MAPF

MAPF Performance : November, 2021

Malachite Aggressive Preferred Fund’s Net Asset Value per Unit as of the close November 30, 2021, was $10.8773.

Returns to November 30, 2021
Period MAPF TXPR*
Total Return
CPD – according to Blackrock
One Month -1.91% -1.50% N/A
Three Months +3.01% +1.16% N/A
One Year +41.60% ++20.63% +19.93%
Two Years (annualized) +25.01% +13.20% N/A
Three Years (annualized) +12.32% +8.39% +7.73%
Four Years (annualized) +7.08% +4.49% N/A
Five Years (annualized) +11.06% +6.99% +6.43%
Six Years (annualized) +10.43% +6.77% N/A
Seven Years (annualized) +5.41% +2.98% N/A
Eight Years (annualized) +6.04% +3.29% N/A
Nine Years (annualized) +5.18% +2.90% N/A
Ten Years (annualized) +5.89% +3.20% +2.70%
Eleven Years (annualized) +5.39% +3.30%  
Twelve Years (annualized) +6.43% +3.84%  
Thirteen Years (annualized) +11.36% +5.87%  
Fourteen Years (annualized) +9.31% +3.62%  
Fifteen Years (annualized) +8.29%    
Sixteen Years (annualized) +8.19%    
Seventeen Years (annualized) +8.08%    
Eighteen Years (annualized) +8.45%    
Nineteen Years (annualized) +9.51%    
Twenty Years (annualized) +8.93%    
MAPF returns assume reinvestment of distributions, and are shown after expenses but before fees.
The BMO Capital Markets “50” Preferred Share Index is no longer being calculated. The final performance report incorporating this venerable index was published as of December, 2020.
“TXPR” is the S&P/TSX Preferred Share Index. It is calculated without accounting for fees, but does assume reinvestment of dividends.
CPD Returns are for the NAV and are after all fees and expenses. Reinvestment of dividends is assumed.
Figures for National Bank Preferred Equity Income Fund (formerly Omega Preferred Equity) (which are after all fees and expenses) for 1-, 3- and 12-months are -1.47%, +1.87% and +27.23%, respectively, according to Globe & Mail / Fundata after all fees & expenses. Three year performance is +10.56%; five year is +8.13%; ten year is +4.33%

Figures from Morningstar are no longer conveniently available.

Manulife Preferred Income Class Adv has been terminated by Manulife. The performance of this fund was last reported here in March, 2018.
Figures for Horizons Active Preferred Share ETF (HPR) (which are after all fees and expenses) for 1-, 3- and 12-months are -1.60%, +1.93% & +27.68%, respectively. Three year performance is +9.41%, five-year is +7.63%
Figures for National Bank Preferred Equity Fund (formerly Altamira Preferred Equity Fund) are -1.72%, +1.95% and +28.09% for one-, three- and twelve months, respectively. Three year performance is +9.60%; five-year is +7.87%.

Acccording to the fund’s fact sheet as of June 30, 2016, the fund’s inception date was October 30, 2015. I do not know how they justify this nonsensical statement, but will assume that prior performance is being suppressed in some perfectly legal manner that somebody at National considers ethical.

The last time Altamira Preferred Equity Fund’s performance was reported here was April, 2014; performance under the National Bank banner was first reported here May, 2014.

The figures for the NAV of BMO S&P/TSX Laddered Preferred Share Index ETF (ZPR) is +26.23% for the past twelve months. Two year performance is +15.54%, three year is +8.79%, five year is +7.50%.
Figures for Fiera Canadian Preferred Share Class Cg Series F, (formerly Natixis Canadian Preferred Share Class Series F) (formerly NexGen Canadian Preferred Share Tax Managed Fund) are no longer available as the Fund is now the property of Canoe Financial. The last reported performance for the merged fund was May 2020.
Figures for BMO Preferred Share Fund (advisor series) according to BMO are -1.39%, +0.28% and +18.05% for the past one-, three- and twelve-months, respectively. Two year performance is +11.70%; three year is +5.78%; five-year is +4.03%.
Figures for PowerShares Canadian Preferred Share Index Class, Series F (PPS) are +22.19% for the past twelve months. The three-year figure is +8.04%; five years is +7.17%; ten-year is +2.98%
Figures for the First Asset Preferred Share Investment Trust (PSF.UN) are no longer available since the fund has merged with First Asset Preferred Share ETF (FPR).

Performance for the fund was last reported here in September, 2016; the first report of unavailability was in October, 2016.

Figures for Lysander-Slater Preferred Share Dividend Fund (Class F) according to the company are -1.63%, +1.86% and +31.95% for the past one, three and twelve months, respectively. Three year performance is +8.20%, five-year is +6.08%.
Figures for the Desjardins Canadian Preferred Share Fund A Class (A Class), as reported by the company are -1.54%, +1.15% and +21.07% for the past one, three and twelve months, respectively. Two year performance is +12.69%, three-year is +6.95%, five-year is +5.60%
Figures for the RBC Canadian Preferred Share ETF (RPF) as reported by Morningstar are -1.75%, +1.37% and +26.56% for the past one, three and twelve months, respectively. Three-year performance is +8.49%; five-year is +7.47%
Figures for the Dynamic Active Preferred Shares ETF (DXP) are +%, +% and +% for the past one, three and twelve months, respectively. Three-year performance is +%
Calculation of MAPF Sustainable Income Per Unit
Month NAVPU Portfolio
Average
YTW
Leverage
Divisor
Securities
Average
YTW
Capital
Gains
Multiplier
Sustainable
Income
per
current
Unit
June, 2007 9.3114 5.16% 1.03 5.01% 1.3240 0.3524
September 9.1489 5.35% 0.98 5.46% 1.3240 0.3773
December, 2007 9.0070 5.53% 0.942 5.87% 1.3240 0.3993
March, 2008 8.8512 6.17% 1.047 5.89% 1.3240 0.3938
June 8.3419 6.034% 0.952 6.338% 1.3240 $0.3993
September 8.1886 7.108% 0.969 7.335% 1.3240 $0.4537
December, 2008 8.0464 9.24% 1.008 9.166% 1.3240 $0.5571
March 2009 $8.8317 8.60% 0.995 8.802% 1.3240 $0.5872
June 10.9846 7.05% 0.999 7.057% 1.3240 $0.5855
September 12.3462 6.03% 0.998 6.042% 1.3240 $0.5634
December 2009 10.5662 5.74% 0.981 5.851% 1.1141 $0.5549
March 2010 10.2497 6.03% 0.992 6.079% 1.1141 $0.5593
June 10.5770 5.96% 0.996 5.984% 1.1141 $0.5681
September 11.3901 5.43% 0.980 5.540% 1.1141 $0.5664
December 2010 10.7659 5.37% 0.993 5.408% 1.0298 $0.5654
March, 2011 11.0560 6.00% 0.994 5.964% 1.0298 $0.6403
June 11.1194 5.87% 1.018 5.976% 1.0298 $0.6453
September 10.2709 6.10%
Note
1.001 6.106% 1.0298 $0.6090
December, 2011 10.0793 5.63%
Note
1.031 5.805% 1.0000 $0.5851
March, 2012 10.3944 5.13%
Note
0.996 5.109% 1.0000 $0.5310
June 10.2151 5.32%
Note
1.012 5.384% 1.0000 $0.5500
September 10.6703 4.61%
Note
0.997 4.624% 1.0000 $0.4934
December, 2012 10.8307 4.24% 0.989 4.287% 1.0000 $0.4643
March, 2013 10.9033 3.87% 0.996 3.886% 1.0000 $0.4237
June 10.3261 4.81% 0.998 4.80% 1.0000 $0.4957
September 10.0296 5.62% 0.996 5.643% 1.0000 $0.5660
December, 2013 9.8717 6.02% 1.008 5.972% 1.0000 $0.5895
March, 2014 10.2233 5.55% 0.998 5.561% 1.0000 $0.5685
June 10.5877 5.09% 0.998 5.100% 1.0000 $0.5395
September 10.4601 5.28% 0.997 5.296% 1.0000 $0.5540
December, 2014 10.5701 4.83% 1.009 4.787% 1.0000 $0.5060
March, 2015 9.9573 4.99% 1.001 4.985% 1.0000 $0.4964
June, 2015 9.4181 5.55% 1.002 5.539% 1.0000 $0.5217
September 7.8140 6.98% 0.999 6.987% 1.0000 $0.5460
December, 2015 8.1379 6.85% 0.997 6.871% 1.0000 $0.5592
March, 2016 7.4416 7.79% 0.998 7.805% 1.0000 $0.5808
June 7.6704 7.67% 1.011 7.587% 1.0000 $0.5819
September 8.0590 7.35% 0.993 7.402% 1.0000 $0.5965
December, 2016 8.5844 7.24% 0.990 7.313% 1.0000 $0.6278
March, 2017 9.3984 6.26% 0.994 6.298% 1.0000 $0.5919
June 9.5313 6.41% 0.998 6.423% 1.0000 $0.6122
September 9.7129 6.56% 0.998 6.573% 1.0000 $0.6384
December, 2017 10.0566 6.06% 1.004 6.036% 1.0000 $0.6070
March, 2018 10.2701 6.22% 1.007 6.177% 1.0000 $0.6344
June 10.2518 6.22% 0.995 6.251% 1.0000 $0.6408
September 10.2965 6.62% 1.018 6.503% 1.0000 $0.6696
December, 2018 8.6875 7.16% 0.997 7.182% 1.0000 $0.6240
March, 2019 8.4778 7.09% 1.007 7.041% 1.0000 $0.5969
June 8.0896 7.33% 0.996 7.359% 1.0000 $0.5953
September 7.7948 7.96% 0.998 7.976% 1.0000 $0.6217
December, 2019 8.0900 6.03% 0.995 6.060% 1.0000 $0.4903
March 5.5596 7.04% 1.006 6.998% 1.0000 $0.3891
June 6.3568 6.10% 0.9900 6.162% 1.0000 $0.3917
September 7.2852 5.32% 1.00 5.320% 1.0000 $0.3876
December, 2020 8.3947 4.46% 0.999 4.464% 1.0000 $0.3747
March, 2021 9.6473 4.48% 0.996 4.498% 1.0000 $0.4339
June 10.3712 3.92% 0.985 3.980% 1.0000 $0.4127
September, 2021 10.7572 4.08% 1.017 4.012% 1.0000 $0.4316
November, 2021 10.8773 4.39% 0.999 4.394% 1.0000 $0.4780
NAVPU is shown after quarterly distributions of dividend income and annual distribution of capital gains.
Portfolio YTW includes cash (or margin borrowing), with an assumed interest rate of 0.00%
The Leverage Divisor indicates the level of cash in the account: if the portfolio is 1% in cash, the Leverage Divisor will be 0.99
Securities YTW divides “Portfolio YTW” by the “Leverage Divisor” to show the average YTW on the securities held; this assumes that the cash is invested in (or raised from) all securities held, in proportion to their holdings.
The Capital Gains Multiplier adjusts for the effects of Capital Gains Dividends. On 2009-12-31, there was a capital gains distribution of $1.989262 which is assumed for this purpose to have been reinvested at the final price of $10.5662. Thus, a holder of one unit pre-distribution would have held 1.1883 units post-distribution; the CG Multiplier reflects this to make the time-series comparable. Note that Dividend Distributions are not assumed to be reinvested.
Sustainable Income is the resultant estimate of the fund’s dividend income per current unit, before fees and expenses. Note that a “current unit” includes reinvestment of prior capital gains; a unitholder would have had the calculated sustainable income with only, say, 0.9 units in the past which, with reinvestment of capital gains, would become 1.0 current units.
DeemedRetractibles are comprised of all Straight Perpetuals (both PerpetualDiscount and PerpetualPremium) issued by BMO, BNS, CM, ELF, GWO, HSB, IAG, MFC, NA, RY, SLF and TD, which are not exchangable into common at the option of the company or the regulator (definition refined in May, 2011). These issues are analyzed as if their prospectuses included a requirement to redeem at par on or prior to 2022-1-31 (banks) or the Deemed Maturity date for insurers and insurance holding companies (see below)), in addition to the call schedule explicitly defined. See the Deemed Retractible Review: September 2016 for the rationale behind this analysis.

