Archive for March, 2021

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INE.PR.A Reset To 3.244%

Wednesday, March 17th, 2021

Innergex Renewable Energy Inc. has announced (on January 8, 2021):

the applicable dividend rates for its Cumulative Rate Reset Preferred Shares, Series A (“Series A shares”) and Cumulative Floating Rate Preferred Shares, Series B (“Series B shares”).

With respect to any Series A shares that remain outstanding after January 15, 2021, commencing as of such date, the holders thereof will be entitled to receive fixed cumulative preferential cash dividends, as and when declared by the Board of Directors, payable quarterly on the 15th day (or, if such day is not a Business Day, the immediately following Business Day) of January, April, July and October in each year from and including January 15, 2021 to, but excluding, January 15, 2026. The dividend rate for the five-year period commencing on January 15, 2021 to but excluding January 15, 2026 will be 3.244% per annum, or $0.2027 per share per quarter, being equal to the sum of the Government of Canada Yield (as the term is defined in the Prospectus referred to below) on December 16, 2020 plus 2.79%.

With respect to any Series B shares that may be issued on January 15, 2021, the holders thereof will be entitled to receive floating rate cumulative preferential cash dividends, as and when declared by the Board of Directors, payable quarterly on the 15th day (or, if such day is not a Business Day, the immediately following Business Day) of January, April, July and October in each year (the “Quarterly Commencement Date”), in the annual amount per Series B Share determined by multiplying the applicable Floating Quarterly Dividend Rate (as defined herein) by $25.00. The Floating Quarterly Dividend Rate from and including January 15, 2021 to, but excluding, April 15, 2021, and thereafter the period from and including the day immediately following the end of the immediately preceding Quarterly Floating Rate Period to, but excluding, the next succeeding Quarterly Commencement Date (the “Quarterly Floating Rate Period”) will be equal to the sum of the T-Bill Rate (as the term is defined in the Prospectus referred to below) plus 2.79% per annum (calculated on the basis of the actual number of days in the applicable Quarterly Floating Rate Period divided by 365) determined on the 30th day prior to the first day of the applicable Quarterly Floating Rate Period. The dividend rate for the Quarterly Floating Rate Period commencing on January 15, 2021 to but excluding April 15, 2021 will be equal to 2.91% per annum, or $0.181875 per share per quarter, as determined in accordance with the terms of the Series B shares.

INE was issued as a FixedReset 5.00%+279 that commenced trading 2010-9-14 after being announced 2010-8-23. Notice of exension was provided in December, 2015 and the issue reset to 3.608%. I recommended against conversion and none occurred.

Posted in Issue Comments | No Comments »

March 16, 2021

Tuesday, March 16th, 2021
HIMIPref™ Preferred Indices
These values reflect the December 2008 revision of the HIMIPref™ Indices
Values are provisional and are finalized monthly
Index Mean
Current
Yield
(at bid)		 Median
YTW		 Median
Average
Trading
Value		 Median
Mod Dur
(YTW)		 Issues Day’s Perf. Index Value
Ratchet 0.00 % 0.00 % 0 0.00 0 -0.4073 % 2,328.8
FixedFloater 0.00 % 0.00 % 0 0.00 0 -0.4073 % 4,273.3
Floater 3.76 % 3.76 % 59,108 17.96 3 -0.4073 % 2,462.7
OpRet 0.00 % 0.00 % 0 0.00 0 0.2228 % 3,691.4
SplitShare 4.75 % 4.00 % 38,658 3.63 9 0.2228 % 4,408.3
Interest-Bearing 0.00 % 0.00 % 0 0.00 0 0.2228 % 3,439.5
Perpetual-Premium 5.31 % -0.58 % 75,247 0.09 21 0.0672 % 3,247.1
Perpetual-Discount 4.97 % 4.99 % 78,903 15.47 13 -0.1653 % 3,730.9
FixedReset Disc 4.39 % 3.93 % 190,418 17.12 52 -0.1029 % 2,647.1
Insurance Straight 5.01 % 4.66 % 85,927 15.47 22 0.0493 % 3,633.0
FloatingReset 2.97 % 3.29 % 44,971 19.02 2 -0.5988 % 2,406.8
FixedReset Prem 5.07 % 3.57 % 224,999 1.01 26 0.1206 % 2,725.8
FixedReset Bank Non 1.81 % 2.22 % 211,668 0.87 1 -0.0800 % 2,889.7
FixedReset Ins Non 4.41 % 3.86 % 146,000 17.40 22 -0.3758 % 2,792.7
Performance Highlights
Issue Index Change Notes
PWF.PR.P FixedReset Disc -15.86 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-03-16
Maturity Price : 13.00
Evaluated at bid price : 13.00
Bid-YTW : 4.77 %
BAM.PR.R FixedReset Disc -2.13 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-03-16
Maturity Price : 17.50
Evaluated at bid price : 17.50
Bid-YTW : 4.76 %
MFC.PR.L FixedReset Ins Non -1.80 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-03-16
Maturity Price : 21.31
Evaluated at bid price : 21.31
Bid-YTW : 3.86 %
TRP.PR.F FloatingReset -1.79 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-03-16
Maturity Price : 15.38
Evaluated at bid price : 15.38
Bid-YTW : 3.29 %
IFC.PR.A FixedReset Ins Non -1.63 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-03-16
Maturity Price : 18.10
Evaluated at bid price : 18.10
Bid-YTW : 3.87 %
BIP.PR.E FixedReset Disc -1.56 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-03-16
Maturity Price : 23.42
Evaluated at bid price : 24.61
Bid-YTW : 5.03 %
IFC.PR.C FixedReset Ins Non -1.51 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-03-16
Maturity Price : 22.20
Evaluated at bid price : 22.90
Bid-YTW : 3.97 %
BIP.PR.A FixedReset Disc -1.30 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-03-16
Maturity Price : 21.69
Evaluated at bid price : 22.03
Bid-YTW : 5.03 %
CIU.PR.A Perpetual-Discount -1.25 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-03-16
Maturity Price : 23.34
Evaluated at bid price : 23.63
Bid-YTW : 4.89 %
TD.PF.E FixedReset Disc -1.18 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-03-16
Maturity Price : 22.54
Evaluated at bid price : 23.44
Bid-YTW : 3.97 %
SLF.PR.G FixedReset Ins Non -1.14 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-03-16
Maturity Price : 14.80
Evaluated at bid price : 14.80
Bid-YTW : 3.90 %
GWO.PR.Q Insurance Straight -1.12 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-03-16
Maturity Price : 24.49
Evaluated at bid price : 24.80
Bid-YTW : 5.19 %
BAM.PR.B Floater -1.04 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-03-16
Maturity Price : 11.40
Evaluated at bid price : 11.40
Bid-YTW : 3.76 %
BAM.PF.C Perpetual-Discount -1.03 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-03-16
Maturity Price : 23.80
Evaluated at bid price : 24.05
Bid-YTW : 5.04 %
MFC.PR.F FixedReset Ins Non 1.07 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-03-16
Maturity Price : 16.95
Evaluated at bid price : 16.95
Bid-YTW : 3.60 %
IFC.PR.I Perpetual-Premium 1.35 % YTW SCENARIO
Maturity Type : Call
Maturity Date : 2029-03-31
Maturity Price : 25.00
Evaluated at bid price : 26.25
Bid-YTW : 4.64 %
RS.PR.A SplitShare 1.43 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-12-31
Maturity Price : 10.00
Evaluated at bid price : 10.65
Bid-YTW : 4.02 %
TRP.PR.C FixedReset Disc 1.61 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-03-16
Maturity Price : 13.90
Evaluated at bid price : 13.90
Bid-YTW : 4.38 %
TRP.PR.B FixedReset Disc 1.78 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-03-16
Maturity Price : 12.56
Evaluated at bid price : 12.56
Bid-YTW : 4.32 %
RY.PR.M FixedReset Disc 2.26 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-03-16
Maturity Price : 22.56
Evaluated at bid price : 23.50
Bid-YTW : 3.67 %
Volume Highlights
Issue Index Shares
Traded		 Notes
SLF.PR.A Insurance Straight 274,188 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-03-16
Maturity Price : 24.56
Evaluated at bid price : 24.81
Bid-YTW : 4.79 %
TD.PF.G FixedReset Prem 202,852 YTW SCENARIO
Maturity Type : Call
Maturity Date : 2021-04-30
Maturity Price : 25.00
Evaluated at bid price : 25.29
Bid-YTW : 1.33 %
TD.PF.H FixedReset Prem 202,750 YTW SCENARIO
Maturity Type : Call
Maturity Date : 2021-10-31
Maturity Price : 25.00
Evaluated at bid price : 25.55
Bid-YTW : 2.27 %
TRP.PR.J FixedReset Prem 76,390 YTW SCENARIO
Maturity Type : Call
Maturity Date : 2021-05-31
Maturity Price : 25.00
Evaluated at bid price : 25.25
Bid-YTW : 2.01 %
NA.PR.A FixedReset Prem 71,400 YTW SCENARIO
Maturity Type : Call
Maturity Date : 2021-08-15
Maturity Price : 25.00
Evaluated at bid price : 25.47
Bid-YTW : 1.98 %
PWF.PR.P FixedReset Disc 68,398 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-03-16
Maturity Price : 13.00
Evaluated at bid price : 13.00
Bid-YTW : 4.77 %
There were 40 other index-included issues trading in excess of 10,000 shares.
Wide Spread Highlights
Issue Index Quote Data and Yield Notes
BAM.PR.K Floater Quote: 11.44 – 15.88
Spot Rate : 4.4400
Average : 2.9553

