Archive for May, 2024

May 24, 2024

Friday, May 24th, 2024
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 -1.2448 % 2,272.6
FixedFloater 0.00 % 0.00 % 0 0.00 0 -1.2448 % 4,358.8
Floater 10.59 % 10.91 % 61,939 8.78 1 -1.2448 % 2,512.0
OpRet 0.00 % 0.00 % 0 0.00 0 -0.0415 % 3,445.2
SplitShare 4.88 % 7.00 % 33,698 1.38 8 -0.0415 % 4,114.3
Interest-Bearing 0.00 % 0.00 % 0 0.00 0 -0.0415 % 3,210.2
Perpetual-Premium 0.00 % 0.00 % 0 0.00 0 0.3837 % 2,699.0
Perpetual-Discount 6.36 % 6.52 % 50,994 13.14 27 0.3837 % 2,943.1
FixedReset Disc 5.24 % 7.27 % 125,440 12.22 56 0.2935 % 2,586.1
Insurance Straight 6.25 % 6.43 % 56,879 13.23 21 -0.0619 % 2,903.8
FloatingReset 8.99 % 9.14 % 25,758 10.17 2 -0.9852 % 2,827.0
FixedReset Prem 6.92 % 6.41 % 211,077 3.07 2 0.3551 % 2,532.7
FixedReset Bank Non 0.00 % 0.00 % 0 0.00 0 0.2935 % 2,643.5
FixedReset Ins Non 5.05 % 6.89 % 88,885 13.12 14 0.7563 % 2,816.3
Performance Highlights
Issue Index Change Notes
TD.PF.J FixedReset Disc -3.69 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-05-24
Maturity Price : 22.62
Evaluated at bid price : 23.50
Bid-YTW : 6.65 %
SLF.PR.J FloatingReset -1.96 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-05-24
Maturity Price : 17.50
Evaluated at bid price : 17.50
Bid-YTW : 9.32 %
SLF.PR.H FixedReset Ins Non -1.44 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-05-24
Maturity Price : 19.81
Evaluated at bid price : 19.81
Bid-YTW : 6.91 %
BN.PF.J FixedReset Disc -1.28 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-05-24
Maturity Price : 21.97
Evaluated at bid price : 22.36
Bid-YTW : 7.55 %
BN.PR.B Floater -1.24 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-05-24
Maturity Price : 11.90
Evaluated at bid price : 11.90
Bid-YTW : 10.91 %
GWO.PR.P Insurance Straight -1.04 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-05-24
Maturity Price : 20.90
Evaluated at bid price : 20.90
Bid-YTW : 6.59 %
BN.PR.T FixedReset Disc 1.03 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-05-24
Maturity Price : 16.69
Evaluated at bid price : 16.69
Bid-YTW : 8.43 %
BN.PR.Z FixedReset Disc 1.03 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-05-24
Maturity Price : 20.50
Evaluated at bid price : 20.50
Bid-YTW : 8.08 %
TD.PF.A FixedReset Disc 1.15 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-05-24
Maturity Price : 22.99
Evaluated at bid price : 23.80
Bid-YTW : 6.15 %
BIP.PR.E FixedReset Disc 1.15 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-05-24
Maturity Price : 21.69
Evaluated at bid price : 22.00
Bid-YTW : 7.72 %
CU.PR.D Perpetual-Discount 1.16 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-05-24
Maturity Price : 19.20
Evaluated at bid price : 19.20
Bid-YTW : 6.42 %
BN.PR.N Perpetual-Discount 1.19 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-05-24
Maturity Price : 17.82
Evaluated at bid price : 17.82
Bid-YTW : 6.80 %
PWF.PR.O Perpetual-Discount 1.21 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-05-24
Maturity Price : 22.29
Evaluated at bid price : 22.56
Bid-YTW : 6.50 %
MFC.PR.I FixedReset Ins Non 1.25 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-05-24
Maturity Price : 23.08
Evaluated at bid price : 24.35
Bid-YTW : 6.54 %
CU.PR.C FixedReset Disc 1.25 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-05-24
Maturity Price : 20.25
Evaluated at bid price : 20.25
Bid-YTW : 7.32 %
FFH.PR.I FixedReset Disc 1.25 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-05-24
Maturity Price : 18.58
Evaluated at bid price : 18.58
Bid-YTW : 8.41 %
TD.PF.D FixedReset Disc 1.32 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-05-24
Maturity Price : 22.57
Evaluated at bid price : 23.05
Bid-YTW : 6.74 %
PWF.PR.S Perpetual-Discount 1.41 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-05-24
Maturity Price : 18.70
Evaluated at bid price : 18.70
Bid-YTW : 6.50 %
BN.PF.F FixedReset Disc 1.42 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-05-24
Maturity Price : 20.66
Evaluated at bid price : 20.66
Bid-YTW : 8.00 %
MFC.PR.K FixedReset Ins Non 1.43 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-05-24
Maturity Price : 22.54
Evaluated at bid price : 23.40
Bid-YTW : 6.39 %
BN.PR.R FixedReset Disc 1.58 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-05-24
Maturity Price : 16.74
Evaluated at bid price : 16.74
Bid-YTW : 8.42 %
PWF.PR.P FixedReset Disc 1.58 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-05-24
Maturity Price : 15.42
Evaluated at bid price : 15.42
Bid-YTW : 7.91 %
MFC.PR.Q FixedReset Ins Non 2.40 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-05-24
Maturity Price : 22.58
Evaluated at bid price : 23.45
Bid-YTW : 6.52 %
IFC.PR.A FixedReset Ins Non 4.09 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-05-24
Maturity Price : 19.36
Evaluated at bid price : 19.36
Bid-YTW : 6.91 %
Volume Highlights
Issue Index Shares
Traded
Notes
CM.PR.S FixedReset Disc 111,080 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-05-24
Maturity Price : 23.80
Evaluated at bid price : 23.80
Bid-YTW : 6.44 %
FTS.PR.H FixedReset Disc 31,300 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-05-24
Maturity Price : 15.13
Evaluated at bid price : 15.13
Bid-YTW : 8.16 %
RY.PR.S FixedReset Disc 27,861 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-05-24
Maturity Price : 23.02
Evaluated at bid price : 24.55
Bid-YTW : 6.08 %
CU.PR.I FixedReset Disc 26,300 YTW SCENARIO
Maturity Type : Call
Maturity Date : 2025-12-01
Maturity Price : 25.00
Evaluated at bid price : 23.97
Bid-YTW : 7.38 %
BMO.PR.E FixedReset Disc 21,700 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-05-24
Maturity Price : 23.30
Evaluated at bid price : 25.31
Bid-YTW : 6.35 %
BMO.PR.T FixedReset Disc 16,254 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-05-24
Maturity Price : 23.28
Evaluated at bid price : 24.25
Bid-YTW : 6.08 %
There were 6 other index-included issues trading in excess of 10,000 shares.
Wide Spread Highlights
Issue Index Quote Data and Yield Notes
GWO.PR.S Insurance Straight Quote: 20.58 – 22.48
Spot Rate : 1.9000
Average : 1.0866

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-05-24
Maturity Price : 20.58
Evaluated at bid price : 20.58
Bid-YTW : 6.50 %

TD.PF.J FixedReset Disc Quote: 23.50 – 24.65
Spot Rate : 1.1500
Average : 0.7140

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-05-24
Maturity Price : 22.62
Evaluated at bid price : 23.50
Bid-YTW : 6.65 %

IFC.PR.K Insurance Straight Quote: 20.85 – 22.00
Spot Rate : 1.1500
Average : 0.7901

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-05-24
Maturity Price : 20.85
Evaluated at bid price : 20.85
Bid-YTW : 6.41 %

MFC.PR.M FixedReset Ins Non Quote: 21.30 – 23.50
Spot Rate : 2.2000
Average : 1.8553

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-05-24
Maturity Price : 21.30
Evaluated at bid price : 21.30
Bid-YTW : 7.04 %

BMO.PR.W FixedReset Disc Quote: 23.59 – 24.24
Spot Rate : 0.6500
Average : 0.4497

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-05-24
Maturity Price : 22.84
Evaluated at bid price : 23.59
Bid-YTW : 6.20 %

RY.PR.J FixedReset Disc Quote: 23.53 – 24.40
Spot Rate : 0.8700
Average : 0.6840

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-05-24
Maturity Price : 22.97
Evaluated at bid price : 23.53
Bid-YTW : 6.64 %

May 23, 2024

Thursday, May 23rd, 2024

TXPR closed at 599.43, up 0.92% on the day after setting a new 52-week high. Volume today was 1.92-million, below the median of the past 21 trading days.

CPD closed at 11.84, up 0.51% on the day. Volume was 158,970, highest of the past 21 trading days.

ZPR closed at 10.30, up 1.08% on the day. Volume was 151,060, above the median of the past 21 trading days.

Five-year Canada yields were up to 3.72%.

