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Archive for April, 2022

BEP.PR.R Falls In Line with Market

Thursday, April 14th, 2022

BEP.PR.R closed today with no announcement from the company.

BEP.PR.R is a Straight Perpetual, 5.50%, announced April 5.

The issue traded 311,625 shares today in a range of 23.51-24.80 before closing at 23.60-80. As the HIMI PerpetualDiscount index has fallen about 5% since the April 5 announcement date, we may conclude that the issue fell more-or-less in-line with the market.

Vital statistics are:

BEP.PR.R

Perpetual-Discount

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-04-14
Maturity Price : 23.30
Evaluated at bid price : 23.60
Bid-YTW : 5.85 %

Posted in Issue Comments | 23 Comments »

April 14, 2022

Thursday, April 14th, 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	3.38 %	3.98 %	25,037	19.32	1	-0.7858 %	2,698.1
FixedFloater	0.00 %	0.00 %	0	0.00	0	0.7063 %	5,187.1
Floater	3.93 %	4.02 %	39,151	17.40	4	0.7063 %	2,989.4
OpRet	0.00 %	0.00 %	0	0.00	0	-0.1988 %	3,613.4
SplitShare	4.65 %	4.51 %	43,826	3.50	6	-0.1988 %	4,315.1
Interest-Bearing	0.00 %	0.00 %	0	0.00	0	-0.1988 %	3,366.8
Perpetual-Premium	5.52 %	5.31 %	69,188	14.58	16	0.0990 %	3,096.8
Perpetual-Discount	5.49 %	5.52 %	62,241	14.58	17	-0.2268 %	3,379.1
FixedReset Disc	4.40 %	5.62 %	129,814	14.74	49	-1.0439 %	2,612.8
Insurance Straight	5.44 %	5.37 %	89,477	14.67	20	-0.0769 %	3,300.0
FloatingReset	3.60 %	3.89 %	57,302	17.67	2	-0.2055 %	2,759.6
FixedReset Prem	4.87 %	4.55 %	149,732	2.16	19	-0.0836 %	2,649.9
FixedReset Bank Non	0.00 %	0.00 %	0	0.00	0	-1.0439 %	2,670.8
FixedReset Ins Non	4.38 %	5.58 %	83,569	14.67	15	0.1207 %	2,739.5

Performance Highlights
Issue	Index	Change	Notes
CM.PR.O	FixedReset Disc	-16.28 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2052-04-14 Maturity Price : 18.00 Evaluated at bid price : 18.00 Bid-YTW : 6.61 %
CM.PR.Q	FixedReset Disc	-12.66 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2052-04-14 Maturity Price : 20.00 Evaluated at bid price : 20.00 Bid-YTW : 6.17 %
MFC.PR.N	FixedReset Ins Non	-3.90 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2052-04-14 Maturity Price : 20.18 Evaluated at bid price : 20.18 Bid-YTW : 5.88 %
BMO.PR.T	FixedReset Disc	-3.67 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2052-04-14 Maturity Price : 21.00 Evaluated at bid price : 21.00 Bid-YTW : 5.65 %
NA.PR.E	FixedReset Disc	-3.56 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2052-04-14 Maturity Price : 22.51 Evaluated at bid price : 23.00 Bid-YTW : 5.58 %
CM.PR.P	FixedReset Disc	-2.33 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2052-04-14 Maturity Price : 21.00 Evaluated at bid price : 21.00 Bid-YTW : 5.60 %
BMO.PR.S	FixedReset Disc	-2.06 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2052-04-14 Maturity Price : 21.52 Evaluated at bid price : 21.89 Bid-YTW : 5.55 %
PWF.PR.P	FixedReset Disc	-1.89 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2052-04-14 Maturity Price : 15.60 Evaluated at bid price : 15.60 Bid-YTW : 5.92 %
IFC.PR.C	FixedReset Disc	-1.89 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2052-04-14 Maturity Price : 21.34 Evaluated at bid price : 21.34 Bid-YTW : 5.67 %
CU.PR.E	Perpetual-Discount	-1.62 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2052-04-14 Maturity Price : 22.22 Evaluated at bid price : 22.50 Bid-YTW : 5.51 %
BAM.PF.B	FixedReset Disc	-1.51 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2052-04-14 Maturity Price : 21.46 Evaluated at bid price : 21.46 Bid-YTW : 6.05 %
NA.PR.W	FixedReset Disc	-1.41 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2052-04-14 Maturity Price : 21.30 Evaluated at bid price : 21.60 Bid-YTW : 5.42 %
TRP.PR.C	FixedReset Disc	-1.32 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2052-04-14 Maturity Price : 14.16 Evaluated at bid price : 14.16 Bid-YTW : 6.44 %
RY.PR.J	FixedReset Disc	-1.27 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2052-04-14 Maturity Price : 22.15 Evaluated at bid price : 22.57 Bid-YTW : 5.54 %
BIP.PR.A	FixedReset Disc	-1.26 %	YTW SCENARIO Maturity Type : Call Maturity Date : 2025-06-30 Maturity Price : 25.00 Evaluated at bid price : 23.60 Bid-YTW : 5.99 %
BMO.PR.W	FixedReset Disc	-1.24 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2052-04-14 Maturity Price : 21.48 Evaluated at bid price : 21.48 Bid-YTW : 5.53 %
BNS.PR.I	FixedReset Disc	-1.23 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2052-04-14 Maturity Price : 23.81 Evaluated at bid price : 24.15 Bid-YTW : 5.20 %
PWF.PR.K	Perpetual-Discount	-1.21 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2052-04-14 Maturity Price : 21.89 Evaluated at bid price : 22.13 Bid-YTW : 5.60 %
RY.PR.S	FixedReset Disc	-1.19 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2052-04-14 Maturity Price : 23.82 Evaluated at bid price : 24.15 Bid-YTW : 5.21 %
CM.PR.Y	FixedReset Prem	-1.17 %	YTW SCENARIO Maturity Type : Call Maturity Date : 2024-07-31 Maturity Price : 25.00 Evaluated at bid price : 25.30 Bid-YTW : 4.53 %
PVS.PR.I	SplitShare	-1.17 %	YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2025-10-31 Maturity Price : 25.00 Evaluated at bid price : 25.45 Bid-YTW : 4.37 %
PWF.PR.S	Perpetual-Discount	-1.14 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2052-04-14 Maturity Price : 21.49 Evaluated at bid price : 21.75 Bid-YTW : 5.52 %
TRP.PR.B	FixedReset Disc	-1.04 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2052-04-14 Maturity Price : 13.35 Evaluated at bid price : 13.35 Bid-YTW : 6.51 %
BAM.PR.X	FixedReset Disc	1.03 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2052-04-14 Maturity Price : 18.70 Evaluated at bid price : 18.70 Bid-YTW : 5.95 %
SLF.PR.H	FixedReset Ins Non	1.04 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2052-04-14 Maturity Price : 19.50 Evaluated at bid price : 19.50 Bid-YTW : 5.58 %
CU.PR.F	Perpetual-Discount	1.24 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2052-04-14 Maturity Price : 21.26 Evaluated at bid price : 21.26 Bid-YTW : 5.37 %
CU.PR.H	Perpetual-Premium	1.25 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2052-04-14 Maturity Price : 23.96 Evaluated at bid price : 24.30 Bid-YTW : 5.46 %
MFC.PR.C	Insurance Straight	1.43 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2052-04-14 Maturity Price : 21.25 Evaluated at bid price : 21.25 Bid-YTW : 5.35 %
SLF.PR.G	FixedReset Ins Non	1.52 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2052-04-14 Maturity Price : 16.05 Evaluated at bid price : 16.05 Bid-YTW : 5.66 %
TD.PF.E	FixedReset Disc	1.54 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2052-04-14 Maturity Price : 22.47 Evaluated at bid price : 23.15 Bid-YTW : 5.38 %
FTS.PR.H	FixedReset Disc	1.97 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2052-04-14 Maturity Price : 15.55 Evaluated at bid price : 15.55 Bid-YTW : 5.92 %
PWF.PR.A	Floater	2.74 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2052-04-14 Maturity Price : 15.00 Evaluated at bid price : 15.00 Bid-YTW : 3.77 %
MFC.PR.K	FixedReset Ins Non	3.24 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2052-04-14 Maturity Price : 22.21 Evaluated at bid price : 22.59 Bid-YTW : 5.34 %
TRP.PR.A	FixedReset Disc	3.37 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2052-04-14 Maturity Price : 17.78 Evaluated at bid price : 17.78 Bid-YTW : 6.18 %
BAM.PR.T	FixedReset Disc	3.58 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2052-04-14 Maturity Price : 19.69 Evaluated at bid price : 19.69 Bid-YTW : 5.89 %

