MAPF Performance: September, 2023

October 1st, 2023

Malachite Aggressive Preferred Fund’s Net Asset Value per Unit as of the close September 29, 2023, was $7.9922 after a dividend distribution of 0.120186 per Unit.

Performance was affected by MIC.PR.A underperforming at +1.44% , BN.PR.R at +2.36% [repeating last month’s underperformance] and several low-weight, junk-rated issues underperforming at -4.95% to -0.58%. This was more than compensated for by good performance from TRP.PR.D (+6.44%), TD.PF.C (+6.36%, recovering from last month’s underperformance) and NA.PR.W (+5.66)[small holdings are not considered for individual mention here].

I feel it is only a matter of time before investors start paying attention to the fundamental risk of these instruments compared to their eye-popping interest-equivalent yields. In addition, the market appears to be giving considerable weight to Current Yield as a measure of valuation, ignoring or strongly deprecating the potential for large dividend increases on the next few years of resets.

FixedResets continue to yield more, in general, than PerpetualDiscounts; on September 29, I reported median YTWs of 9.18% and 7.07%, respectively, for these two indices; compare with mean Current Yields of 5.97% and 6.87%, respectively. RY.PR.J, to take a representative example, is calculated by HIMIPref™ as having a yield-to-worst of 9.35% at monthend (Current Yield of 4.49%); bid at 17.80, resetting 2025-5-24 at a spread of 274bp over GOC-5 (assumed to be constant at 4.31%) and currently paying 0.80 p.a. (3.20% annually). The next pay-date is 2023-11-24; it is trading cum-dividend.

If we plug the above data into the yield calculator for resets (which is discussed here and has recently been slightly modified), we arrive at a annualized (compounded semi-annually) yield of 9.24% for RY.PR.J . To take this up 11bp (the difference between the spreadsheets and HIMIPref™) above the PerpetualDiscount median index yield of 7.07% (to account for the calculation methodological differences), which is to say 7.18%, requires the assumption that GOC-5 will be 2.57% forever, as opposed the ‘constant rate’ assumption of 4.31%. Well … pays yer money and takes yer chances, gents! Assiduous Readers with long memories will liken this to all the calculations of Break-even Rate Shock when the puzzle represented the same problem with a different sign! Note that even if the unfavourable scenario of GOC-5 = 2.57% is realized, this has only reduced the yield of RY.PR.J to that of the median PerpetualDiscount yield, which isn’t the worst outcome one might fear from one’s investments!

Returns to September 29, 2023
Period MAPF TXPR*
Total Return		 CPD – according to Blackrock
One Month +3.74% +1.44% N/A
Three Months +1.16% -1.43% N/A
One Year +0.12% -4.47% -4.92%
Two Years (annualized) -9.63% -9.35% N/A
Three Years (annualized) +7.97% +1.18% +0.66%
Four Years (annualized) +6.08% +1.57% N/A
Five Years (annualized) +0.12% -0.93% -1.49%
Six Years (annualized) +1.74% +0.05% N/A
Seven Years (annualized) +4.83% +2.24% N/A
Eight Years (annualized) +5.34% +3.01% N/A
Nine Years (annualized) +1.98% +0.21% N/A
Ten Years (annualized) +2.72% +0.72% N/A
Eleven Years (annualized) +2.36% +0.57%  
Twelve Years (annualized) +3.18% +1.05%  
Thirteen Years (annualized) +3.16% +1.37%  
Fourteen Years (annualized) +3.99% +1.89%  
Fifteen Years (annualized) +7.10% +2.36%  
Sixteen Years (annualized) +6.39% +1.67%  
Seventeen Years (annualized) +6.08%    
Eighteen Years (annualized) +6.07%    
Nineteen Years (annualized) +6.13%    
Twenty Years (annualized) +6.58%    
Twenty-One Years (annualized) +7.66%    
Twenty-Two Years (annualized) +7.06%    
MAPF returns assume reinvestment of distributions, and are shown after expenses but before fees.
The BMO Capital Markets “50” Preferred Share Index is no longer being calculated. The final performance report incorporating this venerable index was published as of December, 2020.
“TXPR” is the S&P/TSX Preferred Share Index. It is calculated without accounting for fees, but does assume reinvestment of dividends.
CPD Returns are for the NAV and are after all fees and expenses. Reinvestment of dividends is assumed.
Figures for National Bank Preferred Equity Income Fund (formerly Omega Preferred Equity) (which are after all fees and expenses) for 1-, 3- and 12-months are +1.48%, -0.94% and -3.74%, respectively, according to Globe & Mail / Fundata after all fees & expenses. Three year performance is +2.70%; five year is +0.21%; ten year is +1.60%.

Figures from Morningstar are no longer conveniently available.
Manulife Preferred Income Class Adv has been terminated by Manulife. The performance of this fund was last reported here in March, 2018.
Figures for Horizons Active Preferred Share ETF (HPR) (which are after all fees and expenses) for 1-, 3- and 12-months are +1.58%, -0.54% & -2.93%, respectively. Three year performance is +3.45%, five-year is -0.71%, ten year is +1.47%
Figures for National Bank Preferred Equity Fund (formerly Altamira Preferred Equity Fund) are +2.13%, -0.06% and -2.55% for one-, three- and twelve months, respectively. Three year performance is +3.71%; five-year is -0.46%; ten-year is +1.50%

Acccording to the fund’s fact sheet as of June 30, 2016, the fund’s inception date was October 30, 2015. I do not know how they justify this nonsensical statement, but will assume that prior performance is being suppressed in some perfectly legal manner that somebody at National considers ethical.

