January 3, 2020

January 3rd, 2020
HIMIPref™ Preferred Indices
These values reflect the December 2008 revision of the HIMIPref™ Indices
Values are provisional and are finalized monthly
Index Mean
Current
Yield
(at bid)		 Median
YTW		 Median
Average
Trading
Value		 Median
Mod Dur
(YTW)		 Issues Day’s Perf. Index Value
Ratchet 0.00 % 0.00 % 0 0.00 0 -1.4999 % 2,115.4
FixedFloater 0.00 % 0.00 % 0 0.00 0 -1.4999 % 3,881.6
Floater 5.77 % 5.88 % 48,762 14.11 4 -1.4999 % 2,237.0
OpRet 0.00 % 0.00 % 0 0.00 0 -0.1827 % 3,437.1
SplitShare 4.79 % 4.57 % 35,747 4.22 6 -0.1827 % 4,104.7
Interest-Bearing 0.00 % 0.00 % 0 0.00 0 -0.1827 % 3,202.6
Perpetual-Premium 5.55 % -4.78 % 62,398 0.09 11 0.1323 % 3,050.2
Perpetual-Discount 5.26 % 5.36 % 70,730 14.84 24 0.2083 % 3,292.4
FixedReset Disc 5.47 % 5.75 % 201,230 14.28 64 0.3615 % 2,176.4
Deemed-Retractible 5.17 % 5.29 % 65,952 14.90 27 0.0359 % 3,228.4
FloatingReset 6.02 % 6.05 % 84,325 13.73 3 0.2180 % 2,556.2
FixedReset Prem 5.06 % 3.34 % 137,697 1.55 22 0.2615 % 2,653.4
FixedReset Bank Non 1.93 % 3.62 % 65,211 2.01 3 0.0679 % 2,739.5
FixedReset Ins Non 5.31 % 5.72 % 141,655 14.32 22 0.1412 % 2,206.8
Performance Highlights
Issue Index Change Notes
BAM.PR.K Floater -2.58 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-01-03
Maturity Price : 11.70
Evaluated at bid price : 11.70
Bid-YTW : 5.95 %
BAM.PR.C Floater -1.92 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-01-03
Maturity Price : 11.77
Evaluated at bid price : 11.77
Bid-YTW : 5.92 %
IAF.PR.G FixedReset Ins Non -1.80 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-01-03
Maturity Price : 19.05
Evaluated at bid price : 19.05
Bid-YTW : 5.84 %
NA.PR.C FixedReset Disc 1.11 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-01-03
Maturity Price : 21.46
Evaluated at bid price : 21.46
Bid-YTW : 5.82 %
BAM.PR.N Perpetual-Discount 1.22 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-01-03
Maturity Price : 21.32
Evaluated at bid price : 21.59
Bid-YTW : 5.52 %
TD.PF.I FixedReset Disc 1.24 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-01-03
Maturity Price : 21.16
Evaluated at bid price : 21.16
Bid-YTW : 5.61 %
BAM.PR.R FixedReset Disc 1.28 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-01-03
Maturity Price : 15.87
Evaluated at bid price : 15.87
Bid-YTW : 6.19 %
BAM.PR.M Perpetual-Discount 1.35 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-01-03
Maturity Price : 21.45
Evaluated at bid price : 21.71
Bid-YTW : 5.49 %
CU.PR.I FixedReset Prem 1.38 % YTW SCENARIO
Maturity Type : Call
Maturity Date : 2020-12-01
Maturity Price : 25.00
Evaluated at bid price : 25.70
Bid-YTW : 1.84 %
BAM.PR.Z FixedReset Disc 1.42 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-01-03
Maturity Price : 20.03
Evaluated at bid price : 20.03
Bid-YTW : 5.85 %
NA.PR.G FixedReset Disc 1.52 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-01-03
Maturity Price : 19.72
Evaluated at bid price : 19.72
Bid-YTW : 5.78 %
TRP.PR.C FixedReset Disc 1.59 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-01-03
Maturity Price : 12.75
Evaluated at bid price : 12.75
Bid-YTW : 6.22 %
SLF.PR.I FixedReset Ins Non 1.87 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-01-03
Maturity Price : 19.10
Evaluated at bid price : 19.10
Bid-YTW : 5.72 %
HSE.PR.E FixedReset Disc 2.45 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-01-03
Maturity Price : 18.80
Evaluated at bid price : 18.80
Bid-YTW : 7.05 %
Volume Highlights
Issue Index Shares
Traded		 Notes
CU.PR.H Perpetual-Discount 53,600 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-01-03
Maturity Price : 24.28
Evaluated at bid price : 24.77
Bid-YTW : 5.34 %
PWF.PR.G Perpetual-Premium 52,300 YTW SCENARIO
Maturity Type : Call
Maturity Date : 2020-02-02
Maturity Price : 25.00
Evaluated at bid price : 25.53
Bid-YTW : -7.39 %
NA.PR.E FixedReset Disc 27,300 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-01-03
Maturity Price : 18.65
Evaluated at bid price : 18.65
Bid-YTW : 5.79 %
NA.PR.S FixedReset Disc 26,425 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-01-03
Maturity Price : 17.72
Evaluated at bid price : 17.72
Bid-YTW : 5.73 %
MFC.PR.N FixedReset Ins Non 25,200 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-01-03
Maturity Price : 17.25
Evaluated at bid price : 17.25
Bid-YTW : 5.83 %
SLF.PR.D Deemed-Retractible 24,800 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-01-03
Maturity Price : 21.29
Evaluated at bid price : 21.29
Bid-YTW : 5.26 %
There were 20 other index-included issues trading in excess of 10,000 shares.
Wide Spread Highlights
Issue Index Quote Data and Yield Notes
BMO.PR.T FixedReset Disc Quote: 17.35 – 18.12
Spot Rate : 0.7700
Average : 0.4744

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-01-03
Maturity Price : 17.35
Evaluated at bid price : 17.35
Bid-YTW : 5.61 %
BMO.PR.Y FixedReset Disc Quote: 19.27 – 20.00
Spot Rate : 0.7300
Average : 0.5326

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-01-03
Maturity Price : 19.27
Evaluated at bid price : 19.27
Bid-YTW : 5.75 %
SLF.PR.B Deemed-Retractible Quote: 22.73 – 23.10
Spot Rate : 0.3700
Average : 0.2840

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-01-03
Maturity Price : 22.47
Evaluated at bid price : 22.73
Bid-YTW : 5.30 %
GWO.PR.P Deemed-Retractible Quote: 24.92 – 25.20
Spot Rate : 0.2800
Average : 0.1970

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-01-03
Maturity Price : 24.66
Evaluated at bid price : 24.92
Bid-YTW : 5.44 %
PWF.PR.A Floater Quote: 12.62 – 13.14
Spot Rate : 0.5200
Average : 0.4459

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-01-03
Maturity Price : 12.62
Evaluated at bid price : 12.62
Bid-YTW : 5.56 %
MFC.PR.J FixedReset Ins Non Quote: 19.36 – 19.61
Spot Rate : 0.2500
Average : 0.1788

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-01-03
Maturity Price : 19.36
Evaluated at bid price : 19.36
Bid-YTW : 5.70 %

Posted in Market Action | No Comments »

AZP.PR.B / AZP.PR.C : Net Conversion of 12% to FixedResets

January 3rd, 2020

AZP.PR.B used to be CZP.PR.B, which used to be EPP.PR.B, and throughout these changes was a FixedReset, 7.00%+418, which commenced trading 2009-11-2 after being announced 2009-10-13. You can’t tell your players without a programme! Notice of extension was provided in November, 2014, and it reset to 5.57% effective 2014-12-31. I recommended in favour of conversion and the conversion rate was 42%. The company announced the extension to 2024 on 2019-11-14. An erroneous announcement of a reset to 5.67% was announced 2019-12-2 but it was later announced that AZP.PR.B will reset at 5.739% effective January 1, 2020.

AZP.PR.C resulted from the partial conversion of AZP.PR.B and commenced trading 2014-12-31.

