An early look at passive preferred share funds and the differences in their composition; includes an illustration of the perils of using correlation blindly!
Look for the research link!
Research : Passive Funds, 2009
TA.PR.F to Reset to 5.854%
TransAlta Corporation has announced:
that it does not intend to exercise its right to redeem all or any part of the currently outstanding cumulative redeemable rate reset first preferred shares Series C (“Series C Shares”) (TSX: TA.PR.F) on June 30, 2022 (the “Conversion Date”).
As a result and subject to certain conditions set out in the prospectus supplement dated November 23, 2011 relating to the issuance of the Series C Shares, the holders of the Series C Shares will have the right to convert all or any of their Series C Shares into cumulative redeemable floating rate first preferred shares Series D of the Company (“Series D Shares”) on the basis of one Series D Share for each Series C Share on the Conversion Date.
With respect to any Series C Shares that remain outstanding after June 30, 2022, holders thereof will be entitled to receive quarterly fixed cumulative preferential cash dividends, if, as and when declared by the Board of Directors of TransAlta. The annual dividend rate for the Series C Shares for the five-year period from and including June 30, 2022 to but excluding June 30, 2027, will be 5.85400%, being equal to the five-year Government of Canada bond yield of 2.75400% determined as of today plus 3.10000%, in accordance with the terms of the Series C Shares.
With respect to any Series D Shares that may be issued on June 30, 2022, 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 TransAlta. The annual dividend rate for the 3-month floating rate period from and including June 30, 2022 to but excluding September 30, 2022 will be 4.57700%, being equal to the annual rate for the most recent auction of 90-day Government of Canada Treasury Bills of 1.47700% plus 3.10000%, in accordance with the terms of the Series D Shares (the “Floating Quarterly Dividend Rate”). The Floating Quarterly Dividend Rate will be reset every quarter.
As provided in the terms of the Series C Shares, if TransAlta determines after reviewing all Series C Shares tendered for conversion into Series D Shares that: (i) there would remain outstanding on June 30, 2022, less than 1,000,000 Series C Shares, all remaining Series C Shares shall be converted automatically into Series D Shares on a one-for one basis effective June 30, 2022; or (ii) there would remain outstanding after June 30, 2022, less than 1,000,000 Series D Shares, the holders of Series C Shares shall not be entitled to convert their shares into Series D Shares effective June 30, 2022. There are currently 11,000,000 Series C Shares outstanding.
The Series C Shares are issued in “book entry only” form and must be purchased or transferred through a participant in the CDS depository service (“CDS Participant”). All rights of holders of Series C Shares must be exercised through CDS or the CDS Participant through which the Series C Shares are held. The deadline for the registered shareholder to provide notice of exercise of the right to convert Series C Shares into Series D Shares is 3:00 p.m. (MST) / 5:00 p.m. (EST) on June 15, 2022. Any notices received after this deadline will not be valid. As such, holders of Series C Shares who wish to exercise their right to convert their shares should contact their broker or other intermediary for more information and it is recommended that this be done well in advance of the deadline in order to provide the broker or other intermediary with time to complete the necessary steps.
If TransAlta does not receive an election notice from a holder of Series C Shares during the time fixed therefor, then the Series C Shares shall be deemed not to have been converted (except in the case of an automatic conversion). Holders of the Series C Shares and the Series D Shares will have the opportunity to convert their shares again on June 30, 2027, and every five years thereafter as long as the shares remain outstanding.
The Toronto Stock Exchange (TSX) has conditionally approved the listing of the Series D Shares effective upon conversion. Listing of the Series D Shares is subject to TransAlta fulfilling all the listing requirements of the TSX.
TA.PR.F was issued as a FixedReset, 4.60%+310, that commenced trading 2011-11-30 after being announced 2011-11-22. It reset to 4.027% in 2017; there was no conversion. It has been relegated to the Scraps subindex since inception on credit concerns.
Thanks to Assiduous Reader skeptical for ensuring I was aware of this!
BPO.PR.G to Reset to 6.546%
Brookfield Office Properties Inc., a subsidiary of Brookfield Property Partners L.P., has announced:
the reset dividend rate on its Class AAA Preference Shares, Series GG (“Series GG Shares”) (TSX: BPO.PR.G).
If declared, the fixed quarterly dividends on the Series GG Shares for the five years commencing July 1, 2022 and ending June 30, 2027 will be paid at an annual rate of 6.546% ($0.409125 per share per quarter).
Holders of Series GG Shares have the right, at their option, exercisable not later than 5:00 p.m. (Toronto time) on June 15, 2022, to convert all or part of their Series GG Shares, on a one-for-one basis, into Class AAA Preference Shares, Series HH (“Series HH Shares”), effective June 30, 2022.
The quarterly floating rate dividends on the Series HH Shares have an annual rate, calculated for each quarter, of 3.74% over the annual yield on three-month Government of Canada treasury bills. The actual quarterly dividend rate for the July 1, 2022 to September 30, 2022 dividend period for the Series HH Shares will be 1.31573% (5.22% on an annualized basis) and the dividend, if declared, for such dividend period will be $0.328933 per share, payable on September 30, 2022.
Holders of Series GG Shares are not required to elect to convert all or any part of their Series GG Shares into Series HH Shares.
As provided in the share conditions of the Series GG Shares, (i) if Brookfield determines that there would be fewer than 1,000,000 Series GG Shares outstanding after June 30, 2022, all remaining Series GG Shares will be automatically converted into Series HH Shares on a one-for-one basis effective June 30, 2022; and (ii) if Brookfield determines that there would be fewer than 1,000,000 Series HH Shares outstanding after June 30, 2022, no Series GG Shares will be permitted to be converted into Series HH Shares. There are currently 11,000,000 Series GG Shares outstanding.
The Toronto Stock Exchange (“TSX”) has conditionally approved the listing of the Series HH Shares effective upon conversion. Listing of the Series HH Shares is subject to Brookfield fulfilling all the listing requirements of the TSX and, upon approval, the Series HH Shares will be listed on the TSX under the trading symbol “BPO.PR.H”.
BPO.PR.G was issued as a FixedReset, 4.85%+374M485, that commenced trading 2017-5-4 after being announced 2017-04-26. It has been tracked by HIMIPref™ but relegated to the Scraps index on credit concerns.
Thanks to Assiduous Reader CanSiamCyp for ensuring I was aware of this.
CF.PR.C To Reset To 6.837%
Canaccord Genuity Group Inc. has announced (bolding from original):
y the applicable dividend rates for its Cumulative 5-Year Rate Reset First Preferred Shares, Series C (the “Series C Preferred Shares”) and its Cumulative Floating Rate First Preferred Shares, Series D (the “Series D Preferred Shares”), further to its press release dated May 24, 2022 announcing that it does not intend to exercise its right to redeem all or any part of the currently outstanding Series C Preferred Shares and, as a result of which, subject to certain conditions, the holders of the Series C Preferred Shares have the right to convert all or any part of their Series C Preferred Shares into Series D Preferred Shares on a one-for-one basis.