The same reasoning is also applied to FixedResets from these issuers, other than explicitly defined NVCC from banks.

In November, 2019, the assumption of DeemedRetraction for insurance issues was cancelled in the wake of the IAIS decision included in ICS 2.0. This resulted in a large drop in the yield calculated for these issues

The Deemed Maturity date for insurers was set at 2022-1-31 at the commencement of the process in February, 2011. It was extended to 2025-1-31 in April, 2013 and to 2030-1-31 in December, 2018. In November, 2019, the assumption of DeemedRetraction was cancelled in the wake of the IAIS decision included in ICS 2.0.
Yields for September, 2011, to January, 2012, were calculated by imposing a cap of 10% on the yields of YLO issues held, in order to avoid their extremely high calculated yields distorting the calculation and to reflect the uncertainty in the marketplace that these yields will be realized. From February to September 2012, yields on these issues have been set to zero. All YLO issues held were sold in October 2012.

These calculations were performed assuming constant contemporary GOC-5 and 3-Month Bill rates, as follows:

Canada Yields Assumed in Calculations
Month-end GOC-5 3-Month Bill
September, 2015 0.78% 0.40%
December, 2015 0.71% 0.46%
March, 2016 0.70% 0.44%
June 0.57% 0.47%
September 0.58% 0.53%
December, 2016 1.16% 0.47%
March, 2017 1.08% 0.55%
June 1.35% 0.69%
September 1.79% 0.97%
December, 2017 1.83% 1.00%
March, 2018 2.06% 1.08%
June 1.95% 1.22%
September 2.33% 1.55%
December, 2018 1.88% 1.65%
March, 2019 1.46% 1.66%
June 1.34% 1.66%
September 1.41% 1.66%
December, 2019 1.68% 1.68%
March, 2020 0.57% 0.21%
June 0.37% 0.21%
September 0.35% 0.14%
December, 2020 0.42% 0.08%
March, 2021 0.94% 0.09%
June 0.93% 0.13%
September 1.07% 0.13%
November, 2021 1.43% 0.07%
Market Action

December 10, 2021

Brookfield Renewable Partners L.P. issued US perpetual sub-debt yesterday:

Brookfield Renewable Partners L.P. (TSX: BEP.UN; NYSE: BEP) and Brookfield Renewable Corporation (together with Brookfield Renewable Partners L.P., “Brookfield Renewable”) (NYSE, TSX: BEPC) today announced the closing of the issuance of a series of $260 million of fixed rate green perpetual subordinated notes (the “notes”). The notes, which have a coupon of 4.875%, will be listed on the New York Stock Exchange under the symbol “BEPI” and have the same accounting and rating treatment as our preferred LP units.

Wells Fargo Securities, LLC, BofA Securities, Inc., J.P. Morgan Securities LLC, Morgan Stanley & Co. LLC and RBC Capital Markets, LLC acted as joint book-running managers for the offering.

This news release does not constitute an offer to sell or the solicitation of an offer to buy the notes described herein, nor shall there be any sale of these notes in any jurisdiction in which such offer, solicitation or sale would be unlawful prior to registration or qualification under the securities laws of such jurisdiction.

The notes were not offered or sold, directly or indirectly, in Canada or to any resident of Canada.