Atlantic Power can’t be bothered to issue a press release or otherwise indicate on their website just what the results of the conversion option were (just like 2014), but there is information available on TMXMoney, maybe.

According to the TMX Money page for AZP.PR.C (the FloatingReset), there are 1,077,391 shares outstanding (down from 1,661,906). There are reporting 2,504,131 AZP.PR.B outstanding (up from 2,338,094).

In its 2018 Annual Financial Statements (inconveniently available via SEDAR with a search for “Atlantic ower Corporation Feb 28 2019 18:10:49 ET Audited annual financial statements – English PDF 2381 K”, since neither the company nor the regulators want you reading this stuff – who do you think you are?) the company states:

We also purchased and cancelled 5,000 and 164,790 of the Series 2 and 3 Shares at Cdn$17.99 and Cdn$17.89 per share for Cdn$0.1 million and Cdn$2.9 million, respectively for a total cost of $8.0 million. A $7.9 million gain on the redemption was recorded as a component of income attributable to preferred shares of a subsidiary company in the year ended December 31, 2018. From December 31, 2018 through February 27, 2019, we purchased the maximum limit of 427,500 shares of Series 1 Preferred Shares, 27,777 of Series 2 Preferred Shares and the maximum limit of 148,311 Series 3 Preferred Shares at a total cost of Cdn$9.2 million

… so obviously the company knows a bargain when it sees one! If only they were more prolific with their press releases!

So the 2014-12-31 proportion of AZP.PR.B was 58% and the 2019-12-31 proportion is 70%. So call it a net conversion to FixedResets of 12%.

So that’s a conversion rate of about 42%. In my post just before the decision deadline, I recommended conversion.

Posted in Better Communication, Please!, Issue Comments | 17 Comments »

January 2, 2020

January 2nd, 2020

With every New Year, my long-held dream of 4am food deliveries draws nearer!

A Michigan company that makes self-driving food delivery vehicles will begin testing them out in Ann Arbor in January with patrons from four restaurants.

Ann Arbor-based Refraction AI makes the REV, an autonomous robot that’s five feet (1.5 meters) tall, with wheels and a fuselage that can hold delivery bags. The company will begin using its REVs on Jan. 3 to make meal deliveries from four restaurants to a test group of 300 customers in downtown Ann Arbor.

Canadian preferred share volume was very low today, but we’ll see what next week brings (tomorrow doesn’t count)!

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 -0.3073 % 2,147.6
FixedFloater 0.00 % 0.00 % 0 0.00 0 -0.3073 % 3,940.7
Floater 5.68 % 5.80 % 48,905 14.24 4 -0.3073 % 2,271.0
OpRet 0.00 % 0.00 % 0 0.00 0 -0.0457 % 3,443.4
SplitShare 4.78 % 4.53 % 36,267 3.78 6 -0.0457 % 4,112.2
Interest-Bearing 0.00 % 0.00 % 0 0.00 0 -0.0457 % 3,208.5
Perpetual-Premium 5.56 % -3.10 % 63,371 0.09 11 -0.0608 % 3,046.2
Perpetual-Discount 5.27 % 5.36 % 69,500 14.86 24 -0.0287 % 3,285.5
FixedReset Disc 5.48 % 5.77 % 204,186 14.23 64 0.0192 % 2,168.6
Deemed-Retractible 5.17 % 5.28 % 68,398 14.89 27 -0.1981 % 3,227.2
FloatingReset 6.04 % 6.07 % 85,587 13.70 3 0.9289 % 2,550.6
FixedReset Prem 5.07 % 3.46 % 138,661 1.54 22 -0.0460 % 2,646.4
FixedReset Bank Non 1.93 % 3.66 % 65,736 2.01 3 0.2450 % 2,737.6
FixedReset Ins Non 5.32 % 5.73 % 143,820 14.25 22 -0.0268 % 2,203.7
Performance Highlights
Issue Index Change Notes
HSE.PR.E FixedReset Disc -3.67 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-01-02
Maturity Price : 18.35
Evaluated at bid price : 18.35
Bid-YTW : 7.22 %
BIP.PR.A FixedReset Disc -2.64 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-01-02
Maturity Price : 20.30
Evaluated at bid price : 20.30
Bid-YTW : 6.49 %
IFC.PR.A FixedReset Ins Non 1.04 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-01-02
Maturity Price : 14.55
Evaluated at bid price : 14.55
Bid-YTW : 5.89 %
NA.PR.G FixedReset Disc 1.08 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-01-02
Maturity Price : 19.73
Evaluated at bid price : 19.73
Bid-YTW : 5.89 %
BNS.PR.I FixedReset Disc 1.12 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-01-02
Maturity Price : 19.90
Evaluated at bid price : 19.90
Bid-YTW : 5.49 %
TRP.PR.G FixedReset Disc 1.18 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-01-02
Maturity Price : 18.82
Evaluated at bid price : 18.82
Bid-YTW : 6.19 %
HSE.PR.A FixedReset Disc 1.22 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-01-02
Maturity Price : 12.45
Evaluated at bid price : 12.45
Bid-YTW : 6.76 %
IAF.PR.G FixedReset Ins Non 1.31 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-01-02
Maturity Price : 19.40
Evaluated at bid price : 19.40
Bid-YTW : 5.74 %
TRP.PR.F FloatingReset 1.49 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-01-02
Maturity Price : 14.33
Evaluated at bid price : 14.33
Bid-YTW : 6.33 %
Volume Highlights
Issue Index Shares
Traded		 Notes
TD.PF.B FixedReset Disc 58,000 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-01-02
Maturity Price : 17.46
Evaluated at bid price : 17.46
Bid-YTW : 5.65 %
GWO.PR.S Deemed-Retractible 33,019 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-01-02
Maturity Price : 24.42
Evaluated at bid price : 24.75
Bid-YTW : 5.32 %
RY.PR.S FixedReset Disc 32,759 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-01-02
Maturity Price : 19.54
Evaluated at bid price : 19.54
Bid-YTW : 5.50 %
SLF.PR.A Deemed-Retractible 30,075 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-01-02
Maturity Price : 22.22
Evaluated at bid price : 22.50
Bid-YTW : 5.30 %
BMO.PR.E FixedReset Disc 18,902 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-01-02
Maturity Price : 20.00
Evaluated at bid price : 20.00
Bid-YTW : 5.67 %
IAF.PR.I FixedReset Ins Non 18,608 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-01-02
Maturity Price : 19.75
Evaluated at bid price : 19.75
Bid-YTW : 5.74 %
There were 8 other index-included issues trading in excess of 10,000 shares.
Wide Spread Highlights
Issue Index Quote Data and Yield Notes
HSE.PR.E FixedReset Disc Quote: 18.35 – 19.21
Spot Rate : 0.8600
Average : 0.6181

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-01-02
Maturity Price : 18.35
Evaluated at bid price : 18.35
Bid-YTW : 7.22 %
BIP.PR.A FixedReset Disc Quote: 20.30 – 20.80
Spot Rate : 0.5000
Average : 0.2985

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-01-02
Maturity Price : 20.30
Evaluated at bid price : 20.30
Bid-YTW : 6.49 %
BAM.PF.D Perpetual-Discount Quote: 22.25 – 22.65
Spot Rate : 0.4000
Average : 0.2840

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-01-02
Maturity Price : 21.96
Evaluated at bid price : 22.25
Bid-YTW : 5.53 %
ELF.PR.H Perpetual-Premium Quote: 24.91 – 25.27
Spot Rate : 0.3600
Average : 0.2544

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-01-02
Maturity Price : 24.54
Evaluated at bid price : 24.91
Bid-YTW : 5.52 %
PWF.PR.E Perpetual-Premium Quote: 25.17 – 25.57
Spot Rate : 0.4000
Average : 0.3024

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-01-02
Maturity Price : 24.87
Evaluated at bid price : 25.17
Bid-YTW : 5.55 %
TD.PF.D FixedReset Disc Quote: 19.61 – 19.99
Spot Rate : 0.3800
Average : 0.2909

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-01-02
Maturity Price : 19.61
Evaluated at bid price : 19.61
Bid-YTW : 5.77 %

Posted in Market Action | No Comments »

MAPF Portfolio Composition: December, 2019

January 2nd, 2020

Turnover surged to 44% in December; the market strong during the month, with buying interest exceeding what must have been significant tax-loss selling pressure, making the market very liquid with good day-to-day volatility for some issues.

