MAPF Portfolio Composition : January, 2023

February 4th, 2023

Turnover was high at 14% in January, due to distortions in relative pricing. Market volumes have been very low for quite some time, having never really recovered from the usual summer decline in 2021.

Sectoral distribution of the MAPF portfolio on January 31, 2023, were:

MAPF Sectoral Analysis 2023-1-31
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 7.6% 6.59% 13.06
Fixed-Reset Discount 64.9% 7.76% 12.12
Insurance – Straight 0% N/A N/A
FloatingReset 0% N/A N/A
FixedReset Premium 0% N/A N/A
FixedReset Bank non-NVCC 0% N/A N/A
FixedReset Insurance non-NVCC 17.0% 7.65% 12.64
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 2.9% 8.43% 2.47
Scraps – PerpPrem 0% N/A N/A
Scraps – PerpDisc 0% N/A N/A
Scraps – FR Discount 7.2% 8.74% 11.26
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 +0.4% 0.00% 0.00
Total 100% 7.71% 11.89
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 resettable instruments are performed assuming a constant GOC-5 rate of 3.07%, a constant 3-Month Bill rate of 4.48% and a constant Canada Prime Rate of 6.70%

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 2023-1-31
DBRS Rating MAPF Weighting
Pfd-1 0
Pfd-1(low) 0
Pfd-2(high) 46.4%
Pfd-2 11.3%
Pfd-2(low) 31.8%
Pfd-3(high) 4.2%
Pfd-3 3.1%
Pfd-3(low) 1.2%
Pfd-4(high) 1.1%
Pfd-4 0.4%
Pfd-4(low) 0%
Pfd-5(high) 0%
Pfd-5 0%
Cash +0.4%
Totals will not add precisely due to rounding.
A position held in INE.PR.A is not rated by DBRS nor by S&P, but has been included as “Pfd-4(high)” in the above table on the basis of its last S&P rating of P-4(high) and its BB rating from Fitch. A “BB” rating would normally map to Pfd-3, but the company’s disdain for the two major preferred share agencies makes me nervous.
A position is held in CF.PR.A which is no longer rated by DBRS, but has been included in the table with a deemed rating of Pfd-4; the final DBRS rating was Pfd-4(high), but I’m taking it down a notch for reporting purposes because the lack of a rating makes me nervous.

Liquidity Distribution is:

MAPF Liquidity Analysis 2023-1-31
Average Daily Trading MAPF Weighting
<$50,000 29.3%
$50,000 – $100,000 26.0%
$100,000 – $200,000 36.6%
$200,000 – $300,000 5.7%
>$300,000 2.0%
Cash +0.4%
Totals will not add precisely due to rounding.

The distribution of Issue Reset Spreads is:

Range MAPF Weight
<100bp 0%
100-149bp 16.6%
150-199bp 19.5%
200-249bp 45.8%
250-299bp 5.0%
300-349bp 2.2%
350-399bp 0%
400-449bp 0%
450-499bp 0%
500-549bp 0%
550-599bp 0%
>= 600bp 0%
Undefined 10.9%

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 0%
0-1 Year 0.4%
1-2 Years 38.9%
2-3 Years 21.7%
3-4 Years 25.6%
4-5 Years 2.4%
5-6 Years 0%
>6 Years 0%
Not Floating Rate 10.9%

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.

Posted in MAPF | No Comments »

DBRS Announces TRP Under Review-Negative

February 3rd, 2023

DBRS has announced that it:

has placed the ratings of TC Energy Corporation (TCC or the Company), TransCanada PipeLines Limited (TCPL; TCC’s wholly owned subsidiary), Nova Gas Transmission Limited (NGTL), and Trans Québec & Maritimes Pipeline Inc. (TQM) Under Review with Negative Implications. The ratings of NGTL and TQM are based on the ratings of TCPL. The rating actions follow the updated cost estimate of $14.5 billion (previously $ 11.2 billion) provided by the Company for the Coastal GasLink Project (the Project) with a potential for additional increases of $1.2 billion if construction extends well into 2024. While the Company is pursuing cost mitigants and recoveries, the process is unlikely to be completed before the Project is placed in service. DBRS Morningstar considers the increase in Project cost to be credit negative as the costs are materially higher than DBRS Morningstar’s previous expectation and will have to be fully borne by TCC through the construction period.

DBRS Morningstar’s ratings on TCC and TCPL are based on the expectation that TCC will maintain its overall financial risk profile in the “A” rating category. However, the increase in Project cost has reduced the Company’s financial flexibility, and TCC will have to depend on the successful execution of its proposed asset divestiture program to bridge the funding gap and maintain its financial risk profile. While the Company has an extensive portfolio of contracted assets with stable cash flows that could be monetized, the size of the divestiture program does entail execution and timing risks. In addition, the impact of the asset sales on cash flow and possibly the Company’s business risk profile is uncertain at this time.

DBRS Morningstar expects to resolve the Under Review Status after reviewing the Company’s updated financing plan and having more certainty with regard to the scope of the asset divestiture program. Despite the increase in Project cost, TCC’s rating is underpinned by its strong business risk profile, and DBRS Morningstar expects any negative rating action to likely be limited at most to one notch lower from the current ratings.

This follows the S&P announcement of 2023-2-1:

  • TC Energy Corp. (TC) recently announced an updated cost estimate for its Coastal GasLink project. The increase of approximately C$3.3 billion will bring the estimated total cost of the project to C$14.5 billion. The increased project cost, to be realized over the remainder of construction, is in addition to the C$9.5 billion in 2023 capital expenditure (capex) that the company announced in November 2022.
  • TC has indicated that it is committed to asset sales to fully fund its capital program and the increased costs of Coastal GasLink Project; however, the timing of these sales and the net impact on leverage and EBITDA are uncertain at this time.
  • As a result, S&P Global Ratings revised the outlook to negative from stable and affirmed its ‘BBB+’ issuer credit rating on TC.
  • The negative outlook indicates the uncertainty regarding the timing and amount of the anticipated asset sales necessary to ensure the company can achieve a debt-to-EBITDA ratio of less than 5.0x, consistent with the rating.

…
The negative outlook reflects the uncertainty regarding any asset sales in support of the company’s announced capital program as well as the increased costs at the Coastal GasLink project. Although we believe TC has assets that would be attractive to potential purchasers, it is not clear as to the impact on business risk of such sales or whether the ultimate amount and EBITDA impact of such sales will allow the company to reduce its leverage consistent with the rating. Based on our base-case assumption, we forecast debt to EBITDA of about 5.4x in 2023 and 5x in 2024.

We could lower the rating if we believe that the asset sales net of any EBITDA impact will not be sufficient to offset the company’s increased capex, including the higher costs at the Coastal GasLink project or any of the other projects, such that debt to EBITDA will remain above 5.0x or FFO-to-Debt will fall below 13% on a consistent basis.

We could revise the outlook to stable if we believe the company has undertaken sufficient asset sales or other credit positive measures such that debt to EBITDA will remain below 5.0x and FFO-to-debt will remain above 13% on a consistent basis.

Affected issues are TRP.PR.A, TRP.PR.B, TRP.PR.C, TRP.PR.D, TRP.PR.E, TRP.PR.F, TRP.PR.G, TRP.PR.H and TRP.PR.I.

Posted in Issue Comments | 1 Comment »

February 3, 2023

February 3rd, 2023

Jobs, jobs, jobs!:

The American labor market unleashed a burst of hiring in January, producing another wave of robust job growth even as interest rates continue to rise.