With respect to any Series C Preferred Shares that remain outstanding after June 30, 2022, holders thereof will be entitled to receive quarterly fixed, cumulative, preferential cash dividends, if, as and when declared by the Board of Directors of the Company, subject to the provisions of the Business Corporations Act (British Columbia). The dividend rate for the five-year period commencing on July 1, 2022 and ending on and including June 30, 2027 will be 6.837% per annum, being equal to the sum of the five-year Government of Canada bond yield determined as of today, plus 4.03%, in accordance with the terms of the Series C Preferred Shares.
With respect to any Series D Preferred Shares that may be issued on June 30, 2022, 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 the Company, subject to the provisions of the Business Corporations Act(British Columbia). The dividend rate for the three-month period commencing on July 1, 2022 and ending on and including September 30, 2022 will be 5.507% per annum, being equal to the sum of the three-month Government of Canada Treasury Bill yield determined as of today, plus 4.03% (calculated on the basis of the actual number of days elapsed during such quarterly period divided by 365), in accordance with the terms of the Series D Preferred Shares. The quarterly floating dividend rate will be reset every quarter.
Beneficial owners of Series C Preferred Shares who wish to exercise their conversion right should communicate as soon as possible with their broker or other nominee to ensure their instructions are followed for exercising such right on or prior to the deadline for exercise, which is 5:00 p.m. (Eastern time) on June 15, 2022
CF.PR.C was issued as a FixedReset, 5.75%+403, that commenced trading 2012-4-10 after being announced 2012-3-22. In 2017, it reset at 4.993%. I recommended against conversion and there was no conversion. The extension in 2022 was previously announced. The issue has been relegated to the Scraps subindex since inception on credit concerns.
Thanks to Assiduous Reader Yomgui for ensuring I was aware of this!
ENB.PR.B / ENB.PR.C : Forced Conversion to FixedReset
Enbridge Inc. has announced (on May 19):
that, after taking into account all election notices received prior to 5:00 p.m. (EST) on May 17, 2022, 107,904 of its 18,269,812 Cumulative Redeemable Preference Shares, Series B (Series B Shares) were tendered for conversion, on a one-for-one basis, into Cumulative Redeemable Preference Shares, Series C of Enbridge (Series C Shares) and 1,188,789 of its 1,730,188 Series C Shares were tendered for conversion, on a one-for-one basis, into Series B Shares of Enbridge, effective on June 1, 2022.
Enbridge, after taking into account all Series B Shares and all Series C Shares tendered for conversion, has determined that there will be less than 1,000,000 Series C Shares outstanding after June 1, 2022. Consequently, all remaining Series C Shares will automatically be converted into Series B Shares on a one-for-one basis on June 1, 2022, and no Series B Shares will be converted into Series C Shares. The Series B Shares and the Series C Shares are currently listed on the Toronto Stock Exchange under the symbols ENB. PR.B. and ENB.PR.C, respectively.
ENB.PR.B was issued as a FixedReset, 4.00%+240, that commenced trading 2011-9-30 after being announced 2011-9-21. It reset to 3.415% in 2017; I recommended against conversion; but there was an 8% conversion to the FloatingReset, ENB.PR.C, anyway. ENB.PR.B reset to 5.202% in 2022.
ENB.PR.C is a FloatingReset, 3-Month Bills+240, that arose via partial conversion from ENB.PR.B in 2017.
CU.PR.C : No Conversion to FloatingReset
Canadian Utilities Limited has announced (on May 24):
that after having taken into account all election notices following the conversion deadline for the Cumulative Redeemable Second Preferred Shares Series Y (“Series Y Preferred Shares”) tendered for conversion into Cumulative Redeemable Second Preferred Shares Series Z (“Series Z Preferred Shares”), the holders of Series Y Preferred Shares are not entitled to convert their Series Y Preferred Shares into Series Z Preferred Shares. There were approximately 21,400 Series Y Preferred Shares tendered for conversion, which is less than the two million shares required to give effect to conversions into Series Z Preferred Shares.
The Series Y Preferred Shares will continue to pay on a quarterly basis, for the five-year period from and including June 1, 2022 to but excluding June 1, 2027, as and when declared by the Board of Directors of Canadian Utilities Limited, a fixed dividend based on an annual dividend rate of 5.20%
For more information on the terms of, and risks associated with an investment in, the Series Y Preferred Shares, please see Canadian Utilities Limited’s prospectus supplement dated September 15, 2011, which can be found under Canadian Utilities Limited’s profile on SEDAR at www.sedar.com.
CU.PR.C was issued as a FixedReset, 4.00%+240, that commenced trading 2011-9-21 after being announced 2011-9-13. It reset to 3.40% in 2017; I recommended against conversion; and there was no conversion. The issue reset to 5.20% in 2022.
June 1, 2022
There were no surprises in the BOC rate decision:
The Bank of Canada today increased its target for the overnight rate to 1½%, with the Bank Rate at 1¾% and the deposit rate at 1½%. The Bank is also continuing its policy of quantitative tightening (QT).
Inflation globally and in Canada continues to rise, largely driven by higher prices for energy and food. In Canada, CPI inflation reached 6.8% for the month of April – well above the Bank’s forecast – and will likely move even higher in the near term before beginning to ease. As pervasive input price pressures feed through into consumer prices, inflation continues to broaden, with core measures of inflation ranging between 3.2% and 5.1%. Almost 70% of CPI categories now show inflation above 3%. The risk of elevated inflation becoming entrenched has risen. The Bank will use its monetary policy tools to return inflation to target and keep inflation expectations well anchored.
The increase in global inflation is occurring as the global economy slows. The Russian invasion of Ukraine, China’s COVID-related lockdowns, and ongoing supply disruptions are all weighing on activity and boosting inflation. The war has increased uncertainty and is putting further upward pressure on prices for energy and agricultural commodities. This is dampening the outlook, particularly in Europe. In the United States, private domestic demand remains robust, despite the economy contracting in the first quarter of 2022. US labour market strength continues, with wage pressures intensifying. Global financial conditions have tightened and markets have been volatile.
Canadian economic activity is strong and the economy is clearly operating in excess demand. National accounts data for the first quarter of 2022 showed GDP growth of 3.1 percent, in line with the Bank’s April Monetary Policy Report (MPR) projection. Job vacancies are elevated, companies are reporting widespread labour shortages, and wage growth has been picking up and broadening across sectors. Housing market activity is moderating from exceptionally high levels. With consumer spending in Canada remaining robust and exports anticipated to strengthen, growth in the second quarter is expected to be solid.