The fund’s trading will probably be higher in the future than has been normal for the past several years, since the extreme segmentation in the marketplace that I have been complaining about for so long is now effectively ended. Low-Reset insurance issues have been considered so cheap relative to their peers that the fund’s holdings were effectively frozen. However, this differentiating factor is no longer considered applicable.

I am no longer making any adjustments for special qualities of insurance issues but note that this policy may change again in the future – a requirement for a Principal Loss Absorbency Mechanism, whereby any security included in Tier 1 Capital will be wiped out prior to a government bail-out, even if technical bankruptcy is avoided, remains good public policy; it is a disgrace that the IAIS has rejected this principle and even worse that OSFI argued strenuously against it. I will continue to read notifications from these two entities with great interest, but while it is within the realm of possibility that ICS 2.0 will be revised following the expiry of the current five-year testing period, I can’t say I have any great confidence in the wisdom of the bureaucrats.

Sectoral distribution of the MAPF portfolio on December 31 was as follows:

MAPF Sectoral Analysis 2019-12-31
HIMI Indices Sector Weighting YTW ModDur
Ratchet 0% N/A N/A
FixFloat 0% N/A N/A
Floater 0% N/A N/A
OpRet 0% N/A N/A
SplitShare 0% N/A N/A
Interest Rearing 0% N/A N/A
PerpetualPremium 0% N/A N/A
PerpetualDiscount 0% N/A N/A
Fixed-Reset Discount 57.6% 6.00% 13.96
Deemed-Retractible 0% N/A N/A
FloatingReset 4.4% 5.89% 14.05
FixedReset Premium 0% N/A N/A
FixedReset Bank non-NVCC 0% N/A N/A
FixedReset Insurance non-NVCC 28.9% 5.77% 14.37
Scraps – Ratchet 1.5% 7.14% 14.01
Scraps – FixedFloater 0.0% N/A N/A
Scraps – Floater 0% N/A N/A
Scraps – OpRet 0% N/A N/A
Scraps – SplitShare 0% N/A N/A
Scraps – PerpPrem 0% N/A N/A
Scraps – PerpDisc 0% N/A N/A
Scraps – FR Discount 6.4% 7.55% 12.03
Scraps – DeemedRet 0% N/A N/A
Scraps – FloatingReset 0.8% 8.09% 11.29
Scraps – FR Premium 0% N/A N/A
Scraps – Bank non-NVCC 0% N/A N/A
Scraps – Ins non-NVCC 0% N/A N/A
Cash +0.5% 0.00% 0.00
Total 100% 6.03% 13.87
Totals and changes will not add precisely due to rounding. Cash is included in totals with duration and yield both equal to zero.
The various “Scraps” indices include issues with a DBRS rating of Pfd-3(high) or lower and issues with an Average Trading Value (calculated with HIMIPref™ methodology, which is relatively complex) of less than $25,000. The issues considered “Scraps” are subdivided into indices which reflect those of the main indices.
DeemedRetractibles 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. These issues are analyzed as if their prospectuses included a requirement to redeem at par on or prior to 2022-1-31 in the case of banks or normally in the case of insurers and insurance holding companies, in addition to the call schedule explicitly defined. See the Deemed Retractible Review: September 2016 for the rationale behind this analysis and IAIS Says No To DeemedRetractions for the recent change in policy with respect to insurers.

Note that the estimate for the time this will become effective for insurers and insurance holding companies was extended by three years in April 2013, due to the delays in OSFI’s providing clarity on the issue and by a further five years in December, 2018; the estimate was eliminated in November..
Calculations of resettable instruments are performed assuming a constant GOC-5 rate of 1.68% and a constant 3-Month Bill rate of 1.68%

The “total” reflects the un-leveraged total portfolio (i.e., cash is included in the portfolio calculations and is deemed to have a duration and yield of 0.00.). MAPF will often have relatively large cash balances, both credit and debit, to facilitate trading. Figures presented in the table have been rounded to the indicated precision.

Credit distribution is:

MAPF Credit Analysis 2019-12-31
DBRS Rating Weighting
Pfd-1 0
Pfd-1(low) 0
Pfd-2(high) 37.1%
Pfd-2 29.3%
Pfd-2(low) 24.5%
Pfd-3(high) 2.0%
Pfd-3 3.5%
Pfd-3(low) 2.3%
Pfd-4(high) 0%
Pfd-4 0%
Pfd-4(low) 0.7%
Pfd-5(high) 0%
Pfd-5 0.0%
Cash +0.5%
Totals will not add precisely due to rounding.
The fund holds a position in AZP.PR.C (tendered for conversion to AZP.PR.B), which is rated P-4(low) by S&P and is unrated by DBRS; it is included in the Pfd-4(low) total.
The fund holds a position in EMA.PR.C, which are rated P-2(low) by S&P and is unrated by DBRS; it is included in the Pfd-2(low) total.
A position held in INE.PR.A is not rated by DBRS, but has been included as “Pfd-3” in the above table on the basis of its S&P rating of P-3.

Liquidity Distribution is:

MAPF Liquidity Analysis 2019-12-31
Average Daily Trading Weighting
<$50,000 4.7%
$50,000 – $100,000 13.0%
$100,000 – $200,000 36.1%
$200,000 – $300,000 2.3%
>$300,000 43.4%
Cash +0.5%
Totals will not add precisely due to rounding.

The distribution of Issue Reset Spreads is:

Range MAPF Weight
<100bp 0%
100-149bp 18.4%
150-199bp 11.4%
200-249bp 29.1%
250-299bp 25.6%
300-349bp 4.6%
350-399bp 5.8%
400-449bp 1.8%
450-499bp 0.0%
500-549bp 1.3%
550-599bp 0%
>= 600bp 0%
Undefined 2.0%

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

Range MAPF Weight
Currently Floating 6.6%
0-1 Year 5.3%
1-2 Years 23.0%
2-3 Years 11.3%
3-4 Years 30.9%
4-5 Years 22.5%
5-6 Years 0%
>6 Years 0%
Not Floating Rate +0.5%

MAPF is, of course, Malachite Aggressive Preferred Fund, a “unit trust” managed by Hymas Investment Management Inc. Further information and links to performance, audited financials and subscription information are available the fund’s web page. The fund may be purchased directly from Hymas Investment Management. A “unit trust” is like a regular mutual fund, but are not sold with a prospectus. This is cheaper, but means subscription is restricted to “accredited investors” (as defined by the Ontario Securities Commission). Fund past performances are not a guarantee of future performance. You can lose money investing in MAPF or any other fund.

A similar portfolio composition analysis has been performed on the Claymore Preferred Share ETF (symbol CPD) (and other funds) as of July 31, 2017, and published in the August, 2017, PrefLetter. It is fair to say:

  • MAPF credit quality is much better
  • MAPF liquidity is lower
  • MAPF Yield is higher
  • Weightings
    • MAPF is much less exposed to Straight Perpetuals
    • Neither portfolio is exposed to Operating Retractibles (there aren’t too many of those any more!)
    • MAPF is equally exposed to SplitShares (that is to say, currently no exposure)
    • MAPF is less exposed to FixFloat / Floater / Ratchet
    • MAPF is significantly higher weighted in FixedResets, with a much greater emphasis on lower-spread and insurance issues

Posted in MAPF | 2 Comments »

December 31, 2019

January 1st, 2020

Happy New Year, everybody!

