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December 30, 2020

Wednesday, December 30th, 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 %

Posted in Market Action | 2 Comments »

December 29, 2020

Wednesday, December 30th, 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 %

Posted in Market Action | No Comments »

December 24, 2020

Thursday, December 24th, 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 %

Posted in Market Action | 4 Comments »

December 23, 2020

Wednesday, December 23rd, 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 %

Posted in Market Action | 2 Comments »

December 22, 2020

Tuesday, December 22nd, 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 %

Posted in Market Action | No Comments »

December 21, 2020

Monday, December 21st, 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 %

Posted in Market Action | No Comments »

AZP 2020 NCIB Was Real!

Friday, December 18th, 2020

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!

Posted in Issue Comments | 2 Comments »

December 18, 2020

Friday, December 18th, 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 -0.0539 % 1,879.8
FixedFloater 0.00 % 0.00 % 0 0.00 0 -0.0539 % 3,449.3
Floater 4.62 % 4.61 % 73,061 16.22 2 -0.0539 % 1,987.9
OpRet 0.00 % 0.00 % 0 0.00 0 -0.1285 % 3,609.6
SplitShare 4.80 % 4.58 % 45,313 3.83 9 -0.1285 % 4,310.7
Interest-Bearing 0.00 % 0.00 % 0 0.00 0 -0.1285 % 3,363.3
Perpetual-Premium 5.33 % 2.99 % 73,803 0.08 19 0.0041 % 3,201.7
Perpetual-Discount 4.99 % 5.06 % 77,642 15.38 12 -0.1301 % 3,684.6
FixedReset Disc 5.00 % 3.89 % 150,408 17.27 56 0.1383 % 2,333.4
Insurance Straight 5.03 % 4.75 % 88,338 15.42 22 -0.1718 % 3,575.3
FloatingReset 1.96 % 1.87 % 43,556 1.11 3 -0.5206 % 1,855.4
FixedReset Prem 5.15 % 3.03 % 220,484 0.80 22 0.0340 % 2,679.8
FixedReset Bank Non 1.93 % 1.82 % 178,567 1.10 2 -0.0200 % 2,879.7
FixedReset Ins Non 5.06 % 3.88 % 87,107 17.31 22 -0.1023 % 2,420.4
Performance Highlights
Issue Index Change Notes
BAM.PR.X FixedReset Disc -2.56 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-12-18
Maturity Price : 12.20
Evaluated at bid price : 12.20
Bid-YTW : 4.67 %
BAM.PF.B FixedReset Disc -1.89 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-12-18
Maturity Price : 17.17
Evaluated at bid price : 17.17
Bid-YTW : 4.83 %
CU.PR.D Perpetual-Discount -1.77 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-12-18
Maturity Price : 24.07
Evaluated at bid price : 24.36
Bid-YTW : 5.06 %
BAM.PF.G FixedReset Disc -1.72 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-12-18
Maturity Price : 17.10
Evaluated at bid price : 17.10
Bid-YTW : 4.79 %
TRP.PR.F FloatingReset -1.65 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-12-18
Maturity Price : 11.31
Evaluated at bid price : 11.31
Bid-YTW : 4.53 %
IAF.PR.G FixedReset Ins Non -1.50 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-12-18
Maturity Price : 20.30
Evaluated at bid price : 20.30
Bid-YTW : 4.10 %
MFC.PR.G FixedReset Ins Non -1.37 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-12-18
Maturity Price : 21.36
Evaluated at bid price : 21.65
Bid-YTW : 3.87 %
SLF.PR.D Insurance Straight -1.22 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-12-18
Maturity Price : 24.00
Evaluated at bid price : 24.25
Bid-YTW : 4.59 %
MFC.PR.C Insurance Straight -1.14 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-12-18
Maturity Price : 24.06
Evaluated at bid price : 24.32
Bid-YTW : 4.64 %
PWF.PR.T FixedReset Disc -1.08 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-12-18
Maturity Price : 18.25
Evaluated at bid price : 18.25
Bid-YTW : 4.21 %
TRP.PR.C FixedReset Disc -1.02 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-12-18
Maturity Price : 10.64
Evaluated at bid price : 10.64
Bid-YTW : 4.69 %
MFC.PR.Q FixedReset Ins Non -1.00 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-12-18
Maturity Price : 20.70
Evaluated at bid price : 20.70
Bid-YTW : 3.88 %
IFC.PR.G FixedReset Ins Non 1.00 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-12-18
Maturity Price : 20.20
Evaluated at bid price : 20.20
Bid-YTW : 4.00 %
BAM.PF.D Perpetual-Discount 1.03 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-12-18
Maturity Price : 24.21
Evaluated at bid price : 24.45
Bid-YTW : 5.02 %
SLF.PR.C Insurance Straight 1.04 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-12-18
Maturity Price : 24.00
Evaluated at bid price : 24.25
Bid-YTW : 4.59 %
RY.PR.M FixedReset Disc 1.35 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-12-18
Maturity Price : 21.01
Evaluated at bid price : 21.01
Bid-YTW : 3.64 %
RY.PR.S FixedReset Disc 1.46 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-12-18
Maturity Price : 21.92
Evaluated at bid price : 22.25
Bid-YTW : 3.50 %
TD.PF.A FixedReset Disc 1.46 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-12-18
Maturity Price : 20.80
Evaluated at bid price : 20.80
Bid-YTW : 3.47 %
BAM.PF.A FixedReset Disc 1.69 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-12-18
Maturity Price : 19.20
Evaluated at bid price : 19.20
Bid-YTW : 4.69 %
BMO.PR.Y FixedReset Disc 1.72 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-12-18
Maturity Price : 21.26
Evaluated at bid price : 21.26
Bid-YTW : 3.70 %
BMO.PR.T FixedReset Disc 1.74 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-12-18
Maturity Price : 19.85
Evaluated at bid price : 19.85
Bid-YTW : 3.61 %
TD.PF.C FixedReset Disc 1.91 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-12-18
Maturity Price : 20.83
Evaluated at bid price : 20.83
Bid-YTW : 3.55 %
Volume Highlights
Issue Index Shares
Traded		 Notes
NA.PR.A FixedReset Prem 153,990 YTW SCENARIO
Maturity Type : Call
Maturity Date : 2021-08-15
Maturity Price : 25.00
Evaluated at bid price : 25.55
Bid-YTW : 2.81 %
MFC.PR.O FixedReset Ins Non 127,100 YTW SCENARIO
Maturity Type : Call
Maturity Date : 2021-06-19
Maturity Price : 25.00
Evaluated at bid price : 25.32
Bid-YTW : 3.04 %
TD.PF.A FixedReset Disc 115,403 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-12-18
Maturity Price : 20.80
Evaluated at bid price : 20.80
Bid-YTW : 3.47 %
BMO.PR.S FixedReset Disc 77,600 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-12-18
Maturity Price : 20.55
Evaluated at bid price : 20.55
Bid-YTW : 3.61 %
RY.PR.Q FixedReset Prem 71,519 YTW SCENARIO
Maturity Type : Call
Maturity Date : 2021-05-24
Maturity Price : 25.00
Evaluated at bid price : 25.38
Bid-YTW : 2.76 %
CM.PR.R FixedReset Disc 63,700 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-12-18
Maturity Price : 24.16
Evaluated at bid price : 24.49
Bid-YTW : 3.98 %
There were 31 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: 21.01 – 25.50
Spot Rate : 4.4900
Average : 2.4761