With the economy in excess demand, and inflation persisting well above target and expected to move higher in the near term, the Governing Council continues to judge that interest rates will need to rise further. The policy interest rate remains the Bank’s primary monetary policy instrument, with quantitative tightening acting as a complementary tool. The pace of further increases in the policy rate will be guided by the Bank’s ongoing assessment of the economy and inflation, and the Governing Council is prepared to act more forcefully if needed to meet its commitment to achieve the 2% inflation target.
As usual, there is no listing of who voted for and against, nor a summary of contrary arguments. The governors aren’t good enough at their jobs to risk being seen in an occasional minority.
The Globe notes:
Higher interest rates won’t do much to deal with international sources of inflation, which include persistent supply-chain bottlenecks, COVID-19 lockdowns in China, and surging commodity prices following Russia’s invasion of Ukraine.
But higher interest rates do dampen demand in the economy. That can impact domestic sources of inflation tied to the service sector, housing market and ultra-tight labour market. In practice, this happens by increasing the cost of borrowing money, which shows up in things such as interest rates on mortgages, business loans and car loans.
I think they just cribbed that from a recent comment by Assiduous Reader baffled.
Rob Carrick puts a little blame on real estate speculators:
Behaviour in the housing market is a concern to the Bank of Canada because it suggests inflation is becoming entrenched in the economy.
…
But without the influence of investors buying up homes, these rate increases might have been less of a burden.Imagine you and your young kids bought a first home five years ago, when a well-discounted five-year fixed rate mortgage could be had for 2.25 per cent. You bought the place to live in, not to flip or rent. You made improvements in your property and the community benefited from your presence.
Flash ahead to 2022 – you must now renew at mortgage rates around 4.2 per cent for the same five-year fixed rate. A substantial increase in mortgage payments is coming, brought to you in part by real estate investors and speculators.
The point of low interest rates is to get free market traders to borrow money to invest in long term assets, which includes houses. One may quibble that it would be better if this investing were performed on productive assets rather than depreciating ones – I’ve done so for years – but the fact is that people like real estate, can touch real-estate, think they understand real-estate and therefore invest in real estate. I’ve known that for years and so has the Bank of Canada.
Don’t blame speculators. I have a feeling that they lose a lot more money than they ever make in the long run and, more importantly, they did exactly what the BoC wanted them to do.
Assiduous Reader TS sends me a copy of an eMail he sent to BCE:
Dear Sir or Madame,
I believe that the dividend on BCE.PR.B and similar prime rate preferred shares for record date May 31, 2022 were calculated incorrectly.
On the website it states that the dividend is $0.06215
The prime rate for the entire month of May was 3.2% so $25 x 3.2% / 12 mths = $0.06667
You still have time to change that as payment date is Jun 13, 2022.
Please correct as soon as possible.
Thank you.
The complaints I get about dividends are usually based on a misunderstanding of the issue terms, but after reading the prospectus:
The holders of the Series AB Preferred Shares will be entitled to receive floating adjustable cumulative preferred cash dividends, as and when declared by the board of directors of BCE Inc., which will be payable on the twelfth day of each Month commencing with the Month immediately following the date of issue of the Series AB Preferred Shares.
The annual floating dividend rate for the first Month will be equal to 80% of Prime. The dividend rate will float in relation to changes in Prime and will be adjusted upwards or downwards on a monthly basis by an adjustment factor (the ‘‘Adjustment Factor’’) whenever the Calculated Trading Price of the Series AB Preferred Shares is $24.875 or less or $25.125 or more respectively. The maximum monthly adjustment for changes in the Calculated Trading Price will be +/-4.00% of Prime. The annual floating dividend rate applicable for a Month will in no event be less than 50% of Prime or be greater than Prime.
The Adjustment Factor for a Month will be based on the Calculated Trading Price of the Series AB Preferred Shares for the preceding Month determined in accordance with the following table:
If the Calculated Trading Price for the Preceding Month is The Adjustment Factor as a Percentage of Prime shall be $25.50 or more****************************************** –4.00% $25.375 and less than $25.50.****************************** –3.00% $25.25 and less than $25.375.****************************** –2.00% $25.125 and less than $25.25.****************************** –1.00% Greater than $24.875 and less than $25.125 ****************** nil Greater than $24.75 to $24.875. **************************** 1.00% Greater than $24.625 to $24.75. **************************** 2.00% Greater than $24.50 to $24.625. **************************** 3.00% $24.50 or less******************************************* 4.00% The maximum Adjustment Factor for any Month will be 4.00% of Prime.
If in any Month there is no trade of at least a board lot of the Series AB Preferred Shares on the Exchange, the
Adjustment Factor for the following Month will be nil.
The annual floating dividend rate for a Month will be calculated by BCE Inc. as promptly as practicable, and
notice thereof will be given to each stock exchange on which the Series AB Preferred Shares are listed for trading.
I can’t see anything in there to contradict him. Stay tuned!
