Market Action

January 14, 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 -0.7075 % 1,981.0
FixedFloater 0.00 % 0.00 % 0 0.00 0 -0.7075 % 3,635.1
Floater 4.36 % 4.40 % 48,188 16.63 3 -0.7075 % 2,094.9
OpRet 0.00 % 0.00 % 0 0.00 0 -0.0683 % 3,632.2
SplitShare 4.70 % 4.38 % 40,592 3.75 8 -0.0683 % 4,337.6
Interest-Bearing 0.00 % 0.00 % 0 0.00 0 -0.0683 % 3,384.4
Perpetual-Premium 5.34 % -8.23 % 66,029 0.09 18 0.1043 % 3,234.1
Perpetual-Discount 5.00 % 5.04 % 68,460 15.41 13 0.0601 % 3,697.1
FixedReset Disc 4.95 % 3.83 % 130,874 17.44 57 0.2146 % 2,372.3
Insurance Straight 5.05 % 4.84 % 83,657 15.33 22 0.1049 % 3,559.6
FloatingReset 2.52 % 0.60 % 28,008 0.13 3 -0.5379 % 1,895.0
FixedReset Prem 5.14 % 3.12 % 209,174 1.01 20 0.1380 % 2,692.6
FixedReset Bank Non 1.93 % 1.91 % 188,654 1.03 2 0.0600 % 2,885.5
FixedReset Ins Non 4.94 % 3.78 % 90,008 17.46 22 -0.7508 % 2,465.8
Performance Highlights
Issue Index Change Notes
IFC.PR.C FixedReset Ins Non -20.25 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-01-14
Maturity Price : 16.15
Evaluated at bid price : 16.15
Bid-YTW : 4.85 %
MFC.PR.I FixedReset Ins Non -1.78 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-01-14
Maturity Price : 21.67
Evaluated at bid price : 22.10
Bid-YTW : 3.83 %
TD.PF.J FixedReset Disc -1.52 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-01-14
Maturity Price : 22.30
Evaluated at bid price : 22.65
Bid-YTW : 3.63 %
TRP.PR.F FloatingReset -1.44 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-01-14
Maturity Price : 11.60
Evaluated at bid price : 11.60
Bid-YTW : 4.30 %
IFC.PR.A FixedReset Ins Non -1.30 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-01-14
Maturity Price : 15.20
Evaluated at bid price : 15.20
Bid-YTW : 3.77 %
IFC.PR.G FixedReset Ins Non -1.22 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-01-14
Maturity Price : 20.30
Evaluated at bid price : 20.30
Bid-YTW : 4.00 %
BAM.PR.B Floater -1.21 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-01-14
Maturity Price : 9.82
Evaluated at bid price : 9.82
Bid-YTW : 4.40 %
BAM.PF.E FixedReset Disc -1.20 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-01-14
Maturity Price : 16.50
Evaluated at bid price : 16.50
Bid-YTW : 4.77 %
IAF.PR.G FixedReset Ins Non -1.15 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-01-14
Maturity Price : 21.50
Evaluated at bid price : 21.50
Bid-YTW : 3.89 %
BAM.PR.X FixedReset Disc 1.01 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-01-14
Maturity Price : 12.99
Evaluated at bid price : 12.99
Bid-YTW : 4.41 %
SLF.PR.H FixedReset Ins Non 1.08 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-01-14
Maturity Price : 18.70
Evaluated at bid price : 18.70
Bid-YTW : 3.52 %
IAF.PR.I FixedReset Ins Non 1.33 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-01-14
Maturity Price : 21.69
Evaluated at bid price : 22.14
Bid-YTW : 3.79 %
PWF.PR.T FixedReset Disc 1.35 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-01-14
Maturity Price : 18.75
Evaluated at bid price : 18.75
Bid-YTW : 4.04 %
MFC.PR.K FixedReset Ins Non 1.53 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-01-14
Maturity Price : 19.29
Evaluated at bid price : 19.29
Bid-YTW : 3.78 %
MFC.PR.F FixedReset Ins Non 1.61 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-01-14
Maturity Price : 12.66
Evaluated at bid price : 12.66
Bid-YTW : 3.69 %
MFC.PR.L FixedReset Ins Non 1.90 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-01-14
Maturity Price : 18.74
Evaluated at bid price : 18.74
Bid-YTW : 3.77 %
CM.PR.O FixedReset Disc 2.26 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-01-14
Maturity Price : 19.44
Evaluated at bid price : 19.44
Bid-YTW : 3.79 %
MFC.PR.G FixedReset Ins Non 3.16 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-01-14
Maturity Price : 22.15
Evaluated at bid price : 22.85
Bid-YTW : 3.65 %
TRP.PR.B FixedReset Disc 7.03 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-01-14
Maturity Price : 9.90
Evaluated at bid price : 9.90
Bid-YTW : 4.36 %
Volume Highlights
Issue Index Shares
Traded
Notes
TD.PF.H FixedReset Prem 126,160 YTW SCENARIO
Maturity Type : Call
Maturity Date : 2021-10-31
Maturity Price : 25.00
Evaluated at bid price : 25.41
Bid-YTW : 2.49 %
TD.PF.G FixedReset Prem 119,765 YTW SCENARIO
Maturity Type : Call
Maturity Date : 2021-04-30
Maturity Price : 25.00
Evaluated at bid price : 25.16
Bid-YTW : 2.35 %
BMO.PR.B FixedReset Prem 64,351 YTW SCENARIO
Maturity Type : Call
Maturity Date : 2022-02-25
Maturity Price : 25.00
Evaluated at bid price : 25.70
Bid-YTW : 2.91 %
TRP.PR.K FixedReset Disc 58,581 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-01-14
Maturity Price : 23.77
Evaluated at bid price : 25.00
Bid-YTW : 4.89 %
TRP.PR.B FixedReset Disc 52,000 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-01-14
Maturity Price : 9.90
Evaluated at bid price : 9.90
Bid-YTW : 4.36 %
SLF.PR.H FixedReset Ins Non 46,636 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-01-14
Maturity Price : 18.70
Evaluated at bid price : 18.70
Bid-YTW : 3.52 %
There were 27 other index-included issues trading in excess of 10,000 shares.
Wide Spread Highlights
Issue Index Quote Data and Yield Notes
MFC.PR.M FixedReset Ins Non Quote: 19.95 – 23.80
Spot Rate : 3.8500
Average : 2.1096

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-01-14
Maturity Price : 19.95
Evaluated at bid price : 19.95
Bid-YTW : 3.79 %