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 -0.5776 % 2,301.2
FixedFloater 0.00 % 0.00 % 0 0.00 0 -0.5776 % 4,413.8
Floater 10.46 % 10.76 % 61,087 8.89 1 -0.5776 % 2,543.7
OpRet 0.00 % 0.00 % 0 0.00 0 -0.0674 % 3,446.7
SplitShare 4.88 % 6.99 % 35,084 1.38 8 -0.0674 % 4,116.0
Interest-Bearing 0.00 % 0.00 % 0 0.00 0 -0.0674 % 3,211.5
Perpetual-Premium 0.00 % 0.00 % 0 0.00 0 0.2552 % 2,688.7
Perpetual-Discount 6.38 % 6.55 % 51,341 13.12 27 0.2552 % 2,931.9
FixedReset Disc 5.22 % 7.12 % 131,595 12.25 57 0.3232 % 2,578.6
Insurance Straight 6.24 % 6.43 % 56,660 13.24 21 0.4566 % 2,905.6
FloatingReset 8.90 % 9.12 % 26,788 10.20 2 1.2469 % 2,855.1
FixedReset Prem 6.95 % 6.57 % 213,794 3.07 2 0.2770 % 2,523.7
FixedReset Bank Non 0.00 % 0.00 % 0 0.00 0 0.3232 % 2,635.8
FixedReset Ins Non 5.08 % 6.81 % 88,989 13.03 14 -0.0587 % 2,795.1
Performance Highlights
Issue Index Change Notes
IFC.PR.A FixedReset Ins Non -2.87 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-05-23
Maturity Price : 18.60
Evaluated at bid price : 18.60
Bid-YTW : 7.20 %
MFC.PR.F FixedReset Ins Non -1.35 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-05-23
Maturity Price : 16.80
Evaluated at bid price : 16.80
Bid-YTW : 7.04 %
TD.PF.D FixedReset Disc -1.13 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-05-23
Maturity Price : 22.31
Evaluated at bid price : 22.75
Bid-YTW : 6.83 %
CM.PR.P FixedReset Disc 1.00 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-05-23
Maturity Price : 22.32
Evaluated at bid price : 23.13
Bid-YTW : 6.30 %
CM.PR.S FixedReset Disc 1.02 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-05-23
Maturity Price : 23.80
Evaluated at bid price : 23.80
Bid-YTW : 6.44 %
NA.PR.E FixedReset Disc 1.06 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-05-23
Maturity Price : 22.74
Evaluated at bid price : 23.75
Bid-YTW : 6.47 %
BN.PF.J FixedReset Disc 1.21 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-05-23
Maturity Price : 22.16
Evaluated at bid price : 22.65
Bid-YTW : 7.45 %
TD.PF.J FixedReset Disc 1.24 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-05-23
Maturity Price : 23.03
Evaluated at bid price : 24.40
Bid-YTW : 6.38 %
MFC.PR.I FixedReset Ins Non 1.26 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-05-23
Maturity Price : 22.95
Evaluated at bid price : 24.05
Bid-YTW : 6.63 %
RY.PR.S FixedReset Disc 1.29 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-05-23
Maturity Price : 22.94
Evaluated at bid price : 24.35
Bid-YTW : 6.13 %
RY.PR.M FixedReset Disc 1.32 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-05-23
Maturity Price : 22.59
Evaluated at bid price : 23.00
Bid-YTW : 6.53 %
FFH.PR.D FloatingReset 1.47 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-05-23
Maturity Price : 22.47
Evaluated at bid price : 22.75
Bid-YTW : 9.12 %
SLF.PR.H FixedReset Ins Non 1.52 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-05-23
Maturity Price : 20.10
Evaluated at bid price : 20.10
Bid-YTW : 6.81 %
BN.PR.M Perpetual-Discount 1.72 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-05-23
Maturity Price : 17.70
Evaluated at bid price : 17.70
Bid-YTW : 6.84 %
POW.PR.D Perpetual-Discount 1.92 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-05-23
Maturity Price : 19.65
Evaluated at bid price : 19.65
Bid-YTW : 6.46 %
RY.PR.N Perpetual-Discount 2.18 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-05-23
Maturity Price : 22.74
Evaluated at bid price : 23.00
Bid-YTW : 5.34 %
CCS.PR.C Insurance Straight 2.95 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-05-23
Maturity Price : 19.56
Evaluated at bid price : 19.56
Bid-YTW : 6.51 %
BN.PR.Z FixedReset Disc 4.86 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-05-23
Maturity Price : 20.29
Evaluated at bid price : 20.29
Bid-YTW : 8.16 %
IFC.PR.I Insurance Straight 5.47 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-05-23
Maturity Price : 21.60
Evaluated at bid price : 21.60
Bid-YTW : 6.37 %
Volume Highlights
Issue Index Shares
Traded
Notes
RY.PR.H FixedReset Disc 94,941 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-05-23
Maturity Price : 23.51
Evaluated at bid price : 24.45
Bid-YTW : 6.05 %
RY.PR.J FixedReset Disc 86,719 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-05-23
Maturity Price : 22.76
Evaluated at bid price : 23.30
Bid-YTW : 6.70 %
MFC.PR.Q FixedReset Ins Non 72,289 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-05-23
Maturity Price : 22.28
Evaluated at bid price : 22.90
Bid-YTW : 6.69 %
CM.PR.O FixedReset Disc 36,210 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-05-23
Maturity Price : 23.00
Evaluated at bid price : 24.05
Bid-YTW : 6.20 %
MFC.PR.M FixedReset Ins Non 32,141 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-05-23
Maturity Price : 21.20
Evaluated at bid price : 21.20
Bid-YTW : 7.07 %
BIP.PR.A FixedReset Disc 30,500 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-05-23
Maturity Price : 20.93
Evaluated at bid price : 20.93
Bid-YTW : 8.49 %
There were 27 other index-included issues trading in excess of 10,000 shares.
Wide Spread Highlights
Issue Index Quote Data and Yield Notes
MFC.PR.M FixedReset Ins Non Quote: 21.20 – 23.50
Spot Rate : 2.3000
Average : 1.4774

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-05-23
Maturity Price : 21.20
Evaluated at bid price : 21.20
Bid-YTW : 7.07 %

MFC.PR.C Insurance Straight Quote: 18.58 – 19.50
Spot Rate : 0.9200
Average : 0.5666

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-05-23
Maturity Price : 18.58
Evaluated at bid price : 18.58
Bid-YTW : 6.07 %

GWO.PR.N FixedReset Ins Non Quote: 14.75 – 15.55
Spot Rate : 0.8000
Average : 0.4907

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-05-23
Maturity Price : 14.75
Evaluated at bid price : 14.75
Bid-YTW : 7.82 %

BN.PF.J FixedReset Disc Quote: 22.65 – 23.60
Spot Rate : 0.9500
Average : 0.6413

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-05-23
Maturity Price : 22.16
Evaluated at bid price : 22.65
Bid-YTW : 7.45 %

SLF.PR.H FixedReset Ins Non Quote: 20.10 – 21.15
Spot Rate : 1.0500
Average : 0.7470

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-05-23
Maturity Price : 20.10
Evaluated at bid price : 20.10
Bid-YTW : 6.81 %

TD.PF.D FixedReset Disc Quote: 22.75 – 24.00
Spot Rate : 1.2500
Average : 0.9491

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-05-23
Maturity Price : 22.31
Evaluated at bid price : 22.75
Bid-YTW : 6.83 %

May 22, 2024

Wednesday, May 22nd, 2024

So it seems that money managers aren’t the only ones who appreciate the benefits of lying to their clients with the opacity of private equity valuations: large institutional investors want to get in on the action too:

Speaking at a panel discussion held by the Ontario Securities Commission debating the question “do public markets matter any more?” Mr. Flatt said public and private markets are symbiotic and that Brookfield operates in both. However, he also predicted that within the next 10 years, more than 30 institutional investors around the world – each with more than US$1-trillion in assets – will prefer private markets.

“They have to have things in the public markets, but the sums are so vast that they don’t want the distractions of the public markets on a day-to-day basis for all their capital, they just want to buy businesses,” Mr. Flatt said. “Public markets is just the ownership of a fractionalization of a business, but most people get confused because they think it is a casino.”

“That is why the private markets continue to grow, because these large funds have US$200-billion or US$500-billion or a trillion or two trillion, don’t want to have the distractions of the public markets for everything they own in their portfolio and be at the vagaries of the markets that go up and down on a daily basis,” he said.

Distractions? Distractions to whom? An actual investor will see opportunity in the chaos, distinguishing fundamental risk from emotion-driven price risk and profitting from the gaps.

By the size of the Assets Under Management that Mr. Flatt mentioned, it’s pretty clear that by “institutional investors” he means “Sovereign Wealth Funds”; and here I want to point out that there are two kinds of investment shops operating under the “single captive client” regime that I think is so superior (in general) to the alternatives.

The first kind does all their investment management in-house. The second kind farms out their investment management to third party firms. My admiration extends only to the former group; with the latter group, what you actually get is not performance driven management from people who know what they’re doing – the farming-out consists of one set of salesmen talking to another set of salesmen about things they don’t understand and writing each other cheques. There are a lot of firms who do some of both, of course; but Sovereign Wealth Funds, especially those who consider nepotism and cronyism as integral elements of Human Resource management, will not send their top guys to negotiate and monitor third party management.

[Law professor at Boston College Renee] Jones said public markets are shrinking and private markets are growing very rapidly, and the biggest concern that raises is about transparency.

“We are seeing more instances of mismanagement and misconduct and even fraud at these unicorns,” she said, using the term for private companies valued at more than US$1-billion. “That doesn’t just impact investors – it also impacts employees and even broader society.”