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-03-16
Maturity Price : 11.44
Evaluated at bid price : 11.44
Bid-YTW : 3.74 %
PWF.PR.P FixedReset Disc Quote: 13.00 – 15.75
Spot Rate : 2.7500
Average : 1.5251

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-03-16
Maturity Price : 13.00
Evaluated at bid price : 13.00
Bid-YTW : 4.77 %
CM.PR.R FixedReset Disc Quote: 25.15 – 26.00
Spot Rate : 0.8500
Average : 0.5065

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-03-16
Maturity Price : 23.83
Evaluated at bid price : 25.15
Bid-YTW : 4.35 %
TD.PF.E FixedReset Disc Quote: 23.44 – 24.29
Spot Rate : 0.8500
Average : 0.5461

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-03-16
Maturity Price : 22.54
Evaluated at bid price : 23.44
Bid-YTW : 3.97 %
TRP.PR.C FixedReset Disc Quote: 13.90 – 15.00
Spot Rate : 1.1000
Average : 0.8031

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-03-16
Maturity Price : 13.90
Evaluated at bid price : 13.90
Bid-YTW : 4.38 %
RY.PR.O Perpetual-Premium Quote: 25.38 – 25.99
Spot Rate : 0.6100
Average : 0.4051

YTW SCENARIO
Maturity Type : Call
Maturity Date : 2023-11-24
Maturity Price : 25.25
Evaluated at bid price : 25.38
Bid-YTW : 4.79 %

Posted in Market Action | No Comments »

March 15, 2021

Tuesday, March 16th, 2021

I could have sworn I posted this last night … but the day after PrefLetter goes out is always a little incoherent!

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 1.1180 % 2,338.3
FixedFloater 0.00 % 0.00 % 0 0.00 0 1.1180 % 4,290.8
Floater 3.74 % 3.74 % 59,671 18.00 3 1.1180 % 2,472.8
OpRet 0.00 % 0.00 % 0 0.00 0 0.3169 % 3,683.2
SplitShare 4.76 % 3.98 % 40,031 3.63 9 0.3169 % 4,398.5
Interest-Bearing 0.00 % 0.00 % 0 0.00 0 0.3169 % 3,431.9
Perpetual-Premium 5.31 % 0.28 % 75,786 0.09 21 0.1982 % 3,244.9
Perpetual-Discount 4.96 % 4.99 % 79,662 15.49 13 0.0414 % 3,737.1
FixedReset Disc 4.38 % 3.92 % 185,594 17.11 52 0.0549 % 2,649.8
Insurance Straight 5.01 % 4.62 % 84,769 15.47 22 0.0621 % 3,631.2
FloatingReset 2.95 % 3.23 % 43,050 19.16 2 0.4679 % 2,421.3
FixedReset Prem 5.08 % 3.87 % 227,465 1.02 26 -0.0753 % 2,722.5
FixedReset Bank Non 1.80 % 2.04 % 218,951 0.44 1 0.0400 % 2,892.0
FixedReset Ins Non 4.39 % 3.82 % 146,082 17.48 22 0.4100 % 2,803.2
Performance Highlights
Issue Index Change Notes
BAM.PR.Z FixedReset Disc -1.23 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-03-15
Maturity Price : 22.18
Evaluated at bid price : 22.50
Bid-YTW : 4.48 %
TRP.PR.A FixedReset Disc -1.22 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-03-15
Maturity Price : 16.99
Evaluated at bid price : 16.99
Bid-YTW : 4.50 %
BAM.PF.G FixedReset Disc -1.22 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-03-15
Maturity Price : 20.25
Evaluated at bid price : 20.25
Bid-YTW : 4.61 %
TRP.PR.B FixedReset Disc -1.04 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-03-15
Maturity Price : 12.34
Evaluated at bid price : 12.34
Bid-YTW : 4.40 %
BAM.PR.B Floater 1.05 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-03-15
Maturity Price : 11.52
Evaluated at bid price : 11.52
Bid-YTW : 3.72 %
MFC.PR.J FixedReset Ins Non 1.19 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-03-15
Maturity Price : 23.45
Evaluated at bid price : 23.78
Bid-YTW : 3.92 %
MFC.PR.F FixedReset Ins Non 1.21 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-03-15
Maturity Price : 16.77
Evaluated at bid price : 16.77
Bid-YTW : 3.63 %
CIU.PR.A Perpetual-Discount 1.40 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-03-15
Maturity Price : 23.66
Evaluated at bid price : 23.93
Bid-YTW : 4.83 %
BIP.PR.A FixedReset Disc 1.45 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-03-15
Maturity Price : 21.89
Evaluated at bid price : 22.32
Bid-YTW : 4.96 %
IFC.PR.C FixedReset Ins Non 1.53 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-03-15
Maturity Price : 22.39
Evaluated at bid price : 23.25
Bid-YTW : 3.89 %
BIP.PR.E FixedReset Disc 1.63 % YTW SCENARIO
Maturity Type : Call
Maturity Date : 2023-03-31
Maturity Price : 25.00
Evaluated at bid price : 25.00
Bid-YTW : 4.91 %
IFC.PR.A FixedReset Ins Non 1.66 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-03-15
Maturity Price : 18.40
Evaluated at bid price : 18.40
Bid-YTW : 3.81 %
RS.PR.A SplitShare 1.74 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-12-31
Maturity Price : 10.00
Evaluated at bid price : 10.50
Bid-YTW : 4.36 %
IFC.PR.G FixedReset Ins Non 1.75 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-03-15
Maturity Price : 22.66
Evaluated at bid price : 23.20
Bid-YTW : 3.98 %
BAM.PR.K Floater 1.79 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-03-15
Maturity Price : 11.40
Evaluated at bid price : 11.40
Bid-YTW : 3.76 %
RY.PR.J FixedReset Disc 2.52 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-03-15
Maturity Price : 23.01
Evaluated at bid price : 24.40
Bid-YTW : 3.66 %
TRP.PR.C FixedReset Disc 3.17 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-03-15
Maturity Price : 13.68
Evaluated at bid price : 13.68
Bid-YTW : 4.45 %
Volume Highlights
Issue Index Shares
Traded		 Notes
TD.PF.G FixedReset Prem 256,087 YTW SCENARIO
Maturity Type : Call
Maturity Date : 2021-04-30
Maturity Price : 25.00
Evaluated at bid price : 25.29
Bid-YTW : 1.30 %
SLF.PR.B Insurance Straight 115,517 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-03-15
Maturity Price : 24.50
Evaluated at bid price : 24.75
Bid-YTW : 4.85 %
CM.PR.R FixedReset Disc 98,780 YTW SCENARIO
Maturity Type : Call
Maturity Date : 2022-07-31
Maturity Price : 25.00
Evaluated at bid price : 25.27
Bid-YTW : 4.04 %
PWF.PR.P FixedReset Disc 86,600 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-03-15
Maturity Price : 15.45
Evaluated at bid price : 15.45
Bid-YTW : 4.03 %
RY.PR.Q FixedReset Prem 39,790 YTW SCENARIO
Maturity Type : Call
Maturity Date : 2021-05-24
Maturity Price : 25.00
Evaluated at bid price : 25.25
Bid-YTW : 1.76 %
SLF.PR.A Insurance Straight 35,300 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-03-15
Maturity Price : 24.59
Evaluated at bid price : 24.84
Bid-YTW : 4.78 %
There were 22 other index-included issues trading in excess of 10,000 shares.
Wide Spread Highlights
Issue Index Quote Data and Yield Notes
PWF.PR.E Perpetual-Premium Quote: 25.48 – 27.30
Spot Rate : 1.8200
Average : 1.0316