The last time Altamira Preferred Equity Fund’s performance was reported here was April, 2014; performance under the National Bank banner was first reported here May, 2014.
The figures for the NAV of BMO S&P/TSX Laddered Preferred Share Index ETF (ZPR) is -4.44% for the past twelve months. Two year performance is -8.74%, three year is +3.39%, five year is -0.70%, ten year is 0.00%
Figures for Fiera Canadian Preferred Share Class Cg Series F, (formerly Natixis Canadian Preferred Share Class Series F) (formerly NexGen Canadian Preferred Share Tax Managed Fund) are no longer available as the Fund is now the property of Canoe Financial. The last reported performance for the merged fund was May 2020.
Figures for BMO Preferred Share Fund (advisor series) according to BMO are +1.89%, -0.96% and -5.64% for the past one-, three- and twelve-months, respectively. Two year performance is -10.62%; three year is -0.38%; five-year is -3.10%; ten-year is -1.10%.
Figures for PowerShares Canadian Preferred Share Index Class, Series F (PPS) are no longer available since the fund has been terminated. Performance was last reported for the fund to month-end, March 2023
Figures for the First Asset Preferred Share Investment Trust (PSF.UN) are no longer available since the fund has merged with First Asset Preferred Share ETF (FPR).

Performance for the fund was last reported here in September, 2016; the first report of unavailability was in October, 2016.
Figures for Lysander-Slater Preferred Share Dividend Fund (Class F) according to the company are +2.0%, -0.2% and -3.0% for the past one, three and twelve months, respectively. Three year performance is +5.5%, five-year is -1.0%.
Figures for the Desjardins Canadian Preferred Share Fund A Class (A Class), as reported by the company are +1.17%, -1.69% and -4.57% for the past one, three and twelve months, respectively. Two year performance is -10.05%, three-year is +0.86%, five-year is -2.22%
Figures for the RBC Canadian Preferred Share ETF (RPF) are reported by Morningstar as +0.85%, -2.57% and -7.03% for the past one, three and twelve months, respectively. Three-year performance is +2.10%, five-year is -1.77%
Figures for the Dynamic Active Preferred Shares ETF (DXP) are +1.5%, -0.7% and -1.2% for the past one, three and twelve months, respectively. Three-year performance is +5.9%; five-year is +0.9%
Figures for the Purpose Canadian Preferred Share Fund (Class F) are +2.47%, +0.87% and -3.94% for the past one, three and twelve months, respectively. Three-year performance is +6.02%; five-year is -0.79%; seven-year is +2.47%; ten-year is +4.39%.

The five-year Canada yield increased, with the five-year Canada yield (“GOC-5”) rising from 4.08% at August month-end to 4.31% at September month-end.

The Seniority Spread (between long-term corporate bonds and interest-equivalent PerpetualDiscounts) was 390bp as of 2023-9-27 (although this is based on suspect data from BMO) (chart end-date 2023-9-8) :

The situation with FixedResets is interesting, with the spread between GOC-5 and the interest-adjusted FixedReset (Discount) rate widening significantly from its 2021-11-10 low of 344bp to its current level of 762bp (as of 2023-9-27) … (chart end-date 2023-9-8):

…while at the same time the interest-equivalent spread between FixedReset (Discounts) and PerpetualDiscounts has narrowed to -274bp (as of 2023-9-29) from its 2021-7-28 level of +170bp (chart end-date 2023-8-11):

There is no significant correlation between the Issue Reset Spread and 1-month performance for discounted FixedResets for either the Pfd-2 or Pfd-3 Group issues, which is normal because there is a lot of noise in this inefficient market.

However, the normally moderate correlations between Issue Reset Spread and three-month performance have disappeared again in this month’s check:

Results for the regressions of performance against term-to-reset echo those found last month. I interpret this as implying that the market is using the FixedReset market as a proxy to make interest rate forecasting bets, but I am at a loss to discern any coherent vision to results in the year to date.

There was a correlation of 21% for the Pfd-2 Group and the same value for the Pfd-3 (21%) Group for 1-Month performance against term-to-reset; there seems to be some additional effect of a less than one-year term to reset:

… and for three-month performance against term-to-reset, there were significant correlations for both the Pfd-2 Group (32%) and the Pfd-3 Group (39%):

It should be noted that to some extent such a dependence (of performance on term-to-reset) can be justified as the nearer-term issues will receive the benefit of higher projected dividend rates sooner as a result of higher GOC-5 yields and therefore, perhaps, for longer. Equations for the relationship between correlation slope and change in GOC-5 were derived in the August 2022 PrefLetter. In the three months from June 30 to September 29, the GOC-5 rate increased from 3.74% to 4.31%. There may have well have been an effect from the surprise redemption of TD.PF.K, if enough investors thought this signalled the return of waves of redemptions.

I keep talking about ‘Sustainable Income’ and nowadays it’s far higher than the dividends that are currently being distributed. This is because Sustainable Income is the average yield-to-worst (YTW) of the portfolio when the YTW is calculated to perpetuity (or to redemption, of course, if the yield to redemption is lower), including resets at the current GOC-5 rate. The sharp increase in GOC-5 in the past year-odd has caused the difference between YTW and Current Yield to skyrocket, but one way or another I expect that these two values will become much closer – slowly at first, but quickening in about two years. We have to wait for the reset date of the MAPF portfolio securities before we see a change in actual cash receipts – and, of course, there is no guarantee whatsoever that the rate used for estimation purposes now will be used for the actual calculation in the future (chart prepared as of 2023-9-8).

