MAPF

MAPF Portfolio Composition: August, 2022

Turnover ticked up marginally to 6% in August. Market volumes have been very low for quite some time, having never really recovered from the usual summer decline in 2021.

Sectoral distribution of the MAPF portfolio on August 31, 2022, were:

MAPF Sectoral Analysis 2022-8-31
HIMI Indices Sector Weighting YTW ModDur
Ratchet 0% N/A N/A
FixFloat 0% N/A N/A
Floater 0% N/A N/A
OpRet 0% N/A N/A
SplitShare 0% N/A N/A
Interest Rearing 0% N/A N/A
PerpetualPremium 0% N/A N/A
PerpetualDiscount 6.4% 6.41% 13.25
Fixed-Reset Discount 48.5% 7.41% 12.75
Insurance – Straight 1.9% 5.94% 14.06
FloatingReset 0% N/A N/A
FixedReset Premium 0% N/A N/A
FixedReset Bank non-NVCC 0% N/A N/A
FixedReset Insurance non-NVCC 30.5% 7.10% 13.21
Scraps – Ratchet 0% N/A N/A
Scraps – FixedFloater 0% N/A N/A
Scraps – Floater 0% N/A N/A
Scraps – OpRet 0% N/A N/A
Scraps – SplitShare 0% N/A N/A
Scraps – PerpPrem 0% N/A N/A
Scraps – PerpDisc 0% N/A N/A
Scraps – FR Discount 12.0% 8.12% 11.99
Scraps – Insurance Straight 0% N/A N/A
Scraps – FloatingReset 0% N/A N/A
Scraps – FR Premium 0% N/A N/A
Scraps – Bank non-NVCC 0% N/A N/A
Scraps – Ins non-NVCC 0% N/A N/A
Cash +0.7% 0.00% 0.00
Total 100% 7.26% 12.77
Totals and changes will not add precisely due to rounding. Cash is included in totals with duration and yield both equal to zero.
The various “Scraps” indices include issues with a DBRS rating of Pfd-3(high) or lower and issues with an Average Trading Value (calculated with HIMIPref™ methodology, which is relatively complex) of less than $25,000. The issues considered “Scraps” are subdivided into indices which reflect those of the main indices.
DeemedRetractibles were comprised of all Straight Perpetuals (both PerpetualDiscount and PerpetualPremium) issued by BMO, BNS, CM, ELF, GWO, HSB, IAG, MFC, NA, RY, SLF and TD, which are not exchangable into common at the option of the company or the regulator. These issues are analyzed as if their prospectuses included a requirement to redeem at par on or prior to 2022-1-31 in the case of banks or normally in the case of insurers and insurance holding companies, in addition to the call schedule explicitly defined. See the Deemed Retractible Review: September 2016 for the rationale behind this analysis and IAIS Says No To DeemedRetractions for the recent change in policy with respect to insurers.

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

The name of this subindex has been changed to “Insurance Straight” as of November, 2020
Calculations of resettable instruments are performed assuming a constant GOC-5 rate of 3.29%, a constant 3-Month Bill rate of 3.24% and a constant Canada Prime Rate of 4.70%

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

Credit distribution is:

MAPF Credit Analysis 2022-8-31
DBRS Rating MAPF Weighting
Pfd-1 0
Pfd-1(low) 0
Pfd-2(high) 43.1%
Pfd-2 11.3%
Pfd-2(low) 33.0%
Pfd-3(high) 3.5%
Pfd-3 5.1%
Pfd-3(low) 1.2%
Pfd-4(high) 1.2%
Pfd-4 0.9%
Pfd-4(low) 0%
Pfd-5(high) 0%
Pfd-5 0%
Cash +0.7%
Totals will not add precisely due to rounding.
A position held in INE.PR.A is not rated by DBRS nor by S&P, but has been included as “Pfd-4(high)” in the above table on the basis of its last S&P rating of P-4(high) and its BB rating from Fitch. A “BB” rating would normally map to Pfd-3, but the company’s disdain for the two major preferred share agencies makes me nervous.
A position is held in CF.PR.A which is no longer rated by DBRS, but has been included in the table with a deemed rating of Pfd-4; the final DBRS rating was Pfd-4(high), but I’m taking it down a notch for reporting purposes because the lack of a rating makes me nervous.

Liquidity Distribution is:

MAPF Liquidity Analysis 2022-8-31
Average Daily Trading MAPF Weighting
<$50,000 51.6%
$50,000 – $100,000 28.8%
$100,000 – $200,000 17.8%
$200,000 – $300,000 1.2%
>$300,000 0%
Cash +0.7%
Totals will not add precisely due to rounding.

The distribution of Issue Reset Spreads is:

Range MAPF Weight
<100bp 0%
100-149bp 21.6%
150-199bp 29.2%
200-249bp 28.9%
250-299bp 6.7%
300-349bp 2.8%
350-399bp 3.9%
400-449bp 0%
450-499bp 0%
500-549bp 0%
550-599bp 0%
>= 600bp 0%
Undefined 9.0%

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

Range MAPF Weight
Currently Floating 0%
0-1 Year 9.0%
1-2 Years 8.8%
2-3 Years 31.2%
3-4 Years 36.7%
4-5 Years 5.5%
5-6 Years 0%
>6 Years 0%
Not Floating Rate 9.0%

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

Market Action

September 9, 2022

The ECB got tough:

The European Central Bank made its largest-ever interest rate increase Thursday, following the U.S. Federal Reserve and other central banks in a global stampede of rapid rate hikes meant to snuff out the inflation that is squeezing consumers and pushing Europe toward recession.

The bank’s governing council raised its key benchmarks by an unprecedented three-quarters of a percentage point for the 19 countries that use the euro currency. The ECB usually moves rates by a quarter-point and had not raised its key bank lending rate by three-quarters of a point since the euro’s launch in 1999.

Bank President Christine Lagarde said the ECB would keep hiking rates “over the next several meetings” because “inflation remains far too high and is likely to stay above our target for an extended period.”

There was mixed news about jobs in Canada:

Canada’s unemployment rate shot up in August as the economy shed jobs for a third consecutive month, the latest sign of a chill spreading through the labour market.

Employment fell by 40,000 in August, taking total losses since May to 114,000, Statistics Canada said Friday in a report. The unemployment rate rose to 5.4 per cent from a record low of 4.9 per cent in July. Economists were expecting a far stronger month, with 15,000 jobs created and the jobless rate nudging up to 5 per cent.
…
The job losses in August were largely concentrated among young people (15 to 24) and those approaching the traditional retirement age (55 to 64).
…
The tight hiring conditions are reflected in wages, which are rising quickly. The average hourly wage rose 5.4 per cent in August from a year earlier, up from 5.2 per cent in June and July, although those figures lag the annual inflation rate of 7.6 per cent in July. The Bank of Canada monitors wages for signs they are driving up inflation and making its task of reining in consumer price growth more difficult.
…
In Friday’s report, Statscan also found that more people are considering a change in jobs. Almost 12 per cent of permanent employees were planning to leave their jobs over the next year, about double the level in January. Among workers whose hourly wages were in the bottom 20 per cent, almost one in five were planning to leave their jobs.