Employers added 517,000 jobs on a seasonally adjusted basis, the Labor Department said on Friday, an increase from 260,000 in December.

The unemployment rate was 3.4 percent, the lowest since 1969.

Even as hiring surged, wage growth slowed slightly to 0.3 percent compared with December.
…
In addition to the report on Friday, the government released data this week showing that the number of posted jobs per available unemployed worker — a measure that policymakers have been watching closely — rose again in December. And despite a cavalcade of layoffs in the technology sector, the overall number of pink slips has stayed extremely low.
…
The job growth was broad-based, including in some industries that economists had expected to show signs of slowing. Employers in leisure and hospitality, including restaurants and bars, brought on a bevy of workers.

The labor force participation rate was unchanged at 62.4 percent. Fed officials have been hoping to see an increase in the ranks of those available to work, which could alleviate the tightness in the labor market that is driving up wages and contributing to inflation.
…
Average hourly earnings climbed by 4.4 percent over the year, more than forecast in a Bloomberg survey of economists but less than 4.8 percent in December. Pay growth has been decelerating for months, though it remains faster than is typical and is still notably quicker than the pace that Fed officials have at times suggested would be consistent with their 2 percent inflation goal.

The Bank of England hiked 50bp yesterday:

The Bank of England’s Monetary Policy Committee (MPC) sets monetary policy to meet the 2% inflation target, and in a way that helps to sustain growth and employment. At its meeting ending on 1 February 2023, the MPC voted by a majority of 7–2 to increase Bank Rate by 0.5 percentage points, to 4%. Two members preferred to maintain Bank Rate at 3.5%.

Global consumer price inflation remains high, although it is likely to have peaked across many advanced economies, including in the United Kingdom. Wholesale gas prices have fallen recently and global supply chain disruption appears to have eased amid a slowing in global demand. Many central banks have continued to tighten monetary policy, although market pricing indicates reductions in policy rates further ahead.

UK domestic inflationary pressures have been firmer than expected. Both private sector regular pay growth and services CPI inflation have been notably higher than forecast in the November Monetary Policy Report. The labour market remains tight by historical standards, although it has started to loosen and some survey indicators of wage growth have eased, alongside a gradual decline in underlying output. Given the lags in monetary policy transmission, the increases in Bank Rate since December 2021 are expected to have an increasing impact on the economy in the coming quarters.
…
In the latest modal forecast, conditioned on a market-implied path for Bank Rate that rises to around 4½% in mid-2023 and falls back to just over 3¼% in three years’ time, an increasing degree of economic slack, alongside falling external pressures, leads CPI inflation to decline to below the 2% target in the medium term. There are considerable uncertainties around this medium-term outlook, and the Committee continues to judge that the risks to inflation are skewed significantly to the upside.

The European Central Bank also hiked 50bp:

The Governing Council will stay the course in raising interest rates significantly at a steady pace and in keeping them at levels that are sufficiently restrictive to ensure a timely return of inflation to its 2% medium-term target. Accordingly, the Governing Council today decided to raise the three key ECB interest rates by 50 basis points and it expects to raise them further. In view of the underlying inflation pressures, the Governing Council intends to raise interest rates by another 50 basis points at its next monetary policy meeting in March and it will then evaluate the subsequent path of its monetary policy. Keeping interest rates at restrictive levels will over time reduce inflation by dampening demand and will also guard against the risk of a persistent upward shift in inflation expectations. In any event, the Governing Council’s future policy rate decisions will continue to be data-dependent and follow a meeting-by-meeting approach.

The New York Fed has released a paper by Julian di Giovanni, Şebnem Kalemli-Özcan, Alvaro Silva, and Muhammed A. Yıldırım titled Quantifying the Inflationary Impact of Fiscal Stimulus under Supply Constraints:

This paper builds on Baqaee and Farhi (2022) and di Giovanni et al. (2022) to quantify the contribution of fiscal policy to U.S. inflation over the December 2019-June 2022 period. Model calibrations show that aggregate demand shocks explain roughly two-thirds of total model-based inflation, and that the fiscal stimulus contributed half or more of the total aggregate demand effect.
…
U.S. headline inflation has hit levels not seen for several decades, reaching 9 percent per annum at its peak in June 2022, before declining to approximately 7 percent per annum by the end of 2022. In contrast, inflation was below 2 percent before the 2020 COVID-19 pandemic.

A priority that has been at the top of the minds of both policymakers and academics alike has been to quantify the relative importance of the key factors in driving the observed inflation, particularly the relative importance of supply bottlenecks vs. consumer demand, as the U.S. and world economies struggled with supply-demand imbalances arising from the COVID-19 health shock combined with stimulative policies.

The literature thus far has found differing results, ranging from one-third to two-thirds contributions from supply factors (with the remaining being demand). Shapiro (2022a,b) takes an econometric approach while di Giovanni et al. (2022) and Ferrante, Graves and Iacoviello (2022) use quantiative models.

Though these papers provide important early evidence on the different channels that drove the surge in inflation, none of them take a stand on the inflationary impact of specific policy actions. In particular, the 2021 Biden fiscal package totaled 15% of GDP and has been blamed by some for today’s high inflation (Blanchard, Domash and Summers, 2022).