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 3.08 % 3.58 % 47,234 19.97 1 0.0000 % 2,834.8
FixedFloater 0.00 % 0.00 % 0 0.00 0 -1.2016 % 5,092.4
Floater 3.13 % 3.12 % 76,069 19.34 3 -1.2016 % 2,934.8
OpRet 0.00 % 0.00 % 0 0.00 0 -0.0818 % 3,665.0
SplitShare 4.68 % 4.22 % 49,589 3.80 5 -0.0818 % 4,376.8
Interest-Bearing 0.00 % 0.00 % 0 0.00 0 -0.0818 % 3,415.0
Perpetual-Premium 5.15 % 1.49 % 48,520 0.08 28 -0.2721 % 3,245.1
Perpetual-Discount 4.73 % 4.77 % 65,747 15.90 7 0.2922 % 3,826.8
FixedReset Disc 3.92 % 4.02 % 125,648 17.36 37 0.0713 % 2,820.2
Insurance Straight 4.98 % 4.51 % 94,198 4.00 20 0.0439 % 3,648.2
FloatingReset 2.46 % 2.77 % 27,417 20.33 2 1.1869 % 2,767.7
FixedReset Prem 4.70 % 3.72 % 113,464 2.45 33 0.1486 % 2,716.3
FixedReset Bank Non 0.00 % 0.00 % 0 0.00 0 0.0713 % 2,882.8
FixedReset Ins Non 4.13 % 3.87 % 91,568 17.28 19 0.2020 % 2,920.3
Performance Highlights
Issue Index Change Notes
CIU.PR.A Perpetual-Premium -6.20 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-12-10
Maturity Price : 22.10
Evaluated at bid price : 22.38
Bid-YTW : 5.16 %
BAM.PR.B Floater -4.95 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-12-10
Maturity Price : 13.25
Evaluated at bid price : 13.25
Bid-YTW : 3.27 %
RY.PR.M FixedReset Disc -3.51 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-12-10
Maturity Price : 22.57
Evaluated at bid price : 23.40
Bid-YTW : 3.99 %
MIC.PR.A Perpetual-Premium -1.55 % YTW SCENARIO
Maturity Type : Call
Maturity Date : 2030-03-31
Maturity Price : 25.00
Evaluated at bid price : 26.02
Bid-YTW : 4.98 %
CU.PR.H Perpetual-Premium -1.55 % YTW SCENARIO
Maturity Type : Call
Maturity Date : 2024-09-01
Maturity Price : 25.00
Evaluated at bid price : 25.40
Bid-YTW : 4.70 %
NA.PR.G FixedReset Prem -1.23 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-12-10
Maturity Price : 23.53
Evaluated at bid price : 24.81
Bid-YTW : 4.17 %
SLF.PR.G FixedReset Ins Non -1.16 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-12-10
Maturity Price : 17.00
Evaluated at bid price : 17.00
Bid-YTW : 3.80 %
FTS.PR.G FixedReset Disc -1.15 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-12-10
Maturity Price : 21.50
Evaluated at bid price : 21.50
Bid-YTW : 4.14 %
TD.PF.D FixedReset Disc -1.02 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-12-10
Maturity Price : 23.00
Evaluated at bid price : 24.25
Bid-YTW : 4.02 %
TRP.PR.B FixedReset Disc 1.13 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-12-10
Maturity Price : 13.46
Evaluated at bid price : 13.46
Bid-YTW : 4.54 %
CU.PR.I FixedReset Prem 1.16 % YTW SCENARIO
Maturity Type : Call
Maturity Date : 2025-12-01
Maturity Price : 25.00
Evaluated at bid price : 26.10
Bid-YTW : 3.36 %
BAM.PR.K Floater 1.30 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-12-10
Maturity Price : 14.00
Evaluated at bid price : 14.00
Bid-YTW : 3.09 %
TRP.PR.A FixedReset Disc 1.45 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-12-10
Maturity Price : 18.25
Evaluated at bid price : 18.25
Bid-YTW : 4.51 %
GWO.PR.N FixedReset Ins Non 1.50 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-12-10
Maturity Price : 16.25
Evaluated at bid price : 16.25
Bid-YTW : 3.78 %
TD.PF.M FixedReset Prem 1.70 % YTW SCENARIO
Maturity Type : Call
Maturity Date : 2024-07-31
Maturity Price : 25.00
Evaluated at bid price : 26.25
Bid-YTW : 3.35 %
TRP.PR.E FixedReset Disc 2.46 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-12-10
Maturity Price : 20.80
Evaluated at bid price : 20.80
Bid-YTW : 4.49 %
TRP.PR.F FloatingReset 3.27 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-12-10
Maturity Price : 17.35
Evaluated at bid price : 17.35
Bid-YTW : 2.77 %
SLF.PR.H FixedReset Ins Non 3.94 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-12-10
Maturity Price : 21.92
Evaluated at bid price : 22.40
Bid-YTW : 3.73 %
Volume Highlights
Issue Index Shares
Traded
Notes
CU.PR.J Perpetual-Discount 98,200 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-12-10
Maturity Price : 24.55
Evaluated at bid price : 24.94
Bid-YTW : 4.77 %
TRP.PR.E FixedReset Disc 50,000 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-12-10
Maturity Price : 20.80
Evaluated at bid price : 20.80
Bid-YTW : 4.49 %
GWO.PR.Y Insurance Straight 30,300 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-12-10
Maturity Price : 24.46
Evaluated at bid price : 24.85
Bid-YTW : 4.51 %
IAF.PR.G FixedReset Ins Non 28,600 YTW SCENARIO
Maturity Type : Call
Maturity Date : 2022-06-30
Maturity Price : 25.00
Evaluated at bid price : 25.00
Bid-YTW : 3.40 %
BMO.PR.D FixedReset Prem 27,400 YTW SCENARIO
Maturity Type : Call
Maturity Date : 2022-08-25
Maturity Price : 25.00
Evaluated at bid price : 25.25
Bid-YTW : 3.26 %
NA.PR.S FixedReset Disc 25,900 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-12-10
Maturity Price : 23.33
Evaluated at bid price : 24.58
Bid-YTW : 3.77 %
There were 6 other index-included issues trading in excess of 10,000 shares.
Wide Spread Highlights
Issue Index Quote Data and Yield Notes
CIU.PR.A Perpetual-Premium Quote: 22.38 – 24.85
Spot Rate : 2.4700
Average : 1.9069

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-12-10
Maturity Price : 22.10
Evaluated at bid price : 22.38
Bid-YTW : 5.16 %

TRP.PR.B FixedReset Disc Quote: 13.46 – 15.00
Spot Rate : 1.5400
Average : 1.0944

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-12-10
Maturity Price : 13.46
Evaluated at bid price : 13.46
Bid-YTW : 4.54 %

IAF.PR.G FixedReset Ins Non Quote: 25.00 – 26.00
Spot Rate : 1.0000
Average : 0.5718

YTW SCENARIO
Maturity Type : Call
Maturity Date : 2022-06-30
Maturity Price : 25.00
Evaluated at bid price : 25.00
Bid-YTW : 3.40 %

PWF.PR.E Perpetual-Premium Quote: 25.52 – 26.50
Spot Rate : 0.9800
Average : 0.5530

YTW SCENARIO
Maturity Type : Call
Maturity Date : 2022-01-09
Maturity Price : 25.00
Evaluated at bid price : 25.52
Bid-YTW : -11.93 %

NA.PR.G FixedReset Prem Quote: 24.81 – 25.69
Spot Rate : 0.8800
Average : 0.5195

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-12-10
Maturity Price : 23.53
Evaluated at bid price : 24.81
Bid-YTW : 4.17 %

RY.PR.M FixedReset Disc Quote: 23.40 – 24.40
Spot Rate : 1.0000
Average : 0.7215

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-12-10
Maturity Price : 22.57
Evaluated at bid price : 23.40
Bid-YTW : 3.99 %

Issue Comments

DGS.PR.A To Get Bigger

Brompton Group has announced (on December 8):

Dividend Growth Split Corp. (the “Company”) is pleased to announce it is undertaking an overnight treasury offering of class A and preferred shares (the “Class A Shares” and “Preferred Shares”, respectively).

The sales period for this overnight offering will end at 9:00 a.m. (ET) on Thursday, December 9, 2021. The offering is expected to close on or about December 15, 2021 and is subject to certain closing conditions including approval by the Toronto Stock Exchange (“TSX”).

The Class A Shares will be offered at a price of $6.80 per Class A Share for a distribution rate of 17.6% on the issue price, and the Preferred Shares will be offered at a price of $10.00 per Preferred Share for a yield to maturity of 5.6%. (1) The closing market price on the TSX for each of the Class A Shares and Preferred Shares on December 7, 2021 was $7.00 and $10.11, respectively. The Class A Share and Preferred Share offering prices were determined so as to be non-dilutive to the most recently calculated net asset value per unit of the Company (“Unit”) (calculated as at December 2, 2021), as adjusted for dividends and certain expenses to be accrued prior to or upon settlement of the offering. The offering is being led by RBC Capital Markets.

The Company invests in a portfolio (the “Portfolio”) consisting primarily of equity securities of Canadian dividend growth companies. In addition, the Company may hold up to 20% of the total assets of the Portfolio in global dividend growth companies for diversification and improved return potential, at the discretion of Brompton Funds Limited (the “Manager”). In order to qualify for inclusion in the Portfolio, at the time of investment and at the time of each periodic reconstitution and/or rebalancing, each dividend growth company included in the Portfolio must have (i) a market capitalization of at least CDN$2.0 billion; and (ii) a history of dividend growth or, in the Manager’s view, have high potential for future dividend growth.

The investment objectives for the Class A Shares are to provide holders with regular monthly cash distributions targeted to be at least $0.10 per Class A Share and to provide the opportunity for growth in the net asset value per Class A Share.

The investment objectives for the Preferred Shares are to provide holders with fixed cumulative preferential quarterly cash distributions, currently in the amount of $0.1375 per Preferred Share, and to return the original issue price to holders of Preferred Shares on September 27, 2024.

So the Whole Units were offered for 16.80, while the NAVPU on December 2 was 16.01, a 4.9% premium. I love this business!

Today, Brompton announced:

a successful overnight treasury offering of class A shares and preferred shares (the “Class A Shares” and “Preferred Shares”, respectively). Gross proceeds of the offering are expected to be approximately $76.4 million. The offering is expected to close on or about December 15, 2021 and is subject to certain closing conditions. The Company has granted the Agents (as defined below) an over-allotment option, exercisable for 30 days following the closing date of the offering, to purchase up to an additional 15% of the number of Class A Shares and Preferred Shares issued at the closing of the offering.

Thanks to Assiduous Reader JD for ensuring I was aware of this!

Issue Comments

CWB : Trend Upgraded to Stable by DBRS

DBRS has announced that it:

changed the trends on Canadian Western Bank’s (CWB or the Bank) long-term ratings to Stable from Negative and maintained the trends on all short-term ratings at Stable. DBRS Morningstar also confirmed its ratings on CWB, including the Bank’s Long-Term Issuer Rating at A (low) and Short-Term Issuer Rating at R-1 (low). The Bank’s Intrinsic Assessment of A (low) and Support Assessment of SA3 are unchanged. The SA3 designation, which reflects no expectation of timely external support, results in the final rating being equivalent to the Intrinsic Assessment.

KEY RATING CONSIDERATIONS
The trend changes to Stable from Negative reflect DBRS Morningstar’s view that, despite the potential for some near-term volatility, the economic uncertainties facing the Bank because of the Coronavirus Disease (COVID-19) pandemic have largely abated. Indeed, the Bank has maintained good asset quality metrics. Although impairments initially increased as expected, they reverted to the historical average in F2021, remaining at manageable levels. Additionally, CWB’s earnings have proved resilient and the Bank has continued growing and diversifying its franchise through further expansion into Ontario as well as improving its level of directly sourced deposits.

In confirming the ratings, DBRS Morningstar recognizes CWB’s well-established and growing franchise, operating in the middle-market commercial space across Canada. Furthermore, the Bank has been successful in executing strategically targeted wealth and loan portfolio acquisitions that augment its business while providing some geographic and revenue diversification. The ratings also consider the Bank’s high level of exposure to the real estate sector, specifically to development projects in Western Canada; its modest level of fee-based revenues; and its lower capitalization relative to peers.