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 0.5354 % 2,154.2
FixedFloater 0.00 % 0.00 % 0 0.00 0 0.5354 % 3,952.9
Floater 5.66 % 5.78 % 50,574 14.22 4 0.5354 % 2,278.0
OpRet 0.00 % 0.00 % 0 0.00 0 0.0841 % 3,445.0
SplitShare 4.63 % 4.43 % 36,798 3.79 7 0.0841 % 4,114.1
Interest-Bearing 0.00 % 0.00 % 0 0.00 0 0.0841 % 3,210.0
Perpetual-Premium 5.57 % -6.71 % 64,019 0.09 10 0.0983 % 3,048.0
Perpetual-Discount 5.28 % 5.37 % 69,715 14.84 25 0.0550 % 3,286.5
FixedReset Disc 5.46 % 5.76 % 210,555 14.26 66 0.4522 % 2,168.2
Deemed-Retractible 5.16 % 5.27 % 67,875 14.92 27 0.0671 % 3,233.6
FloatingReset 6.13 % 6.41 % 121,133 13.31 2 0.2203 % 2,527.1
FixedReset Prem 5.09 % 3.38 % 143,575 1.49 20 -0.0058 % 2,647.6
FixedReset Bank Non 1.94 % 3.71 % 66,320 2.02 3 0.0000 % 2,731.0
FixedReset Ins Non 5.32 % 5.73 % 148,378 14.29 22 0.5972 % 2,204.2
Performance Highlights
Issue Index Change Notes
IAF.PR.I FixedReset Ins Non 1.02 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-12-31
Maturity Price : 19.76
Evaluated at bid price : 19.76
Bid-YTW : 5.74 %
MFC.PR.I FixedReset Ins Non 1.07 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-12-31
Maturity Price : 19.75
Evaluated at bid price : 19.75
Bid-YTW : 5.76 %
TRP.PR.G FixedReset Disc 1.09 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-12-31
Maturity Price : 18.60
Evaluated at bid price : 18.60
Bid-YTW : 6.26 %
CM.PR.R FixedReset Disc 1.09 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-12-31
Maturity Price : 21.30
Evaluated at bid price : 21.30
Bid-YTW : 5.82 %
BMO.PR.Y FixedReset Disc 1.16 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-12-31
Maturity Price : 19.24
Evaluated at bid price : 19.24
Bid-YTW : 5.76 %
TD.PF.D FixedReset Disc 1.23 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-12-31
Maturity Price : 19.72
Evaluated at bid price : 19.72
Bid-YTW : 5.73 %
BAM.PR.C Floater 1.27 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-12-31
Maturity Price : 12.00
Evaluated at bid price : 12.00
Bid-YTW : 5.78 %
TD.PF.E FixedReset Disc 1.27 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-12-31
Maturity Price : 19.99
Evaluated at bid price : 19.99
Bid-YTW : 5.74 %
MFC.PR.G FixedReset Ins Non 1.29 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-12-31
Maturity Price : 19.67
Evaluated at bid price : 19.67
Bid-YTW : 5.77 %
TRP.PR.A FixedReset Disc 1.38 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-12-31
Maturity Price : 14.65
Evaluated at bid price : 14.65
Bid-YTW : 6.13 %
MFC.PR.K FixedReset Ins Non 1.42 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-12-31
Maturity Price : 17.86
Evaluated at bid price : 17.86
Bid-YTW : 5.67 %
CCS.PR.C Deemed-Retractible 1.50 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-12-31
Maturity Price : 23.41
Evaluated at bid price : 23.70
Bid-YTW : 5.29 %
HSE.PR.E FixedReset Disc 1.55 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-12-31
Maturity Price : 19.05
Evaluated at bid price : 19.05
Bid-YTW : 6.95 %
IFC.PR.G FixedReset Ins Non 1.55 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-12-31
Maturity Price : 18.94
Evaluated at bid price : 18.94
Bid-YTW : 5.81 %
HSE.PR.C FixedReset Disc 1.59 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-12-31
Maturity Price : 17.30
Evaluated at bid price : 17.30
Bid-YTW : 6.95 %
HSE.PR.A FixedReset Disc 1.65 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-12-31
Maturity Price : 12.30
Evaluated at bid price : 12.30
Bid-YTW : 6.83 %
SLF.PR.G FixedReset Ins Non 1.80 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-12-31
Maturity Price : 13.55
Evaluated at bid price : 13.55
Bid-YTW : 5.71 %
HSE.PR.G FixedReset Disc 1.94 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-12-31
Maturity Price : 18.88
Evaluated at bid price : 18.88
Bid-YTW : 6.93 %
RY.PR.J FixedReset Disc 2.11 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-12-31
Maturity Price : 19.86
Evaluated at bid price : 19.86
Bid-YTW : 5.62 %
BAM.PF.B FixedReset Disc 2.51 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-12-31
Maturity Price : 18.79
Evaluated at bid price : 18.79
Bid-YTW : 5.82 %
Volume Highlights
Issue Index Shares
Traded		 Notes
NA.PR.E FixedReset Disc 31,100 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-12-31
Maturity Price : 18.72
Evaluated at bid price : 18.72
Bid-YTW : 5.88 %
BMO.PR.D FixedReset Disc 27,313 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-12-31
Maturity Price : 21.20
Evaluated at bid price : 21.20
Bid-YTW : 5.71 %
TD.PF.G FixedReset Prem 26,406 YTW SCENARIO
Maturity Type : Call
Maturity Date : 2021-04-30
Maturity Price : 25.00
Evaluated at bid price : 25.94
Bid-YTW : 3.29 %
EMA.PR.F FixedReset Disc 25,000 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-12-31
Maturity Price : 17.26
Evaluated at bid price : 17.26
Bid-YTW : 6.34 %
TD.PF.A FixedReset Disc 23,835 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-12-31
Maturity Price : 17.51
Evaluated at bid price : 17.51
Bid-YTW : 5.59 %
RY.PR.Z FixedReset Disc 19,435 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-12-31
Maturity Price : 17.52
Evaluated at bid price : 17.52
Bid-YTW : 5.56 %
There were 10 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: 17.60 – 18.49
Spot Rate : 0.8900
Average : 0.6054

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-12-31
Maturity Price : 17.60
Evaluated at bid price : 17.60
Bid-YTW : 6.06 %
SLF.PR.J FloatingReset Quote: 13.17 – 13.69
Spot Rate : 0.5200
Average : 0.3693

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-12-31
Maturity Price : 13.17
Evaluated at bid price : 13.17
Bid-YTW : 5.89 %
SLF.PR.I FixedReset Ins Non Quote: 18.93 – 19.34
Spot Rate : 0.4100
Average : 0.2673

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-12-31
Maturity Price : 18.93
Evaluated at bid price : 18.93
Bid-YTW : 5.77 %
CU.PR.I FixedReset Prem Quote: 25.36 – 25.85
Spot Rate : 0.4900
Average : 0.3515

YTW SCENARIO
Maturity Type : Call
Maturity Date : 2020-12-01
Maturity Price : 25.00
Evaluated at bid price : 25.36
Bid-YTW : 3.31 %
IFC.PR.A FixedReset Ins Non Quote: 14.40 – 14.86
Spot Rate : 0.4600
Average : 0.3282

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-12-31
Maturity Price : 14.40
Evaluated at bid price : 14.40
Bid-YTW : 5.95 %
TD.PF.C FixedReset Disc Quote: 17.64 – 17.96
Spot Rate : 0.3200
Average : 0.2287

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-12-31
Maturity Price : 17.64
Evaluated at bid price : 17.64
Bid-YTW : 5.67 %

Posted in Market Action | No Comments »