IFC.PR.C FixedReset Ins Non Quote: 16.15 – 20.23
Spot Rate : 4.0800
Average : 2.5453

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-01-14
Maturity Price : 16.15
Evaluated at bid price : 16.15
Bid-YTW : 4.85 %

RY.PR.M FixedReset Disc Quote: 21.35 – 25.50
Spot Rate : 4.1500
Average : 2.7491

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-01-14
Maturity Price : 21.35
Evaluated at bid price : 21.35
Bid-YTW : 3.61 %

BIP.PR.A FixedReset Disc Quote: 19.55 – 20.90
Spot Rate : 1.3500
Average : 0.8151

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-01-14
Maturity Price : 19.55
Evaluated at bid price : 19.55
Bid-YTW : 5.15 %

IAF.PR.G FixedReset Ins Non Quote: 21.50 – 22.64
Spot Rate : 1.1400
Average : 0.7101

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-01-14
Maturity Price : 21.50
Evaluated at bid price : 21.50
Bid-YTW : 3.89 %

MFC.PR.L FixedReset Ins Non Quote: 18.74 – 19.70
Spot Rate : 0.9600
Average : 0.6629

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-01-14
Maturity Price : 18.74
Evaluated at bid price : 18.74
Bid-YTW : 3.77 %

Market Action

January 13, 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 0.9181 % 1,995.1
FixedFloater 0.00 % 0.00 % 0 0.00 0 0.9181 % 3,661.0
Floater 4.33 % 4.37 % 49,633 16.70 3 0.9181 % 2,109.8
OpRet 0.00 % 0.00 % 0 0.00 0 0.0781 % 3,634.6
SplitShare 4.70 % 4.43 % 40,899 4.23 8 0.0781 % 4,340.5
Interest-Bearing 0.00 % 0.00 % 0 0.00 0 0.0781 % 3,386.7
Perpetual-Premium 5.35 % -3.75 % 66,668 0.09 18 -0.0500 % 3,230.7
Perpetual-Discount 5.00 % 5.04 % 66,868 15.39 13 0.0032 % 3,694.9
FixedReset Disc 4.96 % 3.88 % 131,962 17.41 57 0.0461 % 2,367.2
Insurance Straight 5.06 % 4.85 % 84,235 15.34 22 -0.0681 % 3,555.9
FloatingReset 2.51 % 0.88 % 28,271 0.14 3 0.5617 % 1,905.2
FixedReset Prem 5.15 % 3.11 % 211,019 1.01 20 -0.0690 % 2,688.8
FixedReset Bank Non 1.94 % 1.94 % 191,618 1.03 2 0.0601 % 2,883.7
FixedReset Ins Non 4.90 % 3.77 % 85,808 17.57 22 -0.4246 % 2,484.5
Performance Highlights
Issue Index Change Notes
IAF.PR.I FixedReset Ins Non -2.46 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-01-13
Maturity Price : 21.49
Evaluated at bid price : 21.85
Bid-YTW : 3.85 %
SLF.PR.H FixedReset Ins Non -1.86 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-01-13
Maturity Price : 18.50
Evaluated at bid price : 18.50
Bid-YTW : 3.56 %
CM.PR.O FixedReset Disc -1.81 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-01-13
Maturity Price : 19.01
Evaluated at bid price : 19.01
Bid-YTW : 3.88 %
IFC.PR.C FixedReset Ins Non -1.70 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-01-13
Maturity Price : 20.25
Evaluated at bid price : 20.25
Bid-YTW : 3.86 %
MFC.PR.F FixedReset Ins Non -1.58 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-01-13
Maturity Price : 12.46
Evaluated at bid price : 12.46
Bid-YTW : 3.75 %
PWF.PR.T FixedReset Disc -1.33 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-01-13
Maturity Price : 18.50
Evaluated at bid price : 18.50
Bid-YTW : 4.10 %
IAF.PR.G FixedReset Ins Non -1.32 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-01-13
Maturity Price : 21.42
Evaluated at bid price : 21.75
Bid-YTW : 3.82 %
PWF.PR.P FixedReset Disc -1.23 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-01-13
Maturity Price : 12.00
Evaluated at bid price : 12.00
Bid-YTW : 4.26 %
MFC.PR.Q FixedReset Ins Non -1.15 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-01-13
Maturity Price : 21.50
Evaluated at bid price : 21.50
Bid-YTW : 3.75 %
BAM.PF.B FixedReset Disc -1.12 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-01-13
Maturity Price : 17.60
Evaluated at bid price : 17.60
Bid-YTW : 4.74 %
RY.PR.N Perpetual-Premium -1.09 % YTW SCENARIO
Maturity Type : Call
Maturity Date : 2021-02-12
Maturity Price : 26.00
Evaluated at bid price : 26.35
Bid-YTW : -3.75 %
BAM.PR.X FixedReset Disc -1.08 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-01-13
Maturity Price : 12.86
Evaluated at bid price : 12.86
Bid-YTW : 4.46 %
MFC.PR.K FixedReset Ins Non -1.04 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-01-13
Maturity Price : 19.00
Evaluated at bid price : 19.00
Bid-YTW : 3.84 %
PVS.PR.I SplitShare 1.02 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-10-31
Maturity Price : 25.00
Evaluated at bid price : 25.67
Bid-YTW : 4.43 %
NA.PR.E FixedReset Disc 1.04 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-01-13
Maturity Price : 21.30
Evaluated at bid price : 21.30
Bid-YTW : 3.75 %
BAM.PF.E FixedReset Disc 1.21 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-01-13
Maturity Price : 16.70
Evaluated at bid price : 16.70
Bid-YTW : 4.71 %
SLF.PR.J FloatingReset 1.75 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-01-13
Maturity Price : 11.60
Evaluated at bid price : 11.60
Bid-YTW : 3.18 %
BIP.PR.A FixedReset Disc 1.84 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-01-13
Maturity Price : 19.40
Evaluated at bid price : 19.40
Bid-YTW : 5.19 %
BAM.PR.K Floater 3.68 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-01-13
Maturity Price : 9.85
Evaluated at bid price : 9.85
Bid-YTW : 4.38 %
Volume Highlights
Issue Index Shares
Traded
Notes
TD.PF.G FixedReset Prem 153,055 YTW SCENARIO
Maturity Type : Call
Maturity Date : 2021-04-30
Maturity Price : 25.00
Evaluated at bid price : 25.16
Bid-YTW : 2.33 %
MFC.PR.Q FixedReset Ins Non 124,300 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-01-13
Maturity Price : 21.50
Evaluated at bid price : 21.50
Bid-YTW : 3.75 %
BNS.PR.H FixedReset Prem 75,680 YTW SCENARIO
Maturity Type : Call
Maturity Date : 2022-01-26
Maturity Price : 25.00
Evaluated at bid price : 25.38
Bid-YTW : 3.19 %
RY.PR.J FixedReset Disc 64,814 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-01-13
Maturity Price : 21.91
Evaluated at bid price : 22.35
Bid-YTW : 3.57 %
BIP.PR.A FixedReset Disc 41,957 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-01-13
Maturity Price : 19.40
Evaluated at bid price : 19.40
Bid-YTW : 5.19 %
CM.PR.T FixedReset Disc 40,885 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-01-13
Maturity Price : 23.32
Evaluated at bid price : 24.95
Bid-YTW : 3.91 %
There were 13 other index-included issues trading in excess of 10,000 shares.
Wide Spread Highlights
Issue Index Quote Data and Yield Notes
NA.PR.E FixedReset Disc Quote: 21.30 – 22.98
Spot Rate : 1.6800
Average : 1.0798