RATING DRIVERS
DBRS Morningstar would upgrade its ratings if CWB further diversifies its revenue mix with a material and sustainable increase in the level of noninterest income. Increased diversification of the loan book, including a reduction in the relative exposure to real estate project finance, would also result in a ratings upgrade.

Conversely, a ratings downgrade would occur should there be significant losses in the loan portfolio or a perceived weakness in loan underwriting and/or risk management. Furthermore, operational issues that negatively affect the Bank’s implementation of its various organizational systems and data projects or a reduction in capitalization to levels closer to regulatory minimums would also result in a ratings downgrade.

Affected issues are CWB.PR.B and CWB.PR.D .

Issue Comments

CU.PR.J Soft On Anemic Volume

Canadian Utilities Limited has announced:

it has closed its previously announced public offering of Cumulative Redeemable Second Preferred Shares Series HH, by a syndicate of underwriters co-led by BMO Capital Markets and RBC Capital Markets, and including TD Securities Inc., Scotia Capital Inc., CIBC World Markets Inc., National Bank Financial Inc., and iA Private Wealth Inc. Canadian Utilities Limited issued 7,000,000 Series HH Preferred Shares for gross proceeds of $175,000,000. The Series HH Preferred Shares will begin trading on the TSX today under the symbol CU.PR.J. The proceeds will be used to increase the Corporation’s cash position to allow for operational flexibility and may be used in the future to repay indebtedness and to bolster liquidity.

Canadian Utilities Limited has granted the Underwriters an option, exercisable, in whole or in part, at any time until and including 30 days following the closing of the Offering, to purchase, at the offering price, an additional 1,050,000 Series HH Preferred Shares, to cover over-allotments, if any. Should the option be fully exercised, the total gross proceeds of the Series HH Preferred Share offering will be $201,250,000.

DBRS rates it Pfd-2(high):

DBRS Limited (DBRS Morningstar) assigned a rating of Pfd-2 (high) with a Stable trend to Canadian Utilities Limited’s CAD 175 million Cumulative Redeemable Second Preferred Shares Series HH.

The rating assigned to this newly issued preferred shares instrument is based on the rating of an already-outstanding preferred shares series of the above-mentioned instrument.

CU.PR.J is a Straight Perpetual, 4.75%, announced 2021-11-23.

The issue traded 383,500 shares today in a range of 24.70-00 before closing at 24.80-97. Vital statistics are:

CU.PR.J Perpetual-Discount YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-12-09
Maturity Price : 24.42
Evaluated at bid price : 24.80
Bid-YTW : 4.79 %

The issue will be tracked by HIMIPref™ and has been assigned to the PerpetualDiscount subindex.

Market Action

December 9, 2021

There’s an interesting kerfuffle amongst US bank agencies:

Earlier today, the Consumer Financial Protection Bureau (CFPB) posted on its website a document, purportedly approved by the FDIC, requesting comment on bank mergers. No such document has been approved by the FDIC.

The FDIC has longstanding internal policies and procedures for circulating and conducting votes of its Board of Directors, and for issuing documents for publication in the Federal Register. In this case, there was no valid vote by the Board, and no such request for information and comment has been approved by the agency for publication in the Federal Register.

The FDIC has a proud 88-year history of Board members working together in a collegial manner. This history has spanned many Presidential administrations, and countless philosophical differences on substantive issues among Board members over the years. Notwithstanding the actions taken today, the FDIC expects this time-honored tradition of collegiality and comity to continue.

This reflects a blog post on consumerfinance.gov:

The law requires that the Director of the CFPB serve as a member of the Board of Directors of the Federal Deposit Insurance Corporation (FDIC). The FDIC plays a critical role when it comes to reviewing bank mergers and ensuring financial stability in our country. As agencies across the government are rethinking their approach to combat anticompetitive consolidation and practices, the FDIC’s Board has voted to launch a review of the agency’s Bank Merger Act policies and invites the public to weigh in. We will accept comments for 60 days from the publication in the Federal Register.

The end of the post has a link to a joint statement by FDIC Director Martin J. Gruenberg and Director Rohit Chopra (the latter being the author of the blog post), which has been saved for posterity here in case it mysteriously disappears during routine maintenance.

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 3.08 % 3.58 % 47,960 19.98 1 0.0000 % 2,834.8
FixedFloater 0.00 % 0.00 % 0 0.00 0 -0.8105 % 5,154.4
Floater 3.09 % 3.13 % 79,187 19.34 3 -0.8105 % 2,970.5
OpRet 0.00 % 0.00 % 0 0.00 0 -0.2679 % 3,668.0
SplitShare 4.67 % 4.22 % 49,873 3.80 5 -0.2679 % 4,380.4
Interest-Bearing 0.00 % 0.00 % 0 0.00 0 -0.2679 % 3,417.8
Perpetual-Premium 5.14 % 1.33 % 45,484 0.09 28 0.3773 % 3,254.0
Perpetual-Discount 4.75 % 4.79 % 68,163 15.85 7 -0.1640 % 3,815.6
FixedReset Disc 3.92 % 3.95 % 123,385 16.99 37 1.5403 % 2,818.2
Insurance Straight 4.98 % 4.52 % 97,561 3.40 20 0.2340 % 3,646.6
FloatingReset 2.51 % 2.12 % 36,544 22.15 2 -1.6919 % 2,735.3
FixedReset Prem 4.71 % 3.78 % 115,010 2.45 33 -0.0443 % 2,712.3
FixedReset Bank Non 0.00 % 0.00 % 0 0.00 0 1.5403 % 2,880.7
FixedReset Ins Non 4.14 % 3.92 % 92,926 17.23 19 -0.0207 % 2,914.4
Performance Highlights
Issue Index Change Notes
BAM.PR.X FixedReset Disc -6.46 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-12-09
Maturity Price : 16.50
Evaluated at bid price : 16.50
Bid-YTW : 4.87 %
TRP.PR.F FloatingReset -3.34 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-12-09
Maturity Price : 16.80
Evaluated at bid price : 16.80
Bid-YTW : 2.89 %
SLF.PR.H FixedReset Ins Non -2.58 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-12-09
Maturity Price : 21.55
Evaluated at bid price : 21.55
Bid-YTW : 3.96 %
CU.PR.C FixedReset Disc -2.12 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-12-09
Maturity Price : 21.37
Evaluated at bid price : 21.65
Bid-YTW : 4.36 %
GWO.PR.N FixedReset Ins Non -2.08 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-12-09
Maturity Price : 16.01
Evaluated at bid price : 16.01
Bid-YTW : 3.89 %
TD.PF.M FixedReset Prem -1.56 % YTW SCENARIO
Maturity Type : Call
Maturity Date : 2024-07-31
Maturity Price : 25.00
Evaluated at bid price : 25.81
Bid-YTW : 4.04 %
BIP.PR.A FixedReset Prem -1.52 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-12-09
Maturity Price : 22.61
Evaluated at bid price : 23.40
Bid-YTW : 5.03 %
BAM.PR.R FixedReset Disc -1.36 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-12-09
Maturity Price : 19.55
Evaluated at bid price : 19.55
Bid-YTW : 4.63 %
BAM.PR.K Floater -1.29 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-12-09
Maturity Price : 13.82
Evaluated at bid price : 13.82
Bid-YTW : 3.13 %
PVS.PR.J SplitShare -1.22 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2028-02-29
Maturity Price : 25.00
Evaluated at bid price : 25.04
Bid-YTW : 4.40 %
SLF.PR.G FixedReset Ins Non 1.18 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-12-09
Maturity Price : 17.20
Evaluated at bid price : 17.20
Bid-YTW : 3.81 %
BAM.PF.E FixedReset Disc 1.20 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-12-09
Maturity Price : 21.00
Evaluated at bid price : 21.00
Bid-YTW : 4.67 %
FTS.PR.K FixedReset Disc 1.27 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-12-09
Maturity Price : 20.76
Evaluated at bid price : 20.76
Bid-YTW : 4.22 %
MFC.PR.F FixedReset Ins Non 1.33 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-12-09
Maturity Price : 18.26
Evaluated at bid price : 18.26
Bid-YTW : 3.69 %
CU.PR.H Perpetual-Premium 1.53 % YTW SCENARIO
Maturity Type : Call
Maturity Date : 2022-09-01
Maturity Price : 25.50
Evaluated at bid price : 25.80
Bid-YTW : 3.69 %
TRP.PR.C FixedReset Disc 1.67 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-12-09
Maturity Price : 15.20
Evaluated at bid price : 15.20
Bid-YTW : 4.49 %
RY.PR.M FixedReset Disc 2.15 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-12-09
Maturity Price : 22.97
Evaluated at bid price : 24.25
Bid-YTW : 3.85 %
RY.PR.J FixedReset Disc 3.16 % YTW SCENARIO
Maturity Type : Call
Maturity Date : 2025-05-24
Maturity Price : 25.00
Evaluated at bid price : 24.45
Bid-YTW : 3.94 %
TRP.PR.A FixedReset Disc 3.39 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-12-09
Maturity Price : 17.99
Evaluated at bid price : 17.99
Bid-YTW : 4.62 %
CIU.PR.A Perpetual-Premium 6.61 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-12-09
Maturity Price : 23.59
Evaluated at bid price : 23.86
Bid-YTW : 4.84 %
TRP.PR.G FixedReset Disc 88.99 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-12-09
Maturity Price : 22.34
Evaluated at bid price : 23.00
Bid-YTW : 4.46 %
Volume Highlights
Issue Index Shares
Traded
Notes
CU.PR.J Perpetual-Discount 383,500 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-12-09
Maturity Price : 24.42
Evaluated at bid price : 24.80
Bid-YTW : 4.79 %
BNS.PR.H FixedReset Prem 63,500 YTW SCENARIO
Maturity Type : Call
Maturity Date : 2022-01-26
Maturity Price : 25.00
Evaluated at bid price : 25.25
Bid-YTW : 1.57 %
BMO.PR.F FixedReset Prem 49,200 YTW SCENARIO
Maturity Type : Call
Maturity Date : 2024-05-25
Maturity Price : 25.00
Evaluated at bid price : 25.90
Bid-YTW : 3.66 %
MFC.PR.G FixedReset Ins Non 45,055 YTW SCENARIO
Maturity Type : Call
Maturity Date : 2022-01-18
Maturity Price : 25.00
Evaluated at bid price : 24.98
Bid-YTW : 3.68 %
MFC.PR.R FixedReset Ins Non 33,100 YTW SCENARIO
Maturity Type : Call
Maturity Date : 2022-03-19
Maturity Price : 25.00
Evaluated at bid price : 25.13
Bid-YTW : 2.46 %
BAM.PR.B Floater 18,203 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-12-09
Maturity Price : 13.94
Evaluated at bid price : 13.94
Bid-YTW : 3.11 %
There were 5 other index-included issues trading in excess of 10,000 shares.
Wide Spread Highlights
Issue Index Quote Data and Yield Notes
BAM.PR.X FixedReset Disc Quote: 16.50 – 17.85
Spot Rate : 1.3500
Average : 0.9884