YTW SCENARIO
Maturity Type : Call
Maturity Date : 2021-04-14
Maturity Price : 25.00
Evaluated at bid price : 25.48
Bid-YTW : -9.78 %
BAM.PR.T FixedReset Disc Quote: 18.25 – 19.15
Spot Rate : 0.9000
Average : 0.5559

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-03-15
Maturity Price : 18.25
Evaluated at bid price : 18.25
Bid-YTW : 4.58 %
BAM.PR.Z FixedReset Disc Quote: 22.50 – 23.11
Spot Rate : 0.6100
Average : 0.4398

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-03-15
Maturity Price : 22.18
Evaluated at bid price : 22.50
Bid-YTW : 4.48 %
IFC.PR.A FixedReset Ins Non Quote: 18.40 – 18.95
Spot Rate : 0.5500
Average : 0.4057

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-03-15
Maturity Price : 18.40
Evaluated at bid price : 18.40
Bid-YTW : 3.81 %
TRP.PR.A FixedReset Disc Quote: 16.99 – 17.30
Spot Rate : 0.3100
Average : 0.2008

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-03-15
Maturity Price : 16.99
Evaluated at bid price : 16.99
Bid-YTW : 4.50 %
BAM.PF.G FixedReset Disc Quote: 20.25 – 20.70
Spot Rate : 0.4500
Average : 0.3514

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-03-15
Maturity Price : 20.25
Evaluated at bid price : 20.25
Bid-YTW : 4.61 %

Posted in Market Action | No Comments »

March PrefLetter Released!

Monday, March 15th, 2021

The March, 2021, edition of PrefLetter has been released and is now available for purchase as the “Previous edition”. Those who subscribe for a full year receive the “Previous edition” as a bonus.

The March edition contains a listing and analysis of the CPD portfolio.

PrefLetter may now be purchased by all Canadian residents.

Until further notice, the “Previous Edition” will refer to the March, 2021, issue, while the “Next Edition” will be the April, 2021, issue, scheduled to be prepared as of the close April 9, 2021, and eMailed to subscribers prior to market-opening on April 12.

PrefLetter is intended for long term investors seeking issues to buy-and-hold. At least one recommendation from each of the major preferred share sectors is included and discussed.

Note: My verbosity has grown by such leaps and bounds that it is no longer possible to deliver PrefLetter as an eMail attachment – it’s just too big for my software! Instead, I have sent passwords – click on the link in your eMail and your copy will download.

Note: There have been problems lately with corporate eMail protection systems that substitute “safe” links for the links sent in the eMails; the problem being that the “safe” links do not work and an error is generated by my software. To avoid possible problems and delays, please subscribe through an eMail account that is not “protected” by such software.

Note: The PrefLetter website has a Subscriber Download Feature. If you have not received your copy, try it!

Note: PrefLetter eMails sometimes runs afoul of spam filters. If you have not received your copy within fifteen minutes of a release notice such as this one, please double check your (company’s) spam filtering policy and your spam repository – there are some hints in the post Sympatico Spam Filters out of Control. If it’s not there, contact me and I’ll get you your copy … somehow!

Note: There have been scattered complaints regarding inability to open PrefLetter in Acrobat Reader, despite my practice of including myself on the subscription list and immediately checking the copy received. I have had the occasional difficulty reading US Government documents, which I was able to resolve by downloading and installing the latest version of Adobe Reader. Also, note that so far, all complaints have been from users of Yahoo Mail. Try saving it to disk first, before attempting to open it.

Note: There have been other scattered complaints that double-clicking on the links in the “PrefLetter Download” email results in a message that the password has already been used. I have been able to reproduce this problem in my own eMail software … the problem is double-clicking. What happens is the first click opens the link and the second click finds that the password has already been used and refuses to work properly. So the moral of the story is: Don’t be a dick! Single Click!

Note: Assiduous Reader DG informs me:

In case you have any other Apple users: you need to install a free App from the apple store called “FileApp”. It comes with it’s own tutorial and allows you to download and save a PDF file.

However, Assiduous Reader Adrian informs me in the comments to the January 2015 release:

Some nitpicking for DG:
FileApp costs $1.19 in the Apple Store.

But Adrian2 now advises:

Well, as of now, FileApp is free (again?).

Posted in PrefLetter | No Comments »

March 12, 2021

Friday, March 12th, 2021

… and now it’s time for PrefLetter!

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 1.4786 % 2,312.5
FixedFloater 0.00 % 0.00 % 0 0.00 0 1.4786 % 4,243.3
Floater 3.78 % 3.76 % 59,874 17.97 3 1.4786 % 2,445.4
OpRet 0.00 % 0.00 % 0 0.00 0 0.0912 % 3,671.5
SplitShare 4.77 % 4.01 % 37,054 3.64 9 0.0912 % 4,384.6
Interest-Bearing 0.00 % 0.00 % 0 0.00 0 0.0912 % 3,421.0
Perpetual-Premium 5.32 % 1.66 % 75,405 0.09 21 -0.0957 % 3,238.5
Perpetual-Discount 4.97 % 4.97 % 80,727 15.49 13 0.0803 % 3,735.5
FixedReset Disc 4.38 % 3.90 % 187,139 17.12 52 0.4390 % 2,648.4
Insurance Straight 5.02 % 4.64 % 85,689 15.45 22 -0.0590 % 3,629.0
FloatingReset 2.97 % 3.26 % 43,225 19.11 2 0.3353 % 2,410.0
FixedReset Prem 5.07 % 3.81 % 229,979 1.03 26 0.1533 % 2,724.6
FixedReset Bank Non 1.81 % 2.09 % 220,356 0.45 1 0.0000 % 2,890.8
FixedReset Ins Non 4.41 % 3.85 % 147,199 17.41 22 0.2361 % 2,791.8
Performance Highlights
Issue Index Change Notes
TRP.PR.C FixedReset Disc -3.70 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-03-12
Maturity Price : 13.26
Evaluated at bid price : 13.26
Bid-YTW : 4.58 %
TD.PF.M FixedReset Prem -1.31 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-03-12
Maturity Price : 23.52
Evaluated at bid price : 25.61
Bid-YTW : 4.49 %
CU.PR.G Perpetual-Discount -1.07 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-03-12
Maturity Price : 22.81
Evaluated at bid price : 23.20
Bid-YTW : 4.86 %
BNS.PR.I FixedReset Disc 1.07 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-03-12
Maturity Price : 23.28
Evaluated at bid price : 24.67
Bid-YTW : 3.64 %
MFC.PR.L FixedReset Ins Non 1.16 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-03-12
Maturity Price : 21.42
Evaluated at bid price : 21.75
Bid-YTW : 3.75 %
IFC.PR.A FixedReset Ins Non 1.17 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-03-12
Maturity Price : 18.10
Evaluated at bid price : 18.10
Bid-YTW : 3.87 %
BAM.PF.J FixedReset Prem 1.21 % YTW SCENARIO
Maturity Type : Call
Maturity Date : 2022-12-31
Maturity Price : 25.00
Evaluated at bid price : 25.04
Bid-YTW : 4.53 %
TRP.PR.B FixedReset Disc 1.22 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-03-12
Maturity Price : 12.47
Evaluated at bid price : 12.47
Bid-YTW : 4.35 %
TRP.PR.F FloatingReset 1.24 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-03-12
Maturity Price : 15.54
Evaluated at bid price : 15.54
Bid-YTW : 3.26 %
BAM.PF.H FixedReset Prem 1.24 % YTW SCENARIO
Maturity Type : Call
Maturity Date : 2025-12-31
Maturity Price : 25.00
Evaluated at bid price : 26.01
Bid-YTW : 4.03 %
MFC.PR.K FixedReset Ins Non 1.26 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-03-12
Maturity Price : 22.19
Evaluated at bid price : 22.53
Bid-YTW : 3.74 %
BAM.PR.B Floater 1.30 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-03-12
Maturity Price : 11.40
Evaluated at bid price : 11.40
Bid-YTW : 3.75 %
BAM.PR.T FixedReset Disc 1.36 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-03-12
Maturity Price : 18.24
Evaluated at bid price : 18.24
Bid-YTW : 4.58 %
BAM.PF.F FixedReset Disc 1.46 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-03-12
Maturity Price : 21.78
Evaluated at bid price : 22.09
Bid-YTW : 4.41 %
TRP.PR.A FixedReset Disc 1.47 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-03-12
Maturity Price : 17.20
Evaluated at bid price : 17.20
Bid-YTW : 4.44 %
BAM.PR.C Floater 1.51 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-03-12
Maturity Price : 11.39
Evaluated at bid price : 11.39
Bid-YTW : 3.76 %
BAM.PR.K Floater 1.63 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-03-12
Maturity Price : 11.20
Evaluated at bid price : 11.20
Bid-YTW : 3.82 %
NA.PR.S FixedReset Disc 1.65 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-03-12
Maturity Price : 22.64
Evaluated at bid price : 23.38
Bid-YTW : 3.73 %
BAM.PR.Z FixedReset Disc 1.78 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-03-12
Maturity Price : 22.44
Evaluated at bid price : 22.78
Bid-YTW : 4.42 %
BAM.PR.R FixedReset Disc 1.95 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-03-12
Maturity Price : 17.99
Evaluated at bid price : 17.99
Bid-YTW : 4.62 %
SLF.PR.G FixedReset Ins Non 2.03 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-03-12
Maturity Price : 15.10
Evaluated at bid price : 15.10
Bid-YTW : 3.82 %
BIP.PR.E FixedReset Disc 2.50 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-03-12
Maturity Price : 23.42
Evaluated at bid price : 24.60
Bid-YTW : 5.02 %
BAM.PF.B FixedReset Disc 3.68 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-03-12
Maturity Price : 21.08
Evaluated at bid price : 21.08
Bid-YTW : 4.49 %
Volume Highlights
Issue Index Shares
Traded		 Notes
MFC.PR.O FixedReset Ins Non 726,803 YTW SCENARIO
Maturity Type : Call
Maturity Date : 2021-06-19
Maturity Price : 25.00
Evaluated at bid price : 25.22
Bid-YTW : 1.95 %
CU.PR.C FixedReset Disc 154,095 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-03-12
Maturity Price : 20.62
Evaluated at bid price : 20.62
Bid-YTW : 4.17 %
BAM.PF.H FixedReset Prem 75,230 YTW SCENARIO
Maturity Type : Call
Maturity Date : 2025-12-31
Maturity Price : 25.00
Evaluated at bid price : 26.01
Bid-YTW : 4.03 %
MFC.PR.K FixedReset Ins Non 65,479 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-03-12
Maturity Price : 22.19
Evaluated at bid price : 22.53
Bid-YTW : 3.74 %
BNS.PR.H FixedReset Prem 61,963 YTW SCENARIO
Maturity Type : Call
Maturity Date : 2022-01-26
Maturity Price : 25.00
Evaluated at bid price : 25.80
Bid-YTW : 1.85 %
IAF.PR.G FixedReset Ins Non 51,000 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-03-12
Maturity Price : 24.10
Evaluated at bid price : 24.49
Bid-YTW : 3.92 %
There were 24 other index-included issues trading in excess of 10,000 shares.
Wide Spread Highlights
Issue Index Quote Data and Yield Notes
BAM.PR.K Floater Quote: 11.20 – 15.88
Spot Rate : 4.6800
Average : 2.5418

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-03-12
Maturity Price : 11.20
Evaluated at bid price : 11.20
Bid-YTW : 3.82 %
RY.PR.M FixedReset Disc Quote: 23.08 – 24.30
Spot Rate : 1.2200
Average : 0.7012

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-03-12
Maturity Price : 22.34
Evaluated at bid price : 23.08
Bid-YTW : 3.75 %
IFC.PR.C FixedReset Ins Non Quote: 22.90 – 23.80
Spot Rate : 0.9000
Average : 0.6138

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-03-12
Maturity Price : 22.20
Evaluated at bid price : 22.90
Bid-YTW : 3.96 %
GWO.PR.N FixedReset Ins Non Quote: 15.00 – 15.85
Spot Rate : 0.8500
Average : 0.5700

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-03-12
Maturity Price : 15.00
Evaluated at bid price : 15.00
Bid-YTW : 3.65 %
TRP.PR.C FixedReset Disc Quote: 13.26 – 14.02
Spot Rate : 0.7600
Average : 0.4970

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-03-12
Maturity Price : 13.26
Evaluated at bid price : 13.26
Bid-YTW : 4.58 %
RY.PR.J FixedReset Disc Quote: 23.80 – 24.50
Spot Rate : 0.7000
Average : 0.4598

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-03-12
Maturity Price : 22.75
Evaluated at bid price : 23.80
Bid-YTW : 3.78 %

Posted in Market Action | No Comments »

March 11, 2021

Thursday, March 11th, 2021
HIMIPref™ Preferred Indices
These values reflect the December 2008 revision of the HIMIPref™ Indices
Values are provisional and are finalized monthly
Index Mean
Current
Yield
(at bid)		 Median
YTW		 Median
Average
Trading
Value		 Median
Mod Dur
(YTW)		 Issues Day’s Perf. Index Value
Ratchet 0.00 % 0.00 % 0 0.00 0 0.6233 % 2,278.8
FixedFloater 0.00 % 0.00 % 0 0.00 0 0.6233 % 4,181.5
Floater 3.79 % 3.82 % 57,221 17.71 3 0.6233 % 2,409.8
OpRet 0.00 % 0.00 % 0 0.00 0 -0.1540 % 3,668.2
SplitShare 4.78 % 4.01 % 36,810 3.64 9 -0.1540 % 4,380.6
Interest-Bearing 0.00 % 0.00 % 0 0.00 0 -0.1540 % 3,417.9
Perpetual-Premium 5.32 % -0.44 % 75,802 0.10 21 0.2771 % 3,241.6
Perpetual-Discount 4.95 % 5.00 % 80,724 15.45 13 0.2703 % 3,732.5
FixedReset Disc 4.39 % 3.82 % 188,014 17.34 52 0.5291 % 2,636.8
Insurance Straight 5.01 % 4.62 % 81,256 15.47 22 0.1900 % 3,631.1
FloatingReset 2.98 % 3.30 % 39,779 19.02 2 0.6752 % 2,402.0
FixedReset Prem 5.07 % 3.80 % 237,567 1.01 26 0.0332 % 2,720.4
FixedReset Bank Non 1.81 % 2.08 % 220,610 0.45 1 0.0000 % 2,890.8
FixedReset Ins Non 4.41 % 3.77 % 147,034 17.60 22 0.3524 % 2,785.2
Performance Highlights
Issue Index Change Notes
BAM.PF.B FixedReset Disc -2.37 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-03-11
Maturity Price : 20.60
Evaluated at bid price : 20.60
Bid-YTW : 4.57 %
SLF.PR.G FixedReset Ins Non -1.99 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-03-11
Maturity Price : 14.80
Evaluated at bid price : 14.80
Bid-YTW : 3.76 %
PVS.PR.H SplitShare -1.14 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2027-02-28
Maturity Price : 25.00
Evaluated at bid price : 25.22
Bid-YTW : 4.56 %
BMO.PR.E FixedReset Disc -1.06 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-03-11
Maturity Price : 23.16
Evaluated at bid price : 24.30
Bid-YTW : 3.82 %
SLF.PR.I FixedReset Ins Non 1.06 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-03-11
Maturity Price : 23.18
Evaluated at bid price : 23.80
Bid-YTW : 3.80 %
IAF.PR.B Insurance Straight 1.10 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-03-11
Maturity Price : 24.60
Evaluated at bid price : 24.85
Bid-YTW : 4.62 %
BAM.PF.E FixedReset Disc 1.14 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-03-11
Maturity Price : 19.47
Evaluated at bid price : 19.47
Bid-YTW : 4.56 %
BAM.PF.A FixedReset Disc 1.18 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-03-11
Maturity Price : 22.54
Evaluated at bid price : 23.07
Bid-YTW : 4.37 %
BAM.PR.X FixedReset Disc 1.28 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-03-11
Maturity Price : 15.80
Evaluated at bid price : 15.80
Bid-YTW : 4.38 %
BAM.PR.R FixedReset Disc 1.31 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-03-11
Maturity Price : 17.83
Evaluated at bid price : 17.83
Bid-YTW : 4.59 %
NA.PR.W FixedReset Disc 1.32 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-03-11
Maturity Price : 22.35
Evaluated at bid price : 23.00
Bid-YTW : 3.56 %
CU.PR.G Perpetual-Discount 1.38 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-03-11
Maturity Price : 23.00
Evaluated at bid price : 23.45
Bid-YTW : 4.80 %
PWF.PR.T FixedReset Disc 1.39 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-03-11
Maturity Price : 21.51
Evaluated at bid price : 21.88
Bid-YTW : 3.93 %
IAF.PR.G FixedReset Ins Non 1.46 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-03-11
Maturity Price : 23.94
Evaluated at bid price : 24.35
Bid-YTW : 3.85 %
BAM.PR.Z FixedReset Disc 1.66 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-03-11
Maturity Price : 22.34
Evaluated at bid price : 22.67
Bid-YTW : 4.42 %
BMO.PR.W FixedReset Disc 2.04 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-03-11
Maturity Price : 22.05
Evaluated at bid price : 22.50
Bid-YTW : 3.62 %
BAM.PR.T FixedReset Disc 2.30 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-03-11
Maturity Price : 18.21
Evaluated at bid price : 18.21
Bid-YTW : 4.53 %
BMO.PR.Y FixedReset Disc 2.35 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-03-11
Maturity Price : 22.60
Evaluated at bid price : 23.54
Bid-YTW : 3.67 %
PWF.PR.P FixedReset Disc 2.58 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-03-11
Maturity Price : 15.50
Evaluated at bid price : 15.50
Bid-YTW : 3.89 %
TRP.PR.G FixedReset Disc 2.61 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-03-11
Maturity Price : 21.25
Evaluated at bid price : 21.25
Bid-YTW : 4.44 %
IFC.PR.C FixedReset Ins Non 2.68 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-03-11
Maturity Price : 22.25
Evaluated at bid price : 23.00
Bid-YTW : 3.89 %
TRP.PR.C FixedReset Disc 2.76 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-03-11
Maturity Price : 13.77
Evaluated at bid price : 13.77
Bid-YTW : 4.28 %
Volume Highlights
Issue Index Shares
Traded		 Notes
TD.PF.H FixedReset Prem 277,815 YTW SCENARIO
Maturity Type : Call
Maturity Date : 2021-10-31
Maturity Price : 25.00
Evaluated at bid price : 25.53
Bid-YTW : 2.34 %
BMO.PR.C FixedReset Prem 265,220 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-03-11
Maturity Price : 23.86
Evaluated at bid price : 25.06
Bid-YTW : 4.21 %
EML.PR.A FixedReset Ins Non 243,990 YTW SCENARIO
Maturity Type : Call
Maturity Date : 2021-04-17
Maturity Price : 25.00
Evaluated at bid price : 25.29
Bid-YTW : 2.52 %
TD.PF.G FixedReset Prem 164,371 YTW SCENARIO
Maturity Type : Call
Maturity Date : 2021-04-30
Maturity Price : 25.00
Evaluated at bid price : 25.28
Bid-YTW : 1.49 %
RY.PR.Q FixedReset Prem 103,109 YTW SCENARIO
Maturity Type : Call
Maturity Date : 2021-05-24
Maturity Price : 25.00
Evaluated at bid price : 25.25
Bid-YTW : 1.67 %
SLF.PR.A Insurance Straight 102,319 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-03-11
Maturity Price : 24.55
Evaluated at bid price : 24.80
Bid-YTW : 4.78 %
GWO.PR.N FixedReset Ins Non 102,100 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-03-11
Maturity Price : 15.10
Evaluated at bid price : 15.10
Bid-YTW : 3.50 %
There were 37 other index-included issues trading in excess of 10,000 shares.
Wide Spread Highlights
Issue Index Quote Data and Yield Notes
TRP.PR.E FixedReset Disc Quote: 18.00 – 20.50
Spot Rate : 2.5000
Average : 1.7121

