Archive for October, 2021

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October 4, 2021

Monday, October 4th, 2021
HIMIPref™ Preferred Indices
These values reflect the December 2008 revision of the HIMIPref™ Indices
Values are provisional and are finalized monthly
Index Mean
Current
Yield
(at bid)		 Median
YTW		 Median
Average
Trading
Value		 Median
Mod Dur
(YTW)		 Issues Day’s Perf. Index Value
Ratchet 0.00 % 0.00 % 0 0.00 0 0.4267 % 2,701.0
FixedFloater 0.00 % 0.00 % 0 0.00 0 0.4267 % 4,956.2
Floater 3.21 % 3.22 % 50,563 19.21 3 0.4267 % 2,856.3
OpRet 0.00 % 0.00 % 0 0.00 0 0.1444 % 3,717.5
SplitShare 4.61 % 3.69 % 41,385 3.81 6 0.1444 % 4,439.5
Interest-Bearing 0.00 % 0.00 % 0 0.00 0 0.1444 % 3,463.8
Perpetual-Premium 4.99 % -19.55 % 51,338 0.09 34 0.1318 % 3,331.0
Perpetual-Discount 0.00 % 0.00 % 0 0.00 0 0.1318 % 4,008.7
FixedReset Disc 3.84 % 3.53 % 100,468 17.60 39 0.5734 % 2,899.8
Insurance Straight 4.88 % -12.00 % 83,243 0.09 19 -0.0552 % 3,737.6
FloatingReset 2.94 % 2.95 % 31,179 19.89 1 5.8501 % 2,702.2
FixedReset Prem 4.65 % 2.82 % 130,682 2.39 33 -0.0117 % 2,771.7
FixedReset Bank Non 0.00 % 0.00 % 0 0.00 0 0.5734 % 2,964.2
FixedReset Ins Non 4.08 % 3.50 % 89,518 17.76 19 0.0970 % 2,968.0
Performance Highlights
Issue Index Change Notes
BIP.PR.B FixedReset Prem -1.51 % YTW SCENARIO
Maturity Type : Call
Maturity Date : 2025-12-31
Maturity Price : 25.00
Evaluated at bid price : 26.80
Bid-YTW : 3.69 %
BAM.PF.F FixedReset Disc -1.07 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-10-04
Maturity Price : 22.97
Evaluated at bid price : 23.99
Bid-YTW : 4.08 %
TRP.PR.D FixedReset Disc 1.01 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-10-04
Maturity Price : 21.57
Evaluated at bid price : 21.97
Bid-YTW : 3.98 %
FTS.PR.K FixedReset Disc 1.02 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-10-04
Maturity Price : 21.43
Evaluated at bid price : 21.77
Bid-YTW : 3.72 %
BMO.PR.S FixedReset Disc 1.03 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-10-04
Maturity Price : 23.30
Evaluated at bid price : 24.61
Bid-YTW : 3.46 %
BAM.PR.N Perpetual-Premium 1.03 % YTW SCENARIO
Maturity Type : Call
Maturity Date : 2021-11-03
Maturity Price : 25.00
Evaluated at bid price : 25.57
Bid-YTW : -20.90 %
TRP.PR.E FixedReset Disc 1.04 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-10-04
Maturity Price : 21.47
Evaluated at bid price : 21.47
Bid-YTW : 4.07 %
PWF.PR.I Perpetual-Premium 1.04 % YTW SCENARIO
Maturity Type : Call
Maturity Date : 2021-11-03
Maturity Price : 25.00
Evaluated at bid price : 26.13
Bid-YTW : -32.24 %
BAM.PR.X FixedReset Disc 1.17 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-10-04
Maturity Price : 18.10
Evaluated at bid price : 18.10
Bid-YTW : 4.01 %
FTS.PR.F Perpetual-Premium 1.18 % YTW SCENARIO
Maturity Type : Call
Maturity Date : 2021-11-03
Maturity Price : 25.00
Evaluated at bid price : 25.70
Bid-YTW : -22.06 %
FTS.PR.H FixedReset Disc 1.24 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-10-04
Maturity Price : 16.27
Evaluated at bid price : 16.27
Bid-YTW : 3.74 %
BAM.PF.E FixedReset Disc 1.43 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-10-04
Maturity Price : 21.72
Evaluated at bid price : 22.01
Bid-YTW : 4.12 %
RS.PR.A SplitShare 1.43 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-12-31
Maturity Price : 10.00
Evaluated at bid price : 10.65
Bid-YTW : 3.62 %
BAM.PR.K Floater 1.54 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-10-04
Maturity Price : 13.22
Evaluated at bid price : 13.22
Bid-YTW : 3.26 %
FTS.PR.M FixedReset Disc 1.99 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-10-04
Maturity Price : 22.76
Evaluated at bid price : 23.61
Bid-YTW : 3.81 %
FTS.PR.G FixedReset Disc 3.00 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-10-04
Maturity Price : 22.34
Evaluated at bid price : 22.66
Bid-YTW : 3.68 %
TRP.PR.C FixedReset Disc 3.03 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-10-04
Maturity Price : 15.66
Evaluated at bid price : 15.66
Bid-YTW : 3.97 %
BAM.PR.T FixedReset Disc 4.25 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-10-04
Maturity Price : 20.85
Evaluated at bid price : 20.85
Bid-YTW : 4.10 %
TRP.PR.F FloatingReset 5.85 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-10-04
Maturity Price : 17.37
Evaluated at bid price : 17.37
Bid-YTW : 2.95 %
Volume Highlights
Issue Index Shares
Traded		 Notes
TD.PF.A FixedReset Disc 143,450 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-10-04
Maturity Price : 23.08
Evaluated at bid price : 24.26
Bid-YTW : 3.44 %
BAM.PF.G FixedReset Disc 64,885 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-10-04
Maturity Price : 22.61
Evaluated at bid price : 23.45
Bid-YTW : 4.02 %
MFC.PR.F FixedReset Ins Non 64,586 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-10-04
Maturity Price : 17.20
Evaluated at bid price : 17.20
Bid-YTW : 3.61 %
MFC.PR.M FixedReset Ins Non 34,600 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-10-04
Maturity Price : 23.06
Evaluated at bid price : 24.26
Bid-YTW : 3.54 %
PWF.PR.P FixedReset Disc 33,402 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-10-04
Maturity Price : 17.94
Evaluated at bid price : 17.94
Bid-YTW : 3.59 %
NA.PR.W FixedReset Disc 30,800 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-10-04
Maturity Price : 23.16
Evaluated at bid price : 24.55
Bid-YTW : 3.42 %
There were 12 other index-included issues trading in excess of 10,000 shares.
Wide Spread Highlights
Issue Index Quote Data and Yield Notes
SLF.PR.E Insurance Straight Quote: 25.35 – 26.35
Spot Rate : 1.0000
Average : 0.5681