Calculation of MAPF Sustainable Income Per Unit
Month NAVPU Portfolio
Average
YTW		 Leverage
Divisor		 Securities
Average
YTW		 Capital
Gains
Multiplier		 Sustainable
Income
per
current
Unit
June, 2007 9.3114 5.16% 1.03 5.01% 1.3240 0.3524
September 9.1489 5.35% 0.98 5.46% 1.3240 0.3773
December, 2007 9.0070 5.53% 0.942 5.87% 1.3240 0.3993
March, 2008 8.8512 6.17% 1.047 5.89% 1.3240 0.3938
June 8.3419 6.034% 0.952 6.338% 1.3240 $0.3993
September 8.1886 7.108% 0.969 7.335% 1.3240 $0.4537
December, 2008 8.0464 9.24% 1.008 9.166% 1.3240 $0.5571
March 2009 $8.8317 8.60% 0.995 8.802% 1.3240 $0.5872
June 10.9846 7.05% 0.999 7.057% 1.3240 $0.5855
September 12.3462 6.03% 0.998 6.042% 1.3240 $0.5634
December 2009 10.5662 5.74% 0.981 5.851% 1.1141 $0.5549
March 2010 10.2497 6.03% 0.992 6.079% 1.1141 $0.5593
June 10.5770 5.96% 0.996 5.984% 1.1141 $0.5681
September 11.3901 5.43% 0.980 5.540% 1.1141 $0.5664
December 2010 10.7659 5.37% 0.993 5.408% 1.0298 $0.5654
March, 2011 11.0560 6.00% 0.994 5.964% 1.0298 $0.6403
June 11.1194 5.87% 1.018 5.976% 1.0298 $0.6453
September 10.2709 6.10%
Note		 1.001 6.106% 1.0298 $0.6090
December, 2011 10.0793 5.63%
Note		 1.031 5.805% 1.0000 $0.5851
March, 2012 10.3944 5.13%
Note		 0.996 5.109% 1.0000 $0.5310
June 10.2151 5.32%
Note		 1.012 5.384% 1.0000 $0.5500
September 10.6703 4.61%
Note		 0.997 4.624% 1.0000 $0.4934
December, 2012 10.8307 4.24% 0.989 4.287% 1.0000 $0.4643
March, 2013 10.9033 3.87% 0.996 3.886% 1.0000 $0.4237
June 10.3261 4.81% 0.998 4.80% 1.0000 $0.4957
September 10.0296 5.62% 0.996 5.643% 1.0000 $0.5660
December, 2013 9.8717 6.02% 1.008 5.972% 1.0000 $0.5895
March, 2014 10.2233 5.55% 0.998 5.561% 1.0000 $0.5685
June 10.5877 5.09% 0.998 5.100% 1.0000 $0.5395
September 10.4601 5.28% 0.997 5.296% 1.0000 $0.5540
December, 2014 10.5701 4.83% 1.009 4.787% 1.0000 $0.5060
March, 2015 9.9573 4.99% 1.001 4.985% 1.0000 $0.4964
June, 2015 9.4181 5.55% 1.002 5.539% 1.0000 $0.5217
September 7.8140 6.98% 0.999 6.987% 1.0000 $0.5460
December, 2015 8.1379 6.85% 0.997 6.871% 1.0000 $0.5592
March, 2016 7.4416 7.79% 0.998 7.805% 1.0000 $0.5808
June 7.6704 7.67% 1.011 7.587% 1.0000 $0.5819
September 8.0590 7.35% 0.993 7.402% 1.0000 $0.5965
December, 2016 8.5844 7.24% 0.990 7.313% 1.0000 $0.6278
March, 2017 9.3984 6.26% 0.994 6.298% 1.0000 $0.5919
June 9.5313 6.41% 0.998 6.423% 1.0000 $0.6122
September 9.7129 6.56% 0.998 6.573% 1.0000 $0.6384
December, 2017 10.0566 6.06% 1.004 6.036% 1.0000 $0.6070
March, 2018 10.2701 6.22% 1.007 6.177% 1.0000 $0.6344
June 10.2518 6.22% 0.995 6.251% 1.0000 $0.6408
September 10.2965 6.62% 1.018 6.503% 1.0000 $0.6696
December, 2018 8.6875 7.16% 0.997 7.182% 1.0000 $0.6240
March, 2019 8.4778 7.09% 1.007 7.041% 1.0000 $0.5969
June 8.0896 7.33% 0.996 7.359% 1.0000 $0.5953
September 7.7948 7.96% 0.998 7.976% 1.0000 $0.6217
December, 2019 8.0900 6.03% 0.995 6.060% 1.0000 $0.4903
March 5.5596 7.04% 1.006 6.998% 1.0000 $0.3891
June 6.3568 6.10% 0.9900 6.162% 1.0000 $0.3917
September 7.2852 5.32% 1.00 5.320% 1.0000 $0.3876
December, 2020 8.3947 4.46% 0.999 4.464% 1.0000 $0.3747
March, 2021 9.6473 4.48% 0.996 4.498% 1.0000 $0.4339
June 10.3712 3.92% 0.985 3.980% 1.0000 $0.4127
September 10.7572 4.08% 1.017 4.012% 1.0000 $0.4316
December, 2021 10.7432 4.31% 0.999 4.314% 1.0000 $0.4635
March, 2022 10.5040 5.53% 1.004 5.508% 1.0000 $0.5786
June 9.3115 7.04% 0.993 7.090% 1.0000 $0.6672
September 8.4093 8.10% 0.997 8.124% 1.0000 $0.6916
December, 2022 7.9921 8.47% 0.996 8.504% 1.0000 $0.6796
March 8.0788 7.90% 0.997 7.924% 1.0000 $0.6401
June 30 8.0197 9.19% 1.003 9.163% 1.0000 $0.7348
September 29, 2023 7.9922 9.86% 0.997 9.890% 1.0000 $0.7904
NAVPU is shown after quarterly distributions of dividend income and annual distribution of capital gains.
Portfolio YTW includes cash (or margin borrowing), with an assumed interest rate of 0.00%
The Leverage Divisor indicates the level of cash in the account: if the portfolio is 1% in cash, the Leverage Divisor will be 0.99
Securities YTW divides “Portfolio YTW” by the “Leverage Divisor” to show the average YTW on the securities held; this assumes that the cash is invested in (or raised from) all securities held, in proportion to their holdings.
The Capital Gains Multiplier adjusts for the effects of Capital Gains Dividends. On 2009-12-31, there was a capital gains distribution of $1.989262 which is assumed for this purpose to have been reinvested at the final price of $10.5662. Thus, a holder of one unit pre-distribution would have held 1.1883 units post-distribution; the CG Multiplier reflects this to make the time-series comparable. Note that Dividend Distributions are not assumed to be reinvested.
Sustainable Income is the resultant estimate of the fund’s dividend income per current unit, before fees and expenses. Note that a “current unit” includes reinvestment of prior capital gains; a unitholder would have had the calculated sustainable income with only, say, 0.9 units in the past which, with reinvestment of capital gains, would become 1.0 current units.
DeemedRetractibles are 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 (definition refined in May, 2011). These issues are analyzed as if their prospectuses included a requirement to redeem at par on or prior to 2022-1-31 (banks) or the Deemed Maturity date for insurers and insurance holding companies (see below)), in addition to the call schedule explicitly defined. See the Deemed Retractible Review: September 2016 for the rationale behind this analysis.