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-12-09
Maturity Price : 16.50
Evaluated at bid price : 16.50
Bid-YTW : 4.87 %

SLF.PR.H FixedReset Ins Non Quote: 21.55 – 22.47
Spot Rate : 0.9200
Average : 0.7140

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-12-09
Maturity Price : 21.55
Evaluated at bid price : 21.55
Bid-YTW : 3.96 %

IFC.PR.A FixedReset Ins Non Quote: 20.15 – 20.95
Spot Rate : 0.8000
Average : 0.6000

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-12-09
Maturity Price : 20.15
Evaluated at bid price : 20.15
Bid-YTW : 3.92 %

GWO.PR.S Insurance Straight Quote: 25.32 – 25.85
Spot Rate : 0.5300
Average : 0.3358

YTW SCENARIO
Maturity Type : Call
Maturity Date : 2022-06-30
Maturity Price : 25.25
Evaluated at bid price : 25.32
Bid-YTW : 4.15 %

MFC.PR.L FixedReset Ins Non Quote: 22.75 – 23.45
Spot Rate : 0.7000
Average : 0.5065

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-12-09
Maturity Price : 22.34
Evaluated at bid price : 22.75
Bid-YTW : 3.90 %

BAM.PR.Z FixedReset Prem Quote: 24.13 – 24.85
Spot Rate : 0.7200
Average : 0.5489

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-12-09
Maturity Price : 23.62
Evaluated at bid price : 24.13
Bid-YTW : 4.55 %

Market Action

December 8, 2021

The Bank of Canada issued its latest rates decision today:

The Bank of Canada today held its target for the overnight rate at the effective lower bound of ¼ percent, with the Bank Rate at ½ percent and the deposit rate at ¼ percent. The Bank’s extraordinary forward guidance on the path for the overnight rate is being maintained. The Bank is continuing its reinvestment phase, keeping its overall holdings of Government of Canada bonds roughly constant.

The global economy continues to recover from the effects of the COVID-19 pandemic. Economic growth in the United States has accelerated, led by consumption, while growth in some other regions is moderating after a strong third quarter. Inflation has increased further in many countries, reflecting strong demand for goods amid ongoing supply disruptions. The new Omicron COVID-19 variant has prompted a tightening of travel restrictions in many countries and a decline in oil prices, and has injected renewed uncertainty. Accommodative financial conditions are still supporting economic activity.

Canada’s economy grew by about 5½ percent in the third quarter, as expected. Together with a downward revision to the second quarter, this brings the level of GDP to about 1½ percent below its level in the last quarter of 2019, before the pandemic began. Third-quarter growth was led by a rebound in consumption, particularly services, as restrictions were further eased and higher vaccination rates improved confidence. Persistent supply bottlenecks continued to inhibit growth in other components of GDP, including non-commodity exports and business investment.

Recent economic indicators suggest the economy had considerable momentum into the fourth quarter. This includes broad-based job gains in recent months that have brought the employment rate essentially back to its pre-pandemic level. Job vacancies remain elevated and wage growth has also picked up. Housing activity had been moderating, but appears to be regaining strength, notably in resales. The devastating floods in British Columbia and uncertainties arising from the Omicron variant could weigh on growth by compounding supply chain disruptions and reducing demand for some services.

CPI inflation is elevated and the impact of global supply constraints is feeding through to a broader range of goods prices. The effects of these constraints on prices will likely take some time to work their way through, given existing supply backlogs. Gasoline prices, which had been a major factor pushing up CPI inflation, have recently declined. Meanwhile, core measures of inflation are little changed since September. The Bank continues to expect CPI inflation to remain elevated in the first half of 2022 and ease back towards 2 percent in the second half of the year. The Bank is closely watching inflation expectations and labour costs to ensure that the forces pushing up prices do not become embedded in ongoing inflation.

The Governing Council judges that in view of ongoing excess capacity, the economy continues to require considerable monetary policy support. We remain committed to holding the policy interest rate at the effective lower bound until economic slack is absorbed so that the 2 percent inflation target is sustainably achieved. In the Bank’s October projection, this happens sometime in the middle quarters of 2022. We will provide the appropriate degree of monetary policy stimulus to support the recovery and achieve the inflation target.

PerpetualDiscounts now yield 4.85%, equivalent to 6.30% interest at the standard equivalency factor of 1.3x. Long corporates now yield 3.50%, so the pre-tax interest-equivalent spread (in this context, the “Seniority Spread”) has remained steady at the 280bp reported November 24.

