Archive for August, 2022

MAPF Portfolio Composition : July, 2022

Saturday, August 6th, 2022

Turnover remained low at 3% in July. Market volumes have been very low for quite some time, having never really recovered from the usual summer decline in 2021.

Sectoral distribution of the MAPF portfolio on July 29, 2022, were:

MAPF Sectoral Analysis 2022-7-29
HIMI Indices Sector Weighting YTW ModDur
Ratchet 0% N/A N/A
FixFloat 0% N/A N/A
Floater 0% N/A N/A
OpRet 0% N/A N/A
SplitShare 0% N/A N/A
Interest Rearing 0% N/A N/A
PerpetualPremium 0% N/A N/A
PerpetualDiscount 6.6% 6.34% 13.36
Fixed-Reset Discount 50.9% 6.91% 13.24
Insurance – Straight 0.1% 5.76% 14.24
FloatingReset 0% N/A N/A
FixedReset Premium 0% N/A N/A
FixedReset Bank non-NVCC 0% N/A N/A
FixedReset Insurance non-NVCC 31.4% 6.44% 13.93
Scraps – Ratchet 0% N/A N/A
Scraps – FixedFloater 0% N/A N/A
Scraps – Floater 0% N/A N/A
Scraps – OpRet 0% N/A N/A
Scraps – SplitShare 0% N/A N/A
Scraps – PerpPrem 0% N/A N/A
Scraps – PerpDisc 0% N/A N/A
Scraps – FR Discount 11.7% 7.74% 12.31
Scraps – Insurance Straight 0% N/A N/A
Scraps – FloatingReset 0% N/A N/A
Scraps – FR Premium 0% N/A N/A
Scraps – Bank non-NVCC 0% N/A N/A
Scraps – Ins non-NVCC 0% N/A N/A
Cash -0.6% 0.00% 0.00
Total 100% 6.86% 13.44
Totals and changes will not add precisely due to rounding. Cash is included in totals with duration and yield both equal to zero.
The various “Scraps” indices include issues with a DBRS rating of Pfd-3(high) or lower and issues with an Average Trading Value (calculated with HIMIPref™ methodology, which is relatively complex) of less than $25,000. The issues considered “Scraps” are subdivided into indices which reflect those of the main indices.
DeemedRetractibles were comprised of all Straight Perpetuals (both PerpetualDiscount and PerpetualPremium) issued by BMO, BNS, CM, ELF, GWO, HSB, IAG, MFC, NA, RY, SLF and TD, which are not exchangable into common at the option of the company or the regulator. These issues are analyzed as if their prospectuses included a requirement to redeem at par on or prior to 2022-1-31 in the case of banks or normally in the case of insurers and insurance holding companies, in addition to the call schedule explicitly defined. See the Deemed Retractible Review: September 2016 for the rationale behind this analysis and IAIS Says No To DeemedRetractions for the recent change in policy with respect to insurers.

Note that the estimate for the time this will become effective for insurers and insurance holding companies was extended by three years in April 2013, due to the delays in OSFI’s providing clarity on the issue and by a further five years in December, 2018; the estimate was eliminated in November. However, the distinctions are being kept because it is useful to distinguish insurance issues from others.

The name of this subindex has been changed to “Insurance Straight” as of November, 2020

Calculations of resettable instruments are performed assuming a constant GOC-5 rate of 2.69%, a constant 3-Month Bill rate of 2.68% and a constant Canada Prime Rate of 4.70%

The “total” reflects the un-leveraged total portfolio (i.e., cash is included in the portfolio calculations and is deemed to have a duration and yield of 0.00.). MAPF will often have relatively large cash balances, both credit and debit, to facilitate trading. Figures presented in the table have been rounded to the indicated precision.

Credit distribution is:

MAPF Credit Analysis 2022-7-29
DBRS Rating MAPF Weighting
Pfd-1 0
Pfd-1(low) 0
Pfd-2(high) 43.3%
Pfd-2 12.4%
Pfd-2(low) 33.3%
Pfd-3(high) 3.3%
Pfd-3 5.0%
Pfd-3(low) 1.3%
Pfd-4(high) 1.2%
Pfd-4 0.9%
Pfd-4(low) 0%
Pfd-5(high) 0%
Pfd-5 0%
Cash -0.6%
Totals will not add precisely due to rounding.
A position held in INE.PR.A is not rated by DBRS nor by S&P, but has been included as “Pfd-4(high)” in the above table on the basis of its last S&P rating of P-4(high) and its BB rating from Fitch. A “BB” rating would normally map to Pfd-3, but the company’s disdain for the two major preferred share agencies makes me nervous.
A position is held in CF.PR.A which is no longer rated by DBRS, but has been included in the table with a deemed rating of Pfd-4; the final DBRS rating was Pfd-4(high), but I’m taking it down a notch for reporting purposes because the lack of a rating makes me nervous.

Liquidity Distribution is:

MAPF Liquidity Analysis 2022-7-29
Average Daily Trading MAPF Weighting
<$50,000 52.5%
$50,000 – $100,000 29.5%
$100,000 – $200,000 18.7%
$200,000 – $300,000 0%
>$300,000 0%
Cash -0.6%
Totals will not add precisely due to rounding.

The distribution of Issue Reset Spreads is:

Range MAPF Weight
<100bp 0%
100-149bp 23.0%
150-199bp 29.8%
200-249bp 28.3%
250-299bp 6.8%
300-349bp 2.1%
350-399bp 3.8%
400-449bp 0%
450-499bp 0%
500-549bp 0%
550-599bp 0%
>= 600bp 0%
Undefined 6.1%

Distribution of Floating Rate Start Dates is shown in the table below. This is the date of the next adjustment to the dividend rate, if the issue is currently paying a fixed rate for a limited time; which in practice is successive terms of 5 years. Issues that adjust quarterly are considered “Currently Floating”.

Range MAPF Weight
Currently Floating 0%
0-1 Year 9.1%
1-2 Years 7.0%
2-3 Years 33.0%
3-4 Years 38.0%
4-5 Years 6.8%
5-6 Years 0%
>6 Years 0%
Not Floating Rate 6.1%

MAPF is, of course, Malachite Aggressive Preferred Fund, a “unit trust” managed by Hymas Investment Management Inc. Further information and links to performance, audited financials and subscription information are available the fund’s web page. The fund may be purchased directly from Hymas Investment Management. A “unit trust” is like a regular mutual fund, but are not sold with a prospectus. This is cheaper, but means subscription is restricted to “accredited investors” (as defined by the Ontario Securities Commission). Fund past performances are not a guarantee of future performance. You can lose money investing in MAPF or any other fund.

BIR.PR.A and BIR.PR.C To Be Redeemed

Friday, August 5th, 2022

Birchcliff Energy Ltd. has announced:

its intention to redeem all of its 2,000,000 issued and outstanding cumulative redeemable preferred shares, Series A (the “Series A Preferred Shares”) and all of its 1,528,219 issued and outstanding cumulative redeemable preferred shares, Series C (the “Series C Preferred Shares”) on September 30, 2022 (the “Redemption Date”) for a redemption price equal to $25.00 per share (the “Redemption Price”), less any tax required to be deducted or withheld by the Corporation. The aggregate Redemption Price payable by the Corporation to redeem the Series A and Series C Preferred Shares will be approximately $88.2 million. As September 30, 2022 is a federal statutory holiday in Canada, the aggregate Redemption Price will be paid by the Corporation to the sole registered holder of the Series A and Series C Preferred Shares on the next business day, being October 3, 2022.

In addition, the Corporation’s board of directors has declared a quarterly cash dividend of $0.527677 per Series A Preferred Share and $0.441096 per Series C Preferred Share, which dividends will be paid on October 3, 2022 to the holders of record at the close of business on September 15, 2022. The dividends have been designated as eligible dividends for the purposes of the Income Tax Act (Canada). These will be the final quarterly dividends on the Series A and Series C Preferred Shares and will be paid separately from the Redemption Price. Upon the payment of these dividends, there will be no accrued and unpaid dividends on the Series A or Series C Preferred Shares.

The Corporation has provided notice today of the Redemption Price and the Redemption Date to the sole registered holder of the Series A Preferred Shares and the Series C Preferred Shares in accordance with the terms of the shares as set out in the Corporation’s articles. Non-registered holders of Series A and Series C Preferred Shares should contact their broker or other intermediary for information regarding the redemption process for the Series A and Series C Preferred Shares in which they hold a beneficial interest. The Corporation’s transfer agent for the Series A and Series C Preferred Shares is Computershare Investor Services Inc. Questions regarding the redemption process may also be directed to Computershare Investor Services Inc. at 1-800-564-6253 or by email to corporateactions@computershare.com.

BIR.PR.A was issued as a FixedReset, 8.00%+683 that commenced trading 2012-8-8. It reset to 8.374% in 2017.

BIR.PR.C was issued as a seven-year retractible, 7.00%, that commenced trading in 2013.

Neither issue has been tracked by HIMIPref™. This company notice confirms their earlier, less official announcement.

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

August 5, 2022

Friday, August 5th, 2022

Holy smokes! Jobs, jobs, jobs!

U.S. employers added 528,000 jobs in July, the Labor Department said on Friday, an unexpectedly strong gain that shows the labor market is withstanding the economic impact of higher interest rates, at least so far.

The impressive performance — which brings total employment back to its level of February 2020, just before the pandemic lockdowns — provides new evidence that the United States has not entered a recession.

The unemployment rate was 3.5 percent, down from 3.6 percent in June, matching its 50-year low on the eve of the pandemic.