PerpetualDiscounts now yield 5.67%, equivalent to 7.37% interest at the standard equivalency factor of 1.3x. Long corporates now yield 4.88%, so the pre-tax interest-equivalent spread (in this context, the “Seniority Spread”) has narrowed to 250bp from the 260bp reported May 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 | 2.6322 % | 2,646.3 |
| FixedFloater | 0.00 % | 0.00 % | 0 | 0.00 | 0 | 2.6322 % | 5,075.6 |
| Floater | 4.06 % | 4.11 % | 43,472 | 17.12 | 3 | 2.6322 % | 2,925.1 |
| OpRet | 0.00 % | 0.00 % | 0 | 0.00 | 0 | -0.0330 % | 3,516.7 |
| SplitShare | 4.84 % | 4.87 % | 38,524 | 3.23 | 8 | -0.0330 % | 4,199.7 |
| Interest-Bearing | 0.00 % | 0.00 % | 0 | 0.00 | 0 | -0.0330 % | 3,276.8 |
| Perpetual-Premium | 5.77 % | -4.48 % | 76,850 | 0.08 | 2 | 0.1978 % | 2,993.7 |
| Perpetual-Discount | 5.57 % | 5.67 % | 62,092 | 14.36 | 34 | 0.5707 % | 3,330.8 |
| FixedReset Disc | 4.44 % | 5.61 % | 119,289 | 14.38 | 57 | 0.2834 % | 2,626.0 |
| Insurance Straight | 5.50 % | 5.50 % | 94,367 | 14.70 | 19 | 0.1684 % | 3,269.0 |
| FloatingReset | 4.75 % | 4.96 % | 51,704 | 15.63 | 2 | 7.6023 % | 2,688.2 |
| FixedReset Prem | 5.03 % | 4.61 % | 113,218 | 2.03 | 9 | 0.5000 % | 2,620.5 |
| FixedReset Bank Non | 0.00 % | 0.00 % | 0 | 0.00 | 0 | 0.2834 % | 2,684.3 |
| FixedReset Ins Non | 4.31 % | 5.47 % | 72,599 | 14.78 | 15 | 2.0848 % | 2,784.2 |
| Performance Highlights | |||
| Issue | Index | Change | Notes |
| BMO.PR.W | FixedReset Disc | -9.52 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2052-06-01 Maturity Price : 20.05 Evaluated at bid price : 20.05 Bid-YTW : 6.00 % |
| TRP.PR.G | FixedReset Disc | -4.39 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2052-06-01 Maturity Price : 20.90 Evaluated at bid price : 20.90 Bid-YTW : 6.20 % |
| CU.PR.F | Perpetual-Discount | -3.15 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2052-06-01 Maturity Price : 20.00 Evaluated at bid price : 20.00 Bid-YTW : 5.66 % |
| BMO.PR.T | FixedReset Disc | -3.11 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2052-06-01 Maturity Price : 21.22 Evaluated at bid price : 21.22 Bid-YTW : 5.67 % |
| NA.PR.W | FixedReset Disc | -3.02 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2052-06-01 Maturity Price : 20.90 Evaluated at bid price : 20.90 Bid-YTW : 5.77 % |
| POW.PR.D | Perpetual-Discount | -1.96 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2052-06-01 Maturity Price : 22.28 Evaluated at bid price : 22.55 Bid-YTW : 5.62 % |
| RY.PR.Z | FixedReset Disc | -1.88 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2052-06-01 Maturity Price : 21.51 Evaluated at bid price : 21.88 Bid-YTW : 5.49 % |
| BAM.PF.G | FixedReset Disc | -1.08 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2052-06-01 Maturity Price : 20.97 Evaluated at bid price : 20.97 Bid-YTW : 6.19 % |
| BAM.PF.C | Perpetual-Discount | -1.04 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2052-06-01 Maturity Price : 21.72 Evaluated at bid price : 21.97 Bid-YTW : 5.61 % |
| MFC.PR.F | FixedReset Ins Non | 1.02 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2052-06-01 Maturity Price : 15.81 Evaluated at bid price : 15.81 Bid-YTW : 5.87 % |
| BIP.PR.A | FixedReset Disc | 1.10 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2052-06-01 Maturity Price : 22.43 Evaluated at bid price : 23.00 Bid-YTW : 6.33 % |
| TD.PF.C | FixedReset Disc | 1.10 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2052-06-01 Maturity Price : 21.63 Evaluated at bid price : 22.05 Bid-YTW : 5.45 % |
| MFC.PR.M | FixedReset Ins Non | 1.13 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2052-06-01 Maturity Price : 21.51 Evaluated at bid price : 21.51 Bid-YTW : 5.69 % |
| PWF.PR.E | Perpetual-Discount | 1.13 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2052-06-01 Maturity Price : 23.82 Evaluated at bid price : 24.07 Bid-YTW : 5.78 % |
| RY.PR.O | Perpetual-Discount | 1.16 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2052-06-01 Maturity Price : 24.15 Evaluated at bid price : 24.48 Bid-YTW : 5.02 % |
| GWO.PR.I | Insurance Straight | 1.17 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2052-06-01 Maturity Price : 20.62 Evaluated at bid price : 20.62 Bid-YTW : 5.46 % |
| BAM.PR.C | Floater | 1.18 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2052-06-01 Maturity Price : 13.75 Evaluated at bid price : 13.75 Bid-YTW : 4.12 % |
| POW.PR.G | Perpetual-Discount | 1.21 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2052-06-01 Maturity Price : 24.68 Evaluated at bid price : 25.00 Bid-YTW : 5.67 % |
| PWF.PR.H | Perpetual-Discount | 1.21 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2052-06-01 Maturity Price : 24.68 Evaluated at bid price : 25.00 Bid-YTW : 5.81 % |
| BMO.PR.F | FixedReset Prem | 1.26 % | YTW SCENARIO Maturity Type : Call Maturity Date : 2024-05-25 Maturity Price : 25.00 Evaluated at bid price : 25.72 Bid-YTW : 3.64 % |
| RS.PR.A | SplitShare | 1.29 % | YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2025-12-31 Maturity Price : 10.00 Evaluated at bid price : 10.20 Bid-YTW : 4.87 % |
| BAM.PR.Z | FixedReset Disc | 1.32 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2052-06-01 Maturity Price : 23.95 Evaluated at bid price : 24.57 Bid-YTW : 5.81 % |
| BAM.PF.H | FixedReset Prem | 1.33 % | YTW SCENARIO Maturity Type : Call Maturity Date : 2025-12-31 Maturity Price : 25.00 Evaluated at bid price : 25.90 Bid-YTW : 4.18 % |
| TRP.PR.D | FixedReset Disc | 1.36 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2052-06-01 Maturity Price : 20.12 Evaluated at bid price : 20.12 Bid-YTW : 6.23 % |
| GWO.PR.Q | Insurance Straight | 1.40 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2052-06-01 Maturity Price : 22.71 Evaluated at bid price : 22.95 Bid-YTW : 5.60 % |
| BAM.PR.M | Perpetual-Discount | 1.44 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2052-06-01 Maturity Price : 21.57 Evaluated at bid price : 21.83 Bid-YTW : 5.52 % |
| GWO.PR.R | Insurance Straight | 1.44 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2052-06-01 Maturity Price : 21.51 Evaluated at bid price : 21.51 Bid-YTW : 5.59 % |
| GWO.PR.G | Insurance Straight | 1.45 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2052-06-01 Maturity Price : 22.92 Evaluated at bid price : 23.19 Bid-YTW : 5.60 % |
| SLF.PR.J | FloatingReset | 1.46 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2052-06-01 Maturity Price : 16.00 Evaluated at bid price : 16.00 Bid-YTW : 4.51 % |
| PWF.PR.O | Perpetual-Discount | 1.50 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2052-06-01 Maturity Price : 24.83 Evaluated at bid price : 25.05 Bid-YTW : 5.86 % |
| MFC.PR.N | FixedReset Ins Non | 1.53 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2052-06-01 Maturity Price : 21.20 Evaluated at bid price : 21.20 Bid-YTW : 5.67 % |
| SLF.PR.G | FixedReset Ins Non | 1.57 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2052-06-01 Maturity Price : 15.55 Evaluated at bid price : 15.55 Bid-YTW : 5.96 % |
| BAM.PF.J | FixedReset Disc | 1.60 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2052-06-01 Maturity Price : 24.31 Evaluated at bid price : 24.84 Bid-YTW : 5.89 % |