The same reasoning is also applied to FixedResets from these issuers, other than explicitly defined NVCC from banks.

In November, 2019, the assumption of DeemedRetraction for insurance issues was cancelled in the wake of the IAIS decision included in ICS 2.0. This resulted in a large drop in the yield calculated for these issues
The Deemed Maturity date for insurers was set at 2022-1-31 at the commencement of the process in February, 2011. It was extended to 2025-1-31 in April, 2013 and to 2030-1-31 in December, 2018. In November, 2019, the assumption of DeemedRetraction was cancelled in the wake of the IAIS decision included in ICS 2.0.
Yields for September, 2011, to January, 2012, were calculated by imposing a cap of 10% on the yields of YLO issues held, in order to avoid their extremely high calculated yields distorting the calculation and to reflect the uncertainty in the marketplace that these yields will be realized. From February to September 2012, yields on these issues have been set to zero. All YLO issues held were sold in October 2012.

These calculations were performed assuming constant contemporary GOC-5 and 3-Month Bill rates, as follows:

Canada Yields Assumed in Calculations
Month-end GOC-5 3-Month Bill
September, 2015 0.78% 0.40%
December, 2015 0.71% 0.46%
March, 2016 0.70% 0.44%
June 0.57% 0.47%
September 0.58% 0.53%
December, 2016 1.16% 0.47%
March, 2017 1.08% 0.55%
June 1.35% 0.69%
September 1.79% 0.97%
December, 2017 1.83% 1.00%
March, 2018 2.06% 1.08%
June 1.95% 1.22%
September 2.33% 1.55%
December, 2018 1.88% 1.65%
March, 2019 1.46% 1.66%
June 1.34% 1.66%
September 1.41% 1.66%
December, 2019 1.68% 1.68%
March, 2020 0.57% 0.21%
June 0.37% 0.21%
September 0.35% 0.14%
December, 2020 0.42% 0.08%
March, 2021 0.94% 0.09%
June 0.93% 0.13%
September 1.07% 0.13%
December, 2021 1.31% 0.16%
March, 2022 2.44% 0.53%
June 3.24% 2.11%
September 3.45% 3.60%
December, 2022 3.37% 4.35%
March, 2023 2.93% 4.44%
June 3.74% 5.00%
September, 2023 4.31% 5.21%

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MAPF Portfolio Composition: September, 2023

October 1st, 2023

Turnover remained surprisingly high at 10% in September, saved from ignominy by a burst of activity following the surprise redemption of TD.PF.K and subsequent market movement.

Sectoral distribution of the MAPF portfolio on September 29, 2023, were:

MAPF Sectoral Analysis 2023-9-29
HIMI Indices Sector Weighting YTW ModDur
Ratchet 0% N/A N/A
FixFloat 0% N/A N/A
Floater 0% N/A N/A
OpRet 0% N/A N/A
SplitShare 0% N/A N/A
Interest Rearing 0% N/A N/A
PerpetualPremium 0% N/A N/A
PerpetualDiscount 0% N/A N/A
Fixed-Reset Discount 63.3% 9.75% 10.24
Insurance – Straight 3.2% 6.93% 12.64
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 9.0% 9.26% 10.78
Scraps – Ratchet 0% N/A N/A
Scraps – FixedFloater 1.4% 10.99% 10.00
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 5.3% 7.60% 11.86
Scraps – FR Discount 17.5% 11.84% 8.83
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 +0.2% 0.00% 0.00
Total 100% 9.86% 10.17
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 yield and related attributes of resettable instruments are performed assuming a constant GOC-5 rate of 4.31%, a constant 3-Month Bill rate of 5.21% and a constant Canada Prime Rate of 7.20%

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 2023-9-29
DBRS Rating MAPF Weighting
Pfd-1 0
Pfd-1(low) 0
Pfd-2(high) 44.4%
Pfd-2 20.0%
Pfd-2(low) 16.4%
Pfd-3(high) 14.1%
Pfd-3 1.4%
Pfd-3(low) 3.2%
Pfd-4(high) 0.3%
Pfd-4 0%
Pfd-4(low) 0%
Pfd-5(high) 0%
Pfd-5 0%
Cash +0.2%
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.