Wage growth climbed more quickly than economists had expected in July, concerning news for the Federal Reserve at a time when officials are watching for signs of a sustained moderation in pay gains that could help to pave the way to lower inflation.

Average hourly earnings climbed by 5.2 percent in the year through July, more than the 4.9 percent forecast in a Bloomberg survey of economists, and its growth was revised higher in June. Pay gains are still moderating slightly compared to very high readings earlier this year — they were up by 5.6 percent in March compared to a year earlier — but the pace of increase remains unusually rapid.

Meanwhile, in the frozen North:

Canadian employment fell for a second consecutive month in July, but the unemployment rate held steady at a historic low, a sign that labour market conditions remain tight.

Employers shed 31,000 positions last month, following a decline of 43,000 in June, Statistics Canada said in a report on Friday. Financial analysts on Bay Street were expecting a stronger return of 15,000 jobs added. Despite the decline, the unemployment rate remained at 4.9 per cent – the lowest in nearly five decades of comparable data – as fewer people sought work.

Friday’s report showed job losses that were highly concentrated. The number of public-sector employees fell by 51,000. Ontario shed about 27,000 workers. And the losses were entirely in service industries, such as wholesale and retail trade, health care and education.

Employers were recruiting for about one million positions in May, near all-time highs, according to the most recent Statscan figures. More recently, the volume of job listings on Indeed has faded, though is still substantially higher than before COVID-19.

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 1.3795 % 2,493.9
FixedFloater 0.00 % 0.00 % 0 0.00 0 1.3795 % 4,783.3
Floater 6.34 % 6.42 % 40,747 13.26 3 1.3795 % 2,756.6
OpRet 0.00 % 0.00 % 0 0.00 0 0.1678 % 3,469.6
SplitShare 4.90 % 5.80 % 39,266 3.09 8 0.1678 % 4,143.4
Interest-Bearing 0.00 % 0.00 % 0 0.00 0 0.1678 % 3,232.9
Perpetual-Premium 0.00 % 0.00 % 0 0.00 0 0.0501 % 2,879.3
Perpetual-Discount 5.92 % 6.05 % 72,895 13.83 34 0.0501 % 3,139.7
FixedReset Disc 4.76 % 5.85 % 115,915 14.24 55 -0.3443 % 2,480.3
Insurance Straight 5.87 % 6.00 % 81,678 13.88 18 -0.7882 % 3,062.9
FloatingReset 6.93 % 7.22 % 41,543 12.22 2 -0.2222 % 2,551.8
FixedReset Prem 5.01 % 4.69 % 126,116 1.88 10 0.1189 % 2,603.5
FixedReset Bank Non 0.00 % 0.00 % 0 0.00 0 -0.3443 % 2,535.4
FixedReset Ins Non 4.74 % 6.18 % 54,906 13.96 14 0.2547 % 2,575.1
Performance Highlights
Issue Index Change Notes
BAM.PR.Z FixedReset Disc -8.21 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-08-05
Maturity Price : 20.01
Evaluated at bid price : 20.01
Bid-YTW : 7.13 %
BMO.PR.W FixedReset Disc -6.91 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-08-05
Maturity Price : 20.22
Evaluated at bid price : 20.22
Bid-YTW : 5.91 %
TRP.PR.C FixedReset Disc -4.59 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-08-05
Maturity Price : 12.88
Evaluated at bid price : 12.88
Bid-YTW : 7.24 %
MFC.PR.K FixedReset Ins Non -4.11 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-08-05
Maturity Price : 19.85
Evaluated at bid price : 19.85
Bid-YTW : 6.24 %
MFC.PR.B Insurance Straight -3.30 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-08-05
Maturity Price : 20.20
Evaluated at bid price : 20.20
Bid-YTW : 5.85 %
FTS.PR.M FixedReset Disc -3.22 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-08-05
Maturity Price : 18.95
Evaluated at bid price : 18.95
Bid-YTW : 6.70 %
MFC.PR.C Insurance Straight -2.97 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-08-05
Maturity Price : 19.60
Evaluated at bid price : 19.60
Bid-YTW : 5.83 %
GWO.PR.Y Insurance Straight -2.26 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-08-05
Maturity Price : 19.45
Evaluated at bid price : 19.45
Bid-YTW : 5.87 %
RY.PR.S FixedReset Disc -1.88 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-08-05
Maturity Price : 23.13
Evaluated at bid price : 23.55
Bid-YTW : 5.35 %
FTS.PR.K FixedReset Disc -1.84 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-08-05
Maturity Price : 18.16
Evaluated at bid price : 18.16
Bid-YTW : 6.54 %
GWO.PR.R Insurance Straight -1.82 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-08-05
Maturity Price : 20.00
Evaluated at bid price : 20.00
Bid-YTW : 6.09 %
PWF.PR.P FixedReset Disc -1.79 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-08-05
Maturity Price : 13.75
Evaluated at bid price : 13.75
Bid-YTW : 6.91 %
SLF.PR.E Insurance Straight -1.72 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-08-05
Maturity Price : 20.05
Evaluated at bid price : 20.05
Bid-YTW : 5.69 %
CU.PR.G Perpetual-Discount -1.52 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-08-05
Maturity Price : 19.41
Evaluated at bid price : 19.41
Bid-YTW : 5.81 %
GWO.PR.I Insurance Straight -1.47 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-08-05
Maturity Price : 19.46
Evaluated at bid price : 19.46
Bid-YTW : 5.86 %
TD.PF.A FixedReset Disc -1.44 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-08-05
Maturity Price : 21.20
Evaluated at bid price : 21.20
Bid-YTW : 5.66 %
GWO.PR.H Insurance Straight -1.39 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-08-05
Maturity Price : 20.50
Evaluated at bid price : 20.50
Bid-YTW : 6.00 %
BAM.PR.T FixedReset Disc -1.36 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-08-05
Maturity Price : 16.62
Evaluated at bid price : 16.62
Bid-YTW : 7.08 %
RY.PR.O Perpetual-Discount -1.26 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-08-05
Maturity Price : 23.06
Evaluated at bid price : 23.50
Bid-YTW : 5.20 %
IFC.PR.K Perpetual-Discount -1.26 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-08-05
Maturity Price : 21.73
Evaluated at bid price : 22.02
Bid-YTW : 6.03 %
BAM.PF.A FixedReset Disc -1.18 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-08-05
Maturity Price : 21.00
Evaluated at bid price : 21.00
Bid-YTW : 6.71 %
MIC.PR.A Perpetual-Discount -1.16 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-08-05
Maturity Price : 21.25
Evaluated at bid price : 21.25
Bid-YTW : 6.45 %
TD.PF.C FixedReset Disc -1.15 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-08-05
Maturity Price : 21.27
Evaluated at bid price : 21.55
Bid-YTW : 5.58 %
GWO.PR.N FixedReset Ins Non -1.12 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-08-05
Maturity Price : 14.09
Evaluated at bid price : 14.09
Bid-YTW : 6.25 %
TRP.PR.B FixedReset Disc -1.11 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-08-05
Maturity Price : 12.46
Evaluated at bid price : 12.46
Bid-YTW : 7.17 %
PVS.PR.I SplitShare -1.01 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-10-31
Maturity Price : 25.00
Evaluated at bid price : 24.45
Bid-YTW : 5.80 %
MFC.PR.M FixedReset Ins Non 1.01 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-08-05
Maturity Price : 20.00
Evaluated at bid price : 20.00
Bid-YTW : 6.18 %
BAM.PF.F FixedReset Disc 1.01 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-08-05
Maturity Price : 18.99
Evaluated at bid price : 18.99
Bid-YTW : 7.12 %
CU.PR.E Perpetual-Discount 1.17 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-08-05
Maturity Price : 21.38
Evaluated at bid price : 21.65
Bid-YTW : 5.65 %
TD.PF.L FixedReset Prem 1.17 % YTW SCENARIO
Maturity Type : Call
Maturity Date : 2024-04-30
Maturity Price : 25.00
Evaluated at bid price : 25.10
Bid-YTW : 5.01 %
BAM.PF.E FixedReset Disc 1.17 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-08-05
Maturity Price : 17.25
Evaluated at bid price : 17.25
Bid-YTW : 7.22 %
NA.PR.G FixedReset Disc 1.25 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-08-05
Maturity Price : 23.87
Evaluated at bid price : 24.30
Bid-YTW : 5.59 %
CM.PR.O FixedReset Disc 1.38 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-08-05
Maturity Price : 21.59
Evaluated at bid price : 22.00
Bid-YTW : 5.52 %
GWO.PR.T Insurance Straight 1.40 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-08-05
Maturity Price : 21.70
Evaluated at bid price : 21.70
Bid-YTW : 6.02 %
BAM.PR.C Floater 1.48 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-08-05
Maturity Price : 13.00
Evaluated at bid price : 13.00
Bid-YTW : 6.42 %
BAM.PF.B FixedReset Disc 1.50 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-08-05
Maturity Price : 19.00
Evaluated at bid price : 19.00
Bid-YTW : 6.96 %
IFC.PR.A FixedReset Ins Non 1.51 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-08-05
Maturity Price : 18.80
Evaluated at bid price : 18.80
Bid-YTW : 5.90 %
CU.PR.C FixedReset Disc 1.53 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-08-05
Maturity Price : 21.59
Evaluated at bid price : 21.92
Bid-YTW : 5.83 %
SLF.PR.H FixedReset Ins Non 1.60 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-08-05
Maturity Price : 17.80
Evaluated at bid price : 17.80
Bid-YTW : 6.23 %
MFC.PR.N FixedReset Ins Non 1.66 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-08-05
Maturity Price : 19.62
Evaluated at bid price : 19.62
Bid-YTW : 6.18 %
CU.PR.J Perpetual-Discount 1.72 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-08-05
Maturity Price : 20.75
Evaluated at bid price : 20.75
Bid-YTW : 5.73 %
BAM.PR.K Floater 1.72 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-08-05
Maturity Price : 13.00
Evaluated at bid price : 13.00
Bid-YTW : 6.42 %
BAM.PR.X FixedReset Disc 1.79 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-08-05
Maturity Price : 17.65
Evaluated at bid price : 17.65
Bid-YTW : 6.51 %
PVS.PR.H SplitShare 2.13 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2027-02-28
Maturity Price : 25.00
Evaluated at bid price : 24.00
Bid-YTW : 5.94 %
PWF.PR.G Perpetual-Discount 2.33 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-08-05
Maturity Price : 23.93
Evaluated at bid price : 24.19
Bid-YTW : 6.14 %
MFC.PR.J FixedReset Ins Non 2.52 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-08-05
Maturity Price : 22.12
Evaluated at bid price : 22.78
Bid-YTW : 5.85 %
PWF.PR.T FixedReset Disc 2.58 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-08-05
Maturity Price : 19.45
Evaluated at bid price : 19.45
Bid-YTW : 6.46 %
Volume Highlights
Issue Index Shares
Traded
Notes
MFC.PR.F FixedReset Ins Non 205,200 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-08-05
Maturity Price : 14.50
Evaluated at bid price : 14.50
Bid-YTW : 6.43 %
BAM.PF.G FixedReset Disc 56,467 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-08-05
Maturity Price : 17.50
Evaluated at bid price : 17.50
Bid-YTW : 7.36 %
BAM.PF.E FixedReset Disc 54,934 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-08-05
Maturity Price : 17.25
Evaluated at bid price : 17.25
Bid-YTW : 7.22 %
GWO.PR.N FixedReset Ins Non 35,779 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-08-05
Maturity Price : 14.09
Evaluated at bid price : 14.09
Bid-YTW : 6.25 %
POW.PR.D Perpetual-Discount 31,200 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-08-05
Maturity Price : 21.00
Evaluated at bid price : 21.00
Bid-YTW : 6.02 %
TRP.PR.E FixedReset Disc 30,000 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-08-05
Maturity Price : 17.28
Evaluated at bid price : 17.28
Bid-YTW : 7.09 %
There were 13 other index-included issues trading in excess of 10,000 shares.
Wide Spread Highlights
Issue Index Quote Data and Yield Notes
BMO.PR.Y FixedReset Disc Quote: 21.10 – 25.00
Spot Rate : 3.9000
Average : 2.5269