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-03-11
Maturity Price : 18.00
Evaluated at bid price : 18.00
Bid-YTW : 4.74 %
BAM.PF.I FixedReset Prem Quote: 25.35 – 26.35
Spot Rate : 1.0000
Average : 0.5763

YTW SCENARIO
Maturity Type : Call
Maturity Date : 2022-03-31
Maturity Price : 25.00
Evaluated at bid price : 25.35
Bid-YTW : 4.35 %
EIT.PR.B SplitShare Quote: 25.73 – 26.73
Spot Rate : 1.0000
Average : 0.6932

YTW SCENARIO
Maturity Type : Soft Maturity
Maturity Date : 2025-03-14
Maturity Price : 25.00
Evaluated at bid price : 25.73
Bid-YTW : 4.01 %
BAM.PF.B FixedReset Disc Quote: 20.60 – 21.34
Spot Rate : 0.7400
Average : 0.4697

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-03-11
Maturity Price : 20.60
Evaluated at bid price : 20.60
Bid-YTW : 4.57 %
TD.PF.D FixedReset Disc Quote: 23.70 – 24.24
Spot Rate : 0.5400
Average : 0.3730

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-03-11
Maturity Price : 22.68
Evaluated at bid price : 23.70
Bid-YTW : 3.76 %
NA.PR.S FixedReset Disc Quote: 23.00 – 23.49
Spot Rate : 0.4900
Average : 0.3265

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-03-11
Maturity Price : 22.42
Evaluated at bid price : 23.00
Bid-YTW : 3.71 %

Posted in Market Action | No Comments »

March 10, 2021

Wednesday, March 10th, 2021

PerpetualDiscounts now yield 5.01%, equivalent to 6.51% interest at the standard equivalency factor of 1.3x. Long corporates now yield 3.31%, so the pre-tax interest-equivalent spread (in this context, the “Seniority Spread”) is significantly narrower at 320bp than the 335bp reported March 3.