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 3.08 % 3.58 % 49,814 19.98 1 0.0000 % 2,834.8
FixedFloater 0.00 % 0.00 % 0 0.00 0 2.1427 % 5,196.5
Floater 3.07 % 3.09 % 82,433 19.42 3 2.1427 % 2,994.8
OpRet 0.00 % 0.00 % 0 0.00 0 0.3898 % 3,677.9
SplitShare 4.66 % 4.17 % 50,186 3.81 5 0.3898 % 4,392.2
Interest-Bearing 0.00 % 0.00 % 0 0.00 0 0.3898 % 3,426.9
Perpetual-Premium 5.16 % 1.45 % 46,112 0.09 28 -0.2220 % 3,241.7
Perpetual-Discount 4.74 % 4.85 % 63,115 15.67 6 0.0752 % 3,821.9
FixedReset Disc 3.98 % 4.06 % 124,717 17.28 37 -0.1769 % 2,775.4
Insurance Straight 4.99 % 4.54 % 96,445 4.01 20 0.0000 % 3,638.1
FloatingReset 2.47 % 2.80 % 28,840 20.27 2 1.8419 % 2,782.4
FixedReset Prem 4.71 % 3.81 % 116,561 2.46 33 -0.0084 % 2,713.5
FixedReset Bank Non 0.00 % 0.00 % 0 0.00 0 -0.1769 % 2,837.0
FixedReset Ins Non 4.14 % 3.89 % 94,933 17.22 19 -0.4228 % 2,915.0
Performance Highlights
Issue Index Change Notes
CIU.PR.A Perpetual-Premium -5.97 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-12-08
Maturity Price : 22.10
Evaluated at bid price : 22.38
Bid-YTW : 5.16 %
BAM.PF.G FixedReset Disc -4.56 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-12-08
Maturity Price : 21.71
Evaluated at bid price : 22.00
Bid-YTW : 4.62 %
TRP.PR.B FixedReset Disc -3.75 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-12-08
Maturity Price : 13.33
Evaluated at bid price : 13.33
Bid-YTW : 4.64 %
MFC.PR.F FixedReset Ins Non -3.12 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-12-08
Maturity Price : 18.02
Evaluated at bid price : 18.02
Bid-YTW : 3.74 %
FTS.PR.K FixedReset Disc -3.07 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-12-08
Maturity Price : 20.50
Evaluated at bid price : 20.50
Bid-YTW : 4.27 %
SLF.PR.G FixedReset Ins Non -2.86 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-12-08
Maturity Price : 17.00
Evaluated at bid price : 17.00
Bid-YTW : 3.85 %
BAM.PF.E FixedReset Disc -2.35 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-12-08
Maturity Price : 20.75
Evaluated at bid price : 20.75
Bid-YTW : 4.72 %
TRP.PR.A FixedReset Disc -2.30 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-12-08
Maturity Price : 17.40
Evaluated at bid price : 17.40
Bid-YTW : 4.78 %
RY.PR.M FixedReset Disc -2.10 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-12-08
Maturity Price : 22.74
Evaluated at bid price : 23.74
Bid-YTW : 3.95 %
MFC.PR.I FixedReset Ins Non -1.79 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-12-08
Maturity Price : 24.21
Evaluated at bid price : 24.70
Bid-YTW : 4.27 %
MFC.PR.M FixedReset Ins Non -1.76 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-12-08
Maturity Price : 22.37
Evaluated at bid price : 22.90
Bid-YTW : 4.06 %
RY.PR.J FixedReset Disc -1.25 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-12-08
Maturity Price : 22.77
Evaluated at bid price : 23.70
Bid-YTW : 4.13 %
BAM.PR.Z FixedReset Prem -1.11 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-12-08
Maturity Price : 23.48
Evaluated at bid price : 24.00
Bid-YTW : 4.58 %
BAM.PF.B FixedReset Disc 1.31 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-12-08
Maturity Price : 22.65
Evaluated at bid price : 23.20
Bid-YTW : 4.41 %
NA.PR.S FixedReset Disc 1.53 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-12-08
Maturity Price : 23.30
Evaluated at bid price : 24.52
Bid-YTW : 3.82 %
PWF.PR.T FixedReset Disc 1.61 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-12-08
Maturity Price : 23.12
Evaluated at bid price : 24.00
Bid-YTW : 3.93 %
BAM.PR.X FixedReset Disc 1.67 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-12-08
Maturity Price : 17.64
Evaluated at bid price : 17.64
Bid-YTW : 4.55 %
TD.PF.D FixedReset Disc 1.88 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-12-08
Maturity Price : 23.04
Evaluated at bid price : 24.35
Bid-YTW : 4.04 %
TRP.PR.F FloatingReset 3.45 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-12-08
Maturity Price : 17.38
Evaluated at bid price : 17.38
Bid-YTW : 2.80 %
BAM.PR.B Floater 5.66 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-12-08
Maturity Price : 14.00
Evaluated at bid price : 14.00
Bid-YTW : 3.09 %
Volume Highlights
Issue Index Shares
Traded
Notes
GWO.PR.Y Insurance Straight 116,050 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-12-08
Maturity Price : 24.32
Evaluated at bid price : 24.70
Bid-YTW : 4.54 %
PWF.PR.Z Perpetual-Premium 82,000 YTW SCENARIO
Maturity Type : Call
Maturity Date : 2025-07-31
Maturity Price : 25.25
Evaluated at bid price : 26.20
Bid-YTW : 4.16 %
PWF.PR.F Perpetual-Premium 76,338 YTW SCENARIO
Maturity Type : Call
Maturity Date : 2022-01-07
Maturity Price : 25.00
Evaluated at bid price : 25.52
Bid-YTW : -12.80 %
POW.PR.G Perpetual-Premium 75,000 YTW SCENARIO
Maturity Type : Call
Maturity Date : 2022-01-07
Maturity Price : 25.00
Evaluated at bid price : 25.65
Bid-YTW : -15.07 %
BNS.PR.I FixedReset Prem 71,700 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-12-08
Maturity Price : 23.75
Evaluated at bid price : 25.61
Bid-YTW : 3.73 %
PWF.PF.A Perpetual-Discount 61,400 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-12-08
Maturity Price : 24.40
Evaluated at bid price : 24.80
Bid-YTW : 4.58 %
There were 34 other index-included issues trading in excess of 10,000 shares.
Wide Spread Highlights
Issue Index Quote Data and Yield Notes
TRP.PR.G FixedReset Disc Quote: 12.17 – 23.20
Spot Rate : 11.0300
Average : 9.4783

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-12-08
Maturity Price : 12.17
Evaluated at bid price : 12.17
Bid-YTW : 8.38 %

CIU.PR.A Perpetual-Premium Quote: 22.38 – 24.85
Spot Rate : 2.4700
Average : 1.6178

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-12-08
Maturity Price : 22.10
Evaluated at bid price : 22.38
Bid-YTW : 5.16 %

BAM.PF.G FixedReset Disc Quote: 22.00 – 23.40
Spot Rate : 1.4000
Average : 0.9433

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-12-08
Maturity Price : 21.71
Evaluated at bid price : 22.00
Bid-YTW : 4.62 %

MFC.PR.M FixedReset Ins Non Quote: 22.90 – 23.85
Spot Rate : 0.9500
Average : 0.5984

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-12-08
Maturity Price : 22.37
Evaluated at bid price : 22.90
Bid-YTW : 4.06 %

BAM.PF.E FixedReset Disc Quote: 20.75 – 21.75
Spot Rate : 1.0000
Average : 0.7175

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-12-08
Maturity Price : 20.75
Evaluated at bid price : 20.75
Bid-YTW : 4.72 %

SLF.PR.G FixedReset Ins Non Quote: 17.00 – 18.00
Spot Rate : 1.0000
Average : 0.7206

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-12-08
Maturity Price : 17.00
Evaluated at bid price : 17.00
Bid-YTW : 3.85 %

Issue Comments

ECN Downgraded by DBRS to Pfd-4(high)

DBRS has announced that it:

downgraded the ratings of ECN Capital Corp. (ECN or the Company), including the Company’s Long-Term Issuer Rating to BB (high) and Preferred Shares Rating to Pfd-4 (high). The trend for the ratings is Stable. The rating actions follow the Company’s sale of its Service Finance Company, LLC (Service Finance) business to Truist Bank. The Intrinsic Assessment (IA) for ECN is BB (high) and the Support Assessment is SA3, resulting in the Company’s Long-Term Issuer Rating being equalized with the IA. With these rating actions, ECN’s ratings are removed from Under Review with Negative Implications, where they were placed on August 11, 2021.

KEY RATING CONSIDERATIONS
The ratings downgrade considers the impact of the sale of Service Finance on ECN’s credit fundamentals, including its franchise strength, and earnings generation. With the sale of Service Finance, the Company’s scope of operations and product/services diversity has moderated, increasing ECN’s susceptibility to business and economic downturns. Additionally, the loss of Service Finance’s earning contributions reduces ECN’s earnings capacity, organic capital generation, and to a degree, the Company’s ability to absorb unexpected future losses. The ratings also consider the Company’s ongoing solidly run, asset light businesses, Triad Financial Services, Inc. (Triad) and Kessler Financial Services LLC (Kessler), which are both leaders in their respective niche sectors and contribute to ECN’s satisfactory earnings generation. The Company’s ratings also reflect ECN’s sound credit position, as well as its solid funding and acceptable capital profiles.

The Stable trend, reflects our view that the Company’s credit fundamentals will remain satisfactory, despite the potential for Coronavirus Disease (COVID-19) pandemic related flareups. We expect some moderation in housing demand in 2022, but expect Triad to generate good operating performance as demand for manufactured housing will continue to be supported by affordability issues in the U.S. housing market as well as Triad’s top tier market position. The Stable trend also considers our expectations that Kessler will continue to generate solid results in 2022, especially as marketing services and transaction services benefit from increasing client activity and new partner programs are brought on board, including improving traction with the Company’s Credit Card Investment Management platform.

RATING DRIVERS
A more diverse product mix along with sustained improvements in adjusted profitability and statutory earnings, while maintaining disciplined capital management and risk aversion, would result in an upgrade of the ratings.

Should capital levels not match the Company’s risk position, credit risk on the balance sheet become more pronounced, or if there were partner funding disruptions, the ratings would be downgraded.

RATING RATIONALE
With the sale of Service Finance, ECN’s franchise fundamentals have somewhat weakened, as the transaction reduces the Company’s scope of business, product/services diversity, and to a degree its growth potential. As such, we view ECN as being more prone to negative macroeconomic conditions. Nonetheless, the Company’s ongoing franchise reflects two businesses that are leaders in their respective sectors, including Triad, which provides manufactured home loans and home – land loans, and Kessler, a manager, adviser and structuring partner to credit card issuers, banks, credit unions, and payment networks. The Company’s ratings also consider ECN’s solid management team, which has considerable experience and deep industry knowledge.

Capital is acceptable for its rating level, and we anticipate that ECN will continue to maintain appropriate capital levels to match its risk position. That said, capital generation has somewhat moderated with the sale of Service Finance. Finally, we note that the gains from the sale of Service Finance will be distributed to common shareholders.

Affected issues are ECN.PR.A and ECN.PR.C. Note that ECN.PR.A has been called for redemption.