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-08-05
Maturity Price : 21.10
Evaluated at bid price : 21.10
Bid-YTW : 5.91 %

CU.PR.J Perpetual-Discount Quote: 20.75 – 23.52
Spot Rate : 2.7700
Average : 1.7720

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-08-05
Maturity Price : 20.75
Evaluated at bid price : 20.75
Bid-YTW : 5.73 %

BAM.PR.Z FixedReset Disc Quote: 20.01 – 22.50
Spot Rate : 2.4900
Average : 1.5044

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-08-05
Maturity Price : 20.01
Evaluated at bid price : 20.01
Bid-YTW : 7.13 %

MFC.PR.M FixedReset Ins Non Quote: 20.00 – 22.00
Spot Rate : 2.0000
Average : 1.1774

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-08-05
Maturity Price : 20.00
Evaluated at bid price : 20.00
Bid-YTW : 6.18 %

BMO.PR.W FixedReset Disc Quote: 20.22 – 21.95
Spot Rate : 1.7300
Average : 1.1160

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-08-05
Maturity Price : 20.22
Evaluated at bid price : 20.22
Bid-YTW : 5.91 %

TRP.PR.C FixedReset Disc Quote: 12.88 – 14.47
Spot Rate : 1.5900
Average : 1.0458

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-08-05
Maturity Price : 12.88
Evaluated at bid price : 12.88
Bid-YTW : 7.24 %

August 4, 2022

Thursday, August 4th, 2022

The New York Fed released its Weekly Economic Index today, estimating annual Real GDP growth as of June 30, 2022, bumping along at +1.62%, but still positive!

Here are some cheerful words from the Bank of England:

The Bank of England’s Monetary Policy Committee (MPC) sets monetary policy to meet the 2% inflation target, and in a way that helps to sustain growth and employment. At its meeting ending on 3 August 2022, the MPC voted by a majority of 8-1 to increase Bank Rate by 0.5 percentage points, to 1.75%. One member preferred to increase Bank Rate by 0.25 percentage points, to 1.5%.

Inflationary pressures in the United Kingdom and the rest of Europe have intensified significantly since the May Monetary Policy Report and the MPC’s previous meeting. That largely reflects a near doubling in wholesale gas prices since May, owing to Russia’s restriction of gas supplies to Europe and the risk of further curbs. As this feeds through to retail energy prices, it will exacerbate the fall in real incomes for UK households and further increase UK CPI inflation in the near term. CPI inflation is expected to rise more than forecast in the May Report, from 9.4% in June to just over 13% in 2022 Q4, and to remain at very elevated levels throughout much of 2023, before falling to the 2% target two years ahead.

GDP growth in the United Kingdom is slowing. The latest rise in gas prices has led to another significant deterioration in the outlook for activity in the United Kingdom and the rest of Europe. The United Kingdom is now projected to enter recession from the fourth quarter of this year. Real household post-tax income is projected to fall sharply in 2022 and 2023, while consumption growth turns negative.

Domestic inflationary pressures are projected to remain strong over the first half of the forecast period. Firms generally report that they expect to increase their selling prices markedly, reflecting the sharp rises in their costs. The labour market has remained tight, with the unemployment rate at 3.8% in the three months to May and vacancies at historically high levels. As a result, and consistent with the latest Agents’ survey, underlying nominal wage growth is expected to be higher than in the May Report over the first half of the forecast period.