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-01-13
Maturity Price : 21.30
Evaluated at bid price : 21.30
Bid-YTW : 3.75 %

TRP.PR.F FloatingReset Quote: 11.77 – 12.87
Spot Rate : 1.1000
Average : 0.6558

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-01-13
Maturity Price : 11.77
Evaluated at bid price : 11.77
Bid-YTW : 4.23 %

RY.PR.N Perpetual-Premium Quote: 26.35 – 26.94
Spot Rate : 0.5900
Average : 0.3830

YTW SCENARIO
Maturity Type : Call
Maturity Date : 2021-02-12
Maturity Price : 26.00
Evaluated at bid price : 26.35
Bid-YTW : -3.75 %

TRP.PR.C FixedReset Disc Quote: 10.65 – 11.15
Spot Rate : 0.5000
Average : 0.3178

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-01-13
Maturity Price : 10.65
Evaluated at bid price : 10.65
Bid-YTW : 4.66 %

NA.PR.W FixedReset Disc Quote: 19.40 – 19.95
Spot Rate : 0.5500
Average : 0.3897

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-01-13
Maturity Price : 19.40
Evaluated at bid price : 19.40
Bid-YTW : 3.76 %

SLF.PR.C Insurance Straight Quote: 23.68 – 24.25
Spot Rate : 0.5700
Average : 0.4229

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-01-13
Maturity Price : 23.39
Evaluated at bid price : 23.68
Bid-YTW : 4.72 %

Issue Comments

Pembina Expects To Redeem Or Repurchase PPL.PR.K & PPL.PR.M

Further to their previous announcement that they were considering the deal, Pembina Pipeline Corporation has announced:

that it has priced an offering of $600 million of 4.80% Fixed-to-Fixed Rate Subordinated Notes, Series 1 due January 25, 2081 (the “Offering”).

The Offering is expected to close on or about January 25, 2021, subject to customary closing conditions. Pembina expects to use the net proceeds of the Offering to redeem or repurchase its outstanding cumulative redeemable minimum rate reset Class A Preferred Shares, Series 11 (TSX: PPL.PR.K) and its cumulative redeemable minimum rate reset Class A Preferred Shares, Series 13 (TSX: PPL.PR.M), to repay other outstanding indebtedness, as well as for general corporate purposes.

The subordinated notes are being offered through a syndicate of underwriters, co-led by RBC Capital Markets, CIBC Capital Markets, Scotiabank and TD Securities, under Pembina’s short form base shelf prospectus dated December 30, 2020, as supplemented by a prospectus supplement dated January 12, 2021.

These Notes are provisionally rated BB(high) by DBRS and BB+ by S&P which notes:

S&P Global Ratings said today that it assigned its ‘BB+’ rating to Pembina Pipeline Corp.’s (Pembina) $600 million, 4.8% fixed-to-fixed rate subordinated notes series 1 due Jan. 25, 2081. The company intends to use the net proceeds of this offering to repay approximately $420 million of preferred shares outstanding maturing in the first half of 2021, repay some of the borrowings under the Pembina’s credit facilities ($1.64 billion outstanding as of Sept. 30, 2020), and for other general corporate purposes.

We classify the notes as having intermediate equity content because of their subordination, permanence, and optional deferability features, in line with our hybrid capital criteria. As a result, the proposed notes will receive 50% equity treatment for the calculation of credit metrics.

While the subordinated notes are due in 60 years, the interest margins will increase by 25 basis points (bps) in 2031 (year 10) and a further 75 bps (total of 100 bps from initial spread) in 2051 (year 30). We consider this cumulative 100 bps increase as a material step-up, which, in our opinion, could provide an incentive for Pembina to redeem the instruments on that call date. Therefore, we consider 2051 as the effective maturity date for the notes.

In line with our criteria, the notes will receive minimal equity content after the first call date in 2031 because the remaining period until their effective maturity will be less than 20 years.