Volume Highlights
Issue	Index	Shares Traded	Notes
IFC.PR.K	Perpetual-Premium	178,644	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2052-04-14 Maturity Price : 24.54 Evaluated at bid price : 24.93 Bid-YTW : 5.31 %
TRP.PR.A	FixedReset Disc	23,845	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2052-04-14 Maturity Price : 17.78 Evaluated at bid price : 17.78 Bid-YTW : 6.18 %
TRP.PR.K	FixedReset Prem	20,835	YTW SCENARIO Maturity Type : Call Maturity Date : 2022-05-31 Maturity Price : 25.00 Evaluated at bid price : 25.23 Bid-YTW : 2.67 %
TRP.PR.E	FixedReset Disc	18,665	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2052-04-14 Maturity Price : 19.30 Evaluated at bid price : 19.30 Bid-YTW : 6.21 %
TRP.PR.D	FixedReset Disc	17,465	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2052-04-14 Maturity Price : 19.42 Evaluated at bid price : 19.42 Bid-YTW : 6.28 %
CM.PR.R	FixedReset Prem	17,096	YTW SCENARIO Maturity Type : Call Maturity Date : 2022-07-31 Maturity Price : 25.00 Evaluated at bid price : 24.95 Bid-YTW : 4.55 %
There were 11 other index-included issues trading in excess of 10,000 shares.

Wide Spread Highlights
Issue	Index	Quote Data and Yield Notes
CM.PR.O	FixedReset Disc	Quote: 18.00 – 21.66 Spot Rate : 3.6600 Average : 2.5019 YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2052-04-14 Maturity Price : 18.00 Evaluated at bid price : 18.00 Bid-YTW : 6.61 %
IAF.PR.B	Insurance Straight	Quote: 22.50 – 25.00 Spot Rate : 2.5000 Average : 1.4118 YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2052-04-14 Maturity Price : 22.22 Evaluated at bid price : 22.50 Bid-YTW : 5.14 %
CM.PR.Q	FixedReset Disc	Quote: 20.00 – 23.13 Spot Rate : 3.1300 Average : 2.0434 YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2052-04-14 Maturity Price : 20.00 Evaluated at bid price : 20.00 Bid-YTW : 6.17 %
BAM.PR.M	Perpetual-Discount	Quote: 21.20 – 22.25 Spot Rate : 1.0500 Average : 0.6076 YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2052-04-14 Maturity Price : 21.20 Evaluated at bid price : 21.20 Bid-YTW : 5.65 %
NA.PR.E	FixedReset Disc	Quote: 23.00 – 23.86 Spot Rate : 0.8600 Average : 0.5428 YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2052-04-14 Maturity Price : 22.51 Evaluated at bid price : 23.00 Bid-YTW : 5.58 %
CM.PR.P	FixedReset Disc	Quote: 21.00 – 21.88 Spot Rate : 0.8800 Average : 0.6658 YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2052-04-14 Maturity Price : 21.00 Evaluated at bid price : 21.00 Bid-YTW : 5.60 %

Posted in Market Action | 1 Comment »

Real Return Bond Performance

Thursday, April 14th, 2022

This seems to be a hot topic recently, with recent negative returns being explained in various ways:

The problem with Canadian real return bonds is that they, for the most part, mature in 10 to 20 years or more. When inflation is strong and interest rates are rising, investors hate the idea of locking in money for that length of time.

Note that the chart at the top of this article shows the Price Return, not the Total Return, an editorial decision I consider dubious.

But with respect to the quoted text, let’s just say that I’m not entirely satisfied with that explanation, so after I received a query …:

Why is it that RRBs are going down in value right now even though the last few months have seen unexpected inflation (unexpected at the time of the bond’s purchase, i.e. not priced into long term bond yields at the time). I thought that this was the environment that RRBs were supposed to do well in?

… I resolved to provide a more useful answer:

The situation with RRBs is interesting, but it isn’t as bad as you might think. We can compare – cautiously! – the funds:
ZRR : LINK
ZFL : LINK

The former is a Real Return Bond fund (based on the universe of RRBs) and the latter a long-term federal bond fund (based on the long-term Canada index). It would be nice if there was a fund restricted to long-term RRBs, but there isn’t (as far as I know) and ZRR has an average term of 17.87 years (compared to ZFL’s 25.83) so the comparison, while not perfect, isn’t too bad.

ZFL has a 1-year return of -6.97%, compared to -0.95% for ZRR, which is a very dramatic difference! This is because the inflation-adjusted principal value of RRBs has increased dramatically over the past year, due to inflation experienced, despite the lag of three months in incorporating new data.

The question of why ZRR has a negative return at all is interesting. If we look at yield statistics from the Bank of Canada ( LINK ), we see that the yield on Long-term (nominal) Canadas is 2.61%, while the Real Return on long-term RRBs is 0.74%. This implies that the “Break-Even Inflation Rate” (BEIR) is only about 1.9%, which may be considered surprising.

This is the average annual inflation rate over the entire remaining term of the bonds that will result in the two types of bond having the same total return. If the actual inflation rate over the period is higher, RRBs will have done better; if lower, then nominals will have outperformed. So one can choose which type of bond to buy based on one’s prediction of Canadian inflation over the long-term.

The fact that the BEIR is still actually below the 2% midpoint of the BoC inflation target implies that the market believes the current bout of inflation is temporary. If the market believed that future inflation was going to average, say, 4% over the long term, then the current 0.74% real rate would imply a yield of 4.74% on comparable nominals, more than 2% over current levels, which would be a price change of somewhere near -30% for the nominals, a crushing (nominal) bond market crash.

So part of the answer to your question is that inflation expectations are ‘well-anchored’; people believe that in the relatively near future things will get back to normal, whatever that means.