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 -0.3889 % 2,460.0
FixedFloater 0.00 % 0.00 % 0 0.00 0 -0.3889 % 4,718.2
Floater 6.42 % 6.51 % 38,783 13.14 3 -0.3889 % 2,719.1
OpRet 0.00 % 0.00 % 0 0.00 0 0.1991 % 3,463.8
SplitShare 4.91 % 5.74 % 39,394 3.10 8 0.1991 % 4,136.5
Interest-Bearing 0.00 % 0.00 % 0 0.00 0 0.1991 % 3,227.4
Perpetual-Premium 0.00 % 0.00 % 0 0.00 0 0.3260 % 2,877.8
Perpetual-Discount 5.92 % 6.07 % 70,892 13.81 34 0.3260 % 3,138.1
FixedReset Disc 4.74 % 5.85 % 118,049 14.24 55 -0.2452 % 2,488.9
Insurance Straight 5.83 % 5.92 % 82,938 13.95 18 0.4472 % 3,087.3
FloatingReset 6.91 % 7.15 % 42,014 12.31 2 0.6709 % 2,557.5
FixedReset Prem 5.01 % 4.47 % 126,694 1.89 10 -0.1069 % 2,600.4
FixedReset Bank Non 0.00 % 0.00 % 0 0.00 0 -0.2452 % 2,544.1
FixedReset Ins Non 4.75 % 6.18 % 55,878 13.83 14 1.4493 % 2,568.6
Performance Highlights
Issue Index Change Notes
TD.PF.D FixedReset Disc -8.92 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-08-04
Maturity Price : 19.80
Evaluated at bid price : 19.80
Bid-YTW : 6.43 %
BIP.PR.E FixedReset Disc -2.62 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-08-04
Maturity Price : 22.72
Evaluated at bid price : 23.38
Bid-YTW : 6.10 %
BAM.PF.B FixedReset Disc -2.25 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-08-04
Maturity Price : 18.72
Evaluated at bid price : 18.72
Bid-YTW : 7.06 %
NA.PR.G FixedReset Disc -2.24 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-08-04
Maturity Price : 23.54
Evaluated at bid price : 24.00
Bid-YTW : 5.65 %
BAM.PR.T FixedReset Disc -2.15 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-08-04
Maturity Price : 16.85
Evaluated at bid price : 16.85
Bid-YTW : 6.98 %
BMO.PR.Y FixedReset Disc -1.86 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-08-04
Maturity Price : 21.10
Evaluated at bid price : 21.10
Bid-YTW : 5.91 %
BAM.PR.K Floater -1.69 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-08-04
Maturity Price : 12.78
Evaluated at bid price : 12.78
Bid-YTW : 6.53 %
CU.PR.J Perpetual-Discount -1.69 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-08-04
Maturity Price : 20.40
Evaluated at bid price : 20.40
Bid-YTW : 5.83 %
NA.PR.E FixedReset Disc -1.56 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-08-04
Maturity Price : 22.69
Evaluated at bid price : 23.30
Bid-YTW : 5.62 %
CU.PR.H Perpetual-Discount -1.50 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-08-04
Maturity Price : 22.09
Evaluated at bid price : 22.33
Bid-YTW : 5.88 %
BAM.PF.E FixedReset Disc -1.45 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-08-04
Maturity Price : 17.05
Evaluated at bid price : 17.05
Bid-YTW : 7.31 %
GWO.PR.T Insurance Straight -1.38 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-08-04
Maturity Price : 21.40
Evaluated at bid price : 21.40
Bid-YTW : 6.10 %
BAM.PF.G FixedReset Disc -1.35 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-08-04
Maturity Price : 17.49
Evaluated at bid price : 17.49
Bid-YTW : 7.36 %
ELF.PR.H Perpetual-Discount -1.28 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-08-04
Maturity Price : 22.77
Evaluated at bid price : 23.05
Bid-YTW : 6.02 %
PWF.PF.A Perpetual-Discount -1.20 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-08-04
Maturity Price : 18.98
Evaluated at bid price : 18.98
Bid-YTW : 5.97 %
BIP.PR.A FixedReset Disc -1.17 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-08-04
Maturity Price : 19.45
Evaluated at bid price : 19.45
Bid-YTW : 7.55 %
PWF.PR.T FixedReset Disc -1.10 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-08-04
Maturity Price : 18.96
Evaluated at bid price : 18.96
Bid-YTW : 6.63 %
MFC.PR.C Insurance Straight 1.00 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-08-04
Maturity Price : 20.20
Evaluated at bid price : 20.20
Bid-YTW : 5.66 %
CU.PR.C FixedReset Disc 1.03 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-08-04
Maturity Price : 21.31
Evaluated at bid price : 21.59
Bid-YTW : 5.93 %
FTS.PR.K FixedReset Disc 1.09 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-08-04
Maturity Price : 18.50
Evaluated at bid price : 18.50
Bid-YTW : 6.42 %
FTS.PR.F Perpetual-Discount 1.10 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-08-04
Maturity Price : 21.86
Evaluated at bid price : 22.10
Bid-YTW : 5.63 %
TRP.PR.D FixedReset Disc 1.14 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-08-04
Maturity Price : 17.70
Evaluated at bid price : 17.70
Bid-YTW : 7.04 %
TRP.PR.A FixedReset Disc 1.21 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-08-04
Maturity Price : 15.95
Evaluated at bid price : 15.95
Bid-YTW : 7.01 %
FTS.PR.G FixedReset Disc 1.21 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-08-04
Maturity Price : 19.23
Evaluated at bid price : 19.23
Bid-YTW : 6.36 %
PVS.PR.G SplitShare 1.24 % YTW SCENARIO
Maturity Type : Option Certainty
Maturity Date : 2026-02-28
Maturity Price : 25.00
Evaluated at bid price : 24.55
Bid-YTW : 5.74 %
RY.PR.S FixedReset Disc 1.27 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-08-04
Maturity Price : 23.60
Evaluated at bid price : 24.00
Bid-YTW : 5.25 %
GWO.PR.Y Insurance Straight 1.27 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-08-04
Maturity Price : 19.90
Evaluated at bid price : 19.90
Bid-YTW : 5.73 %
IFC.PR.G FixedReset Ins Non 1.28 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-08-04
Maturity Price : 21.44
Evaluated at bid price : 21.44
Bid-YTW : 6.18 %
TRP.PR.F FloatingReset 1.30 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-08-04
Maturity Price : 16.36
Evaluated at bid price : 16.36
Bid-YTW : 7.15 %
POW.PR.G Perpetual-Discount 1.33 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-08-04
Maturity Price : 22.66
Evaluated at bid price : 22.90
Bid-YTW : 6.17 %
PWF.PR.E Perpetual-Discount 1.35 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-08-04
Maturity Price : 22.28
Evaluated at bid price : 22.55
Bid-YTW : 6.13 %
MFC.PR.N FixedReset Ins Non 1.42 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-08-04
Maturity Price : 19.30
Evaluated at bid price : 19.30
Bid-YTW : 6.28 %
CU.PR.G Perpetual-Discount 1.55 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-08-04
Maturity Price : 19.71
Evaluated at bid price : 19.71
Bid-YTW : 5.72 %
BAM.PF.C Perpetual-Discount 1.65 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-08-04
Maturity Price : 20.27
Evaluated at bid price : 20.27
Bid-YTW : 6.07 %
CU.PR.F Perpetual-Discount 1.69 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-08-04
Maturity Price : 19.85
Evaluated at bid price : 19.85
Bid-YTW : 5.68 %
SLF.PR.G FixedReset Ins Non 1.75 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-08-04
Maturity Price : 14.50
Evaluated at bid price : 14.50
Bid-YTW : 6.42 %
GWO.PR.P Insurance Straight 1.76 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-08-04
Maturity Price : 22.33
Evaluated at bid price : 22.60
Bid-YTW : 6.04 %
TRP.PR.C FixedReset Disc 1.81 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-08-04
Maturity Price : 13.50
Evaluated at bid price : 13.50
Bid-YTW : 6.93 %
FTS.PR.H FixedReset Disc 2.05 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-08-04
Maturity Price : 13.93
Evaluated at bid price : 13.93
Bid-YTW : 6.77 %
TRP.PR.G FixedReset Disc 2.22 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-08-04
Maturity Price : 18.90
Evaluated at bid price : 18.90
Bid-YTW : 6.89 %
FTS.PR.M FixedReset Disc 2.25 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-08-04
Maturity Price : 19.58
Evaluated at bid price : 19.58
Bid-YTW : 6.48 %
MFC.PR.F FixedReset Ins Non 2.33 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-08-04
Maturity Price : 14.48
Evaluated at bid price : 14.48
Bid-YTW : 6.43 %
MFC.PR.L FixedReset Ins Non 4.09 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-08-04
Maturity Price : 19.07
Evaluated at bid price : 19.07
Bid-YTW : 6.29 %
MFC.PR.M FixedReset Ins Non 4.16 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-08-04
Maturity Price : 19.80
Evaluated at bid price : 19.80
Bid-YTW : 6.24 %
IFC.PR.A FixedReset Ins Non 4.34 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-08-04
Maturity Price : 18.52
Evaluated at bid price : 18.52
Bid-YTW : 5.99 %
Volume Highlights
Issue Index Shares
Traded
Notes
MFC.PR.F FixedReset Ins Non 146,792 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-08-04
Maturity Price : 14.48
Evaluated at bid price : 14.48
Bid-YTW : 6.43 %
MFC.PR.J FixedReset Ins Non 47,681 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-08-04
Maturity Price : 21.77
Evaluated at bid price : 22.22
Bid-YTW : 6.01 %
IFC.PR.G FixedReset Ins Non 41,200 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-08-04
Maturity Price : 21.44
Evaluated at bid price : 21.44
Bid-YTW : 6.18 %
BAM.PF.G FixedReset Disc 40,100 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-08-04
Maturity Price : 17.49
Evaluated at bid price : 17.49
Bid-YTW : 7.36 %
BAM.PR.X FixedReset Disc 38,450 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-08-04
Maturity Price : 17.34
Evaluated at bid price : 17.34
Bid-YTW : 6.63 %
BAM.PF.E FixedReset Disc 37,322 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-08-04
Maturity Price : 17.05
Evaluated at bid price : 17.05
Bid-YTW : 7.31 %
There were 12 other index-included issues trading in excess of 10,000 shares.
Wide Spread Highlights
Issue Index Quote Data and Yield Notes
MFC.PR.L FixedReset Ins Non Quote: 19.07 – 24.00
Spot Rate : 4.9300
Average : 3.1106

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-08-04
Maturity Price : 19.07
Evaluated at bid price : 19.07
Bid-YTW : 6.29 %

TD.PF.D FixedReset Disc Quote: 19.80 – 22.22
Spot Rate : 2.4200
Average : 1.3971

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-08-04
Maturity Price : 19.80
Evaluated at bid price : 19.80
Bid-YTW : 6.43 %

BAM.PR.K Floater Quote: 12.78 – 14.40
Spot Rate : 1.6200
Average : 1.1434

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-08-04
Maturity Price : 12.78
Evaluated at bid price : 12.78
Bid-YTW : 6.53 %

NA.PR.W FixedReset Disc Quote: 21.40 – 22.50
Spot Rate : 1.1000
Average : 0.6878

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-08-04
Maturity Price : 21.40
Evaluated at bid price : 21.40
Bid-YTW : 5.61 %

TD.PF.B FixedReset Disc Quote: 21.49 – 22.60
Spot Rate : 1.1100
Average : 0.7016

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-08-04
Maturity Price : 21.49
Evaluated at bid price : 21.49
Bid-YTW : 5.64 %

MFC.PR.B Insurance Straight Quote: 20.89 – 22.00
Spot Rate : 1.1100
Average : 0.7317

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-08-04
Maturity Price : 20.89
Evaluated at bid price : 20.89
Bid-YTW : 5.65 %

BCE.PR.A / BCE.PR.B To Be Extended

Wednesday, August 3rd, 2022

BCE Inc. has announced (on July 14):

Holders of fixed-rate BCE Inc. Series AA Preferred Shares have the right to convert all or part of their shares, effective on September 1, 2022, on a one-for-one basis into floating-rate Cumulative Redeemable First Preferred Shares, Series AB of BCE Inc. (the “Series AB Preferred Shares”). In order to convert their shares, holders must exercise their right of conversion during the conversion period which runs from July 18, 2022 until 5:00 p.m. (Eastern time) on August 22, 2022.

As of September 1, 2022, the Series AA Preferred Shares, should they remain outstanding, will pay, on a quarterly basis, as and when declared by the Board of Directors of BCE Inc., a fixed cash dividend for the following five years that will be determined by BCE Inc. on August 8, 2022 but which shall not be less than 80% of the five-year Government of Canada Yield (as defined in BCE Inc.’s articles) compounded semiannually and computed on August 8, 2022 by two investment dealers appointed by BCE Inc. The annual dividend rate applicable to the Series AA Preferred Shares will be published on August 10, 2022 in the national edition of The Globe and Mail, the Montreal Gazette and Le Devoir and will be posted on BCE Inc.’s website at www.bce.ca.