Market Action

January 12, 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 3.2292 % 1,977.0
FixedFloater 0.00 % 0.00 % 0 0.00 0 3.2292 % 3,627.7
Floater 4.37 % 4.37 % 49,392 16.70 3 3.2292 % 2,090.6
OpRet 0.00 % 0.00 % 0 0.00 0 0.1320 % 3,631.8
SplitShare 4.70 % 4.36 % 39,598 3.75 8 0.1320 % 4,337.2
Interest-Bearing 0.00 % 0.00 % 0 0.00 0 0.1320 % 3,384.0
Perpetual-Premium 5.34 % -3.49 % 66,563 0.09 18 0.1523 % 3,232.3
Perpetual-Discount 5.00 % 4.99 % 66,687 15.41 13 0.0190 % 3,694.8
FixedReset Disc 4.96 % 3.83 % 131,642 17.43 57 0.2274 % 2,366.2
Insurance Straight 5.05 % 4.83 % 84,466 15.37 22 -0.2129 % 3,558.3
FloatingReset 2.52 % 0.86 % 29,433 0.14 3 0.4388 % 1,894.6
FixedReset Prem 5.14 % 3.13 % 200,272 1.01 20 -0.0158 % 2,690.7
FixedReset Bank Non 1.94 % 1.83 % 137,809 1.04 2 0.0000 % 2,882.0
FixedReset Ins Non 4.88 % 3.77 % 85,935 17.58 22 1.2672 % 2,495.1
Performance Highlights
Issue Index Change Notes
CU.PR.C FixedReset Disc -2.05 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-01-12
Maturity Price : 18.17
Evaluated at bid price : 18.17
Bid-YTW : 4.01 %
MFC.PR.J FixedReset Ins Non -1.60 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-01-12
Maturity Price : 21.50
Evaluated at bid price : 21.50
Bid-YTW : 3.79 %
SLF.PR.C Insurance Straight -1.45 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-01-12
Maturity Price : 23.58
Evaluated at bid price : 23.85
Bid-YTW : 4.68 %
BMO.PR.T FixedReset Disc -1.06 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-01-12
Maturity Price : 19.51
Evaluated at bid price : 19.51
Bid-YTW : 3.70 %
CM.PR.P FixedReset Disc 1.02 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-01-12
Maturity Price : 19.90
Evaluated at bid price : 19.90
Bid-YTW : 3.70 %
BAM.PF.D Perpetual-Discount 1.03 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-01-12
Maturity Price : 23.94
Evaluated at bid price : 24.50
Bid-YTW : 5.01 %
IAF.PR.I FixedReset Ins Non 1.13 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-01-12
Maturity Price : 22.13
Evaluated at bid price : 22.40
Bid-YTW : 3.76 %
RY.PR.N Perpetual-Premium 1.14 % YTW SCENARIO
Maturity Type : Call
Maturity Date : 2021-02-11
Maturity Price : 26.00
Evaluated at bid price : 26.64
Bid-YTW : -16.54 %
RS.PR.A SplitShare 1.18 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-12-31
Maturity Price : 10.00
Evaluated at bid price : 10.31
Bid-YTW : 4.61 %
BAM.PR.T FixedReset Disc 1.27 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-01-12
Maturity Price : 15.13
Evaluated at bid price : 15.13
Bid-YTW : 4.65 %
BAM.PF.B FixedReset Disc 1.31 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-01-12
Maturity Price : 17.80
Evaluated at bid price : 17.80
Bid-YTW : 4.68 %
MFC.PR.I FixedReset Ins Non 1.40 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-01-12
Maturity Price : 22.17
Evaluated at bid price : 22.50
Bid-YTW : 3.77 %
TRP.PR.D FixedReset Disc 1.51 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-01-12
Maturity Price : 15.48
Evaluated at bid price : 15.48
Bid-YTW : 4.88 %
MFC.PR.K FixedReset Ins Non 1.53 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-01-12
Maturity Price : 19.20
Evaluated at bid price : 19.20
Bid-YTW : 3.80 %
BAM.PR.X FixedReset Disc 1.56 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-01-12
Maturity Price : 13.00
Evaluated at bid price : 13.00
Bid-YTW : 4.41 %
MFC.PR.F FixedReset Ins Non 1.69 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-01-12
Maturity Price : 12.66
Evaluated at bid price : 12.66
Bid-YTW : 3.69 %
BAM.PF.A FixedReset Disc 1.71 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-01-12
Maturity Price : 19.63
Evaluated at bid price : 19.63
Bid-YTW : 4.61 %
NA.PR.G FixedReset Disc 1.75 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-01-12
Maturity Price : 22.61
Evaluated at bid price : 23.25
Bid-YTW : 3.65 %
SLF.PR.H FixedReset Ins Non 1.89 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-01-12
Maturity Price : 18.85
Evaluated at bid price : 18.85
Bid-YTW : 3.49 %
BAM.PR.K Floater 1.93 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-01-12
Maturity Price : 9.50
Evaluated at bid price : 9.50
Bid-YTW : 4.55 %
PWF.PR.P FixedReset Disc 2.02 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-01-12
Maturity Price : 12.15
Evaluated at bid price : 12.15
Bid-YTW : 4.21 %
BAM.PR.C Floater 3.45 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-01-12
Maturity Price : 9.89
Evaluated at bid price : 9.89
Bid-YTW : 4.37 %
BAM.PR.B Floater 4.27 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-01-12
Maturity Price : 10.02
Evaluated at bid price : 10.02
Bid-YTW : 4.31 %
IFC.PR.C FixedReset Ins Non 27.55 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-01-12
Maturity Price : 20.60
Evaluated at bid price : 20.60
Bid-YTW : 3.80 %
Volume Highlights
Issue Index Shares
Traded
Notes
TD.PF.A FixedReset Disc 92,285 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-01-12
Maturity Price : 20.85
Evaluated at bid price : 20.85
Bid-YTW : 3.43 %
TD.PF.I FixedReset Disc 86,850 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-01-12
Maturity Price : 23.65
Evaluated at bid price : 24.00
Bid-YTW : 3.66 %
RY.PR.H FixedReset Disc 74,819 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-01-12
Maturity Price : 21.35
Evaluated at bid price : 21.35
Bid-YTW : 3.40 %
RY.PR.S FixedReset Disc 55,924 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-01-12
Maturity Price : 22.27
Evaluated at bid price : 22.75
Bid-YTW : 3.43 %
TRP.PR.K FixedReset Disc 37,925 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-01-12
Maturity Price : 23.78
Evaluated at bid price : 25.01
Bid-YTW : 4.89 %
RY.PR.J FixedReset Disc 19,412 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-01-12
Maturity Price : 21.84
Evaluated at bid price : 22.25
Bid-YTW : 3.59 %
There were 12 other index-included issues trading in excess of 10,000 shares.
Wide Spread Highlights
Issue Index Quote Data and Yield Notes
RY.PR.M FixedReset Disc Quote: 21.30 – 25.50
Spot Rate : 4.2000
Average : 2.3238

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-01-12
Maturity Price : 21.30
Evaluated at bid price : 21.30
Bid-YTW : 3.62 %

BAM.PR.B Floater Quote: 10.02 – 11.05
Spot Rate : 1.0300
Average : 0.5685

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-01-12
Maturity Price : 10.02
Evaluated at bid price : 10.02
Bid-YTW : 4.31 %

GWO.PR.N FixedReset Ins Non Quote: 12.00 – 13.00
Spot Rate : 1.0000
Average : 0.6564

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-01-12
Maturity Price : 12.00
Evaluated at bid price : 12.00
Bid-YTW : 3.65 %

TRP.PR.D FixedReset Disc Quote: 15.48 – 16.30
Spot Rate : 0.8200
Average : 0.4869

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-01-12
Maturity Price : 15.48
Evaluated at bid price : 15.48
Bid-YTW : 4.88 %