December 30, 2019

December 30th, 2019
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 2.9686 % 2,142.7
FixedFloater 0.00 % 0.00 % 0 0.00 0 2.9686 % 3,931.8
Floater 5.69 % 5.78 % 51,233 14.22 4 2.9686 % 2,265.9
OpRet 0.00 % 0.00 % 0 0.00 0 0.1066 % 3,442.1
SplitShare 4.63 % 4.53 % 38,314 3.79 7 0.1066 % 4,110.6
Interest-Bearing 0.00 % 0.00 % 0 0.00 0 0.1066 % 3,207.3
Perpetual-Premium 5.57 % -5.97 % 66,552 0.09 10 0.0918 % 3,045.0
Perpetual-Discount 5.28 % 5.36 % 72,559 14.85 25 0.0923 % 3,284.7
FixedReset Disc 5.47 % 5.80 % 211,813 14.20 66 0.5140 % 2,158.4
Deemed-Retractible 5.16 % 5.27 % 68,938 14.90 27 -0.0078 % 3,231.5
FloatingReset 6.14 % 6.43 % 126,013 13.29 2 -0.1467 % 2,521.6
FixedReset Prem 5.09 % 3.39 % 148,642 1.49 20 0.0705 % 2,647.8
FixedReset Bank Non 1.94 % 3.71 % 69,032 2.02 3 0.1363 % 2,731.0
FixedReset Ins Non 5.37 % 5.77 % 154,434 14.24 22 0.3931 % 2,191.2
Performance Highlights
Issue Index Change Notes
BAM.PF.B FixedReset Disc -1.35 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-12-30
Maturity Price : 18.33
Evaluated at bid price : 18.33
Bid-YTW : 5.97 %
IFC.PR.C FixedReset Ins Non -1.13 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-12-30
Maturity Price : 17.55
Evaluated at bid price : 17.55
Bid-YTW : 6.07 %
CM.PR.P FixedReset Disc 1.01 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-12-30
Maturity Price : 17.00
Evaluated at bid price : 17.00
Bid-YTW : 5.77 %
TD.PF.I FixedReset Disc 1.02 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-12-30
Maturity Price : 20.84
Evaluated at bid price : 20.84
Bid-YTW : 5.69 %
W.PR.M FixedReset Prem 1.03 % YTW SCENARIO
Maturity Type : Call
Maturity Date : 2021-10-15
Maturity Price : 25.00
Evaluated at bid price : 25.74
Bid-YTW : 3.38 %
CU.PR.C FixedReset Disc 1.04 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-12-30
Maturity Price : 17.48
Evaluated at bid price : 17.48
Bid-YTW : 5.76 %
TRP.PR.G FixedReset Disc 1.04 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-12-30
Maturity Price : 18.40
Evaluated at bid price : 18.40
Bid-YTW : 6.33 %
EIT.PR.A SplitShare 1.06 % YTW SCENARIO
Maturity Type : Soft Maturity
Maturity Date : 2024-03-14
Maturity Price : 25.00
Evaluated at bid price : 25.72
Bid-YTW : 4.12 %
BMO.PR.S FixedReset Disc 1.06 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-12-30
Maturity Price : 18.04
Evaluated at bid price : 18.04
Bid-YTW : 5.57 %
CM.PR.Q FixedReset Disc 1.12 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-12-30
Maturity Price : 19.01
Evaluated at bid price : 19.01
Bid-YTW : 5.84 %
TRP.PR.E FixedReset Disc 1.13 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-12-30
Maturity Price : 16.35
Evaluated at bid price : 16.35
Bid-YTW : 6.05 %
IAF.PR.I FixedReset Ins Non 1.14 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-12-30
Maturity Price : 19.56
Evaluated at bid price : 19.56
Bid-YTW : 5.79 %
RY.PR.Z FixedReset Disc 1.15 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-12-30
Maturity Price : 17.54
Evaluated at bid price : 17.54
Bid-YTW : 5.55 %
TD.PF.C FixedReset Disc 1.21 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-12-30
Maturity Price : 17.57
Evaluated at bid price : 17.57
Bid-YTW : 5.69 %
RY.PR.M FixedReset Disc 1.22 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-12-30
Maturity Price : 19.08
Evaluated at bid price : 19.08
Bid-YTW : 5.66 %
MFC.PR.F FixedReset Ins Non 1.27 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-12-30
Maturity Price : 12.79
Evaluated at bid price : 12.79
Bid-YTW : 5.94 %
MFC.PR.I FixedReset Ins Non 1.35 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-12-30
Maturity Price : 19.54
Evaluated at bid price : 19.54
Bid-YTW : 5.82 %
TRP.PR.C FixedReset Disc 1.37 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-12-30
Maturity Price : 12.53
Evaluated at bid price : 12.53
Bid-YTW : 6.33 %
NA.PR.W FixedReset Disc 1.48 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-12-30
Maturity Price : 17.15
Evaluated at bid price : 17.15
Bid-YTW : 5.82 %
BAM.PF.F FixedReset Disc 1.69 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-12-30
Maturity Price : 18.66
Evaluated at bid price : 18.66
Bid-YTW : 5.93 %
BNS.PR.I FixedReset Disc 2.04 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-12-30
Maturity Price : 19.50
Evaluated at bid price : 19.50
Bid-YTW : 5.61 %
HSE.PR.A FixedReset Disc 2.11 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-12-30
Maturity Price : 12.10
Evaluated at bid price : 12.10
Bid-YTW : 6.94 %
HSE.PR.E FixedReset Disc 2.12 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-12-30
Maturity Price : 18.76
Evaluated at bid price : 18.76
Bid-YTW : 7.05 %
IAF.PR.G FixedReset Ins Non 2.29 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-12-30
Maturity Price : 19.19
Evaluated at bid price : 19.19
Bid-YTW : 5.79 %
BAM.PR.K Floater 2.56 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-12-30
Maturity Price : 12.00
Evaluated at bid price : 12.00
Bid-YTW : 5.78 %
BAM.PR.C Floater 2.78 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-12-30
Maturity Price : 11.85
Evaluated at bid price : 11.85
Bid-YTW : 5.86 %
PWF.PR.A Floater 3.14 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-12-30
Maturity Price : 12.81
Evaluated at bid price : 12.81
Bid-YTW : 5.47 %
BAM.PR.B Floater 3.39 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-12-30
Maturity Price : 11.90
Evaluated at bid price : 11.90
Bid-YTW : 5.83 %
Volume Highlights
Issue Index Shares
Traded		 Notes
BMO.PR.S FixedReset Disc 40,879 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-12-30
Maturity Price : 18.04
Evaluated at bid price : 18.04
Bid-YTW : 5.57 %
BMO.PR.E FixedReset Disc 36,484 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-12-30
Maturity Price : 19.85
Evaluated at bid price : 19.85
Bid-YTW : 5.71 %
BMO.PR.D FixedReset Disc 31,463 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-12-30
Maturity Price : 21.19
Evaluated at bid price : 21.19
Bid-YTW : 5.71 %
IAF.PR.I FixedReset Ins Non 30,400 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-12-30
Maturity Price : 19.56
Evaluated at bid price : 19.56
Bid-YTW : 5.79 %
CM.PR.O FixedReset Disc 29,501 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-12-30
Maturity Price : 16.82
Evaluated at bid price : 16.82
Bid-YTW : 5.83 %
RY.PR.M FixedReset Disc 28,900 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-12-30
Maturity Price : 19.08
Evaluated at bid price : 19.08
Bid-YTW : 5.66 %
There were 16 other index-included issues trading in excess of 10,000 shares.
Wide Spread Highlights
Issue Index Quote Data and Yield Notes
HSE.PR.G FixedReset Disc Quote: 18.52 – 19.50
Spot Rate : 0.9800
Average : 0.7111

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-12-30
Maturity Price : 18.52
Evaluated at bid price : 18.52
Bid-YTW : 7.06 %
BAM.PF.B FixedReset Disc Quote: 18.33 – 18.84
Spot Rate : 0.5100
Average : 0.3621

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-12-30
Maturity Price : 18.33
Evaluated at bid price : 18.33
Bid-YTW : 5.97 %
IFC.PR.C FixedReset Ins Non Quote: 17.55 – 17.99
Spot Rate : 0.4400
Average : 0.2934

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-12-30
Maturity Price : 17.55
Evaluated at bid price : 17.55
Bid-YTW : 6.07 %
GWO.PR.N FixedReset Ins Non Quote: 13.53 – 14.00
Spot Rate : 0.4700
Average : 0.3306

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-12-30
Maturity Price : 13.53
Evaluated at bid price : 13.53
Bid-YTW : 5.46 %
BAM.PR.C Floater Quote: 11.85 – 12.30
Spot Rate : 0.4500
Average : 0.3150

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-12-30
Maturity Price : 11.85
Evaluated at bid price : 11.85
Bid-YTW : 5.86 %
MFC.PR.H FixedReset Ins Non Quote: 20.95 – 21.23
Spot Rate : 0.2800
Average : 0.1621

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-12-30
Maturity Price : 20.95
Evaluated at bid price : 20.95
Bid-YTW : 5.71 %

Posted in Market Action | No Comments »

December 27, 2019

December 28th, 2019

I mentioned my problem with Enbridge Gas on November 25; some Assiduous Readers may be interested in reading my formal complaint to the OEB. The file number assigned by the OEB is 2019-0006848. Anybody who has had a similar problem is encouraged to make a similar complaint to the board; feel free to quote and draw inspiration from my complaint and refer to it if convenient. Just be sure that you describe your own experiences as well as you can remember and complain about them!