The other part of the answer is that real yields have been climbing for the past year (see the chart at the top of LINK ; the blue line is the long-term real yield. COVID took the long-term real yield negative, a ridiculous and completely unsustainable state of affairs; real yields have gone from -0.25% around the end of 2020 to +0.74% today; a change of about 1% in yield that implies a price change of around -15% in price.

In other words, bonds in general are doing poorly today because they did so well in the early stages of the pandemic and became – as we can tell with hindsight – grossly overpriced.

How high can real yields go? The current level of +0.74% for a long bond looks awfully skimpy to me. It’s within its range of the past 10 years, but the past 10 years have been affected by aftershocks from the Credit Crunch of 2007-09, as well as what some people think are permanent structural changes due to the aging of baby boomers, fewer kids and reduced needs for capital investment in new factories to make things. You can play with the slider on the graph at LINK and extend the chart’s origin to 2000, when real yields were in excess of 3% and the BEIR was about 2.5%. Pay yer money and take yer chances!

Posted in Primers | 1 Comment »

April 13, 2022

Wednesday, April 13th, 2022

The Globe and Mail remarks:

Canadians are particularly exposed to higher borrowing costs owing to high levels of household debt. At the same time, household finances actually have improved on average through the pandemic, according to central bank research, and interest rate increases will happen against the backdrop of brisk economic growth.

Well, given inflation and high levels of household debt that’s going to have a pretty good effect at the margins.

PerpetualDiscounts now yield 5.48%, equivalent to 7.12% interest at the standard equivalency factor of 1.3x. Long corporates now yield 4.24%, so the pre-tax interest-equivalent spread (in this context, the “Seniority Spread”) has widened to 290bp from the 275bp reported April 6.

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	3.35 %	3.93 %	24,931	19.38	1	0.5266 %	2,719.4
FixedFloater	0.00 %	0.00 %	0	0.00	0	-0.1235 %	5,150.8
Floater	3.34 %	3.39 %	40,779	18.80	4	-0.1235 %	2,968.4
OpRet	0.00 %	0.00 %	0	0.00	0	-0.0265 %	3,620.6
SplitShare	4.64 %	4.51 %	45,592	3.50	6	-0.0265 %	4,323.7
Interest-Bearing	0.00 %	0.00 %	0	0.00	0	-0.0265 %	3,373.5
Perpetual-Premium	5.52 %	5.10 %	66,311	14.54	16	-0.1141 %	3,093.7
Perpetual-Discount	5.48 %	5.48 %	63,341	14.68	17	-0.0267 %	3,386.8
FixedReset Disc	4.35 %	5.47 %	131,402	14.91	49	1.6552 %	2,640.4
Insurance Straight	5.43 %	5.43 %	88,275	14.68	20	0.6813 %	3,302.6
FloatingReset	3.59 %	3.88 %	57,878	17.71	2	0.1764 %	2,765.3
FixedReset Prem	4.86 %	4.81 %	150,756	2.17	19	-0.0668 %	2,652.1
FixedReset Bank Non	0.00 %	0.00 %	0	0.00	0	1.6552 %	2,699.0
FixedReset Ins Non	4.39 %	5.57 %	82,934	14.64	15	0.7781 %	2,736.2

Performance Highlights
Issue	Index	Change	Notes
CU.PR.H	Perpetual-Premium	-2.44 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2052-04-13 Maturity Price : 23.67 Evaluated at bid price : 24.00 Bid-YTW : 5.53 %
TRP.PR.A	FixedReset Disc	-2.27 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2052-04-13 Maturity Price : 17.20 Evaluated at bid price : 17.20 Bid-YTW : 6.39 %
CU.PR.F	Perpetual-Discount	-2.19 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2052-04-13 Maturity Price : 21.00 Evaluated at bid price : 21.00 Bid-YTW : 5.44 %
BAM.PF.I	FixedReset Prem	-2.00 %	YTW SCENARIO Maturity Type : Call Maturity Date : 2027-03-31 Maturity Price : 25.00 Evaluated at bid price : 25.53 Bid-YTW : 4.98 %
CU.PR.G	Perpetual-Discount	-1.17 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2052-04-13 Maturity Price : 21.10 Evaluated at bid price : 21.10 Bid-YTW : 5.41 %
NA.PR.G	FixedReset Prem	-1.13 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2052-04-13 Maturity Price : 24.08 Evaluated at bid price : 24.42 Bid-YTW : 5.46 %
CU.PR.C	FixedReset Disc	-1.01 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2052-04-13 Maturity Price : 21.93 Evaluated at bid price : 22.44 Bid-YTW : 5.63 %
PWF.PR.K	Perpetual-Discount	1.13 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2052-04-13 Maturity Price : 22.12 Evaluated at bid price : 22.40 Bid-YTW : 5.53 %
MFC.PR.L	FixedReset Ins Non	1.22 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2052-04-13 Maturity Price : 20.70 Evaluated at bid price : 20.70 Bid-YTW : 5.67 %
BIP.PR.A	FixedReset Disc	1.27 %	YTW SCENARIO Maturity Type : Call Maturity Date : 2025-06-30 Maturity Price : 25.00 Evaluated at bid price : 23.90 Bid-YTW : 5.56 %
BIP.PR.B	FixedReset Prem	1.35 %	YTW SCENARIO Maturity Type : Call Maturity Date : 2025-12-31 Maturity Price : 25.00 Evaluated at bid price : 26.35 Bid-YTW : 4.00 %
BAM.PR.Z	FixedReset Disc	1.35 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2052-04-13 Maturity Price : 23.37 Evaluated at bid price : 24.02 Bid-YTW : 5.79 %
MFC.PR.Q	FixedReset Ins Non	1.54 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2052-04-13 Maturity Price : 23.25 Evaluated at bid price : 23.75 Bid-YTW : 5.43 %
IAF.PR.I	FixedReset Ins Non	1.54 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2052-04-13 Maturity Price : 23.86 Evaluated at bid price : 24.37 Bid-YTW : 5.49 %
GWO.PR.R	Insurance Straight	1.57 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2052-04-13 Maturity Price : 21.71 Evaluated at bid price : 21.96 Bid-YTW : 5.50 %
RY.PR.J	FixedReset Disc	1.60 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2052-04-13 Maturity Price : 22.34 Evaluated at bid price : 22.86 Bid-YTW : 5.47 %
BAM.PR.X	FixedReset Disc	1.93 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2052-04-13 Maturity Price : 18.51 Evaluated at bid price : 18.51 Bid-YTW : 6.01 %
IFC.PR.E	Insurance Straight	2.08 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2052-04-13 Maturity Price : 24.21 Evaluated at bid price : 24.50 Bid-YTW : 5.34 %
MFC.PR.N	FixedReset Ins Non	2.44 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2052-04-13 Maturity Price : 21.00 Evaluated at bid price : 21.00 Bid-YTW : 5.65 %
BAM.PR.T	FixedReset Disc	2.65 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2052-04-13 Maturity Price : 19.01 Evaluated at bid price : 19.01 Bid-YTW : 6.09 %
MFC.PR.K	FixedReset Ins Non	3.94 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2052-04-13 Maturity Price : 21.52 Evaluated at bid price : 21.88 Bid-YTW : 5.52 %
CM.PR.Q	FixedReset Disc	7.97 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2052-04-13 Maturity Price : 22.34 Evaluated at bid price : 22.90 Bid-YTW : 5.39 %
GWO.PR.Q	Insurance Straight	10.80 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2052-04-13 Maturity Price : 23.14 Evaluated at bid price : 23.40 Bid-YTW : 5.54 %
CM.PR.O	FixedReset Disc	19.44 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2052-04-13 Maturity Price : 21.50 Evaluated at bid price : 21.50 Bid-YTW : 5.55 %
TRP.PR.G	FixedReset Disc	77.14 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2052-04-13 Maturity Price : 21.43 Evaluated at bid price : 21.77 Bid-YTW : 5.86 %