| BAM.PR.T | FixedReset Disc | 1.60 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2052-06-01 Maturity Price : 19.05 Evaluated at bid price : 19.05 Bid-YTW : 6.23 % |
| GWO.PR.Y | Insurance Straight | 1.62 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2052-06-01 Maturity Price : 20.50 Evaluated at bid price : 20.50 Bid-YTW : 5.50 % |
| PWF.PR.R | Perpetual-Discount | 1.64 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2052-06-01 Maturity Price : 23.95 Evaluated at bid price : 24.20 Bid-YTW : 5.74 % |
| BAM.PR.B | Floater | 1.85 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2052-06-01 Maturity Price : 13.80 Evaluated at bid price : 13.80 Bid-YTW : 4.11 % |
| GWO.PR.H | Insurance Straight | 1.85 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2052-06-01 Maturity Price : 21.65 Evaluated at bid price : 21.90 Bid-YTW : 5.53 % |
| PWF.PR.K | Perpetual-Discount | 1.85 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2052-06-01 Maturity Price : 21.75 Evaluated at bid price : 22.00 Bid-YTW : 5.68 % |
| MFC.PR.B | Insurance Straight | 1.86 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2052-06-01 Maturity Price : 21.59 Evaluated at bid price : 21.85 Bid-YTW : 5.32 % |
| TRP.PR.B | FixedReset Disc | 2.00 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2052-06-01 Maturity Price : 13.75 Evaluated at bid price : 13.75 Bid-YTW : 6.47 % |
| FTS.PR.K | FixedReset Disc | 2.05 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2052-06-01 Maturity Price : 19.90 Evaluated at bid price : 19.90 Bid-YTW : 5.91 % |
| GWO.PR.M | Insurance Straight | 2.21 % | YTW SCENARIO Maturity Type : Call Maturity Date : 2022-07-01 Maturity Price : 25.00 Evaluated at bid price : 25.20 Bid-YTW : -9.29 % |
| RY.PR.S | FixedReset Disc | 2.29 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2052-06-01 Maturity Price : 23.48 Evaluated at bid price : 24.55 Bid-YTW : 5.13 % |
| RY.PR.N | Perpetual-Discount | 2.42 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2052-06-01 Maturity Price : 24.25 Evaluated at bid price : 24.58 Bid-YTW : 5.00 % |
| PWF.PR.T | FixedReset Disc | 2.58 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2052-06-01 Maturity Price : 21.51 Evaluated at bid price : 21.88 Bid-YTW : 5.74 % |
| MFC.PR.Q | FixedReset Ins Non | 2.71 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2052-06-01 Maturity Price : 23.75 Evaluated at bid price : 24.25 Bid-YTW : 5.38 % |
| MFC.PR.K | FixedReset Ins Non | 2.72 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2052-06-01 Maturity Price : 22.03 Evaluated at bid price : 22.65 Bid-YTW : 5.38 % |
| GWO.PR.S | Insurance Straight | 2.76 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2052-06-01 Maturity Price : 23.53 Evaluated at bid price : 23.78 Bid-YTW : 5.51 % |
| GWO.PR.T | Insurance Straight | 2.87 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2052-06-01 Maturity Price : 22.95 Evaluated at bid price : 23.39 Bid-YTW : 5.49 % |
| CU.PR.D | Perpetual-Discount | 3.18 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2052-06-01 Maturity Price : 21.84 Evaluated at bid price : 22.08 Bid-YTW : 5.57 % |
| MIC.PR.A | Perpetual-Discount | 3.18 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2052-06-01 Maturity Price : 22.36 Evaluated at bid price : 22.70 Bid-YTW : 6.05 % |
| CM.PR.Q | FixedReset Disc | 3.68 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2052-06-01 Maturity Price : 22.10 Evaluated at bid price : 22.51 Bid-YTW : 5.62 % |
| PWF.PR.P | FixedReset Disc | 4.45 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2052-06-01 Maturity Price : 15.25 Evaluated at bid price : 15.25 Bid-YTW : 6.22 % |
| RY.PR.M | FixedReset Disc | 4.52 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2052-06-01 Maturity Price : 21.68 Evaluated at bid price : 21.95 Bid-YTW : 5.56 % |
| CM.PR.P | FixedReset Disc | 4.62 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2052-06-01 Maturity Price : 21.57 Evaluated at bid price : 21.97 Bid-YTW : 5.47 % |
| PWF.PF.A | Perpetual-Discount | 4.75 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2052-06-01 Maturity Price : 21.33 Evaluated at bid price : 21.63 Bid-YTW : 5.25 % |
| BAM.PR.K | Floater | 4.95 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2052-06-01 Maturity Price : 13.78 Evaluated at bid price : 13.78 Bid-YTW : 4.11 % |
| IFC.PR.A | FixedReset Ins Non | 5.25 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2052-06-01 Maturity Price : 20.46 Evaluated at bid price : 20.46 Bid-YTW : 5.47 % |
| BAM.PR.R | FixedReset Disc | 6.03 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2052-06-01 Maturity Price : 18.29 Evaluated at bid price : 18.29 Bid-YTW : 6.34 % |
| GWO.PR.N | FixedReset Ins Non | 7.44 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2052-06-01 Maturity Price : 15.05 Evaluated at bid price : 15.05 Bid-YTW : 5.83 % |
| SLF.PR.H | FixedReset Ins Non | 9.85 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2052-06-01 Maturity Price : 19.85 Evaluated at bid price : 19.85 Bid-YTW : 5.56 % |
| TRP.PR.F | FloatingReset | 14.06 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2052-06-01 Maturity Price : 17.12 Evaluated at bid price : 17.12 Bid-YTW : 4.96 % |
| Volume Highlights | |||
| Issue | Index | Shares Traded |
Notes |
| FTS.PR.F | Perpetual-Discount | 162,658 | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2052-06-01 Maturity Price : 21.87 Evaluated at bid price : 22.11 Bid-YTW : 5.56 % |
| MIC.PR.A | Perpetual-Discount | 103,600 | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2052-06-01 Maturity Price : 22.36 Evaluated at bid price : 22.70 Bid-YTW : 6.05 % |
| IFC.PR.K | Perpetual-Discount | 87,059 | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2052-06-01 Maturity Price : 22.87 Evaluated at bid price : 23.26 Bid-YTW : 5.75 % |
| CM.PR.R | FixedReset Disc | 75,600 | YTW SCENARIO Maturity Type : Call Maturity Date : 2022-07-31 Maturity Price : 25.00 Evaluated at bid price : 25.11 Bid-YTW : 4.25 % |
| CM.PR.P | FixedReset Disc | 70,500 | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2052-06-01 Maturity Price : 21.57 Evaluated at bid price : 21.97 Bid-YTW : 5.47 % |
| FTS.PR.J | Perpetual-Discount | 56,902 | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2052-06-01 Maturity Price : 21.48 Evaluated at bid price : 21.48 Bid-YTW : 5.57 % |
| There were 12 other index-included issues trading in excess of 10,000 shares. | |||
| Wide Spread Highlights | ||
| Issue | Index | Quote Data and Yield Notes |
| BMO.PR.W | FixedReset Disc | Quote: 20.05 – 24.20 Spot Rate : 4.1500 Average : 2.6049 YTW SCENARIO |
| SLF.PR.H | FixedReset Ins Non | Quote: 19.85 – 23.50 Spot Rate : 3.6500 Average : 2.6064 YTW SCENARIO |
| CU.PR.G | Perpetual-Discount | Quote: 20.75 – 24.84 Spot Rate : 4.0900 Average : 3.3050 YTW SCENARIO |
| TD.PF.E | FixedReset Disc | Quote: 22.75 – 23.95 Spot Rate : 1.2000 Average : 0.7574 YTW SCENARIO |
| BAM.PR.T | FixedReset Disc | Quote: 19.05 – 20.49 Spot Rate : 1.4400 Average : 1.0539 YTW SCENARIO |
| BMO.PR.T | FixedReset Disc | Quote: 21.22 – 22.16 Spot Rate : 0.9400 Average : 0.6250 YTW SCENARIO |
Research: Market Spread Risk for FixedReset Premiums
In the early days of FixedReset trading, investors would blithely trade FixedResets as if they were guaranteed to be called on their first Exchange Date.