HIMIPref™ Preferred Indices
These values reflect the December 2008 revision of the HIMIPref™ Indices
Values are provisional and are finalized monthly
Index Mean
Current
Yield
(at bid)		 Median
YTW		 Median
Average
Trading
Value		 Median
Mod Dur
(YTW)		 Issues Day’s Perf. Index Value
Ratchet 0.00 % 0.00 % 0 0.00 0 0.2679 % 2,264.7
FixedFloater 0.00 % 0.00 % 0 0.00 0 0.2679 % 4,155.6
Floater 3.82 % 3.86 % 55,312 17.64 3 0.2679 % 2,394.9
OpRet 0.00 % 0.00 % 0 0.00 0 -0.1343 % 3,673.9
SplitShare 4.77 % 4.03 % 36,816 3.64 9 -0.1343 % 4,387.4
Interest-Bearing 0.00 % 0.00 % 0 0.00 0 -0.1343 % 3,423.2
Perpetual-Premium 5.33 % 4.19 % 74,997 0.10 21 0.0731 % 3,232.6
Perpetual-Discount 4.96 % 5.01 % 81,953 15.45 13 0.0764 % 3,722.5
FixedReset Disc 4.42 % 3.82 % 188,998 17.32 52 -0.3198 % 2,622.9
Insurance Straight 5.02 % 4.63 % 79,517 15.47 22 -0.0803 % 3,624.2
FloatingReset 3.00 % 3.32 % 39,126 18.97 2 0.7483 % 2,385.9
FixedReset Prem 5.07 % 3.71 % 239,231 1.02 26 0.0664 % 2,719.5
FixedReset Bank Non 1.81 % 2.06 % 222,986 0.46 1 0.0400 % 2,890.8
FixedReset Ins Non 4.43 % 3.78 % 138,566 17.55 22 0.1251 % 2,775.4
Performance Highlights
Issue Index Change Notes
TRP.PR.E FixedReset Disc -6.98 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-03-10
Maturity Price : 18.00
Evaluated at bid price : 18.00
Bid-YTW : 4.74 %
BIP.PR.E FixedReset Disc -3.37 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-03-10
Maturity Price : 23.48
Evaluated at bid price : 23.80
Bid-YTW : 5.25 %
TRP.PR.G FixedReset Disc -2.95 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-03-10
Maturity Price : 20.71
Evaluated at bid price : 20.71
Bid-YTW : 4.55 %
IFC.PR.C FixedReset Ins Non -2.10 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-03-10
Maturity Price : 21.89
Evaluated at bid price : 22.40
Bid-YTW : 4.01 %
PWF.PR.P FixedReset Disc -1.88 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-03-10
Maturity Price : 15.11
Evaluated at bid price : 15.11
Bid-YTW : 3.99 %
BAM.PF.E FixedReset Disc -1.79 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-03-10
Maturity Price : 19.25
Evaluated at bid price : 19.25
Bid-YTW : 4.61 %
TRP.PR.C FixedReset Disc -1.69 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-03-10
Maturity Price : 13.40
Evaluated at bid price : 13.40
Bid-YTW : 4.40 %
BMO.PR.Y FixedReset Disc -1.50 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-03-10
Maturity Price : 22.31
Evaluated at bid price : 23.00
Bid-YTW : 3.78 %
BAM.PR.T FixedReset Disc -1.49 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-03-10
Maturity Price : 17.80
Evaluated at bid price : 17.80
Bid-YTW : 4.64 %
SLF.PR.E Insurance Straight -1.38 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-03-10
Maturity Price : 24.01
Evaluated at bid price : 24.26
Bid-YTW : 4.63 %
BAM.PR.Z FixedReset Disc -1.28 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-03-10
Maturity Price : 21.80
Evaluated at bid price : 22.30
Bid-YTW : 4.48 %
BAM.PF.C Perpetual-Discount -1.02 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-03-10
Maturity Price : 24.10
Evaluated at bid price : 24.36
Bid-YTW : 5.05 %
IFC.PR.G FixedReset Ins Non 1.01 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-03-10
Maturity Price : 22.55
Evaluated at bid price : 23.03
Bid-YTW : 3.99 %
CU.PR.F Perpetual-Discount 1.18 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-03-10
Maturity Price : 22.82
Evaluated at bid price : 23.20
Bid-YTW : 4.86 %
SLF.PR.J FloatingReset 1.20 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-03-10
Maturity Price : 14.37
Evaluated at bid price : 14.37
Bid-YTW : 2.63 %
MFC.PR.Q FixedReset Ins Non 1.29 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-03-10
Maturity Price : 22.89
Evaluated at bid price : 23.60
Bid-YTW : 3.78 %
MFC.PR.F FixedReset Ins Non 1.42 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-03-10
Maturity Price : 16.41
Evaluated at bid price : 16.41
Bid-YTW : 3.56 %
SLF.PR.G FixedReset Ins Non 1.62 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-03-10
Maturity Price : 15.10
Evaluated at bid price : 15.10
Bid-YTW : 3.69 %
BAM.PF.B FixedReset Disc 1.69 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-03-10
Maturity Price : 21.10
Evaluated at bid price : 21.10
Bid-YTW : 4.46 %
TRP.PR.A FixedReset Disc 1.82 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-03-10
Maturity Price : 16.80
Evaluated at bid price : 16.80
Bid-YTW : 4.42 %
BAM.PF.A FixedReset Disc 2.01 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-03-10
Maturity Price : 22.37
Evaluated at bid price : 22.80
Bid-YTW : 4.43 %
GWO.PR.N FixedReset Ins Non 2.23 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-03-10
Maturity Price : 15.10
Evaluated at bid price : 15.10
Bid-YTW : 3.50 %
Volume Highlights
Issue Index Shares
Traded		 Notes
TRP.PR.J FixedReset Prem 289,851 YTW SCENARIO
Maturity Type : Call
Maturity Date : 2021-05-31
Maturity Price : 25.00
Evaluated at bid price : 25.24
Bid-YTW : 2.04 %
CU.PR.C FixedReset Disc 183,500 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-03-10
Maturity Price : 20.60
Evaluated at bid price : 20.60
Bid-YTW : 4.06 %
SLF.PR.A Insurance Straight 145,757 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-03-10
Maturity Price : 24.57
Evaluated at bid price : 24.83
Bid-YTW : 4.78 %
IAF.PR.G FixedReset Ins Non 90,364 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-03-10
Maturity Price : 23.54
Evaluated at bid price : 24.00
Bid-YTW : 3.90 %
CM.PR.R FixedReset Disc 87,200 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-03-10
Maturity Price : 23.79
Evaluated at bid price : 25.05
Bid-YTW : 4.27 %
MFC.PR.R FixedReset Ins Non 76,850 YTW SCENARIO
Maturity Type : Call
Maturity Date : 2022-03-19
Maturity Price : 25.00
Evaluated at bid price : 25.35
Bid-YTW : 3.34 %
There were 59 other index-included issues trading in excess of 10,000 shares.
Wide Spread Highlights
Issue Index Quote Data and Yield Notes
BAM.PF.E FixedReset Disc Quote: 19.25 – 20.80
Spot Rate : 1.5500
Average : 0.8663

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-03-10
Maturity Price : 19.25
Evaluated at bid price : 19.25
Bid-YTW : 4.61 %
TRP.PR.E FixedReset Disc Quote: 18.00 – 19.45
Spot Rate : 1.4500
Average : 0.8483

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-03-10
Maturity Price : 18.00
Evaluated at bid price : 18.00
Bid-YTW : 4.74 %
RS.PR.A SplitShare Quote: 10.39 – 11.39
Spot Rate : 1.0000
Average : 0.6754

YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-12-31
Maturity Price : 10.00
Evaluated at bid price : 10.39
Bid-YTW : 4.60 %
BIP.PR.E FixedReset Disc Quote: 23.80 – 24.60
Spot Rate : 0.8000
Average : 0.4801

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-03-10
Maturity Price : 23.48
Evaluated at bid price : 23.80
Bid-YTW : 5.25 %
IFC.PR.C FixedReset Ins Non Quote: 22.40 – 23.16
Spot Rate : 0.7600
Average : 0.4533

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-03-10
Maturity Price : 21.89
Evaluated at bid price : 22.40
Bid-YTW : 4.01 %
SLF.PR.G FixedReset Ins Non Quote: 15.10 – 15.77
Spot Rate : 0.6700
Average : 0.3908

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-03-10
Maturity Price : 15.10
Evaluated at bid price : 15.10
Bid-YTW : 3.69 %

Posted in Market Action | No Comments »

March 9, 2021

Wednesday, March 10th, 2021

Sorry this is late!

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 -0.2671 % 2,258.6
FixedFloater 0.00 % 0.00 % 0 0.00 0 -0.2671 % 4,144.5
Floater 3.83 % 3.88 % 53,631 17.60 3 -0.2671 % 2,388.5
OpRet 0.00 % 0.00 % 0 0.00 0 -0.0238 % 3,678.8
SplitShare 4.77 % 4.00 % 34,081 3.65 9 -0.0238 % 4,393.3
Interest-Bearing 0.00 % 0.00 % 0 0.00 0 -0.0238 % 3,427.8
Perpetual-Premium 5.33 % -0.62 % 74,209 0.10 21 0.0356 % 3,230.3
Perpetual-Discount 4.97 % 5.00 % 82,760 15.45 13 -0.0986 % 3,719.6
FixedReset Disc 4.40 % 3.82 % 180,421 17.29 52 0.6144 % 2,631.3
Insurance Straight 5.01 % 4.59 % 79,889 4.00 22 0.2268 % 3,627.2
FloatingReset 3.02 % 3.33 % 39,088 18.94 2 1.0309 % 2,368.2
FixedReset Prem 5.08 % 3.63 % 236,274 1.02 26 0.0800 % 2,717.7
FixedReset Bank Non 1.81 % 2.12 % 225,756 0.89 1 0.0400 % 2,889.7
FixedReset Ins Non 4.43 % 3.77 % 137,287 17.52 22 0.2612 % 2,772.0
Performance Highlights
Issue Index Change Notes
TRP.PR.E FixedReset Disc 1.04 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-03-09
Maturity Price : 19.35
Evaluated at bid price : 19.35
Bid-YTW : 4.40 %
IAF.PR.I FixedReset Ins Non 1.07 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-03-09
Maturity Price : 23.40
Evaluated at bid price : 24.56
Bid-YTW : 3.77 %
BAM.PR.X FixedReset Disc 1.09 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-03-09
Maturity Price : 15.70
Evaluated at bid price : 15.70
Bid-YTW : 4.41 %
BAM.PR.R FixedReset Disc 1.14 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-03-09
Maturity Price : 17.70
Evaluated at bid price : 17.70
Bid-YTW : 4.62 %
BMO.PR.D FixedReset Disc 1.24 % YTW SCENARIO
Maturity Type : Call
Maturity Date : 2022-08-25
Maturity Price : 25.00
Evaluated at bid price : 25.21
Bid-YTW : 3.95 %
BAM.PR.Z FixedReset Disc 1.30 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-03-09
Maturity Price : 22.26
Evaluated at bid price : 22.59
Bid-YTW : 4.44 %
MFC.PR.Q FixedReset Ins Non 1.30 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-03-09
Maturity Price : 23.00
Evaluated at bid price : 23.30
Bid-YTW : 3.86 %
TD.PF.C FixedReset Disc 1.39 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-03-09
Maturity Price : 22.14
Evaluated at bid price : 22.66
Bid-YTW : 3.64 %
BAM.PR.T FixedReset Disc 1.40 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-03-09
Maturity Price : 18.07
Evaluated at bid price : 18.07
Bid-YTW : 4.57 %
IFC.PR.C FixedReset Ins Non 1.46 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-03-09
Maturity Price : 22.18
Evaluated at bid price : 22.88
Bid-YTW : 3.91 %
BAM.PF.E FixedReset Disc 1.55 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-03-09
Maturity Price : 19.60
Evaluated at bid price : 19.60
Bid-YTW : 4.53 %
TRP.PR.F FloatingReset 1.67 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-03-09
Maturity Price : 15.20
Evaluated at bid price : 15.20
Bid-YTW : 3.33 %
TRP.PR.C FixedReset Disc 1.72 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-03-09
Maturity Price : 13.63
Evaluated at bid price : 13.63
Bid-YTW : 4.32 %
PWF.PR.P FixedReset Disc 1.92 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-03-09
Maturity Price : 15.40
Evaluated at bid price : 15.40
Bid-YTW : 3.91 %
BAM.PF.F FixedReset Disc 2.96 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-03-09
Maturity Price : 21.66
Evaluated at bid price : 21.93
Bid-YTW : 4.42 %
TRP.PR.G FixedReset Disc 3.04 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-03-09
Maturity Price : 21.34
Evaluated at bid price : 21.34
Bid-YTW : 4.42 %
TRP.PR.D FixedReset Disc 4.16 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-03-09
Maturity Price : 19.26
Evaluated at bid price : 19.26
Bid-YTW : 4.47 %
Volume Highlights
Issue Index Shares
Traded		 Notes
TD.PF.H FixedReset Prem 528,450 YTW SCENARIO
Maturity Type : Call
Maturity Date : 2021-10-31
Maturity Price : 25.00
Evaluated at bid price : 25.53
Bid-YTW : 2.32 %
BNS.PR.H FixedReset Prem 317,080 YTW SCENARIO
Maturity Type : Call
Maturity Date : 2022-01-26
Maturity Price : 25.00
Evaluated at bid price : 25.67
Bid-YTW : 2.42 %
BNS.PR.E FixedReset Prem 171,230 YTW SCENARIO
Maturity Type : Call
Maturity Date : 2021-04-25
Maturity Price : 25.00
Evaluated at bid price : 25.28
Bid-YTW : 1.58 %
MFC.PR.I FixedReset Ins Non 136,400 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-03-09
Maturity Price : 23.93
Evaluated at bid price : 24.30
Bid-YTW : 3.92 %
IAF.PR.I FixedReset Ins Non 133,500 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-03-09
Maturity Price : 23.40
Evaluated at bid price : 24.56
Bid-YTW : 3.77 %
MFC.PR.H FixedReset Ins Non 129,595 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-03-09
Maturity Price : 24.35
Evaluated at bid price : 24.75
Bid-YTW : 4.09 %
CM.PR.R FixedReset Disc 129,263 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-03-09
Maturity Price : 23.81
Evaluated at bid price : 25.12
Bid-YTW : 4.25 %
TD.PF.A FixedReset Disc 118,877 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-03-09
Maturity Price : 22.17
Evaluated at bid price : 22.67
Bid-YTW : 3.58 %
SLF.PR.I FixedReset Ins Non 111,920 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-03-09
Maturity Price : 22.90
Evaluated at bid price : 23.52
Bid-YTW : 3.84 %
There were 36 other index-included issues trading in excess of 10,000 shares.
Wide Spread Highlights
Issue Index Quote Data and Yield Notes
EIT.PR.B SplitShare Quote: 25.73 – 26.73
Spot Rate : 1.0000
Average : 0.5946