YTW SCENARIO
Maturity Type : Call
Maturity Date : 2021-11-03
Maturity Price : 25.00
Evaluated at bid price : 25.35
Bid-YTW : -11.49 %
SLF.PR.G FixedReset Ins Non Quote: 17.40 – 18.57
Spot Rate : 1.1700
Average : 0.8301

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-10-04
Maturity Price : 17.40
Evaluated at bid price : 17.40
Bid-YTW : 3.44 %
PWF.PR.P FixedReset Disc Quote: 17.94 – 18.64
Spot Rate : 0.7000
Average : 0.4262

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-10-04
Maturity Price : 17.94
Evaluated at bid price : 17.94
Bid-YTW : 3.59 %
BMO.PR.W FixedReset Disc Quote: 24.39 – 24.97
Spot Rate : 0.5800
Average : 0.3681

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-10-04
Maturity Price : 23.13
Evaluated at bid price : 24.39
Bid-YTW : 3.41 %
SLF.PR.H FixedReset Ins Non Quote: 23.00 – 23.94
Spot Rate : 0.9400
Average : 0.7416

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-10-04
Maturity Price : 22.28
Evaluated at bid price : 23.00
Bid-YTW : 3.50 %
CU.PR.C FixedReset Disc Quote: 23.00 – 23.70
Spot Rate : 0.7000
Average : 0.5106

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-10-04
Maturity Price : 22.25
Evaluated at bid price : 23.00
Bid-YTW : 3.77 %

Posted in Market Action | No Comments »

MAPF Performance : September, 2021

Sunday, October 3rd, 2021

Malachite Aggressive Preferred Fund’s Net Asset Value per Unit as of the close September, 2021, was $10.7572 after a distribution of 0.110616 per Unit.