Indeed. I’m eagerly awaiting a massive report on the Thames Water fiasco and those of us with long memories will think back to the Alberta Heritage Fund, or whatever it was called, and its habit of recording spending on hospitals and their equipment as an investment and keeping it on the balance sheet. My God, imagine what they would have done with private equity!

PerpetualDiscounts now yield 6.55%, equivalent to 8.52% interest at the standard equivalency factor of 1.3x. Long corporates yielded 5.19% on 2024-5-10 and since then the closing price of ZLC has changed from 14.76 to 14.94, an increase of 122bp in price, implying a decrease of yields of 10bp (BMO reports a duration of 12.32, but don’t disclose whether this is Macaulay or Modified; I will assume Modified) to 5.09%. Therefore, the pre-tax interest-equivalent spread (in this context, the “Seniority Spread”) has widened to 345bp from the 335bp reported May 15.

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 -0.7371 % 2,314.6
FixedFloater 0.00 % 0.00 % 0 0.00 0 -0.7371 % 4,439.4
Floater 10.40 % 10.70 % 60,595 8.94 1 -0.7371 % 2,558.5
OpRet 0.00 % 0.00 % 0 0.00 0 -0.1295 % 3,449.0
SplitShare 4.88 % 6.56 % 33,872 1.38 8 -0.1295 % 4,118.8
Interest-Bearing 0.00 % 0.00 % 0 0.00 0 -0.1295 % 3,213.7
Perpetual-Premium 0.00 % 0.00 % 0 0.00 0 -0.3373 % 2,681.8
Perpetual-Discount 6.40 % 6.55 % 51,634 13.10 27 -0.3373 % 2,924.4
FixedReset Disc 5.24 % 7.06 % 127,226 12.25 57 -0.2331 % 2,570.2
Insurance Straight 6.27 % 6.43 % 55,832 13.23 21 -0.5398 % 2,892.4
FloatingReset 9.01 % 9.25 % 26,512 10.08 2 -0.6934 % 2,819.9
FixedReset Prem 6.96 % 6.61 % 211,845 3.07 2 -0.1580 % 2,516.8
FixedReset Bank Non 0.00 % 0.00 % 0 0.00 0 -0.2331 % 2,627.3
FixedReset Ins Non 5.08 % 6.91 % 87,626 13.02 14 -0.5970 % 2,796.8
Performance Highlights
Issue Index Change Notes
IFC.PR.I Insurance Straight -4.52 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-05-22
Maturity Price : 20.48
Evaluated at bid price : 20.48
Bid-YTW : 6.72 %
BN.PR.Z FixedReset Disc -4.44 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-05-22
Maturity Price : 19.35
Evaluated at bid price : 19.35
Bid-YTW : 8.56 %
BN.PR.M Perpetual-Discount -3.97 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-05-22
Maturity Price : 17.40
Evaluated at bid price : 17.40
Bid-YTW : 6.96 %
CCS.PR.C Insurance Straight -3.70 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-05-22
Maturity Price : 19.00
Evaluated at bid price : 19.00
Bid-YTW : 6.71 %
MFC.PR.Q FixedReset Ins Non -2.35 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-05-22
Maturity Price : 22.28
Evaluated at bid price : 22.90
Bid-YTW : 6.69 %
BN.PF.H FixedReset Disc -1.80 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-05-22
Maturity Price : 23.01
Evaluated at bid price : 23.42
Bid-YTW : 8.15 %
RY.PR.N Perpetual-Discount -1.70 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-05-22
Maturity Price : 22.23
Evaluated at bid price : 22.51
Bid-YTW : 5.46 %
CU.PR.D Perpetual-Discount -1.66 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-05-22
Maturity Price : 18.98
Evaluated at bid price : 18.98
Bid-YTW : 6.49 %
POW.PR.D Perpetual-Discount -1.63 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-05-22
Maturity Price : 19.28
Evaluated at bid price : 19.28
Bid-YTW : 6.59 %
MFC.PR.K FixedReset Ins Non -1.33 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-05-22
Maturity Price : 22.32
Evaluated at bid price : 23.00
Bid-YTW : 6.51 %
SLF.PR.E Insurance Straight -1.31 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-05-22
Maturity Price : 18.85
Evaluated at bid price : 18.85
Bid-YTW : 6.08 %
SLF.PR.J FloatingReset -1.28 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-05-22
Maturity Price : 17.68
Evaluated at bid price : 17.68
Bid-YTW : 9.22 %
CM.PR.S FixedReset Disc -1.22 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-05-22
Maturity Price : 23.56
Evaluated at bid price : 23.56
Bid-YTW : 6.51 %
BN.PF.C Perpetual-Discount -1.10 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-05-22
Maturity Price : 18.00
Evaluated at bid price : 18.00
Bid-YTW : 6.87 %
NA.PR.E FixedReset Disc -1.09 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-05-22
Maturity Price : 22.62
Evaluated at bid price : 23.50
Bid-YTW : 6.55 %
BN.PF.G FixedReset Disc -1.07 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-05-22
Maturity Price : 18.50
Evaluated at bid price : 18.50
Bid-YTW : 8.60 %
SLF.PR.C Insurance Straight -1.05 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-05-22
Maturity Price : 18.80
Evaluated at bid price : 18.80
Bid-YTW : 6.02 %
BN.PR.T FixedReset Disc -1.03 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-05-22
Maturity Price : 16.40
Evaluated at bid price : 16.40
Bid-YTW : 8.57 %
GWO.PR.N FixedReset Ins Non -1.01 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-05-22
Maturity Price : 14.75
Evaluated at bid price : 14.75
Bid-YTW : 7.82 %
Volume Highlights
Issue Index Shares
Traded
Notes
IFC.PR.G FixedReset Ins Non 58,142 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-05-22
Maturity Price : 22.53
Evaluated at bid price : 23.36
Bid-YTW : 6.68 %
SLF.PR.G FixedReset Ins Non 55,900 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-05-22
Maturity Price : 17.03
Evaluated at bid price : 17.03
Bid-YTW : 7.22 %
MFC.PR.N FixedReset Ins Non 51,600 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-05-22
Maturity Price : 20.98
Evaluated at bid price : 20.98
Bid-YTW : 7.01 %
TD.PF.M FixedReset Disc 48,320 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-05-22
Maturity Price : 24.08
Evaluated at bid price : 24.92
Bid-YTW : 7.27 %
BN.PF.J FixedReset Disc 45,251 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-05-22
Maturity Price : 21.98
Evaluated at bid price : 22.38
Bid-YTW : 7.54 %
CM.PR.Y FixedReset Disc 40,800 YTW SCENARIO
Maturity Type : Call
Maturity Date : 2024-07-31
Maturity Price : 25.00
Evaluated at bid price : 25.00
Bid-YTW : 7.02 %
There were 15 other index-included issues trading in excess of 10,000 shares.
Wide Spread Highlights
Issue Index Quote Data and Yield Notes
IFC.PR.I Insurance Straight Quote: 20.48 – 22.00
Spot Rate : 1.5200
Average : 1.0292

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-05-22
Maturity Price : 20.48
Evaluated at bid price : 20.48
Bid-YTW : 6.72 %

BN.PR.Z FixedReset Disc Quote: 19.35 – 21.25
Spot Rate : 1.9000
Average : 1.5357

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-05-22
Maturity Price : 19.35
Evaluated at bid price : 19.35
Bid-YTW : 8.56 %

BN.PR.M Perpetual-Discount Quote: 17.40 – 18.50
Spot Rate : 1.1000
Average : 0.7627

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-05-22
Maturity Price : 17.40
Evaluated at bid price : 17.40
Bid-YTW : 6.96 %

CCS.PR.C Insurance Straight Quote: 19.00 – 20.00
Spot Rate : 1.0000
Average : 0.6893

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-05-22
Maturity Price : 19.00
Evaluated at bid price : 19.00
Bid-YTW : 6.71 %

BN.PF.H FixedReset Disc Quote: 23.42 – 24.00
Spot Rate : 0.5800
Average : 0.3948

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-05-22
Maturity Price : 23.01
Evaluated at bid price : 23.42
Bid-YTW : 8.15 %

CU.PR.E Perpetual-Discount Quote: 19.16 – 19.80
Spot Rate : 0.6400
Average : 0.4655

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-05-22
Maturity Price : 19.16
Evaluated at bid price : 19.16
Bid-YTW : 6.43 %

May 21, 2024

Wednesday, May 22nd, 2024

Sorry this is late – I went to the Blue Bovine Steakhouse last night and didn’t have time to pack up the day. It’s an OK place. One big problem is that the gross incompetence shown by the City of Toronto in projects of any size has manifested itself in a virtually total lack of signage in Union Station, where the restaurant is located. After arriving early, I wandered around the enormous structure for a good twenty minutes, looking for something that looked like it might be the place or at least a map of the facility before giving up and asking a security guard, who directed me. BB should include a map on its website! It’s located near the north-east corner of the ground floor, by the way – but is so high-end that it doesn’t have any signage to announce itself, so I was gazing in bafflement at only the second map (the first one didn’t show my destination) I had found during my ordeal when my guest came out of the restaurant to grab me and confessed that he’d gotten lost as well.

Anyway, the place follows the unfortunate trend of Toronto steakhouses (by which I mean Jacob’s) of adopting the “Industrial Cafeteria” style of seating plans, presumably on the grounds that the more people you can conceivably cram in per square foot, the better. I miss the Tom Jones and Carman’s more and more with every passing year.

