.22 %
BAM.PF.D Perpetual-Discount Quote: 23.25 – 23.63
Spot Rate : 0.3800
Average : 0.2205

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-10-27
Maturity Price : 22.97
Evaluated at bid price : 23.25
Bid-YTW : 5.31 %
MFC.PR.K FixedReset Ins Non Quote: 17.42 – 17.90
Spot Rate : 0.4800
Average : 0.3330

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-10-27
Maturity Price : 17.42
Evaluated at bid price : 17.42
Bid-YTW : 4.18 %
MFC.PR.M FixedReset Ins Non Quote: 17.89 – 18.29
Spot Rate : 0.4000
Average : 0.2562

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-10-27
Maturity Price : 17.89
Evaluated at bid price : 17.89
Bid-YTW : 4.20 %
SLF.PR.A Deemed-Retractible Quote: 24.25 – 24.75
Spot Rate : 0.5000
Average : 0.3723

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-10-27
Maturity Price : 24.00
Evaluated at bid price : 24.25
Bid-YTW : 4.93 %