Returns to September 30, 2021
Period MAPF TXPR*
Total Return		 CPD – according to Blackrock
One Month +1.87% +0.87% N/A
Three Months +4.79% +2.76% N/A
One Year +54.11% +26.03% +25.27%
Two Years (annualized) +24.53% +13.81% N/A
Three Years (annualized) +7.20% +5.11% +4.45%
Four Years (annualized) +7.96% +5.11% N/A
Five Years (annualized) +11.25% +7.28% +6.71%
Six Years (annualized) +10.86% +7.49% N/A
Seven Years (annualized) +5.57% +3.12% N/A
Eight Years (annualized) +6.07% +3.41% N/A
Nine Years (annualized) +5.24% +2.91% N/A
Ten Years (annualized) +5.96% +3.27% +2.77%
Eleven Years (annualized) +5.67% +3.45%  
Twelve Years (annualized) +6.45% +3.90%  
Thirteen Years (annualized) +9.94% +4.28%  
Fourteen Years (annualized) +8.90% +3.35%  
Fifteen Years (annualized) +8.37%    
Sixteen Years (annualized) +8.22%    
Seventeen Years (annualized) +8.15%    
Eighteen Years (annualized) +8.55%    
Nineteen Years (annualized) +9.67%    
Twenty Years (annualized) +8.89%    
MAPF returns assume reinvestment of distributions, and are shown after expenses but before fees.
The BMO Capital Markets “50” Preferred Share Index is no longer being calculated. The final performance report incorporating this venerable index was published as of December, 2020.
“TXPR” is the S&P/TSX Preferred Share Index. It is calculated without accounting for fees, but does assume reinvestment of dividends.
CPD Returns are for the NAV and are after all fees and expenses. Reinvestment of dividends is assumed.
Figures for National Bank Preferred Equity Income Fund (formerly Omega Preferred Equity) (which are after all fees and expenses) for 1-, 3- and 12-months are +0.92%, +3.00% and +32.70%, respectively, according to Globe & Mail / Fundata after all fees & expenses. Three year performance is +7.37%; five year is +8.22%; ten year is +4.34%

Figures from Morningstar are no longer conveniently available.
Manulife Preferred Income Class Adv has been terminated by Manulife. The performance of this fund was last reported here in March, 2018.
Figures for Horizons Active Preferred Share ETF (HPR) (which are after all fees and expenses) for 1-, 3- and 12-months are +1.03%, +3.21% & +33.71%, respectively. Three year performance is +5.23%, five-year is +7.85%
Figures for National Bank Preferred Equity Fund (formerly Altamira Preferred Equity Fund) are +1.00%, +3.16% and +34.00% for one-, three- and twelve months, respectively. Three year performance is +5.49%; five-year is +8.13%.

Acccording to the fund’s fact sheet as of June 30, 2016, the fund’s inception date was October 30, 2015. I do not know how they justify this nonsensical statement, but will assume that prior performance is being suppressed in some perfectly legal manner that somebody at National considers ethical.

The last time Altamira Preferred Equity Fund’s performance was reported here was April, 2014; performance under the National Bank banner was first reported here May, 2014.
The figures for the NAV of BMO S&P/TSX Laddered Preferred Share Index ETF (ZPR) is +32.73% for the past twelve months. Two year performance is +15.75%, three year is +5.06%, five year is +8.10%.
Figures for Fiera Canadian Preferred Share Class Cg Series F, (formerly Natixis Canadian Preferred Share Class Series F) (formerly NexGen Canadian Preferred Share Tax Managed Fund) are no longer available as the Fund is now the property of Canoe Financial. The last reported performance for the merged fund was May 2020.
Figures for BMO Preferred Share Fund (advisor series) according to BMO are +0.44%, +2.30% and +23.75% for the past one-, three- and twelve-months, respectively. Two year performance is +12.49%; three year is +2.26%; five-year is +4.30%.
Figures for PowerShares Canadian Preferred Share Index Class, Series F (PPS) are +28.30% for the past twelve months. The three-year figure is +4.57%; five years is +7.66%; ten-year is +3.09%
Figures for the First Asset Preferred Share Investment Trust (PSF.UN) are no longer available since the fund has merged with First Asset Preferred Share ETF (FPR).