Liquidity Distribution is:

MAPF Liquidity Analysis 2023-9-29
Average Daily Trading MAPF Weighting
<$50,000 20.1%
$50,000 – $100,000 15.6%
$100,000 – $200,000 50.7%
$200,000 – $300,000 12.9%
>$300,000 0.4%
Cash +0.2%
Totals will not add precisely due to rounding.

The distribution of Issue Reset Spreads is:

Range MAPF Weight
<100bp 0%
100-149bp 4.8%
150-199bp 11.2%
200-249bp 62.8%
250-299bp 8.1%
300-349bp 2.3%
350-399bp 0.5%
400-449bp 0%
450-499bp 0%
500-549bp 0%
550-599bp 0%
>= 600bp 0%
Undefined 10.2%

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 23.6%
1-2 Years 35.1%
2-3 Years 18.6%
3-4 Years 8.0%
4-5 Years 5.8%
5-6 Years 0%
>6 Years 0%
Not Floating Rate 8.8%

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.

Posted in MAPF | 2 Comments »

September 29, 2023

September 29th, 2023
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 -0.2675 % 2,161.5
FixedFloater 0.00 % 0.00 % 0 0.00 0 -0.2675 % 4,145.8
Floater 11.27 % 11.37 % 54,316 8.57 2 -0.2675 % 2,389.2
OpRet 0.00 % 0.00 % 0 0.00 0 -0.8764 % 3,330.4
SplitShare 5.07 % 8.28 % 44,410 2.23 7 -0.8764 % 3,977.2
Interest-Bearing 0.00 % 0.00 % 0 0.00 0 -0.8764 % 3,103.1
Perpetual-Premium 0.00 % 0.00 % 0 0.00 0 0.1078 % 2,485.4
Perpetual-Discount 6.87 % 7.07 % 43,404 12.46 33 0.1078 % 2,710.2
FixedReset Disc 5.96 % 9.18 % 100,999 10.61 55 0.4855 % 2,113.4
Insurance Straight 6.86 % 6.96 % 58,211 12.63 17 0.1079 % 2,622.2
FloatingReset 11.26 % 11.40 % 39,266 8.55 1 3.1579 % 2,364.4
FixedReset Prem 0.00 % 0.00 % 0 0.00 0 0.4855 % 2,316.2
FixedReset Bank Non 0.00 % 0.00 % 0 0.00 0 0.4855 % 2,160.4
FixedReset Ins Non 6.56 % 8.64 % 122,275 11.07 11 -0.0521 % 2,286.5
Performance Highlights
Issue Index Change Notes
CU.PR.D Perpetual-Discount -6.29 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2053-09-29
Maturity Price : 16.69
Evaluated at bid price : 16.69
Bid-YTW : 7.45 %
PVS.PR.G SplitShare -2.32 % YTW SCENARIO
Maturity Type : Option Certainty
Maturity Date : 2026-02-28
Maturity Price : 25.00
Evaluated at bid price : 23.20
Bid-YTW : 8.44 %
PVS.PR.H SplitShare -1.94 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2027-02-28
Maturity Price : 25.00
Evaluated at bid price : 22.70
Bid-YTW : 7.97 %
PVS.PR.J SplitShare -1.33 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2028-02-29
Maturity Price : 25.00
Evaluated at bid price : 22.25
Bid-YTW : 7.48 %
PWF.PR.T FixedReset Disc -1.31 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2053-09-29
Maturity Price : 18.80
Evaluated at bid price : 18.80
Bid-YTW : 9.04 %
BN.PF.G FixedReset Disc -1.24 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2053-09-29
Maturity Price : 14.28
Evaluated at bid price : 14.28
Bid-YTW : 11.57 %
BIK.PR.A FixedReset Disc -1.14 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2053-09-29
Maturity Price : 20.76
Evaluated at bid price : 20.76
Bid-YTW : 9.93 %
RY.PR.Z FixedReset Disc 1.01 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2053-09-29
Maturity Price : 17.99
Evaluated at bid price : 17.99
Bid-YTW : 9.06 %
CU.PR.F Perpetual-Discount 1.10 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2053-09-29
Maturity Price : 16.49
Evaluated at bid price : 16.49
Bid-YTW : 6.92 %
CU.PR.E Perpetual-Discount 1.13 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2053-09-29
Maturity Price : 17.94
Evaluated at bid price : 17.94
Bid-YTW : 6.93 %
BN.PF.H FixedReset Disc 1.33 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2053-09-29
Maturity Price : 19.00
Evaluated at bid price : 19.00
Bid-YTW : 10.30 %
FTS.PR.G FixedReset Disc 1.44 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2053-09-29
Maturity Price : 19.02
Evaluated at bid price : 19.02
Bid-YTW : 8.46 %
POW.PR.D Perpetual-Discount 1.45 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2053-09-29
Maturity Price : 18.16
Evaluated at bid price : 18.16
Bid-YTW : 6.92 %
SLF.PR.J FloatingReset 3.16 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2053-09-29
Maturity Price : 14.70
Evaluated at bid price : 14.70
Bid-YTW : 11.40 %
BN.PF.A FixedReset Disc 32.39 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2053-09-29
Maturity Price : 18.68
Evaluated at bid price : 18.68
Bid-YTW : 9.76 %
Volume Highlights
Issue Index Shares
Traded		 Notes
RY.PR.Z FixedReset Disc 88,134 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2053-09-29
Maturity Price : 17.99
Evaluated at bid price : 17.99
Bid-YTW : 9.06 %
TD.PF.E FixedReset Disc 81,639 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2053-09-29
Maturity Price : 17.95
Evaluated at bid price : 17.95
Bid-YTW : 9.27 %
GWO.PR.N FixedReset Ins Non 75,676 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2053-09-29
Maturity Price : 12.62
Evaluated at bid price : 12.62
Bid-YTW : 9.66 %
BN.PF.G FixedReset Disc 60,632 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2053-09-29
Maturity Price : 14.28
Evaluated at bid price : 14.28
Bid-YTW : 11.57 %
BMO.PR.T FixedReset Disc 57,493 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2053-09-29
Maturity Price : 17.27
Evaluated at bid price : 17.27
Bid-YTW : 9.37 %
CM.PR.O FixedReset Disc 56,100 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2053-09-29
Maturity Price : 17.81
Evaluated at bid price : 17.81
Bid-YTW : 9.05 %
There were 13 other index-included issues trading in excess of 10,000 shares.
Wide Spread Highlights
Issue Index Quote Data and Yield Notes
POW.PR.B Perpetual-Discount Quote: 19.12 – 23.00
Spot Rate : 3.8800
Average : 2.2035