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 -0.1855 % 2,586.2
FixedFloater 0.00 % 0.00 % 0 0.00 0 -0.1855 % 4,960.2
Floater 8.71 % 8.86 % 55,396 10.47 2 -0.1855 % 2,858.6
OpRet 0.00 % 0.00 % 0 0.00 0 0.3770 % 3,439.1
SplitShare 4.89 % 6.39 % 53,719 2.80 7 0.3770 % 4,107.0
Interest-Bearing 0.00 % 0.00 % 0 0.00 0 0.3770 % 3,204.4
Perpetual-Premium 0.00 % 0.00 % 0 0.00 0 0.7667 % 2,879.9
Perpetual-Discount 5.92 % 5.98 % 82,948 13.94 37 0.7667 % 3,140.4
FixedReset Disc 5.39 % 7.15 % 91,883 12.56 59 -0.1752 % 2,259.5
Insurance Straight 5.79 % 5.94 % 91,685 13.97 20 0.0258 % 3,101.2
FloatingReset 9.67 % 10.15 % 39,773 9.37 2 0.1892 % 2,579.4
FixedReset Prem 6.33 % 6.30 % 196,069 4.06 3 0.0132 % 2,392.8
FixedReset Bank Non 0.00 % 0.00 % 0 0.00 0 -0.1752 % 2,309.7
FixedReset Ins Non 5.40 % 7.05 % 46,887 12.71 14 0.4296 % 2,390.8
Performance Highlights
Issue Index Change Notes
IFC.PR.C FixedReset Disc -23.54 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2053-02-03
Maturity Price : 14.00
Evaluated at bid price : 14.00
Bid-YTW : 9.24 %
CU.PR.G Perpetual-Discount -1.32 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2053-02-03
Maturity Price : 19.49
Evaluated at bid price : 19.49
Bid-YTW : 5.78 %
IAF.PR.B Insurance Straight -1.20 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2053-02-03
Maturity Price : 20.50
Evaluated at bid price : 20.50
Bid-YTW : 5.69 %
BN.PF.A FixedReset Disc 1.00 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2053-02-03
Maturity Price : 20.20
Evaluated at bid price : 20.20
Bid-YTW : 7.47 %
GWO.PR.Q Insurance Straight 1.02 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2053-02-03
Maturity Price : 21.57
Evaluated at bid price : 21.83
Bid-YTW : 5.97 %
CU.PR.I FixedReset Disc 1.02 % YTW SCENARIO
Maturity Type : Call
Maturity Date : 2025-12-01
Maturity Price : 25.00
Evaluated at bid price : 24.75
Bid-YTW : 4.78 %
BMO.PR.W FixedReset Disc 1.12 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2053-02-03
Maturity Price : 18.00
Evaluated at bid price : 18.00
Bid-YTW : 7.15 %
MFC.PR.M FixedReset Ins Non 1.20 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2053-02-03
Maturity Price : 17.74
Evaluated at bid price : 17.74
Bid-YTW : 7.49 %
BMO.PR.T FixedReset Disc 1.20 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2053-02-03
Maturity Price : 17.71
Evaluated at bid price : 17.71
Bid-YTW : 7.29 %
BN.PF.C Perpetual-Discount 1.23 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2053-02-03
Maturity Price : 19.75
Evaluated at bid price : 19.75
Bid-YTW : 6.23 %
PVS.PR.J SplitShare 1.30 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2028-02-29
Maturity Price : 25.00
Evaluated at bid price : 23.30
Bid-YTW : 6.18 %
PVS.PR.H SplitShare 1.44 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2027-02-28
Maturity Price : 25.00
Evaluated at bid price : 24.00
Bid-YTW : 6.07 %
CU.PR.J Perpetual-Discount 1.49 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2053-02-03
Maturity Price : 20.43
Evaluated at bid price : 20.43
Bid-YTW : 5.82 %
BN.PF.I FixedReset Disc 1.49 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2053-02-03
Maturity Price : 22.39
Evaluated at bid price : 23.10
Bid-YTW : 7.11 %
BIP.PR.E FixedReset Disc 1.72 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2053-02-03
Maturity Price : 21.58
Evaluated at bid price : 21.93
Bid-YTW : 7.02 %
IAF.PR.I FixedReset Ins Non 1.99 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2053-02-03
Maturity Price : 22.30
Evaluated at bid price : 23.05
Bid-YTW : 6.37 %
CU.PR.E Perpetual-Discount 4.40 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2053-02-03
Maturity Price : 21.10
Evaluated at bid price : 21.10
Bid-YTW : 5.82 %
CU.PR.D Perpetual-Discount 4.51 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2053-02-03
Maturity Price : 21.10
Evaluated at bid price : 21.10
Bid-YTW : 5.82 %
CU.PR.H Perpetual-Discount 10.11 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2053-02-03
Maturity Price : 22.38
Evaluated at bid price : 22.65
Bid-YTW : 5.79 %
PWF.PR.L Perpetual-Discount 11.17 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2053-02-03
Maturity Price : 21.50
Evaluated at bid price : 21.50
Bid-YTW : 5.98 %
Volume Highlights
Issue Index Shares
Traded		 Notes
TRP.PR.C FixedReset Disc 60,800 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2053-02-03
Maturity Price : 12.20
Evaluated at bid price : 12.20
Bid-YTW : 8.34 %
NA.PR.C FixedReset Prem 52,440 YTW SCENARIO
Maturity Type : Call
Maturity Date : 2027-11-15
Maturity Price : 25.00
Evaluated at bid price : 25.75
Bid-YTW : 6.30 %
PWF.PR.P FixedReset Disc 38,100 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2053-02-03
Maturity Price : 13.10
Evaluated at bid price : 13.10
Bid-YTW : 7.91 %
NA.PR.S FixedReset Disc 35,430 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2053-02-03
Maturity Price : 18.31
Evaluated at bid price : 18.31
Bid-YTW : 7.36 %
FTS.PR.K FixedReset Disc 27,879 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2053-02-03
Maturity Price : 17.18
Evaluated at bid price : 17.18
Bid-YTW : 7.49 %
FTS.PR.M FixedReset Disc 23,081 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2053-02-03
Maturity Price : 18.16
Evaluated at bid price : 18.16
Bid-YTW : 7.51 %
There were 12 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 Disc Quote: 14.00 – 18.50
Spot Rate : 4.5000
Average : 3.0708

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2053-02-03
Maturity Price : 14.00
Evaluated at bid price : 14.00
Bid-YTW : 9.24 %
ELF.PR.H Perpetual-Discount Quote: 22.75 – 23.35
Spot Rate : 0.6000
Average : 0.3512

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2053-02-03
Maturity Price : 22.49
Evaluated at bid price : 22.75
Bid-YTW : 6.10 %
BMO.PR.Y FixedReset Disc Quote: 19.20 – 19.95
Spot Rate : 0.7500
Average : 0.5372

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2053-02-03
Maturity Price : 19.20
Evaluated at bid price : 19.20
Bid-YTW : 6.97 %
TD.PF.M FixedReset Disc Quote: 24.37 – 25.00
Spot Rate : 0.6300
Average : 0.4378

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2053-02-03
Maturity Price : 24.00
Evaluated at bid price : 24.37
Bid-YTW : 6.70 %
CM.PR.Q FixedReset Disc Quote: 19.27 – 19.98
Spot Rate : 0.7100
Average : 0.5777

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2053-02-03
Maturity Price : 19.27
Evaluated at bid price : 19.27
Bid-YTW : 7.03 %
SLF.PR.G FixedReset Ins Non Quote: 13.35 – 13.69
Spot Rate : 0.3400
Average : 0.2472

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2053-02-03
Maturity Price : 13.35
Evaluated at bid price : 13.35
Bid-YTW : 7.65 %

Posted in Market Action | No Comments »

February 2, 2023

February 2nd, 2023

The IMF has published a piece in defence of globalization:

Today’s surge in inflation grows out of the interplay of supply chain disruptions with large fiscal deficits. The pandemic, followed by Russia’s invasion of Ukraine, upended supply chains and produced scarcities. Rich industrial countries responded to the shortages, inequalities, and social stress with large fiscal packages. In the ensuing spiral, increased spending led to more demand, which led to more shortfalls. Another vicious spiral may follow. Rising food and fuel prices could spark discontent, protests, even revolutions and government breakdowns around the world.

The inflationary spiral may appear to herald a quite different world, split into competing blocs that pursue costly “friendshoring” strategies of steering trade to friendly nations and regimes while attempting to hobble rivals. Large states rethink the benefits of globalization and attempt to protect what they see as vital or strategic resources. This adds up to a recipe for freezing global economic growth.
…
An initial globalization centered around the Industrial Revolution saw the exchange of manufactured goods from a few countries for commodities from many in the rest of the world. The 1970s created globalization through increasingly complex supply chains. The current crises are generating a different sort of globalization, shaped by information flows. There will be marked contrasts in the competence with which societies respond to the new data revolution. Today’s globalization dynamic has the potential to create a revolution of system optimization, making the result of prior technical change cheaper and more accessible. In that sense, it is globalization that constitutes the real Inflation Reduction Act.