CU.PR.I FixedReset Prem Quote: 25.78 – 26.30
Spot Rate : 0.5200
Average : 0.3454

YTW SCENARIO
Maturity Type : Call
Maturity Date : 2025-12-01
Maturity Price : 25.00
Evaluated at bid price : 25.78
Bid-YTW : 3.93 %

BAM.PR.K Floater Quote: 9.50 – 10.19
Spot Rate : 0.6900
Average : 0.5376

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-01-12
Maturity Price : 9.50
Evaluated at bid price : 9.50
Bid-YTW : 4.55 %

Market Action

January 11, 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 0.6003 % 1,915.1
FixedFloater 0.00 % 0.00 % 0 0.00 0 0.6003 % 3,514.2
Floater 4.51 % 4.52 % 48,885 16.41 3 0.6003 % 2,025.2
OpRet 0.00 % 0.00 % 0 0.00 0 0.3361 % 3,627.0
SplitShare 4.71 % 4.37 % 39,744 3.76 8 0.3361 % 4,331.4
Interest-Bearing 0.00 % 0.00 % 0 0.00 0 0.3361 % 3,379.6
Perpetual-Premium 5.35 % -2.79 % 64,285 0.09 18 0.0087 % 3,227.4
Perpetual-Discount 5.00 % 5.05 % 67,364 15.39 13 0.1776 % 3,694.1
FixedReset Disc 4.97 % 3.84 % 133,055 17.46 57 -0.1384 % 2,360.8
Insurance Straight 5.04 % 4.81 % 85,411 15.34 22 -0.0715 % 3,565.9
FloatingReset 2.53 % 0.84 % 30,643 0.14 3 0.5885 % 1,886.3
FixedReset Prem 5.14 % 3.10 % 195,397 1.01 20 -0.0335 % 2,691.1
FixedReset Bank Non 1.94 % 1.83 % 139,950 1.04 2 0.0200 % 2,882.0
FixedReset Ins Non 4.94 % 3.78 % 86,992 17.58 22 -1.3471 % 2,463.8
Performance Highlights
Issue Index Change Notes
IFC.PR.C FixedReset Ins Non -21.45 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-01-11
Maturity Price : 16.15
Evaluated at bid price : 16.15
Bid-YTW : 4.85 %
MFC.PR.K FixedReset Ins Non -3.27 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-01-11
Maturity Price : 18.91
Evaluated at bid price : 18.91
Bid-YTW : 3.86 %
BMO.PR.Y FixedReset Disc -3.00 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-01-11
Maturity Price : 21.00
Evaluated at bid price : 21.00
Bid-YTW : 3.77 %
SLF.PR.H FixedReset Ins Non -1.65 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-01-11
Maturity Price : 18.50
Evaluated at bid price : 18.50
Bid-YTW : 3.56 %
NA.PR.E FixedReset Disc -1.46 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-01-11
Maturity Price : 20.89
Evaluated at bid price : 20.89
Bid-YTW : 3.82 %
MFC.PR.N FixedReset Ins Non -1.29 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-01-11
Maturity Price : 19.84
Evaluated at bid price : 19.84
Bid-YTW : 3.73 %
IFC.PR.A FixedReset Ins Non -1.29 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-01-11
Maturity Price : 15.30
Evaluated at bid price : 15.30
Bid-YTW : 3.74 %
CM.PR.Q FixedReset Disc -1.16 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-01-11
Maturity Price : 21.25
Evaluated at bid price : 21.25
Bid-YTW : 3.78 %
BAM.PF.A FixedReset Disc -1.03 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-01-11
Maturity Price : 19.30
Evaluated at bid price : 19.30
Bid-YTW : 4.69 %
BAM.PR.Z FixedReset Disc 1.11 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-01-11
Maturity Price : 19.11
Evaluated at bid price : 19.11
Bid-YTW : 4.66 %
CU.PR.C FixedReset Disc 1.26 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-01-11
Maturity Price : 18.55
Evaluated at bid price : 18.55
Bid-YTW : 3.93 %
BAM.PR.B Floater 1.26 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-01-11
Maturity Price : 9.61
Evaluated at bid price : 9.61
Bid-YTW : 4.49 %
BAM.PR.C Floater 1.38 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-01-11
Maturity Price : 9.56
Evaluated at bid price : 9.56
Bid-YTW : 4.52 %
CU.PR.F Perpetual-Discount 1.77 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-01-11
Maturity Price : 23.83
Evaluated at bid price : 24.10
Bid-YTW : 4.71 %
SLF.PR.J FloatingReset 2.08 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-01-11
Maturity Price : 11.30
Evaluated at bid price : 11.30
Bid-YTW : 3.27 %
TD.PF.A FixedReset Disc 2.40 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-01-11
Maturity Price : 20.90
Evaluated at bid price : 20.90
Bid-YTW : 3.42 %
Volume Highlights
Issue Index Shares
Traded
Notes
TRP.PR.B FixedReset Disc 57,300 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-01-11
Maturity Price : 9.25
Evaluated at bid price : 9.25
Bid-YTW : 4.67 %
BIP.PR.D FixedReset Disc 53,743 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-01-11
Maturity Price : 24.09
Evaluated at bid price : 24.50
Bid-YTW : 5.12 %
BAM.PR.Z FixedReset Disc 44,000 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-01-11
Maturity Price : 19.11
Evaluated at bid price : 19.11
Bid-YTW : 4.66 %
SLF.PR.B Insurance Straight 36,950 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-01-11
Maturity Price : 24.57
Evaluated at bid price : 24.82
Bid-YTW : 4.86 %
SLF.PR.H FixedReset Ins Non 33,300 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-01-11
Maturity Price : 18.50
Evaluated at bid price : 18.50
Bid-YTW : 3.56 %
BAM.PF.G FixedReset Disc 27,600 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-01-11
Maturity Price : 17.27
Evaluated at bid price : 17.27
Bid-YTW : 4.78 %
There were 13 other index-included issues trading in excess of 10,000 shares.
Wide Spread Highlights
Issue Index Quote Data and Yield Notes
IFC.PR.C FixedReset Ins Non Quote: 16.15 – 20.49
Spot Rate : 4.3400
Average : 2.3775

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-01-11
Maturity Price : 16.15
Evaluated at bid price : 16.15
Bid-YTW : 4.85 %

BMO.PR.Y FixedReset Disc Quote: 21.00 – 21.78
Spot Rate : 0.7800
Average : 0.5022