I tried to warn them!
Look for the research link!
May 31, 2022
TXPR closed at 653.68, up 1.31% on the day. Volume today was 2.82-million, highest of the past 21 trading days.
CPD closed at 12.89, up 0.86% on the day. Volume was 90,270, above the median of the past 21 trading days.
ZPR closed at 10.75 up 0.66% on the day. Volume of 288,710 was well above the median of the past 21 trading days.
Five-year Canada yields were up to 2.76% today.
Canadian GDP disappointed:
Canada’s economic growth slowed in the first quarter of 2022, but an acceleration in demand showed why the Bank of Canada is unlikely to deviate from its course of rapid interest rate hikes.
After adjusting for inflation, gross domestic product grew at an annualized pace of 3.1 per cent, slowing from 6.6 per cent in the fourth quarter of 2021, Statistics Canada said on Tuesday. While that growth was in line with the central bank’s expectations, it fell short of the median estimate from Bay Street analysts, who called for growth of 5.2 per cent.
…
Compensation of employees rose 3.8 per cent in the first quarter in nominal terms, following a 2-per-cent rise in the fourth quarter. It was the largest growth in compensation since 1981, excluding the third quarter of 2020, when the country was rebounding from the first wave of COVID-19.Canadians also hung on to more of their money. The household savings rate rose to 8.1 per cent from 6.9 per cent – and far above the quarterly average of 3.4 per cent during the 2010s.
…
This cycle of monetary policy tightening has already led to weaker sales and falling prices in many of Canada’s exuberant housing markets.However, that shift hadn’t yet materialized in Tuesday’s GDP report. Investment in residential real estate jumped by 18 per cent, on an annualized basis, driven by expenditures on renovations and costs associated with home purchases.
| HIMIPref™ Preferred Indices These values reflect the December 2008 revision of the HIMIPref™ Indices Values are provisional and are finalized monthly |
|||||||
| Index | Mean Current Yield (at bid) |
Median YTW |
Median Average Trading Value |
Median Mod Dur (YTW) |
Issues | Day’s Perf. | Index Value |
| Ratchet | 3.95 % | 4.58 % | 15,362 | 18.16 | 1 | 0.5556 % | 2,578.4 |
| FixedFloater | 0.00 % | 0.00 % | 0 | 0.00 | 0 | -1.3957 % | 4,945.4 |
| Floater | 4.17 % | 4.18 % | 40,244 | 16.97 | 3 | -1.3957 % | 2,850.1 |
| OpRet | 0.00 % | 0.00 % | 0 | 0.00 | 0 | -0.2333 % | 3,517.9 |
| SplitShare | 4.83 % | 5.27 % | 36,647 | 3.23 | 8 | -0.2333 % | 4,201.1 |
| Interest-Bearing | 0.00 % | 0.00 % | 0 | 0.00 | 0 | -0.2333 % | 3,277.8 |
| Perpetual-Premium | 5.84 % | -0.18 % | 65,210 | 0.08 | 1 | 0.5575 % | 2,987.8 |
| Perpetual-Discount | 5.61 % | 5.69 % | 61,821 | 14.29 | 35 | 0.4313 % | 3,311.9 |
| FixedReset Disc | 4.43 % | 5.57 % | 124,164 | 14.59 | 58 | 0.6172 % | 2,618.6 |
| Insurance Straight | 5.50 % | 5.65 % | 94,926 | 14.33 | 20 | 0.5319 % | 3,263.5 |
| FloatingReset | 5.11 % | 4.57 % | 25,556 | 16.34 | 2 | -6.0153 % | 2,498.3 |
| FixedReset Prem | 5.24 % | 4.95 % | 117,749 | 2.03 | 9 | 0.2749 % | 2,607.4 |
| FixedReset Bank Non | 0.00 % | 0.00 % | 0 | 0.00 | 0 | 0.6172 % | 2,676.7 |
| FixedReset Ins Non | 4.40 % | 5.62 % | 75,565 | 14.66 | 15 | -0.3431 % | 2,727.4 |
| Performance Highlights | |||
| Issue | Index | Change | Notes |
| TRP.PR.F | FloatingReset | -10.92 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2052-05-31 Maturity Price : 15.01 Evaluated at bid price : 15.01 Bid-YTW : 5.66 % |
| SLF.PR.H | FixedReset Ins Non | -6.62 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2052-05-31 Maturity Price : 18.07 Evaluated at bid price : 18.07 Bid-YTW : 6.08 % |
| BAM.PF.E | FixedReset Disc | -4.71 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2052-05-31 Maturity Price : 18.40 Evaluated at bid price : 18.40 Bid-YTW : 6.84 % |
| BAM.PF.D | Perpetual-Discount | -4.17 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2052-05-31 Maturity Price : 21.59 Evaluated at bid price : 21.85 Bid-YTW : 5.70 % |
| BAM.PR.R | FixedReset Disc | -3.42 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2052-05-31 Maturity Price : 17.25 Evaluated at bid price : 17.25 Bid-YTW : 6.70 % |
| GWO.PR.N | FixedReset Ins Non | -3.36 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2052-05-31 Maturity Price : 14.11 Evaluated at bid price : 14.11 Bid-YTW : 6.24 % |
| BAM.PR.K | Floater | -3.17 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2052-05-31 Maturity Price : 13.13 Evaluated at bid price : 13.13 Bid-YTW : 4.32 % |
| CM.PR.Q | FixedReset Disc | -3.08 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2052-05-31 Maturity Price : 21.39 Evaluated at bid price : 21.71 Bid-YTW : 5.83 % |
| PWF.PR.P | FixedReset Disc | -2.93 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2052-05-31 Maturity Price : 14.60 Evaluated at bid price : 14.60 Bid-YTW : 6.48 % |
| RY.PR.M | FixedReset Disc | -2.55 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2052-05-31 Maturity Price : 21.00 Evaluated at bid price : 21.00 Bid-YTW : 5.82 % |
| TRP.PR.E | FixedReset Disc | -2.46 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2052-05-31 Maturity Price : 19.06 Evaluated at bid price : 19.06 Bid-YTW : 6.46 % |
| IFC.PR.A | FixedReset Ins Non | -2.21 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2052-05-31 Maturity Price : 19.44 Evaluated at bid price : 19.44 Bid-YTW : 5.75 % |
| PVS.PR.J | SplitShare | -1.67 % | YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2028-02-29 Maturity Price : 25.00 Evaluated at bid price : 23.50 Bid-YTW : 5.65 % |