BCE.PR.A is a FixedFloater that was issued with a 5.45% coupon in 2002 and reset to 4.80% in 2007; about half were converted to the RatchetRate BCE.PR.B.. It then reset to 3.45% in 2012 and there was a small net conversion back to the FixedFloater. It reset to 3.61% in 2017 and there was a 6% net conversion in the FixedFloater.

BCE.PR.B is a RatchetRate preferred that is interconvertible with BCE.PR.A every five years.

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

Possible ALA.PR.U Redemption

Wednesday, August 3rd, 2022

AltaGas Ltd. has announced:

that it is considering an offering of hybrid subordinated debt securities under its short form base shelf prospectus dated February 22, 2021.

If a successful offering is priced and completed, the Company intends to use the net proceeds of the offering to redeem or repurchase its outstanding cumulative redeemable five-year rate reset preferred shares, series C (TSX: ALA.PR.U). There is no certainty that AltaGas will ultimately complete the offering being considered or as to the timing or terms on which such an offering might be completed.

ALA.PR.U was issued as a FixedReset, US-Pay, 4.40%+358, that commenced trading 2012-6-6 after being announced 2012-5-29. It reset to 5.29% in 2017.

As this is a USD-denominated issue it is not tracked by HIMIPref™ and there will be no recommendation regarding converting or holding.

So, even the junk credits are jumping on the bond market bandwagon! One might think that the preferred share market is undervalued or something!

Update, 2022-8-4: AltaGas Ltd. has announced:

that it has priced an offering of $250 million of 7.35% Fixed-to-Fixed Rate Subordinated Notes, Series 2 due August 17, 2082 (the “Offering”).

The Offering is expected to close on or about August 17, 2022. The Company intends to use the net proceeds of the offering to redeem or repurchase its outstanding cumulative redeemable five-year rate reset preferred shares, series C (TSX: ALA.PR.U).

The subordinated notes are being offered through a syndicate of underwriters, co-led by BMO Capital Markets, RBC Capital Markets and Scotiabank, under AltaGas’ short form base shelf prospectus dated February 22, 2021, as supplemented by a prospectus supplement dated August 4, 2022.

August 3, 2022

Wednesday, August 3rd, 2022

TXPR closed at 617.59, up 1.01% on the day. Volume today was 1.28-million, about the median of the past 21 trading days.

CPD closed at 12.26, up 0.74% on the day. Volume was 51,390, near the median of the past 21 trading days.

ZPR closed at 10.25, up 0.79% on the day. Volume of 191,830 was above the median of the past 21 trading days.

Five-year Canada yields were up significantly to 2.83% today.

PerpetualDiscounts now yield 6.10%, equivalent to 7.93% interest at the standard equivalency factor of 1.3x. Long corporates continue to yield 4.84%, so the pre-tax interest-equivalent spread (in this context, the “Seniority Spread”) has narrowed to 310bp from the 320bp reported July 27.