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-12-18
Maturity Price : 21.01
Evaluated at bid price : 21.01
Bid-YTW : 3.64 %
IAF.PR.I FixedReset Ins Non Quote: 21.30 – 22.00
Spot Rate : 0.7000
Average : 0.4900

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-12-18
Maturity Price : 21.30
Evaluated at bid price : 21.30
Bid-YTW : 3.96 %
BAM.PR.X FixedReset Disc Quote: 12.20 – 12.93
Spot Rate : 0.7300
Average : 0.5337

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-12-18
Maturity Price : 12.20
Evaluated at bid price : 12.20
Bid-YTW : 4.67 %
PWF.PR.T FixedReset Disc Quote: 18.25 – 18.80
Spot Rate : 0.5500
Average : 0.3548

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-12-18
Maturity Price : 18.25
Evaluated at bid price : 18.25
Bid-YTW : 4.21 %
MFC.PR.G FixedReset Ins Non Quote: 21.65 – 22.20
Spot Rate : 0.5500
Average : 0.3958

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-12-18
Maturity Price : 21.36
Evaluated at bid price : 21.65
Bid-YTW : 3.87 %
MFC.PR.N FixedReset Ins Non Quote: 19.17 – 19.70
Spot Rate : 0.5300
Average : 0.3861

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-12-18
Maturity Price : 19.17
Evaluated at bid price : 19.17
Bid-YTW : 3.84 %

Posted in Market Action | No Comments »