Volume Highlights
Issue	Index	Shares Traded	Notes
TRP.PR.K	FixedReset Prem	227,393	YTW SCENARIO Maturity Type : Call Maturity Date : 2022-05-31 Maturity Price : 25.00 Evaluated at bid price : 25.22 Bid-YTW : 2.92 %
RY.PR.H	FixedReset Disc	68,744	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2052-04-13 Maturity Price : 21.59 Evaluated at bid price : 22.00 Bid-YTW : 5.40 %
TRP.PR.B	FixedReset Disc	56,904	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2052-04-13 Maturity Price : 13.49 Evaluated at bid price : 13.49 Bid-YTW : 6.45 %
CM.PR.R	FixedReset Prem	43,543	YTW SCENARIO Maturity Type : Call Maturity Date : 2022-07-31 Maturity Price : 25.00 Evaluated at bid price : 24.92 Bid-YTW : 4.92 %
BMO.PR.S	FixedReset Disc	37,425	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2052-04-13 Maturity Price : 22.10 Evaluated at bid price : 22.35 Bid-YTW : 5.44 %
PWF.PR.O	Perpetual-Premium	30,700	YTW SCENARIO Maturity Type : Call Maturity Date : 2022-05-13 Maturity Price : 25.00 Evaluated at bid price : 25.27 Bid-YTW : -10.29 %
There were 20 other index-included issues trading in excess of 10,000 shares.

Wide Spread Highlights
Issue	Index	Quote Data and Yield Notes
TRP.PR.D	FixedReset Disc	Quote: 19.49 – 22.00 Spot Rate : 2.5100 Average : 1.4532 YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2052-04-13 Maturity Price : 19.49 Evaluated at bid price : 19.49 Bid-YTW : 6.26 %
RY.PR.Z	FixedReset Disc	Quote: 22.10 – 23.98 Spot Rate : 1.8800 Average : 1.0832 YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2052-04-13 Maturity Price : 21.66 Evaluated at bid price : 22.10 Bid-YTW : 5.35 %
PVS.PR.I	SplitShare	Quote: 25.75 – 30.00 Spot Rate : 4.2500 Average : 3.5273 YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2025-10-31 Maturity Price : 25.00 Evaluated at bid price : 25.75 Bid-YTW : 4.00 %
BAM.PR.K	Floater	Quote: 14.00 – 15.50 Spot Rate : 1.5000 Average : 0.8595 YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2052-04-13 Maturity Price : 14.00 Evaluated at bid price : 14.00 Bid-YTW : 3.39 %
CU.PR.E	Perpetual-Discount	Quote: 22.87 – 24.30 Spot Rate : 1.4300 Average : 0.8861 YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2052-04-13 Maturity Price : 22.62 Evaluated at bid price : 22.87 Bid-YTW : 5.42 %
MFC.PR.K	FixedReset Ins Non	Quote: 21.88 – 23.59 Spot Rate : 1.7100 Average : 1.3790 YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2052-04-13 Maturity Price : 21.52 Evaluated at bid price : 21.88 Bid-YTW : 5.52 %

Posted in Market Action | 19 Comments »

BoC Hikes Overnight 50bp to 1.00%; Prime Follows

Wednesday, April 13th, 2022

The Bank of Canada has announced it has:

increased its target for the overnight rate to 1%, with the Bank Rate at 1¼% and the deposit rate at 1%. The Bank is also ending reinvestment and will begin quantitative tightening (QT), effective April 25. Maturing Government of Canada bonds on the Bank’s balance sheet will no longer be replaced and, as a result, the size of the balance sheet will decline over time.

Russia’s ongoing invasion of Ukraine is causing unimaginable human suffering and new economic uncertainty. Price spikes in oil, natural gas and other commodities are adding to inflation around the world. Supply disruptions resulting from the war are also exacerbating ongoing supply constraints and weighing on activity. These factors are the primary drivers of a substantial upward revision to the Bank’s outlook for inflation in Canada.

The war in Ukraine is disrupting the global recovery, just as most economies are emerging from the impact of the Omicron variant of COVID-19. European countries are more directly impacted by confidence effects and supply dislocations caused by the war. China’s economy is facing new COVID outbreaks and an ongoing correction in its property market. In the United States, domestic demand remains very strong and the US Federal Reserve has clearly indicated its resolve to use its monetary policy tools to control inflation. As policy stimulus is withdrawn, US growth is expected to moderate to a pace more in line with potential growth. Global financial conditions have tightened and volatility has increased. The Bank now forecasts global growth of about 3½% this year, 2½% in 2023 and 3¼% in 2024.

In Canada, growth is strong and the economy is moving into excess demand. Labour markets are tight, and wage growth is back to its pre-pandemic pace and rising. Businesses increasingly report they are having difficulty meeting demand, and are able to pass on higher input costs by increasing prices. While the COVID-19 virus continues to mutate and circulate, high rates of vaccination have reduced its health and economic impacts. Growth looks to have been stronger in the first quarter than projected in January and is likely to pick up in the second quarter. Consumer spending is strengthening with the lifting of pandemic containment measures. Exports and business investment will continue to recover, supported by strong foreign demand and high commodity prices. Housing market activity, which has been exceptionally high, is expected to moderate.

The Bank forecasts that Canada’s economy will grow by 4¼% this year before slowing to 3¼% in 2023 and 2¼% in 2024. Robust business investment, labour productivity growth and higher immigration will add to the economy’s productive capacity, while higher interest rates should moderate growth in domestic demand.

CPI inflation in Canada is 5.7%, above the Bank’s forecast in its January Monetary Policy Report (MPR). Inflation is being driven by rising energy and food prices and supply disruptions, in combination with strong global and domestic demand. Core measures of inflation have all moved higher as price pressures broaden. CPI inflation is now expected to average almost 6% in the first half of 2022 and remain well above the control range throughout this year. It is then expected to ease to about 2½% in the second half of 2023 and return to the 2% target in 2024. There is an increasing risk that expectations of elevated inflation could become entrenched. The Bank will use its monetary policy tools to return inflation to target and keep inflation expectations well-anchored.

With the economy moving into excess demand and inflation persisting well above target, the Governing Council judges that interest rates will need to rise further. The policy interest rate is the Bank’s primary monetary policy instrument, and quantitative tightening will complement increases in the policy rate. The timing and pace of further increases in the policy rate will be guided by the Bank’s ongoing assessment of the economy and its commitment to achieving the 2% inflation target.

Prime followed:

Well, Rob Carrick and Ryan Siever will be mad:

There’s a case to be made for banks giving borrowers a break when what is expected to be the biggest interest rate hike in 22 years is announced on Wednesday.