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 0.1486 % 2,591.0
FixedFloater 0.00 % 0.00 % 0 0.00 0 0.1486 % 4,969.5
Floater 8.70 % 8.81 % 56,219 10.52 2 0.1486 % 2,863.9
OpRet 0.00 % 0.00 % 0 0.00 0 0.1258 % 3,426.1
SplitShare 4.91 % 6.46 % 54,066 2.80 7 0.1258 % 4,091.5
Interest-Bearing 0.00 % 0.00 % 0 0.00 0 0.1258 % 3,192.4
Perpetual-Premium 0.00 % 0.00 % 0 0.00 0 -0.1498 % 2,858.0
Perpetual-Discount 5.97 % 6.00 % 83,786 13.88 37 -0.1498 % 3,116.5
FixedReset Disc 5.38 % 7.16 % 92,954 12.59 59 0.2840 % 2,263.5
Insurance Straight 5.79 % 5.94 % 92,430 13.97 20 0.3126 % 3,100.4
FloatingReset 9.69 % 10.15 % 41,335 9.37 2 -0.0630 % 2,574.6
FixedReset Prem 6.33 % 6.30 % 181,510 4.06 3 -0.0396 % 2,392.5
FixedReset Bank Non 0.00 % 0.00 % 0 0.00 0 0.2840 % 2,313.8
FixedReset Ins Non 5.42 % 7.03 % 48,519 12.70 14 -0.0914 % 2,380.6
Performance Highlights
Issue Index Change Notes
PWF.PR.L Perpetual-Discount -10.67 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2053-02-02
Maturity Price : 19.34
Evaluated at bid price : 19.34
Bid-YTW : 6.65 %
BN.PF.G FixedReset Disc -2.38 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2053-02-02
Maturity Price : 16.40
Evaluated at bid price : 16.40
Bid-YTW : 8.41 %
NA.PR.G FixedReset Disc -1.77 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2053-02-02
Maturity Price : 21.33
Evaluated at bid price : 21.61
Bid-YTW : 6.74 %
TRP.PR.B FixedReset Disc -1.69 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2053-02-02
Maturity Price : 11.60
Evaluated at bid price : 11.60
Bid-YTW : 8.47 %
IAF.PR.I FixedReset Ins Non -1.53 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2053-02-02
Maturity Price : 22.03
Evaluated at bid price : 22.60
Bid-YTW : 6.51 %
PWF.PR.P FixedReset Disc -1.50 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2053-02-02
Maturity Price : 13.10
Evaluated at bid price : 13.10
Bid-YTW : 7.91 %
BMO.PR.T FixedReset Disc -1.41 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2053-02-02
Maturity Price : 17.50
Evaluated at bid price : 17.50
Bid-YTW : 7.38 %
BN.PR.R FixedReset Disc -1.34 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2053-02-02
Maturity Price : 14.70
Evaluated at bid price : 14.70
Bid-YTW : 8.36 %
SLF.PR.H FixedReset Ins Non -1.14 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2053-02-02
Maturity Price : 15.62
Evaluated at bid price : 15.62
Bid-YTW : 7.58 %
TRP.PR.A FixedReset Disc 1.05 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2053-02-02
Maturity Price : 14.50
Evaluated at bid price : 14.50
Bid-YTW : 8.38 %
PWF.PR.S Perpetual-Discount 1.08 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2053-02-02
Maturity Price : 20.53
Evaluated at bid price : 20.53
Bid-YTW : 5.89 %
SLF.PR.D Insurance Straight 1.11 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2053-02-02
Maturity Price : 20.12
Evaluated at bid price : 20.12
Bid-YTW : 5.60 %
IFC.PR.F Insurance Straight 1.17 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2053-02-02
Maturity Price : 22.21
Evaluated at bid price : 22.50
Bid-YTW : 5.96 %
MFC.PR.L FixedReset Ins Non 1.19 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2053-02-02
Maturity Price : 16.95
Evaluated at bid price : 16.95
Bid-YTW : 7.65 %
MFC.PR.K FixedReset Ins Non 1.27 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2053-02-02
Maturity Price : 18.30
Evaluated at bid price : 18.30
Bid-YTW : 7.32 %
IAF.PR.B Insurance Straight 1.97 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2053-02-02
Maturity Price : 20.75
Evaluated at bid price : 20.75
Bid-YTW : 5.62 %
BMO.PR.W FixedReset Disc 4.40 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2053-02-02
Maturity Price : 17.80
Evaluated at bid price : 17.80
Bid-YTW : 7.23 %
RY.PR.O Perpetual-Discount 5.00 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2053-02-02
Maturity Price : 22.82
Evaluated at bid price : 23.10
Bid-YTW : 5.30 %
IFC.PR.C FixedReset Disc 30.79 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2053-02-02
Maturity Price : 18.31
Evaluated at bid price : 18.31
Bid-YTW : 7.17 %
Volume Highlights
Issue Index Shares
Traded		 Notes
CM.PR.S FixedReset Disc 49,200 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2053-02-02
Maturity Price : 21.98
Evaluated at bid price : 22.50
Bid-YTW : 6.16 %
PWF.PR.R Perpetual-Discount 34,350 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2053-02-02
Maturity Price : 22.83
Evaluated at bid price : 23.11
Bid-YTW : 5.98 %
BN.PF.A FixedReset Disc 30,900 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2053-02-02
Maturity Price : 20.00
Evaluated at bid price : 20.00
Bid-YTW : 7.54 %
SLF.PR.D Insurance Straight 29,325 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2053-02-02
Maturity Price : 20.12
Evaluated at bid price : 20.12
Bid-YTW : 5.60 %
GWO.PR.S Insurance Straight 26,500 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2053-02-02
Maturity Price : 21.85
Evaluated at bid price : 22.10
Bid-YTW : 6.01 %
TD.PF.I FixedReset Prem 17,513 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2053-02-02
Maturity Price : 23.19
Evaluated at bid price : 25.02
Bid-YTW : 6.10 %
There were 8 other index-included issues trading in excess of 10,000 shares.
Wide Spread Highlights
Issue Index Quote Data and Yield Notes
PWF.PR.L Perpetual-Discount Quote: 19.34 – 21.90
Spot Rate : 2.5600
Average : 1.4905

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2053-02-02
Maturity Price : 19.34
Evaluated at bid price : 19.34
Bid-YTW : 6.65 %
CU.PR.C FixedReset Disc Quote: 20.55 – 21.99
Spot Rate : 1.4400
Average : 0.8903

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2053-02-02
Maturity Price : 20.55
Evaluated at bid price : 20.55
Bid-YTW : 6.58 %
CM.PR.S FixedReset Disc Quote: 22.50 – 23.49
Spot Rate : 0.9900
Average : 0.5756

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2053-02-02
Maturity Price : 21.98
Evaluated at bid price : 22.50
Bid-YTW : 6.16 %
BN.PF.G FixedReset Disc Quote: 16.40 – 17.10
Spot Rate : 0.7000
Average : 0.4541

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2053-02-02
Maturity Price : 16.40
Evaluated at bid price : 16.40
Bid-YTW : 8.41 %
CU.PR.H Perpetual-Discount Quote: 20.57 – 23.10
Spot Rate : 2.5300
Average : 2.3046

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2053-02-02
Maturity Price : 20.57
Evaluated at bid price : 20.57
Bid-YTW : 6.39 %
CU.PR.E Perpetual-Discount Quote: 20.21 – 21.32
Spot Rate : 1.1100
Average : 0.9347

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2053-02-02
Maturity Price : 20.21
Evaluated at bid price : 20.21
Bid-YTW : 6.07 %

Posted in Market Action | No Comments »

PPL.PF.E : No Conversion To FloatingReset

February 2nd, 2023

Pembina Pipeline Corporation has announced (on 2023-1-31):

that none of Pembina’s Cumulative Redeemable Minimum Rate Reset Class A Preferred Shares, Series 25 (“Series 25 Shares”) (TSX: PPL.PF.E) will be converted into Cumulative Redeemable Floating Rate Class A Preferred Shares, Series 26 of Pembina (“Series 26 Shares”) on February 15, 2023.