| RY.PR.S | FixedReset Disc | -1.64 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2052-05-31 Maturity Price : 23.64 Evaluated at bid price : 24.00 Bid-YTW : 5.29 % |
| GWO.PR.T | Insurance Straight | -1.50 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2052-05-31 Maturity Price : 22.66 Evaluated at bid price : 23.05 Bid-YTW : 5.67 % |
| CM.PR.P | FixedReset Disc | -1.45 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2052-05-31 Maturity Price : 21.00 Evaluated at bid price : 21.00 Bid-YTW : 5.75 % |
| CU.PR.D | Perpetual-Discount | -1.34 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2052-05-31 Maturity Price : 21.40 Evaluated at bid price : 21.40 Bid-YTW : 5.76 % |
| PVS.PR.K | SplitShare | -1.25 % | YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2029-05-31 Maturity Price : 25.00 Evaluated at bid price : 23.75 Bid-YTW : 5.33 % |
| RY.PR.O | Perpetual-Discount | -1.22 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2052-05-31 Maturity Price : 23.87 Evaluated at bid price : 24.20 Bid-YTW : 5.08 % |
| BAM.PR.C | Floater | -1.16 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2052-05-31 Maturity Price : 13.59 Evaluated at bid price : 13.59 Bid-YTW : 4.17 % |
| PWF.PR.F | Perpetual-Discount | 1.01 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2052-05-31 Maturity Price : 22.74 Evaluated at bid price : 23.03 Bid-YTW : 5.76 % |
| TD.PF.K | FixedReset Disc | 1.04 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2052-05-31 Maturity Price : 23.85 Evaluated at bid price : 24.25 Bid-YTW : 5.45 % |
| TD.PF.D | FixedReset Disc | 1.10 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2052-05-31 Maturity Price : 22.42 Evaluated at bid price : 23.00 Bid-YTW : 5.51 % |
| TD.PF.E | FixedReset Disc | 1.10 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2052-05-31 Maturity Price : 22.33 Evaluated at bid price : 22.90 Bid-YTW : 5.57 % |
| BAM.PF.B | FixedReset Disc | 1.16 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2052-05-31 Maturity Price : 21.45 Evaluated at bid price : 21.80 Bid-YTW : 6.10 % |
| NA.PR.E | FixedReset Disc | 1.26 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2052-05-31 Maturity Price : 23.61 Evaluated at bid price : 24.15 Bid-YTW : 5.46 % |
| POW.PR.B | Perpetual-Discount | 1.28 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2052-05-31 Maturity Price : 23.53 Evaluated at bid price : 23.80 Bid-YTW : 5.69 % |
| BAM.PR.X | FixedReset Disc | 1.29 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2052-05-31 Maturity Price : 18.10 Evaluated at bid price : 18.10 Bid-YTW : 6.35 % |
| BAM.PR.Z | FixedReset Disc | 1.29 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2052-05-31 Maturity Price : 23.56 Evaluated at bid price : 24.25 Bid-YTW : 5.88 % |
| BMO.PR.T | FixedReset Disc | 1.39 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2052-05-31 Maturity Price : 21.52 Evaluated at bid price : 21.90 Bid-YTW : 5.48 % |
| FTS.PR.M | FixedReset Disc | 1.39 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2052-05-31 Maturity Price : 20.40 Evaluated at bid price : 20.40 Bid-YTW : 6.16 % |
| BAM.PR.N | Perpetual-Discount | 1.40 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2052-05-31 Maturity Price : 21.49 Evaluated at bid price : 21.75 Bid-YTW : 5.54 % |
| POW.PR.C | Perpetual-Discount | 1.40 % | YTW SCENARIO Maturity Type : Call Maturity Date : 2022-06-30 Maturity Price : 25.00 Evaluated at bid price : 25.30 Bid-YTW : 0.08 % |
| CM.PR.O | FixedReset Disc | 1.43 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2052-05-31 Maturity Price : 21.60 Evaluated at bid price : 22.01 Bid-YTW : 5.54 % |
| RY.PR.J | FixedReset Disc | 1.45 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2052-05-31 Maturity Price : 22.49 Evaluated at bid price : 23.08 Bid-YTW : 5.49 % |
| BIP.PR.E | FixedReset Disc | 1.49 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2052-05-31 Maturity Price : 23.29 Evaluated at bid price : 23.90 Bid-YTW : 5.91 % |
| CU.PR.F | Perpetual-Discount | 1.52 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2052-05-31 Maturity Price : 20.65 Evaluated at bid price : 20.65 Bid-YTW : 5.48 % |
| BMO.PR.Y | FixedReset Disc | 1.58 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2052-05-31 Maturity Price : 22.09 Evaluated at bid price : 22.50 Bid-YTW : 5.55 % |
| PWF.PR.L | Perpetual-Discount | 1.58 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2052-05-31 Maturity Price : 22.22 Evaluated at bid price : 22.50 Bid-YTW : 5.72 % |
| IFC.PR.K | Perpetual-Discount | 1.65 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2052-05-31 Maturity Price : 23.03 Evaluated at bid price : 23.44 Bid-YTW : 5.70 % |
| GWO.PR.P | Insurance Straight | 1.67 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2052-05-31 Maturity Price : 24.15 Evaluated at bid price : 24.40 Bid-YTW : 5.62 % |
| IFC.PR.G | FixedReset Ins Non | 1.68 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2052-05-31 Maturity Price : 23.65 Evaluated at bid price : 24.15 Bid-YTW : 5.49 % |
| POW.PR.D | Perpetual-Discount | 1.77 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2052-05-31 Maturity Price : 22.71 Evaluated at bid price : 23.00 Bid-YTW : 5.50 % |
| SLF.PR.D | Insurance Straight | 1.82 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2052-05-31 Maturity Price : 21.46 Evaluated at bid price : 21.46 Bid-YTW : 5.19 % |
| SLF.PR.C | Insurance Straight | 1.89 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2052-05-31 Maturity Price : 21.20 Evaluated at bid price : 21.20 Bid-YTW : 5.25 % |
| BAM.PF.A | FixedReset Disc | 1.90 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2052-05-31 Maturity Price : 23.72 Evaluated at bid price : 24.15 Bid-YTW : 5.84 % |