A brief flashback to 2015 is required to get the sense of this story. The economy back then was in the opposite shape of what it is now – weak enough to prompt the Bank of Canada to cut its trendsetting overnight rate by 0.25 of a percentage point in January and again in July.

The big banks hijacked part of that rate cut. While the overnight rate fell by a total 0.5 of a point, the banks cut their prime rate by cumulative 0.3 of a point. They held back the rest of the rate cut to build their revenues and profit.

There was a delay in reducing the prime when the Canada Overnight rate dropped 25bp to 0.75% in January 2015 and again when Canada Overnight dropped a further 25bp to 0.50% in July of that year.

Posted in Canada Prime | No Comments »

April 12, 2022

Tuesday, April 12th, 2022

So US inflation was exciting:

Inflation soared over the past year at its fastest pace in more than 40 years, with costs for food, gasoline, housing and other necessities squeezing American consumers and wiping out the pay raises that many people have received.

The Labor Department said Tuesday that its consumer price index jumped 8.5 per cent in March from 12 months earlier – the biggest year-over-year increase since December 1981. Prices have been driven up by bottlenecked supply chains, robust consumer demand and disruptions to global food and energy markets worsened by Russia’s war against Ukraine.

The government’s report also showed that inflation rose 1.2 per cent from February to March, up from a 0.8 per cent increase from January to February.

Current and projected future increases in the five-year Canada rate imply a greater cost of carry on mortgages. Well, the implications will be fun!

New data from Statistics Canada shows multiple-property owners held between 29 and 41 per cent of the housing stock in Ontario, British Columbia, Nova Scotia and New Brunswick in 2019 and 2020.

The data from the Canadian Housing Statistics Program, which includes both residential and recreational holdings, reveal multiple-property ownership accounted for 41 per cent of Nova Scotia’s housing stock, 39 per cent of New Brunswick’s, 31 per cent of Ontario’s and 29 per cent of British Columbia’s.

Multiple-property owners totalled 22 per cent of all owners in Nova Scotia, 20 per cent in New Brunswick, 16 per cent in Ontario and 15 per cent in British Columbia.

Tomorrow will bring the long-awaited Bank of Canada policy rate announcement, widely expected to take the policy rate to 1.00%. But three month bills are trading at about 0.86%, roughly halfway between a 25bp increase and one of 50bp, which does not seem to indicate a similar level of conviction in the markets. As ratchetrick observes, we’ll see. But it seems that one way or another there will be fireworks as all the bond-market-timers incur immense transaction costs during the ten minutes on either side of the announcement.

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	3.37 %	3.95 %	25,336	19.35	1	-0.5238 %	2,705.2
FixedFloater	0.00 %	0.00 %	0	0.00	0	0.3895 %	5,157.1
Floater	3.33 %	3.39 %	40,816	18.80	4	0.3895 %	2,972.1
OpRet	0.00 %	0.00 %	0	0.00	0	-0.1257 %	3,621.5
SplitShare	4.64 %	4.49 %	47,474	3.51	6	-0.1257 %	4,324.9
Interest-Bearing	0.00 %	0.00 %	0	0.00	0	-0.1257 %	3,374.4
Perpetual-Premium	5.52 %	5.29 %	63,454	14.53	16	-0.0431 %	3,097.3
Perpetual-Discount	5.47 %	5.47 %	60,057	14.64	17	-0.2129 %	3,387.7
FixedReset Disc	4.42 %	5.55 %	130,053	14.88	49	-0.8059 %	2,597.4
Insurance Straight	5.47 %	5.45 %	88,765	14.73	20	-0.9660 %	3,280.2
FloatingReset	3.59 %	3.89 %	58,603	17.68	2	-0.1468 %	2,760.4
FixedReset Prem	4.86 %	4.65 %	145,443	1.99	19	0.1150 %	2,653.8
FixedReset Bank Non	0.00 %	0.00 %	0	0.00	0	-0.8059 %	2,655.1
FixedReset Ins Non	4.42 %	5.60 %	82,765	14.55	15	0.1347 %	2,715.1

Performance Highlights
Issue	Index	Change	Notes
TRP.PR.G	FixedReset Disc	-43.75 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2052-04-12 Maturity Price : 12.29 Evaluated at bid price : 12.29 Bid-YTW : 10.11 %
CM.PR.O	FixedReset Disc	-16.28 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2052-04-12 Maturity Price : 18.00 Evaluated at bid price : 18.00 Bid-YTW : 6.61 %
GWO.PR.Q	Insurance Straight	-10.13 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2052-04-12 Maturity Price : 21.12 Evaluated at bid price : 21.12 Bid-YTW : 6.16 %
IFC.PR.E	Insurance Straight	-2.83 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2052-04-12 Maturity Price : 23.72 Evaluated at bid price : 24.00 Bid-YTW : 5.45 %
PWF.PF.A	Perpetual-Discount	-2.36 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2052-04-12 Maturity Price : 20.65 Evaluated at bid price : 20.65 Bid-YTW : 5.47 %
GWO.PR.Y	Insurance Straight	-2.35 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2052-04-12 Maturity Price : 20.75 Evaluated at bid price : 20.75 Bid-YTW : 5.47 %
CCS.PR.C	Insurance Straight	-1.75 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2052-04-12 Maturity Price : 23.32 Evaluated at bid price : 23.60 Bid-YTW : 5.33 %
IAF.PR.I	FixedReset Ins Non	-1.68 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2052-04-12 Maturity Price : 23.45 Evaluated at bid price : 24.00 Bid-YTW : 5.57 %
FTS.PR.H	FixedReset Disc	-1.60 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2052-04-12 Maturity Price : 15.35 Evaluated at bid price : 15.35 Bid-YTW : 5.99 %
BIP.PR.E	FixedReset Prem	-1.32 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2052-04-12 Maturity Price : 24.17 Evaluated at bid price : 24.62 Bid-YTW : 5.69 %
BAM.PR.M	Perpetual-Discount	-1.22 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2052-04-12 Maturity Price : 21.10 Evaluated at bid price : 21.10 Bid-YTW : 5.68 %
CU.PR.G	Perpetual-Discount	-1.20 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2052-04-12 Maturity Price : 21.35 Evaluated at bid price : 21.35 Bid-YTW : 5.34 %
PVS.PR.J	SplitShare	-1.14 %	YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2028-02-29 Maturity Price : 25.00 Evaluated at bid price : 24.20 Bid-YTW : 5.15 %
FTS.PR.F	Perpetual-Discount	-1.11 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2052-04-12 Maturity Price : 22.83 Evaluated at bid price : 23.11 Bid-YTW : 5.36 %
RY.PR.J	FixedReset Disc	-1.06 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2052-04-12 Maturity Price : 22.10 Evaluated at bid price : 22.50 Bid-YTW : 5.56 %
PWF.PR.Z	Perpetual-Premium	-1.03 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2052-04-12 Maturity Price : 22.63 Evaluated at bid price : 23.01 Bid-YTW : 5.59 %
CM.PR.Q	FixedReset Disc	1.00 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2052-04-12 Maturity Price : 21.21 Evaluated at bid price : 21.21 Bid-YTW : 5.83 %
PWF.PR.S	Perpetual-Discount	1.15 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2052-04-12 Maturity Price : 21.75 Evaluated at bid price : 22.00 Bid-YTW : 5.46 %
CU.PR.E	Perpetual-Discount	1.24 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2052-04-12 Maturity Price : 22.53 Evaluated at bid price : 22.78 Bid-YTW : 5.44 %
BAM.PF.E	FixedReset Disc	1.39 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2052-04-12 Maturity Price : 19.68 Evaluated at bid price : 19.68 Bid-YTW : 6.24 %
BMO.PR.T	FixedReset Disc	1.50 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2052-04-12 Maturity Price : 21.38 Evaluated at bid price : 21.70 Bid-YTW : 5.45 %
PWF.PR.A	Floater	1.52 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2052-04-12 Maturity Price : 14.72 Evaluated at bid price : 14.72 Bid-YTW : 3.24 %
NA.PR.W	FixedReset Disc	1.95 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2052-04-12 Maturity Price : 21.57 Evaluated at bid price : 21.97 Bid-YTW : 5.32 %
TRP.PR.A	FixedReset Disc	2.33 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2052-04-12 Maturity Price : 17.60 Evaluated at bid price : 17.60 Bid-YTW : 6.24 %
IFC.PR.A	FixedReset Ins Non	2.45 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2052-04-12 Maturity Price : 18.81 Evaluated at bid price : 18.81 Bid-YTW : 5.77 %
IFC.PR.F	Insurance Straight	2.50 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2052-04-12 Maturity Price : 24.51 Evaluated at bid price : 25.01 Bid-YTW : 5.32 %
PWF.PR.T	FixedReset Disc	2.56 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2052-04-12 Maturity Price : 21.63 Evaluated at bid price : 22.05 Bid-YTW : 5.54 %
PWF.PR.P	FixedReset Disc	2.56 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2052-04-12 Maturity Price : 16.00 Evaluated at bid price : 16.00 Bid-YTW : 5.78 %
CM.PR.P	FixedReset Disc	2.58 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2052-04-12 Maturity Price : 21.50 Evaluated at bid price : 21.50 Bid-YTW : 5.47 %
PWF.PR.K	Perpetual-Discount	2.78 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2052-04-12 Maturity Price : 21.91 Evaluated at bid price : 22.15 Bid-YTW : 5.59 %
TRP.PR.B	FixedReset Disc	3.04 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2052-04-12 Maturity Price : 13.54 Evaluated at bid price : 13.54 Bid-YTW : 6.42 %
TD.PF.D	FixedReset Disc	10.05 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2052-04-12 Maturity Price : 21.74 Evaluated at bid price : 22.01 Bid-YTW : 5.62 %