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 0.3048 % 2,530.4
FixedFloater 0.00 % 0.00 % 0 0.00 0 0.3048 % 4,853.3
Floater 7.24 % 7.39 % 56,211 11.93 2 0.3048 % 2,797.0
OpRet 0.00 % 0.00 % 0 0.00 0 7.3254 % 3,450.1
SplitShare 4.93 % 5.47 % 32,900 2.99 8 7.3254 % 4,120.1
Interest-Bearing 0.00 % 0.00 % 0 0.00 0 7.3254 % 3,214.7
Perpetual-Premium 0.00 % 0.00 % 0 0.00 0 -0.0378 % 2,806.6
Perpetual-Discount 6.07 % 6.25 % 61,988 13.48 35 -0.0378 % 3,060.5
FixedReset Disc 4.75 % 6.40 % 91,835 13.31 58 -0.1144 % 2,493.8
Insurance Straight 6.08 % 6.11 % 79,294 13.73 19 0.5233 % 2,961.4
FloatingReset 7.85 % 8.03 % 36,913 11.40 2 0.0933 % 2,611.9
FixedReset Prem 5.11 % 4.73 % 107,432 1.78 6 -0.2954 % 2,591.3
FixedReset Bank Non 0.00 % 0.00 % 0 0.00 0 -0.1144 % 2,549.2
FixedReset Ins Non 4.79 % 6.70 % 53,042 13.16 14 -0.1563 % 2,544.0
Performance Highlights
Issue Index Change Notes
NA.PR.W FixedReset Disc -4.81 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-09-09
Maturity Price : 19.80
Evaluated at bid price : 19.80
Bid-YTW : 6.73 %
BAM.PF.G FixedReset Disc -3.78 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-09-09
Maturity Price : 17.80
Evaluated at bid price : 17.80
Bid-YTW : 7.94 %
GWO.PR.N FixedReset Ins Non -2.02 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-09-09
Maturity Price : 13.57
Evaluated at bid price : 13.57
Bid-YTW : 7.24 %
CU.PR.E Perpetual-Discount -1.95 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-09-09
Maturity Price : 20.15
Evaluated at bid price : 20.15
Bid-YTW : 6.14 %
BMO.PR.W FixedReset Disc -1.74 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-09-09
Maturity Price : 20.93
Evaluated at bid price : 20.93
Bid-YTW : 6.36 %
PVS.PR.J SplitShare -1.62 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2028-02-29
Maturity Price : 25.00
Evaluated at bid price : 22.43
Bid-YTW : 6.72 %
BAM.PF.E FixedReset Disc -1.36 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-09-09
Maturity Price : 17.46
Evaluated at bid price : 17.46
Bid-YTW : 7.86 %
IFC.PR.E Insurance Straight -1.35 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-09-09
Maturity Price : 21.58
Evaluated at bid price : 21.85
Bid-YTW : 6.06 %
TRP.PR.E FixedReset Disc -1.14 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-09-09
Maturity Price : 17.30
Evaluated at bid price : 17.30
Bid-YTW : 7.85 %
MFC.PR.N FixedReset Ins Non -1.07 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-09-09
Maturity Price : 18.50
Evaluated at bid price : 18.50
Bid-YTW : 7.15 %
BNS.PR.I FixedReset Disc -1.06 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-09-09
Maturity Price : 23.89
Evaluated at bid price : 24.29
Bid-YTW : 5.87 %
RY.PR.S FixedReset Disc 1.10 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-09-09
Maturity Price : 23.38
Evaluated at bid price : 23.81
Bid-YTW : 5.90 %
BIP.PR.A FixedReset Disc 1.28 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-09-09
Maturity Price : 19.75
Evaluated at bid price : 19.75
Bid-YTW : 7.98 %
SLF.PR.C Insurance Straight 1.40 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-09-09
Maturity Price : 18.77
Evaluated at bid price : 18.77
Bid-YTW : 5.95 %
CCS.PR.C Insurance Straight 1.56 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-09-09
Maturity Price : 20.78
Evaluated at bid price : 20.78
Bid-YTW : 6.04 %
SLF.PR.D Insurance Straight 1.57 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-09-09
Maturity Price : 18.80
Evaluated at bid price : 18.80
Bid-YTW : 5.94 %
GWO.PR.Y Insurance Straight 1.72 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-09-09
Maturity Price : 18.97
Evaluated at bid price : 18.97
Bid-YTW : 5.95 %
TRP.PR.G FixedReset Disc 1.77 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-09-09
Maturity Price : 20.10
Evaluated at bid price : 20.10
Bid-YTW : 7.01 %
IFC.PR.C FixedReset Disc 1.87 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-09-09
Maturity Price : 19.10
Evaluated at bid price : 19.10
Bid-YTW : 7.04 %
IFC.PR.K Perpetual-Discount 3.02 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-09-09
Maturity Price : 21.82
Evaluated at bid price : 22.15
Bid-YTW : 6.03 %
EIT.PR.A SplitShare 113.49 % YTW SCENARIO
Maturity Type : Soft Maturity
Maturity Date : 2024-03-14
Maturity Price : 25.00
Evaluated at bid price : 25.00
Bid-YTW : 4.78 %
Volume Highlights
Issue Index Shares
Traded		 Notes
NA.PR.C FixedReset Disc 96,000 YTW SCENARIO
Maturity Type : Call
Maturity Date : 2022-11-15
Maturity Price : 25.00
Evaluated at bid price : 25.00
Bid-YTW : 6.17 %
MFC.PR.I FixedReset Ins Non 59,875 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-09-09
Maturity Price : 22.80
Evaluated at bid price : 24.05
Bid-YTW : 6.36 %
CU.PR.C FixedReset Disc 42,200 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-09-09
Maturity Price : 21.65
Evaluated at bid price : 22.00
Bid-YTW : 6.34 %
CM.PR.T FixedReset Prem 40,600 YTW SCENARIO
Maturity Type : Call
Maturity Date : 2024-04-30
Maturity Price : 25.00
Evaluated at bid price : 25.19
Bid-YTW : 5.13 %
CM.PR.S FixedReset Disc 31,500 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-09-09
Maturity Price : 23.22
Evaluated at bid price : 24.06
Bid-YTW : 5.96 %
BIP.PR.E FixedReset Disc 26,800 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-09-09
Maturity Price : 22.29
Evaluated at bid price : 23.06
Bid-YTW : 6.74 %
There were 9 other index-included issues trading in excess of 10,000 shares.
Wide Spread Highlights
Issue Index Quote Data and Yield Notes
CU.PR.F Perpetual-Discount Quote: 18.52 – 24.43
Spot Rate : 5.9100
Average : 4.6966

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-09-09
Maturity Price : 18.52
Evaluated at bid price : 18.52
Bid-YTW : 6.13 %
MFC.PR.M FixedReset Ins Non Quote: 18.92 – 22.00
Spot Rate : 3.0800
Average : 1.9700

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-09-09
Maturity Price : 18.92
Evaluated at bid price : 18.92
Bid-YTW : 7.13 %
TD.PF.D FixedReset Disc Quote: 22.29 – 24.00
Spot Rate : 1.7100
Average : 1.0614

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-09-09
Maturity Price : 21.98
Evaluated at bid price : 22.29
Bid-YTW : 6.29 %
NA.PR.W FixedReset Disc Quote: 19.80 – 21.10
Spot Rate : 1.3000
Average : 0.8102

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-09-09
Maturity Price : 19.80
Evaluated at bid price : 19.80
Bid-YTW : 6.73 %
BAM.PR.T FixedReset Disc Quote: 16.90 – 17.90
Spot Rate : 1.0000
Average : 0.6979

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-09-09
Maturity Price : 16.90
Evaluated at bid price : 16.90
Bid-YTW : 7.60 %
IFC.PR.A FixedReset Ins Non Quote: 18.12 – 18.88
Spot Rate : 0.7600
Average : 0.5337

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-09-09
Maturity Price : 18.12
Evaluated at bid price : 18.12
Bid-YTW : 6.97 %
Market Action

September 8, 2022

More tough talk from Powell:

Jerome H. Powell, the Federal Reserve chair, signaled on Thursday that the central bank will continue raising interest rates in order to convince the American public that it is serious about bringing soaring price growth back to normal levels, further cementing market expectations of another aggressive rate increase this month.

“The longer inflation remains well above target, the greater the risk that the public sees higher inflation as the norm,” Mr. Powell said in a moderated discussion with Peter H. Goettler, the president and chief executive of the Cato Institute in Washington. “History cautions strongly against prematurely loosening policy.”