After taking into account all the conversion notices received from holders of its outstanding Series 25 Shares by the January 31, 2023 deadline for the conversion of the Series 25 Shares into Series 26 Shares, less than the 1,000,000 Series 25 Shares required to give effect to conversions into Series 26 Shares were tendered for conversion.

PPL.PF.E was issued as KML.PR.C, a FixedReset, 5.20%+351M520, that commenced trading 2017-12-15 after being announced 2017-12-6. A Plan of Arrangement was announced in August 2019 and a vote by preferred shareholders was made explicit in September 2019. The ticker changed in late 2019. The shares reset to 6.481% in 2023.

Posted in Issue Comments | No Comments »

February 1, 2023

February 1st, 2023

So the Fed hiked 25bp today:

Recent indicators point to modest growth in spending and production. Job gains have been robust in recent months, and the unemployment rate has remained low. Inflation has eased somewhat but remains elevated.

Russia’s war against Ukraine is causing tremendous human and economic hardship and is contributing to elevated global uncertainty. The Committee is highly attentive to inflation risks.

The Committee seeks to achieve maximum employment and inflation at the rate of 2 percent over the longer run. In support of these goals, the Committee decided to raise the target range for the federal funds rate to 4-1/2 to 4-3/4 percent. The Committee anticipates that ongoing increases in the target range will be appropriate in order to attain a stance of monetary policy that is sufficiently restrictive to return inflation to 2 percent over time. In determining the extent of future increases in the target range, the Committee will take into account the cumulative tightening of monetary policy, the lags with which monetary policy affects economic activity and inflation, and economic and financial developments. In addition, the Committee will continue reducing its holdings of Treasury securities and agency debt and agency mortgage-backed securities, as described in its previously announced plans. The Committee is strongly committed to returning inflation to its 2 percent objective.

In assessing the appropriate stance of monetary policy, the Committee will continue to monitor the implications of incoming information for the economic outlook. The Committee would be prepared to adjust the stance of monetary policy as appropriate if risks emerge that could impede the attainment of the Committee’s goals. The Committee’s assessments will take into account a wide range of information, including readings on labor market conditions, inflation pressures and inflation expectations, and financial and international developments.

Voting for the monetary policy action were Jerome H. Powell, Chair; John C. Williams, Vice Chair; Michael S. Barr; Michelle W. Bowman; Lael Brainard; Lisa D. Cook; Austan D. Goolsbee; Patrick Harker; Philip N. Jefferson; Neel Kashkari; Lorie K. Logan; and Christopher J. Waller.

There was some additional information in the press conference:

Powell is giving a clear reason for one reason why the Fed does not plan to stop their campaign, saying that the labor market remains extremely tight. While “the pace of job gains has slowed” the labor market continues to be “out of balance.”
…
Powell notes that wage growth is abating, but remains pretty elevated. But he calls job openings — there are 1.9 per every unemployed person — important. And he notes that job creation is strong and quits are high. In short, he still sees a pretty strong job market.
…
“There is only one way forward here,” Powell says, when asked about the debt limit: Congress must raise it. Anything else, like planning for what would happen if the debt limit is not raised, would be risky, he says.
…
“No one should assume that the Fed can protect the economy” if Congress fails to raise the limit, he adds.
…
Investors and policymakers have been in a standoff for a while now, with the Fed indicating it plans to keep rates high and markets expecting the central bank to cut rates later this year as the economy loses momentum. Powell took a shot across investors’ bow just now: “I just don’t see us cutting rates this year,” he said.

PerpetualDiscounts now yield 5.99%, equivalent to 7.79% interest at the standard equivalency factor of 1.3x. Long corporates yielded 4.89% on 2023-1-20 and since then the closing price has changed from 15.51 to 15.53, an increase of 13bp in price, with a Duration of 12.36 (BMO doesn’t specify whether this is Macaulay or Modified Duration; I will assume Modified) which implies a decline in yield of about 1bp since 1/20 to 4.88%, so the pre-tax interest-equivalent spread (in this context, the “Seniority Spread”) has narrowed to about 290bp from the 295bp reported January 25.

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 -0.1484 % 2,587.1
FixedFloater 0.00 % 0.00 % 0 0.00 0 -0.1484 % 4,962.1
Floater 8.71 % 8.85 % 58,135 10.49 2 -0.1484 % 2,859.7
OpRet 0.00 % 0.00 % 0 0.00 0 0.0120 % 3,421.8
SplitShare 4.91 % 6.47 % 54,877 2.80 7 0.0120 % 4,086.4
Interest-Bearing 0.00 % 0.00 % 0 0.00 0 0.0120 % 3,188.4
Perpetual-Premium 0.00 % 0.00 % 0 0.00 0 -0.3175 % 2,862.2
Perpetual-Discount 5.96 % 5.99 % 83,935 13.90 37 -0.3175 % 3,121.1
FixedReset Disc 5.40 % 7.16 % 91,809 12.59 59 -0.4910 % 2,257.1
Insurance Straight 5.81 % 5.95 % 93,188 13.96 20 -0.1267 % 3,090.8
FloatingReset 9.68 % 10.12 % 41,455 9.40 2 0.0946 % 2,576.2
FixedReset Prem 6.33 % 6.25 % 181,048 4.06 3 0.0528 % 2,393.5
FixedReset Bank Non 0.00 % 0.00 % 0 0.00 0 -0.4910 % 2,307.2
FixedReset Ins Non 5.42 % 7.04 % 48,280 12.71 14 -0.0715 % 2,382.7
Performance Highlights
Issue Index Change Notes
IFC.PR.C FixedReset Disc -23.71 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2053-02-01
Maturity Price : 14.00
Evaluated at bid price : 14.00
Bid-YTW : 9.24 %
BMO.PR.W FixedReset Disc -5.80 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2053-02-01
Maturity Price : 17.05
Evaluated at bid price : 17.05
Bid-YTW : 7.54 %
CU.PR.D Perpetual-Discount -3.86 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2053-02-01
Maturity Price : 20.19
Evaluated at bid price : 20.19
Bid-YTW : 6.08 %
CU.PR.E Perpetual-Discount -3.04 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2053-02-01
Maturity Price : 20.21
Evaluated at bid price : 20.21
Bid-YTW : 6.07 %
CCS.PR.C Insurance Straight -1.39 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2053-02-01
Maturity Price : 21.30
Evaluated at bid price : 21.30
Bid-YTW : 5.95 %
PWF.PR.K Perpetual-Discount -1.32 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2053-02-01
Maturity Price : 20.87
Evaluated at bid price : 20.87
Bid-YTW : 5.98 %
IAF.PR.B Insurance Straight -1.21 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2053-02-01
Maturity Price : 20.35
Evaluated at bid price : 20.35
Bid-YTW : 5.73 %
BMO.PR.Y FixedReset Disc 1.05 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2053-02-01
Maturity Price : 19.20
Evaluated at bid price : 19.20
Bid-YTW : 6.96 %
TRP.PR.A FixedReset Disc 1.06 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2053-02-01
Maturity Price : 14.35
Evaluated at bid price : 14.35
Bid-YTW : 8.46 %
CU.PR.I FixedReset Disc 1.07 % YTW SCENARIO
Maturity Type : Call
Maturity Date : 2025-12-01
Maturity Price : 25.00
Evaluated at bid price : 24.50
Bid-YTW : 5.16 %
PWF.PR.T FixedReset Disc 1.12 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2053-02-01
Maturity Price : 18.90
Evaluated at bid price : 18.90
Bid-YTW : 7.16 %
CU.PR.G Perpetual-Discount 1.22 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2053-02-01
Maturity Price : 19.70
Evaluated at bid price : 19.70
Bid-YTW : 5.72 %
PWF.PR.P FixedReset Disc 1.53 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2053-02-01
Maturity Price : 13.30
Evaluated at bid price : 13.30
Bid-YTW : 7.79 %
PWF.PR.H Perpetual-Discount 3.68 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2053-02-01
Maturity Price : 23.68
Evaluated at bid price : 23.95
Bid-YTW : 6.04 %
Volume Highlights
Issue Index Shares
Traded		 Notes
TRP.PR.D FixedReset Disc 70,697 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2053-02-01
Maturity Price : 16.22
Evaluated at bid price : 16.22
Bid-YTW : 8.28 %
RY.PR.H FixedReset Disc 40,457 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2053-02-01
Maturity Price : 18.30
Evaluated at bid price : 18.30
Bid-YTW : 7.09 %
TD.PF.C FixedReset Disc 33,311 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2053-02-01
Maturity Price : 17.88
Evaluated at bid price : 17.88
Bid-YTW : 7.23 %
BNS.PR.I FixedReset Disc 30,103 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2053-02-01
Maturity Price : 21.25
Evaluated at bid price : 21.25
Bid-YTW : 6.49 %
FTS.PR.G FixedReset Disc 28,491 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2053-02-01
Maturity Price : 18.50
Evaluated at bid price : 18.50
Bid-YTW : 7.14 %
PWF.PR.T FixedReset Disc 27,100 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2053-02-01
Maturity Price : 18.90
Evaluated at bid price : 18.90
Bid-YTW : 7.16 %
There were 9 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 Disc Quote: 14.00 – 18.50
Spot Rate : 4.5000
Average : 2.9441