December 17, 2020

Thursday, December 17th, 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 -0.8017 % 1,880.8
FixedFloater 0.00 % 0.00 % 0 0.00 0 -0.8017 % 3,451.2
Floater 4.62 % 4.61 % 73,922 16.24 2 -0.8017 % 1,988.9
OpRet 0.00 % 0.00 % 0 0.00 0 0.1090 % 3,614.3
SplitShare 4.79 % 4.44 % 46,913 3.83 9 0.1090 % 4,316.2
Interest-Bearing 0.00 % 0.00 % 0 0.00 0 0.1090 % 3,367.7
Perpetual-Premium 5.33 % 3.63 % 74,527 0.32 19 0.0165 % 3,201.6
Perpetual-Discount 4.98 % 5.04 % 78,105 15.44 12 -0.1538 % 3,689.4
FixedReset Disc 5.01 % 3.90 % 150,372 17.21 56 0.0485 % 2,330.2
Insurance Straight 5.02 % 4.71 % 89,693 15.41 22 -0.2789 % 3,581.4
FloatingReset 1.95 % 1.57 % 43,665 1.11 3 0.3264 % 1,865.2
FixedReset Prem 5.15 % 3.11 % 222,246 0.80 22 0.2061 % 2,678.9
FixedReset Bank Non 1.93 % 1.81 % 178,379 1.11 2 0.0600 % 2,880.3
FixedReset Ins Non 5.05 % 3.86 % 86,434 17.33 22 0.3146 % 2,422.9
Performance Highlights
Issue Index Change Notes
BAM.PF.A FixedReset Disc -3.03 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-12-17
Maturity Price : 18.88
Evaluated at bid price : 18.88
Bid-YTW : 4.77 %
BAM.PR.R FixedReset Disc -2.74 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-12-17
Maturity Price : 14.55
Evaluated at bid price : 14.55
Bid-YTW : 4.72 %
SLF.PR.C Insurance Straight -2.04 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-12-17
Maturity Price : 23.69
Evaluated at bid price : 24.00
Bid-YTW : 4.63 %
TRP.PR.D FixedReset Disc -1.92 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-12-17
Maturity Price : 15.30
Evaluated at bid price : 15.30
Bid-YTW : 5.01 %
BAM.PR.K Floater -1.60 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-12-17
Maturity Price : 9.25
Evaluated at bid price : 9.25
Bid-YTW : 4.64 %
BMO.PR.Y FixedReset Disc -1.23 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-12-17
Maturity Price : 20.90
Evaluated at bid price : 20.90
Bid-YTW : 3.76 %
CCS.PR.C Insurance Straight -1.12 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-12-17
Maturity Price : 24.44
Evaluated at bid price : 24.68
Bid-YTW : 5.07 %
GWO.PR.I Insurance Straight -1.12 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-12-17
Maturity Price : 23.67
Evaluated at bid price : 23.94
Bid-YTW : 4.70 %
NA.PR.S FixedReset Disc -1.07 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-12-17
Maturity Price : 19.49
Evaluated at bid price : 19.49
Bid-YTW : 3.93 %
BAM.PR.Z FixedReset Disc -1.06 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-12-17
Maturity Price : 18.75
Evaluated at bid price : 18.75
Bid-YTW : 4.72 %
BIP.PR.A FixedReset Disc -1.03 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-12-17
Maturity Price : 19.20
Evaluated at bid price : 19.20
Bid-YTW : 5.21 %
TRP.PR.C FixedReset Disc 1.03 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-12-17
Maturity Price : 10.75
Evaluated at bid price : 10.75
Bid-YTW : 4.65 %
TD.PF.K FixedReset Disc 1.04 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-12-17
Maturity Price : 22.06
Evaluated at bid price : 22.40
Bid-YTW : 3.66 %
TD.PF.I FixedReset Disc 1.13 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-12-17
Maturity Price : 23.77
Evaluated at bid price : 24.10
Bid-YTW : 3.69 %
IFC.PR.C FixedReset Ins Non 1.15 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-12-17
Maturity Price : 20.30
Evaluated at bid price : 20.30
Bid-YTW : 3.83 %
CM.PR.P FixedReset Disc 1.16 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-12-17
Maturity Price : 20.09
Evaluated at bid price : 20.09
Bid-YTW : 3.70 %
NA.PR.G FixedReset Disc 1.25 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-12-17
Maturity Price : 22.19
Evaluated at bid price : 22.60
Bid-YTW : 3.83 %
SLF.PR.G FixedReset Ins Non 1.29 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-12-17
Maturity Price : 11.75
Evaluated at bid price : 11.75
Bid-YTW : 3.92 %
TD.PF.D FixedReset Disc 1.58 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-12-17
Maturity Price : 21.57
Evaluated at bid price : 21.88
Bid-YTW : 3.69 %
TRP.PR.F FloatingReset 1.77 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-12-17
Maturity Price : 11.50
Evaluated at bid price : 11.50
Bid-YTW : 4.46 %
MFC.PR.H FixedReset Ins Non 2.22 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-12-17
Maturity Price : 22.54
Evaluated at bid price : 23.00
Bid-YTW : 3.90 %
Volume Highlights
Issue Index Shares
Traded		 Notes
NA.PR.A FixedReset Prem 279,320 YTW SCENARIO
Maturity Type : Call
Maturity Date : 2021-08-15
Maturity Price : 25.00
Evaluated at bid price : 25.55
Bid-YTW : 2.79 %
MFC.PR.O FixedReset Ins Non 113,424 YTW SCENARIO
Maturity Type : Call
Maturity Date : 2021-06-19
Maturity Price : 25.00
Evaluated at bid price : 25.34
Bid-YTW : 2.86 %
RY.PR.Q FixedReset Prem 105,200 YTW SCENARIO
Maturity Type : Call
Maturity Date : 2021-05-24
Maturity Price : 25.00
Evaluated at bid price : 25.39
Bid-YTW : 2.65 %
BMO.PR.Q FixedReset Bank Non 88,719 YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2022-01-31
Maturity Price : 25.00
Evaluated at bid price : 24.97
Bid-YTW : 1.92 %
TD.PF.B FixedReset Disc 62,315 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-12-17
Maturity Price : 20.26
Evaluated at bid price : 20.26
Bid-YTW : 3.59 %
RY.PR.J FixedReset Disc 62,000 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-12-17
Maturity Price : 21.48
Evaluated at bid price : 21.75
Bid-YTW : 3.66 %
There were 41 other index-included issues trading in excess of 10,000 shares.
Wide Spread Highlights
Issue Index Quote Data and Yield Notes
TD.PF.J FixedReset Disc Quote: 22.70 – 23.45
Spot Rate : 0.7500
Average : 0.4811