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 -0.1521 % 2,522.7
FixedFloater 0.00 % 0.00 % 0 0.00 0 -0.1521 % 4,838.6
Floater 7.27 % 7.43 % 56,953 11.89 2 -0.1521 % 2,788.5
OpRet 0.00 % 0.00 % 0 0.00 0 -6.9436 % 3,214.6
SplitShare 5.29 % 5.92 % 34,715 3.17 8 -6.9436 % 3,838.9
Interest-Bearing 0.00 % 0.00 % 0 0.00 0 -6.9436 % 2,995.3
Perpetual-Premium 0.00 % 0.00 % 0 0.00 0 0.0270 % 2,807.7
Perpetual-Discount 6.07 % 6.24 % 57,754 13.48 35 0.0270 % 3,061.7
FixedReset Disc 4.74 % 6.46 % 90,925 13.22 58 -0.1242 % 2,496.7
Insurance Straight 6.11 % 6.12 % 80,217 13.76 19 -0.0854 % 2,946.0
FloatingReset 7.81 % 8.00 % 35,239 11.44 2 0.0934 % 2,609.5
FixedReset Prem 5.10 % 4.49 % 115,218 1.79 6 0.0197 % 2,599.0
FixedReset Bank Non 0.00 % 0.00 % 0 0.00 0 -0.1242 % 2,552.1
FixedReset Ins Non 4.79 % 6.77 % 55,262 13.07 14 -0.0855 % 2,548.0
Performance Highlights
Issue Index Change Notes
EIT.PR.A SplitShare -52.49 % YTW SCENARIO
Maturity Type : Soft Maturity
Maturity Date : 2024-03-14
Maturity Price : 25.00
Evaluated at bid price : 11.71
Bid-YTW : 65.56 %
BIP.PR.A FixedReset Disc -2.99 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-09-08
Maturity Price : 19.50
Evaluated at bid price : 19.50
Bid-YTW : 8.14 %
TRP.PR.G FixedReset Disc -1.74 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-09-08
Maturity Price : 19.75
Evaluated at bid price : 19.75
Bid-YTW : 7.19 %
PWF.PR.P FixedReset Disc -1.68 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-09-08
Maturity Price : 14.01
Evaluated at bid price : 14.01
Bid-YTW : 7.69 %
IFC.PR.C FixedReset Disc -1.57 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-09-08
Maturity Price : 18.75
Evaluated at bid price : 18.75
Bid-YTW : 7.23 %
ELF.PR.H Perpetual-Discount -1.53 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-09-08
Maturity Price : 22.22
Evaluated at bid price : 22.50
Bid-YTW : 6.21 %
GWO.PR.N FixedReset Ins Non -1.42 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-09-08
Maturity Price : 13.85
Evaluated at bid price : 13.85
Bid-YTW : 7.19 %
MFC.PR.F FixedReset Ins Non -1.41 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-09-08
Maturity Price : 13.95
Evaluated at bid price : 13.95
Bid-YTW : 7.47 %
RY.PR.S FixedReset Disc -1.34 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-09-08
Maturity Price : 23.11
Evaluated at bid price : 23.55
Bid-YTW : 6.04 %
PWF.PR.S Perpetual-Discount -1.27 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-09-08
Maturity Price : 19.50
Evaluated at bid price : 19.50
Bid-YTW : 6.25 %
ELF.PR.F Perpetual-Discount -1.14 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-09-08
Maturity Price : 21.33
Evaluated at bid price : 21.60
Bid-YTW : 6.23 %
BAM.PR.N Perpetual-Discount 1.04 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-09-08
Maturity Price : 19.50
Evaluated at bid price : 19.50
Bid-YTW : 6.22 %
BMO.PR.Y FixedReset Disc 1.14 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-09-08
Maturity Price : 21.83
Evaluated at bid price : 22.10
Bid-YTW : 6.27 %
TRP.PR.E FixedReset Disc 1.27 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-09-08
Maturity Price : 17.50
Evaluated at bid price : 17.50
Bid-YTW : 7.85 %
MFC.PR.N FixedReset Ins Non 1.30 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-09-08
Maturity Price : 18.70
Evaluated at bid price : 18.70
Bid-YTW : 7.15 %
BMO.PR.T FixedReset Disc 1.67 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-09-08
Maturity Price : 21.25
Evaluated at bid price : 21.25
Bid-YTW : 6.36 %
GWO.PR.T Insurance Straight 1.91 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-09-08
Maturity Price : 20.80
Evaluated at bid price : 20.80
Bid-YTW : 6.21 %
MIC.PR.A Perpetual-Discount 1.93 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-09-08
Maturity Price : 21.15
Evaluated at bid price : 21.15
Bid-YTW : 6.53 %
CU.PR.E Perpetual-Discount 2.24 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-09-08
Maturity Price : 20.55
Evaluated at bid price : 20.55
Bid-YTW : 6.01 %
Volume Highlights
Issue Index Shares
Traded		 Notes
TD.PF.J FixedReset Disc 53,500 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-09-08
Maturity Price : 23.90
Evaluated at bid price : 24.51
Bid-YTW : 6.18 %
TD.PF.B FixedReset Disc 43,700 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-09-08
Maturity Price : 21.02
Evaluated at bid price : 21.02
Bid-YTW : 6.50 %
NA.PR.C FixedReset Disc 37,600 YTW SCENARIO
Maturity Type : Call
Maturity Date : 2022-11-15
Maturity Price : 25.00
Evaluated at bid price : 25.02
Bid-YTW : 5.63 %
TD.PF.E FixedReset Disc 28,600 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-09-08
Maturity Price : 21.82
Evaluated at bid price : 22.10
Bid-YTW : 6.43 %
PWF.PR.E Perpetual-Discount 28,150 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-09-08
Maturity Price : 21.94
Evaluated at bid price : 22.17
Bid-YTW : 6.29 %
BMO.PR.E FixedReset Disc 25,200 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-09-08
Maturity Price : 23.91
Evaluated at bid price : 24.35
Bid-YTW : 6.15 %
There were 6 other index-included issues trading in excess of 10,000 shares.
Wide Spread Highlights
Issue Index Quote Data and Yield Notes
EIT.PR.A SplitShare Quote: 11.71 – 23.00
Spot Rate : 11.2900
Average : 6.0428

YTW SCENARIO
Maturity Type : Soft Maturity
Maturity Date : 2024-03-14
Maturity Price : 25.00
Evaluated at bid price : 11.71
Bid-YTW : 65.56 %
CU.PR.F Perpetual-Discount Quote: 18.60 – 24.43
Spot Rate : 5.8300
Average : 3.3662

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-09-08
Maturity Price : 18.60
Evaluated at bid price : 18.60
Bid-YTW : 6.10 %
CM.PR.P FixedReset Disc Quote: 20.00 – 22.00
Spot Rate : 2.0000
Average : 1.5679

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-09-08
Maturity Price : 20.00
Evaluated at bid price : 20.00
Bid-YTW : 6.73 %
TRP.PR.G FixedReset Disc Quote: 19.75 – 20.99
Spot Rate : 1.2400
Average : 0.9161

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-09-08
Maturity Price : 19.75
Evaluated at bid price : 19.75
Bid-YTW : 7.19 %
CCS.PR.C Insurance Straight Quote: 20.46 – 22.00
Spot Rate : 1.5400
Average : 1.2811

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-09-08
Maturity Price : 20.46
Evaluated at bid price : 20.46
Bid-YTW : 6.13 %
ELF.PR.F Perpetual-Discount Quote: 21.60 – 22.50
Spot Rate : 0.9000
Average : 0.6413

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-09-08
Maturity Price : 21.33
Evaluated at bid price : 21.60
Bid-YTW : 6.23 %
Market Action

September 7, 2022

I must say, I find the recent trend of issuing LRCNs and OTC Preferreds at enormous spreads to be perplexing. The latest one is:

The Toronto-Dominion Bank (“TD”) (TSX: TD) (NYSE: TD) today announced the pricing of a Canadian public offering of C$1.5 billion of 7.283% Non-Viability Contingent Capital (“NVCC”) Additional Tier 1 (“AT1”) Limited Recourse Capital Notes Series 2 (the “LRCNs”).

The LRCNs will bear interest at a rate of 7.283 per cent annually, payable semi-annually, for the initial period ending on, but excluding, October 31, 2027. Thereafter, the interest rate on the LRCNs will reset every five years at a rate equal to the prevailing 5-year Government of Canada Yield plus 4.10 per cent. The LRCNs will mature on October 31, 2082. The expected closing date of the offering is September 14, 2022. TD Securities is acting as lead agent and sole bookrunner on the issue.

Concurrently with the issuance of the LRCNs, TD will issue 1,500,000 Non-Cumulative 5-Year Fixed Rate Reset NVCC Preferred Shares, Series 29 (“Preferred Shares Series 29”) to be held by Computershare Trust Company of Canada, as trustee for TD LRCN Limited Recourse Trust™ (the “Limited Recourse Trust”). In case of non-payment of interest on or principal of the LRCNs when due, the recourse of each LRCN holder will be limited to that holder’s proportionate share of the Limited Recourse Trust’s assets, which will consist of Preferred Shares Series 29 except in limited circumstances.

With the prior written approval of the Superintendent of Financial Institutions (Canada), TD may redeem the LRCNs commencing on October 1, 2027, and every five years thereafter, during the period from and including October 1 to and including October 31. TD may redeem the LRCNs in whole or in part on not less than 10 days’ and not more than 60 days’ prior notice to the LRCN holders.

The net proceeds from this transaction will be used for general corporate purposes.

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

PerpetualDiscounts now yield 6.22%, equivalent to 8.09% interest at the standard equivalency factor of 1.3x. Long corporates now yield 4.94%, so the pre-tax interest-equivalent spread (in this context, the “Seniority Spread”) has widened slightly (and perhaps spuriously) to 315bp from the 310bp reported August 31.