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 0.8102 % 2,469.6
FixedFloater 0.00 % 0.00 % 0 0.00 0 0.8102 % 4,736.6
Floater 6.40 % 6.51 % 40,249 13.15 3 0.8102 % 2,729.7
OpRet 0.00 % 0.00 % 0 0.00 0 -0.2348 % 3,456.9
SplitShare 4.92 % 5.90 % 39,756 3.10 8 -0.2348 % 4,128.3
Interest-Bearing 0.00 % 0.00 % 0 0.00 0 -0.2348 % 3,221.0
Perpetual-Premium 0.00 % 0.00 % 0 0.00 0 -0.6557 % 2,868.5
Perpetual-Discount 5.94 % 6.10 % 73,680 13.79 34 -0.6557 % 3,127.9
FixedReset Disc 4.73 % 5.81 % 114,477 14.57 55 0.8535 % 2,495.0
Insurance Straight 5.85 % 5.96 % 83,247 13.93 18 0.2743 % 3,073.5
FloatingReset 6.96 % 7.25 % 42,215 12.20 2 1.1963 % 2,540.5
FixedReset Prem 5.01 % 4.60 % 127,736 1.89 10 0.2660 % 2,603.1
FixedReset Bank Non 0.00 % 0.00 % 0 0.00 0 0.8535 % 2,550.4
FixedReset Ins Non 4.82 % 6.25 % 56,150 13.79 14 1.0215 % 2,531.9
Performance Highlights
Issue Index Change Notes
RY.PR.S FixedReset Disc -3.07 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-08-03
Maturity Price : 23.29
Evaluated at bid price : 23.70
Bid-YTW : 5.31 %
PWF.PR.H Perpetual-Discount -2.11 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-08-03
Maturity Price : 22.93
Evaluated at bid price : 23.20
Bid-YTW : 6.23 %
PWF.PR.Z Perpetual-Discount -1.89 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-08-03
Maturity Price : 21.24
Evaluated at bid price : 21.24
Bid-YTW : 6.11 %
PWF.PR.F Perpetual-Discount -1.83 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-08-03
Maturity Price : 21.45
Evaluated at bid price : 21.45
Bid-YTW : 6.17 %
PWF.PR.O Perpetual-Discount -1.78 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-08-03
Maturity Price : 22.96
Evaluated at bid price : 23.23
Bid-YTW : 6.28 %
BIP.PR.F FixedReset Disc -1.67 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-08-03
Maturity Price : 23.05
Evaluated at bid price : 23.50
Bid-YTW : 5.97 %
PWF.PR.K Perpetual-Discount -1.63 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-08-03
Maturity Price : 20.46
Evaluated at bid price : 20.46
Bid-YTW : 6.10 %
BAM.PF.C Perpetual-Discount -1.53 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-08-03
Maturity Price : 19.94
Evaluated at bid price : 19.94
Bid-YTW : 6.17 %
POW.PR.C Perpetual-Discount -1.47 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-08-03
Maturity Price : 23.21
Evaluated at bid price : 23.51
Bid-YTW : 6.22 %
PWF.PR.E Perpetual-Discount -1.46 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-08-03
Maturity Price : 22.01
Evaluated at bid price : 22.25
Bid-YTW : 6.22 %
PWF.PR.G Perpetual-Discount -1.45 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-08-03
Maturity Price : 23.48
Evaluated at bid price : 23.75
Bid-YTW : 6.25 %
GWO.PR.S Insurance Straight -1.36 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-08-03
Maturity Price : 21.45
Evaluated at bid price : 21.75
Bid-YTW : 6.10 %
POW.PR.G Perpetual-Discount -1.35 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-08-03
Maturity Price : 22.33
Evaluated at bid price : 22.60
Bid-YTW : 6.25 %
PWF.PR.R Perpetual-Discount -1.28 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-08-03
Maturity Price : 22.08
Evaluated at bid price : 22.31
Bid-YTW : 6.20 %
POW.PR.B Perpetual-Discount -1.13 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-08-03
Maturity Price : 21.65
Evaluated at bid price : 21.90
Bid-YTW : 6.16 %
GWO.PR.P Insurance Straight -1.07 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-08-03
Maturity Price : 21.98
Evaluated at bid price : 22.21
Bid-YTW : 6.15 %
MFC.PR.I FixedReset Ins Non -1.05 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-08-03
Maturity Price : 22.51
Evaluated at bid price : 23.45
Bid-YTW : 5.96 %
PVS.PR.G SplitShare -1.02 % YTW SCENARIO
Maturity Type : Option Certainty
Maturity Date : 2026-02-28
Maturity Price : 25.00
Evaluated at bid price : 24.25
Bid-YTW : 6.12 %
SLF.PR.D Insurance Straight 1.01 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-08-03
Maturity Price : 19.95
Evaluated at bid price : 19.95
Bid-YTW : 5.65 %
GWO.PR.Y Insurance Straight 1.03 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-08-03
Maturity Price : 19.65
Evaluated at bid price : 19.65
Bid-YTW : 5.80 %
CU.PR.C FixedReset Disc 1.05 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-08-03
Maturity Price : 21.37
Evaluated at bid price : 21.37
Bid-YTW : 6.00 %
FTS.PR.M FixedReset Disc 1.06 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-08-03
Maturity Price : 19.15
Evaluated at bid price : 19.15
Bid-YTW : 6.62 %
TD.PF.B FixedReset Disc 1.08 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-08-03
Maturity Price : 21.31
Evaluated at bid price : 21.60
Bid-YTW : 5.60 %
CU.PR.I FixedReset Prem 1.08 % YTW SCENARIO
Maturity Type : Call
Maturity Date : 2025-12-01
Maturity Price : 25.00
Evaluated at bid price : 25.14
Bid-YTW : 4.23 %
FTS.PR.H FixedReset Disc 1.11 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-08-03
Maturity Price : 13.65
Evaluated at bid price : 13.65
Bid-YTW : 6.90 %
TRP.PR.F FloatingReset 1.13 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-08-03
Maturity Price : 16.15
Evaluated at bid price : 16.15
Bid-YTW : 7.25 %
PWF.PR.T FixedReset Disc 1.16 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-08-03
Maturity Price : 19.17
Evaluated at bid price : 19.17
Bid-YTW : 6.55 %
IAF.PR.I FixedReset Ins Non 1.23 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-08-03
Maturity Price : 23.21
Evaluated at bid price : 23.90
Bid-YTW : 5.69 %
SLF.PR.J FloatingReset 1.27 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-08-03
Maturity Price : 15.15
Evaluated at bid price : 15.15
Bid-YTW : 6.87 %
CU.PR.J Perpetual-Discount 1.29 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-08-03
Maturity Price : 20.75
Evaluated at bid price : 20.75
Bid-YTW : 5.73 %
ELF.PR.H Perpetual-Discount 1.30 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-08-03
Maturity Price : 23.09
Evaluated at bid price : 23.35
Bid-YTW : 5.94 %
TD.PF.A FixedReset Disc 1.41 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-08-03
Maturity Price : 21.24
Evaluated at bid price : 21.52
Bid-YTW : 5.56 %
SLF.PR.E Insurance Straight 1.45 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-08-03
Maturity Price : 20.29
Evaluated at bid price : 20.29
Bid-YTW : 5.62 %
BAM.PR.K Floater 1.56 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-08-03
Maturity Price : 13.00
Evaluated at bid price : 13.00
Bid-YTW : 6.41 %
CU.PR.G Perpetual-Discount 1.66 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-08-03
Maturity Price : 19.41
Evaluated at bid price : 19.41
Bid-YTW : 5.81 %
FTS.PR.K FixedReset Disc 1.67 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-08-03
Maturity Price : 18.30
Evaluated at bid price : 18.30
Bid-YTW : 6.49 %
CM.PR.O FixedReset Disc 1.67 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-08-03
Maturity Price : 21.52
Evaluated at bid price : 21.89
Bid-YTW : 5.55 %
MFC.PR.Q FixedReset Ins Non 1.70 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-08-03
Maturity Price : 21.51
Evaluated at bid price : 21.51
Bid-YTW : 6.16 %
CU.PR.H Perpetual-Discount 1.76 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-08-03
Maturity Price : 22.38
Evaluated at bid price : 22.67
Bid-YTW : 5.78 %
FTS.PR.G FixedReset Disc 1.88 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-08-03
Maturity Price : 19.00
Evaluated at bid price : 19.00
Bid-YTW : 6.43 %
CM.PR.P FixedReset Disc 1.96 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-08-03
Maturity Price : 21.45
Evaluated at bid price : 21.80
Bid-YTW : 5.49 %
BIP.PR.A FixedReset Disc 1.97 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-08-03
Maturity Price : 19.68
Evaluated at bid price : 19.68
Bid-YTW : 7.47 %
MFC.PR.K FixedReset Ins Non 1.99 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-08-03
Maturity Price : 20.50
Evaluated at bid price : 20.50
Bid-YTW : 6.04 %
TD.PF.E FixedReset Disc 2.00 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-08-03
Maturity Price : 21.52
Evaluated at bid price : 21.89
Bid-YTW : 5.86 %
BAM.PF.G FixedReset Disc 2.01 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-08-03
Maturity Price : 17.73
Evaluated at bid price : 17.73
Bid-YTW : 7.26 %
CM.PR.Q FixedReset Disc 2.11 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-08-03
Maturity Price : 21.41
Evaluated at bid price : 21.75
Bid-YTW : 5.81 %
TRP.PR.B FixedReset Disc 2.11 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-08-03
Maturity Price : 12.56
Evaluated at bid price : 12.56
Bid-YTW : 7.11 %
NA.PR.G FixedReset Disc 2.29 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-08-03
Maturity Price : 24.17
Evaluated at bid price : 24.55
Bid-YTW : 5.53 %
BMO.PR.W FixedReset Disc 2.35 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-08-03
Maturity Price : 21.42
Evaluated at bid price : 21.75
Bid-YTW : 5.48 %
TD.PF.C FixedReset Disc 2.36 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-08-03
Maturity Price : 21.38
Evaluated at bid price : 21.70
Bid-YTW : 5.54 %
TRP.PR.A FixedReset Disc 2.67 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-08-03
Maturity Price : 15.76
Evaluated at bid price : 15.76
Bid-YTW : 7.10 %
BAM.PR.T FixedReset Disc 2.74 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-08-03
Maturity Price : 17.22
Evaluated at bid price : 17.22
Bid-YTW : 6.83 %
IFC.PR.E Insurance Straight 2.92 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-08-03
Maturity Price : 21.98
Evaluated at bid price : 22.23
Bid-YTW : 5.92 %
TRP.PR.C FixedReset Disc 2.95 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-08-03
Maturity Price : 13.26
Evaluated at bid price : 13.26
Bid-YTW : 7.05 %
MFC.PR.N FixedReset Ins Non 3.20 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-08-03
Maturity Price : 19.03
Evaluated at bid price : 19.03
Bid-YTW : 6.36 %
PWF.PR.P FixedReset Disc 3.26 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-08-03
Maturity Price : 13.95
Evaluated at bid price : 13.95
Bid-YTW : 6.82 %
TRP.PR.E FixedReset Disc 3.26 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-08-03
Maturity Price : 17.41
Evaluated at bid price : 17.41
Bid-YTW : 7.03 %
BIP.PR.E FixedReset Disc 3.27 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-08-03
Maturity Price : 23.33
Evaluated at bid price : 24.01
Bid-YTW : 5.93 %
SLF.PR.G FixedReset Ins Non 3.56 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-08-03
Maturity Price : 14.25
Evaluated at bid price : 14.25
Bid-YTW : 6.53 %
SLF.PR.H FixedReset Ins Non 3.84 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-08-03
Maturity Price : 17.57
Evaluated at bid price : 17.57
Bid-YTW : 6.30 %
Volume Highlights
Issue Index Shares
Traded
Notes
BMO.PR.D FixedReset Disc 78,500 YTW SCENARIO
Maturity Type : Call
Maturity Date : 2022-09-24
Maturity Price : 25.00
Evaluated at bid price : 24.96
Bid-YTW : 3.69 %
BMO.PR.T FixedReset Disc 51,300 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-08-03
Maturity Price : 21.27
Evaluated at bid price : 21.55
Bid-YTW : 5.54 %
BAM.PR.X FixedReset Disc 44,400 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-08-03
Maturity Price : 17.27
Evaluated at bid price : 17.27
Bid-YTW : 6.65 %
MFC.PR.F FixedReset Ins Non 33,200 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-08-03
Maturity Price : 14.15
Evaluated at bid price : 14.15
Bid-YTW : 6.57 %
BAM.PF.G FixedReset Disc 30,900 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-08-03
Maturity Price : 17.73
Evaluated at bid price : 17.73
Bid-YTW : 7.26 %
PWF.PR.O Perpetual-Discount 22,328 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-08-03
Maturity Price : 22.96
Evaluated at bid price : 23.23
Bid-YTW : 6.28 %
There were 17 other index-included issues trading in excess of 10,000 shares.
Wide Spread Highlights
Issue Index Quote Data and Yield Notes
MIC.PR.A Perpetual-Discount Quote: 21.40 – 28.99
Spot Rate : 7.5900
Average : 4.5743

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-08-03
Maturity Price : 21.40
Evaluated at bid price : 21.40
Bid-YTW : 6.40 %

CU.PR.H Perpetual-Discount Quote: 22.67 – 25.10
Spot Rate : 2.4300
Average : 1.3591

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-08-03
Maturity Price : 22.38
Evaluated at bid price : 22.67
Bid-YTW : 5.78 %

BAM.PR.T FixedReset Disc Quote: 17.22 – 22.95
Spot Rate : 5.7300
Average : 4.8120

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-08-03
Maturity Price : 17.22
Evaluated at bid price : 17.22
Bid-YTW : 6.83 %

PWF.PF.A Perpetual-Discount Quote: 19.21 – 21.00
Spot Rate : 1.7900
Average : 1.2975

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-08-03
Maturity Price : 19.21
Evaluated at bid price : 19.21
Bid-YTW : 5.90 %

BAM.PR.C Floater Quote: 12.75 – 13.99
Spot Rate : 1.2400
Average : 0.7582

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-08-03
Maturity Price : 12.75
Evaluated at bid price : 12.75
Bid-YTW : 6.54 %

BAM.PF.F FixedReset Disc Quote: 18.80 – 20.00
Spot Rate : 1.2000
Average : 0.9654

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-08-03
Maturity Price : 18.80
Evaluated at bid price : 18.80
Bid-YTW : 7.19 %

MFC.PR.I To Be Extended

Tuesday, August 2nd, 2022

Manulife Financial Corporation has announced:

that it does not intend to exercise its right to redeem all or any of its currently outstanding 10,000,000 Non-cumulative Rate Reset Class 1 Shares Series 9 (the “Series 9 Preferred Shares”) (TSX: MFC.PR.I) on September 19, 2022. As a result, subject to certain conditions described in the prospectus supplement dated May 16, 2012 relating to the issuance of the Series 9 Preferred Shares (the “Prospectus”), the holders of the Series 9 Preferred Shares have the right, at their option, to convert all or part of their Series 9 Preferred Shares on a one-for-one basis into Non-cumulative Floating Rate Class 1 Shares Series 10 of Manulife (the “Series 10 Preferred Shares”) on September 19, 2022. A formal notice of the right to convert Series 9 Preferred Shares into Series 10 Preferred Shares will be sent to the registered holders of the Series 9 Preferred Shares in accordance with the share conditions of the Series 9 Preferred Shares. Holders of Series 9 Preferred Shares are not required to elect to convert all or any part of their Series 9 Preferred Shares into Series 10 Preferred Shares. Holders who do not exercise their right to convert their Series 9 Preferred Shares into Series 10 Preferred Shares on such date will retain their Series 9 Preferred Shares, unless automatically converted in accordance with the conditions below.