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-12-17
Maturity Price : 22.32
Evaluated at bid price : 22.70
Bid-YTW : 3.67 %
BAM.PF.A FixedReset Disc Quote: 18.88 – 19.45
Spot Rate : 0.5700
Average : 0.3600

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-12-17
Maturity Price : 18.88
Evaluated at bid price : 18.88
Bid-YTW : 4.77 %
TRP.PR.B FixedReset Disc Quote: 9.30 – 10.00
Spot Rate : 0.7000
Average : 0.5578

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-12-17
Maturity Price : 9.30
Evaluated at bid price : 9.30
Bid-YTW : 4.60 %
SLF.PR.C Insurance Straight Quote: 24.00 – 24.64
Spot Rate : 0.6400
Average : 0.5066

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-12-17
Maturity Price : 23.69
Evaluated at bid price : 24.00
Bid-YTW : 4.63 %
IFC.PR.G FixedReset Ins Non Quote: 20.00 – 20.45
Spot Rate : 0.4500
Average : 0.3450

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-12-17
Maturity Price : 20.00
Evaluated at bid price : 20.00
Bid-YTW : 4.04 %
CCS.PR.C Insurance Straight Quote: 24.68 – 24.98
Spot Rate : 0.3000
Average : 0.2150

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-12-17
Maturity Price : 24.44
Evaluated at bid price : 24.68
Bid-YTW : 5.07 %

Posted in Market Action | No Comments »

AX Under Review-Negative By DBRS

Thursday, December 17th, 2020

DBRS has announced that it:

placed Artis Real Estate Investment Trust’s (Artis or the REIT) Issuer Rating and Senior Unsecured Debentures rating of BBB (low) and Preferred Trust Units rating of Pfd-3 (low) Under Review with Negative Implications. These rating actions reflect DBRS Morningstar’s expectation that the announcement of Artis’ current management team leaving the REIT may have a negative impact on its credit risk profile and may impair its ability to reduce leverage in a timely manner.

Artis announced an agreement through which certain members of the management team, including the chief executive officer (CEO) and the chief financial officer (CFO), are stepping down as a result of activist unitholder (the Sandpiper Group) pressure. Sandpiper has been advocating against Artis for the spinoff of its retail portfolio, cutting costs, and increasing distributions to unitholders as well as other initiatives. The REIT also announced the reconstitution of its board and a new interim CEO, who is also the CEO of Sandpiper. DBRS Morningstar notes that Artis had been engaged in a strategic debt reduction initiative, including the retail portfolio spinoff, that had the potential to stabilize Artis’ credit profile within an acceptable time frame (see DBRS Morningstar’s commentary “Artis REIT’s Proposed Spin-Off and Debt Reduction Could Stabilize Rating Trend,” dated September 9, 2020).

As a result of the uncertainty created by the change in management, DBRS Morningstar is placing Artis’ ratings Under Review with Negative implications. As part of its review, DBRS Morningstar will determine the new management team’s commitment to and updated plans for lowering leverage. Should DBRS Morningstar determine that the REIT’s successful reduction of leverage is likely, DBRS Morningstar would likely change the trend for Artis’ ratings to Stable upon completion of the review. Conversely, DBRS Morningstar would likely take a negative rating action on Artis’ ratings should it determine that management is unlikely to reduce total debt-to-EBITDA ratio below 9.8 times (x) or increase EBITDA interest coverage above 2.70x.

Affected issues are AX.PR.A, AX.PR.E and AX.PR.I.

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