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 0.4969 % 2,526.6
FixedFloater 0.00 % 0.00 % 0 0.00 0 0.4969 % 4,846.0
Floater 6.26 % 6.35 % 63,303 13.28 2 0.4969 % 2,792.7
OpRet 0.00 % 0.00 % 0 0.00 0 -0.1525 % 3,454.5
SplitShare 4.92 % 5.74 % 33,090 3.00 8 -0.1525 % 4,125.4
Interest-Bearing 0.00 % 0.00 % 0 0.00 0 -0.1525 % 3,218.8
Perpetual-Premium 0.00 % 0.00 % 0 0.00 0 -0.2602 % 2,806.9
Perpetual-Discount 6.07 % 6.22 % 58,323 13.54 35 -0.2602 % 3,060.8
FixedReset Disc 4.74 % 6.45 % 91,902 13.28 58 0.0489 % 2,499.8
Insurance Straight 6.10 % 6.10 % 79,488 13.75 19 -0.4278 % 2,948.5
FloatingReset 7.82 % 8.02 % 35,784 11.42 2 0.0311 % 2,607.0
FixedReset Prem 5.10 % 4.48 % 115,504 1.79 6 0.0788 % 2,598.5
FixedReset Bank Non 0.00 % 0.00 % 0 0.00 0 0.0489 % 2,555.3
FixedReset Ins Non 4.78 % 6.78 % 56,164 13.19 14 -1.1831 % 2,550.2
Performance Highlights
Issue Index Change Notes
MFC.PR.N FixedReset Ins Non -13.33 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-09-07
Maturity Price : 18.46
Evaluated at bid price : 18.46
Bid-YTW : 7.24 %
CM.PR.P FixedReset Disc -5.88 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-09-07
Maturity Price : 20.00
Evaluated at bid price : 20.00
Bid-YTW : 6.73 %
GWO.PR.T Insurance Straight -3.59 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-09-07
Maturity Price : 20.41
Evaluated at bid price : 20.41
Bid-YTW : 6.33 %
CU.PR.E Perpetual-Discount -3.23 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-09-07
Maturity Price : 20.10
Evaluated at bid price : 20.10
Bid-YTW : 6.15 %
TRP.PR.E FixedReset Disc -1.76 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-09-07
Maturity Price : 17.28
Evaluated at bid price : 17.28
Bid-YTW : 7.94 %
CU.PR.H Perpetual-Discount -1.76 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-09-07
Maturity Price : 21.27
Evaluated at bid price : 21.27
Bid-YTW : 6.23 %
CCS.PR.C Insurance Straight -1.67 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-09-07
Maturity Price : 20.57
Evaluated at bid price : 20.57
Bid-YTW : 6.10 %
SLF.PR.G FixedReset Ins Non -1.43 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-09-07
Maturity Price : 13.80
Evaluated at bid price : 13.80
Bid-YTW : 7.63 %
BMO.PR.T FixedReset Disc -1.42 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-09-07
Maturity Price : 20.90
Evaluated at bid price : 20.90
Bid-YTW : 6.46 %
BAM.PF.B FixedReset Disc -1.34 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-09-07
Maturity Price : 19.95
Evaluated at bid price : 19.95
Bid-YTW : 7.41 %
EIT.PR.A SplitShare -1.28 % YTW SCENARIO
Maturity Type : Soft Maturity
Maturity Date : 2024-03-14
Maturity Price : 25.00
Evaluated at bid price : 24.65
Bid-YTW : 5.74 %
SLF.PR.H FixedReset Ins Non -1.25 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-09-07
Maturity Price : 17.33
Evaluated at bid price : 17.33
Bid-YTW : 7.02 %
IAF.PR.I FixedReset Ins Non -1.25 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-09-07
Maturity Price : 22.97
Evaluated at bid price : 23.70
Bid-YTW : 6.37 %
TD.PF.C FixedReset Disc -1.18 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-09-07
Maturity Price : 21.00
Evaluated at bid price : 21.00
Bid-YTW : 6.44 %
TRP.PR.D FixedReset Disc -1.06 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-09-07
Maturity Price : 17.69
Evaluated at bid price : 17.69
Bid-YTW : 7.93 %
TRP.PR.G FixedReset Disc 1.77 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-09-07
Maturity Price : 20.10
Evaluated at bid price : 20.10
Bid-YTW : 7.07 %
PWF.PR.P FixedReset Disc 1.79 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-09-07
Maturity Price : 14.25
Evaluated at bid price : 14.25
Bid-YTW : 7.57 %
BMO.PR.W FixedReset Disc 1.82 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-09-07
Maturity Price : 21.30
Evaluated at bid price : 21.30
Bid-YTW : 6.32 %
IFC.PR.C FixedReset Disc 3.59 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-09-07
Maturity Price : 19.05
Evaluated at bid price : 19.05
Bid-YTW : 7.12 %
CM.PR.Q FixedReset Disc 11.74 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-09-07
Maturity Price : 21.44
Evaluated at bid price : 21.79
Bid-YTW : 6.43 %
Volume Highlights
Issue Index Shares
Traded		 Notes
MFC.PR.I FixedReset Ins Non 110,500 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-09-07
Maturity Price : 22.80
Evaluated at bid price : 24.06
Bid-YTW : 6.42 %
TD.PF.K FixedReset Disc 96,760 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-09-07
Maturity Price : 23.07
Evaluated at bid price : 23.58
Bid-YTW : 6.28 %
RY.PR.M FixedReset Disc 53,100 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-09-07
Maturity Price : 21.06
Evaluated at bid price : 21.06
Bid-YTW : 6.44 %
SLF.PR.G FixedReset Ins Non 30,400 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-09-07
Maturity Price : 13.80
Evaluated at bid price : 13.80
Bid-YTW : 7.63 %
BMO.PR.S FixedReset Disc 29,145 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-09-07
Maturity Price : 21.51
Evaluated at bid price : 21.87
Bid-YTW : 6.32 %
BAM.PF.J FixedReset Disc 28,771 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-09-07
Maturity Price : 24.15
Evaluated at bid price : 24.86
Bid-YTW : 6.53 %
There were 7 other index-included issues trading in excess of 10,000 shares.
Wide Spread Highlights
Issue Index Quote Data and Yield Notes
MIC.PR.A Perpetual-Discount Quote: 20.75 – 28.99
Spot Rate : 8.2400
Average : 4.8389

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-09-07
Maturity Price : 20.75
Evaluated at bid price : 20.75
Bid-YTW : 6.65 %
BMO.PR.T FixedReset Disc Quote: 20.90 – 24.00
Spot Rate : 3.1000
Average : 1.8091

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-09-07
Maturity Price : 20.90
Evaluated at bid price : 20.90
Bid-YTW : 6.46 %
BAM.PR.M Perpetual-Discount Quote: 19.36 – 22.00
Spot Rate : 2.6400
Average : 1.6730

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-09-07
Maturity Price : 19.36
Evaluated at bid price : 19.36
Bid-YTW : 6.27 %
IFC.PR.I Perpetual-Discount Quote: 22.49 – 23.89
Spot Rate : 1.4000
Average : 0.9031

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-09-07
Maturity Price : 22.13
Evaluated at bid price : 22.49
Bid-YTW : 6.11 %
CCS.PR.C Insurance Straight Quote: 20.57 – 22.00
Spot Rate : 1.4300
Average : 0.9972

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-09-07
Maturity Price : 20.57
Evaluated at bid price : 20.57
Bid-YTW : 6.10 %
CM.PR.P FixedReset Disc Quote: 20.00 – 21.49
Spot Rate : 1.4900
Average : 1.0942

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-09-07
Maturity Price : 20.00
Evaluated at bid price : 20.00
Bid-YTW : 6.73 %
Canada Prime

BOC Hikes 75bp to 3.25%; Prime Follows

The Bank of Canada has announced it has:

increased its target for the overnight rate to 3¼%, with the Bank Rate at 3½% and the deposit rate at 3¼%. The Bank is also continuing its policy of quantitative tightening.

The global and Canadian economies are evolving broadly in line with the Bank’s July projection. The effects of COVID-19 outbreaks, ongoing supply disruptions, and the war in Ukraine continue to dampen growth and boost prices.

Global inflation remains high and measures of core inflation are moving up in most countries. In response, central banks around the world continue to tighten monetary policy. Economic activity in the United States has moderated, although the US labour market remains tight. China is facing ongoing challenges from COVID shutdowns. Commodity prices have been volatile: oil, wheat and lumber prices have moderated while natural gas prices have risen.

In Canada, CPI inflation eased in July to 7.6% from 8.1% because of a drop in gasoline prices. However, inflation excluding gasoline increased and data indicate a further broadening of price pressures, particularly in services. The Bank’s core measures of inflation continued to move up, ranging from 5% to 5.5% in July. Surveys suggest that short-term inflation expectations remain high. The longer this continues, the greater the risk that elevated inflation becomes entrenched.

The Canadian economy continues to operate in excess demand and labour markets remain tight. Canada’s GDP grew by 3.3% in the second quarter. While this was somewhat weaker than the Bank had projected, indicators of domestic demand were very strong – consumption grew by about 9½% and business investment was up by close to 12%. With higher mortgage rates, the housing market is pulling back as anticipated, following unsustainable growth during the pandemic. The Bank continues to expect the economy to moderate in the second half of this year, as global demand weakens and tighter monetary policy here in Canada begins to bring demand more in line with supply.

Given the outlook for inflation, the Governing Council still judges that the policy interest rate will need to rise further. Quantitative tightening is complementing increases in the policy rate. As the effects of tighter monetary policy work through the economy, we will be assessing how much higher interest rates need to go to return inflation to target. The Governing Council remains resolute in its commitment to price stability and will continue to take action as required to achieve the 2% inflation target.

Prime followed:

Well, Rob Carrick and Ryan Siever will be mad:

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

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

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

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

Market Action

September 6, 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 0.00 % 0.00 % 0 0.00 0 0.3452 % 2,514.1
FixedFloater 0.00 % 0.00 % 0 0.00 0 0.3452 % 4,822.0
Floater 6.29 % 6.41 % 54,178 13.20 2 0.3452 % 2,778.9
OpRet 0.00 % 0.00 % 0 0.00 0 -0.4451 % 3,459.7
SplitShare 4.92 % 5.45 % 33,551 3.00 8 -0.4451 % 4,131.7
Interest-Bearing 0.00 % 0.00 % 0 0.00 0 -0.4451 % 3,223.7
Perpetual-Premium 0.00 % 0.00 % 0 0.00 0 -0.2716 % 2,814.3
Perpetual-Discount 6.05 % 6.20 % 58,990 13.56 35 -0.2716 % 3,068.8
FixedReset Disc 4.74 % 6.43 % 92,685 13.18 58 -0.1456 % 2,498.5
Insurance Straight 6.08 % 6.10 % 78,602 13.80 19 -0.1261 % 2,961.2
FloatingReset 7.82 % 8.02 % 37,256 11.42 2 -0.5882 % 2,606.2
FixedReset Prem 5.10 % 4.48 % 115,666 1.79 6 0.3495 % 2,596.5
FixedReset Bank Non 0.00 % 0.00 % 0 0.00 0 -0.1456 % 2,554.0
FixedReset Ins Non 4.73 % 6.80 % 55,296 13.16 14 0.8635 % 2,580.7
Performance Highlights
Issue Index Change Notes
CM.PR.Q FixedReset Disc -11.36 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-09-06
Maturity Price : 19.50
Evaluated at bid price : 19.50
Bid-YTW : 7.16 %
IFC.PR.C FixedReset Disc -4.22 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-09-06
Maturity Price : 18.39
Evaluated at bid price : 18.39
Bid-YTW : 7.36 %
MIC.PR.A Perpetual-Discount -3.49 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-09-06
Maturity Price : 20.75
Evaluated at bid price : 20.75
Bid-YTW : 6.65 %
CIU.PR.A Perpetual-Discount -2.74 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-09-06
Maturity Price : 18.82
Evaluated at bid price : 18.82
Bid-YTW : 6.16 %
IFC.PR.A FixedReset Ins Non -2.68 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-09-06
Maturity Price : 18.15
Evaluated at bid price : 18.15
Bid-YTW : 7.05 %
IFC.PR.I Perpetual-Discount -2.37 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-09-06
Maturity Price : 22.32
Evaluated at bid price : 22.70
Bid-YTW : 6.05 %
CU.PR.F Perpetual-Discount -2.27 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-09-06
Maturity Price : 18.52
Evaluated at bid price : 18.52
Bid-YTW : 6.13 %
TRP.PR.A FixedReset Disc -2.26 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-09-06
Maturity Price : 15.60
Evaluated at bid price : 15.60
Bid-YTW : 7.96 %
IFC.PR.K Perpetual-Discount -2.09 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-09-06
Maturity Price : 21.27
Evaluated at bid price : 21.55
Bid-YTW : 6.20 %
CU.PR.G Perpetual-Discount -1.95 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-09-06
Maturity Price : 18.58
Evaluated at bid price : 18.58
Bid-YTW : 6.11 %
TRP.PR.B FixedReset Disc -1.94 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-09-06
Maturity Price : 12.65
Evaluated at bid price : 12.65
Bid-YTW : 8.03 %
BIP.PR.B FixedReset Prem -1.79 % YTW SCENARIO
Maturity Type : Call
Maturity Date : 2025-12-31
Maturity Price : 25.00
Evaluated at bid price : 24.75
Bid-YTW : 5.76 %
RS.PR.A SplitShare -1.68 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-12-31
Maturity Price : 10.00
Evaluated at bid price : 9.93
Bid-YTW : 5.77 %
CCS.PR.C Insurance Straight -1.55 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-09-06
Maturity Price : 20.92
Evaluated at bid price : 20.92
Bid-YTW : 5.99 %
BAM.PR.X FixedReset Disc -1.38 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-09-06
Maturity Price : 17.85
Evaluated at bid price : 17.85
Bid-YTW : 7.13 %
IFC.PR.E Insurance Straight -1.35 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-09-06
Maturity Price : 21.58
Evaluated at bid price : 21.85
Bid-YTW : 6.06 %
TRP.PR.D FixedReset Disc -1.22 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-09-06
Maturity Price : 17.88
Evaluated at bid price : 17.88
Bid-YTW : 7.84 %
TRP.PR.F FloatingReset -1.20 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-09-06
Maturity Price : 16.50
Evaluated at bid price : 16.50
Bid-YTW : 8.02 %
CU.PR.H Perpetual-Discount -1.14 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-09-06
Maturity Price : 21.65
Evaluated at bid price : 21.65
Bid-YTW : 6.11 %
NA.PR.G FixedReset Disc -1.11 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-09-06
Maturity Price : 23.55
Evaluated at bid price : 24.03
Bid-YTW : 6.33 %
ELF.PR.H Perpetual-Discount -1.09 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-09-06
Maturity Price : 22.42
Evaluated at bid price : 22.68
Bid-YTW : 6.16 %
BAM.PF.G FixedReset Disc -1.06 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-09-06
Maturity Price : 18.60
Evaluated at bid price : 18.60
Bid-YTW : 7.68 %
SLF.PR.G FixedReset Ins Non -1.06 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-09-06
Maturity Price : 14.00
Evaluated at bid price : 14.00
Bid-YTW : 7.53 %
TD.PF.A FixedReset Disc -1.03 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-09-06
Maturity Price : 21.12
Evaluated at bid price : 21.12
Bid-YTW : 6.39 %
PVS.PR.G SplitShare -1.01 % YTW SCENARIO
Maturity Type : Option Certainty
Maturity Date : 2026-02-28
Maturity Price : 25.00
Evaluated at bid price : 24.60
Bid-YTW : 5.44 %
GWO.PR.Y Insurance Straight 1.02 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-09-06
Maturity Price : 18.75
Evaluated at bid price : 18.75
Bid-YTW : 6.02 %
SLF.PR.H FixedReset Ins Non 1.15 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-09-06
Maturity Price : 17.55
Evaluated at bid price : 17.55
Bid-YTW : 6.94 %
CM.PR.Y FixedReset Prem 1.19 % YTW SCENARIO
Maturity Type : Call
Maturity Date : 2024-07-31
Maturity Price : 25.00
Evaluated at bid price : 25.55
Bid-YTW : 4.27 %
GWO.PR.S Insurance Straight 1.28 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-09-06
Maturity Price : 21.30
Evaluated at bid price : 21.30
Bid-YTW : 6.18 %
BMO.PR.W FixedReset Disc 2.05 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-09-06
Maturity Price : 20.92
Evaluated at bid price : 20.92
Bid-YTW : 6.43 %
TD.PF.C FixedReset Disc 2.51 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-09-06
Maturity Price : 21.25
Evaluated at bid price : 21.25
Bid-YTW : 6.37 %
BIP.PR.A FixedReset Disc 2.83 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-09-06
Maturity Price : 20.00
Evaluated at bid price : 20.00
Bid-YTW : 7.95 %
BMO.PR.Y FixedReset Disc 3.55 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-09-06
Maturity Price : 21.49
Evaluated at bid price : 21.85
Bid-YTW : 6.34 %
BAM.PF.F FixedReset Disc 4.17 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-09-06
Maturity Price : 20.00
Evaluated at bid price : 20.00
Bid-YTW : 7.52 %
CM.PR.P FixedReset Disc 6.25 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-09-06
Maturity Price : 21.25
Evaluated at bid price : 21.25
Bid-YTW : 6.34 %
CU.PR.J Perpetual-Discount 10.17 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-09-06
Maturity Price : 19.50
Evaluated at bid price : 19.50
Bid-YTW : 6.14 %
MFC.PR.N FixedReset Ins Non 18.33 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-09-06
Maturity Price : 21.30
Evaluated at bid price : 21.30
Bid-YTW : 6.30 %
Volume Highlights
Issue Index Shares
Traded		 Notes
BNS.PR.I FixedReset Disc 26,460 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-09-06
Maturity Price : 24.20
Evaluated at bid price : 24.56
Bid-YTW : 5.87 %
RY.PR.H FixedReset Disc 20,572 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-09-06
Maturity Price : 21.50
Evaluated at bid price : 21.50
Bid-YTW : 6.31 %
RS.PR.A SplitShare 19,200 YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-12-31
Maturity Price : 10.00
Evaluated at bid price : 9.93
Bid-YTW : 5.77 %
CM.PR.T FixedReset Prem 17,800 YTW SCENARIO
Maturity Type : Call
Maturity Date : 2024-04-30
Maturity Price : 25.00
Evaluated at bid price : 25.25
Bid-YTW : 4.95 %
TD.PF.A FixedReset Disc 15,158 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-09-06
Maturity Price : 21.12
Evaluated at bid price : 21.12
Bid-YTW : 6.39 %
TRP.PR.E FixedReset Disc 13,200 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-09-06
Maturity Price : 17.59
Evaluated at bid price : 17.59
Bid-YTW : 7.80 %
There were 5 other index-included issues trading in excess of 10,000 shares.
Wide Spread Highlights
Issue Index Quote Data and Yield Notes
CM.PR.Q FixedReset Disc Quote: 19.50 – 22.15
Spot Rate : 2.6500
Average : 1.7552

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-09-06
Maturity Price : 19.50
Evaluated at bid price : 19.50
Bid-YTW : 7.16 %
MIC.PR.A Perpetual-Discount Quote: 20.75 – 22.40
Spot Rate : 1.6500
Average : 1.1099

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-09-06
Maturity Price : 20.75
Evaluated at bid price : 20.75
Bid-YTW : 6.65 %
MFC.PR.M FixedReset Ins Non Quote: 18.94 – 22.00
Spot Rate : 3.0600
Average : 2.6955

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-09-06
Maturity Price : 18.94
Evaluated at bid price : 18.94
Bid-YTW : 7.20 %
BAM.PR.T FixedReset Disc Quote: 16.86 – 17.90
Spot Rate : 1.0400
Average : 0.7137

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-09-06
Maturity Price : 16.86
Evaluated at bid price : 16.86
Bid-YTW : 7.68 %
TRP.PR.F FloatingReset Quote: 16.50 – 17.77
Spot Rate : 1.2700
Average : 1.0146

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-09-06
Maturity Price : 16.50
Evaluated at bid price : 16.50
Bid-YTW : 8.02 %
ELF.PR.H Perpetual-Discount Quote: 22.68 – 23.45
Spot Rate : 0.7700
Average : 0.5433

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-09-06
Maturity Price : 22.42
Evaluated at bid price : 22.68
Bid-YTW : 6.16 %
Market Action

September 2, 2022

Jobs, jobs, jobs!

The jobs report on Friday was the first of the summer to support the case Mr. Biden and his economic aides have been making for months: that the economy is beginning to step down from a high-growth, high-inflation expansion coming out of the pandemic recession but avoiding another recession.