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2053-09-29
Maturity Price : 19.12
Evaluated at bid price : 19.12
Bid-YTW : 7.03 %
CU.PR.D Perpetual-Discount Quote: 16.69 – 18.05
Spot Rate : 1.3600
Average : 0.7840

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2053-09-29
Maturity Price : 16.69
Evaluated at bid price : 16.69
Bid-YTW : 7.45 %
CU.PR.C FixedReset Disc Quote: 17.25 – 18.60
Spot Rate : 1.3500
Average : 0.7995

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2053-09-29
Maturity Price : 17.25
Evaluated at bid price : 17.25
Bid-YTW : 9.26 %
PVS.PR.G SplitShare Quote: 23.20 – 24.02
Spot Rate : 0.8200
Average : 0.5370

YTW SCENARIO
Maturity Type : Option Certainty
Maturity Date : 2026-02-28
Maturity Price : 25.00
Evaluated at bid price : 23.20
Bid-YTW : 8.44 %
BN.PR.N Perpetual-Discount Quote: 16.30 – 17.00
Spot Rate : 0.7000
Average : 0.4363

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2053-09-29
Maturity Price : 16.30
Evaluated at bid price : 16.30
Bid-YTW : 7.35 %
GWO.PR.I Insurance Straight Quote: 16.45 – 17.80
Spot Rate : 1.3500
Average : 1.1063

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2053-09-29
Maturity Price : 16.45
Evaluated at bid price : 16.45
Bid-YTW : 6.90 %

Posted in Market Action | 1 Comment »