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2053-02-01
Maturity Price : 14.00
Evaluated at bid price : 14.00
Bid-YTW : 9.24 %
CU.PR.H Perpetual-Discount Quote: 20.57 – 23.12
Spot Rate : 2.5500
Average : 2.0574

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2053-02-01
Maturity Price : 20.57
Evaluated at bid price : 20.57
Bid-YTW : 6.39 %
CU.PR.E Perpetual-Discount Quote: 20.21 – 21.39
Spot Rate : 1.1800
Average : 0.7425

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2053-02-01
Maturity Price : 20.21
Evaluated at bid price : 20.21
Bid-YTW : 6.07 %
BMO.PR.W FixedReset Disc Quote: 17.05 – 18.10
Spot Rate : 1.0500
Average : 0.7180

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2053-02-01
Maturity Price : 17.05
Evaluated at bid price : 17.05
Bid-YTW : 7.54 %
CU.PR.D Perpetual-Discount Quote: 20.19 – 21.35
Spot Rate : 1.1600
Average : 0.8465

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2053-02-01
Maturity Price : 20.19
Evaluated at bid price : 20.19
Bid-YTW : 6.08 %
CM.PR.Y FixedReset Disc Quote: 24.27 – 24.95
Spot Rate : 0.6800
Average : 0.5025

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2053-02-01
Maturity Price : 23.89
Evaluated at bid price : 24.27
Bid-YTW : 6.76 %

Posted in Market Action | No Comments »

January 31, 2023

January 31st, 2023
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 0.8982 % 2,591.0
FixedFloater 0.00 % 0.00 % 0 0.00 0 0.8982 % 4,969.5
Floater 8.70 % 8.85 % 65,493 10.49 2 0.8982 % 2,863.9
OpRet 0.00 % 0.00 % 0 0.00 0 0.0180 % 3,421.4
SplitShare 4.91 % 6.45 % 55,541 2.80 7 0.0180 % 4,085.9
Interest-Bearing 0.00 % 0.00 % 0 0.00 0 0.0180 % 3,188.0
Perpetual-Premium 0.00 % 0.00 % 0 0.00 0 -0.0662 % 2,871.4
Perpetual-Discount 5.93 % 5.97 % 87,484 13.92 35 -0.0662 % 3,131.1
FixedReset Disc 5.36 % 7.15 % 92,157 12.61 62 0.5251 % 2,268.2
Insurance Straight 5.80 % 5.96 % 94,012 13.93 20 0.0047 % 3,094.7
FloatingReset 9.69 % 10.14 % 41,961 9.39 2 0.4753 % 2,573.8
FixedReset Prem 6.57 % 6.22 % 179,167 4.07 2 -0.1378 % 2,392.2
FixedReset Bank Non 0.00 % 0.00 % 0 0.00 0 0.5251 % 2,318.6
FixedReset Ins Non 5.41 % 7.05 % 50,229 12.75 14 -0.1665 % 2,384.5
Performance Highlights
Issue Index Change Notes
CU.PR.H Perpetual-Discount -7.28 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2053-01-31
Maturity Price : 20.90
Evaluated at bid price : 20.90
Bid-YTW : 6.41 %
TRP.PR.A FixedReset Disc -2.94 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2053-01-31
Maturity Price : 14.20
Evaluated at bid price : 14.20
Bid-YTW : 8.55 %
PWF.PR.H Perpetual-Discount -2.16 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2053-01-31
Maturity Price : 22.82
Evaluated at bid price : 23.10
Bid-YTW : 6.26 %
BN.PR.Z FixedReset Disc -2.00 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2053-01-31
Maturity Price : 21.56
Evaluated at bid price : 21.56
Bid-YTW : 7.13 %
MFC.PR.N FixedReset Ins Non -1.53 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2053-01-31
Maturity Price : 17.33
Evaluated at bid price : 17.33
Bid-YTW : 7.51 %
GWO.PR.H Insurance Straight -1.39 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2053-01-31
Maturity Price : 20.59
Evaluated at bid price : 20.59
Bid-YTW : 5.97 %
TD.PF.E FixedReset Disc -1.14 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2053-01-31
Maturity Price : 19.87
Evaluated at bid price : 19.87
Bid-YTW : 6.92 %
GWO.PR.R Insurance Straight -1.06 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2053-01-31
Maturity Price : 20.58
Evaluated at bid price : 20.58
Bid-YTW : 5.91 %
BIP.PR.E FixedReset Disc -1.06 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2053-01-31
Maturity Price : 21.57
Evaluated at bid price : 21.57
Bid-YTW : 7.15 %
RY.PR.J FixedReset Disc -1.02 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2053-01-31
Maturity Price : 19.50
Evaluated at bid price : 19.50
Bid-YTW : 6.98 %
FTS.PR.J Perpetual-Discount 1.02 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2053-01-31
Maturity Price : 20.81
Evaluated at bid price : 20.81
Bid-YTW : 5.82 %
BN.PR.B Floater 1.05 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2053-01-31
Maturity Price : 13.50
Evaluated at bid price : 13.50
Bid-YTW : 8.85 %
IFC.PR.G FixedReset Ins Non 1.11 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2053-01-31
Maturity Price : 20.88
Evaluated at bid price : 20.88
Bid-YTW : 6.81 %
RY.PR.Z FixedReset Disc 1.17 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2053-01-31
Maturity Price : 18.12
Evaluated at bid price : 18.12
Bid-YTW : 7.14 %
FTS.PR.K FixedReset Disc 1.19 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2053-01-31
Maturity Price : 17.00
Evaluated at bid price : 17.00
Bid-YTW : 7.56 %
BN.PF.F FixedReset Disc 1.25 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2053-01-31
Maturity Price : 17.75
Evaluated at bid price : 17.75
Bid-YTW : 8.16 %
RY.PR.H FixedReset Disc 1.27 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2053-01-31
Maturity Price : 18.38
Evaluated at bid price : 18.38
Bid-YTW : 7.06 %
CU.PR.F Perpetual-Discount 1.27 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2053-01-31
Maturity Price : 19.90
Evaluated at bid price : 19.90
Bid-YTW : 5.76 %
CCS.PR.C Insurance Straight 1.41 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2053-01-31
Maturity Price : 21.33
Evaluated at bid price : 21.60
Bid-YTW : 5.85 %
MIC.PR.A Perpetual-Discount 1.49 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2053-01-31
Maturity Price : 20.40
Evaluated at bid price : 20.40
Bid-YTW : 6.72 %
FTS.PR.G FixedReset Disc 1.66 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2053-01-31
Maturity Price : 18.35
Evaluated at bid price : 18.35
Bid-YTW : 7.20 %
BNS.PR.I FixedReset Disc 2.49 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2053-01-31
Maturity Price : 21.40
Evaluated at bid price : 21.40
Bid-YTW : 6.44 %
BMO.PR.Y FixedReset Disc 3.83 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2053-01-31
Maturity Price : 19.00
Evaluated at bid price : 19.00
Bid-YTW : 7.03 %
IFC.PR.C FixedReset Disc 31.07 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2053-01-31
Maturity Price : 18.35
Evaluated at bid price : 18.35
Bid-YTW : 7.15 %
Volume Highlights
Issue Index Shares
Traded		 Notes
MFC.PR.Q FixedReset Ins Non 72,500 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2053-01-31
Maturity Price : 20.23
Evaluated at bid price : 20.23
Bid-YTW : 7.05 %
NA.PR.G FixedReset Disc 42,962 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2053-01-31
Maturity Price : 21.54
Evaluated at bid price : 21.90
Bid-YTW : 6.65 %
BN.PR.K Floater 38,400 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2053-01-31
Maturity Price : 13.46
Evaluated at bid price : 13.46
Bid-YTW : 8.87 %
SLF.PR.C Insurance Straight 38,100 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2053-01-31
Maturity Price : 20.12
Evaluated at bid price : 20.12
Bid-YTW : 5.60 %
TRP.PR.D FixedReset Disc 22,124 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2053-01-31
Maturity Price : 16.25
Evaluated at bid price : 16.25
Bid-YTW : 8.26 %
CM.PR.S FixedReset Disc 20,265 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2053-01-31
Maturity Price : 21.99
Evaluated at bid price : 22.53
Bid-YTW : 6.15 %
There were 5 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-Discount Quote: 20.90 – 23.39
Spot Rate : 2.4900
Average : 1.5174