The report showed the country added 315,000 jobs in August, down from 526,000 in July. The unemployment rate ticked up slightly, to 3.7 percent.
…
. The labor force participation rate grew by 0.3 percentage points in August, matching its highest rate in the recovery from the pandemic.
…
Average hourly earnings rose 0.3 percent in August, down from a gain of 0.5 percent in July. Over the past year, hourly earnings are up 5.2 percent.

Unfortunately for equities:

Europe’s energy crisis loomed larger Friday after Russian energy giant Gazprom said it couldn’t resume the supply of natural gas through a major pipeline to Germany for now. The company cited what it said was a need for urgent maintenance work to repair key components — in an announcement made just hours before it had been due to restart deliveries.

The Russian state-run energy company had shut down the Nord Stream 1 pipeline on Wednesday for what it said would be three days of maintenance.

It said in a social media post Friday evening that it had identified “malfunctions” of a turbine and added that the pipeline would not work unless those were eliminated.

and so:

Wall Street opened sharply higher after the August U.S. payrolls report showed stronger-than-expected hiring but a climb in the unemployment rate to 3.7% eased some concerns about the Federal Reserve being overly aggressive in raising interest rates as it attempts to bring down high inflation.

However, gains were erased after Gazprom, the state-controlled firm with a monopoly on Russian gas exports to Europe via pipeline which were due to restart on Saturday, said it could not safely restart deliveries until it had fixed an oil leak found in a vital turbine and did not give a new time frame.
…
The Dow Jones Industrial Average fell 337.98 points, or 1.07%, to 31,318.44; the S&P 500 lost 42.59 points, or 1.07%, to 3,924.26; and the Nasdaq Composite dropped 154.26 points, or 1.31%, to 11,630.86.

Energy was the only major S&P sector to end the session in positive territory, up 1.81%.

All the three main indexes suffered their third straight weekly loss, as the Dow fell 2.99%, the S&P 500 declined 3.29% and the Nasdaq dropped 4.21%.

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 0.2307 % 2,505.4
FixedFloater 0.00 % 0.00 % 0 0.00 0 0.2307 % 4,805.4
Floater 6.31 % 6.42 % 53,173 13.19 2 0.2307 % 2,769.4
OpRet 0.00 % 0.00 % 0 0.00 0 0.0360 % 3,475.2
SplitShare 4.89 % 5.18 % 33,281 3.02 8 0.0360 % 4,150.1
Interest-Bearing 0.00 % 0.00 % 0 0.00 0 0.0360 % 3,238.1
Perpetual-Premium 0.00 % 0.00 % 0 0.00 0 -0.5336 % 2,821.9
Perpetual-Discount 6.04 % 6.21 % 61,485 13.57 35 -0.5336 % 3,077.2
FixedReset Disc 4.73 % 6.35 % 92,511 13.37 58 -0.0785 % 2,502.2
Insurance Straight 6.07 % 6.09 % 79,585 13.83 19 -0.5198 % 2,964.9
FloatingReset 7.59 % 7.74 % 37,642 11.74 2 -0.1546 % 2,621.7
FixedReset Prem 5.12 % 4.90 % 98,897 1.80 6 -0.2302 % 2,587.4
FixedReset Bank Non 0.00 % 0.00 % 0 0.00 0 -0.0785 % 2,557.7
FixedReset Ins Non 4.77 % 6.70 % 54,044 13.25 14 -1.3418 % 2,558.6
Performance Highlights
Issue Index Change Notes
MFC.PR.N FixedReset Ins Non -15.49 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-09-02
Maturity Price : 18.00
Evaluated at bid price : 18.00
Bid-YTW : 7.35 %
CU.PR.J Perpetual-Discount -11.94 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-09-02
Maturity Price : 17.70
Evaluated at bid price : 17.70
Bid-YTW : 6.77 %
BMO.PR.W FixedReset Disc -4.43 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-09-02
Maturity Price : 20.50
Evaluated at bid price : 20.50
Bid-YTW : 6.50 %
BAM.PF.F FixedReset Disc -3.27 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-09-02
Maturity Price : 19.20
Evaluated at bid price : 19.20
Bid-YTW : 7.76 %
BIP.PR.A FixedReset Disc -2.75 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-09-02
Maturity Price : 19.45
Evaluated at bid price : 19.45
Bid-YTW : 8.09 %
TD.PF.C FixedReset Disc -2.68 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-09-02
Maturity Price : 20.73
Evaluated at bid price : 20.73
Bid-YTW : 6.46 %
BAM.PR.M Perpetual-Discount -1.73 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-09-02
Maturity Price : 19.36
Evaluated at bid price : 19.36
Bid-YTW : 6.26 %
GWO.PR.Q Insurance Straight -1.71 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-09-02
Maturity Price : 20.69
Evaluated at bid price : 20.69
Bid-YTW : 6.24 %
GWO.PR.S Insurance Straight -1.64 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-09-02
Maturity Price : 21.03
Evaluated at bid price : 21.03
Bid-YTW : 6.25 %
SLF.PR.E Insurance Straight -1.52 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-09-02
Maturity Price : 18.81
Evaluated at bid price : 18.81
Bid-YTW : 5.99 %
CM.PR.O FixedReset Disc -1.38 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-09-02
Maturity Price : 21.45
Evaluated at bid price : 21.45
Bid-YTW : 6.32 %
MFC.PR.B Insurance Straight -1.28 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-09-02
Maturity Price : 19.35
Evaluated at bid price : 19.35
Bid-YTW : 6.03 %
BAM.PF.D Perpetual-Discount -1.23 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-09-02
Maturity Price : 20.00
Evaluated at bid price : 20.00
Bid-YTW : 6.25 %
FTS.PR.J Perpetual-Discount -1.23 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-09-02
Maturity Price : 20.06
Evaluated at bid price : 20.06
Bid-YTW : 5.96 %
SLF.PR.D Insurance Straight -1.18 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-09-02
Maturity Price : 18.50
Evaluated at bid price : 18.50
Bid-YTW : 6.03 %
RY.PR.O Perpetual-Discount -1.17 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-09-02
Maturity Price : 23.35
Evaluated at bid price : 23.67
Bid-YTW : 5.20 %
GWO.PR.Y Insurance Straight -1.12 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-09-02
Maturity Price : 18.56
Evaluated at bid price : 18.56
Bid-YTW : 6.07 %
CU.PR.F Perpetual-Discount -1.10 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-09-02
Maturity Price : 18.95
Evaluated at bid price : 18.95
Bid-YTW : 5.98 %
CU.PR.G Perpetual-Discount -1.10 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-09-02
Maturity Price : 18.95
Evaluated at bid price : 18.95
Bid-YTW : 5.98 %
MFC.PR.Q FixedReset Ins Non -1.06 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-09-02
Maturity Price : 21.95
Evaluated at bid price : 22.50
Bid-YTW : 6.44 %
MFC.PR.C Insurance Straight -1.05 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-09-02
Maturity Price : 18.80
Evaluated at bid price : 18.80
Bid-YTW : 6.01 %
ELF.PR.F Perpetual-Discount -1.00 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-09-02
Maturity Price : 21.52
Evaluated at bid price : 21.78
Bid-YTW : 6.17 %
BAM.PF.B FixedReset Disc 1.00 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-09-02
Maturity Price : 20.20
Evaluated at bid price : 20.20
Bid-YTW : 7.24 %
BIP.PR.F FixedReset Disc 1.01 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-09-02
Maturity Price : 22.63
Evaluated at bid price : 23.08
Bid-YTW : 6.61 %
BAM.PR.X FixedReset Disc 1.23 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-09-02
Maturity Price : 18.10
Evaluated at bid price : 18.10
Bid-YTW : 6.97 %
PWF.PR.O Perpetual-Discount 1.30 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-09-02
Maturity Price : 23.14
Evaluated at bid price : 23.40
Bid-YTW : 6.27 %
GWO.PR.N FixedReset Ins Non 1.73 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-09-02
Maturity Price : 14.10
Evaluated at bid price : 14.10
Bid-YTW : 6.99 %
NA.PR.W FixedReset Disc 2.94 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-09-02
Maturity Price : 21.00
Evaluated at bid price : 21.00
Bid-YTW : 6.35 %
TD.PF.D FixedReset Disc 7.52 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-09-02
Maturity Price : 21.87
Evaluated at bid price : 22.15
Bid-YTW : 6.33 %
Volume Highlights
Issue Index Shares
Traded		 Notes
FTS.PR.J Perpetual-Discount 30,106 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-09-02
Maturity Price : 20.06
Evaluated at bid price : 20.06
Bid-YTW : 5.96 %
TD.PF.K FixedReset Disc 30,000 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-09-02
Maturity Price : 23.19
Evaluated at bid price : 23.70
Bid-YTW : 6.18 %
TD.PF.B FixedReset Disc 28,273 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-09-02
Maturity Price : 21.35
Evaluated at bid price : 21.35
Bid-YTW : 6.33 %
BAM.PF.D Perpetual-Discount 26,351 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-09-02
Maturity Price : 20.00
Evaluated at bid price : 20.00
Bid-YTW : 6.25 %
TRP.PR.C FixedReset Disc 17,441 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-09-02
Maturity Price : 13.35
Evaluated at bid price : 13.35
Bid-YTW : 7.85 %
BMO.PR.E FixedReset Disc 16,450 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-09-02
Maturity Price : 24.04
Evaluated at bid price : 24.45
Bid-YTW : 6.06 %
There were 4 other index-included issues trading in excess of 10,000 shares.
Wide Spread Highlights
Issue Index Quote Data and Yield Notes
MFC.PR.N FixedReset Ins Non Quote: 18.00 – 22.30
Spot Rate : 4.3000
Average : 2.7555