| MFC.PR.L | FixedReset Ins Non | 1.97 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2052-05-31 Maturity Price : 20.70 Evaluated at bid price : 20.70 Bid-YTW : 5.75 % |
| NA.PR.S | FixedReset Disc | 2.01 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2052-05-31 Maturity Price : 22.48 Evaluated at bid price : 22.80 Bid-YTW : 5.50 % |
| CU.PR.E | Perpetual-Discount | 2.09 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2052-05-31 Maturity Price : 21.70 Evaluated at bid price : 21.95 Bid-YTW : 5.60 % |
| MFC.PR.J | FixedReset Ins Non | 2.10 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2052-05-31 Maturity Price : 23.72 Evaluated at bid price : 24.30 Bid-YTW : 5.44 % |
| CU.PR.J | Perpetual-Discount | 2.26 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2052-05-31 Maturity Price : 21.27 Evaluated at bid price : 21.27 Bid-YTW : 5.62 % |
| BMO.PR.W | FixedReset Disc | 2.36 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2052-05-31 Maturity Price : 21.92 Evaluated at bid price : 22.16 Bid-YTW : 5.42 % |
| MFC.PR.C | Insurance Straight | 2.41 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2052-05-31 Maturity Price : 21.25 Evaluated at bid price : 21.25 Bid-YTW : 5.31 % |
| TD.PF.B | FixedReset Disc | 2.41 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2052-05-31 Maturity Price : 21.63 Evaluated at bid price : 22.06 Bid-YTW : 5.47 % |
| IFC.PR.E | Insurance Straight | 2.42 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2052-05-31 Maturity Price : 22.83 Evaluated at bid price : 23.25 Bid-YTW : 5.67 % |
| IFC.PR.C | FixedReset Disc | 2.47 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2052-05-31 Maturity Price : 21.94 Evaluated at bid price : 22.39 Bid-YTW : 5.52 % |
| TRP.PR.B | FixedReset Disc | 2.51 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2052-05-31 Maturity Price : 13.48 Evaluated at bid price : 13.48 Bid-YTW : 6.59 % |
| TRP.PR.A | FixedReset Disc | 2.58 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2052-05-31 Maturity Price : 17.50 Evaluated at bid price : 17.50 Bid-YTW : 6.34 % |
| FTS.PR.G | FixedReset Disc | 3.06 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2052-05-31 Maturity Price : 20.87 Evaluated at bid price : 20.87 Bid-YTW : 5.80 % |
| RY.PR.Z | FixedReset Disc | 3.10 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2052-05-31 Maturity Price : 21.80 Evaluated at bid price : 22.30 Bid-YTW : 5.37 % |
| TRP.PR.C | FixedReset Disc | 3.19 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2052-05-31 Maturity Price : 14.55 Evaluated at bid price : 14.55 Bid-YTW : 6.46 % |
| CCS.PR.C | Insurance Straight | 3.56 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2052-05-31 Maturity Price : 23.03 Evaluated at bid price : 23.30 Bid-YTW : 5.35 % |
| BAM.PF.G | FixedReset Disc | 4.33 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2052-05-31 Maturity Price : 21.20 Evaluated at bid price : 21.20 Bid-YTW : 6.12 % |
| FTS.PR.K | FixedReset Disc | 4.56 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2052-05-31 Maturity Price : 19.50 Evaluated at bid price : 19.50 Bid-YTW : 6.03 % |
| FTS.PR.H | FixedReset Disc | 4.75 % | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2052-05-31 Maturity Price : 15.45 Evaluated at bid price : 15.45 Bid-YTW : 6.08 % |
| Volume Highlights | |||
| Issue | Index | Shares Traded |
Notes |
| CM.PR.P | FixedReset Disc | 135,778 | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2052-05-31 Maturity Price : 21.00 Evaluated at bid price : 21.00 Bid-YTW : 5.75 % |
| CM.PR.S | FixedReset Disc | 51,097 | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2052-05-31 Maturity Price : 23.49 Evaluated at bid price : 24.15 Bid-YTW : 5.34 % |
| FTS.PR.M | FixedReset Disc | 48,849 | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2052-05-31 Maturity Price : 20.40 Evaluated at bid price : 20.40 Bid-YTW : 6.16 % |
| TD.PF.C | FixedReset Disc | 37,162 | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2052-05-31 Maturity Price : 21.46 Evaluated at bid price : 21.81 Bid-YTW : 5.52 % |
| CU.PR.I | FixedReset Prem | 34,841 | YTW SCENARIO Maturity Type : Call Maturity Date : 2025-12-01 Maturity Price : 25.00 Evaluated at bid price : 25.30 Bid-YTW : 4.14 % |
| TD.PF.I | FixedReset Disc | 34,654 | YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2052-05-31 Maturity Price : 24.30 Evaluated at bid price : 24.90 Bid-YTW : 5.74 % |
| There were 51 other index-included issues trading in excess of 10,000 shares. | |||
| Wide Spread Highlights | ||
| Issue | Index | Quote Data and Yield Notes |
| CU.PR.G | Perpetual-Discount | Quote: 20.75 – 24.84 Spot Rate : 4.0900 Average : 2.4444 YTW SCENARIO |
| TRP.PR.F | FloatingReset | Quote: 15.01 – 17.45 Spot Rate : 2.4400 Average : 1.4370 YTW SCENARIO |
| IFC.PR.G | FixedReset Ins Non | Quote: 24.15 – 26.00 Spot Rate : 1.8500 Average : 1.0949 YTW SCENARIO |
| SLF.PR.D | Insurance Straight | Quote: 21.46 – 22.99 Spot Rate : 1.5300 Average : 0.8915 YTW SCENARIO |
| CU.PR.D | Perpetual-Discount | Quote: 21.40 – 23.75 Spot Rate : 2.3500 Average : 1.8200 YTW SCENARIO |
| TRP.PR.E | FixedReset Disc | Quote: 19.06 – 21.00 Spot Rate : 1.9400 Average : 1.4113 YTW SCENARIO |
Research: Convexity (PrefLetter Version)
Why do I want extra yield for holding a perpetual that is priced near par? I try to explain the rationale in this essay, published as an appendix to the July, 2009, edition of PrefLetter.
There is a related essay, published in the Canadian Moneysaver of November 2007, that has also been highlighted on PrefBlog.
Look for the research link!