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2053-01-31
Maturity Price : 20.90
Evaluated at bid price : 20.90
Bid-YTW : 6.41 %
PWF.PR.H Perpetual-Discount Quote: 23.10 – 24.22
Spot Rate : 1.1200
Average : 0.8078

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2053-01-31
Maturity Price : 22.82
Evaluated at bid price : 23.10
Bid-YTW : 6.26 %
BN.PR.Z FixedReset Disc Quote: 21.56 – 22.25
Spot Rate : 0.6900
Average : 0.4826

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2053-01-31
Maturity Price : 21.56
Evaluated at bid price : 21.56
Bid-YTW : 7.13 %
TD.PF.E FixedReset Disc Quote: 19.87 – 20.55
Spot Rate : 0.6800
Average : 0.4729

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2053-01-31
Maturity Price : 19.87
Evaluated at bid price : 19.87
Bid-YTW : 6.92 %
TRP.PR.A FixedReset Disc Quote: 14.20 – 14.75
Spot Rate : 0.5500
Average : 0.3525

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2053-01-31
Maturity Price : 14.20
Evaluated at bid price : 14.20
Bid-YTW : 8.55 %
CIU.PR.A Perpetual-Discount Quote: 19.75 – 20.33
Spot Rate : 0.5800
Average : 0.4026

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2053-01-31
Maturity Price : 19.75
Evaluated at bid price : 19.75
Bid-YTW : 5.94 %

Posted in Market Action | No Comments »

PPL.PF.A To Reset To 6.302%

January 30th, 2023

Pembina Pipeline Corporation has announced:

that it does not intend to exercise its right to redeem the currently outstanding Cumulative Redeemable Minimum Rate Reset Class A Preferred Shares, Series 21 (“Series 21 Shares”) (TSX: PPL.PF.A) on March 1, 2023.

As a result of the decision not to redeem the Series 21 Shares, and subject to certain terms of the Series 21 Shares, the holders of the Series 21 Shares will have the right to elect to convert all or part of their Series 21 Shares on a one-for-one basis into Cumulative Redeemable Floating Rate Class A Preferred Shares, Series 22 of Pembina (“Series 22 Shares”) on March 1, 2023 (the “Conversion Date”). Holders who do not exercise their right to convert their Series 21 Shares into Series 22 Shares will retain their Series 21 Shares.

As provided in the terms of the Series 21 Shares: (i) if Pembina determines that there would remain outstanding immediately following the conversion less than 1,000,000 Series 21 Shares, then all remaining Series 21 Shares will be automatically converted into Series 22 Shares on a one-for-one basis effective as of the Conversion Date; or (ii) if Pembina determines that there would be less than 1,000,000 Series 22 Shares outstanding immediately following the conversion, no Series 21 Shares will be converted into Series 22 Shares on the Conversion Date. There are currently 16,000,000 Series 21 Shares outstanding.

With respect to any Series 21 Shares that remain outstanding after the Conversion Date, holders thereof will be entitled to receive quarterly fixed cumulative preferential cash dividends, if, as and when declared by the Board of Directors of Pembina. The annual dividend rate for the Series 21 Shares for the five-year period from and including March 1, 2023, to, but excluding, March 1, 2028, will be 6.302 percent, being equal to the five-year Government of Canada bond yield of 3.042 percent determined as of today plus 3.26 percent, in accordance with the terms of the Series 21 Shares.

With respect to any Series 22 Shares that may be issued on the Conversion Date, holders thereof will be entitled to receive quarterly floating rate cumulative preferential cash dividends, if, as and when declared by the Board of Directors of Pembina. The annual dividend rate applicable to the Series 22 Shares for the three-month floating rate period from and including March 1, 2023, to, but excluding, June 1, 2023, will be 7.706 percent, being equal to the annual rate of interest for the most recent auction of 90-day Government of Canada treasury bills of 4.446 percent plus 3.26 percent, in accordance with the terms of the Series 22 Shares (the “Floating Quarterly Dividend Rate”). The Floating Quarterly Dividend Rate will be reset on the first day of March, June, September and December in each year.