You will note that the focus of the complaint is not on the unilateral conversion to eMail billing itself, but on the obfuscation and falsehoods that were a feature of my attempts to reverse it. A complaint merely about the conversion could be cleared simply by them reversing the conversion, which is not enough; the customer-hostile actions are what get my goat.

I have learned of other complaints, some formal, some not:

Preferred share volume was down from recent highly elevated levels, but still quite respectable for December 27! This was the last day for tax-loss selling, which this year has been outweighed by bargain-hunter buying. It will be most interesting to see on Monday whether the positive pressure persists in the absence of tax-loss selling!

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 0.0637 % 2,080.9
FixedFloater 0.00 % 0.00 % 0 0.00 0 0.0637 % 3,818.4
Floater 5.86 % 5.93 % 53,050 14.00 4 0.0637 % 2,200.6
OpRet 0.00 % 0.00 % 0 0.00 0 -0.2463 % 3,438.5
SplitShare 4.64 % 4.39 % 38,573 3.80 7 -0.2463 % 4,106.2
Interest-Bearing 0.00 % 0.00 % 0 0.00 0 -0.2463 % 3,203.9
Perpetual-Premium 5.57 % -7.46 % 66,785 0.09 10 0.0393 % 3,042.2
Perpetual-Discount 5.28 % 5.36 % 71,876 14.82 25 -0.0464 % 3,281.6
FixedReset Disc 5.50 % 5.75 % 219,213 14.26 66 -0.1410 % 2,147.4
Deemed-Retractible 5.16 % 5.29 % 69,984 14.96 27 -0.0686 % 3,231.7
FloatingReset 6.13 % 6.43 % 131,098 13.30 2 0.0734 % 2,525.3
FixedReset Prem 5.09 % 3.43 % 149,849 1.50 20 -0.2420 % 2,645.9
FixedReset Bank Non 1.94 % 3.76 % 68,472 2.03 3 0.0682 % 2,727.2
FixedReset Ins Non 5.38 % 5.70 % 161,378 14.27 22 0.0664 % 2,182.6
Performance Highlights
Issue Index Change Notes
PWF.PR.A Floater -1.74 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-12-27
Maturity Price : 12.42
Evaluated at bid price : 12.42
Bid-YTW : 5.64 %
BAM.PR.R FixedReset Disc -1.70 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-12-27
Maturity Price : 15.59
Evaluated at bid price : 15.59
Bid-YTW : 6.20 %
HSE.PR.C FixedReset Disc -1.45 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-12-27
Maturity Price : 17.00
Evaluated at bid price : 17.00
Bid-YTW : 7.04 %
MFC.PR.L FixedReset Ins Non -1.15 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-12-27
Maturity Price : 17.12
Evaluated at bid price : 17.12
Bid-YTW : 5.57 %
BAM.PR.Z FixedReset Disc -1.15 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-12-27
Maturity Price : 19.73
Evaluated at bid price : 19.73
Bid-YTW : 5.87 %
IAF.PR.I FixedReset Ins Non -1.12 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-12-27
Maturity Price : 19.34
Evaluated at bid price : 19.34
Bid-YTW : 5.79 %
TRP.PR.B FixedReset Disc -1.07 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-12-27
Maturity Price : 11.99
Evaluated at bid price : 11.99
Bid-YTW : 6.06 %
EIT.PR.A SplitShare -1.05 % YTW SCENARIO
Maturity Type : Soft Maturity
Maturity Date : 2024-03-14
Maturity Price : 25.00
Evaluated at bid price : 25.45
Bid-YTW : 4.39 %
EIT.PR.B SplitShare -1.02 % YTW SCENARIO
Maturity Type : Soft Maturity
Maturity Date : 2025-03-14
Maturity Price : 25.00
Evaluated at bid price : 25.35
Bid-YTW : 4.56 %
GWO.PR.N FixedReset Ins Non 1.27 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-12-27
Maturity Price : 13.53
Evaluated at bid price : 13.53
Bid-YTW : 5.36 %
BAM.PR.K Floater 1.30 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-12-27
Maturity Price : 11.70
Evaluated at bid price : 11.70
Bid-YTW : 5.93 %
PWF.PR.P FixedReset Disc 1.33 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-12-27
Maturity Price : 13.68
Evaluated at bid price : 13.68
Bid-YTW : 5.87 %
IFC.PR.G FixedReset Ins Non 1.47 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-12-27
Maturity Price : 18.64
Evaluated at bid price : 18.64
Bid-YTW : 5.84 %
Volume Highlights
Issue Index Shares
Traded		 Notes
BNS.PR.I FixedReset Disc 40,851 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-12-27
Maturity Price : 19.11
Evaluated at bid price : 19.11
Bid-YTW : 5.66 %
RY.PR.S FixedReset Disc 29,917 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-12-27
Maturity Price : 19.15
Evaluated at bid price : 19.15
Bid-YTW : 5.55 %
NA.PR.C FixedReset Disc 29,240 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-12-27
Maturity Price : 21.34
Evaluated at bid price : 21.34
Bid-YTW : 5.88 %
CM.PR.O FixedReset Disc 27,978 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-12-27
Maturity Price : 16.71
Evaluated at bid price : 16.71
Bid-YTW : 5.80 %
TD.PF.L FixedReset Disc 25,835 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-12-27
Maturity Price : 22.78
Evaluated at bid price : 23.90
Bid-YTW : 5.22 %
TRP.PR.G FixedReset Disc 25,500 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-12-27
Maturity Price : 18.21
Evaluated at bid price : 18.21
Bid-YTW : 6.31 %
There were 24 other index-included issues trading in excess of 10,000 shares.
Wide Spread Highlights
Issue Index Quote Data and Yield Notes
HSE.PR.C FixedReset Disc Quote: 17.00 – 17.54
Spot Rate : 0.5400
Average : 0.3638

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-12-27
Maturity Price : 17.00
Evaluated at bid price : 17.00
Bid-YTW : 7.04 %
IAF.PR.G FixedReset Ins Non Quote: 18.76 – 19.43
Spot Rate : 0.6700
Average : 0.5010

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-12-27
Maturity Price : 18.76
Evaluated at bid price : 18.76
Bid-YTW : 5.86 %
BAM.PR.R FixedReset Disc Quote: 15.59 – 16.06
Spot Rate : 0.4700
Average : 0.3200

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-12-27
Maturity Price : 15.59
Evaluated at bid price : 15.59
Bid-YTW : 6.20 %
CU.PR.D Perpetual-Discount Quote: 23.30 – 23.78
Spot Rate : 0.4800
Average : 0.3344

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-12-27
Maturity Price : 22.91
Evaluated at bid price : 23.30
Bid-YTW : 5.29 %
BMO.PR.T FixedReset Disc Quote: 17.05 – 17.43
Spot Rate : 0.3800
Average : 0.2408

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-12-27
Maturity Price : 17.05
Evaluated at bid price : 17.05
Bid-YTW : 5.64 %
W.PR.M FixedReset Prem Quote: 25.80 – 26.25
Spot Rate : 0.4500
Average : 0.3177

YTW SCENARIO
Maturity Type : Call
Maturity Date : 2021-10-15
Maturity Price : 25.00
Evaluated at bid price : 25.80
Bid-YTW : 3.97 %

Posted in Market Action | No Comments »

December 24, 2019

December 24th, 2019

Merry Christmas to all, and to all a good night!