Volume Highlights
Issue	Index	Shares Traded	Notes
CU.PR.J	Perpetual-Discount	579,800	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2052-04-12 Maturity Price : 21.62 Evaluated at bid price : 21.95 Bid-YTW : 5.47 %
GWO.PR.S	Insurance Straight	263,700	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2052-04-12 Maturity Price : 23.27 Evaluated at bid price : 23.52 Bid-YTW : 5.62 %
TD.PF.J	FixedReset Disc	54,300	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2052-04-12 Maturity Price : 23.69 Evaluated at bid price : 24.20 Bid-YTW : 5.44 %
TRP.PR.F	FloatingReset	51,905	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2052-04-12 Maturity Price : 17.45 Evaluated at bid price : 17.45 Bid-YTW : 3.89 %
BMO.PR.W	FixedReset Disc	39,700	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2052-04-12 Maturity Price : 21.41 Evaluated at bid price : 21.75 Bid-YTW : 5.44 %
PVS.PR.K	SplitShare	13,100	YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2029-05-31 Maturity Price : 25.00 Evaluated at bid price : 24.65 Bid-YTW : 4.73 %
There were 5 other index-included issues trading in excess of 10,000 shares.

Wide Spread Highlights
Issue	Index	Quote Data and Yield Notes
TRP.PR.G	FixedReset Disc	Quote: 12.29 – 22.00 Spot Rate : 9.7100 Average : 5.1874 YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2052-04-12 Maturity Price : 12.29 Evaluated at bid price : 12.29 Bid-YTW : 10.11 %
CM.PR.O	FixedReset Disc	Quote: 18.00 – 22.00 Spot Rate : 4.0000 Average : 2.3088 YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2052-04-12 Maturity Price : 18.00 Evaluated at bid price : 18.00 Bid-YTW : 6.61 %
GWO.PR.Q	Insurance Straight	Quote: 21.12 – 23.50 Spot Rate : 2.3800 Average : 1.7220 YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2052-04-12 Maturity Price : 21.12 Evaluated at bid price : 21.12 Bid-YTW : 6.16 %
SLF.PR.H	FixedReset Ins Non	Quote: 19.30 – 21.50 Spot Rate : 2.2000 Average : 1.5823 YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2052-04-12 Maturity Price : 19.30 Evaluated at bid price : 19.30 Bid-YTW : 5.63 %
BAM.PR.E	Ratchet	Quote: 18.99 – 20.45 Spot Rate : 1.4600 Average : 1.0140 YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2052-04-12 Maturity Price : 25.00 Evaluated at bid price : 18.99 Bid-YTW : 3.95 %
POW.PR.B	Perpetual-Premium	Quote: 24.01 – 25.10 Spot Rate : 1.0900 Average : 0.6976 YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2052-04-12 Maturity Price : 23.70 Evaluated at bid price : 24.01 Bid-YTW : 5.59 %

Posted in Market Action | No Comments »

April 11, 2022

Monday, April 11th, 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	3.35 %	3.92 %	25,002	19.40	1	1.5426 %	2,719.4
FixedFloater	0.00 %	0.00 %	0	0.00	0	-0.4758 %	5,137.1
Floater	3.35 %	3.39 %	41,118	18.81	4	-0.4758 %	2,960.5
OpRet	0.00 %	0.00 %	0	0.00	0	-0.1388 %	3,626.1
SplitShare	4.63 %	4.50 %	49,434	3.51	6	-0.1388 %	4,330.3
Interest-Bearing	0.00 %	0.00 %	0	0.00	0	-0.1388 %	3,378.7
Perpetual-Premium	5.51 %	5.09 %	64,983	14.55	16	-0.0557 %	3,098.6
Perpetual-Discount	5.46 %	5.52 %	59,616	14.59	17	-0.2019 %	3,394.9
FixedReset Disc	4.39 %	5.55 %	129,607	14.84	49	-0.3961 %	2,618.5
Insurance Straight	5.42 %	5.43 %	88,729	14.70	20	-0.5511 %	3,312.2
FloatingReset	3.59 %	3.90 %	54,279	17.65	2	-0.4676 %	2,764.5
FixedReset Prem	4.87 %	4.68 %	150,100	1.94	19	-0.1337 %	2,650.8
FixedReset Bank Non	0.00 %	0.00 %	0	0.00	0	-0.3961 %	2,676.6
FixedReset Ins Non	4.43 %	5.61 %	83,645	14.56	15	-1.2007 %	2,711.4