Market Action

December 7, 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 3.08 % 3.58 % 51,741 19.98 1 5.1241 % 2,834.8
FixedFloater 0.00 % 0.00 % 0 0.00 0 2.3424 % 5,087.5
Floater 3.13 % 3.11 % 83,720 19.37 3 2.3424 % 2,931.9
OpRet 0.00 % 0.00 % 0 0.00 0 -0.0351 % 3,663.6
SplitShare 4.68 % 4.29 % 50,782 3.81 5 -0.0351 % 4,375.1
Interest-Bearing 0.00 % 0.00 % 0 0.00 0 -0.0351 % 3,413.6
Perpetual-Premium 5.15 % -0.74 % 46,035 0.09 28 0.0239 % 3,249.0
Perpetual-Discount 4.74 % 4.88 % 65,740 15.61 6 0.7994 % 3,819.0
FixedReset Disc 3.97 % 4.07 % 124,479 17.37 37 -1.0212 % 2,780.3
Insurance Straight 4.99 % 4.51 % 93,461 4.01 20 0.8432 % 3,638.1
FloatingReset 2.52 % 2.13 % 38,415 22.14 2 -0.7665 % 2,732.0
FixedReset Prem 4.71 % 3.85 % 117,226 2.46 33 0.4258 % 2,713.7
FixedReset Bank Non 0.00 % 0.00 % 0 0.00 0 -1.0212 % 2,842.1
FixedReset Ins Non 4.12 % 3.82 % 94,293 17.25 19 0.4499 % 2,927.4
Performance Highlights
Issue Index Change Notes
TRP.PR.G FixedReset Disc -46.62 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-12-07
Maturity Price : 12.17
Evaluated at bid price : 12.17
Bid-YTW : 8.38 %
FTS.PR.H FixedReset Disc -2.29 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-12-07
Maturity Price : 16.25
Evaluated at bid price : 16.25
Bid-YTW : 4.10 %
TRP.PR.F FloatingReset -2.15 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-12-07
Maturity Price : 16.80
Evaluated at bid price : 16.80
Bid-YTW : 2.89 %
TD.PF.M FixedReset Prem -1.31 % YTW SCENARIO
Maturity Type : Call
Maturity Date : 2024-07-31
Maturity Price : 25.00
Evaluated at bid price : 26.30
Bid-YTW : 3.26 %
RY.PR.J FixedReset Disc -1.23 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-12-07
Maturity Price : 22.91
Evaluated at bid price : 24.00
Bid-YTW : 4.07 %
BAM.PR.C Floater 1.02 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-12-07
Maturity Price : 13.92
Evaluated at bid price : 13.92
Bid-YTW : 3.11 %
NA.PR.E FixedReset Prem 1.02 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-12-07
Maturity Price : 23.66
Evaluated at bid price : 24.76
Bid-YTW : 3.99 %
MFC.PR.B Insurance Straight 1.02 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-12-07
Maturity Price : 24.46
Evaluated at bid price : 24.70
Bid-YTW : 4.71 %
BAM.PF.A FixedReset Prem 1.02 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-12-07
Maturity Price : 23.50
Evaluated at bid price : 24.65
Bid-YTW : 4.41 %
RY.PR.M FixedReset Disc 1.04 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-12-07
Maturity Price : 22.97
Evaluated at bid price : 24.25
Bid-YTW : 3.84 %
BMO.PR.E FixedReset Prem 1.05 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-12-07
Maturity Price : 23.63
Evaluated at bid price : 25.11
Bid-YTW : 4.04 %
MFC.PR.K FixedReset Ins Non 1.05 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-12-07
Maturity Price : 23.59
Evaluated at bid price : 23.95
Bid-YTW : 3.81 %
BIP.PR.A FixedReset Prem 1.06 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-12-07
Maturity Price : 22.78
Evaluated at bid price : 23.75
Bid-YTW : 4.94 %
SLF.PR.G FixedReset Ins Non 1.16 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-12-07
Maturity Price : 17.50
Evaluated at bid price : 17.50
Bid-YTW : 3.74 %
TD.PF.C FixedReset Disc 1.17 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-12-07
Maturity Price : 23.06
Evaluated at bid price : 24.23
Bid-YTW : 3.73 %
TRP.PR.C FixedReset Disc 1.35 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-12-07
Maturity Price : 15.00
Evaluated at bid price : 15.00
Bid-YTW : 4.54 %
BAM.PR.R FixedReset Disc 1.48 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-12-07
Maturity Price : 19.95
Evaluated at bid price : 19.95
Bid-YTW : 4.54 %
BAM.PF.G FixedReset Disc 1.54 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-12-07
Maturity Price : 22.41
Evaluated at bid price : 23.05
Bid-YTW : 4.39 %
BAM.PF.J FixedReset Prem 1.79 % YTW SCENARIO
Maturity Type : Call
Maturity Date : 2022-12-31
Maturity Price : 25.00
Evaluated at bid price : 25.65
Bid-YTW : 3.12 %
MFC.PR.I FixedReset Ins Non 1.82 % YTW SCENARIO
Maturity Type : Call
Maturity Date : 2022-09-19
Maturity Price : 25.00
Evaluated at bid price : 25.15
Bid-YTW : 3.41 %
TD.PF.E FixedReset Prem 2.08 % YTW SCENARIO
Maturity Type : Call
Maturity Date : 2025-10-31
Maturity Price : 25.00
Evaluated at bid price : 24.50
Bid-YTW : 3.91 %
MFC.PR.F FixedReset Ins Non 2.48 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-12-07
Maturity Price : 18.60
Evaluated at bid price : 18.60
Bid-YTW : 3.62 %
TRP.PR.B FixedReset Disc 3.13 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-12-07
Maturity Price : 13.85
Evaluated at bid price : 13.85
Bid-YTW : 4.47 %
CU.PR.G Perpetual-Discount 3.87 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-12-07
Maturity Price : 23.61
Evaluated at bid price : 23.89
Bid-YTW : 4.72 %
BAM.PR.E Ratchet 5.12 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-12-07
Maturity Price : 25.00
Evaluated at bid price : 19.90
Bid-YTW : 3.58 %
BAM.PR.X FixedReset Disc 5.15 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-12-07
Maturity Price : 17.35
Evaluated at bid price : 17.35
Bid-YTW : 4.63 %
BAM.PR.K Floater 6.11 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-12-07
Maturity Price : 13.90
Evaluated at bid price : 13.90
Bid-YTW : 3.11 %
IFC.PR.E Insurance Straight 15.73 % YTW SCENARIO
Maturity Type : Call
Maturity Date : 2026-06-30
Maturity Price : 25.00
Evaluated at bid price : 25.75
Bid-YTW : 4.73 %
Volume Highlights
Issue Index Shares
Traded
Notes
SLF.PR.I FixedReset Ins Non 125,700 YTW SCENARIO
Maturity Type : Call
Maturity Date : 2022-01-30
Maturity Price : 25.00
Evaluated at bid price : 24.97
Bid-YTW : 2.94 %
MFC.PR.K FixedReset Ins Non 63,900 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-12-07
Maturity Price : 23.59
Evaluated at bid price : 23.95
Bid-YTW : 3.81 %
GWO.PR.F Insurance Straight 54,706 YTW SCENARIO
Maturity Type : Call
Maturity Date : 2022-01-06
Maturity Price : 25.00
Evaluated at bid price : 24.97
Bid-YTW : 2.66 %
CM.PR.O FixedReset Disc 39,600 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-12-07
Maturity Price : 23.03
Evaluated at bid price : 24.00
Bid-YTW : 3.82 %
BAM.PR.X FixedReset Disc 28,300 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-12-07
Maturity Price : 17.35
Evaluated at bid price : 17.35
Bid-YTW : 4.63 %
FTS.PR.H FixedReset Disc 27,400 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-12-07
Maturity Price : 16.25
Evaluated at bid price : 16.25
Bid-YTW : 4.10 %
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.G FixedReset Disc Quote: 12.17 – 23.15
Spot Rate : 10.9800
Average : 7.7770

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-12-07
Maturity Price : 12.17
Evaluated at bid price : 12.17
Bid-YTW : 8.38 %

GWO.PR.N FixedReset Ins Non Quote: 16.50 – 17.52
Spot Rate : 1.0200
Average : 0.6984

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-12-07
Maturity Price : 16.50
Evaluated at bid price : 16.50
Bid-YTW : 3.77 %

PVS.PR.I SplitShare Quote: 25.25 – 26.25
Spot Rate : 1.0000
Average : 0.7294

YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-10-31
Maturity Price : 25.00
Evaluated at bid price : 25.25
Bid-YTW : 4.49 %

TRP.PR.E FixedReset Disc Quote: 20.52 – 21.59
Spot Rate : 1.0700
Average : 0.8211

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-12-07
Maturity Price : 20.52
Evaluated at bid price : 20.52
Bid-YTW : 4.59 %

TRP.PR.F FloatingReset Quote: 16.80 – 18.50
Spot Rate : 1.7000
Average : 1.4580

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-12-07
Maturity Price : 16.80
Evaluated at bid price : 16.80
Bid-YTW : 2.89 %

SLF.PR.H FixedReset Ins Non Quote: 22.12 – 22.80
Spot Rate : 0.6800
Average : 0.4422

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-12-07
Maturity Price : 21.73
Evaluated at bid price : 22.12
Bid-YTW : 3.82 %

Market Action

December 6, 2021

This is worth highlighting … How the Wealth Was Won: Factors Shares as Market Fundamentals by Daniel L. Greenwald, Martin Lettau, and Sydney C. Ludvigson, NBER Working Paper No. 25769:

Why do stocks rise and fall? From 1989 to 2017, $34 trillion of real equity wealth (2017:Q4 dollars) was created by the U.S. corporate sector. We estimate that 44% of this increase was attributable to a reallocation of rewards to shareholders in a decelerating economy, primarily at the expense of labor compensation. Economic growth accounted for just 25%, followed by a lower risk price (18%), and lower interest rates (14%). The period 1952 to 1988 experienced less than one third of the growth in market equity, but economic growth accounted for more than 100% of it.