Performance for the fund was last reported here in September, 2016; the first report of unavailability was in October, 2016.
Figures for Lysander-Slater Preferred Share Dividend Fund (Class F) according to the company are +1.25%, +3.22% and +39.50% for the past one, three and twelve months, respectively. Three year performance is +3.98%, five-year is +6.23%.
Figures for the Desjardins Canadian Preferred Share Fund A Class (A Class), as reported by the company are +0.80%, +2.64% and +26.81% for the past one, three and twelve months, respectively. Two year performance is +13.12%, three-year is +3.38%, five-year is +5.82%
Figures for the RBC Canadian Preferred Share ETF (RPF) as reported by Morningstar are +0.77%, +3.03% and +33.02% for the past one, three and twelve months, respectively. Three-year performance is +4.55%; five-year is +8.07%
Figures for the Dynamic Active Preferred Shares ETF (DXP) are +1.1%, +3.3% and +37.9% for the past one, three and twelve months, respectively. Three-year performance is +6.6%
Calculation of MAPF Sustainable Income Per Unit
Month NAVPU Portfolio
Average
YTW		 Leverage
Divisor		 Securities
Average
YTW		 Capital
Gains
Multiplier		 Sustainable
Income
per
current
Unit
June, 2007 9.3114 5.16% 1.03 5.01% 1.3240 0.3524
September 9.1489 5.35% 0.98 5.46% 1.3240 0.3773
December, 2007 9.0070 5.53% 0.942 5.87% 1.3240 0.3993
March, 2008 8.8512 6.17% 1.047 5.89% 1.3240 0.3938
June 8.3419 6.034% 0.952 6.338% 1.3240 $0.3993
September 8.1886 7.108% 0.969 7.335% 1.3240 $0.4537
December, 2008 8.0464 9.24% 1.008 9.166% 1.3240 $0.5571
March 2009 $8.8317 8.60% 0.995 8.802% 1.3240 $0.5872
June 10.9846 7.05% 0.999 7.057% 1.3240 $0.5855
September 12.3462 6.03% 0.998 6.042% 1.3240 $0.5634
December 2009 10.5662 5.74% 0.981 5.851% 1.1141 $0.5549
March 2010 10.2497 6.03% 0.992 6.079% 1.1141 $0.5593
June 10.5770 5.96% 0.996 5.984% 1.1141 $0.5681
September 11.3901 5.43% 0.980 5.540% 1.1141 $0.5664
December 2010 10.7659 5.37% 0.993 5.408% 1.0298 $0.5654
March, 2011 11.0560 6.00% 0.994 5.964% 1.0298 $0.6403
June 11.1194 5.87% 1.018 5.976% 1.0298 $0.6453
September 10.2709 6.10%
Note		 1.001 6.106% 1.0298 $0.6090
December, 2011 10.0793 5.63%
Note		 1.031 5.805% 1.0000 $0.5851
March, 2012 10.3944 5.13%
Note		 0.996 5.109% 1.0000 $0.5310
June 10.2151 5.32%
Note		 1.012 5.384% 1.0000 $0.5500
September 10.6703 4.61%
Note		 0.997 4.624% 1.0000 $0.4934
December, 2012 10.8307 4.24% 0.989 4.287% 1.0000 $0.4643
March, 2013 10.9033 3.87% 0.996 3.886% 1.0000 $0.4237
June 10.3261 4.81% 0.998 4.80% 1.0000 $0.4957
September 10.0296 5.62% 0.996 5.643% 1.0000 $0.5660
December, 2013 9.8717 6.02% 1.008 5.972% 1.0000 $0.5895
March, 2014 10.2233 5.55% 0.998 5.561% 1.0000 $0.5685
June 10.5877 5.09% 0.998 5.100% 1.0000 $0.5395
September 10.4601 5.28% 0.997 5.296% 1.0000 $0.5540
December, 2014 10.5701 4.83% 1.009 4.787% 1.0000 $0.5060
March, 2015 9.9573 4.99% 1.001 4.985% 1.0000 $0.4964
June, 2015 9.4181 5.55% 1.002 5.539% 1.0000 $0.5217
September 7.8140 6.98% 0.999 6.987% 1.0000 $0.5460
December, 2015 8.1379 6.85% 0.997 6.871% 1.0000 $0.5592
March, 2016 7.4416 7.79% 0.998 7.805% 1.0000 $0.5808
June 7.6704 7.67% 1.011 7.587% 1.0000 $0.5819
September 8.0590 7.35% 0.993 7.402% 1.0000 $0.5965
December, 2016 8.5844 7.24% 0.990 7.313% 1.0000 $0.6278
March, 2017 9.3984 6.26% 0.994 6.298% 1.0000 $0.5919
June 9.5313 6.41% 0.998 6.423% 1.0000 $0.6122
September 9.7129 6.56% 0.998 6.573% 1.0000 $0.6384
December, 2017 10.0566 6.06% 1.004 6.036% 1.0000 $0.6070
March, 2018 10.2701 6.22% 1.007 6.177% 1.0000 $0.6344
June 10.2518 6.22% 0.995 6.251% 1.0000 $0.6408
September 10.2965 6.62% 1.018 6.503% 1.0000 $0.6696
December, 2018 8.6875 7.16% 0.997 7.182% 1.0000 $0.6240
March, 2019 8.4778 7.09% 1.007 7.041% 1.0000 $0.5969
June 8.0896 7.33% 0.996 7.359% 1.0000 $0.5953
September 7.7948 7.96% 0.998 7.976% 1.0000 $0.6217
December, 2019 8.0900 6.03% 0.995 6.060% 1.0000 $0.4903
March 5.5596 7.04% 1.006 6.998% 1.0000 $0.3891
June 6.3568 6.10% 0.9900 6.162% 1.0000 $0.3917
September 7.2852 5.32% 1.00 5.320% 1.0000 $0.3876
December, 2020 8.3947 4.46% 0.999 4.464% 1.0000 $0.3747
March, 2021 9.6473 4.48% 0.996 4.498% 1.0000 $0.4339
June 10.3712 3.92% 0.985 3.980% 1.0000 $0.4127
September, 2021 10.7572 4.08% 1.017 4.012% 1.0000 $0.4316
NAVPU is shown after quarterly distributions of dividend income and annual distribution of capital gains.
Portfolio YTW includes cash (or margin borrowing), with an assumed interest rate of 0.00%
The Leverage Divisor indicates the level of cash in the account: if the portfolio is 1% in cash, the Leverage Divisor will be 0.99
Securities YTW divides “Portfolio YTW” by the “Leverage Divisor” to show the average YTW on the securities held; this assumes that the cash is invested in (or raised from) all securities held, in proportion to their holdings.
The Capital Gains Multiplier adjusts for the effects of Capital Gains Dividends. On 2009-12-31, there was a capital gains distribution of $1.989262 which is assumed for this purpose to have been reinvested at the final price of $10.5662. Thus, a holder of one unit pre-distribution would have held 1.1883 units post-distribution; the CG Multiplier reflects this to make the time-series comparable. Note that Dividend Distributions are not assumed to be reinvested.
Sustainable Income is the resultant estimate of the fund’s dividend income per current unit, before fees and expenses. Note that a “current unit” includes reinvestment of prior capital gains; a unitholder would have had the calculated sustainable income with only, say, 0.9 units in the past which, with reinvestment of capital gains, would become 1.0 current units.
DeemedRetractibles are comprised of all Straight Perpetuals (both PerpetualDiscount and PerpetualPremium) issued by BMO, BNS, CM, ELF, GWO, HSB, IAG, MFC, NA, RY, SLF and TD, which are not exchangable into common at the option of the company or the regulator (definition refined in May, 2011). These issues are analyzed as if their prospectuses included a requirement to redeem at par on or prior to 2022-1-31 (banks) or the Deemed Maturity date for insurers and insurance holding companies (see below)), in addition to the call schedule explicitly defined. See the Deemed Retractible Review: September 2016 for the rationale behind this analysis.