YTW SCENARIO
Maturity Type : Soft Maturity
Maturity Date : 2025-03-14
Maturity Price : 25.00
Evaluated at bid price : 25.73
Bid-YTW : 4.00 %
BAM.PF.G FixedReset Disc Quote: 20.10 – 20.86
Spot Rate : 0.7600
Average : 0.4853

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-03-09
Maturity Price : 20.10
Evaluated at bid price : 20.10
Bid-YTW : 4.61 %
GWO.PR.N FixedReset Ins Non Quote: 14.77 – 15.41
Spot Rate : 0.6400
Average : 0.3668

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-03-09
Maturity Price : 14.77
Evaluated at bid price : 14.77
Bid-YTW : 3.58 %
MFC.PR.K FixedReset Ins Non Quote: 22.11 – 22.75
Spot Rate : 0.6400
Average : 0.4496

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-03-09
Maturity Price : 21.67
Evaluated at bid price : 22.11
Bid-YTW : 3.70 %
IFC.PR.I Perpetual-Premium Quote: 26.05 – 26.62
Spot Rate : 0.5700
Average : 0.4024

YTW SCENARIO
Maturity Type : Call
Maturity Date : 2029-03-31
Maturity Price : 25.00
Evaluated at bid price : 26.05
Bid-YTW : 4.95 %
BAM.PF.B FixedReset Disc Quote: 20.75 – 21.24
Spot Rate : 0.4900
Average : 0.3413

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-03-09
Maturity Price : 20.75
Evaluated at bid price : 20.75
Bid-YTW : 4.54 %

Posted in Market Action | No Comments »

March 8, 2021

Monday, March 8th, 2021
HIMIPref™ Preferred Indices
These values reflect the December 2008 revision of the HIMIPref™ Indices
Values are provisional and are finalized monthly
Index Mean
Current
Yield
(at bid)		 Median
YTW		 Median
Average
Trading
Value		 Median
Mod Dur
(YTW)		 Issues Day’s Perf. Index Value
Ratchet 0.00 % 0.00 % 0 0.00 0 1.9056 % 2,264.7
FixedFloater 0.00 % 0.00 % 0 0.00 0 1.9056 % 4,155.6
Floater 3.82 % 3.86 % 53,223 17.64 3 1.9056 % 2,394.9
OpRet 0.00 % 0.00 % 0 0.00 0 0.3041 % 3,679.7
SplitShare 4.76 % 4.02 % 33,308 3.65 9 0.3041 % 4,394.3
Interest-Bearing 0.00 % 0.00 % 0 0.00 0 0.3041 % 3,428.6
Perpetual-Premium 5.34 % 1.14 % 73,778 0.11 21 0.0525 % 3,229.1
Perpetual-Discount 4.96 % 5.00 % 82,967 15.45 13 0.0191 % 3,723.3
FixedReset Disc 4.43 % 3.84 % 181,683 17.33 52 0.4214 % 2,615.3
Insurance Straight 5.02 % 4.70 % 81,654 15.52 22 -0.0749 % 3,618.9
FloatingReset 3.05 % 3.39 % 38,186 18.82 2 -0.1373 % 2,344.0
FixedReset Prem 5.08 % 3.68 % 237,942 1.17 26 0.0166 % 2,715.5
FixedReset Bank Non 1.81 % 2.16 % 227,750 0.89 1 0.0000 % 2,888.5
FixedReset Ins Non 4.45 % 3.82 % 138,197 17.49 22 0.0082 % 2,764.7
Performance Highlights
Issue Index Change Notes
PWF.PR.T FixedReset Disc -1.80 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-03-08
Maturity Price : 21.31
Evaluated at bid price : 21.31
Bid-YTW : 4.07 %
PWF.PR.Z Perpetual-Premium -1.72 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-03-08
Maturity Price : 24.67
Evaluated at bid price : 25.18
Bid-YTW : 5.15 %
SLF.PR.B Insurance Straight -1.04 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-03-08
Maturity Price : 24.55
Evaluated at bid price : 24.80
Bid-YTW : 4.83 %
IAF.PR.I FixedReset Ins Non -1.02 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-03-08
Maturity Price : 23.28
Evaluated at bid price : 24.30
Bid-YTW : 3.82 %
NA.PR.W FixedReset Disc 1.12 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-03-08
Maturity Price : 22.13
Evaluated at bid price : 22.65
Bid-YTW : 3.63 %
BAM.PR.Z FixedReset Disc 1.18 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-03-08
Maturity Price : 21.80
Evaluated at bid price : 22.30
Bid-YTW : 4.48 %
BIP.PR.E FixedReset Disc 1.23 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-03-08
Maturity Price : 23.43
Evaluated at bid price : 24.65
Bid-YTW : 5.01 %
BAM.PF.F FixedReset Disc 1.24 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-03-08
Maturity Price : 21.30
Evaluated at bid price : 21.30
Bid-YTW : 4.57 %
BAM.PF.B FixedReset Disc 1.37 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-03-08
Maturity Price : 20.70
Evaluated at bid price : 20.70
Bid-YTW : 4.55 %
CU.PR.C FixedReset Disc 1.53 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-03-08
Maturity Price : 20.61
Evaluated at bid price : 20.61
Bid-YTW : 4.06 %
RY.PR.P Perpetual-Premium 1.92 % YTW SCENARIO
Maturity Type : Call
Maturity Date : 2025-02-24
Maturity Price : 25.00
Evaluated at bid price : 26.00
Bid-YTW : 4.22 %
RY.PR.J FixedReset Disc 2.13 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-03-08
Maturity Price : 22.84
Evaluated at bid price : 24.00
Bid-YTW : 3.65 %
BMO.PR.Y FixedReset Disc 2.26 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-03-08
Maturity Price : 22.59
Evaluated at bid price : 23.52
Bid-YTW : 3.68 %
CM.PR.Q FixedReset Disc 2.61 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-03-08
Maturity Price : 22.63
Evaluated at bid price : 23.60
Bid-YTW : 3.76 %
TD.PF.C FixedReset Disc 3.47 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-03-08
Maturity Price : 21.94
Evaluated at bid price : 22.35
Bid-YTW : 3.70 %
BAM.PR.K Floater 5.81 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-03-08
Maturity Price : 11.30
Evaluated at bid price : 11.30
Bid-YTW : 3.84 %
Volume Highlights
Issue Index Shares
Traded		 Notes
BNS.PR.E FixedReset Prem 441,950 YTW SCENARIO
Maturity Type : Call
Maturity Date : 2021-04-25
Maturity Price : 25.00
Evaluated at bid price : 25.27
Bid-YTW : 1.85 %
BNS.PR.H FixedReset Prem 310,838 YTW SCENARIO
Maturity Type : Call
Maturity Date : 2022-01-26
Maturity Price : 25.00
Evaluated at bid price : 25.66
Bid-YTW : 2.46 %
MFC.PR.O FixedReset Ins Non 258,680 YTW SCENARIO
Maturity Type : Call
Maturity Date : 2021-06-19
Maturity Price : 25.00
Evaluated at bid price : 25.20
Bid-YTW : 2.15 %
CM.PR.R FixedReset Disc 194,146 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-03-08
Maturity Price : 23.80
Evaluated at bid price : 25.09
Bid-YTW : 4.26 %
TD.PF.A FixedReset Disc 101,286 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-03-08
Maturity Price : 22.13
Evaluated at bid price : 22.61
Bid-YTW : 3.59 %
MFC.PR.J FixedReset Ins Non 101,180 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-03-08
Maturity Price : 23.01
Evaluated at bid price : 23.34
Bid-YTW : 3.89 %
MFC.PR.H FixedReset Ins Non 100,400 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-03-08
Maturity Price : 24.23
Evaluated at bid price : 24.65
Bid-YTW : 4.10 %
There were 37 other index-included issues trading in excess of 10,000 shares.
Wide Spread Highlights
Issue Index Quote Data and Yield Notes
SLF.PR.J FloatingReset Quote: 14.15 – 15.35
Spot Rate : 1.2000
Average : 0.7246