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-01-11
Maturity Price : 21.00
Evaluated at bid price : 21.00
Bid-YTW : 3.77 %

NA.PR.E FixedReset Disc Quote: 20.89 – 21.54
Spot Rate : 0.6500
Average : 0.4015

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-01-11
Maturity Price : 20.89
Evaluated at bid price : 20.89
Bid-YTW : 3.82 %

BAM.PF.G FixedReset Disc Quote: 17.27 – 17.89
Spot Rate : 0.6200
Average : 0.4175

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-01-11
Maturity Price : 17.27
Evaluated at bid price : 17.27
Bid-YTW : 4.78 %

CU.PR.D Perpetual-Discount Quote: 24.90 – 25.50
Spot Rate : 0.6000
Average : 0.4368

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-01-11
Maturity Price : 24.65
Evaluated at bid price : 24.90
Bid-YTW : 4.97 %

NA.PR.W FixedReset Disc Quote: 19.42 – 19.90
Spot Rate : 0.4800
Average : 0.3170

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-01-11
Maturity Price : 19.42
Evaluated at bid price : 19.42
Bid-YTW : 3.75 %

PrefLetter

PrefLetter, January 2021, Errata

I regret to advise that there was a major error in the production of the January PrefLetter, which had the effect of misreporting the Reset Dates in the table “Sub-Investment Grade FixedResets” on pages 37 & 38 of the PDF, commencing with ECN.PR.A.

You may obtain the corrected table by clicking here.

Many thanks to Assiduous Reader AC for pointing this out.

Issue Comments

PPL Considers Refinancing PPL.PR.K & PPL.PR.M

Pembina Pipeline Corporation has announced:

that it is considering an offering of hybrid subordinated debt securities under its short form base shelf prospectus dated December 30, 2020.

If a successful offering is priced and completed, the Company intends to use the net proceeds of the offering to redeem or repurchase its outstanding cumulative redeemable minimum rate reset Class A Preferred Shares, Series 11 (TSX: PPL.PR.K) and its cumulative redeemable minimum rate reset Class A Preferred Shares, Series 13 (TSX: PPL.PR.M), to repay other outstanding indebtedness, as well as for general corporate purposes. There is no certainty that Pembina will ultimately complete the offering being considered or as to the timing or terms on which such an offering might be completed.

Assiduous Readers will remember that on July 16 I speculated:

Are speculators hypothesizing that if the banks are successful in creating a new market for deeply subordinated 60-year notes, then the other issuers will join in with great enthusiasm, with a resurgent exchange-traded COPrS market?

There’s no indication in the press release that the contemplated notes will be exchange-traded, but the principle is the same!

This announcement has also been discussed in the comments to another thread. Hat tip to stusclues for bringing this to my attention!

PrefLetter

January PrefLetter Released!

The January, 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.

PrefLetter may now be purchased by all Canadian residents.

Until further notice, the “Previous Edition” will refer to the January, 2021, issue, while the “Next Edition” will be the February, 2021, issue, scheduled to be prepared as of the close February 12, 2021, and eMailed to subscribers prior to market-opening on February 16 (following Family Day).

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?).