The same reasoning is also applied to FixedResets from these issuers, other than explicitly defined NVCC from banks.

In November, 2019, the assumption of DeemedRetraction for insurance issues was cancelled in the wake of the IAIS decision included in ICS 2.0. This resulted in a large drop in the yield calculated for these issues
The Deemed Maturity date for insurers was set at 2022-1-31 at the commencement of the process in February, 2011. It was extended to 2025-1-31 in April, 2013 and to 2030-1-31 in December, 2018. In November, 2019, the assumption of DeemedRetraction was cancelled in the wake of the IAIS decision included in ICS 2.0.
Yields for September, 2011, to January, 2012, were calculated by imposing a cap of 10% on the yields of YLO issues held, in order to avoid their extremely high calculated yields distorting the calculation and to reflect the uncertainty in the marketplace that these yields will be realized. From February to September 2012, yields on these issues have been set to zero. All YLO issues held were sold in October 2012.

These calculations were performed assuming constant contemporary GOC-5 and 3-Month Bill rates, as follows:

Canada Yields Assumed in Calculations
Month-end GOC-5 3-Month Bill
September, 2015 0.78% 0.40%
December, 2015 0.71% 0.46%
March, 2016 0.70% 0.44%
June 0.57% 0.47%
September 0.58% 0.53%
December, 2016 1.16% 0.47%
March, 2017 1.08% 0.55%
June 1.35% 0.69%
September 1.79% 0.97%
December, 2017 1.83% 1.00%
March, 2018 2.06% 1.08%
June 1.95% 1.22%
September 2.33% 1.55%
December, 2018 1.88% 1.65%
March, 2019 1.46% 1.66%
June 1.34% 1.66%
September 1.41% 1.66%
December, 2019 1.68% 1.68%
March, 2020 0.57% 0.21%
June 0.37% 0.21%
September 0.35% 0.14%
December, 2020 0.42% 0.08%
March, 2021 0.94% 0.09%
June 0.93% 0.13%
September, 2021 1.07% 0.13%

Posted in MAPF | No Comments »

New Issue: GWO Straight Perpetual 4.50%

Friday, October 1st, 2021

Great-West Lifeco Inc. has announced:

that it has entered into an agreement with a syndicate of underwriters led by BMO Capital Markets, RBC Capital Markets, Scotiabank, CIBC Capital Markets and TD Securities pursuant to which the underwriters have agreed to purchase, on a bought deal basis, 8,000,000 Non-Cumulative First Preferred Shares, Series Y (the “Series Y Shares”) from Lifeco for sale to the public at a price of $25.00 per Series Y Share, representing aggregate gross proceeds of $200,000,000.