September 28, 2023

September 28th, 2023
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 0.3579 % 2,167.3
FixedFloater 0.00 % 0.00 % 0 0.00 0 0.3579 % 4,156.9
Floater 11.23 % 11.37 % 54,955 8.57 2 0.3579 % 2,395.7
OpRet 0.00 % 0.00 % 0 0.00 0 -0.0490 % 3,359.8
SplitShare 5.03 % 7.37 % 43,557 2.24 7 -0.0490 % 4,012.3
Interest-Bearing 0.00 % 0.00 % 0 0.00 0 -0.0490 % 3,130.6
Perpetual-Premium 0.00 % 0.00 % 0 0.00 0 0.0752 % 2,482.7
Perpetual-Discount 6.88 % 7.08 % 42,854 12.43 33 0.0752 % 2,707.3
FixedReset Disc 5.99 % 9.17 % 104,302 10.61 55 0.0137 % 2,103.2
Insurance Straight 6.87 % 6.96 % 60,321 12.63 17 -0.0294 % 2,619.4
FloatingReset 11.61 % 11.76 % 39,162 8.32 1 0.4937 % 2,292.0
FixedReset Prem 0.00 % 0.00 % 0 0.00 0 0.0137 % 2,305.0
FixedReset Bank Non 0.00 % 0.00 % 0 0.00 0 0.0137 % 2,149.9
FixedReset Ins Non 6.56 % 8.63 % 124,173 11.09 11 0.5188 % 2,287.7
Performance Highlights
Issue Index Change Notes
BN.PF.A FixedReset Disc -25.70 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2053-09-28
Maturity Price : 14.11
Evaluated at bid price : 14.11
Bid-YTW : 12.97 %
BN.PF.B FixedReset Disc -2.94 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2053-09-28
Maturity Price : 16.50
Evaluated at bid price : 16.50
Bid-YTW : 10.44 %
CU.PR.D Perpetual-Discount -1.33 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2053-09-28
Maturity Price : 17.81
Evaluated at bid price : 17.81
Bid-YTW : 6.98 %
POW.PR.A Perpetual-Discount 1.00 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2053-09-28
Maturity Price : 20.15
Evaluated at bid price : 20.15
Bid-YTW : 6.98 %
BN.PF.G FixedReset Disc 1.05 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2053-09-28
Maturity Price : 14.46
Evaluated at bid price : 14.46
Bid-YTW : 11.43 %
MFC.PR.C Insurance Straight 1.10 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2053-09-28
Maturity Price : 16.53
Evaluated at bid price : 16.53
Bid-YTW : 6.88 %
TD.PF.E FixedReset Disc 1.13 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2053-09-28
Maturity Price : 17.95
Evaluated at bid price : 17.95
Bid-YTW : 9.27 %
RY.PR.O Perpetual-Discount 1.16 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2053-09-28
Maturity Price : 20.85
Evaluated at bid price : 20.85
Bid-YTW : 5.96 %
PWF.PR.T FixedReset Disc 1.33 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2053-09-28
Maturity Price : 19.05
Evaluated at bid price : 19.05
Bid-YTW : 8.92 %
MFC.PR.L FixedReset Ins Non 1.36 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2053-09-28
Maturity Price : 17.90
Evaluated at bid price : 17.90
Bid-YTW : 8.98 %
IFC.PR.C FixedReset Disc 1.47 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2053-09-28
Maturity Price : 16.55
Evaluated at bid price : 16.55
Bid-YTW : 9.36 %
RY.PR.N Perpetual-Discount 1.51 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2053-09-28
Maturity Price : 20.82
Evaluated at bid price : 20.82
Bid-YTW : 5.97 %
RY.PR.S FixedReset Disc 1.56 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2053-09-28
Maturity Price : 20.78
Evaluated at bid price : 20.78
Bid-YTW : 8.15 %
CM.PR.Y FixedReset Disc 1.57 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2053-09-28
Maturity Price : 23.40
Evaluated at bid price : 24.00
Bid-YTW : 8.07 %
IFC.PR.A FixedReset Ins Non 1.62 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2053-09-28
Maturity Price : 15.65
Evaluated at bid price : 15.65
Bid-YTW : 9.08 %
MFC.PR.N FixedReset Ins Non 1.82 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2053-09-28
Maturity Price : 16.80
Evaluated at bid price : 16.80
Bid-YTW : 9.46 %
BIP.PR.F FixedReset Disc 1.87 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2053-09-28
Maturity Price : 19.05
Evaluated at bid price : 19.05
Bid-YTW : 9.52 %
BN.PR.X FixedReset Disc 30.00 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2053-09-28
Maturity Price : 13.00
Evaluated at bid price : 13.00
Bid-YTW : 10.95 %
Volume Highlights
Issue Index Shares
Traded		 Notes
BN.PF.G FixedReset Disc 100,603 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2053-09-28
Maturity Price : 14.46
Evaluated at bid price : 14.46
Bid-YTW : 11.43 %
TD.PF.K FixedReset Disc 71,993 YTW SCENARIO
Maturity Type : Call
Maturity Date : 2023-10-31
Maturity Price : 25.00
Evaluated at bid price : 25.17
Bid-YTW : 5.74 %
TD.PF.B FixedReset Disc 62,222 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2053-09-28
Maturity Price : 18.33
Evaluated at bid price : 18.33
Bid-YTW : 8.93 %
RY.PR.Z FixedReset Disc 52,696 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2053-09-28
Maturity Price : 17.81
Evaluated at bid price : 17.81
Bid-YTW : 9.15 %
BMO.PR.S FixedReset Disc 36,789 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2053-09-28
Maturity Price : 18.33
Evaluated at bid price : 18.33
Bid-YTW : 9.05 %
BMO.PR.T FixedReset Disc 29,705 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2053-09-28
Maturity Price : 17.25
Evaluated at bid price : 17.25
Bid-YTW : 9.38 %
There were 8 other index-included issues trading in excess of 10,000 shares.
Wide Spread Highlights
Issue Index Quote Data and Yield Notes
BN.PF.A FixedReset Disc Quote: 14.11 – 19.00
Spot Rate : 4.8900
Average : 2.7344

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2053-09-28
Maturity Price : 14.11
Evaluated at bid price : 14.11
Bid-YTW : 12.97 %
CU.PR.I FixedReset Disc Quote: 21.30 – 23.95
Spot Rate : 2.6500
Average : 1.5219

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2053-09-28
Maturity Price : 21.30
Evaluated at bid price : 21.30
Bid-YTW : 8.84 %
GWO.PR.I Insurance Straight Quote: 16.45 – 17.70
Spot Rate : 1.2500
Average : 0.8391

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2053-09-28
Maturity Price : 16.45
Evaluated at bid price : 16.45
Bid-YTW : 6.89 %
PVS.PR.K SplitShare Quote: 20.80 – 21.50
Spot Rate : 0.7000
Average : 0.4388

YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2029-05-31
Maturity Price : 25.00
Evaluated at bid price : 20.80
Bid-YTW : 8.33 %
BN.PF.B FixedReset Disc Quote: 16.50 – 17.16
Spot Rate : 0.6600
Average : 0.4111

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2053-09-28
Maturity Price : 16.50
Evaluated at bid price : 16.50
Bid-YTW : 10.44 %
PVS.PR.H SplitShare Quote: 23.15 – 23.85
Spot Rate : 0.7000
Average : 0.5343

YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2027-02-28
Maturity Price : 25.00
Evaluated at bid price : 23.15
Bid-YTW : 7.32 %

Posted in Market Action | No Comments »

September 27, 2023

September 27th, 2023

PerpetualDiscounts now yield 7.08%, equivalent to 9.20% interest at the standard equivalency factor of 1.3x. Long corporates yielded 5.63% on 2023-9-15 [BMO is now reporting a different number for the same date than the one they reported last week … this worries me] and since then the closing price has changed from 14.33 to 13.90, a decrease of 300bp in price, with a Duration of 11.99 [again, different from last week’s report for the same day] (BMO doesn’t specify whether this is Macaulay or Modified Duration; I will assume Modified) which implies an increase in yield of about 25bp since 9/15 [?] to 5.88%, so the pre-tax interest-equivalent spread (in this context, the “Seniority Spread”) has narrowed to 330bp from the 350bp reported September 20.