Market Action

January 8, 2021

And now it’s time for me to prepare 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 0.6039 % 1,903.7
FixedFloater 0.00 % 0.00 % 0 0.00 0 0.6039 % 3,493.2
Floater 4.54 % 4.58 % 48,923 16.30 3 0.6039 % 2,013.2
OpRet 0.00 % 0.00 % 0 0.00 0 -0.1836 % 3,614.9
SplitShare 4.72 % 4.53 % 39,313 3.77 8 -0.1836 % 4,316.9
Interest-Bearing 0.00 % 0.00 % 0 0.00 0 -0.1836 % 3,368.2
Perpetual-Premium 5.35 % -4.06 % 64,765 0.09 18 -0.0804 % 3,227.1
Perpetual-Discount 5.01 % 5.04 % 68,245 15.39 13 -0.2372 % 3,687.6
FixedReset Disc 4.97 % 3.82 % 134,370 17.46 57 0.4028 % 2,364.1
Insurance Straight 5.04 % 4.79 % 84,241 15.34 22 -0.1630 % 3,568.5
FloatingReset 2.55 % 0.80 % 31,902 0.15 3 -0.4394 % 1,875.3
FixedReset Prem 5.14 % 3.27 % 195,064 1.02 20 0.0729 % 2,692.0
FixedReset Bank Non 1.94 % 1.78 % 144,670 1.05 2 0.0000 % 2,881.4
FixedReset Ins Non 4.88 % 3.78 % 86,752 17.61 22 0.2080 % 2,497.5
Performance Highlights
Issue Index Change Notes
MFC.PR.I FixedReset Ins Non -3.45 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-01-08
Maturity Price : 21.67
Evaluated at bid price : 22.10
Bid-YTW : 3.83 %
SLF.PR.J FloatingReset -2.04 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-01-08
Maturity Price : 11.07
Evaluated at bid price : 11.07
Bid-YTW : 3.34 %
TRP.PR.B FixedReset Disc -1.60 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-01-08
Maturity Price : 9.25
Evaluated at bid price : 9.25
Bid-YTW : 4.67 %
IFC.PR.E Insurance Straight -1.55 % YTW SCENARIO
Maturity Type : Call
Maturity Date : 2025-06-30
Maturity Price : 25.25
Evaluated at bid price : 25.40
Bid-YTW : 5.06 %
RS.PR.A SplitShare -1.45 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-12-31
Maturity Price : 10.00
Evaluated at bid price : 10.16
Bid-YTW : 4.94 %
MFC.PR.G FixedReset Ins Non -1.12 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-01-08
Maturity Price : 21.71
Evaluated at bid price : 22.15
Bid-YTW : 3.79 %
MFC.PR.C Insurance Straight -1.03 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-01-08
Maturity Price : 23.74
Evaluated at bid price : 24.05
Bid-YTW : 4.70 %
BIP.PR.E FixedReset Disc 1.04 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-01-08
Maturity Price : 23.29
Evaluated at bid price : 24.40
Bid-YTW : 5.10 %
BMO.PR.S FixedReset Disc 1.08 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-01-08
Maturity Price : 20.60
Evaluated at bid price : 20.60
Bid-YTW : 3.62 %
MFC.PR.M FixedReset Ins Non 1.16 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-01-08
Maturity Price : 19.98
Evaluated at bid price : 19.98
Bid-YTW : 3.78 %
BMO.PR.Y FixedReset Disc 1.17 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-01-08
Maturity Price : 21.35
Evaluated at bid price : 21.65
Bid-YTW : 3.63 %
BAM.PR.Z FixedReset Disc 1.45 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-01-08
Maturity Price : 18.90
Evaluated at bid price : 18.90
Bid-YTW : 4.71 %
PWF.PR.T FixedReset Disc 1.47 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-01-08
Maturity Price : 18.60
Evaluated at bid price : 18.60
Bid-YTW : 4.07 %
SLF.PR.G FixedReset Ins Non 1.49 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-01-08
Maturity Price : 12.28
Evaluated at bid price : 12.28
Bid-YTW : 3.78 %
BAM.PF.E FixedReset Disc 1.60 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-01-08
Maturity Price : 16.50
Evaluated at bid price : 16.50
Bid-YTW : 4.76 %
BAM.PF.B FixedReset Disc 1.61 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-01-08
Maturity Price : 17.70
Evaluated at bid price : 17.70
Bid-YTW : 4.71 %
BAM.PF.A FixedReset Disc 1.83 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-01-08
Maturity Price : 19.50
Evaluated at bid price : 19.50
Bid-YTW : 4.64 %
TRP.PR.E FixedReset Disc 1.99 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-01-08
Maturity Price : 15.35
Evaluated at bid price : 15.35
Bid-YTW : 4.88 %
NA.PR.E FixedReset Disc 2.07 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-01-08
Maturity Price : 21.20
Evaluated at bid price : 21.20
Bid-YTW : 3.76 %
IAF.PR.G FixedReset Ins Non 3.25 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-01-08
Maturity Price : 21.52
Evaluated at bid price : 21.89
Bid-YTW : 3.79 %
BAM.PR.T FixedReset Disc 5.61 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-01-08
Maturity Price : 15.05
Evaluated at bid price : 15.05
Bid-YTW : 4.67 %
GWO.PR.N FixedReset Ins Non 5.95 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-01-08
Maturity Price : 11.93
Evaluated at bid price : 11.93
Bid-YTW : 3.67 %
Volume Highlights
Issue Index Shares
Traded
Notes
BAM.PF.B FixedReset Disc 163,800 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-01-08
Maturity Price : 17.70
Evaluated at bid price : 17.70
Bid-YTW : 4.71 %
BMO.PR.S FixedReset Disc 114,425 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-01-08
Maturity Price : 20.60
Evaluated at bid price : 20.60
Bid-YTW : 3.62 %
NA.PR.A FixedReset Prem 100,077 YTW SCENARIO
Maturity Type : Call
Maturity Date : 2021-08-15
Maturity Price : 25.00
Evaluated at bid price : 25.32
Bid-YTW : 2.37 %
TRP.PR.K FixedReset Disc 82,200 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-01-08
Maturity Price : 23.75
Evaluated at bid price : 24.95
Bid-YTW : 4.90 %
BMO.PR.T FixedReset Disc 72,153 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-01-08
Maturity Price : 19.77
Evaluated at bid price : 19.77
Bid-YTW : 3.65 %
TD.PF.A FixedReset Disc 49,375 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-01-08
Maturity Price : 20.41
Evaluated at bid price : 20.41
Bid-YTW : 3.50 %
There were 18 other index-included issues trading in excess of 10,000 shares.
Wide Spread Highlights
Issue Index Quote Data and Yield Notes
CU.PR.H Perpetual-Premium Quote: 25.60 – 26.60
Spot Rate : 1.0000
Average : 0.6000

YTW SCENARIO
Maturity Type : Call
Maturity Date : 2023-09-01
Maturity Price : 25.25
Evaluated at bid price : 25.60
Bid-YTW : 4.89 %

MFC.PR.I FixedReset Ins Non Quote: 22.10 – 22.86
Spot Rate : 0.7600
Average : 0.4970

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-01-08
Maturity Price : 21.67
Evaluated at bid price : 22.10
Bid-YTW : 3.83 %

TD.PF.A FixedReset Disc Quote: 20.41 – 20.98
Spot Rate : 0.5700
Average : 0.3511

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-01-08
Maturity Price : 20.41
Evaluated at bid price : 20.41
Bid-YTW : 3.50 %

MFC.PR.G FixedReset Ins Non Quote: 22.15 – 22.90
Spot Rate : 0.7500
Average : 0.5338

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-01-08
Maturity Price : 21.71
Evaluated at bid price : 22.15
Bid-YTW : 3.79 %

GWO.PR.I Insurance Straight Quote: 23.73 – 24.10
Spot Rate : 0.3700
Average : 0.2386

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-01-08
Maturity Price : 23.44
Evaluated at bid price : 23.73
Bid-YTW : 4.76 %

MFC.PR.C Insurance Straight Quote: 24.05 – 24.53
Spot Rate : 0.4800
Average : 0.3536

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-01-08
Maturity Price : 23.74
Evaluated at bid price : 24.05
Bid-YTW : 4.70 %