The Series Y Shares will yield 4.50% per annum, payable quarterly, as and when declared by the Board of Directors of the Company. The Series Y Shares will not be redeemable prior to December 31, 2026. On or after December 31, 2026, Lifeco may, on not less than 30 nor more than 60 days’ notice, redeem for cash the Series Y Shares in whole or in part, at the Company’s option, at $26.00 per share if redeemed on or after December 31, 2026 and prior to December 31, 2027; $25.75 per share if redeemed on or after December 31, 2027 and prior to December 31, 2028; $25.50 per share if redeemed on or after December 31, 2028 and prior to December 31, 2029; $25.25 per share if redeemed on or after December 31, 2029 and prior to December 31, 2030; and $25.00 per share if redeemed on or after December 31, 2030, in each case together with all declared and unpaid dividends up to but excluding the date of redemption.

The net proceeds of the offering will be used for general corporate purposes. The Series Y Share offering is expected to close on October 8, 2021 and is subject to customary closing conditions.

Posted in New Issues | 3 Comments »

BPO.PR.R / BPO.PR.S : Forced Conversion to FixedReset

Friday, October 1st, 2021

Brookfield Office Properties Inc., a subsidiary of Brookfield Property Partners L.P., has announced (on September 23):

that 37,837 of its Class AAA Preference Shares, Series R (“Series R Shares”) (TSX: BPO.PR.R) and 372,644 of its Class AAA Preference Shares, Series S (“Series S Shares”) (TSX: BPO.PR.S) were tendered for conversion into Series S Shares and Series R Shares, respectively.

Brookfield currently has 8,883,425 Series R Shares and 1,116,575 Series S Shares outstanding. After taking into account all shares tendered for conversion, there would be less than one million Series S Shares outstanding on September 30, 2021, the conversion date. Accordingly, as provided in the share conditions of the Series S Shares, all remaining Series S Shares will be automatically converted into Series R Shares on a one-for-one basis effective on the conversion date. There will be no conversion of Series R Shares into Series S Shares, and holders of Series R Shares will retain their Series R Shares.

Following the automatic conversion, there will be 10,000,000 Series R Shares and no Series S Shares issued and outstanding. Current holders of Series S Shares will receive a dividend of $0.22622 per share payable on September 30, 2021 in respect of the July 1, 2021 to September 30, 2021 floating rate period. If declared, the fixed quarterly dividends on the Series R Shares during the five years commencing October 1, 2021 will be paid at an annual rate of 4.30% ($0.26875 per share per quarter). The Series S Shares will be de-listed from the Toronto Stock Exchange effective as of close of trading on September 30, 2021.

BPO.PR.R was issued as a 5.10%+348 FixedReset that commenced trading 2011-9-2 after being announced 2011-8-25. The issue reset to 4.155% in 2016 and there was an 11% conversion to the FloatingReset BPO.PR.S. BPO.PR.R reset to 4.30% in 2021.

BPO.PR.S is a FloatingReset, Bills+348, that arose via a partial conversion from BPO.PR.R in 2016.