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 0.2126 % 2,079.6
FixedFloater 0.00 % 0.00 % 0 0.00 0 0.2126 % 3,816.0
Floater 5.87 % 6.00 % 54,988 13.90 4 0.2126 % 2,199.2
OpRet 0.00 % 0.00 % 0 0.00 0 0.1121 % 3,446.9
SplitShare 4.62 % 4.29 % 40,159 3.81 7 0.1121 % 4,116.4
Interest-Bearing 0.00 % 0.00 % 0 0.00 0 0.1121 % 3,211.8
Perpetual-Premium 5.57 % -6.64 % 67,779 0.09 10 0.0118 % 3,041.0
Perpetual-Discount 5.28 % 5.36 % 72,295 14.85 25 -0.0636 % 3,283.1
FixedReset Disc 5.49 % 5.75 % 221,797 14.28 66 0.0435 % 2,150.4
Deemed-Retractible 5.16 % 5.26 % 70,903 14.95 27 0.1077 % 3,233.9
FloatingReset 6.14 % 6.40 % 136,103 13.34 2 0.8512 % 2,523.4
FixedReset Prem 5.08 % 3.34 % 148,659 1.51 20 0.0852 % 2,652.4
FixedReset Bank Non 1.94 % 3.79 % 67,613 2.04 3 -0.0545 % 2,725.4
FixedReset Ins Non 5.39 % 5.72 % 151,166 14.30 22 0.1305 % 2,181.1
Performance Highlights
Issue Index Change Notes
BAM.PR.X FixedReset Disc -1.98 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-12-24
Maturity Price : 13.38
Evaluated at bid price : 13.38
Bid-YTW : 6.23 %
GWO.PR.N FixedReset Ins Non -1.62 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-12-24
Maturity Price : 13.36
Evaluated at bid price : 13.36
Bid-YTW : 5.42 %
EIT.PR.B SplitShare 1.03 % YTW SCENARIO
Maturity Type : Soft Maturity
Maturity Date : 2025-03-14
Maturity Price : 25.00
Evaluated at bid price : 25.61
Bid-YTW : 4.32 %
TRP.PR.F FloatingReset 1.07 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-12-24
Maturity Price : 14.12
Evaluated at bid price : 14.12
Bid-YTW : 6.40 %
BAM.PR.B Floater 1.23 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-12-24
Maturity Price : 11.50
Evaluated at bid price : 11.50
Bid-YTW : 6.03 %
HSE.PR.C FixedReset Disc 1.23 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-12-24
Maturity Price : 17.25
Evaluated at bid price : 17.25
Bid-YTW : 6.93 %
TRP.PR.D FixedReset Disc 1.27 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-12-24
Maturity Price : 16.80
Evaluated at bid price : 16.80
Bid-YTW : 6.02 %
TRP.PR.C FixedReset Disc 1.28 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-12-24
Maturity Price : 12.62
Evaluated at bid price : 12.62
Bid-YTW : 6.24 %
HSE.PR.G FixedReset Disc 2.14 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-12-24
Maturity Price : 18.59
Evaluated at bid price : 18.59
Bid-YTW : 6.95 %
IFC.PR.C FixedReset Ins Non 2.36 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-12-24
Maturity Price : 17.76
Evaluated at bid price : 17.76
Bid-YTW : 5.92 %
TRP.PR.B FixedReset Disc 2.89 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-12-24
Maturity Price : 12.12
Evaluated at bid price : 12.12
Bid-YTW : 5.99 %
Volume Highlights
Issue Index Shares
Traded		 Notes
TD.PF.K FixedReset Disc 25,866 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-12-24
Maturity Price : 19.25
Evaluated at bid price : 19.25
Bid-YTW : 5.73 %
PWF.PR.R Perpetual-Premium 23,700 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-12-24
Maturity Price : 24.79
Evaluated at bid price : 25.11
Bid-YTW : 5.55 %
CM.PR.R FixedReset Disc 20,784 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-12-24
Maturity Price : 21.06
Evaluated at bid price : 21.06
Bid-YTW : 5.82 %
CM.PR.S FixedReset Disc 20,530 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-12-24
Maturity Price : 17.93
Evaluated at bid price : 17.93
Bid-YTW : 5.79 %
RY.PR.J FixedReset Disc 20,256 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-12-24
Maturity Price : 19.48
Evaluated at bid price : 19.48
Bid-YTW : 5.65 %
RY.PR.S FixedReset Disc 18,936 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-12-24
Maturity Price : 19.23
Evaluated at bid price : 19.23
Bid-YTW : 5.52 %
There were 11 other index-included issues trading in excess of 10,000 shares.
Wide Spread Highlights
Issue Index Quote Data and Yield Notes
CCS.PR.C Deemed-Retractible Quote: 23.51 – 24.50
Spot Rate : 0.9900
Average : 0.8029

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-12-24
Maturity Price : 23.21
Evaluated at bid price : 23.51
Bid-YTW : 5.33 %
BMO.PR.W FixedReset Disc Quote: 17.34 – 17.89
Spot Rate : 0.5500
Average : 0.3773

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-12-24
Maturity Price : 17.34
Evaluated at bid price : 17.34
Bid-YTW : 5.61 %
PVS.PR.F SplitShare Quote: 25.39 – 25.90
Spot Rate : 0.5100
Average : 0.3603

YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2024-09-30
Maturity Price : 25.00
Evaluated at bid price : 25.39
Bid-YTW : 4.51 %
HSE.PR.G FixedReset Disc Quote: 18.59 – 19.34
Spot Rate : 0.7500
Average : 0.6095

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-12-24
Maturity Price : 18.59
Evaluated at bid price : 18.59
Bid-YTW : 6.95 %
PWF.PR.T FixedReset Disc Quote: 18.27 – 18.73
Spot Rate : 0.4600
Average : 0.3549

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-12-24
Maturity Price : 18.27
Evaluated at bid price : 18.27
Bid-YTW : 5.63 %
TD.PF.C FixedReset Disc Quote: 17.34 – 17.60
Spot Rate : 0.2600
Average : 0.1686

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-12-24
Maturity Price : 17.34
Evaluated at bid price : 17.34
Bid-YTW : 5.68 %

Posted in Market Action | No Comments »

OSP.PR.A Downgraded to Pfd-5 By DBRS

December 24th, 2019

DBRS has announced that it:

downgraded the rating of the Preferred Shares issued by Brompton Oil Split Corp. (the Company) to Pfd-5 from Pfd-4 (low). The Company invests in common shares of at least 15 large capitalization North American oil and gas issuers (the Portfolio) selected from the S&P 500 Index and the S&P/TSX Composite Index. The Company may also invest up to 25% of the Portfolio value in the common shares of issuers listed on the S&P 500 Index or the S&P/TSX Composite Index that satisfy its investment criteria, operating in energy subsectors including equipment, services, pipelines, transportation, and infrastructure. The Portfolio is approximately equally weighted, actively managed, and rebalanced at least semi-annually. A portion of the Portfolio’s investments are denominated in U.S. dollars; however, substantially all of this exposure is hedged back to Canadian dollars. The Company has the ability to write covered call options or engage in securities lending in order to generate additional income.
…
The dividend coverage ratio was approximately 0.3 times as of December 11, 2019.
…
As of December 11, 2019, the downside protection available to holders of the Preferred Shares was 0.6%. It has averaged around this level in the last three months as a result of depressed prices of energy stocks and the oil market struggling to recover from lower demand and oversupply. Subsequently, because of the downside protection reduction below acceptable levels for a prolonged period of time and weak dividend coverage, which creates further grind on the Portfolio, DBRS Morningstar downgraded the rating on the Preferred Shares to Pfd-5.

The maturity date of the Preferred Shares is March 31, 2020. On March 9, 2019, the Company announced an extension of the term for another three to five years. The details of the term extension will be announced at least 60 days before the maturity date.

The Whole Unit NAVPU was 10.92 as of December 23, according to Brompton’s figures for the Capital Unit NAVPU and Preferred Share NAVPU, for an Asset Coverage Ratio of 1.1-:1, equivalent to Downside Protection of about 8%. It’s not clear to me how the DBRS figure of 0.6% was derived.