The foregoing conversion right is subject to the conditions that: (i) if, after September 2, 2022, Manulife determines that there would be less than 1,000,000 Series 9 Preferred Shares outstanding on September 19, 2022, then all remaining Series 9 Preferred Shares will automatically be converted into an equal number of Series 10 Preferred Shares on September 19, 2022, and (ii) alternatively, if, after September 2, 2022, Manulife determines that there would be less than 1,000,000 Series 10 Preferred Shares outstanding on September 19, 2022, then no Series 9 Preferred Shares will be converted into Series 10 Preferred Shares. In either case, Manulife will give written notice to that effect to any registered holders of Series 9 Preferred Shares affected by the preceding minimums on or before September 12, 2022.

The dividend rate applicable to the Series 9 Preferred Shares for the 5-year period commencing on September 20, 2022, and ending on September 19, 2027, and the dividend rate applicable to the Series 10 Preferred Shares for the 3-month period commencing on September 20, 2022, and ending on December 19, 2022, will be determined and announced by way of a news release on August 22, 2022. Manulife will also give written notice of these dividend rates to the registered holders of Series 9 Preferred Shares.

Beneficial owners of Series 9 Preferred Shares who wish to exercise their right of conversion should instruct their broker or other nominee to exercise such right before 5:00 p.m. (Toronto time) on September 2, 2022. Conversion inquiries should be directed to Manulife’s Registrar and Transfer Agent, TSX Trust Company, at 1‑800-783-9495.

Subject to certain conditions described in the Prospectus, Manulife may redeem the Series 9 Preferred Shares, in whole or in part, on September 19, 2027, and on September 19 every five years thereafter and may redeem the Series 10 Preferred Shares, in whole or in part, after September 19, 2022.

The Toronto Stock Exchange (“TSX”) has conditionally approved the listing of the Series 10 Preferred Shares effective upon conversion. Listing of the Series 10 Preferred Shares is subject to Manulife fulfilling all the listing requirements of the TSX and, upon approval, the Series 10 Preferred Shares will be listed on the TSX under the trading symbol “MFC.PR.S”.

MFC.PR.I was issued as a FixedReset, 4.40%+286, that commenced trading 2012-5-24 after being announced 2012-5-16. After the 2017 announcement the issue would be extended, the rate was reset to 4.35100% and I recommended against conversion; there was no conversion. It is tracked by HIMIPref™ and is included in the FixedReset (Discount) subindex.

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

ENB.PF.U To Reset at 5.8579%

Tuesday, August 2nd, 2022

Enbridge Inc. has announced:

that it does not intend to exercise its right to redeem its currently outstanding Cumulative Redeemable Preference Shares, Series L (Series L Shares) (TSX: ENB.PF.U) on September 1, 2022. As a result, subject to certain conditions, the holders of the Series L Shares have the right to convert all or part of their Series L Shares on a one-for-one basis into Cumulative Redeemable Preference Shares, Series M of Enbridge (Series M Shares) on September 1, 2022. Holders who do not exercise their right to convert their Series L Shares into Series M Shares will retain their Series L Shares.

The foregoing conversion right is subject to the conditions that: (i) if Enbridge determines that there would be less than 1,000,000 Series L Shares outstanding after September 1, 2022, then all remaining Series L Shares will automatically be converted into Series M Shares on a one-for-one basis on September 1, 2022; and (ii) alternatively, if Enbridge determines that there would be less than 1,000,000 Series M Shares outstanding after September 1, 2022, no Series L Shares will be converted into Series M Shares. There are currently 16,000,000 Series L Shares outstanding.

With respect to any Series L Shares that remain outstanding after September 1, 2022, holders thereof will be entitled to receive quarterly fixed cumulative preferential cash dividends, as and when declared by the Board of Directors of Enbridge. The new annual dividend rate applicable to the Series L Shares for the five-year period commencing on September 1, 2022 to, but excluding, September 1, 2027 will be 5.85790 percent, being equal to the five-year United States Government treasury bond yield of 2.70790 percent determined as of today plus 3.15 percent in accordance with the terms of the Series L Shares.

With respect to any Series M Shares that may be issued on September 1, 2022, holders thereof will be entitled to receive quarterly floating rate cumulative preferential cash dividends, as and when declared by the Board of Directors of Enbridge. The dividend rate applicable to the Series M Shares for the three-month floating rate period commencing on September 1, 2022 to, but excluding, December 1, 2022 will be 1.41611 percent, based on the annual rate on three month United States Government treasury bills for the most recent treasury bills auction of 2.53 percent plus 3.15 percent in accordance with the terms of the Series M Shares (the Floating Quarterly Dividend Rate). The Floating Quarterly Dividend Rate will be reset every quarter.

Beneficial holders of Series L Shares who wish to exercise their right of conversion during the conversion period, which runs from August 2, 2022 until 5:00 p.m. (EST) on August 17, 2022, should communicate as soon as possible with their broker or other intermediary for more information. It is recommended that this be done well in advance of the deadline in order to provide the broker or other intermediary time to complete the necessary steps. Any notices received after this deadline will not be valid.

As ENB.PF.U is a US-Pay issue, it is not tracked by HIMIPref™.

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

August 2, 2022

Tuesday, August 2nd, 2022

Excitement in the bond market today, which I have seen attributed to San Francisco Fed President Mary Daly’s remarks:

The Federal Reserve’s work of bringing down inflation is “nowhere near” almost done, San Francisco Fed President Mary Daly said on Tuesday, adding U.S. central bank officials are “still resolute and completely united” in the task of achieving price stability.

Daly, in an interview streamed on LinkedIn and hosted by a CNBC anchor, said, “We have made a good start, and I feel really pleased with where we’ve gotten to by this point,” but she cautioned there is still “a long way to go” to lower inflation from four-decade highs.

These remarks, in turn, have been attributed to correcting an earlier misinterpretation:

Look at this one-week range for the yield on 2-year US government bonds.

These are substantial moves for a short-dated maturity and caused primarily by Fed Chair Powell’s unscripted “neutral” remark and then the walk-back by other Fed officials.

No wonder people chuckled when told the Fed doesn’t wish to amplify volatility in markets.

And the confusion arose because:

One of Federal Reserve Chair Jerome Powell’s unscripted remarks at his press conference on Wednesday — that interest rates have reached a “neutral level” after the just-announced 75-basis-point interest-rate increase — is sure to prompt much discussion among economists in the weeks and months ahead. Judging from how markets reacted the minute he made this remark, it is clear what conclusions the vast majority of investors want these economists to reach.

In today’s world, this is translated by markets into the view that the Fed now believes that it has already done the bulk of what is needed to tighten monetary policy to deal with what Powell himself described as inflation that remains “much too high” and is inflicting “considerable hardship” on Americans.