Performance Highlights
Issue	Index	Change	Notes
TD.PF.D	FixedReset Disc	-10.11 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2052-04-11 Maturity Price : 20.00 Evaluated at bid price : 20.00 Bid-YTW : 6.18 %
SLF.PR.H	FixedReset Ins Non	-5.08 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2052-04-11 Maturity Price : 19.25 Evaluated at bid price : 19.25 Bid-YTW : 5.65 %
PWF.PR.K	Perpetual-Discount	-3.79 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2052-04-11 Maturity Price : 21.28 Evaluated at bid price : 21.55 Bid-YTW : 5.75 %
CM.PR.P	FixedReset Disc	-3.72 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2052-04-11 Maturity Price : 20.96 Evaluated at bid price : 20.96 Bid-YTW : 5.61 %
TRP.PR.B	FixedReset Disc	-3.24 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2052-04-11 Maturity Price : 13.14 Evaluated at bid price : 13.14 Bid-YTW : 6.60 %
MFC.PR.K	FixedReset Ins Non	-3.21 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2052-04-11 Maturity Price : 21.10 Evaluated at bid price : 21.10 Bid-YTW : 5.75 %
IFC.PR.A	FixedReset Ins Non	-3.11 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2052-04-11 Maturity Price : 18.36 Evaluated at bid price : 18.36 Bid-YTW : 5.91 %
MFC.PR.N	FixedReset Ins Non	-2.90 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2052-04-11 Maturity Price : 20.40 Evaluated at bid price : 20.40 Bid-YTW : 5.81 %
NA.PR.W	FixedReset Disc	-2.71 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2052-04-11 Maturity Price : 21.27 Evaluated at bid price : 21.55 Bid-YTW : 5.43 %
PWF.PR.A	Floater	-2.68 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2052-04-11 Maturity Price : 14.50 Evaluated at bid price : 14.50 Bid-YTW : 3.29 %
PWF.PR.P	FixedReset Disc	-2.50 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2052-04-11 Maturity Price : 15.60 Evaluated at bid price : 15.60 Bid-YTW : 5.92 %
PWF.PR.T	FixedReset Disc	-2.27 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2052-04-11 Maturity Price : 21.50 Evaluated at bid price : 21.50 Bid-YTW : 5.71 %
MFC.PR.I	FixedReset Ins Non	-2.16 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2052-04-11 Maturity Price : 23.65 Evaluated at bid price : 24.41 Bid-YTW : 5.60 %
MFC.PR.B	Insurance Straight	-2.09 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2052-04-11 Maturity Price : 21.26 Evaluated at bid price : 21.53 Bid-YTW : 5.44 %
CU.PR.E	Perpetual-Discount	-2.05 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2052-04-11 Maturity Price : 22.22 Evaluated at bid price : 22.50 Bid-YTW : 5.51 %
GWO.PR.T	Insurance Straight	-1.96 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2052-04-11 Maturity Price : 23.01 Evaluated at bid price : 23.45 Bid-YTW : 5.51 %
MFC.PR.C	Insurance Straight	-1.95 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2052-04-11 Maturity Price : 21.12 Evaluated at bid price : 21.12 Bid-YTW : 5.38 %
BAM.PR.Z	FixedReset Disc	-1.71 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2052-04-11 Maturity Price : 22.94 Evaluated at bid price : 23.59 Bid-YTW : 5.89 %
PWF.PR.F	Perpetual-Premium	-1.69 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2052-04-11 Maturity Price : 23.52 Evaluated at bid price : 23.79 Bid-YTW : 5.52 %
GWO.PR.R	Insurance Straight	-1.68 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2052-04-11 Maturity Price : 21.36 Evaluated at bid price : 21.63 Bid-YTW : 5.58 %
GWO.PR.S	Insurance Straight	-1.67 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2052-04-11 Maturity Price : 23.35 Evaluated at bid price : 23.60 Bid-YTW : 5.60 %
BAM.PF.A	FixedReset Disc	-1.65 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2052-04-11 Maturity Price : 22.79 Evaluated at bid price : 23.22 Bid-YTW : 5.92 %
PWF.PR.S	Perpetual-Discount	-1.58 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2052-04-11 Maturity Price : 21.49 Evaluated at bid price : 21.75 Bid-YTW : 5.52 %
MFC.PR.L	FixedReset Ins Non	-1.45 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2052-04-11 Maturity Price : 20.45 Evaluated at bid price : 20.45 Bid-YTW : 5.74 %
FTS.PR.M	FixedReset Disc	-1.42 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2052-04-11 Maturity Price : 20.80 Evaluated at bid price : 20.80 Bid-YTW : 5.97 %
IFC.PR.F	Insurance Straight	-1.41 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2052-04-11 Maturity Price : 23.90 Evaluated at bid price : 24.40 Bid-YTW : 5.45 %
GWO.PR.Y	Insurance Straight	-1.39 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2052-04-11 Maturity Price : 21.25 Evaluated at bid price : 21.25 Bid-YTW : 5.34 %
BIP.PR.F	FixedReset Prem	-1.35 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2052-04-11 Maturity Price : 23.57 Evaluated at bid price : 24.76 Bid-YTW : 5.53 %
BIP.PR.B	FixedReset Prem	-1.14 %	YTW SCENARIO Maturity Type : Call Maturity Date : 2025-12-31 Maturity Price : 25.00 Evaluated at bid price : 26.00 Bid-YTW : 4.40 %
MFC.PR.J	FixedReset Ins Non	-1.14 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2052-04-11 Maturity Price : 22.91 Evaluated at bid price : 23.48 Bid-YTW : 5.56 %
BMO.PR.T	FixedReset Disc	-1.06 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2052-04-11 Maturity Price : 21.38 Evaluated at bid price : 21.38 Bid-YTW : 5.55 %
POW.PR.B	Perpetual-Premium	-1.03 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2052-04-11 Maturity Price : 23.68 Evaluated at bid price : 23.95 Bid-YTW : 5.60 %
SLF.PR.C	Insurance Straight	-1.03 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2052-04-11 Maturity Price : 21.10 Evaluated at bid price : 21.10 Bid-YTW : 5.32 %
TD.PF.J	FixedReset Disc	-1.03 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2052-04-11 Maturity Price : 23.47 Evaluated at bid price : 24.00 Bid-YTW : 5.49 %
IFC.PR.C	FixedReset Disc	1.02 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2052-04-11 Maturity Price : 21.39 Evaluated at bid price : 21.70 Bid-YTW : 5.56 %
BNS.PR.I	FixedReset Disc	1.03 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2052-04-11 Maturity Price : 23.42 Evaluated at bid price : 24.45 Bid-YTW : 5.09 %
BAM.PR.C	Floater	1.16 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2052-04-11 Maturity Price : 13.96 Evaluated at bid price : 13.96 Bid-YTW : 3.40 %
RY.PR.S	FixedReset Disc	1.24 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2052-04-11 Maturity Price : 23.42 Evaluated at bid price : 24.50 Bid-YTW : 5.08 %
FTS.PR.F	Perpetual-Discount	1.39 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2052-04-11 Maturity Price : 23.11 Evaluated at bid price : 23.37 Bid-YTW : 5.30 %
CU.PR.F	Perpetual-Discount	1.41 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2052-04-11 Maturity Price : 21.33 Evaluated at bid price : 21.60 Bid-YTW : 5.26 %
BAM.PR.E	Ratchet	1.54 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2052-04-11 Maturity Price : 25.00 Evaluated at bid price : 19.09 Bid-YTW : 3.92 %
NA.PR.G	FixedReset Prem	1.69 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2052-04-11 Maturity Price : 23.56 Evaluated at bid price : 24.65 Bid-YTW : 5.36 %
BAM.PF.G	FixedReset Disc	1.95 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2052-04-11 Maturity Price : 20.90 Evaluated at bid price : 20.90 Bid-YTW : 6.06 %
IFC.PR.E	Insurance Straight	1.98 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2052-04-11 Maturity Price : 24.41 Evaluated at bid price : 24.70 Bid-YTW : 5.29 %
RY.PR.M	FixedReset Disc	2.22 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2052-04-11 Maturity Price : 21.78 Evaluated at bid price : 22.10 Bid-YTW : 5.44 %
PWF.PF.A	Perpetual-Discount	2.42 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2052-04-11 Maturity Price : 21.15 Evaluated at bid price : 21.15 Bid-YTW : 5.34 %
FTS.PR.H	FixedReset Disc	2.63 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2052-04-11 Maturity Price : 15.60 Evaluated at bid price : 15.60 Bid-YTW : 5.90 %
CM.PR.Q	FixedReset Disc	5.00 %	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2052-04-11 Maturity Price : 21.00 Evaluated at bid price : 21.00 Bid-YTW : 5.89 %