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-09-02
Maturity Price : 18.00
Evaluated at bid price : 18.00
Bid-YTW : 7.35 %
MFC.PR.L FixedReset Ins Non Quote: 18.45 – 24.35
Spot Rate : 5.9000
Average : 4.6532

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-09-02
Maturity Price : 18.45
Evaluated at bid price : 18.45
Bid-YTW : 7.16 %
CU.PR.J Perpetual-Discount Quote: 17.70 – 20.49
Spot Rate : 2.7900
Average : 1.6304

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-09-02
Maturity Price : 17.70
Evaluated at bid price : 17.70
Bid-YTW : 6.77 %
IFC.PR.K Perpetual-Discount Quote: 22.01 – 23.95
Spot Rate : 1.9400
Average : 1.2891

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-09-02
Maturity Price : 21.72
Evaluated at bid price : 22.01
Bid-YTW : 6.07 %
MFC.PR.M FixedReset Ins Non Quote: 19.13 – 22.00
Spot Rate : 2.8700
Average : 2.2958

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-09-02
Maturity Price : 19.13
Evaluated at bid price : 19.13
Bid-YTW : 7.06 %
BMO.PR.W FixedReset Disc Quote: 20.50 – 21.90
Spot Rate : 1.4000
Average : 0.9651

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-09-02
Maturity Price : 20.50
Evaluated at bid price : 20.50
Bid-YTW : 6.50 %
Market Action

September 1, 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 0.00 % 0.00 % 0 0.00 0 -0.1152 % 2,499.7
FixedFloater 0.00 % 0.00 % 0 0.00 0 -0.1152 % 4,794.3
Floater 6.32 % 6.44 % 66,765 13.17 2 -0.1152 % 2,763.0
OpRet 0.00 % 0.00 % 0 0.00 0 0.1779 % 3,474.0
SplitShare 4.90 % 5.18 % 34,643 3.02 8 0.1779 % 4,148.7
Interest-Bearing 0.00 % 0.00 % 0 0.00 0 0.1779 % 3,236.9
Perpetual-Premium 0.00 % 0.00 % 0 0.00 0 -0.1909 % 2,837.1
Perpetual-Discount 6.01 % 6.15 % 62,259 13.61 35 -0.1909 % 3,093.7
FixedReset Disc 4.73 % 6.35 % 93,418 13.37 58 -0.0620 % 2,504.2
Insurance Straight 6.04 % 6.07 % 79,724 13.86 19 -0.1968 % 2,980.4
FloatingReset 7.58 % 7.71 % 38,063 11.77 2 -0.3389 % 2,625.7
FixedReset Prem 5.11 % 4.65 % 99,340 1.81 6 -0.2494 % 2,593.4
FixedReset Bank Non 0.00 % 0.00 % 0 0.00 0 -0.0620 % 2,559.8
FixedReset Ins Non 4.70 % 6.70 % 54,946 13.32 14 0.3117 % 2,593.4
Performance Highlights
Issue Index Change Notes
CM.PR.P FixedReset Disc -7.62 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-09-01
Maturity Price : 20.00
Evaluated at bid price : 20.00
Bid-YTW : 6.66 %
IFC.PR.C FixedReset Disc -2.98 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-09-01
Maturity Price : 19.20
Evaluated at bid price : 19.20
Bid-YTW : 7.00 %
NA.PR.W FixedReset Disc -2.39 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-09-01
Maturity Price : 20.40
Evaluated at bid price : 20.40
Bid-YTW : 6.53 %
IFC.PR.A FixedReset Ins Non -2.11 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-09-01
Maturity Price : 18.60
Evaluated at bid price : 18.60
Bid-YTW : 6.79 %
BIP.PR.F FixedReset Disc -1.80 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-09-01
Maturity Price : 22.42
Evaluated at bid price : 22.85
Bid-YTW : 6.68 %
IFC.PR.K Perpetual-Discount -1.57 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-09-01
Maturity Price : 21.71
Evaluated at bid price : 22.00
Bid-YTW : 6.07 %
IFC.PR.G FixedReset Ins Non -1.57 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-09-01
Maturity Price : 21.61
Evaluated at bid price : 22.00
Bid-YTW : 6.70 %
BMO.PR.Y FixedReset Disc -1.54 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-09-01
Maturity Price : 21.10
Evaluated at bid price : 21.10
Bid-YTW : 6.51 %
CM.PR.T FixedReset Prem -1.34 % YTW SCENARIO
Maturity Type : Call
Maturity Date : 2024-04-30
Maturity Price : 25.00
Evaluated at bid price : 25.01
Bid-YTW : 5.52 %
BAM.PF.E FixedReset Disc -1.34 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-09-01
Maturity Price : 17.70
Evaluated at bid price : 17.70
Bid-YTW : 7.75 %
GWO.PR.Y Insurance Straight -1.31 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-09-01
Maturity Price : 18.77
Evaluated at bid price : 18.77
Bid-YTW : 6.00 %
SLF.PR.H FixedReset Ins Non -1.24 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-09-01
Maturity Price : 17.50
Evaluated at bid price : 17.50
Bid-YTW : 6.89 %
TRP.PR.C FixedReset Disc -1.03 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-09-01
Maturity Price : 13.48
Evaluated at bid price : 13.48
Bid-YTW : 7.78 %
MFC.PR.L FixedReset Ins Non -1.03 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-09-01
Maturity Price : 18.31
Evaluated at bid price : 18.31
Bid-YTW : 7.21 %
GWO.PR.N FixedReset Ins Non -1.00 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-09-01
Maturity Price : 13.86
Evaluated at bid price : 13.86
Bid-YTW : 7.10 %
MFC.PR.Q FixedReset Ins Non 1.07 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-09-01
Maturity Price : 22.09
Evaluated at bid price : 22.74
Bid-YTW : 6.37 %
GWO.PR.S Insurance Straight 1.23 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-09-01
Maturity Price : 21.38
Evaluated at bid price : 21.38
Bid-YTW : 6.15 %
BAM.PR.T FixedReset Disc 1.27 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-09-01
Maturity Price : 16.71
Evaluated at bid price : 16.71
Bid-YTW : 7.67 %
TD.PF.E FixedReset Disc 1.37 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-09-01
Maturity Price : 21.89
Evaluated at bid price : 22.20
Bid-YTW : 6.34 %
BMO.PR.W FixedReset Disc 1.42 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-09-01
Maturity Price : 21.45
Evaluated at bid price : 21.45
Bid-YTW : 6.21 %
NA.PR.S FixedReset Disc 4.55 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-09-01
Maturity Price : 21.49
Evaluated at bid price : 21.85
Bid-YTW : 6.36 %
MFC.PR.N FixedReset Ins Non 11.52 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-09-01
Maturity Price : 21.30
Evaluated at bid price : 21.30
Bid-YTW : 6.24 %
CM.PR.Q FixedReset Disc 12.82 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-09-01
Maturity Price : 21.59
Evaluated at bid price : 22.00
Bid-YTW : 6.31 %
Volume Highlights
Issue Index Shares
Traded		 Notes
GWO.PR.T Insurance Straight 40,100 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-09-01
Maturity Price : 21.25
Evaluated at bid price : 21.25
Bid-YTW : 6.07 %
GWO.PR.Q Insurance Straight 26,700 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-09-01
Maturity Price : 21.05
Evaluated at bid price : 21.05
Bid-YTW : 6.13 %
IFC.PR.A FixedReset Ins Non 24,545 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-09-01
Maturity Price : 18.60
Evaluated at bid price : 18.60
Bid-YTW : 6.79 %
GWO.PR.G Insurance Straight 16,900 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-09-01
Maturity Price : 21.20
Evaluated at bid price : 21.20
Bid-YTW : 6.14 %
NA.PR.S FixedReset Disc 16,466 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-09-01
Maturity Price : 21.49
Evaluated at bid price : 21.85
Bid-YTW : 6.36 %
There were 0 other index-included issues trading in excess of 10,000 shares.
Wide Spread Highlights
Issue Index Quote Data and Yield Notes
MFC.PR.L FixedReset Ins Non Quote: 18.31 – 24.35
Spot Rate : 6.0400
Average : 3.2863

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-09-01
Maturity Price : 18.31
Evaluated at bid price : 18.31
Bid-YTW : 7.21 %
CU.PR.F Perpetual-Discount Quote: 19.16 – 24.43
Spot Rate : 5.2700
Average : 3.9499

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-09-01
Maturity Price : 19.16
Evaluated at bid price : 19.16
Bid-YTW : 5.92 %
MFC.PR.M FixedReset Ins Non Quote: 19.17 – 22.00
Spot Rate : 2.8300
Average : 1.6662

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-09-01
Maturity Price : 19.17
Evaluated at bid price : 19.17
Bid-YTW : 7.04 %
BAM.PR.M Perpetual-Discount Quote: 19.70 – 22.00
Spot Rate : 2.3000
Average : 1.3195

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-09-01
Maturity Price : 19.70
Evaluated at bid price : 19.70
Bid-YTW : 6.15 %
CM.PR.P FixedReset Disc Quote: 20.00 – 21.65
Spot Rate : 1.6500
Average : 0.9774

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-09-01
Maturity Price : 20.00
Evaluated at bid price : 20.00
Bid-YTW : 6.66 %
FTS.PR.G FixedReset Disc Quote: 18.65 – 19.99
Spot Rate : 1.3400
Average : 0.9795

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-09-01
Maturity Price : 18.65
Evaluated at bid price : 18.65
Bid-YTW : 7.25 %
Issue Comments

TA.PR.H To Reset At 6.894%

TransAlta Corporation has announced:

that it does not intend to exercise its right to redeem all or any part of the currently outstanding cumulative redeemable rate reset first preferred shares Series E (“Series E Shares”) (TSX: TA.PR.H) on September 30, 2022 (the “Conversion Date”).