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 -0.4164 % 2,449.7
FixedFloater 0.00 % 0.00 % 0 0.00 0 -0.4164 % 4,698.6
Floater 6.45 % 6.55 % 38,837 13.09 3 -0.4164 % 2,707.8
OpRet 0.00 % 0.00 % 0 0.00 0 0.4666 % 3,465.0
SplitShare 4.91 % 5.80 % 39,670 3.10 8 0.4666 % 4,138.0
Interest-Bearing 0.00 % 0.00 % 0 0.00 0 0.4666 % 3,228.6
Perpetual-Premium 0.00 % 0.00 % 0 0.00 0 0.1879 % 2,887.4
Perpetual-Discount 5.90 % 6.02 % 72,933 13.86 34 0.1879 % 3,148.6
FixedReset Disc 4.77 % 5.85 % 113,516 14.48 55 0.4544 % 2,473.9
Insurance Straight 5.87 % 5.99 % 83,646 13.90 18 0.0396 % 3,065.1
FloatingReset 7.04 % 7.33 % 42,131 12.10 2 -0.5786 % 2,510.5
FixedReset Prem 5.02 % 4.85 % 128,772 1.89 10 0.5188 % 2,596.2
FixedReset Bank Non 0.00 % 0.00 % 0 0.00 0 0.4544 % 2,528.8
FixedReset Ins Non 4.87 % 6.28 % 58,427 13.69 14 -1.4393 % 2,506.3
Performance Highlights
Issue Index Change Notes
MFC.PR.I FixedReset Ins Non -4.05 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-08-02
Maturity Price : 22.63
Evaluated at bid price : 23.70
Bid-YTW : 5.89 %
MFC.PR.N FixedReset Ins Non -3.15 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-08-02
Maturity Price : 18.44
Evaluated at bid price : 18.44
Bid-YTW : 6.56 %
BIP.PR.E FixedReset Disc -3.08 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-08-02
Maturity Price : 22.61
Evaluated at bid price : 23.25
Bid-YTW : 6.13 %
IAF.PR.I FixedReset Ins Non -2.20 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-08-02
Maturity Price : 22.93
Evaluated at bid price : 23.61
Bid-YTW : 5.76 %
MFC.PR.Q FixedReset Ins Non -1.86 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-08-02
Maturity Price : 21.15
Evaluated at bid price : 21.15
Bid-YTW : 6.26 %
BAM.PR.R FixedReset Disc -1.80 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-08-02
Maturity Price : 15.82
Evaluated at bid price : 15.82
Bid-YTW : 7.26 %
FTS.PR.H FixedReset Disc -1.60 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-08-02
Maturity Price : 13.50
Evaluated at bid price : 13.50
Bid-YTW : 6.97 %
SLF.PR.G FixedReset Ins Non -1.57 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-08-02
Maturity Price : 13.76
Evaluated at bid price : 13.76
Bid-YTW : 6.75 %
IFC.PR.A FixedReset Ins Non -1.45 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-08-02
Maturity Price : 17.64
Evaluated at bid price : 17.64
Bid-YTW : 6.29 %
CM.PR.Q FixedReset Disc -1.43 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-08-02
Maturity Price : 21.30
Evaluated at bid price : 21.30
Bid-YTW : 5.95 %
IFC.PR.E Insurance Straight -1.37 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-08-02
Maturity Price : 21.60
Evaluated at bid price : 21.60
Bid-YTW : 6.10 %
CM.PR.O FixedReset Disc -1.33 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-08-02
Maturity Price : 21.25
Evaluated at bid price : 21.53
Bid-YTW : 5.65 %
MIC.PR.A Perpetual-Discount -1.25 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-08-02
Maturity Price : 21.25
Evaluated at bid price : 21.25
Bid-YTW : 6.45 %
BMO.PR.W FixedReset Disc -1.12 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-08-02
Maturity Price : 21.25
Evaluated at bid price : 21.25
Bid-YTW : 5.63 %
BAM.PF.E FixedReset Disc -1.04 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-08-02
Maturity Price : 17.20
Evaluated at bid price : 17.20
Bid-YTW : 7.24 %
BAM.PF.G FixedReset Disc -1.03 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-08-02
Maturity Price : 17.38
Evaluated at bid price : 17.38
Bid-YTW : 7.40 %
BAM.PR.C Floater -1.01 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-08-02
Maturity Price : 12.72
Evaluated at bid price : 12.72
Bid-YTW : 6.56 %
PVS.PR.G SplitShare 1.03 % YTW SCENARIO
Maturity Type : Option Certainty
Maturity Date : 2026-02-28
Maturity Price : 25.00
Evaluated at bid price : 24.50
Bid-YTW : 5.80 %
BMO.PR.Y FixedReset Disc 1.08 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-08-02
Maturity Price : 21.50
Evaluated at bid price : 21.50
Bid-YTW : 5.80 %
BAM.PR.X FixedReset Disc 1.11 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-08-02
Maturity Price : 17.31
Evaluated at bid price : 17.31
Bid-YTW : 6.64 %
MFC.PR.C Insurance Straight 1.16 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-08-02
Maturity Price : 20.05
Evaluated at bid price : 20.05
Bid-YTW : 5.70 %
FTS.PR.J Perpetual-Discount 1.18 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-08-02
Maturity Price : 21.40
Evaluated at bid price : 21.40
Bid-YTW : 5.65 %
CU.PR.I FixedReset Prem 1.21 % YTW SCENARIO
Maturity Type : Call
Maturity Date : 2025-12-01
Maturity Price : 25.00
Evaluated at bid price : 25.15
Bid-YTW : 4.58 %
NA.PR.E FixedReset Disc 1.28 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-08-02
Maturity Price : 23.17
Evaluated at bid price : 23.80
Bid-YTW : 5.50 %
FTS.PR.G FixedReset Disc 1.30 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-08-02
Maturity Price : 18.65
Evaluated at bid price : 18.65
Bid-YTW : 6.55 %
RY.PR.H FixedReset Disc 1.31 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-08-02
Maturity Price : 21.33
Evaluated at bid price : 21.63
Bid-YTW : 5.54 %
TRP.PR.A FixedReset Disc 1.32 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-08-02
Maturity Price : 15.35
Evaluated at bid price : 15.35
Bid-YTW : 7.28 %
CM.PR.T FixedReset Prem 1.35 % YTW SCENARIO
Maturity Type : Call
Maturity Date : 2024-04-30
Maturity Price : 25.00
Evaluated at bid price : 25.44
Bid-YTW : 4.21 %
RY.PR.Z FixedReset Disc 1.42 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-08-02
Maturity Price : 21.50
Evaluated at bid price : 21.50
Bid-YTW : 5.57 %
CM.PR.S FixedReset Disc 1.47 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-08-02
Maturity Price : 23.31
Evaluated at bid price : 24.08
Bid-YTW : 5.31 %
BNS.PR.I FixedReset Disc 1.49 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-08-02
Maturity Price : 24.16
Evaluated at bid price : 24.51
Bid-YTW : 5.22 %
GWO.PR.Y Insurance Straight 1.51 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-08-02
Maturity Price : 19.45
Evaluated at bid price : 19.45
Bid-YTW : 5.86 %
BMO.PR.F FixedReset Prem 1.59 % YTW SCENARIO
Maturity Type : Call
Maturity Date : 2024-05-25
Maturity Price : 25.00
Evaluated at bid price : 25.50
Bid-YTW : 3.78 %
ELF.PR.F Perpetual-Discount 1.62 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-08-02
Maturity Price : 21.75
Evaluated at bid price : 22.00
Bid-YTW : 6.07 %
ELF.PR.H Perpetual-Discount 1.63 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-08-02
Maturity Price : 22.77
Evaluated at bid price : 23.05
Bid-YTW : 6.01 %
FTS.PR.F Perpetual-Discount 1.71 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-08-02
Maturity Price : 21.78
Evaluated at bid price : 22.02
Bid-YTW : 5.65 %
PVS.PR.I SplitShare 1.73 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-10-31
Maturity Price : 25.00
Evaluated at bid price : 24.67
Bid-YTW : 5.48 %
PVS.PR.K SplitShare 1.75 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2029-05-31
Maturity Price : 25.00
Evaluated at bid price : 23.20
Bid-YTW : 5.90 %
TRP.PR.D FixedReset Disc 1.76 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-08-02
Maturity Price : 17.35
Evaluated at bid price : 17.35
Bid-YTW : 7.18 %
BAM.PR.Z FixedReset Disc 1.92 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-08-02
Maturity Price : 21.49
Evaluated at bid price : 21.81
Bid-YTW : 6.51 %
PWF.PR.T FixedReset Disc 2.21 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-08-02
Maturity Price : 18.95
Evaluated at bid price : 18.95
Bid-YTW : 6.63 %
TRP.PR.G FixedReset Disc 2.27 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-08-02
Maturity Price : 18.51
Evaluated at bid price : 18.51
Bid-YTW : 7.02 %
BMO.PR.E FixedReset Disc 2.31 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-08-02
Maturity Price : 24.00
Evaluated at bid price : 24.40
Bid-YTW : 5.46 %
TRP.PR.B FixedReset Disc 2.50 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-08-02
Maturity Price : 12.30
Evaluated at bid price : 12.30
Bid-YTW : 7.25 %
FTS.PR.K FixedReset Disc 2.80 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-08-02
Maturity Price : 18.00
Evaluated at bid price : 18.00
Bid-YTW : 6.60 %
CU.PR.C FixedReset Disc 4.73 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-08-02
Maturity Price : 21.47
Evaluated at bid price : 21.47
Bid-YTW : 6.08 %
Volume Highlights
Issue Index Shares
Traded
Notes
CU.PR.C FixedReset Disc 164,494 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-08-02
Maturity Price : 21.47
Evaluated at bid price : 21.47
Bid-YTW : 6.08 %
BMO.PR.D FixedReset Disc 41,618 YTW SCENARIO
Maturity Type : Call
Maturity Date : 2022-09-24
Maturity Price : 25.00
Evaluated at bid price : 24.96
Bid-YTW : 3.62 %
MFC.PR.I FixedReset Ins Non 39,600 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-08-02
Maturity Price : 22.63
Evaluated at bid price : 23.70
Bid-YTW : 5.89 %
PWF.PR.T FixedReset Disc 26,600 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-08-02
Maturity Price : 18.95
Evaluated at bid price : 18.95
Bid-YTW : 6.63 %
BMO.PR.W FixedReset Disc 24,949 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-08-02
Maturity Price : 21.25
Evaluated at bid price : 21.25
Bid-YTW : 5.63 %
RY.PR.J FixedReset Disc 19,700 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-08-02
Maturity Price : 21.59
Evaluated at bid price : 22.00
Bid-YTW : 5.75 %
There were 12 other index-included issues trading in excess of 10,000 shares.
Wide Spread Highlights
Issue Index Quote Data and Yield Notes
BAM.PR.T FixedReset Disc Quote: 16.76 – 22.95
Spot Rate : 6.1900
Average : 3.8054

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-08-02
Maturity Price : 16.76
Evaluated at bid price : 16.76
Bid-YTW : 7.02 %

BAM.PF.G FixedReset Disc Quote: 17.38 – 20.95
Spot Rate : 3.5700
Average : 2.2259

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-08-02
Maturity Price : 17.38
Evaluated at bid price : 17.38
Bid-YTW : 7.40 %

CM.PR.P FixedReset Disc Quote: 21.38 – 22.88
Spot Rate : 1.5000
Average : 0.9701

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-08-02
Maturity Price : 21.38
Evaluated at bid price : 21.38
Bid-YTW : 5.62 %

IFC.PR.G FixedReset Ins Non Quote: 21.10 – 22.65
Spot Rate : 1.5500
Average : 1.1041

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-08-02
Maturity Price : 21.10
Evaluated at bid price : 21.10
Bid-YTW : 6.28 %

MFC.PR.N FixedReset Ins Non Quote: 18.44 – 19.76
Spot Rate : 1.3200
Average : 0.8744

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-08-02
Maturity Price : 18.44
Evaluated at bid price : 18.44
Bid-YTW : 6.56 %

EIT.PR.A SplitShare Quote: 25.11 – 26.11
Spot Rate : 1.0000
Average : 0.5790

YTW SCENARIO
Maturity Type : Soft Maturity
Maturity Date : 2024-03-14
Maturity Price : 25.00
Evaluated at bid price : 25.11
Bid-YTW : 4.95 %