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October 1, 2021

Friday, October 1st, 2021
HIMIPref™ Preferred Indices
These values reflect the December 2008 revision of the HIMIPref™ Indices
Values are provisional and are finalized monthly
Index Mean
Current
Yield
(at bid)		 Median
YTW		 Median
Average
Trading
Value		 Median
Mod Dur
(YTW)		 Issues Day’s Perf. Index Value
Ratchet 0.00 % 0.00 % 0 0.00 0 1.3740 % 2,689.5
FixedFloater 0.00 % 0.00 % 0 0.00 0 1.3740 % 4,935.1
Floater 3.23 % 3.24 % 50,655 19.17 3 1.3740 % 2,844.1
OpRet 0.00 % 0.00 % 0 0.00 0 0.2123 % 3,712.1
SplitShare 4.62 % 3.55 % 34,089 0.97 6 0.2123 % 4,433.1
Interest-Bearing 0.00 % 0.00 % 0 0.00 0 0.2123 % 3,458.9
Perpetual-Premium 4.99 % -15.53 % 51,927 0.09 34 -0.0341 % 3,326.6
Perpetual-Discount 0.00 % 0.00 % 0 0.00 0 -0.0341 % 4,003.4
FixedReset Disc 3.87 % 3.56 % 100,957 17.57 39 0.4771 % 2,883.3
Insurance Straight 4.87 % -11.06 % 86,349 0.09 19 -0.3629 % 3,739.7
FloatingReset 3.12 % 3.14 % 32,351 19.42 1 -3.9227 % 2,552.9
FixedReset Prem 4.65 % 2.81 % 132,065 2.43 33 0.2080 % 2,772.1
FixedReset Bank Non 0.00 % 0.00 % 0 0.00 0 0.4771 % 2,947.3
FixedReset Ins Non 4.08 % 3.48 % 89,942 17.80 19 0.0214 % 2,965.1
Performance Highlights
Issue Index Change Notes
TRP.PR.F FloatingReset -3.92 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-10-01
Maturity Price : 16.41
Evaluated at bid price : 16.41
Bid-YTW : 3.14 %
BAM.PR.T FixedReset Disc -3.33 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-10-01
Maturity Price : 20.00
Evaluated at bid price : 20.00
Bid-YTW : 4.25 %
GWO.PR.F Insurance Straight -2.32 % YTW SCENARIO
Maturity Type : Call
Maturity Date : 2021-10-31
Maturity Price : 25.00
Evaluated at bid price : 26.08
Bid-YTW : -40.63 %
MFC.PR.N FixedReset Ins Non -1.45 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-10-01
Maturity Price : 22.84
Evaluated at bid price : 23.85
Bid-YTW : 3.53 %
SLF.PR.H FixedReset Ins Non -1.29 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-10-01
Maturity Price : 22.28
Evaluated at bid price : 23.00
Bid-YTW : 3.48 %
GWO.PR.N FixedReset Ins Non -1.17 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-10-01
Maturity Price : 16.06
Evaluated at bid price : 16.06
Bid-YTW : 3.50 %
GWO.PR.S Insurance Straight -1.12 % YTW SCENARIO
Maturity Type : Call
Maturity Date : 2021-10-31
Maturity Price : 25.50
Evaluated at bid price : 26.40
Bid-YTW : -33.72 %
IFC.PR.E Insurance Straight -1.01 % YTW SCENARIO
Maturity Type : Call
Maturity Date : 2022-06-30
Maturity Price : 26.00
Evaluated at bid price : 26.36
Bid-YTW : 3.17 %
BAM.PR.X FixedReset Disc 1.07 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-10-01
Maturity Price : 17.89
Evaluated at bid price : 17.89
Bid-YTW : 4.03 %
PWF.PR.S Perpetual-Premium 1.10 % YTW SCENARIO
Maturity Type : Call
Maturity Date : 2021-10-31
Maturity Price : 25.25
Evaluated at bid price : 25.80
Bid-YTW : -11.41 %
TRP.PR.E FixedReset Disc 1.14 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-10-01
Maturity Price : 21.25
Evaluated at bid price : 21.25
Bid-YTW : 4.09 %
IFC.PR.A FixedReset Ins Non 1.19 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-10-01
Maturity Price : 21.25
Evaluated at bid price : 21.25
Bid-YTW : 3.34 %
FTS.PR.H FixedReset Disc 1.20 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-10-01
Maturity Price : 16.07
Evaluated at bid price : 16.07
Bid-YTW : 3.76 %
BAM.PR.Z FixedReset Disc 1.27 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-10-01
Maturity Price : 24.44
Evaluated at bid price : 24.78
Bid-YTW : 4.11 %
CU.PR.C FixedReset Disc 1.33 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-10-01
Maturity Price : 22.20
Evaluated at bid price : 22.91
Bid-YTW : 3.76 %
RS.PR.A SplitShare 1.35 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-12-31
Maturity Price : 10.00
Evaluated at bid price : 10.50
Bid-YTW : 3.99 %
TD.PF.B FixedReset Disc 1.36 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-10-01
Maturity Price : 23.26
Evaluated at bid price : 24.59
Bid-YTW : 3.38 %
TD.PF.L FixedReset Prem 1.39 % YTW SCENARIO
Maturity Type : Call
Maturity Date : 2024-04-30
Maturity Price : 25.00
Evaluated at bid price : 26.92
Bid-YTW : 2.47 %
RY.PR.M FixedReset Disc 1.43 % YTW SCENARIO
Maturity Type : Call
Maturity Date : 2025-11-24
Maturity Price : 25.00
Evaluated at bid price : 24.75
Bid-YTW : 3.35 %
BAM.PR.R FixedReset Disc 1.49 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-10-01
Maturity Price : 20.50
Evaluated at bid price : 20.50
Bid-YTW : 4.09 %
BAM.PF.F FixedReset Disc 1.68 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-10-01
Maturity Price : 23.09
Evaluated at bid price : 24.25
Bid-YTW : 4.00 %
CM.PR.T FixedReset Prem 1.83 % YTW SCENARIO
Maturity Type : Call
Maturity Date : 2024-04-30
Maturity Price : 25.00
Evaluated at bid price : 26.69
Bid-YTW : 2.35 %
BAM.PF.G FixedReset Disc 1.91 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-10-01
Maturity Price : 22.63
Evaluated at bid price : 23.49
Bid-YTW : 3.99 %
TRP.PR.D FixedReset Disc 2.11 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-10-01
Maturity Price : 21.41
Evaluated at bid price : 21.75
Bid-YTW : 4.00 %
TRP.PR.B FixedReset Disc 2.17 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-10-01
Maturity Price : 13.64
Evaluated at bid price : 13.64
Bid-YTW : 4.10 %
BAM.PR.B Floater 2.50 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-10-01
Maturity Price : 13.53
Evaluated at bid price : 13.53
Bid-YTW : 3.18 %
BAM.PR.C Floater 2.63 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-10-01
Maturity Price : 13.29
Evaluated at bid price : 13.29
Bid-YTW : 3.24 %
Volume Highlights
Issue Index Shares
Traded		 Notes
W.PR.M FixedReset Prem 123,460 YTW SCENARIO
Maturity Type : Call
Maturity Date : 2021-11-14
Maturity Price : 25.00
Evaluated at bid price : 24.98
Bid-YTW : 4.24 %
PWF.PR.P FixedReset Disc 53,900 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-10-01
Maturity Price : 17.85
Evaluated at bid price : 17.85
Bid-YTW : 3.58 %
GWO.PR.H Insurance Straight 40,660 YTW SCENARIO
Maturity Type : Call
Maturity Date : 2021-10-31
Maturity Price : 25.00
Evaluated at bid price : 25.58
Bid-YTW : -21.66 %
SLF.PR.E Insurance Straight 36,700 YTW SCENARIO
Maturity Type : Call
Maturity Date : 2021-10-31
Maturity Price : 25.00
Evaluated at bid price : 25.50
Bid-YTW : -18.55 %
CM.PR.Q FixedReset Disc 36,200 YTW SCENARIO
Maturity Type : Call
Maturity Date : 2025-07-31
Maturity Price : 25.00
Evaluated at bid price : 24.69
Bid-YTW : 3.44 %
CU.PR.C FixedReset Disc 34,525 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-10-01
Maturity Price : 22.20
Evaluated at bid price : 22.91
Bid-YTW : 3.76 %
There were 24 other index-included issues trading in excess of 10,000 shares.
Wide Spread Highlights
Issue Index Quote Data and Yield Notes
TRP.PR.F FloatingReset Quote: 16.41 – 17.75
Spot Rate : 1.3400
Average : 0.8309