As a result and subject to certain conditions set out in the prospectus supplement dated August 3, 2012 relating to the issuance of the Series E Shares, the holders of the Series E Shares will have the right to convert all or any of their Series E Shares into cumulative redeemable floating rate first preferred shares Series F of the Company (“Series F Shares”) on the basis of one Series F Share for each Series E Share on the Conversion Date.

With respect to any Series E Shares that remain outstanding after September 30, 2022, holders thereof will be entitled to receive quarterly fixed cumulative preferential cash dividends, if, as and when declared by the Board of Directors of TransAlta. The annual dividend rate for the Series E Shares for the five-year period from and including September 30, 2022 to but excluding September 30, 2027, will be 6.89400%, being equal to the five-year Government of Canada bond yield of 3.24400% determined as of today plus 3.65000%, in accordance with the terms of the Series E Shares.

With respect to any Series F Shares that may be issued on September 30, 2022, holders thereof will be entitled to receive quarterly floating rate cumulative preferential cash dividends, if, as and when declared by the Board of Directors of TransAlta. The annual dividend rate for the 3-month floating rate period from and including September 30, 2022 to but excluding December 31, 2022 will be 6.96800%, being equal to the annual rate for the most recent auction of 90-day Government of Canada Treasury Bills of 3.31800% plus 3.65000%, in accordance with the terms of the Series E Shares (the “Floating Quarterly Dividend Rate”). The Floating Quarterly Dividend Rate will be reset every quarter.

As provided in the terms of the Series E Shares, if TransAlta determines after reviewing all Series E Shares tendered for conversion into Series F Shares that: (i) there would remain outstanding on September 30, 2022, less than 1,000,000 Series E Shares, all remaining Series E Shares shall be converted automatically into Series F Shares on a one-for one basis effective September 30, 2022; or (ii) there would remain outstanding after September 30, 2022, less than 1,000,000 Series F Shares, the holders of Series E Shares shall not be entitled to convert their shares into Series F Shares effective September 30, 2022. There are currently 9,000,000 Series E Shares outstanding.

The Series E Shares are issued in “book entry only” form and must be purchased or transferred through a participant in the CDS depository service (“CDS Participant”). All rights of holders of Series E Shares must be exercised through CDS or the CDS Participant through which the Series E Shares are held. The deadline for the registered shareholder to provide notice of exercise of the right to convert Series E Shares into Series F Shares is 3:00 p.m. (MST) / 5:00 p.m. (EST) on September 15, 2022. Any notices received after this deadline will not be valid. As such, holders of Series E Shares who wish to exercise their right to convert their shares should contact their broker or other intermediary for more information and it is recommended that this be done well in advance of the deadline in order to provide the broker or other intermediary with time to complete the necessary steps.

If TransAlta does not receive an election notice from a holder of Series E Shares during the time fixed therefor, then the Series E Shares shall be deemed not to have been converted (except in the case of an automatic conversion). Holders of the Series E Shares and the Series F Shares will have the opportunity to convert their shares again on September 30, 2027, and every five years thereafter as long as the shares remain outstanding.

As previously announced on July 27, 2022, holders of Series E shares as of the record date of September 1, 2022 will receive a dividend of $0.32463 payable on September 30, 2022, in respect of the period starting from and including June 30, 2022 up to but excluding September 30, 2022, regardless of whether the holder elects to convert their Series E Shares into Series F Shares on the Conversion Date.

The Toronto Stock Exchange (TSX) has conditionally approved the listing of the Series F Shares effective upon conversion. Listing of the Series F Shares is subject to TransAlta fulfilling all the listing requirements of the TSX.

TA.PR.H was issued as a FixedReset, 5.00%+365, that commenced trading 2012-8-10 after being announced 2012-8-2. It reset to 5.194% in 2017; I recommended against conversion; and there was no conversion. The issue is tracked by HIMIPref™ but has been assigned to the Scraps index on credit concerns.

Assiduous Reader DR points out by eMail that there’s something of a mystery regarding the reset rate: the company used 3.244% as the GOC-5 base, which is somewhat different from the investing.com indication of around 3.28%. This sort of difference is often due to different benchmarks being used, but investing.com uses the 1.25% of 2027-3-1 which is the same as the Bank of Canada. I can only surmise that Bloomberg uses a different bond – perhaps the 2.75% of 2027-9-1, which had 12-billion outstanding at the end of July after an auction on 2022-7-20, with another one scheduled for 2027-9-22.

Issue Comments

PPL.PR.O To Reset At 6.164%

Pembina Pipeline Corporation has announced:

that it does not intend to exercise its right to redeem the currently outstanding Cumulative Redeemable Rate Reset Class A Preferred Shares, Series 15 (“Series 15 Shares”) (TSX: PPL.PR.O) on September 30, 2022.

As a result, and subject to certain terms of the Series 15 Shares, the holders of the Series 15 Shares will have the right to elect to convert all or part of their Series 15 Shares on a one-for-one basis into Cumulative Redeemable Floating Rate Class A Preferred Shares, Series 16 of Pembina (“Series 16 Shares”) on October 3, 2022 (the “Conversion Date”), being the first business day following the statutory holiday on September 30, 2022. Holders who do not exercise their right to convert their Series 15 Shares into Series 16 Shares will retain their Series 15 Shares.

As provided in the terms of the Series 15 Shares: (i) if Pembina determines that there would remain outstanding immediately following the conversion less than 1,000,000 Series 15 Shares, then all remaining Series 15 Shares will be automatically converted into Series 16 Shares on a one-for-one basis effective as of the Conversion Date; or (ii) if Pembina determines that there would be less than 1,000,000 Series 16 Shares outstanding immediately following the conversion, no Series 15 Shares will be converted into Series 16 Shares on the Conversion Date. There are currently 8,000,000 Series 15 Shares outstanding.

With respect to any Series 15 Shares that remain outstanding after the Conversion Date, holders thereof will be entitled to receive quarterly fixed cumulative preferential cash dividends, if, as and when declared by the Board of Directors of Pembina. The annual dividend rate for the Series 15 Shares for the five-year period from and including September 30, 2022, to, but excluding, September 30, 2027, will be 6.164 percent, being equal to the five-year Government of Canada bond yield of 3.244 percent determined as of today plus 2.92 percent, in accordance with the terms of the Series 15 Shares.

With respect to any Series 16 Shares that may be issued on the Conversion Date, holders thereof will be entitled to receive quarterly floating rate cumulative preferential cash dividends, if, as and when declared by the Board of Directors of Pembina. The annual dividend rate applicable to the Series 16 Shares for the three-month floating rate period from and including September 30, 2022, to, but excluding, December 31, 2022, will be 6.238 percent, being equal to the annual rate of interest for the most recent auction of 90-day Government of Canada treasury bills of 3.318 percent plus 2.92 percent, in accordance with the terms of the Series 16 Shares (the “Floating Quarterly Dividend Rate”). The Floating Quarterly Dividend Rate will be reset every quarter.

Beneficial holders of Series 15 Shares who wish to exercise their right of conversion during the conversion period, which runs from August 31, 2022, until 3:00 pm (MT) / 5:00 pm (ET) on September 19, 2022, should communicate as soon as possible with their broker or other intermediary for more information. It is recommended that this be done well in advance of the deadline in order to provide the broker or other intermediary with the time to complete the necessary steps. Any notices received after this deadline will not be valid.

As previously announced, the dividend payable on October 3, 2022, to holders of the Series 15 Shares of record on September 15, 2022, will be $0.2790 per Series 15 Share, consistent with the dividend rate in effect since the issuance of the Series 15 Shares. For more information on the terms of the Series 15 Shares and the Series 16 Shares, please see Pembina’s articles of amendment dated October 2, 2017, relating to the creation of the Series 15 Shares and the Series 16 Shares, which can be found on SEDAR at www.sedar.com.

PPL.PR.O was issued as VSN.PR.A, a FixedReset, 4.40%+292 that commenced trading 2012-2-14 after being announced 2012-2-3. In 2017 the issue reset to 4.464%; I recommended against conversion; and there was no conversion. The ticker changed in October 2017.

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

Assiduous Reader DR points out by eMail that there’s something of a mystery regarding the reset rate: the company used 3.244% as the GOC-5 base, which is somewhat different from the investing.com indication of around 3.28%. This sort of difference is often due to different benchmarks being used, but investing.com uses the 1.25% of 2027-3-1 which is the same as the Bank of Canada. I can only surmise that Bloomberg uses a different bond – perhaps the 2.75% of 2027-9-1, which had 12-billion outstanding at the end of July after an auction on 2022-7-20, with another one scheduled for 2027-9-22.