One last trip to the trough for the Baby Boomers? Or is that real estate?

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 3.24 % 3.83 % 51,452 19.69 1 -0.3684 % 2,696.7
FixedFloater 0.00 % 0.00 % 0 0.00 0 -2.2173 % 4,971.0
Floater 3.21 % 3.27 % 84,976 18.99 3 -2.2173 % 2,864.8
OpRet 0.00 % 0.00 % 0 0.00 0 -0.3805 % 3,664.9
SplitShare 4.68 % 4.21 % 51,457 3.81 5 -0.3805 % 4,376.6
Interest-Bearing 0.00 % 0.00 % 0 0.00 0 -0.3805 % 3,414.8
Perpetual-Premium 5.15 % 1.00 % 43,078 0.09 28 0.1252 % 3,248.2
Perpetual-Discount 4.78 % 4.89 % 65,999 15.62 6 -0.6572 % 3,788.7
FixedReset Disc 3.93 % 4.06 % 125,415 17.32 37 1.8337 % 2,809.0
Insurance Straight 5.03 % 4.52 % 92,315 13.86 20 -0.4658 % 3,607.7
FloatingReset 2.50 % 2.83 % 30,007 20.19 2 -0.9635 % 2,753.1
FixedReset Prem 4.73 % 3.98 % 117,610 3.64 33 0.0662 % 2,702.2
FixedReset Bank Non 0.00 % 0.00 % 0 0.00 0 1.8337 % 2,871.4
FixedReset Ins Non 4.14 % 3.92 % 92,616 17.24 19 -0.0069 % 2,914.3
Performance Highlights
Issue Index Change Notes
IFC.PR.E Insurance Straight -12.47 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-12-06
Maturity Price : 21.95
Evaluated at bid price : 22.25
Bid-YTW : 5.95 %
BAM.PR.K Floater -5.76 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-12-06
Maturity Price : 13.10
Evaluated at bid price : 13.10
Bid-YTW : 3.31 %
BAM.PR.X FixedReset Disc -5.61 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-12-06
Maturity Price : 16.50
Evaluated at bid price : 16.50
Bid-YTW : 4.87 %
CU.PR.G Perpetual-Discount -3.56 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-12-06
Maturity Price : 22.72
Evaluated at bid price : 23.00
Bid-YTW : 4.91 %
IFC.PR.A FixedReset Ins Non -1.77 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-12-06
Maturity Price : 19.93
Evaluated at bid price : 19.93
Bid-YTW : 3.96 %
BAM.PF.J FixedReset Prem -1.75 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-12-06
Maturity Price : 23.97
Evaluated at bid price : 25.20
Bid-YTW : 4.72 %
RS.PR.A SplitShare -1.67 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-12-31
Maturity Price : 10.00
Evaluated at bid price : 10.57
Bid-YTW : 4.00 %
SLF.PR.J FloatingReset -1.47 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-12-06
Maturity Price : 16.75
Evaluated at bid price : 16.75
Bid-YTW : 2.14 %
SLF.PR.G FixedReset Ins Non -1.14 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-12-06
Maturity Price : 17.30
Evaluated at bid price : 17.30
Bid-YTW : 3.78 %
FTS.PR.F Perpetual-Premium 1.01 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-12-06
Maturity Price : 24.68
Evaluated at bid price : 25.00
Bid-YTW : 4.92 %
GWO.PR.Y Insurance Straight 1.06 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-12-06
Maturity Price : 24.38
Evaluated at bid price : 24.76
Bid-YTW : 4.53 %
BMO.PR.Y FixedReset Disc 1.16 % YTW SCENARIO
Maturity Type : Call
Maturity Date : 2025-08-25
Maturity Price : 25.00
Evaluated at bid price : 24.38
Bid-YTW : 3.82 %
TRP.PR.E FixedReset Disc 1.29 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-12-06
Maturity Price : 20.42
Evaluated at bid price : 20.42
Bid-YTW : 4.62 %
TRP.PR.B FixedReset Disc 1.36 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-12-06
Maturity Price : 13.43
Evaluated at bid price : 13.43
Bid-YTW : 4.61 %
NA.PR.C FixedReset Prem 1.41 % YTW SCENARIO
Maturity Type : Call
Maturity Date : 2022-11-15
Maturity Price : 25.00
Evaluated at bid price : 25.25
Bid-YTW : 3.67 %
NA.PR.G FixedReset Prem 1.53 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-12-06
Maturity Price : 23.67
Evaluated at bid price : 25.18
Bid-YTW : 4.12 %
GWO.PR.T Insurance Straight 1.57 % YTW SCENARIO
Maturity Type : Call
Maturity Date : 2025-06-30
Maturity Price : 25.25
Evaluated at bid price : 25.90
Bid-YTW : 4.24 %
TD.PF.J FixedReset Prem 1.62 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-12-06
Maturity Price : 23.78
Evaluated at bid price : 25.04
Bid-YTW : 4.07 %
MFC.PR.F FixedReset Ins Non 1.68 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-12-06
Maturity Price : 18.15
Evaluated at bid price : 18.15
Bid-YTW : 3.71 %
PWF.PR.S Perpetual-Premium 1.80 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-12-06
Maturity Price : 24.58
Evaluated at bid price : 24.85
Bid-YTW : 4.87 %
TD.PF.D FixedReset Disc 2.07 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-12-06
Maturity Price : 22.95
Evaluated at bid price : 24.13
Bid-YTW : 4.08 %
TRP.PR.C FixedReset Disc 2.99 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-12-06
Maturity Price : 14.80
Evaluated at bid price : 14.80
Bid-YTW : 4.60 %
CM.PR.O FixedReset Disc 3.46 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-12-06
Maturity Price : 22.98
Evaluated at bid price : 23.90
Bid-YTW : 3.84 %
RY.PR.J FixedReset Disc 4.07 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-12-06
Maturity Price : 23.04
Evaluated at bid price : 24.30
Bid-YTW : 4.00 %
BAM.PR.R FixedReset Disc 5.76 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-12-06
Maturity Price : 19.66
Evaluated at bid price : 19.66
Bid-YTW : 4.61 %
TRP.PR.G FixedReset Disc 87.35 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-12-06
Maturity Price : 22.22
Evaluated at bid price : 22.80
Bid-YTW : 4.50 %
Volume Highlights
Issue Index Shares
Traded
Notes
SLF.PR.I FixedReset Ins Non 103,300 YTW SCENARIO
Maturity Type : Call
Maturity Date : 2022-01-30
Maturity Price : 25.00
Evaluated at bid price : 24.97
Bid-YTW : 2.89 %
BAM.PR.X FixedReset Disc 88,990 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-12-06
Maturity Price : 16.50
Evaluated at bid price : 16.50
Bid-YTW : 4.87 %
GWO.PR.Y Insurance Straight 51,131 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-12-06
Maturity Price : 24.38
Evaluated at bid price : 24.76
Bid-YTW : 4.53 %
BAM.PF.I FixedReset Prem 39,700 YTW SCENARIO
Maturity Type : Call
Maturity Date : 2022-03-31
Maturity Price : 25.00
Evaluated at bid price : 25.31
Bid-YTW : 3.73 %
TD.PF.J FixedReset Prem 29,619 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-12-06
Maturity Price : 23.78
Evaluated at bid price : 25.04
Bid-YTW : 4.07 %
NA.PR.E FixedReset Prem 28,992 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-12-06
Maturity Price : 24.15
Evaluated at bid price : 24.51
Bid-YTW : 4.08 %
There were 20 other index-included issues trading in excess of 10,000 shares.
Wide Spread Highlights
Issue Index Quote Data and Yield Notes
IFC.PR.E Insurance Straight Quote: 22.25 – 26.14
Spot Rate : 3.8900
Average : 2.7609

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-12-06
Maturity Price : 21.95
Evaluated at bid price : 22.25
Bid-YTW : 5.95 %

CIU.PR.A Perpetual-Premium Quote: 23.80 – 25.20
Spot Rate : 1.4000
Average : 0.8847

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-12-06
Maturity Price : 23.53
Evaluated at bid price : 23.80
Bid-YTW : 4.85 %

BAM.PR.X FixedReset Disc Quote: 16.50 – 17.99
Spot Rate : 1.4900
Average : 1.1048

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-12-06
Maturity Price : 16.50
Evaluated at bid price : 16.50
Bid-YTW : 4.87 %

BAM.PR.K Floater Quote: 13.10 – 14.30
Spot Rate : 1.2000
Average : 0.8399

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-12-06
Maturity Price : 13.10
Evaluated at bid price : 13.10
Bid-YTW : 3.31 %

NA.PR.E FixedReset Prem Quote: 24.51 – 25.30
Spot Rate : 0.7900
Average : 0.4940

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-12-06
Maturity Price : 24.15
Evaluated at bid price : 24.51
Bid-YTW : 4.08 %

CU.PR.G Perpetual-Discount Quote: 23.00 – 24.00
Spot Rate : 1.0000
Average : 0.7188

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-12-06
Maturity Price : 22.72
Evaluated at bid price : 23.00
Bid-YTW : 4.91 %