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-10-01
Maturity Price : 16.41
Evaluated at bid price : 16.41
Bid-YTW : 3.14 %
PVS.PR.F SplitShare Quote: 26.10 – 27.03
Spot Rate : 0.9300
Average : 0.5365

YTW SCENARIO
Maturity Type : Call
Maturity Date : 2022-09-30
Maturity Price : 25.50
Evaluated at bid price : 26.10
Bid-YTW : 2.63 %
MFC.PR.F FixedReset Ins Non Quote: 17.20 – 18.70
Spot Rate : 1.5000
Average : 1.1757

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-10-01
Maturity Price : 17.20
Evaluated at bid price : 17.20
Bid-YTW : 3.58 %
BIP.PR.B FixedReset Prem Quote: 27.21 – 28.21
Spot Rate : 1.0000
Average : 0.7011

YTW SCENARIO
Maturity Type : Call
Maturity Date : 2025-12-31
Maturity Price : 25.00
Evaluated at bid price : 27.21
Bid-YTW : 3.28 %
BAM.PR.K Floater Quote: 13.02 – 13.80
Spot Rate : 0.7800
Average : 0.4978

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-10-01
Maturity Price : 13.02
Evaluated at bid price : 13.02
Bid-YTW : 3.31 %
TRP.PR.A FixedReset Disc Quote: 18.75 – 19.42
Spot Rate : 0.6700
Average : 0.3981

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-10-01
Maturity Price : 18.75
Evaluated at bid price : 18.75
Bid-YTW : 4.12 %

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