Beneficial holders of Series 21 Shares who wish to exercise their right of conversion during the conversion period, which runs from January 30, 2023, until 3:00 pm (MT) / 5:00 pm (ET) on February 14, 2023, should communicate as soon as possible with their broker or other intermediary for more information. It is recommended that this be done well in advance of the deadline in order to provide the broker or other intermediary with the time to complete the necessary steps. Any notices received after this deadline will not be valid.

As previously announced, the dividend payable on March 1, 2023, to holders of the Series 21 Shares of record on February 1, 2023, will be $0.30625 per Series 21 Share, consistent with the dividend rate in effect since the issuance of the Series 21 Shares. For more information on the terms of the Series 21 Shares and the Series 22 Shares, please see the prospectus supplement dated November 30, 2017, which can be found on SEDAR at www.sedar.com.

PPL.PF.A was issued as a FixedReset 4.90%+326M490 that commenced trading 2017-12-7 after being announced 2017-11-28. It is tracked by HIMIPref™, but has been relegated to the Scraps – FixedResets (Discount) subindex on credit concerns.

Thanks to Assiduous Reader CanSiamCyp for bringing this to my attention!

Posted in Issue Comments | No Comments »

ENB.PR.D To Reset To 5.412%

January 30th, 2023

Enbridge Inc. has announced:

that it does not intend to exercise its right to redeem its currently outstanding Cumulative Redeemable Preference Shares, Series D (Series D Shares) (TSX: ENB.PR.D) on March 1, 2023. As a result, subject to certain conditions, the holders of the Series D Shares have the right to convert all or part of their Series D Shares on a one-for-one basis into Cumulative Redeemable Preference Shares, Series E of Enbridge (Series E Shares) on March 1, 2023. Holders who do not exercise their right to convert their Series D Shares into Series E Shares will retain their Series D Shares.

The foregoing conversion right is subject to the conditions that: (i) if Enbridge determines that there would be less than 1,000,000 Series D Shares outstanding after March 1, 2023, then all remaining Series D Shares will automatically be converted into Series E Shares on a one-for-one basis on March 1, 2023; and (ii) alternatively, if Enbridge determines that there would be less than 1,000,000 Series E Shares outstanding after March 1, 2023, no Series D Shares will be converted into Series E Shares. There are currently 18,000,000 Series D Shares outstanding.

With respect to any Series D Shares that remain outstanding after March 1, 2023, holders thereof will be entitled to receive quarterly fixed cumulative preferential cash dividends, as and when declared by the Board of Directors of Enbridge. The new annual dividend rate applicable to the Series D Shares for the five-year period commencing on March 1, 2023 to, but excluding, March 1, 2028 will be 5.412 percent, being equal to the five-year Government of Canada bond yield of 3.042 percent determined as of today plus 2.37 percent in accordance with the terms of the Series D Shares.

With respect to any Series E Shares that may be issued on March 1, 2023, holders thereof will be entitled to receive quarterly floating rate cumulative preferential cash dividends, as and when declared by the Board of Directors of Enbridge. The dividend rate applicable to the Series E Shares for the three-month floating rate period commencing on March 1, 2023 to, but excluding, June 1, 2023 will be 1.71901 percent, based on the annual rate on three month Government of Canada treasury bills for the most recent treasury bills auction of 4.45 percent plus 2.37 percent in accordance with the terms of the Series E Shares (the Floating Quarterly Dividend Rate). The Floating Quarterly Dividend Rate will be reset every quarter.

Beneficial holders of Series D Shares who wish to exercise their right of conversion during the conversion period, which runs from January 30, 2023 until 5:00 p.m. (EST) on February 14, 2023, should communicate as soon as possible with their broker or other intermediary for more information. It is recommended that this be done well in advance of the deadline in order to provide the broker or other intermediary time to complete the necessary steps. Any notices received after this deadline will not be valid.

ENB.PR.D is a FixedReset, 4.00%+237, that commenced trading 2011-11-23 after being announced 2011-11-14. It reset to 4.46% in 2018; I recommended against conversion; and there was no conversion. The issue is tracked by HIMIPref™ but relegated to the Scraps – FixedReset (Discount) subindex due to credit concerns.

Thanks to Assiduous Readers niagara and Fuzzybear for bringing this to my attention!

Posted in Issue Comments | 1 Comment »

ENB.PF.K To Reset To 6.212%

January 30th, 2023

Enbridge Inc. has announced:

that it does not intend to exercise its right to redeem its currently outstanding Cumulative Redeemable Minimum Rate Reset Preference Shares, Series 19 (Series 19 Shares) (TSX: ENB.PF.K) on March 1, 2023. As a result, subject to certain conditions, the holders of the Series 19 Shares have the right to convert all or part of their Series 19 Shares on a one-for-one basis into Cumulative Redeemable Preference Shares, Series 20 of Enbridge (Series 20 Shares) on March 1, 2023. Holders who do not exercise their right to convert their Series 19 Shares into Series 20 Shares will retain their Series 19 Shares.

The foregoing conversion right is subject to the conditions that: (i) if Enbridge determines that there would be less than 1,000,000 Series 19 Shares outstanding after March 1, 2023, then all remaining Series 19 Shares will automatically be converted into Series 20 Shares on a one-for-one basis on March 1, 2023; and (ii) alternatively, if Enbridge determines that there would be less than 1,000,000 Series 20 Shares outstanding after March 1, 2023, no Series 19 Shares will be converted into Series 20 Shares. There are currently 20,000,000 Series 19 Shares outstanding.

With respect to any Series 19 Shares that remain outstanding after March 1, 2023, holders thereof will be entitled to receive quarterly fixed cumulative preferential cash dividends, as and when declared by the Board of Directors of Enbridge. The new annual dividend rate applicable to the Series 19 Shares for the five-year period commencing on March 1, 2023 to, but excluding, March 1, 2028 will be 6.212 percent, being equal to the five-year Government of Canada bond yield of 3.042 percent determined as of today plus 3.17 percent in accordance with the terms of the Series 19 Shares.

With respect to any Series 20 Shares that may be issued on March 1, 2023, holders thereof will be entitled to receive quarterly floating rate cumulative preferential cash dividends, as and when declared by the Board of Directors of Enbridge. The dividend rate applicable to the Series 20 Shares for the three-month floating rate period commencing on March 1, 2023 to, but excluding, June 1, 2023 will be 1.92066 percent, based on the annual rate on three month Government of Canada treasury bills for the most recent treasury bills auction of 4.45 percent plus 3.17 percent in accordance with the terms of the Series 20 Shares (the Floating Quarterly Dividend Rate). The Floating Quarterly Dividend Rate will be reset every quarter.

Beneficial holders of Series 19 Shares who wish to exercise their right of conversion during the conversion period, which runs from January 30, 2023 until 5:00 p.m. (EST) on February 14, 2023, should communicate as soon as possible with their broker or other intermediary for more information. It is recommended that this be done well in advance of the deadline in order to provide the broker or other intermediary time to complete the necessary steps. Any notices received after this deadline will not be valid.

ENB.PF.K was issued as a FixedReset 4.90%+317M490 that commenced trading 2017-2-11 after being announced 2017-12-4. It has been added to the HIMIPref™ database but has been relegated to the Scraps subindex on credit concerns.

Thanks to Assiduous Readers niagara and CanSiamCyp for bringing this to my attention!

Posted in Issue Comments | No Comments »

« Older Entries