Market Action

January 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 0.00 % 0.00 % 0 0.00 0 -0.2834 % 1,892.3
FixedFloater 0.00 % 0.00 % 0 0.00 0 -0.2834 % 3,472.2
Floater 4.57 % 4.60 % 48,629 16.26 3 -0.2834 % 2,001.1
OpRet 0.00 % 0.00 % 0 0.00 0 0.0392 % 3,621.5
SplitShare 4.71 % 4.48 % 39,746 3.77 8 0.0392 % 4,324.9
Interest-Bearing 0.00 % 0.00 % 0 0.00 0 0.0392 % 3,374.4
Perpetual-Premium 5.35 % -6.01 % 64,671 0.09 18 0.2585 % 3,229.7
Perpetual-Discount 5.00 % 5.04 % 68,055 15.41 13 0.3285 % 3,696.3
FixedReset Disc 4.99 % 3.79 % 136,024 17.55 57 -0.0156 % 2,354.6
Insurance Straight 5.03 % 4.72 % 84,269 15.36 22 0.1982 % 3,574.3
FloatingReset 2.52 % 0.78 % 31,736 0.15 3 0.3359 % 1,883.6
FixedReset Prem 5.15 % 2.98 % 198,167 1.03 20 -0.1530 % 2,690.1
FixedReset Bank Non 1.94 % 1.72 % 150,620 1.05 2 -0.0400 % 2,881.4
FixedReset Ins Non 4.89 % 3.68 % 88,047 17.72 22 1.4079 % 2,492.3
Performance Highlights
Issue Index Change Notes
BAM.PR.T FixedReset Disc -4.68 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-01-07
Maturity Price : 14.25
Evaluated at bid price : 14.25
Bid-YTW : 4.86 %
GWO.PR.N FixedReset Ins Non -4.09 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-01-07
Maturity Price : 11.26
Evaluated at bid price : 11.26
Bid-YTW : 3.81 %
TRP.PR.B FixedReset Disc -1.88 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-01-07
Maturity Price : 9.40
Evaluated at bid price : 9.40
Bid-YTW : 4.49 %
PWF.PR.T FixedReset Disc -1.31 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-01-07
Maturity Price : 18.33
Evaluated at bid price : 18.33
Bid-YTW : 4.07 %
CU.PR.C FixedReset Disc -1.30 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-01-07
Maturity Price : 18.17
Evaluated at bid price : 18.17
Bid-YTW : 3.94 %
BAM.PF.I FixedReset Prem -1.22 % YTW SCENARIO
Maturity Type : Call
Maturity Date : 2022-03-31
Maturity Price : 25.00
Evaluated at bid price : 25.11
Bid-YTW : 4.52 %
MFC.PR.K FixedReset Ins Non 1.03 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-01-07
Maturity Price : 19.58
Evaluated at bid price : 19.58
Bid-YTW : 3.66 %
SLF.PR.B Insurance Straight 1.06 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-01-07
Maturity Price : 24.64
Evaluated at bid price : 24.89
Bid-YTW : 4.84 %
SLF.PR.C Insurance Straight 1.17 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-01-07
Maturity Price : 23.92
Evaluated at bid price : 24.18
Bid-YTW : 4.62 %
EIT.PR.A SplitShare 1.18 % YTW SCENARIO
Maturity Type : Soft Maturity
Maturity Date : 2024-03-14
Maturity Price : 25.00
Evaluated at bid price : 25.80
Bid-YTW : 3.85 %
IAF.PR.I FixedReset Ins Non 1.28 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-01-07
Maturity Price : 21.70
Evaluated at bid price : 22.15
Bid-YTW : 3.73 %
NA.PR.W FixedReset Disc 1.31 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-01-07
Maturity Price : 19.27
Evaluated at bid price : 19.27
Bid-YTW : 3.73 %
BIK.PR.A FixedReset Prem 1.38 % YTW SCENARIO
Maturity Type : Call
Maturity Date : 2024-03-31
Maturity Price : 25.00
Evaluated at bid price : 25.75
Bid-YTW : 4.91 %
MFC.PR.J FixedReset Ins Non 1.39 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-01-07
Maturity Price : 21.52
Evaluated at bid price : 21.90
Bid-YTW : 3.63 %
TRP.PR.C FixedReset Disc 1.45 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-01-07
Maturity Price : 10.50
Evaluated at bid price : 10.50
Bid-YTW : 4.61 %
MFC.PR.I FixedReset Ins Non 1.51 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-01-07
Maturity Price : 22.52
Evaluated at bid price : 22.89
Bid-YTW : 3.64 %
PWF.PR.P FixedReset Disc 1.57 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-01-07
Maturity Price : 11.80
Evaluated at bid price : 11.80
Bid-YTW : 4.22 %
MFC.PR.F FixedReset Ins Non 1.88 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-01-07
Maturity Price : 12.44
Evaluated at bid price : 12.44
Bid-YTW : 3.66 %
BAM.PR.X FixedReset Disc 2.25 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-01-07
Maturity Price : 12.70
Evaluated at bid price : 12.70
Bid-YTW : 4.42 %
MFC.PR.N FixedReset Ins Non 31.68 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-01-07
Maturity Price : 19.95
Evaluated at bid price : 19.95
Bid-YTW : 3.65 %
Volume Highlights
Issue Index Shares
Traded
Notes
BMO.PR.D FixedReset Disc 160,800 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-01-07
Maturity Price : 24.11
Evaluated at bid price : 24.44
Bid-YTW : 3.73 %
BNS.PR.E FixedReset Prem 124,330 YTW SCENARIO
Maturity Type : Call
Maturity Date : 2021-04-25
Maturity Price : 25.00
Evaluated at bid price : 25.15
Bid-YTW : 2.44 %
TD.PF.G FixedReset Prem 87,000 YTW SCENARIO
Maturity Type : Call
Maturity Date : 2021-04-30
Maturity Price : 25.00
Evaluated at bid price : 25.18
Bid-YTW : 1.94 %
BAM.PF.F FixedReset Disc 67,233 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-01-07
Maturity Price : 18.10
Evaluated at bid price : 18.10
Bid-YTW : 4.74 %
NA.PR.X FixedReset Prem 66,463 YTW SCENARIO
Maturity Type : Call
Maturity Date : 2021-05-15
Maturity Price : 25.00
Evaluated at bid price : 25.17
Bid-YTW : 1.94 %
IFC.PR.A FixedReset Ins Non 55,560 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-01-07
Maturity Price : 15.39
Evaluated at bid price : 15.39
Bid-YTW : 3.64 %
There were 23 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: 12.70 – 14.75
Spot Rate : 2.0500
Average : 1.1906

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-01-07
Maturity Price : 12.70
Evaluated at bid price : 12.70
Bid-YTW : 4.42 %

SLF.PR.I FixedReset Ins Non Quote: 21.38 – 23.00
Spot Rate : 1.6200
Average : 0.9116

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-01-07
Maturity Price : 21.38
Evaluated at bid price : 21.38
Bid-YTW : 3.70 %

BIP.PR.C FixedReset Disc Quote: 24.75 – 25.74
Spot Rate : 0.9900
Average : 0.5835

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-01-07
Maturity Price : 24.25
Evaluated at bid price : 24.75
Bid-YTW : 5.42 %

BAM.PR.T FixedReset Disc Quote: 14.25 – 15.17
Spot Rate : 0.9200
Average : 0.5392

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-01-07
Maturity Price : 14.25
Evaluated at bid price : 14.25
Bid-YTW : 4.86 %

GWO.PR.N FixedReset Ins Non Quote: 11.26 – 12.20
Spot Rate : 0.9400
Average : 0.5827

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-01-07
Maturity Price : 11.26
Evaluated at bid price : 11.26
Bid-YTW : 3.81 %

TRP.PR.E FixedReset Disc Quote: 15.05 – 15.70
Spot Rate : 0.6500
Average : 0.4117

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-01-07
Maturity Price : 15.05
Evaluated at bid price : 15.05
Bid-YTW : 4.91 %