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-03-08
Maturity Price : 14.15
Evaluated at bid price : 14.15
Bid-YTW : 2.68 %
RS.PR.A SplitShare Quote: 10.40 – 11.40
Spot Rate : 1.0000
Average : 0.5709

YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-12-31
Maturity Price : 10.00
Evaluated at bid price : 10.40
Bid-YTW : 4.57 %
TRP.PR.G FixedReset Disc Quote: 20.71 – 21.21
Spot Rate : 0.5000
Average : 0.3193

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-03-08
Maturity Price : 20.71
Evaluated at bid price : 20.71
Bid-YTW : 4.55 %
RY.PR.O Perpetual-Premium Quote: 25.28 – 25.99
Spot Rate : 0.7100
Average : 0.5515

YTW SCENARIO
Maturity Type : Option Certainty
Maturity Date : 2051-03-08
Maturity Price : 25.00
Evaluated at bid price : 25.28
Bid-YTW : 4.87 %
TRP.PR.D FixedReset Disc Quote: 18.49 – 19.50
Spot Rate : 1.0100
Average : 0.9031

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-03-08
Maturity Price : 18.49
Evaluated at bid price : 18.49
Bid-YTW : 4.66 %
BAM.PR.C Floater Quote: 11.15 – 11.49
Spot Rate : 0.3400
Average : 0.2346

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-03-08
Maturity Price : 11.15
Evaluated at bid price : 11.15
Bid-YTW : 3.89 %

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CPD Portfolio Analysis : February, 2021

Sunday, March 7th, 2021

With all the tumult of the past year, I thought it was high time to show a new portfolio analysis of CPD. Holdings were recovered from the CPD information page as of February 25 and converted into HIMIPref™ format. Cash was not included in the HIMIPref™ transcription – these analyses are for the securities only.

Sectoral distribution of the CPD portfolio on February 26 was as follows:

CPD Sectoral Analysis 2021-2-26
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 4.9% 1.44% 3.39
PerpetualDiscount 3.4% 4.96% 15.52
Fixed-Reset Discount 25.9% 4.01% 17.19
Insurance – Straight 7.8% 3.91 12.11
FloatingReset 0% N/A N/A
FixedReset Premium 20.0% 3.16% 3.42
FixedReset Bank non-NVCC 0.4% 1.92% 0.49
FixedReset Insurance non-NVCC 7.4% 3.57% 13.52
Scraps – Ratchet 1.2% 4.95% 18.36
Scraps – FixedFloater 0.9% 4.84% 17.61
Scraps – Floater 0% N/A N/A
Scraps – OpRet 0% N/A N/A
Scraps – SplitShare 0% N/A N/A
Scraps – PerpPrem 1.5% -1.06% 7.50
Scraps – PerpDisc 1.4% 5.00% 15.48
Scraps – FR Discount 18.9% 5.29% 14.88
Scraps – Insurance Straight 0% N/A N/A
Scraps – FloatingReset 0% N/A N/A
Scraps – FR Premium 6.3% 4.68% 3.65
Scraps – Bank non-NVCC 0% N/A N/A
Scraps – Ins non-NVCC 0% N/A N/A
Cash 0% N/A N/A
Total 100% 3.94% 11.53
Totals and changes will not add precisely due to rounding.
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 0.86%, a constant 3-Month Bill rate of 0.11% and a constant Canada Prime Rate of 2.45%

The calculation of overall yield may be criticized, since it is merely a weighted average of the yield for each issue. Thus, when considering WN.PR.A, the average will reflect the calculated YTW of -17.44% as if it was in effect for as long as every other calculated yield, which is simply wrong. A proper overall yield calculation would take the cashflows of each instrument in the portfolio and calculate the yield based on all these cashflows together, but I don’t know anybody who does that. HIMIPref™ can prepare a table of these cashflows, but I see no point in doing so.

The weighted average is 3.94%, as indicated on the table. The weighted average if all the negative YTWs (there are eight of them) are set to zero is 4.11%. The weighted average if all the issues with a negative YTW are ignored completely is 4.23%. So take your pick.

A 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 CPD the total portfolio is 68.5% “Floating”, which means the rates will reset periodically based upon the GOC-5, T-Bill or Canada Prime levels.

Credit distribution is:

CPD Credit Analysis 2021-2-26
DBRS Rating CPD Weighting
Pfd-1 0
Pfd-1(low) 0
Pfd-2(high) 36.2%
Pfd-2 16.7%
Pfd-2(low) 15.0%
Pfd-3(high) 14.8%
Pfd-3 12.6%
Pfd-3(low) 1.6%
Pfd-4(high) 0%
Pfd-4 0%
Pfd-4(low) 0%
Pfd-5(high) 0%
Pfd-5 0%
Cash 0%
Totals will not add precisely due to rounding.
3% of the portfolio is not rated by DBRS and I have not used S&P ratings as a substitute.

Liquidity Distribution is:

CPD Liquidity Analysis 2021-2-26
Average Daily Trading CPD Weighting
<$50,000 2.6%
$50,000 – $100,000 16.4%
$100,000 – $200,000 39.2%
$200,000 – $300,000 24.5%
>$300,000 17.3%
Cash 0%
Totals will not add precisely due to rounding.

The distribution of Issue Reset Spreads is:

Range CPD Weight
<100bp 0%
100-149bp 0.4%
150-199bp 1.8%
200-249bp 17.9%
250-299bp 18.1%
300-349bp 11.7%
350-399bp 9.9%
400-449bp 6.5%
450-499bp 10.8%
500-549bp 1.8%
550-599bp 0%
>= 600bp 0%
Undefined 21.0%

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

Range CPD Weight
Currently Floating 1.2%
0-1 Year 19.0%
1-2 Years 18.6%
2-3 Years 13.4%
3-4 Years 20.8%
4-5 Years 8.1%
5-6 Years 0%
>6 Years 0%
Not Floating Rate 19.0%

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