Posted in Issue Comments | 5 Comments »

December 23, 2019

December 23rd, 2019
HIMIPref™ Preferred Indices
These values reflect the December 2008 revision of the HIMIPref™ Indices
Values are provisional and are finalized monthly
Index Mean
Current
Yield
(at bid)		 Median
YTW		 Median
Average
Trading
Value		 Median
Mod Dur
(YTW)		 Issues Day’s Perf. Index Value
Ratchet 0.00 % 0.00 % 0 0.00 0 1.1615 % 2,075.2
FixedFloater 0.00 % 0.00 % 0 0.00 0 1.1615 % 3,807.9
Floater 5.88 % 6.03 % 57,140 13.87 4 1.1615 % 2,194.5
OpRet 0.00 % 0.00 % 0 0.00 0 0.1571 % 3,443.1
SplitShare 4.63 % 4.27 % 39,438 3.81 7 0.1571 % 4,111.8
Interest-Bearing 0.00 % 0.00 % 0 0.00 0 0.1571 % 3,208.2
Perpetual-Premium 5.57 % -6.82 % 68,037 0.09 10 0.0362 % 3,040.7
Perpetual-Discount 5.28 % 5.36 % 72,783 14.84 25 0.0630 % 3,285.2
FixedReset Disc 5.49 % 5.76 % 225,481 14.26 66 -0.1746 % 2,149.5
Deemed-Retractible 5.17 % 5.26 % 71,939 14.93 27 0.1110 % 3,230.5
FloatingReset 6.19 % 6.47 % 140,728 13.25 2 -1.0619 % 2,502.1
FixedReset Prem 5.08 % 3.35 % 154,556 1.51 20 0.1766 % 2,650.1
FixedReset Bank Non 1.94 % 3.74 % 68,483 2.04 3 0.2049 % 2,726.9
FixedReset Ins Non 5.39 % 5.71 % 156,835 14.27 22 -0.1500 % 2,178.3
Performance Highlights
Issue Index Change Notes
TRP.PR.A FixedReset Disc -2.03 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-12-23
Maturity Price : 14.50
Evaluated at bid price : 14.50
Bid-YTW : 6.14 %
TRP.PR.F FloatingReset -1.69 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-12-23
Maturity Price : 13.97
Evaluated at bid price : 13.97
Bid-YTW : 6.47 %
CM.PR.S FixedReset Disc -1.63 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-12-23
Maturity Price : 18.15
Evaluated at bid price : 18.15
Bid-YTW : 5.83 %
TRP.PR.B FixedReset Disc -1.51 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-12-23
Maturity Price : 11.78
Evaluated at bid price : 11.78
Bid-YTW : 6.16 %
TD.PF.K FixedReset Disc -1.28 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-12-23
Maturity Price : 19.21
Evaluated at bid price : 19.21
Bid-YTW : 5.74 %
RY.PR.J FixedReset Disc -1.23 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-12-23
Maturity Price : 19.30
Evaluated at bid price : 19.30
Bid-YTW : 5.70 %
IFC.PR.G FixedReset Ins Non -1.13 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-12-23
Maturity Price : 18.40
Evaluated at bid price : 18.40
Bid-YTW : 5.91 %
MFC.PR.Q FixedReset Ins Non -1.12 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-12-23
Maturity Price : 19.42
Evaluated at bid price : 19.42
Bid-YTW : 5.55 %
RY.PR.S FixedReset Disc -1.08 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-12-23
Maturity Price : 19.20
Evaluated at bid price : 19.20
Bid-YTW : 5.53 %
TD.PF.I FixedReset Disc -1.05 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-12-23
Maturity Price : 20.78
Evaluated at bid price : 20.78
Bid-YTW : 5.64 %
W.PR.K FixedReset Prem 1.13 % YTW SCENARIO
Maturity Type : Call
Maturity Date : 2021-01-15
Maturity Price : 25.00
Evaluated at bid price : 26.02
Bid-YTW : 2.30 %
EIT.PR.A SplitShare 1.26 % YTW SCENARIO
Maturity Type : Soft Maturity
Maturity Date : 2024-03-14
Maturity Price : 25.00
Evaluated at bid price : 25.72
Bid-YTW : 4.10 %
PWF.PR.A Floater 1.27 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-12-23
Maturity Price : 12.71
Evaluated at bid price : 12.71
Bid-YTW : 5.51 %
BAM.PR.C Floater 1.42 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-12-23
Maturity Price : 11.46
Evaluated at bid price : 11.46
Bid-YTW : 6.05 %
GWO.PR.N FixedReset Ins Non 1.65 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-12-23
Maturity Price : 13.58
Evaluated at bid price : 13.58
Bid-YTW : 5.33 %
PWF.PR.T FixedReset Disc 1.73 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-12-23
Maturity Price : 18.24
Evaluated at bid price : 18.24
Bid-YTW : 5.64 %
BAM.PR.K Floater 1.77 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-12-23
Maturity Price : 11.50
Evaluated at bid price : 11.50
Bid-YTW : 6.03 %
HSE.PR.A FixedReset Disc 1.82 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-12-23
Maturity Price : 11.76
Evaluated at bid price : 11.76
Bid-YTW : 7.01 %
Volume Highlights
Issue Index Shares
Traded		 Notes
TD.PF.C FixedReset Disc 93,347 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-12-23
Maturity Price : 17.34
Evaluated at bid price : 17.34
Bid-YTW : 5.67 %
TD.PF.A FixedReset Disc 59,287 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-12-23
Maturity Price : 17.12
Evaluated at bid price : 17.12
Bid-YTW : 5.65 %
TD.PF.H FixedReset Prem 50,600 YTW SCENARIO
Maturity Type : Call
Maturity Date : 2021-10-31
Maturity Price : 25.00
Evaluated at bid price : 25.85
Bid-YTW : 3.35 %
RY.PR.S FixedReset Disc 34,603 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-12-23
Maturity Price : 19.20
Evaluated at bid price : 19.20
Bid-YTW : 5.53 %
IAF.PR.G FixedReset Ins Non 34,536 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-12-23
Maturity Price : 18.77
Evaluated at bid price : 18.77
Bid-YTW : 5.85 %
MFC.PR.O FixedReset Ins Non 33,250 YTW SCENARIO
Maturity Type : Call
Maturity Date : 2021-06-19
Maturity Price : 25.00
Evaluated at bid price : 25.70
Bid-YTW : 3.72 %
There were 52 other index-included issues trading in excess of 10,000 shares.
Wide Spread Highlights
Issue Index Quote Data and Yield Notes
BAM.PF.F FixedReset Disc Quote: 18.25 – 18.87
Spot Rate : 0.6200
Average : 0.3646

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-12-23
Maturity Price : 18.25
Evaluated at bid price : 18.25
Bid-YTW : 6.00 %
HSE.PR.G FixedReset Disc Quote: 18.20 – 18.84
Spot Rate : 0.6400
Average : 0.4555

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-12-23
Maturity Price : 18.20
Evaluated at bid price : 18.20
Bid-YTW : 7.09 %
CU.PR.F Perpetual-Discount Quote: 21.55 – 22.11
Spot Rate : 0.5600
Average : 0.4098

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-12-23
Maturity Price : 21.55
Evaluated at bid price : 21.55
Bid-YTW : 5.28 %
PWF.PR.P FixedReset Disc Quote: 13.62 – 14.10
Spot Rate : 0.4800
Average : 0.3405

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-12-23
Maturity Price : 13.62
Evaluated at bid price : 13.62
Bid-YTW : 5.89 %
PVS.PR.G SplitShare Quote: 25.61 – 26.00
Spot Rate : 0.3900
Average : 0.2661

YTW SCENARIO
Maturity Type : Option Certainty
Maturity Date : 2026-02-28
Maturity Price : 25.00
Evaluated at bid price : 25.61
Bid-YTW : 4.51 %
TD.PF.J FixedReset Disc Quote: 19.58 – 19.95
Spot Rate : 0.3700
Average : 0.2507

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-12-23
Maturity Price : 19.58
Evaluated at bid price : 19.58
Bid-YTW : 5.71 %

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