It has also adopted Morton’s annoying habit in the greeting from the waiter: “We know you’re illiterate, so I’d like to show you the menu and explain how it works, and since you’re both obviously bumpkins who’ve never been to a restaurant before, I’d like to carefully explain what each item on the menu is.” I can’t stand it, but I pride myself on my placid and forgiving personality, so nobody was hospitalized.

The side-orders available were, we were assured, enormous and suitable for sharing. Well, perhaps, if you’re of extremely small stature. They were pretty skimpy for sharing – not much, if any, larger than a single serving. The mushrooms were good, but the onion rings could have been from any decent diner in Toronto.

The meat itself was excellent and well prepared. But I expect that.

The dessert menu appears to have been provided by Acme High-End Restaurant Dessert Menu Company: uninspiring. I am of the firm opinion that steakhouse dessert menus should be unusual and fun (I enjoy the banana splits at Barberians and had some great ‘bananas set on fire’ at Hy’s; I retain fond memories of the Apple Beignets at the Tom Jones), but this one just had about eight items from the “Things People Like When They’re Eating at Corporate Expense” column of Acme’s template. In partial mitigation, they offered Banana Crepes Flambee, but I wasn’t in the mood for crepes of any description.

All in all? Adequate. No more than that.

Canadian inflation ticked down a bit:

Canada’s annual inflation rate slowed to 2.7 per cent in April, matching analyst expectations and bolstering the case for the Bank of Canada to start cutting interest rates this summer.

Core measures of inflation, which strip out price movements, have also continued to trend lower.

Inflation has now fallen within the Bank of Canada’s target band of 1 per cent to 3 per cent for four consecutive months. The next interest rate announcement is on June 5.

For many renters, the cost-of-living emergency has already reached crisis point. Households without a mortgage have been falling behind on credit card and auto loan payments at increasing rates, according to the same report. That trend is likely driven by tenants struggling to keep up with rent, analysts say.

And soaring rents are rapidly spreading to the last few affordable areas of the country. Alberta recorded annual rent inflation of 16.2 per cent in April, nearly twice the national rent inflation of 8.2 per cent, according to the Statscan data.

And a different rental survey showed double-digit rent increases have also reached Saskatchewan. The province saw annual rental growth of 18 per cent in April, according to a report by real estate research firm Urbanation and rental platform Rentals.ca, which measures asking rents on vacant units.

But, as usual, the markets got excited anyway:


Swaps Market Before Announcement

Swaps Market After 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 0.00 % 0.00 % 0 0.00 0 0.0820 % 2,331.8
FixedFloater 0.00 % 0.00 % 0 0.00 0 0.0820 % 4,472.4
Floater 10.32 % 10.61 % 60,641 9.00 1 0.0820 % 2,577.5
OpRet 0.00 % 0.00 % 0 0.00 0 -0.6690 % 3,453.5
SplitShare 4.87 % 6.83 % 34,127 1.38 8 -0.6690 % 4,124.2
Interest-Bearing 0.00 % 0.00 % 0 0.00 0 -0.6690 % 3,217.8
Perpetual-Premium 0.00 % 0.00 % 0 0.00 0 -0.2023 % 2,690.9
Perpetual-Discount 6.38 % 6.57 % 50,415 13.09 27 -0.2023 % 2,934.3
FixedReset Disc 5.23 % 7.10 % 126,293 12.25 57 0.0040 % 2,576.3
Insurance Straight 6.24 % 6.43 % 55,173 13.23 21 -0.0309 % 2,908.1
FloatingReset 8.95 % 9.23 % 27,580 10.10 2 0.7485 % 2,839.6
FixedReset Prem 6.95 % 6.57 % 213,167 3.07 2 -0.1971 % 2,520.8
FixedReset Bank Non 0.00 % 0.00 % 0 0.00 0 0.0040 % 2,633.5
FixedReset Ins Non 5.05 % 6.91 % 83,592 13.03 14 -0.3385 % 2,813.6
Performance Highlights
Issue Index Change Notes
BN.PF.E FixedReset Disc -2.11 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-05-21
Maturity Price : 18.06
Evaluated at bid price : 18.06
Bid-YTW : 8.55 %
BN.PF.I FixedReset Disc -1.97 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-05-21
Maturity Price : 22.06
Evaluated at bid price : 22.41
Bid-YTW : 8.03 %
FFH.PR.I FixedReset Disc -1.51 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-05-21
Maturity Price : 18.22
Evaluated at bid price : 18.22
Bid-YTW : 8.57 %
CU.PR.G Perpetual-Discount -1.39 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-05-21
Maturity Price : 17.75
Evaluated at bid price : 17.75
Bid-YTW : 6.37 %
BN.PF.J FixedReset Disc -1.33 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-05-21
Maturity Price : 21.92
Evaluated at bid price : 22.30
Bid-YTW : 7.57 %
PWF.PR.P FixedReset Disc -1.29 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-05-21
Maturity Price : 15.32
Evaluated at bid price : 15.32
Bid-YTW : 7.95 %
RY.PR.J FixedReset Disc -1.28 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-05-21
Maturity Price : 22.62
Evaluated at bid price : 23.15
Bid-YTW : 6.74 %
PWF.PR.Z Perpetual-Discount -1.20 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-05-21
Maturity Price : 19.78
Evaluated at bid price : 19.78
Bid-YTW : 6.59 %
CM.PR.Q FixedReset Disc -1.17 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-05-21
Maturity Price : 22.40
Evaluated at bid price : 22.85
Bid-YTW : 6.79 %
CU.PR.E Perpetual-Discount -1.08 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-05-21
Maturity Price : 19.29
Evaluated at bid price : 19.29
Bid-YTW : 6.39 %
CU.PR.J Perpetual-Discount -1.07 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-05-21
Maturity Price : 18.45
Evaluated at bid price : 18.45
Bid-YTW : 6.47 %
CU.PR.C FixedReset Disc -1.04 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-05-21
Maturity Price : 20.05
Evaluated at bid price : 20.05
Bid-YTW : 7.38 %
FFH.PR.D FloatingReset -1.01 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-05-21
Maturity Price : 22.20
Evaluated at bid price : 22.47
Bid-YTW : 9.23 %
SLF.PR.D Insurance Straight 1.11 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-05-21
Maturity Price : 19.06
Evaluated at bid price : 19.06
Bid-YTW : 5.94 %
SLF.PR.C Insurance Straight 1.17 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-05-21
Maturity Price : 19.00
Evaluated at bid price : 19.00
Bid-YTW : 5.96 %
PVS.PR.K SplitShare 1.21 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2029-05-31
Maturity Price : 25.00
Evaluated at bid price : 23.00
Bid-YTW : 6.32 %
MFC.PR.K FixedReset Ins Non 1.40 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-05-21
Maturity Price : 22.49
Evaluated at bid price : 23.31
Bid-YTW : 6.41 %
TD.PF.J FixedReset Disc 2.34 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-05-21
Maturity Price : 22.88
Evaluated at bid price : 24.05
Bid-YTW : 6.48 %
RY.PR.N Perpetual-Discount 2.92 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-05-21
Maturity Price : 22.64
Evaluated at bid price : 22.90
Bid-YTW : 5.37 %
SLF.PR.J FloatingReset 3.05 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-05-21
Maturity Price : 17.91
Evaluated at bid price : 17.91
Bid-YTW : 9.10 %
IFC.PR.A FixedReset Ins Non 3.76 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-05-21
Maturity Price : 19.30
Evaluated at bid price : 19.30
Bid-YTW : 6.93 %
MFC.PR.Q FixedReset Ins Non 4.02 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-05-21
Maturity Price : 22.58
Evaluated at bid price : 23.45
Bid-YTW : 6.52 %
CM.PR.P FixedReset Disc 4.05 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-05-21
Maturity Price : 22.16
Evaluated at bid price : 22.85
Bid-YTW : 6.38 %
BN.PR.Z FixedReset Disc 6.58 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-05-21
Maturity Price : 20.25
Evaluated at bid price : 20.25
Bid-YTW : 8.18 %
Volume Highlights
Issue Index Shares
Traded
Notes
TD.PF.M FixedReset Disc 53,177 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-05-21
Maturity Price : 24.03
Evaluated at bid price : 24.89
Bid-YTW : 7.28 %
CU.PR.E Perpetual-Discount 34,800 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-05-21
Maturity Price : 19.29
Evaluated at bid price : 19.29
Bid-YTW : 6.39 %
TD.PF.A FixedReset Disc 33,105 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-05-21
Maturity Price : 22.86
Evaluated at bid price : 23.65
Bid-YTW : 6.19 %
TD.PF.C FixedReset Disc 32,220 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-05-21
Maturity Price : 22.07
Evaluated at bid price : 22.69
Bid-YTW : 6.44 %
IFC.PR.G FixedReset Ins Non 30,200 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-05-21
Maturity Price : 22.57
Evaluated at bid price : 23.44
Bid-YTW : 6.65 %
BMO.PR.S FixedReset Disc 15,907 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-05-21
Maturity Price : 23.91
Evaluated at bid price : 24.97
Bid-YTW : 5.98 %
There were 4 other index-included issues trading in excess of 10,000 shares.
Wide Spread Highlights
Issue Index Quote Data and Yield Notes
IFC.PR.K Insurance Straight Quote: 20.78 – 22.00
Spot Rate : 1.2200
Average : 0.9000

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-05-21
Maturity Price : 20.78
Evaluated at bid price : 20.78
Bid-YTW : 6.43 %

RY.PR.M FixedReset Disc Quote: 22.61 – 23.45
Spot Rate : 0.8400
Average : 0.5757

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-05-21
Maturity Price : 22.24
Evaluated at bid price : 22.61
Bid-YTW : 6.64 %

GWO.PR.P Insurance Straight Quote: 21.20 – 21.90
Spot Rate : 0.7000
Average : 0.5140

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-05-21
Maturity Price : 21.20
Evaluated at bid price : 21.20
Bid-YTW : 6.49 %

MFC.PR.I FixedReset Ins Non Quote: 23.75 – 24.20
Spot Rate : 0.4500
Average : 0.3088

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-05-21
Maturity Price : 22.81
Evaluated at bid price : 23.75
Bid-YTW : 6.72 %

BN.PR.R FixedReset Disc Quote: 16.46 – 17.20
Spot Rate : 0.7400
Average : 0.5999

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-05-21
Maturity Price : 16.46
Evaluated at bid price : 16.46
Bid-YTW : 8.55 %

CU.PR.C FixedReset Disc Quote: 20.05 – 20.45
Spot Rate : 0.4000
Average : 0.2668

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-05-21
Maturity Price : 20.05
Evaluated at bid price : 20.05
Bid-YTW : 7.38 %

MFC.PR.L To Reset To 5.77500%

Wednesday, May 22nd, 2024

Manulife Financial Corporation has announced (although not yet on their website):

the applicable dividend rates for its Non-cumulative Rate Reset Class 1 Shares Series 15 (the “Series 15 Preferred Shares”) (TSX: MFC.PR.L) and Non-cumulative Floating Rate Class 1 Shares Series 16 (the “Series 16 Preferred Shares”).

With respect to any Series 15 Preferred Shares that remain outstanding after June 19, 2024, holders thereof will be entitled to receive fixed rate non-cumulative preferential cash dividends on a quarterly basis, as and when declared by the Board of Directors of Manulife and subject to the provisions of the Insurance Companies Act (Canada). The dividend rate for the five-year period commencing on June 20, 2024, and ending on June 19, 2029, will be 5.77500% per annum or $0.360938 per share per quarter, being equal to the sum of the five-year Government of Canada bond yield as at May 21, 2024, plus 2.16%, as determined in accordance with the terms of the Series 15 Preferred Shares.

With respect to any Series 16 Preferred Shares that may be issued in connection with the conversion of the Series 15 Preferred Shares into the Series 16 Preferred Shares, holders thereof will be entitled to receive floating rate non-cumulative preferential cash dividends on a quarterly basis, calculated on the basis of the actual number of days elapsed in each quarterly floating rate period divided by 365, as and when declared by the Board of Directors of Manulife and subject to the provisions of the Insurance Companies Act (Canada). The dividend rate for the three-month period commencing on June 20, 2024, and ending on September 19, 2024, will be 1.77245% (7.03200% on an annualized basis) or $0.443113 per share, being equal to the sum of the three-month Government of Canada Treasury bill yield as at May 21, 2024, plus 2.16%, as determined in accordance with the terms of the Series 16 Preferred Shares.

Beneficial owners of Series 15 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 June 4, 2024. Conversion inquiries should be directed to Manulife’s Registrar and Transfer Agent, TSX Trust Company, at 1‑800‑783‑9495.

The Toronto Stock Exchange (“TSX”) has conditionally approved the listing of the Series 16 Preferred Shares effective upon conversion. Listing of the Series 16 Preferred Shares is subject to Manulife fulfilling all the listing requirements of the TSX and, upon approval, the Series 16 Preferred Shares will be listed on the TSX under the trading symbol “MFC.PR.S”.

MFC.PR.L is a FixedReset, 3.90%+216, that commenced trading 2014-2-25 after being announced 2014-2-18. The extension was announced 2019-5-7. MFC.PR.L reset At 3.78600% effective June 20, 2019. I made no recommendation regarding conversion and there was no conversion.

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

PVS.PR.F To Be Partially Redeemed

Wednesday, May 22nd, 2024

Partners Value Split Corp. has announced:

y its intention to redeem 1,975,000 of its outstanding Class AA Preferred Shares, Series 8 (“Preferred Shares, Series 8”) (TSX: PVS.PR.F) for cash on May 31, 2024 (the “Redemption Date”) in accordance with the terms of the Preferred Shares, Series 8. The Preferred Shares, Series 8 being called for redemption represent approximately 32.92% of all outstanding Preferred Shares, Series 8 of the Company.

The Preferred Shares, Series 8 will be partially redeemed on a pro rata basis, so that each holder of Preferred Shares, Series 8 of record at the close on May 22, 2024 (the “Record Date”) will have approximately 32.92% of their Preferred Shares, Series 8 redeemed.

The redemption price per Preferred Share, Series 8 being redeemed will be equal to C$25.00 per share (the “Redemption Price”). Separately from the Redemption Price, the quarterly cash dividend of C$0.30 per share to May 31, 2024, will be paid in the usual manner on June 7, 2024, to holders of Preferred Shares, Series 8 of record on May 22, 2024, including those whose Preferred Shares, Series 8 were redeemed on May 31, 2024. Holders of Preferred Shares, Series 8 are entitled on a partial redemption to a redemption price equal to C$25.00 plus accrued and unpaid dividends. For greater certainty, such accrued and unpaid dividends will only be paid once per Preferred Share, Series 8, on June 7, 2024.

On the completion of the partial redemption herein, the remaining 4,024,300 unredeemed Preferred Shares, Series 8 will remain issued and outstanding in accordance with their terms.

Notice will be delivered to holders of the Preferred Shares, Series 8 in accordance with the terms of the Preferred Shares, Series 8.

From and after the Redemption Date, the Preferred Shares, Series 8 called for redemption will cease to be entitled to dividends or any other participation in any distribution of the assets of the Company and the holders thereof shall not be entitled to exercise any of their other rights as shareholders in respect thereof except to receive the Redemption Price (less any tax required to be deducted and withheld by the Company). After the partial redemption of the Preferred Shares, Series 8, the Company will consolidate the existing capital shares held by Partners Value Investments Inc. so that there are an equal number of preferred shares and capital shares outstanding.

PVS.PR.F was issued as a SplitShare, 4.80%, maturing 2024-9-30, which commenced trading 2017-9-18 after being announced 2017-09-07. It is tracked by HIMIPref™ and has been assigned to the SplitShare subindex.

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

May 17, 2024

Friday, May 17th, 2024

So OMERS has written off Thames Water:

The Ontario Municipal Employees Retirement System (OMERS) has written off its entire investment in troubled British utility Thames Water, walking away from a stake once valued at well over $1-billion.

Thames Water has been struggling under the weight of more than £18-billion ($31-billion) of debt that has become more expensive with high interest rates. In late March, its shareholders – of which OMERS is the largest – refused to inject more money into the beleaguered company, casting doubt on its viability.

As of Dec. 31, 2021, OMERS had valued the part of its stake held through its Singapore subsidiary at £990-million ($1.7-billion).

The BBC adds:

When the company was privatised in 1989, it had no debt. But over the years it borrowed heavily and is currently £15.4bn in debt.

A large proportion of that was added when Macquarie, an Australian infrastructure bank, owned Thames Water, reaching over £10bn when the company was sold in 2017.

Macquarie said that it invested billions of pounds in upgrading Thames’s water and sewage infrastructure, but critics argue that it took billions of pounds out of the company in loans and dividends.

In March, Kemble shareholders halted a £500m down-payment on that promised cash injection when regulator Ofwat rejected plans to raise customer bills by 40% above inflation over the next five years.

Throughout this crisis, Ofwat has insisted that Thames Water – despite its huge debts – generates £2bn a year in inflation-linked income, which might be attractive to someone.

The challenges facing Thames Water are formidable. In Finsbury Park, north London, the company is replacing pipes laid when Queen Victoria was on the throne and the land above was fields. Today it is operating in – and under – built-up urban areas.

One certainty Thames customers can surely bet on is that bills are going to rise.

By way of history:

Macquarie and its co-investors made their position clear from the start, hiking dividends in the first year of their operations, 2007, to £656m when profits were a fraction of that at £241m.

Over their 11 years of control, Macquarie and its co-investors paid out £2.8bn to shareholders, which is two-fifths of the total £7bn in dividends that Thames Water has paid between 1990 and 2022. The average yearly dividends paid during the Macquarie period were five times higher than those paid after it sold its final stake in 2017. The consortium that took over ownership of Thames Water in 2017 has not taken a dividend since, but the company has paid internal dividends – including £37m in the year to 31 March 2022.

… and eventually I got to the good part:

The leakage rate from Thames Water pipes is the highest for five years and the company will not meet its target to plug them this year, according to information released under freedom of information laws.

The company, which serves 15 million customers across London and Thames Valley, has to have regular meetings with an environment minister because it is considered to be lagging in its performance.

Details of letters released under freedom of information laws between the chief executive, Sarah Bentley, and Rebecca Pow, an environment minister, reveal that Thames is not fixing its leaks as it has promised.

Bentley told Pow: “Right now, we have the highest leakage rate since 2018. Consequently, we have already signalled to Ofwat that we are behind on our 2022/23 leakage performance and our target this year will now be very challenging to achieve.

… and the company itself says:

Every day we supply 2.6 billion litres of water, but not all of that gets to our customers. At the moment, almost 24% of the water we supply is lost through leakage – which is a combination of water lost on our pipes, water lost on customers’ pipes and an element of unmeasured consumption (46% of billed customers are unmeasured with 17% of individual customers having smart meters).

In 2022/23 we reduced leakage by 10.7%, calculated using a three-year average from the 2019/20 baseline. Unfortunately, like many other water companies 2022/23 was an exceptional year for severe and unprecedented weather conditions. Despite delivering 25% more activity in 2022/23 we fell short of our performance commitment to achieve a 14.1% reduction in leakage.

24% leakage rate! It took Montreal thirty years of neglect to reach 40%!

About 30 per cent of the water that flows through Montreal’s crumbling water-main network is lost due to leaks [as of 2016], an improvement from the early 2000s, when 40 per cent was being wasted. Though the city is spending millions to replace 54 kilometres of water mains annually, the rate remains high.

That’s about on par with Johannesburg:

The City of Johannesburg is running its finances poorly. The maintenance bill for water infrastructure is R2-billion ($105-million) per year, but only R1-billion ($52-million) is allocated. Maintenance needs are spiralling out of control. The City bills residents for rates, water, electricity, sewage and other services. However, the funds received are not ring-fenced. Other projects are competing for the same pot of money.

Because the infrastructure is ageing (for example, in the suburb of Parkwood, the infrastructure is older than 70 years), the pipes rust and break. When they break, they leak, sometimes releasing very large quantities of water, before they are repaired. When the City responds to requests by residents for repairs, the response, if it comes, is often too little and the job is poorly done. There is little oversight or accountability by the City to ensure the contractors have done the job correctly and the repairs often do not last long.

Of the non-revenue water, the leakage portion for Gauteng is half. In other words, for every four litres provided to Gauteng by Rand Water, one litre is wasted through leakage (the City’s fault) and one litre is either given away for free (public good), stolen (the public’s fault), or not accounted for (much harder to allocate blame). This means only half of what is provided can be charged for.

Toronto, by the way, does a little better:

A new study by the Residential and Civil Construction Association of Ontario (RCCAO) is highlighting just how much water goes to waste in Toronto every day.
The study, titled ‘Water Infrastructure in the 21st Century: Smart and Climate-Savvy Asset Management Policies,’ was completed by Tamer E. El-Diraby, a University of Toronto professor in the department of civil and mineral engineering.

While Toronto’s water distribution network services approximately 3.6 million people, the study claims that, due to “leaky and broken pipes,” 10 to 15 per cent of that water leaks from pipes daily.

This means that the city could be wasting 103 million litres of water per day — enough to fill more than 15,000 Olympic swimming pools a year, or just over 40 a day.

However, in some areas, the leakage rate could be far higher, says RCCAO.

“Reports by consultants who conducted actual assessments show that rates in Ontario could be as high as nearly 40 per cent. One analysis for the Town of Smiths Falls estimated that rates between 2003 and 2019 ranged between 41 per cent and 67 per cent,” said RCCAO.

One of the very few fiscally responsible things done in Toronto over the past quarter century was the price hike for water in the mid-2000s (?). This served to provide adequate funding for water services, while allowing those square-jawed defenders of fiscal conservatism to pretend that taxes hadn’t gone up.

But anyway, it seems like there’s a good chance that Thames Water will be nationalized, with massive losses to bondholders, price hikes for consumers and vast expense to taxpayers. I look forward to a public inquiry on this mess: financial porn on an epic scale! I am stocking up on popcorn already.

Here’s my hypothesis:

  • All the various owners since privatization neglected capital maintenance, because that’s both expensive and boring.
  • Macquarie stripped the company of every nickel that wasn’t nailed down and borrowed like crazy to pay out more
  • OMERS et al. grossly overpaid for the company in the belief that the regulators would bail them out by allowing mind-boggling fee hikes
  • They didn’t.
  • This was all allowed to happen because Thames Water is owned by private equity; it didn’t have common equity prices approaching pennies (and giving unpleasant signals to the bond guys), it didn’t have an army of analysts poring over its books and reports trying to make themselves a nickel, all it had was private equity’s projections, full stop
  • The purpose of private equity is to lie to your clients

As I say, it’s a hypothesis. Prove me wrong!

OMERS has a lot to answer for. OMERS is one of the investment outfits I admire: because they have a single captive client, they don’t need to have any salesmen on staff – this changes the culture; they can do their hiring and firing based solely on performance. But this certainly doesn’t make them perfect and I will be most interested in learning more details about how a 1.7-billion-dollars-odd got vaporized. In infrastructure. A water utility. In a mature OECD urban market, for God’s sake.

Update, 2024-5-18: This, from the Guardian:

The water company is now racing to avoid a multibillion-pound taxpayer-backed bailout after its parent company, Kemble, defaulted on its debt, raising fears that the company could face a significant restructure or even collapse.

Thames could be placed into special administration, which would result in the government stepping in and temporarily renationalising the company. This outcome would probably fuel critics of the Conservative government who argue the water company’s plight represents the failure of Margaret Thatcher’s privatisation agenda.

The Guardian revealed last month that under radical plans being drawn up in Whitehall, codenamed Project Timber, ministers would turn Britain’s biggest water company into a publicly owned arm’s-length body.

The plans, overseen by Defra and the Treasury, a new public corporation would be formed to hold the water monopoly, modelled on the company that built the £18.8bn Crossrail project, while Thames’s vast liabilities would be assumed into the government’s debt pile.

The water regulator, Ofwat, is reportedly working on rescue plans for Thames that could lead to the water company’s regional monopoly being dismantled and sold off to neighbouring rival suppliers under a scheme codenamed Project Telford.

Ofwat has tasked the former private equity banker Adrian Williams with overseeing the rescue bid, according to the Telegraph, in a last-ditch attempt to save the company from collapsing under the weight of a more than £15bn debt pile.

I don’t get it. What’s wrong with bankruptcy? Appoint a receiver, get some debtor-in-possession financing (possibly from the government), cancel all the outstanding equity and give debtholders all the new equity in the company while writing down the amount of debt they hold by some percentage that makes the restructured company viable. What’s the problem?

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 0.9934 % 2,329.9
FixedFloater 0.00 % 0.00 % 0 0.00 0 0.9934 % 4,468.7
Floater 10.33 % 10.60 % 60,798 9.00 1 0.9934 % 2,575.3
OpRet 0.00 % 0.00 % 0 0.00 0 0.0154 % 3,476.7
SplitShare 4.84 % 6.78 % 35,312 1.38 8 0.0154 % 4,151.9
Interest-Bearing 0.00 % 0.00 % 0 0.00 0 0.0154 % 3,239.5
Perpetual-Premium 0.00 % 0.00 % 0 0.00 0 -0.3044 % 2,696.4
Perpetual-Discount 6.36 % 6.53 % 50,525 13.14 27 -0.3044 % 2,940.3
FixedReset Disc 5.23 % 6.89 % 127,450 11.93 57 -0.2516 % 2,576.2
Insurance Straight 6.24 % 6.41 % 55,883 13.27 21 -0.1969 % 2,909.0
FloatingReset 9.06 % 9.15 % 27,329 10.16 2 0.2000 % 2,818.5
FixedReset Prem 6.94 % 6.41 % 215,960 3.08 2 0.1184 % 2,525.7
FixedReset Bank Non 0.00 % 0.00 % 0 0.00 0 -0.2516 % 2,633.3
FixedReset Ins Non 5.03 % 7.03 % 84,392 12.73 14 -0.1809 % 2,823.1
Performance Highlights
Issue Index Change Notes
BN.PR.Z FixedReset Disc -9.52 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-05-17
Maturity Price : 19.00
Evaluated at bid price : 19.00
Bid-YTW : 8.85 %
CM.PR.P FixedReset Disc -4.65 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-05-17
Maturity Price : 21.59
Evaluated at bid price : 21.96
Bid-YTW : 6.82 %
MFC.PR.Q FixedReset Ins Non -3.46 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-05-17
Maturity Price : 22.28
Evaluated at bid price : 22.90
Bid-YTW : 6.93 %
RY.PR.N Perpetual-Discount -1.98 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-05-17
Maturity Price : 21.99
Evaluated at bid price : 22.25
Bid-YTW : 5.52 %
POW.PR.D Perpetual-Discount -1.76 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-05-17
Maturity Price : 19.50
Evaluated at bid price : 19.50
Bid-YTW : 6.51 %
PWF.PR.S Perpetual-Discount -1.33 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-05-17
Maturity Price : 18.55
Evaluated at bid price : 18.55
Bid-YTW : 6.54 %
PWF.PF.A Perpetual-Discount -1.30 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-05-17
Maturity Price : 17.52
Evaluated at bid price : 17.52
Bid-YTW : 6.50 %
SLF.PR.C Insurance Straight -1.16 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-05-17
Maturity Price : 18.78
Evaluated at bid price : 18.78
Bid-YTW : 6.02 %
POW.PR.C Perpetual-Discount -1.14 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-05-17
Maturity Price : 22.33
Evaluated at bid price : 22.60
Bid-YTW : 6.50 %
SLF.PR.E Insurance Straight -1.09 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-05-17
Maturity Price : 18.99
Evaluated at bid price : 18.99
Bid-YTW : 6.02 %
BN.PF.E FixedReset Disc 1.10 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-05-17
Maturity Price : 18.45
Evaluated at bid price : 18.45
Bid-YTW : 8.55 %
FFH.PR.C FixedReset Disc 1.14 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-05-17
Maturity Price : 21.72
Evaluated at bid price : 22.15
Bid-YTW : 7.89 %
MFC.PR.N FixedReset Ins Non 2.40 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-05-17
Maturity Price : 21.35
Evaluated at bid price : 21.35
Bid-YTW : 7.14 %
BN.PR.M Perpetual-Discount 4.89 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-05-17
Maturity Price : 18.25
Evaluated at bid price : 18.25
Bid-YTW : 6.62 %
Volume Highlights
Issue Index Shares
Traded
Notes
POW.PR.D Perpetual-Discount 74,200 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-05-17
Maturity Price : 19.50
Evaluated at bid price : 19.50
Bid-YTW : 6.51 %
IFC.PR.I Insurance Straight 64,000 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-05-17
Maturity Price : 21.50
Evaluated at bid price : 21.50
Bid-YTW : 6.39 %
BIP.PR.A FixedReset Disc 53,150 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-05-17
Maturity Price : 21.00
Evaluated at bid price : 21.00
Bid-YTW : 8.60 %
SLF.PR.G FixedReset Ins Non 50,400 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-05-17
Maturity Price : 17.01
Evaluated at bid price : 17.01
Bid-YTW : 7.42 %
MFC.PR.I FixedReset Ins Non 47,373 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-05-17
Maturity Price : 23.06
Evaluated at bid price : 24.31
Bid-YTW : 6.78 %
TD.PF.J FixedReset Disc 35,520 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-05-17
Maturity Price : 22.62
Evaluated at bid price : 23.50
Bid-YTW : 6.76 %
There were 8 other index-included issues trading in excess of 10,000 shares.
Wide Spread Highlights
Issue Index Quote Data and Yield Notes
BN.PR.Z FixedReset Disc Quote: 19.00 – 21.20
Spot Rate : 2.2000
Average : 1.2858

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-05-17
Maturity Price : 19.00
Evaluated at bid price : 19.00
Bid-YTW : 8.85 %

CM.PR.P FixedReset Disc Quote: 21.96 – 23.10
Spot Rate : 1.1400
Average : 0.6397

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-05-17
Maturity Price : 21.59
Evaluated at bid price : 21.96
Bid-YTW : 6.82 %

TD.PF.D FixedReset Disc Quote: 23.00 – 24.00
Spot Rate : 1.0000
Average : 0.6666

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-05-17
Maturity Price : 22.53
Evaluated at bid price : 23.00
Bid-YTW : 6.89 %

MFC.PR.Q FixedReset Ins Non Quote: 22.90 – 23.96
Spot Rate : 1.0600
Average : 0.7577

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-05-17
Maturity Price : 22.28
Evaluated at bid price : 22.90
Bid-YTW : 6.93 %

MFC.PR.M FixedReset Ins Non Quote: 22.00 – 23.00
Spot Rate : 1.0000
Average : 0.7236

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-05-17
Maturity Price : 21.62
Evaluated at bid price : 22.00
Bid-YTW : 7.03 %

TD.PF.J FixedReset Disc Quote: 23.50 – 24.46
Spot Rate : 0.9600
Average : 0.7400

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-05-17
Maturity Price : 22.62
Evaluated at bid price : 23.50
Bid-YTW : 6.76 %

LB.PR.H To Reset To 6.196%

Thursday, May 16th, 2024

Laurentian Bank of Canada has announced:

the applicable dividend rates for its Non-Cumulative Class A Preferred Shares, Series 13 (the “Preferred Shares Series 13”) and Non-Cumulative Class A Preferred Shares, Series 14 (the “Preferred Shares Series 14”).

With respect to any Preferred Shares Series 13 that remain outstanding after June 17, 2024, being the first business day following the Saturday, June 15, 2024 conversion date identified in the prospectus supplement dated March 27, 2014 relating to the issuance of the Preferred Shares Series 13, holders thereof will be entitled to receive fixed rate non-cumulative preferential cash dividends on a quarterly basis, as and when declared by the Board of Directors of the Bank and subject to the provisions of the Bank Act (Canada). The dividend rate for the five-year period commencing on June 15, 2024, and ending on June 14, 2029, will be 6.196% per annum, being equal to the sum of the five-year Government of Canada bond yield as at May 16, 2024, plus 2.55%, as determined in accordance with the terms of the Preferred Shares Series 13.

With respect to any Preferred Shares Series 14 that may be issued on June 17, 2024, holders thereof will be entitled to receive floating rate non-cumulative preferential cash dividends on a quarterly basis, calculated on the basis of the actual number of days elapsed in each quarterly floating rate period divided by 365, as and when declared by the Board of Directors of the Bank and subject to the provisions of the Bank Act (Canada). The dividend rate for the three-month period commencing on June 15, 2024, and ending on September 14, 2024, will be 7.473% on an annualized basis, being equal to the sum of the threemonth Government of Canada Treasury bill yield as at May 16, 2024, plus 2.55%, as determined in accordance with the terms of the Preferred Shares Series 14.

Beneficial owners of Preferred Shares Series 13 who wish to exercise their right of conversion should instruct their broker or other nominee to exercise such right before 5:00 p.m. (Montreal time) on May 31, 2024. Conversion inquiries should be directed to the Bank’s Registrar and Transfer Agent, Computershare Investor Services Inc., at 1 800 564-6253.

The Toronto Stock Exchange (“TSX”) has conditionally approved the listing of the Preferred Shares Series 14 effective upon conversion. Listing of the Preferred Shares Series 14 subject to the Bank fulfilling all the listing requirements of the TSX and, upon approval, the Preferred Shares Series 14 will be listed on the TSX under the trading symbol “LB.PR.I”.

They had previously announced (2024-4-18):

– Laurentian Bank of Canada (TSX: LB) (the “Bank”) announced today that it does not intend to exercise its right to redeem all or any of its currently outstanding Non-Cumulative Class A Preferred Shares, Series 13 (the “Preferred Shares Series 13”) (TSX: LB.PR.H) on June 15, 2024. As a result, subject to certain conditions described in the prospectus supplement dated March 27, 2014 relating to the issuance of the Preferred Shares Series 13 (the “Prospectus”), the holders of the Preferred Shares Series 13 have the right, at their option, to convert any or all of their Preferred Shares Series 13 into an equal number of the Bank’s Non-Cumulative Class A Preferred Shares, Series 14 (the “Preferred Shares Series 14”) on June 17, 2024. This date is the first business day following the conversion date of June 15, 2024, identified in the Prospectus, which falls on a Saturday. In accordance with the share conditions, a written notice of the right to convert Preferred Shares Series 13 into Preferred Shares Series 14 will be sent to the registered holders of the Preferred Shares Series 13. Holders of Preferred Shares Series 13 are not required to elect to convert all or any part of their Preferred Shares Series 13 into Preferred Shares Series 14. Holders who do not exercise their right to convert their Preferred Shares Series 13 into Preferred Shares Series 14 on such date will retain their Preferred Shares Series 13, unless automatically converted in accordance with the conditions below.

The foregoing conversion right is subject to the conditions that: (i) if, after May 31, 2024, the Bank determines that there would be less than 1,000,000 Preferred Shares Series 14 outstanding on June 17, 2024, then no Preferred Shares Series 13 will be converted into Preferred Shares Series 14, and (ii) alternatively, if after, May 31, 2024, the Bank determines that there would be less than 1,000,000 Preferred Shares Series 13 outstanding on June 17, 2024, then all remaining Preferred Shares Series 13 will automatically be converted into an equal number of Preferred Shares Series 14 on June 17, 2024. In either case, the Bank will give written notice to that effect to any registered holders of Preferred Shares Series 13 affected by the preceding minimums on or before June 7, 2024.

The dividend rate applicable to the Preferred Shares Series 13 for the five-year period from and including June 15, 2024 to, but excluding, June 15, 2029, and the dividend rate applicable to the Preferred Shares Series 14 for the three-month period from and including June 15, 2024 to, but excluding, September 15, 2024, will be determined and announced by way of a news release on May 16, 2024. The Bank will also give written notice of these dividend rates to the registered holders of Preferred Shares Series 13.

Beneficial owners of Preferred Shares Series 13 who wish to exercise their right of conversion should instruct their broker or other nominee to exercise such right before 5:00 p.m. (Montreal time) on May 31, 2024. Conversion inquiries should be directed to the Bank’s Registrar and Transfer Agent, Computershare Investor Services Inc., at 1-800-564-6253

LB.PR.H was issued as a NVCC-compliant FixedReset, 4.30%+255, that commenced trading 2014-4-3 after being announced 2014-3-25. The extension was announced 2019-5-7. LB.PR.H reset At 4.123% effective June 15, 2019. I made no recommendation regarding conversion and there was no conversion.

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

May 16, 2024

Thursday, May 16th, 2024
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 0.2490 % 2,307.0
FixedFloater 0.00 % 0.00 % 0 0.00 0 0.2490 % 4,424.8
Floater 10.43 % 10.71 % 60,884 8.93 1 0.2490 % 2,550.0
OpRet 0.00 % 0.00 % 0 0.00 0 -0.0257 % 3,476.2
SplitShare 4.84 % 6.81 % 34,467 1.38 8 -0.0257 % 4,151.3
Interest-Bearing 0.00 % 0.00 % 0 0.00 0 -0.0257 % 3,239.0
Perpetual-Premium 0.00 % 0.00 % 0 0.00 0 -0.1574 % 2,704.6
Perpetual-Discount 6.34 % 6.50 % 52,559 13.19 27 -0.1574 % 2,949.2
FixedReset Disc 5.22 % 6.91 % 122,330 11.94 57 -0.0819 % 2,582.6
Insurance Straight 6.22 % 6.40 % 56,631 13.28 21 0.3237 % 2,914.8
FloatingReset 9.07 % 9.19 % 26,803 10.13 2 -0.2494 % 2,812.9
FixedReset Prem 6.95 % 6.42 % 217,691 3.09 2 0.0000 % 2,522.7
FixedReset Bank Non 0.00 % 0.00 % 0 0.00 0 -0.0819 % 2,640.0
FixedReset Ins Non 5.02 % 7.01 % 85,221 12.82 14 0.5836 % 2,828.2
Performance Highlights
Issue Index Change Notes
TD.PF.J FixedReset Disc -3.17 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-05-16
Maturity Price : 22.62
Evaluated at bid price : 23.50
Bid-YTW : 6.76 %
RY.PR.N Perpetual-Discount -1.30 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-05-16
Maturity Price : 22.43
Evaluated at bid price : 22.70
Bid-YTW : 5.41 %
GWO.PR.G Insurance Straight 1.03 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-05-16
Maturity Price : 20.55
Evaluated at bid price : 20.55
Bid-YTW : 6.44 %
MFC.PR.M FixedReset Ins Non 1.15 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-05-16
Maturity Price : 21.58
Evaluated at bid price : 21.95
Bid-YTW : 7.05 %
FFH.PR.K FixedReset Disc 1.28 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-05-16
Maturity Price : 21.42
Evaluated at bid price : 21.42
Bid-YTW : 8.13 %
BN.PF.E FixedReset Disc 1.33 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-05-16
Maturity Price : 18.25
Evaluated at bid price : 18.25
Bid-YTW : 8.64 %
MFC.PR.J FixedReset Ins Non 2.34 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-05-16
Maturity Price : 22.89
Evaluated at bid price : 24.05
Bid-YTW : 6.69 %
MFC.PR.Q FixedReset Ins Non 3.58 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-05-16
Maturity Price : 22.72
Evaluated at bid price : 23.72
Bid-YTW : 6.67 %
SLF.PR.C Insurance Straight 5.26 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-05-16
Maturity Price : 19.00
Evaluated at bid price : 19.00
Bid-YTW : 5.95 %
Volume Highlights
Issue Index Shares
Traded
Notes
PWF.PR.H Perpetual-Discount 164,671 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-05-16
Maturity Price : 22.08
Evaluated at bid price : 22.31
Bid-YTW : 6.51 %
CM.PR.P FixedReset Disc 150,931 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-05-16
Maturity Price : 22.26
Evaluated at bid price : 23.03
Bid-YTW : 6.48 %
IFC.PR.F Insurance Straight 146,190 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-05-16
Maturity Price : 21.05
Evaluated at bid price : 21.05
Bid-YTW : 6.40 %
CM.PR.Q FixedReset Disc 123,781 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-05-16
Maturity Price : 22.72
Evaluated at bid price : 23.20
Bid-YTW : 6.83 %
PWF.PR.F Perpetual-Discount 72,331 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-05-16
Maturity Price : 20.01
Evaluated at bid price : 20.01
Bid-YTW : 6.64 %
PWF.PR.T FixedReset Disc 61,179 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-05-16
Maturity Price : 21.58
Evaluated at bid price : 21.90
Bid-YTW : 6.91 %
There were 14 other index-included issues trading in excess of 10,000 shares.
Wide Spread Highlights
Issue Index Quote Data and Yield Notes
TD.PF.J FixedReset Disc Quote: 23.50 – 24.29
Spot Rate : 0.7900
Average : 0.4988

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-05-16
Maturity Price : 22.62
Evaluated at bid price : 23.50
Bid-YTW : 6.76 %

RY.PR.M FixedReset Disc Quote: 22.75 – 23.42
Spot Rate : 0.6700
Average : 0.4459

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-05-16
Maturity Price : 22.37
Evaluated at bid price : 22.75
Bid-YTW : 6.74 %

RY.PR.J FixedReset Disc Quote: 23.22 – 23.74
Spot Rate : 0.5200
Average : 0.3138

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-05-16
Maturity Price : 22.69
Evaluated at bid price : 23.22
Bid-YTW : 6.86 %

MFC.PR.L FixedReset Ins Non Quote: 21.80 – 22.38
Spot Rate : 0.5800
Average : 0.3979

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-05-16
Maturity Price : 21.49
Evaluated at bid price : 21.80
Bid-YTW : 6.97 %

PWF.PR.O Perpetual-Discount Quote: 22.37 – 23.00
Spot Rate : 0.6300
Average : 0.4568

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-05-16
Maturity Price : 22.09
Evaluated at bid price : 22.37
Bid-YTW : 6.54 %

RY.PR.N Perpetual-Discount Quote: 22.70 – 23.45
Spot Rate : 0.7500
Average : 0.5841

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-05-16
Maturity Price : 22.43
Evaluated at bid price : 22.70
Bid-YTW : 5.41 %

BPO Confirmed at Pfd-3(low) by DBRS

Wednesday, May 15th, 2024

DBRS has announced that it:

confirmed the Issuer Rating and Senior Unsecured Debt rating of Brookfield Property Partners L.P. (BPP) at BBB (low). Morningstar DBRS also confirmed the ratings on Brookfield Property Finance ULC’s Senior Unsecured Notes and Brookfield Office Properties Inc.’s Senior Unsecured Notes at BBB (low), and Brookfield Office Properties Inc.’s Cumulative Redeemable Preferred Shares, Class AAA at Pfd-3 (low). All trends are Stable. The ratings are based on the credit risk profile of the consolidated entity, including BPP and its subsidiaries (collectively, BPY or the Partnership).

KEY CREDIT RATING CONSIDERATIONS
The Stable trends consider the demonstrated ability of BPY to continue to access alternative sources of capital, including by asset monetization and through support from its parent, Brookfield Corporation (BN; rated “A,” Stable by Morningstar DBRS) by various means, including the downstreaming of capital. Recent examples of parental support include the repayment at maturity of the 4.30% Series 3 Senior Unsecured Notes and the extension of an intercompany revolving credit facility between BN and BPY. In Morningstar DBRS’ view, these examples, among others, continue to demonstrate the willingness and ability of BN to support BPY for the foreseeable future. The Stable trends also consider BPY’s modestly positive operating performance, affirming the stability of cash flow derived from its assets, particularly in its core Office segment, as well as BPY’s high leverage and variable-rate debt exposure and the resultant strain of high interest rates on BPY’s cash flows.

CREDIT RATING DRIVERS
Morningstar DBRS would consider a negative rating action if Morningstar DBRS were to change its views on the level and strength of implicit support provided by BN, or should BPY’s total debt-to-EBITDA not improve as expected such that it remains above 16.0 times (x), or if BPY’s EBITDA interest coverage were to remain below 1.0x on a sustained basis, all else equal. On the other hand, Morningstar DBRS would consider a positive rating action should Morningstar DBRS’ outlook for BPY’s total debt-to-EBITDA improve to 13.0x or better.

FINANCIAL OUTLOOK
Morningstar DBRS has revised its financial risk assessment of BPY modestly lower, based on revised expectations for BPY’s primary credit metrics. In the near to medium term, Morningstar DBRS expects that BPY will continue to demonstrate an improving trend in its total debt-to-EBITDA metric toward the 15x-range (from 16.9x for the last 12 months ended December 31, 2023 (LTM)), and that BPY’s EBITDA interest coverage metric will stabilize near current levels (0.93x for the LTM) and begin improving toward the low 1.0x-range.

CREDIT RATING RATIONALE
The ratings continue to be supported by (1) Morningstar DBRS’ view of implicit support from BN, as detailed above; (2) BPY’s market position as a pre-eminent global real estate company; (3) high-quality assets, particularly BPY’s core Office and Retail segments, with long-term leases to large, recognizable investment-grade-rated tenants; and (4) superior diversification, in particular by property, tenant, and geography. The ratings continue to be constrained by BPY’s weak financial risk assessment as reflected by both its highly leveraged balance sheet; a riskier retail leasing profile in terms of lease maturities and counterparty risk relative to BPY’s Office segment; a higher-risk opportunistic LP Investment segment composed primarily of office, retail, industrial, and multifamily assets, as well as alternatives; and Morningstar DBRS’ assessment of the unmitigated structural subordination of the Senior Unsecured Debt at the BPP level relative to a material amount of debt at its operating subsidiaries.

This follows the downgrade to P-4 by S&P in December, 2023, and the confirmation at Pfd-3(low) by DBRS in May, 2023.

Affected issues are: BPO.PR.A, BPO.PR.C, BPO.PR.E, BPO.PR.G, BPO.PR.I, BPO.PR.N, BPO.PR.P, BPO.PR.R, BPO.PR.T, BPO.PR.W, BPO.PR.X and BPO.PR.Y.