Volume Highlights
Issue	Index	Shares Traded	Notes
TRP.PR.K	FixedReset Prem	277,279	YTW SCENARIO Maturity Type : Call Maturity Date : 2022-05-31 Maturity Price : 25.00 Evaluated at bid price : 25.22 Bid-YTW : 2.81 %
BMO.PR.C	FixedReset Prem	152,530	YTW SCENARIO Maturity Type : Call Maturity Date : 2022-05-25 Maturity Price : 25.00 Evaluated at bid price : 25.10 Bid-YTW : 5.82 %
FTS.PR.M	FixedReset Disc	28,800	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2052-04-11 Maturity Price : 20.80 Evaluated at bid price : 20.80 Bid-YTW : 5.97 %
TD.PF.B	FixedReset Disc	19,358	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2052-04-11 Maturity Price : 21.30 Evaluated at bid price : 21.60 Bid-YTW : 5.45 %
MFC.PR.M	FixedReset Ins Non	18,800	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2052-04-11 Maturity Price : 21.11 Evaluated at bid price : 21.11 Bid-YTW : 5.73 %
BIP.PR.F	FixedReset Prem	15,800	YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2052-04-11 Maturity Price : 23.57 Evaluated at bid price : 24.76 Bid-YTW : 5.53 %
There were 13 other index-included issues trading in excess of 10,000 shares.

Wide Spread Highlights
Issue	Index	Quote Data and Yield Notes
TD.PF.D	FixedReset Disc	Quote: 20.00 – 24.80 Spot Rate : 4.8000 Average : 3.1504 YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2052-04-11 Maturity Price : 20.00 Evaluated at bid price : 20.00 Bid-YTW : 6.18 %
PVS.PR.I	SplitShare	Quote: 25.75 – 30.00 Spot Rate : 4.2500 Average : 3.5407 YTW SCENARIO Maturity Type : Hard Maturity Maturity Date : 2025-10-31 Maturity Price : 25.00 Evaluated at bid price : 25.75 Bid-YTW : 3.99 %
MFC.PR.L	FixedReset Ins Non	Quote: 20.45 – 22.20 Spot Rate : 1.7500 Average : 1.2486 YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2052-04-11 Maturity Price : 20.45 Evaluated at bid price : 20.45 Bid-YTW : 5.74 %
BMO.PR.S	FixedReset Disc	Quote: 22.27 – 23.50 Spot Rate : 1.2300 Average : 0.8173 YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2052-04-11 Maturity Price : 22.04 Evaluated at bid price : 22.27 Bid-YTW : 5.46 %
CM.PR.P	FixedReset Disc	Quote: 20.96 – 21.96 Spot Rate : 1.0000 Average : 0.5884 YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2052-04-11 Maturity Price : 20.96 Evaluated at bid price : 20.96 Bid-YTW : 5.61 %
BAM.PF.E	FixedReset Disc	Quote: 19.41 – 21.05 Spot Rate : 1.6400 Average : 1.2601 YTW SCENARIO Maturity Type : Limit Maturity Maturity Date : 2052-04-11 Maturity Price : 19.41 Evaluated at bid price : 19.41 Bid-YTW : 6.33 %

Posted in Market Action | 10 Comments »

April PrefLetter Released!

Sunday, April 10th, 2022

The April, 2022, edition of PrefLetter has been released and is now available for purchase as the “Previous edition”. Those who subscribe for a full year receive the “Previous edition” as a bonus.

PrefLetter may now be purchased by all Canadian residents.

Until further notice, the “previous” edition will refer to the April, 2022, issue, while the “next” edition will be the May, 2022, issue scheduled to be prepared as of the close May 13, and emailed to subscribers prior to the market-opening on May 16. Prefletter is intended for long term investors seeking issues to buy-and-hold. At least one recommendation from each of the major preferred share sectors is included and discussed.

Note: My verbosity has grown by such leaps and bounds that it is no longer possible to deliver PrefLetter as an eMail attachment – it’s just too big for my software! Instead, I have sent passwords – click on the link in your eMail and your copy will download.

Note: There have been problems lately with corporate eMail protection systems that substitute “safe” links for the links sent in the eMails; the problem being that the “safe” links do not work and an error is generated by my software. To avoid possible problems and delays, please subscribe through an eMail account that is not “protected” by such software.

Note: The PrefLetter website has a Subscriber Download Feature. If you have not received your copy, try it!

Note: PrefLetter eMails sometimes runs afoul of spam filters. If you have not received your copy within fifteen minutes of a release notice such as this one, please double check your (company’s) spam filtering policy and your spam repository – there are some hints in the post Sympatico Spam Filters out of Control. If it’s not there, contact me and I’ll get you your copy … somehow!

Note: There have been scattered complaints regarding inability to open PrefLetter in Acrobat Reader, despite my practice of including myself on the subscription list and immediately checking the copy received. I have had the occasional difficulty reading US Government documents, which I was able to resolve by downloading and installing the latest version of Adobe Reader. Also, note that so far, all complaints have been from users of Yahoo Mail. Try saving it to disk first, before attempting to open it.

Note: There have been other scattered complaints that double-clicking on the links in the “PrefLetter Download” email results in a message that the password has already been used. I have been able to reproduce this problem in my own eMail software … the problem is double-clicking. What happens is the first click opens the link and the second click finds that the password has already been used and refuses to work properly. So the moral of the story is: Don’t be a dick! Single Click!

Note: Assiduous Reader DG informs me:

In case you have any other Apple users: you need to install a free App from the apple store called “FileApp”. It comes with it’s own tutorial and allows you to download and save a PDF file.

However, Assiduous Reader Adrian informs me in the comments to the January 2015 release:

Some nitpicking for DG:
FileApp costs $1.19 in the Apple Store.

But Adrian2 now advises:

Well, as of now, FileApp is free (again?).

Posted in PrefLetter | 1 Comment »

PrefBlog

Archive for April, 2022

April 19, 2022

April 18, 2022

BEP.PR.R Falls In Line with Market

April 14, 2022

Real Return Bond Performance

April 13, 2022

BoC Hikes Overnight 50bp to 1.00%; Prime Follows

April 12, 2022

April 11, 2022

April PrefLetter Released!

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