Turnover slumped to 7% in January, with a slight move into FixedReset premium issues.
Sectoral distribution of the MAPF portfolio on January 30, 2026, was:
| MAPF Sectoral Analysis 2026-01-30 | ||||
| HIMI Indices Sector | Weighting | YTW | ModDur | |
| Ratchet | 0% | N/A | N/A | |
| FixFloat | 0% | N/A | N/A | |
| Floater | 13.3% | 6.10% | 13.74 | |
| 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 | 7.5% | 5.61% | 14.53 | |
| Fixed-Reset Discount | 11.0% | 6.31% | 13.39 | |
| Insurance – Straight | 25.0% | 5.31% | 14.94 | |
| FloatingReset | 0% | N/A | N/A | |
| FixedReset Premium | 19.6% | 4.34% | 1.51 | |
| FixedReset Bank non-NVCC | 0% | N/A | N/A | |
| FixedReset Insurance non-NVCC | 10.7% | 5.45% | 14.65 | |
| Scraps – Ratchet | 0% | N/A | N/A | |
| Scraps – FixedFloater | 0% | N/A | N/A | |
| Scraps – Floater | 0% | N/A | N/A | |
| Scraps – OpRet | 0% | N/A | N/A | |
| Scraps – SplitShare | 1.9% | 5.66% | 3.23 | |
| Scraps – PerpPrem | 0% | N/A | N/A | |
| Scraps – PerpDisc | 0% | N/A | N/A | |
| Scraps – FR Discount | 10.7% | 6.31% | 13.52 | |
| Scraps – Insurance Straight | 0% | N/A | N/A | |
| Scraps – FloatingReset | 0% | N/A | N/A | |
| 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 | 0.0% | 0.00% | 0.00 | |
| Total | 100% | 5.49% | 11.55 | |
| 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 were comprised of all Straight Perpetuals (both PerpetualDiscount and PerpetualPremium) issued by BMO, BNS, CM, ELF, GWO, HSB, IAG, MFC, NA, RY, SLF and TD, which are not exchangable into common at the option of the company or the regulator. These issues are analyzed as if their prospectuses included a requirement to redeem at par on or prior to 2022-1-31 in the case of banks or normally in the case of insurers and insurance holding companies, in addition to the call schedule explicitly defined. See the Deemed Retractible Review: September 2016 for the rationale behind this analysis and IAIS Says No To DeemedRetractions for the recent change in policy with respect to insurers.
Note that the estimate for the time this will become effective for insurers and insurance holding companies was extended by three years in April 2013, due to the delays in OSFI’s providing clarity on the issue and by a further five years in December, 2018; the estimate was eliminated in November. However, the distinctions are being kept because it is useful to distinguish insurance issues from others. The name of this subindex has been changed to “Insurance Straight” as of November, 2020 |
||||
| Calculations of yield and related attributes of resettable instruments are performed assuming a constant GOC-5 rate of 2.91%, a constant 3-Month Bill rate of 2.20% and a constant Canada Prime Rate of 4.45% | ||||
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 2026-1-30 | ||
| DBRS Rating | MAPF Weighting | |
| Pfd-1 | 0 | |
| Pfd-1(low) | 0 | |
| Pfd-2(high) | 47.8% | |
| Pfd-2 | 20.7% | |
| Pfd-2(low) | 19.0% | |
| Pfd-3(high) | 8.4% | |
| Pfd-3 | 1.2% | |
| Pfd-3(low) | 3.0% | |
| Pfd-4(high) | 0% | |
| Pfd-4 | 0% | |
| Pfd-4(low) | 0% | |
| Pfd-5(high) | 0% | |
| Pfd-5 | 0% | |
| Cash | 0.0% | |
| Totals will not add precisely due to rounding. | ||
Liquidity Distribution is:
| MAPF Liquidity Analysis 2026-1-30 | ||
| Average Daily Trading | MAPF Weighting | |
| <$50,000 | 1.2% | |
| $50,000 – $100,000 | 55.7% | |
| $100,000 – $200,000 | 36.6% | |
| $200,000 – $300,000 | 4.2% | |
| >$300,000 | 2.3% | |
| Cash | 0.0% | |
| Totals will not add precisely due to rounding. | ||
The distribution of Issue Reset Spreads is:
| Range | MAPF Weight |
| <100bp | 0% |
| 100-149bp | 4.5% |
| 150-199bp | 14.6% |
| 200-249bp | 13.5% |
| 250-299bp | 0.7% |
| 300-349bp | 10.6% |
| 350-399bp | 8.0% |
| 400-449bp | 0% |
| 450-499bp | 0% |
| 500-549bp | 0% |
| 550-599bp | 0% |
| >= 600bp | 0% |
| Undefined | 48.1% |
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 | 13.7% |
| 0-1 Year | 2.1% |
| 1-2 Years | 31.2% |
| 2-3 Years | 3.6% |
| 3-4 Years | 12.1% |
| 4-5 Years | 3.2% |
| 5-6 Years | 0% |
| >6 Years | 0% |
| Not Floating Rate | 34.0% |
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.
[…] Current Yield to skyrocket, but these two values have become much closer. We have to wait for the reset date of the MAPF portfolio securities before we see a change in actual cash receipts – and, of course, there is no guarantee […]
I’m hoping that maybe we can start a discussion here about what YOUR preferred share portfolio composition is, and why.
I try and simplify my portfolio composition by dividing it into five basic groups…
1) fixed-reset discount
2) fixed-reset premium – these prefs are more likely to be redeemed at their next reset, and thus behave a little bit like a GIC
3) floaters
4) perpetuals
5) split shares
I’ve tried to sort through James’ MAPF composition and came up with these figures (correct me if I’m wrong): 32% f-r discount / 20% f-r premium / 13% floaters / 33% perpetuals / 2% split shares
My portfolio is currently: 5% f-r discount / 25% f-r premium / 20% floaters / 30% perpetuals / 20% split share
I have had my f-r discounts as high as 80% in the past, but they are now trading at ten year highs and I am worried that the downside potential is more than the upside. I have moved much of that money to f-r premium and split shares in the hope that these will be safer havens. I have also increased my allocation to floaters as these are still well below their previous highs in 2018 and 2022 and should benefit if interest rates rise. Lastly, I have increased my allocation to perpetuals as some protection against falling interest rates.
Please share your thoughts on an ideal preferred share portfolio composition!
I don’t think there is an ideal. I think it all depends on what you are trying to accomplish and how that can be most reliably achieved.
For MAPF:
Your portfolio, with 25% f-r premium and 20% split share is more defensive than that of the fund (assuming adequate credit quality, especially in the split shares!), but it sounds like that’s what you want.
I have had my f-r discounts as high as 80% in the past, but they are now trading at ten year highs and I am worried that the downside potential is more than the upside.
I will suggest that your f-r discount holdings be skewed to the low-reset low-price issues, as this will increase the symmetry of your return distributions between good times and bad times. As I noted in the December composition report: