March 21, 2022

March 21st, 2022

Powell was hawkish today:

“There is an obvious need to move expeditiously to return the stance of monetary policy to a more neutral level, and then to move to more restrictive levels if that is what is required to restore price stability,” Mr. Powell said during remarks to a conference of business economists.
…
“If we conclude that it is appropriate to move more aggressively by raising the federal funds rate by more than 25 basis points at a meeting or meetings, we will do so,” Mr. Powell said. “And if we determine that we need to tighten beyond common measures of neutral and into a more restrictive stance, we will do that as well.”

Asked what would keep the Fed from raising interest rates by half a percentage point at its next meeting in May, Mr. Powell replied, “Nothing.” He said the Fed had not yet made a decision on its next rate increase but noted that officials would make a supersized move if they thought one was appropriate.

“The expectation going into this year was that we would basically see inflation peaking in the first quarter, then maybe leveling out,” Mr. Powell said. “That story has already fallen apart. To the extent that it continues to fall apart, my colleagues and I may well reach the conclusion that we’ll need to move more quickly.”

… and the GOC-5 yield jumped to 2.18%.

HIMIPref™ Preferred Indices
These values reflect the December 2008 revision of the HIMIPref™ Indices
Values are provisional and are finalized monthly
Index Mean
Current
Yield
(at bid)		 Median
YTW		 Median
Average
Trading
Value		 Median
Mod Dur
(YTW)		 Issues Day’s Perf. Index Value
Ratchet 3.25 % 3.81 % 29,516 19.60 1 -0.5157 % 2,747.9
FixedFloater 0.00 % 0.00 % 0 0.00 0 -0.3306 % 5,228.7
Floater 3.36 % 3.35 % 61,807 18.87 3 -0.3306 % 3,013.3
OpRet 0.00 % 0.00 % 0 0.00 0 -0.6168 % 3,617.5
SplitShare 4.74 % 4.44 % 30,653 3.39 7 -0.6168 % 4,320.0
Interest-Bearing 0.00 % 0.00 % 0 0.00 0 -0.6168 % 3,370.6
Perpetual-Premium 5.34 % -1.27 % 61,281 0.08 17 -0.2207 % 3,190.2
Perpetual-Discount 5.09 % 5.17 % 64,948 15.13 16 -0.0984 % 3,628.6
FixedReset Disc 4.20 % 4.88 % 119,968 15.68 46 -0.7987 % 2,699.8
Insurance Straight 5.09 % 4.76 % 91,862 15.25 18 -0.1216 % 3,524.7
FloatingReset 3.12 % 3.46 % 41,253 18.63 2 0.1707 % 2,857.0
FixedReset Prem 4.75 % 3.56 % 146,569 1.99 23 0.0851 % 2,704.7
FixedReset Bank Non 0.00 % 0.00 % 0 0.00 0 -0.7987 % 2,759.7
FixedReset Ins Non 4.19 % 4.84 % 71,971 15.88 15 1.2320 % 2,865.7
Performance Highlights
Issue Index Change Notes
TRP.PR.G FixedReset Disc -45.74 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-03-21
Maturity Price : 12.29
Evaluated at bid price : 12.29
Bid-YTW : 9.44 %
TD.PF.D FixedReset Disc -10.45 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-03-21
Maturity Price : 21.50
Evaluated at bid price : 21.50
Bid-YTW : 5.42 %
BAM.PF.E FixedReset Disc -3.66 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-03-21
Maturity Price : 20.00
Evaluated at bid price : 20.00
Bid-YTW : 5.65 %
IFC.PR.E Insurance Straight -3.35 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-03-21
Maturity Price : 23.97
Evaluated at bid price : 24.25
Bid-YTW : 5.37 %
CU.PR.E Perpetual-Discount -3.27 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-03-21
Maturity Price : 23.41
Evaluated at bid price : 23.70
Bid-YTW : 5.20 %
CU.PR.J Perpetual-Premium -2.49 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-03-21
Maturity Price : 23.08
Evaluated at bid price : 23.50
Bid-YTW : 5.08 %
PVS.PR.F SplitShare -1.80 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2024-09-30
Maturity Price : 25.00
Evaluated at bid price : 25.10
Bid-YTW : 4.73 %
PVS.PR.H SplitShare -1.76 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2027-02-28
Maturity Price : 25.00
Evaluated at bid price : 25.10
Bid-YTW : 4.67 %
GWO.PR.N FixedReset Ins Non 1.01 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-03-21
Maturity Price : 16.06
Evaluated at bid price : 16.06
Bid-YTW : 4.85 %
TRP.PR.E FixedReset Disc 1.01 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-03-21
Maturity Price : 19.92
Evaluated at bid price : 19.92
Bid-YTW : 5.59 %
MFC.PR.Q FixedReset Ins Non 1.02 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-03-21
Maturity Price : 24.40
Evaluated at bid price : 24.75
Bid-YTW : 4.76 %
CM.PR.P FixedReset Disc 1.03 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-03-21
Maturity Price : 22.16
Evaluated at bid price : 22.55
Bid-YTW : 4.82 %
CM.PR.Q FixedReset Disc 1.06 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-03-21
Maturity Price : 22.86
Evaluated at bid price : 23.85
Bid-YTW : 4.80 %
FTS.PR.G FixedReset Disc 1.12 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-03-21
Maturity Price : 21.42
Evaluated at bid price : 21.75
Bid-YTW : 4.95 %
PWF.PR.K Perpetual-Discount 1.17 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-03-21
Maturity Price : 23.98
Evaluated at bid price : 24.23
Bid-YTW : 5.17 %
NA.PR.W FixedReset Disc 1.17 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-03-21
Maturity Price : 22.09
Evaluated at bid price : 22.45
Bid-YTW : 4.83 %
BIP.PR.E FixedReset Prem 1.20 % YTW SCENARIO
Maturity Type : Call
Maturity Date : 2023-03-31
Maturity Price : 25.00
Evaluated at bid price : 25.30
Bid-YTW : 3.66 %
FTS.PR.J Perpetual-Discount 1.23 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-03-21
Maturity Price : 23.60
Evaluated at bid price : 23.87
Bid-YTW : 5.01 %
BIP.PR.A FixedReset Disc 1.34 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-03-21
Maturity Price : 22.61
Evaluated at bid price : 23.36
Bid-YTW : 5.74 %
FTS.PR.K FixedReset Disc 1.36 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-03-21
Maturity Price : 20.88
Evaluated at bid price : 20.88
Bid-YTW : 5.04 %
BAM.PF.G FixedReset Disc 1.40 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-03-21
Maturity Price : 21.42
Evaluated at bid price : 21.75
Bid-YTW : 5.37 %
MFC.PR.J FixedReset Ins Non 1.44 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-03-21
Maturity Price : 24.28
Evaluated at bid price : 24.70
Bid-YTW : 4.82 %
RY.PR.Z FixedReset Disc 1.45 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-03-21
Maturity Price : 22.77
Evaluated at bid price : 23.08
Bid-YTW : 4.67 %
IFC.PR.C FixedReset Disc 1.54 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-03-21
Maturity Price : 22.33
Evaluated at bid price : 23.05
Bid-YTW : 4.83 %
MFC.PR.K FixedReset Ins Non 1.56 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-03-21
Maturity Price : 23.00
Evaluated at bid price : 23.43
Bid-YTW : 4.67 %
PWF.PR.T FixedReset Disc 1.66 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-03-21
Maturity Price : 22.87
Evaluated at bid price : 23.23
Bid-YTW : 4.88 %
BIP.PR.F FixedReset Prem 1.77 % YTW SCENARIO
Maturity Type : Call
Maturity Date : 2023-12-31
Maturity Price : 25.00
Evaluated at bid price : 25.28
Bid-YTW : 4.38 %
CM.PR.O FixedReset Disc 2.02 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-03-21
Maturity Price : 22.36
Evaluated at bid price : 22.75
Bid-YTW : 4.83 %
SLF.PR.G FixedReset Ins Non 2.19 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-03-21
Maturity Price : 17.27
Evaluated at bid price : 17.27
Bid-YTW : 4.73 %
CU.PR.C FixedReset Disc 2.26 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-03-21
Maturity Price : 22.03
Evaluated at bid price : 22.60
Bid-YTW : 5.04 %
IFC.PR.G FixedReset Ins Non 2.29 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-03-21
Maturity Price : 24.23
Evaluated at bid price : 24.60
Bid-YTW : 4.79 %
TRP.PR.A FixedReset Disc 2.81 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-03-21
Maturity Price : 17.90
Evaluated at bid price : 17.90
Bid-YTW : 5.58 %
MFC.PR.L FixedReset Ins Non 2.92 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-03-21
Maturity Price : 21.51
Evaluated at bid price : 21.88
Bid-YTW : 4.86 %
ELF.PR.G Perpetual-Discount 3.11 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-03-21
Maturity Price : 23.25
Evaluated at bid price : 23.55
Bid-YTW : 5.11 %
IFC.PR.A FixedReset Ins Non 3.15 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-03-21
Maturity Price : 20.00
Evaluated at bid price : 20.00
Bid-YTW : 4.84 %
MFC.PR.M FixedReset Ins Non 3.91 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-03-21
Maturity Price : 22.38
Evaluated at bid price : 22.86
Bid-YTW : 4.82 %
Volume Highlights
Issue Index Shares
Traded		 Notes
TRP.PR.D FixedReset Disc 81,750 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-03-21
Maturity Price : 20.15
Evaluated at bid price : 20.15
Bid-YTW : 5.61 %
MFC.PR.L FixedReset Ins Non 68,240 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-03-21
Maturity Price : 21.51
Evaluated at bid price : 21.88
Bid-YTW : 4.86 %
IFC.PR.K Perpetual-Premium 38,623 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-03-21
Maturity Price : 24.65
Evaluated at bid price : 25.05
Bid-YTW : 5.26 %
TRP.PR.E FixedReset Disc 31,556 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-03-21
Maturity Price : 19.92
Evaluated at bid price : 19.92
Bid-YTW : 5.59 %
GWO.PR.G Insurance Straight 30,100 YTW SCENARIO
Maturity Type : Call
Maturity Date : 2022-04-20
Maturity Price : 25.00
Evaluated at bid price : 25.00
Bid-YTW : 3.31 %
CM.PR.P FixedReset Disc 22,450 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-03-21
Maturity Price : 22.16
Evaluated at bid price : 22.55
Bid-YTW : 4.82 %
There were 9 other index-included issues trading in excess of 10,000 shares.
Wide Spread Highlights
Issue Index Quote Data and Yield Notes
TRP.PR.G FixedReset Disc Quote: 12.29 – 22.92
Spot Rate : 10.6300
Average : 5.7455

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-03-21
Maturity Price : 12.29
Evaluated at bid price : 12.29
Bid-YTW : 9.44 %
TD.PF.D FixedReset Disc Quote: 21.50 – 24.15
Spot Rate : 2.6500
Average : 1.7505

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-03-21
Maturity Price : 21.50
Evaluated at bid price : 21.50
Bid-YTW : 5.42 %
SLF.PR.G FixedReset Ins Non Quote: 17.27 – 19.00
Spot Rate : 1.7300
Average : 1.0246

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-03-21
Maturity Price : 17.27
Evaluated at bid price : 17.27
Bid-YTW : 4.73 %
CU.PR.E Perpetual-Discount Quote: 23.70 – 24.70
Spot Rate : 1.0000
Average : 0.6290

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-03-21
Maturity Price : 23.41
Evaluated at bid price : 23.70
Bid-YTW : 5.20 %
BAM.PR.B Floater Quote: 14.09 – 15.00
Spot Rate : 0.9100
Average : 0.5774

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-03-21
Maturity Price : 14.09
Evaluated at bid price : 14.09
Bid-YTW : 3.35 %
BAM.PF.E FixedReset Disc Quote: 20.00 – 21.19
Spot Rate : 1.1900
Average : 0.8915

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-03-21
Maturity Price : 20.00
Evaluated at bid price : 20.00
Bid-YTW : 5.65 %

Posted in Market Action | 1 Comment »

Maturity Date Problem with PVS New Issue

March 21st, 2022

OK, so this is sufficiently funny and problematic enough to warrant a midday post.

As noted in both press releases quoted in the post New Issue: PVS SplitShare, 4.45%, 7-Year, the new issue “will have a final maturity of May 31, 2029”.

However, if one visits SEDAR and searches for “Partners Value Split Corp. Mar 18 2022 20:31:23 ET Prospectus (non pricing) supplement (other than ATM) – English PDF 528 K” (I’m not allowed to link it directly, because the Canadian Securities Administrators consider prospectuses and other public documents to be TOP SECRET and don’t want investor scum to have easy access), one finds an interesting definition on page S-4 (bolding from original):

Series 13 Preferred Shares may be redeemed by the Company at any time on or after May 31, 2027 and prior to May 31, 2028 (the “Series 13 Redemption Date”)

This definition may be compared with another definition on page S-14 (bolding from original):

Series 13 Preferred Shares may be redeemed by the Company at any time on or after May 31, 2027 and prior to May 31, 2029 (the “Series 13 Redemption Date”)

So not only has somebody fallen down a bit on the proofreading aspect of things, but I am a little startled to learn that big-shot Bay Street lawyers don’t have some kind of automatic editor in their prospectus writing software that would check for duplicate definitions and, ideally, make an alphabetized list that could be easily checked.

I have telephoned the company and will report back if I get an answer.

Afficionados of prospectus errors will remember the story of RY.PR.W; I have heard rumours to the effect that it was convertible to equity only by accident.

Update, 2022-3-22: No response from the company. You just can’t get help any more.

Posted in Issue Comments, New Issues | 1 Comment »

March 18, 2022

March 18th, 2022
HIMIPref™ Preferred Indices
These values reflect the December 2008 revision of the HIMIPref™ Indices
Values are provisional and are finalized monthly
Index Mean
Current
Yield
(at bid)		 Median
YTW		 Median
Average
Trading
Value		 Median
Mod Dur
(YTW)		 Issues Day’s Perf. Index Value
Ratchet 3.22 % 3.78 % 30,748 19.65 1 1.0422 % 2,762.2
FixedFloater 0.00 % 0.00 % 0 0.00 0 0.6416 % 5,246.0
Floater 3.35 % 3.33 % 59,263 18.92 3 0.6416 % 3,023.3
OpRet 0.00 % 0.00 % 0 0.00 0 0.0842 % 3,639.9
SplitShare 4.71 % 4.26 % 28,396 3.40 7 0.0842 % 4,346.8
Interest-Bearing 0.00 % 0.00 % 0 0.00 0 0.0842 % 3,391.6
Perpetual-Premium 5.33 % -4.64 % 61,371 0.09 17 0.0372 % 3,197.2
Perpetual-Discount 5.09 % 5.17 % 65,376 15.14 16 1.1736 % 3,632.2
FixedReset Disc 4.17 % 4.72 % 119,615 16.05 46 0.5629 % 2,721.5
Insurance Straight 5.08 % 4.82 % 92,939 15.26 18 0.2553 % 3,529.0
FloatingReset 3.17 % 3.51 % 42,731 18.51 2 1.5020 % 2,852.2
FixedReset Prem 4.75 % 3.64 % 150,629 2.00 23 0.3263 % 2,702.4
FixedReset Bank Non 0.00 % 0.00 % 0 0.00 0 0.5629 % 2,781.9
FixedReset Ins Non 4.29 % 4.71 % 74,099 16.03 17 0.8444 % 2,830.8
Performance Highlights
Issue Index Change Notes
TRP.PR.A FixedReset Disc -2.46 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-03-18
Maturity Price : 17.41
Evaluated at bid price : 17.41
Bid-YTW : 5.47 %
BAM.PR.X FixedReset Disc -2.00 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-03-18
Maturity Price : 17.17
Evaluated at bid price : 17.17
Bid-YTW : 5.45 %
BAM.PR.M Perpetual-Discount -1.74 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-03-18
Maturity Price : 22.39
Evaluated at bid price : 22.65
Bid-YTW : 5.25 %
ELF.PR.G Perpetual-Discount -1.34 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-03-18
Maturity Price : 22.59
Evaluated at bid price : 22.84
Bid-YTW : 5.28 %
NA.PR.W FixedReset Disc -1.16 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-03-18
Maturity Price : 21.90
Evaluated at bid price : 22.19
Bid-YTW : 4.68 %
RY.PR.Z FixedReset Disc -1.09 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-03-18
Maturity Price : 22.46
Evaluated at bid price : 22.75
Bid-YTW : 4.52 %
BAM.PF.B FixedReset Disc 1.03 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-03-18
Maturity Price : 22.22
Evaluated at bid price : 22.51
Bid-YTW : 5.05 %
BAM.PR.E Ratchet 1.04 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-03-18
Maturity Price : 25.00
Evaluated at bid price : 19.39
Bid-YTW : 3.78 %
IFC.PR.G FixedReset Ins Non 1.05 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-03-18
Maturity Price : 23.59
Evaluated at bid price : 24.05
Bid-YTW : 4.67 %
BAM.PR.K Floater 1.07 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-03-18
Maturity Price : 14.15
Evaluated at bid price : 14.15
Bid-YTW : 3.33 %
CU.PR.F Perpetual-Discount 1.07 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-03-18
Maturity Price : 22.33
Evaluated at bid price : 22.60
Bid-YTW : 5.01 %
MFC.PR.J FixedReset Ins Non 1.08 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-03-18
Maturity Price : 23.85
Evaluated at bid price : 24.35
Bid-YTW : 4.66 %
TD.PF.D FixedReset Disc 1.09 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-03-18
Maturity Price : 22.93
Evaluated at bid price : 24.01
Bid-YTW : 4.61 %
FTS.PR.M FixedReset Disc 1.10 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-03-18
Maturity Price : 21.63
Evaluated at bid price : 22.06
Bid-YTW : 4.93 %
MFC.PR.N FixedReset Ins Non 1.15 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-03-18
Maturity Price : 21.75
Evaluated at bid price : 22.00
Bid-YTW : 4.71 %
TRP.PR.D FixedReset Disc 1.21 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-03-18
Maturity Price : 20.00
Evaluated at bid price : 20.00
Bid-YTW : 5.40 %
IFC.PR.A FixedReset Ins Non 1.25 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-03-18
Maturity Price : 19.39
Evaluated at bid price : 19.39
Bid-YTW : 4.71 %
TRP.PR.F FloatingReset 1.26 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-03-18
Maturity Price : 17.64
Evaluated at bid price : 17.64
Bid-YTW : 3.51 %
GWO.PR.I Insurance Straight 1.29 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-03-18
Maturity Price : 22.49
Evaluated at bid price : 22.75
Bid-YTW : 4.95 %
BMO.PR.F FixedReset Prem 1.34 % YTW SCENARIO
Maturity Type : Call
Maturity Date : 2024-05-25
Maturity Price : 25.00
Evaluated at bid price : 26.45
Bid-YTW : 2.52 %
BAM.PF.I FixedReset Prem 1.74 % YTW SCENARIO
Maturity Type : Call
Maturity Date : 2022-04-30
Maturity Price : 25.00
Evaluated at bid price : 26.35
Bid-YTW : -37.43 %
SLF.PR.J FloatingReset 1.74 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-03-18
Maturity Price : 17.50
Evaluated at bid price : 17.50
Bid-YTW : 2.81 %
EMA.PR.L Perpetual-Discount 2.12 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-03-18
Maturity Price : 23.29
Evaluated at bid price : 23.60
Bid-YTW : 4.91 %
PWF.PR.P FixedReset Disc 2.16 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-03-18
Maturity Price : 16.55
Evaluated at bid price : 16.55
Bid-YTW : 4.90 %
MFC.PR.Q FixedReset Ins Non 2.21 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-03-18
Maturity Price : 24.10
Evaluated at bid price : 24.50
Bid-YTW : 4.58 %
FTS.PR.K FixedReset Disc 2.23 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-03-18
Maturity Price : 20.60
Evaluated at bid price : 20.60
Bid-YTW : 4.87 %
SLF.PR.G FixedReset Ins Non 2.36 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-03-18
Maturity Price : 16.90
Evaluated at bid price : 16.90
Bid-YTW : 4.57 %
FTS.PR.H FixedReset Disc 2.44 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-03-18
Maturity Price : 16.38
Evaluated at bid price : 16.38
Bid-YTW : 4.79 %
MFC.PR.K FixedReset Ins Non 2.44 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-03-18
Maturity Price : 22.66
Evaluated at bid price : 23.07
Bid-YTW : 4.51 %
BAM.PR.Z FixedReset Disc 2.86 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-03-18
Maturity Price : 23.46
Evaluated at bid price : 24.07
Bid-YTW : 5.05 %
BAM.PR.R FixedReset Disc 3.43 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-03-18
Maturity Price : 19.29
Evaluated at bid price : 19.29
Bid-YTW : 5.19 %
MFC.PR.F FixedReset Ins Non 3.83 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-03-18
Maturity Price : 17.10
Evaluated at bid price : 17.10
Bid-YTW : 4.58 %
BAM.PR.N Perpetual-Discount 22.97 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-03-18
Maturity Price : 22.49
Evaluated at bid price : 22.75
Bid-YTW : 5.22 %
Volume Highlights
Issue Index Shares
Traded		 Notes
MFC.PR.I FixedReset Ins Non 52,342 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-03-18
Maturity Price : 24.21
Evaluated at bid price : 24.80
Bid-YTW : 4.81 %
GWO.PR.T Insurance Straight 51,902 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-03-18
Maturity Price : 24.43
Evaluated at bid price : 24.72
Bid-YTW : 5.21 %
TD.PF.M FixedReset Prem 44,325 YTW SCENARIO
Maturity Type : Call
Maturity Date : 2024-07-31
Maturity Price : 25.00
Evaluated at bid price : 26.22
Bid-YTW : 3.25 %
BAM.PR.N Perpetual-Discount 40,602 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-03-18
Maturity Price : 22.49
Evaluated at bid price : 22.75
Bid-YTW : 5.22 %
FTS.PR.M FixedReset Disc 38,325 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-03-18
Maturity Price : 21.63
Evaluated at bid price : 22.06
Bid-YTW : 4.93 %
POW.PR.G Perpetual-Premium 38,129 YTW SCENARIO
Maturity Type : Call
Maturity Date : 2022-04-17
Maturity Price : 25.00
Evaluated at bid price : 25.56
Bid-YTW : -9.46 %
There were 54 other index-included issues trading in excess of 10,000 shares.
Wide Spread Highlights
Issue Index Quote Data and Yield Notes
TRP.PR.D FixedReset Disc Quote: 20.00 – 21.70
Spot Rate : 1.7000
Average : 0.9979

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-03-18
Maturity Price : 20.00
Evaluated at bid price : 20.00
Bid-YTW : 5.40 %
MFC.PR.M FixedReset Ins Non Quote: 22.00 – 23.41
Spot Rate : 1.4100
Average : 0.8178

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-03-18
Maturity Price : 21.59
Evaluated at bid price : 22.00
Bid-YTW : 4.79 %
TRP.PR.E FixedReset Disc Quote: 19.72 – 21.20
Spot Rate : 1.4800
Average : 0.8931

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-03-18
Maturity Price : 19.72
Evaluated at bid price : 19.72
Bid-YTW : 5.40 %
CM.PR.O FixedReset Disc Quote: 22.30 – 23.50
Spot Rate : 1.2000
Average : 0.6914

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-03-18
Maturity Price : 22.04
Evaluated at bid price : 22.30
Bid-YTW : 4.72 %
MFC.PR.L FixedReset Ins Non Quote: 21.26 – 22.72
Spot Rate : 1.4600
Average : 0.9651

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-03-18
Maturity Price : 21.26
Evaluated at bid price : 21.26
Bid-YTW : 4.79 %
GWO.PR.H Insurance Straight Quote: 23.56 – 24.80
Spot Rate : 1.2400
Average : 0.7781

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-03-18
Maturity Price : 23.26
Evaluated at bid price : 23.56
Bid-YTW : 5.15 %

Posted in Market Action | No Comments »

New Issue: PVS SplitShare, 4.45%, 7-Year

March 17th, 2022

Partners Value Split Corp. has announced:

that it has entered into an agreement to sell 4,000,000 Class AA Preferred Shares, Series 13 (the “Series 13 Preferred Shares”) to a syndicate of underwriters led by Scotiabank, BMO Capital Markets, CIBC Capital Markets, RBC Capital Markets and TD Securities Inc. on a bought deal basis.

The Series 13 Preferred Shares will be issued at a price of $25.00 per share, for gross proceeds of $100,000,000. The Series 13 Preferred Shares will carry a fixed coupon of 4.45% and will have a final maturity of May 31, 2029. The Series 13 Preferred Shares have a provisional rating of Pfd-2 (low) from DBRS Limited. The net proceeds of the offering will be used by the Company to pay a special dividend on the Company’s capital shares.

The Company has granted the underwriters an option, exercisable in whole or part prior to closing, to purchase up to an additional 2,000,000 Series 13 Preferred Shares at the same offering price, which, if exercised in full, would increase the gross offering size to $150,000,000. Closing of the offering is expected to occur on or about March 25, 2022.

The Company owns a portfolio consisting of approximately 119.6 million Class A Limited Voting Shares of Brookfield Asset Management Inc. (the “Brookfield Shares”) which is expected to yield quarterly dividends that are sufficient to fund quarterly fixed cumulative preferential dividends for the holders of the Company’s preferred shares and to enable the holders of the Company’s capital shares to participate in any capital appreciation of the Brookfield Shares. Brookfield Asset Management Inc. (“BAM”) is a leading global alternative asset manager with approximately US$690 billion of assets under management across real estate, infrastructure, renewable power, private equity and credit. BAM owns and operates long-life assets and businesses, many of which form the backbone of the global economy. Utilizing its global reach, access to large-scale capital and operational expertise, BAM offers a range of alternative investment products to investors around the world—including public and private pension plans, endowments and foundations, sovereign wealth funds, financial institutions, insurance companies and private wealth investors. BAM is listed on the New York Stock Exchange and Toronto Stock Exchange under the symbol BAM and BAM.A respectively.

Update, 2022-3-21: The greenshoe was exercised:

Partners Value Split Corp. (the “Company”) announced today that as a result of strong investor demand for its previously announced offering, the underwriters have exercised their option to increase the size of the offering to 6,000,000 Class AA Preferred Shares, Series 13 (the “Series 13 Preferred Shares”). The Series 13 Preferred Shares will be issued at a price of $25.00 per share, for gross proceeds of $150,000,000. The Series 13 Preferred Shares are being issued on a bought deal basis to a syndicate of underwriters led by Scotiabank, BMO Capital Markets, CIBC Capital Markets, RBC Capital Markets and TD Securities Inc.

The Series 13 Preferred Shares will carry a fixed coupon of 4.45% and will have a final maturity of May 31, 2029. The Series 13 Preferred Shares have a provisional rating of Pfd-2 (low) from DBRS Limited. The net proceeds of the offering will be used to pay a special dividend on the Company’s capital shares. Closing of the offering is expected to occur on or about March 25, 2022.

Posted in New Issues | 2 Comments »

March 17, 2022

March 17th, 2022
HIMIPref™ Preferred Indices
These values reflect the December 2008 revision of the HIMIPref™ Indices
Values are provisional and are finalized monthly
Index Mean
Current
Yield
(at bid)		 Median
YTW		 Median
Average
Trading
Value		 Median
Mod Dur
(YTW)		 Issues Day’s Perf. Index Value
Ratchet 3.25 % 3.83 % 31,066 19.60 1 0.2089 % 2,733.7
FixedFloater 0.00 % 0.00 % 0 0.00 0 0.4296 % 5,212.6
Floater 3.37 % 3.37 % 57,090 18.84 3 0.4296 % 3,004.0
OpRet 0.00 % 0.00 % 0 0.00 0 -0.4024 % 3,636.8
SplitShare 4.71 % 4.25 % 27,414 3.40 7 -0.4024 % 4,343.2
Interest-Bearing 0.00 % 0.00 % 0 0.00 0 -0.4024 % 3,388.7
Perpetual-Premium 5.33 % -0.07 % 59,944 0.09 17 0.0837 % 3,196.1
Perpetual-Discount 5.15 % 5.12 % 62,245 15.26 16 -1.5606 % 3,590.0
FixedReset Disc 4.19 % 4.72 % 118,393 16.01 46 0.7148 % 2,706.3
Insurance Straight 5.09 % 4.85 % 90,602 15.24 18 0.0691 % 3,520.0
FloatingReset 3.21 % 3.55 % 40,374 18.41 2 0.0578 % 2,810.0
FixedReset Prem 4.77 % 4.08 % 148,820 2.07 23 0.2140 % 2,693.6
FixedReset Bank Non 0.00 % 0.00 % 0 0.00 0 0.7148 % 2,766.4
FixedReset Ins Non 4.33 % 4.77 % 72,565 15.99 17 0.3969 % 2,807.1
Performance Highlights
Issue Index Change Notes
BAM.PR.N Perpetual-Discount -19.21 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-03-17
Maturity Price : 18.50
Evaluated at bid price : 18.50
Bid-YTW : 6.45 %
EMA.PR.L Perpetual-Discount -3.51 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-03-17
Maturity Price : 22.74
Evaluated at bid price : 23.11
Bid-YTW : 5.01 %
PVS.PR.J SplitShare -1.43 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2028-02-29
Maturity Price : 25.00
Evaluated at bid price : 24.80
Bid-YTW : 4.60 %
BAM.PF.J FixedReset Prem -1.15 % YTW SCENARIO
Maturity Type : Call
Maturity Date : 2022-12-31
Maturity Price : 25.00
Evaluated at bid price : 24.96
Bid-YTW : 4.73 %
CM.PR.Q FixedReset Disc -1.06 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-03-17
Maturity Price : 22.63
Evaluated at bid price : 23.40
Bid-YTW : 4.72 %
GWO.PR.Q Insurance Straight 1.02 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-03-17
Maturity Price : 24.50
Evaluated at bid price : 24.75
Bid-YTW : 5.21 %
BAM.PF.A FixedReset Disc 1.05 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-03-17
Maturity Price : 23.60
Evaluated at bid price : 24.00
Bid-YTW : 5.04 %
PWF.PR.T FixedReset Disc 1.10 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-03-17
Maturity Price : 22.65
Evaluated at bid price : 23.00
Bid-YTW : 4.70 %
MFC.PR.J FixedReset Ins Non 1.22 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-03-17
Maturity Price : 23.56
Evaluated at bid price : 24.09
Bid-YTW : 4.71 %
TRP.PR.D FixedReset Disc 1.28 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-03-17
Maturity Price : 19.76
Evaluated at bid price : 19.76
Bid-YTW : 5.47 %
CM.PR.Y FixedReset Prem 1.31 % YTW SCENARIO
Maturity Type : Call
Maturity Date : 2024-07-31
Maturity Price : 25.00
Evaluated at bid price : 26.20
Bid-YTW : 3.36 %
IFC.PR.C FixedReset Disc 1.35 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-03-17
Maturity Price : 22.00
Evaluated at bid price : 22.50
Bid-YTW : 4.78 %
MFC.PR.L FixedReset Ins Non 1.53 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-03-17
Maturity Price : 21.25
Evaluated at bid price : 21.25
Bid-YTW : 4.79 %
TRP.PR.E FixedReset Disc 1.55 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-03-17
Maturity Price : 19.65
Evaluated at bid price : 19.65
Bid-YTW : 5.42 %
FTS.PR.M FixedReset Disc 1.58 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-03-17
Maturity Price : 21.46
Evaluated at bid price : 21.82
Bid-YTW : 4.99 %
BAM.PR.T FixedReset Disc 1.66 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-03-17
Maturity Price : 20.18
Evaluated at bid price : 20.18
Bid-YTW : 5.27 %
MFC.PR.N FixedReset Ins Non 1.78 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-03-17
Maturity Price : 21.41
Evaluated at bid price : 21.75
Bid-YTW : 4.76 %
TRP.PR.G FixedReset Disc 2.03 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-03-17
Maturity Price : 22.15
Evaluated at bid price : 22.65
Bid-YTW : 5.04 %
MFC.PR.B Insurance Straight 2.04 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-03-17
Maturity Price : 23.69
Evaluated at bid price : 24.00
Bid-YTW : 4.85 %
NA.PR.W FixedReset Disc 2.05 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-03-17
Maturity Price : 22.09
Evaluated at bid price : 22.45
Bid-YTW : 4.62 %
FTS.PR.G FixedReset Disc 2.16 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-03-17
Maturity Price : 21.30
Evaluated at bid price : 21.30
Bid-YTW : 4.84 %
FTS.PR.K FixedReset Disc 2.28 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-03-17
Maturity Price : 20.15
Evaluated at bid price : 20.15
Bid-YTW : 4.97 %
TRP.PR.A FixedReset Disc 2.47 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-03-17
Maturity Price : 17.85
Evaluated at bid price : 17.85
Bid-YTW : 5.33 %
FTS.PR.H FixedReset Disc 4.10 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-03-17
Maturity Price : 15.99
Evaluated at bid price : 15.99
Bid-YTW : 4.90 %
BAM.PF.E FixedReset Disc 8.38 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-03-17
Maturity Price : 20.70
Evaluated at bid price : 20.70
Bid-YTW : 5.24 %
Volume Highlights
Issue Index Shares
Traded		 Notes
IFC.PR.K Perpetual-Premium 129,788 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-03-17
Maturity Price : 24.67
Evaluated at bid price : 25.07
Bid-YTW : 5.25 %
RY.PR.H FixedReset Disc 88,511 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-03-17
Maturity Price : 22.36
Evaluated at bid price : 22.77
Bid-YTW : 4.54 %
BAM.PF.F FixedReset Disc 80,896 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-03-17
Maturity Price : 22.09
Evaluated at bid price : 22.40
Bid-YTW : 5.23 %
BAM.PR.C Floater 77,000 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-03-17
Maturity Price : 14.00
Evaluated at bid price : 14.00
Bid-YTW : 3.37 %
PWF.PF.A Perpetual-Discount 76,200 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-03-17
Maturity Price : 22.62
Evaluated at bid price : 23.00
Bid-YTW : 4.94 %
NA.PR.S FixedReset Disc 51,592 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-03-17
Maturity Price : 22.67
Evaluated at bid price : 22.98
Bid-YTW : 4.70 %
There were 11 other index-included issues trading in excess of 10,000 shares.
Wide Spread Highlights
Issue Index Quote Data and Yield Notes
BAM.PR.N Perpetual-Discount Quote: 18.50 – 23.29
Spot Rate : 4.7900
Average : 2.5771

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-03-17
Maturity Price : 18.50
Evaluated at bid price : 18.50
Bid-YTW : 6.45 %
PVS.PR.F SplitShare Quote: 25.56 – 26.92
Spot Rate : 1.3600
Average : 0.7554

YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2024-09-30
Maturity Price : 25.00
Evaluated at bid price : 25.56
Bid-YTW : 3.93 %
BAM.PR.R FixedReset Disc Quote: 18.65 – 20.20
Spot Rate : 1.5500
Average : 1.1609

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-03-17
Maturity Price : 18.65
Evaluated at bid price : 18.65
Bid-YTW : 5.37 %
BAM.PF.D Perpetual-Discount Quote: 23.28 – 24.55
Spot Rate : 1.2700
Average : 0.8825

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-03-17
Maturity Price : 23.02
Evaluated at bid price : 23.28
Bid-YTW : 5.27 %
BAM.PR.K Floater Quote: 14.00 – 14.99
Spot Rate : 0.9900
Average : 0.6336

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-03-17
Maturity Price : 14.00
Evaluated at bid price : 14.00
Bid-YTW : 3.37 %
BAM.PF.F FixedReset Disc Quote: 22.40 – 23.70
Spot Rate : 1.3000
Average : 0.9769

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-03-17
Maturity Price : 22.09
Evaluated at bid price : 22.40
Bid-YTW : 5.23 %

Posted in Market Action | No Comments »

What does “… intends to redeem” mean?

March 16th, 2022

Assiduous Reader JD contacted me last night about my choice of words in the March PrefLetter:

Hi James
Prefletter gave me the impression that the TRP.PR.K redemption was not officially confirmed.
“skeptical” posted a link to the official announcement by TRP in one of his comments to the March 9 Prefblog.

Well, if one person asks, that means at least ten people are curious, so here’s the answer:

See also the update to my post at https://prefblog.com/?p=43058.

It’s tricky. The press release states “The Company intends to use the proceeds to redeem its issued and outstanding Cumulative RedeemableMinimum Rate First Preferred Shares, Series 15 (TSX:TRP.PR.K) pursuant to their terms, …”

… and therefore PrefLetter states “The issuer has announced its intention to redeem TRP.PR.K at par at the end of May, 2022.”. The phrasing in PrefLetter was deliberately chosen to reflect the phrasing of the press release.

My point is that they have not yet issued an official notice of redemption to the registered shareholder. Until they do that they have full discretion to change their intentions … although the market would certainly punish a reversal.

James

I should also point out that according to the prospectus for TRP.PR.K:

Notice of any redemption of Series 15 Shares will be given by the Corporation not more than 60 days and not less than 30 days prior to the date fixed for redemption.

… so at this point they cannot give formal notice of redemption even if they want to. (Update for clarity, 2022-3-18: ; they will have to wait until the redemption notice window opens in early April and may possibly wait until later). Those terms are fairly standard for preferred share redemptions, but I admit I cannot quote any statistics on the point.
It is also worthwhile quoting the disclamatory statements at the end of the release … all that boilerplate that we all read once in our lives and forget about (emphasis added):

This release contains certain information that is forward-looking and is subject to important risks and uncertainties (such statements are usually accompanied by words such as “anticipate”, “expect”, “believe”, “may”, “will”, “should”, “estimate”, “intend” or other similar words). Forward-looking statements in this document are intended to provide TC Energy security holders and potential investors with information regarding TC Energy and its subsidiaries, including management’s assessment of TC Energy’s and its subsidiaries’ future plans and financial outlook. All forward-looking statements reflect TC Energy’s beliefs and assumptions based on information available at the time the statements were made and as such are not guarantees of future performance. As actual results could vary significantly from the forward-looking information, you should not put undue reliance on forward-looking information and should not use future-oriented information or financial outlooks for anything other than their intended purpose. We do not update our forward-looking information due to new information or future events, unless we are required to by law. For additional information on the assumptions made, and the risks and uncertainties which could cause actual results to differ from the anticipated results, refer to the most recent Quarterly Report to Shareholders and Annual Report filed under TC Energy’s profile on SEDAR at www.sedar.com and with the U.S. Securities and Exchange Commission at www.sec.gov.

So I’ll continue to be very cautious about saying ‘to be redeemed’ and won’t commit myself any more than the company does!

Posted in Issue Comments | 1 Comment »

March 16, 2022

March 16th, 2022

Canadian inflation set another 30-year high:

The Consumer Price Index rose 5.7 per cent in February from a year earlier, up from January’s 5.1-per-cent pace, Statistics Canada said Wednesday. It was the 11th consecutive month that inflation has surpassed the Bank of Canada’s target range of 1 per cent to 3 per cent.

Shelter costs in Canada rose 6.6 per cent, the largest annual change since 1983. Groceries rose 7.4 per cent, the highest in more than a decade. And gas prices jumped 6.9 per cent in the month of February alone as the Russia-Ukraine war led to volatility in energy markets.

And the FOMC met:

Indicators of economic activity and employment have continued to strengthen. Job gains have been strong in recent months, and the unemployment rate has declined substantially. Inflation remains elevated, reflecting supply and demand imbalances related to the pandemic, higher energy prices, and broader price pressures.

The invasion of Ukraine by Russia is causing tremendous human and economic hardship. The implications for the U.S. economy are highly uncertain, but in the near term the invasion and related events are likely to create additional upward pressure on inflation and weigh on economic activity.

The Committee seeks to achieve maximum employment and inflation at the rate of 2 percent over the longer run. With appropriate firming in the stance of monetary policy, the Committee expects inflation to return to its 2 percent objective and the labor market to remain strong. In support of these goals, the Committee decided to raise the target range for the federal funds rate to 1/4 to 1/2 percent and anticipates that ongoing increases in the target range will be appropriate. In addition, the Committee expects to begin reducing its holdings of Treasury securities and agency debt and agency mortgage-backed securities at a coming meeting.

In assessing the appropriate stance of monetary policy, the Committee will continue to monitor the implications of incoming information for the economic outlook. The Committee would be prepared to adjust the stance of monetary policy as appropriate if risks emerge that could impede the attainment of the Committee’s goals. The Committee’s assessments will take into account a wide range of information, including readings on public health, labor market conditions, inflation pressures and inflation expectations, and financial and international developments.

Voting for the monetary policy action were Jerome H. Powell, Chair; John C. Williams, Vice Chair; Michelle W. Bowman; Lael Brainard; Esther L. George; Patrick Harker; Loretta J. Mester; and Christopher J. Waller. Voting against this action was James Bullard, who preferred at this meeting to raise the target range for the federal funds rate by 0.5 percentage point to 1/2 to 3/4 percent. Patrick Harker voted as an alternate member at this meeting.

The New York Times points out:

Policymakers projected six more similarly sized moves over the course of 2022 as inflation has reached a 40-year high, signaling that they are prepared to pull back support for the economy markedly.

And the Canada 5-year yield jumped again today, and is now at 2.03%.

PerpetualDiscounts now yield 5.15%, equivalent to 6.70% interest at the standard equivalency factor of 1.3x. Long corporates now yield 4.19%, so the pre-tax interest-equivalent spread (in this context, the “Seniority Spread”) has narrowed slightly (and perhaps spuriously) to 250bp from the 255bp reported March 9.

HIMIPref™ Preferred Indices
These values reflect the December 2008 revision of the HIMIPref™ Indices
Values are provisional and are finalized monthly
Index Mean
Current
Yield
(at bid)		 Median
YTW		 Median
Average
Trading
Value		 Median
Mod Dur
(YTW)		 Issues Day’s Perf. Index Value
Ratchet 3.25 % 3.83 % 31,279 19.61 1 1.4838 % 2,728.0
FixedFloater 0.00 % 0.00 % 0 0.00 0 0.7454 % 5,190.3
Floater 3.38 % 3.37 % 57,839 18.84 3 0.7454 % 2,991.2
OpRet 0.00 % 0.00 % 0 0.00 0 0.1511 % 3,651.5
SplitShare 4.69 % 4.20 % 27,348 3.41 7 0.1511 % 4,360.7
Interest-Bearing 0.00 % 0.00 % 0 0.00 0 0.1511 % 3,402.4
Perpetual-Premium 5.33 % 0.23 % 59,303 0.09 17 0.0885 % 3,193.4
Perpetual-Discount 5.07 % 5.15 % 62,275 15.21 16 -0.2511 % 3,646.9
FixedReset Disc 4.22 % 4.73 % 119,380 15.93 46 0.5139 % 2,687.1
Insurance Straight 5.10 % 4.84 % 90,206 15.30 18 -0.1471 % 3,517.6
FloatingReset 3.22 % 3.56 % 40,850 18.41 2 0.9335 % 2,808.3
FixedReset Prem 4.78 % 3.96 % 147,689 2.07 23 0.0891 % 2,687.9
FixedReset Bank Non 0.00 % 0.00 % 0 0.00 0 0.5139 % 2,746.7
FixedReset Ins Non 4.35 % 4.78 % 72,581 15.87 17 0.5921 % 2,796.0
Performance Highlights
Issue Index Change Notes
ELF.PR.G Perpetual-Discount -2.62 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-03-16
Maturity Price : 22.77
Evaluated at bid price : 23.05
Bid-YTW : 5.22 %
FTS.PR.H FixedReset Disc -2.10 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-03-16
Maturity Price : 15.36
Evaluated at bid price : 15.36
Bid-YTW : 5.09 %
NA.PR.W FixedReset Disc -1.57 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-03-16
Maturity Price : 21.59
Evaluated at bid price : 22.00
Bid-YTW : 4.71 %
MFC.PR.B Insurance Straight -1.42 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-03-16
Maturity Price : 23.22
Evaluated at bid price : 23.52
Bid-YTW : 4.95 %
GWO.PR.Q Insurance Straight -1.41 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-03-16
Maturity Price : 24.21
Evaluated at bid price : 24.50
Bid-YTW : 5.26 %
GWO.PR.S Insurance Straight -1.35 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-03-16
Maturity Price : 24.46
Evaluated at bid price : 24.76
Bid-YTW : 5.30 %
CM.PR.Y FixedReset Prem -1.30 % YTW SCENARIO
Maturity Type : Call
Maturity Date : 2024-07-31
Maturity Price : 25.00
Evaluated at bid price : 25.86
Bid-YTW : 3.95 %
GWO.PR.I Insurance Straight -1.26 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-03-16
Maturity Price : 22.40
Evaluated at bid price : 22.66
Bid-YTW : 4.96 %
FTS.PR.F Perpetual-Discount -1.26 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-03-16
Maturity Price : 24.05
Evaluated at bid price : 24.30
Bid-YTW : 5.07 %
SLF.PR.G FixedReset Ins Non -1.20 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-03-16
Maturity Price : 16.50
Evaluated at bid price : 16.50
Bid-YTW : 4.67 %
GWO.PR.Y Insurance Straight 1.11 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-03-16
Maturity Price : 22.44
Evaluated at bid price : 22.75
Bid-YTW : 4.94 %
BAM.PF.A FixedReset Disc 1.15 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-03-16
Maturity Price : 23.33
Evaluated at bid price : 23.75
Bid-YTW : 5.10 %
MFC.PR.M FixedReset Ins Non 1.20 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-03-16
Maturity Price : 21.59
Evaluated at bid price : 22.00
Bid-YTW : 4.79 %
PWF.PR.F Perpetual-Premium 1.21 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-03-16
Maturity Price : 24.68
Evaluated at bid price : 25.00
Bid-YTW : 5.31 %
CM.PR.Q FixedReset Disc 1.28 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-03-16
Maturity Price : 22.76
Evaluated at bid price : 23.65
Bid-YTW : 4.66 %
BMO.PR.E FixedReset Prem 1.29 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-03-16
Maturity Price : 23.68
Evaluated at bid price : 25.04
Bid-YTW : 4.58 %
BAM.PR.C Floater 1.45 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-03-16
Maturity Price : 13.99
Evaluated at bid price : 13.99
Bid-YTW : 3.37 %
BAM.PR.E Ratchet 1.48 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-03-16
Maturity Price : 25.00
Evaluated at bid price : 19.15
Bid-YTW : 3.83 %
BAM.PR.Z FixedReset Disc 1.51 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-03-16
Maturity Price : 22.97
Evaluated at bid price : 23.60
Bid-YTW : 5.15 %
MFC.PR.K FixedReset Ins Non 1.76 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-03-16
Maturity Price : 21.94
Evaluated at bid price : 22.51
Bid-YTW : 4.62 %
TRP.PR.F FloatingReset 1.87 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-03-16
Maturity Price : 17.40
Evaluated at bid price : 17.40
Bid-YTW : 3.56 %
MFC.PR.Q FixedReset Ins Non 2.22 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-03-16
Maturity Price : 23.50
Evaluated at bid price : 23.97
Bid-YTW : 4.68 %
RY.PR.J FixedReset Disc 3.52 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-03-16
Maturity Price : 22.86
Evaluated at bid price : 23.81
Bid-YTW : 4.62 %
TD.PF.D FixedReset Disc 10.51 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-03-16
Maturity Price : 22.81
Evaluated at bid price : 23.76
Bid-YTW : 4.67 %
Volume Highlights
Issue Index Shares
Traded		 Notes
IFC.PR.K Perpetual-Premium 132,620 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-03-16
Maturity Price : 24.60
Evaluated at bid price : 25.00
Bid-YTW : 5.26 %
MFC.PR.C Insurance Straight 90,250 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-03-16
Maturity Price : 23.48
Evaluated at bid price : 23.75
Bid-YTW : 4.74 %
BMO.PR.C FixedReset Prem 73,500 YTW SCENARIO
Maturity Type : Call
Maturity Date : 2022-05-25
Maturity Price : 25.00
Evaluated at bid price : 25.10
Bid-YTW : 3.64 %
NA.PR.E FixedReset Disc 65,700 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-03-16
Maturity Price : 23.59
Evaluated at bid price : 24.08
Bid-YTW : 4.71 %
MFC.PR.I FixedReset Ins Non 54,702 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-03-16
Maturity Price : 24.12
Evaluated at bid price : 24.73
Bid-YTW : 4.82 %
SLF.PR.D Insurance Straight 49,398 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-03-16
Maturity Price : 23.48
Evaluated at bid price : 23.75
Bid-YTW : 4.68 %
There were 32 other index-included issues trading in excess of 10,000 shares.
Wide Spread Highlights
Issue Index Quote Data and Yield Notes
SLF.PR.H FixedReset Ins Non Quote: 20.90 – 23.50
Spot Rate : 2.6000
Average : 1.6416

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-03-16
Maturity Price : 20.90
Evaluated at bid price : 20.90
Bid-YTW : 4.59 %
IFC.PR.A FixedReset Ins Non Quote: 19.15 – 21.25
Spot Rate : 2.1000
Average : 1.2512

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-03-16
Maturity Price : 19.15
Evaluated at bid price : 19.15
Bid-YTW : 4.77 %
NA.PR.S FixedReset Disc Quote: 23.01 – 23.99
Spot Rate : 0.9800
Average : 0.6613

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-03-16
Maturity Price : 22.70
Evaluated at bid price : 23.01
Bid-YTW : 4.70 %
BAM.PR.E Ratchet Quote: 19.15 – 20.50
Spot Rate : 1.3500
Average : 1.0459

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-03-16
Maturity Price : 25.00
Evaluated at bid price : 19.15
Bid-YTW : 3.83 %
ELF.PR.G Perpetual-Discount Quote: 23.05 – 23.80
Spot Rate : 0.7500
Average : 0.4880

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-03-16
Maturity Price : 22.77
Evaluated at bid price : 23.05
Bid-YTW : 5.22 %
GWO.PR.N FixedReset Ins Non Quote: 15.72 – 16.45
Spot Rate : 0.7300
Average : 0.4847

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-03-16
Maturity Price : 15.72
Evaluated at bid price : 15.72
Bid-YTW : 4.67 %

Posted in Market Action | 1 Comment »

IFC.PR.K Firm On Good Volume

March 15th, 2022

Intact Financial Corporation has announced:

that it has closed its previously announced bought deal offering (the “Offering”) of Non-Cumulative Class A Shares, Series 11 (the “Series 11 Preferred Shares”) underwritten by a syndicate of underwriters led by TD Securities Inc. together with BMO Capital Markets, CIBC Capital Markets, National Bank Financial, RBC Capital Markets and Scotiabank, resulting in aggregate gross proceeds (including the proceeds resulting from the exercise of their option) to Intact of $150 million. The net proceeds are expected to be used by Intact to fund a portion of the redemption price of all of the outstanding floating rate restricted notes (approximately $445 million, based on the exchange rate as of March 4, 2022) of the Company’s subsidiary, RSA Insurance Group Limited (formerly RSA Insurance Group plc) and/or for general corporate purposes.

Each Series 11 Preferred Share entitles the holder thereof to receive quarterly non-cumulative preferential cash dividends, if, as and when declared by the Board of Directors, on the last day of March, June, September and December in each year at a rate equal to $0.328125 per share. The initial dividend, if declared, will be paid on June 30, 2022 and will be $0.3848 per share.

The Series 11 Preferred Shares will commence trading today on the Toronto Stock Exchange under the symbol IFC.PR.K.

IFC.PR.K is a Straight Perpetual, 5.25%, announced 2022-03-07.

The issue traded 818,601 shares today in a range of 25.00-14 before closing at 25.08-12. Vital statistics are:

IFC.PR.K Perpetual-Premium YTW SCENARIO
Maturity Type : Call
Maturity Date : 2031-03-31
Maturity Price : 25.00
Evaluated at bid price : 25.08
Bid-YTW : 5.24 %

Posted in Issue Comments | No Comments »

March 15, 2022

March 15th, 2022
HIMIPref™ Preferred Indices
These values reflect the December 2008 revision of the HIMIPref™ Indices
Values are provisional and are finalized monthly
Index Mean
Current
Yield
(at bid)		 Median
YTW		 Median
Average
Trading
Value		 Median
Mod Dur
(YTW)		 Issues Day’s Perf. Index Value
Ratchet 3.30 % 3.90 % 31,779 19.53 1 0.1061 % 2,688.1
FixedFloater 0.00 % 0.00 % 0 0.00 0 0.4589 % 5,151.9
Floater 3.41 % 3.39 % 59,960 18.79 3 0.4589 % 2,969.1
OpRet 0.00 % 0.00 % 0 0.00 0 0.0140 % 3,646.0
SplitShare 4.70 % 4.23 % 27,543 3.41 7 0.0140 % 4,354.1
Interest-Bearing 0.00 % 0.00 % 0 0.00 0 0.0140 % 3,397.3
Perpetual-Premium 5.34 % 0.05 % 56,215 0.09 17 -0.0173 % 3,190.6
Perpetual-Discount 5.05 % 5.13 % 62,687 15.27 16 -0.7007 % 3,656.1
FixedReset Disc 4.24 % 4.80 % 118,552 15.87 46 -0.3306 % 2,673.3
Insurance Straight 5.09 % 4.79 % 90,260 15.24 18 -0.3550 % 3,522.7
FloatingReset 3.25 % 2.85 % 57,977 20.11 2 -0.0583 % 2,782.4
FixedReset Prem 4.78 % 4.07 % 143,071 2.07 23 -0.0069 % 2,685.5
FixedReset Bank Non 0.00 % 0.00 % 0 0.00 0 -0.3306 % 2,732.7
FixedReset Ins Non 4.37 % 4.81 % 72,861 15.83 17 0.4091 % 2,779.5
Performance Highlights
Issue Index Change Notes
TD.PF.D FixedReset Disc -9.66 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-03-15
Maturity Price : 21.50
Evaluated at bid price : 21.50
Bid-YTW : 5.21 %
GWO.PR.Y Insurance Straight -3.85 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-03-15
Maturity Price : 22.15
Evaluated at bid price : 22.50
Bid-YTW : 4.99 %
RY.PR.J FixedReset Disc -3.16 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-03-15
Maturity Price : 22.42
Evaluated at bid price : 23.00
Bid-YTW : 4.80 %
BAM.PR.R FixedReset Disc -2.36 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-03-15
Maturity Price : 18.65
Evaluated at bid price : 18.65
Bid-YTW : 5.37 %
CM.PR.Q FixedReset Disc -2.30 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-03-15
Maturity Price : 22.60
Evaluated at bid price : 23.35
Bid-YTW : 4.73 %
SLF.PR.E Insurance Straight -2.29 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-03-15
Maturity Price : 23.15
Evaluated at bid price : 23.45
Bid-YTW : 4.79 %
BAM.PR.T FixedReset Disc -2.22 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-03-15
Maturity Price : 19.85
Evaluated at bid price : 19.85
Bid-YTW : 5.36 %
CU.PR.I FixedReset Prem -1.65 % YTW SCENARIO
Maturity Type : Call
Maturity Date : 2025-12-01
Maturity Price : 25.00
Evaluated at bid price : 25.58
Bid-YTW : 3.89 %
BAM.PF.E FixedReset Disc -1.60 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-03-15
Maturity Price : 19.10
Evaluated at bid price : 19.10
Bid-YTW : 5.67 %
PWF.PR.S Perpetual-Discount -1.25 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-03-15
Maturity Price : 23.36
Evaluated at bid price : 23.65
Bid-YTW : 5.13 %
PWF.PR.F Perpetual-Premium -1.20 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-03-15
Maturity Price : 24.46
Evaluated at bid price : 24.70
Bid-YTW : 5.38 %
GWO.PR.R Insurance Straight -1.15 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-03-15
Maturity Price : 22.96
Evaluated at bid price : 23.23
Bid-YTW : 5.17 %
CU.PR.F Perpetual-Discount -1.05 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-03-15
Maturity Price : 22.25
Evaluated at bid price : 22.52
Bid-YTW : 5.02 %
IFC.PR.A FixedReset Ins Non 1.28 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-03-15
Maturity Price : 18.99
Evaluated at bid price : 18.99
Bid-YTW : 4.81 %
MFC.PR.K FixedReset Ins Non 1.33 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-03-15
Maturity Price : 21.68
Evaluated at bid price : 22.12
Bid-YTW : 4.71 %
BAM.PF.B FixedReset Disc 1.33 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-03-15
Maturity Price : 21.62
Evaluated at bid price : 22.04
Bid-YTW : 5.15 %
BAM.PR.B Floater 1.39 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-03-15
Maturity Price : 13.90
Evaluated at bid price : 13.90
Bid-YTW : 3.39 %
MFC.PR.N FixedReset Ins Non 1.43 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-03-15
Maturity Price : 21.30
Evaluated at bid price : 21.30
Bid-YTW : 4.88 %
MFC.PR.J FixedReset Ins Non 1.51 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-03-15
Maturity Price : 23.05
Evaluated at bid price : 23.60
Bid-YTW : 4.81 %
PWF.PR.P FixedReset Disc 1.56 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-03-15
Maturity Price : 16.30
Evaluated at bid price : 16.30
Bid-YTW : 4.97 %
BAM.PF.F FixedReset Disc 3.76 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-03-15
Maturity Price : 22.05
Evaluated at bid price : 22.35
Bid-YTW : 5.24 %
Volume Highlights
Issue Index Shares
Traded		 Notes
IFC.PR.K Perpetual-Premium 818,601 YTW SCENARIO
Maturity Type : Call
Maturity Date : 2031-03-31
Maturity Price : 25.00
Evaluated at bid price : 25.08
Bid-YTW : 5.24 %
MFC.PR.I FixedReset Ins Non 241,600 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-03-15
Maturity Price : 23.91
Evaluated at bid price : 24.57
Bid-YTW : 4.85 %
CM.PR.R FixedReset Prem 216,500 YTW SCENARIO
Maturity Type : Call
Maturity Date : 2022-07-31
Maturity Price : 25.00
Evaluated at bid price : 25.16
Bid-YTW : 4.24 %
TRP.PR.K FixedReset Prem 59,327 YTW SCENARIO
Maturity Type : Call
Maturity Date : 2022-05-31
Maturity Price : 25.00
Evaluated at bid price : 25.16
Bid-YTW : 2.96 %
BMO.PR.D FixedReset Prem 54,300 YTW SCENARIO
Maturity Type : Call
Maturity Date : 2022-08-25
Maturity Price : 25.00
Evaluated at bid price : 25.10
Bid-YTW : 4.07 %
TD.PF.C FixedReset Disc 40,200 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-03-15
Maturity Price : 22.06
Evaluated at bid price : 22.40
Bid-YTW : 4.65 %
There were 19 other index-included issues trading in excess of 10,000 shares.
Wide Spread Highlights
Issue Index Quote Data and Yield Notes
MFC.PR.K FixedReset Ins Non Quote: 22.12 – 24.99
Spot Rate : 2.8700
Average : 1.7081

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-03-15
Maturity Price : 21.68
Evaluated at bid price : 22.12
Bid-YTW : 4.71 %
TD.PF.D FixedReset Disc Quote: 21.50 – 24.00
Spot Rate : 2.5000
Average : 1.4521

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-03-15
Maturity Price : 21.50
Evaluated at bid price : 21.50
Bid-YTW : 5.21 %
GWO.PR.Y Insurance Straight Quote: 22.50 – 23.95
Spot Rate : 1.4500
Average : 0.9499

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-03-15
Maturity Price : 22.15
Evaluated at bid price : 22.50
Bid-YTW : 4.99 %
BAM.PR.T FixedReset Disc Quote: 19.85 – 21.50
Spot Rate : 1.6500
Average : 1.3227

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-03-15
Maturity Price : 19.85
Evaluated at bid price : 19.85
Bid-YTW : 5.36 %
RY.PR.J FixedReset Disc Quote: 23.00 – 23.92
Spot Rate : 0.9200
Average : 0.6080

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-03-15
Maturity Price : 22.42
Evaluated at bid price : 23.00
Bid-YTW : 4.80 %
SLF.PR.J FloatingReset Quote: 17.20 – 17.85
Spot Rate : 0.6500
Average : 0.4201

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-03-15
Maturity Price : 17.20
Evaluated at bid price : 17.20
Bid-YTW : 2.85 %

Posted in Market Action | No Comments »

March 14, 2022

March 14th, 2022

The five-year Canada bond yield rocketted up to 1.95% today and Rob Carrick pointed out that preferreds are on sale … so of course the market went down. What a world!

HIMIPref™ Preferred Indices
These values reflect the December 2008 revision of the HIMIPref™ Indices
Values are provisional and are finalized monthly
Index Mean
Current
Yield
(at bid)		 Median
YTW		 Median
Average
Trading
Value		 Median
Mod Dur
(YTW)		 Issues Day’s Perf. Index Value
Ratchet 3.29 % 3.90 % 33,127 19.54 1 0.2660 % 2,685.3
FixedFloater 0.00 % 0.00 % 0 0.00 0 -1.0516 % 5,128.3
Floater 3.42 % 3.42 % 62,231 18.73 3 -1.0516 % 2,955.5
OpRet 0.00 % 0.00 % 0 0.00 0 -0.1091 % 3,645.5
SplitShare 4.70 % 4.25 % 28,687 3.41 7 -0.1091 % 4,353.5
Interest-Bearing 0.00 % 0.00 % 0 0.00 0 -0.1091 % 3,396.8
Perpetual-Premium 5.34 % 1.31 % 51,417 0.08 16 -0.4061 % 3,191.1
Perpetual-Discount 5.02 % 5.07 % 63,006 15.32 16 -0.8199 % 3,681.9
FixedReset Disc 4.23 % 4.74 % 117,734 15.90 46 -0.0375 % 2,682.2
Insurance Straight 5.07 % 4.79 % 91,234 15.34 18 -0.8898 % 3,535.3
FloatingReset 3.24 % 2.84 % 58,891 20.15 2 0.2924 % 2,784.0
FixedReset Prem 4.78 % 4.30 % 143,263 2.23 23 -0.0531 % 2,685.7
FixedReset Bank Non 0.00 % 0.00 % 0 0.00 0 -0.0375 % 2,741.7
FixedReset Ins Non 4.39 % 4.82 % 73,433 15.80 17 -0.1171 % 2,768.2
Performance Highlights
Issue Index Change Notes
BAM.PF.E FixedReset Disc -3.90 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-03-14
Maturity Price : 19.41
Evaluated at bid price : 19.41
Bid-YTW : 5.58 %
PWF.PF.A Perpetual-Discount -2.93 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-03-14
Maturity Price : 22.91
Evaluated at bid price : 23.20
Bid-YTW : 4.90 %
GWO.PR.R Insurance Straight -2.49 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-03-14
Maturity Price : 23.20
Evaluated at bid price : 23.50
Bid-YTW : 5.10 %
GWO.PR.I Insurance Straight -2.40 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-03-14
Maturity Price : 22.55
Evaluated at bid price : 22.80
Bid-YTW : 4.93 %
GWO.PR.Y Insurance Straight -1.89 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-03-14
Maturity Price : 22.99
Evaluated at bid price : 23.40
Bid-YTW : 4.79 %
MFC.PR.N FixedReset Ins Non -1.87 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-03-14
Maturity Price : 21.00
Evaluated at bid price : 21.00
Bid-YTW : 4.95 %
PWF.PR.S Perpetual-Discount -1.84 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-03-14
Maturity Price : 23.67
Evaluated at bid price : 23.95
Bid-YTW : 5.06 %
BAM.PR.B Floater -1.66 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-03-14
Maturity Price : 13.71
Evaluated at bid price : 13.71
Bid-YTW : 3.44 %
BAM.PF.F FixedReset Disc -1.57 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-03-14
Maturity Price : 21.26
Evaluated at bid price : 21.54
Bid-YTW : 5.43 %
BAM.PR.N Perpetual-Discount -1.28 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-03-14
Maturity Price : 22.72
Evaluated at bid price : 23.01
Bid-YTW : 5.16 %
POW.PR.D Perpetual-Discount -1.28 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-03-14
Maturity Price : 24.44
Evaluated at bid price : 24.68
Bid-YTW : 5.14 %
PWF.PR.L Perpetual-Discount -1.27 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-03-14
Maturity Price : 24.64
Evaluated at bid price : 24.90
Bid-YTW : 5.18 %
GWO.PR.H Insurance Straight -1.20 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-03-14
Maturity Price : 23.59
Evaluated at bid price : 23.86
Bid-YTW : 5.08 %
TD.PF.C FixedReset Disc -1.10 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-03-14
Maturity Price : 22.13
Evaluated at bid price : 22.50
Bid-YTW : 4.62 %
SLF.PR.C Insurance Straight -1.04 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-03-14
Maturity Price : 23.48
Evaluated at bid price : 23.75
Bid-YTW : 4.68 %
IAF.PR.B Insurance Straight -1.00 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-03-14
Maturity Price : 23.42
Evaluated at bid price : 23.71
Bid-YTW : 4.85 %
FTS.PR.K FixedReset Disc 1.03 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-03-14
Maturity Price : 19.55
Evaluated at bid price : 19.55
Bid-YTW : 5.13 %
BAM.PF.J FixedReset Prem 1.05 % YTW SCENARIO
Maturity Type : Call
Maturity Date : 2022-12-31
Maturity Price : 25.00
Evaluated at bid price : 25.19
Bid-YTW : 3.49 %
BAM.PR.R FixedReset Disc 1.06 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-03-14
Maturity Price : 19.10
Evaluated at bid price : 19.10
Bid-YTW : 5.24 %
FTS.PR.G FixedReset Disc 1.08 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-03-14
Maturity Price : 20.60
Evaluated at bid price : 20.60
Bid-YTW : 5.00 %
RY.PR.M FixedReset Disc 1.09 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-03-14
Maturity Price : 22.51
Evaluated at bid price : 23.25
Bid-YTW : 4.55 %
NA.PR.S FixedReset Disc 1.10 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-03-14
Maturity Price : 22.70
Evaluated at bid price : 23.00
Bid-YTW : 4.70 %
CU.PR.G Perpetual-Discount 1.11 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-03-14
Maturity Price : 22.48
Evaluated at bid price : 22.75
Bid-YTW : 4.97 %
BAM.PF.I FixedReset Prem 1.16 % YTW SCENARIO
Maturity Type : Call
Maturity Date : 2022-04-30
Maturity Price : 25.00
Evaluated at bid price : 25.85
Bid-YTW : -21.75 %
TRP.PR.F FloatingReset 1.19 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-03-14
Maturity Price : 17.00
Evaluated at bid price : 17.00
Bid-YTW : 3.64 %
MFC.PR.F FixedReset Ins Non 1.23 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-03-14
Maturity Price : 16.46
Evaluated at bid price : 16.46
Bid-YTW : 4.75 %
IFC.PR.G FixedReset Ins Non 1.31 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-03-14
Maturity Price : 22.93
Evaluated at bid price : 23.40
Bid-YTW : 4.80 %
BAM.PF.A FixedReset Disc 1.35 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-03-14
Maturity Price : 23.03
Evaluated at bid price : 23.45
Bid-YTW : 5.16 %
BIP.PR.E FixedReset Prem 1.39 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-03-14
Maturity Price : 24.48
Evaluated at bid price : 24.85
Bid-YTW : 5.02 %
TRP.PR.C FixedReset Disc 1.40 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-03-14
Maturity Price : 14.50
Evaluated at bid price : 14.50
Bid-YTW : 5.46 %
CM.PR.Q FixedReset Disc 1.44 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-03-14
Maturity Price : 22.88
Evaluated at bid price : 23.90
Bid-YTW : 4.60 %
PWF.PR.P FixedReset Disc 1.90 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-03-14
Maturity Price : 16.05
Evaluated at bid price : 16.05
Bid-YTW : 5.04 %
BAM.PR.X FixedReset Disc 2.59 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-03-14
Maturity Price : 17.30
Evaluated at bid price : 17.30
Bid-YTW : 5.40 %
BIP.PR.A FixedReset Disc 2.83 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-03-14
Maturity Price : 22.33
Evaluated at bid price : 22.88
Bid-YTW : 5.67 %
Volume Highlights
Issue Index Shares
Traded		 Notes
MFC.PR.N FixedReset Ins Non 51,000 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-03-14
Maturity Price : 21.00
Evaluated at bid price : 21.00
Bid-YTW : 4.95 %
TD.PF.C FixedReset Disc 32,360 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-03-14
Maturity Price : 22.13
Evaluated at bid price : 22.50
Bid-YTW : 4.62 %
TD.PF.A FixedReset Disc 22,290 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-03-14
Maturity Price : 22.22
Evaluated at bid price : 22.60
Bid-YTW : 4.56 %
TD.PF.M FixedReset Prem 19,476 YTW SCENARIO
Maturity Type : Call
Maturity Date : 2024-07-31
Maturity Price : 25.00
Evaluated at bid price : 25.80
Bid-YTW : 3.97 %
CM.PR.T FixedReset Prem 17,900 YTW SCENARIO
Maturity Type : Call
Maturity Date : 2024-04-30
Maturity Price : 25.00
Evaluated at bid price : 25.95
Bid-YTW : 3.67 %
BAM.PR.K Floater 16,799 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-03-14
Maturity Price : 13.90
Evaluated at bid price : 13.90
Bid-YTW : 3.39 %
There were 5 other index-included issues trading in excess of 10,000 shares.
Wide Spread Highlights
Issue Index Quote Data and Yield Notes
TD.PF.C FixedReset Disc Quote: 22.50 – 23.70
Spot Rate : 1.2000
Average : 0.6932

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-03-14
Maturity Price : 22.13
Evaluated at bid price : 22.50
Bid-YTW : 4.62 %
TRP.PR.C FixedReset Disc Quote: 14.50 – 15.70
Spot Rate : 1.2000
Average : 0.8250

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-03-14
Maturity Price : 14.50
Evaluated at bid price : 14.50
Bid-YTW : 5.46 %
BAM.PF.F FixedReset Disc Quote: 21.54 – 22.90
Spot Rate : 1.3600
Average : 0.9911

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-03-14
Maturity Price : 21.26
Evaluated at bid price : 21.54
Bid-YTW : 5.43 %
BMO.PR.E FixedReset Prem Quote: 24.72 – 25.25
Spot Rate : 0.5300
Average : 0.3382

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-03-14
Maturity Price : 23.56
Evaluated at bid price : 24.72
Bid-YTW : 4.65 %
BAM.PF.E FixedReset Disc Quote: 19.41 – 21.00
Spot Rate : 1.5900
Average : 1.4009

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-03-14
Maturity Price : 19.41
Evaluated at bid price : 19.41
Bid-YTW : 5.58 %
PWF.PF.A Perpetual-Discount Quote: 23.20 – 24.00
Spot Rate : 0.8000
Average : 0.6369

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-03-14
Maturity Price : 22.91
Evaluated at bid price : 23.20
Bid-YTW : 4.90 %

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