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 -0.4011 % 2,159.6
FixedFloater 0.00 % 0.00 % 0 0.00 0 -0.4011 % 4,142.1
Floater 11.28 % 11.39 % 55,770 8.57 2 -0.4011 % 2,387.1
OpRet 0.00 % 0.00 % 0 0.00 0 0.5854 % 3,361.5
SplitShare 5.02 % 7.27 % 42,599 2.25 7 0.5854 % 4,014.3
Interest-Bearing 0.00 % 0.00 % 0 0.00 0 0.5854 % 3,132.1
Perpetual-Premium 0.00 % 0.00 % 0 0.00 0 -0.1567 % 2,480.8
Perpetual-Discount 6.89 % 7.08 % 43,418 12.40 33 -0.1567 % 2,705.2
FixedReset Disc 5.99 % 9.20 % 103,534 10.58 55 -0.6806 % 2,102.9
Insurance Straight 6.87 % 6.96 % 60,837 12.63 17 0.0425 % 2,620.2
FloatingReset 11.67 % 11.82 % 39,600 8.29 1 -0.1408 % 2,280.7
FixedReset Prem 0.00 % 0.00 % 0 0.00 0 -0.6806 % 2,304.7
FixedReset Bank Non 0.00 % 0.00 % 0 0.00 0 -0.6806 % 2,149.6
FixedReset Ins Non 6.59 % 8.61 % 124,865 11.04 11 0.8936 % 2,275.9
Performance Highlights
Issue Index Change Notes
BN.PR.X FixedReset Disc -23.37 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2053-09-27
Maturity Price : 10.00
Evaluated at bid price : 10.00
Bid-YTW : 14.05 %
RY.PR.S FixedReset Disc -3.03 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2053-09-27
Maturity Price : 20.46
Evaluated at bid price : 20.46
Bid-YTW : 8.27 %
BIP.PR.F FixedReset Disc -2.35 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2053-09-27
Maturity Price : 18.70
Evaluated at bid price : 18.70
Bid-YTW : 9.70 %
MFC.PR.C Insurance Straight -1.80 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2053-09-27
Maturity Price : 16.35
Evaluated at bid price : 16.35
Bid-YTW : 6.95 %
RY.PR.M FixedReset Disc -1.75 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2053-09-27
Maturity Price : 16.85
Evaluated at bid price : 16.85
Bid-YTW : 9.42 %
BMO.PR.Y FixedReset Disc -1.62 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2053-09-27
Maturity Price : 17.60
Evaluated at bid price : 17.60
Bid-YTW : 9.27 %
CU.PR.F Perpetual-Discount -1.57 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2053-09-27
Maturity Price : 16.25
Evaluated at bid price : 16.25
Bid-YTW : 7.02 %
PWF.PR.T FixedReset Disc -1.57 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2053-09-27
Maturity Price : 18.80
Evaluated at bid price : 18.80
Bid-YTW : 9.03 %
TD.PF.D FixedReset Disc -1.50 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2053-09-27
Maturity Price : 17.76
Evaluated at bid price : 17.76
Bid-YTW : 9.37 %
TD.PF.E FixedReset Disc -1.39 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2053-09-27
Maturity Price : 17.75
Evaluated at bid price : 17.75
Bid-YTW : 9.36 %
TD.PF.C FixedReset Disc -1.31 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2053-09-27
Maturity Price : 17.35
Evaluated at bid price : 17.35
Bid-YTW : 9.25 %
RY.PR.H FixedReset Disc -1.12 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2053-09-27
Maturity Price : 17.70
Evaluated at bid price : 17.70
Bid-YTW : 9.17 %
TD.PF.A FixedReset Disc -1.10 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2053-09-27
Maturity Price : 18.01
Evaluated at bid price : 18.01
Bid-YTW : 8.95 %
GWO.PR.P Insurance Straight -1.04 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2053-09-27
Maturity Price : 19.08
Evaluated at bid price : 19.08
Bid-YTW : 7.13 %
MFC.PR.K FixedReset Ins Non 1.02 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2053-09-27
Maturity Price : 19.80
Evaluated at bid price : 19.80
Bid-YTW : 8.35 %
MFC.PR.N FixedReset Ins Non 1.23 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2053-09-27
Maturity Price : 16.50
Evaluated at bid price : 16.50
Bid-YTW : 9.63 %
ELF.PR.F Perpetual-Discount 1.63 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2053-09-27
Maturity Price : 19.30
Evaluated at bid price : 19.30
Bid-YTW : 7.03 %
IFC.PR.C FixedReset Disc 1.94 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2053-09-27
Maturity Price : 16.31
Evaluated at bid price : 16.31
Bid-YTW : 9.49 %
MFC.PR.M FixedReset Ins Non 2.16 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2053-09-27
Maturity Price : 17.01
Evaluated at bid price : 17.01
Bid-YTW : 9.54 %
CM.PR.S FixedReset Disc 2.66 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2053-09-27
Maturity Price : 19.96
Evaluated at bid price : 19.96
Bid-YTW : 8.14 %
BNS.PR.I FixedReset Disc 2.93 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2053-09-27
Maturity Price : 21.45
Evaluated at bid price : 21.75
Bid-YTW : 7.87 %
EIT.PR.A SplitShare 3.32 % YTW SCENARIO
Maturity Type : Soft Maturity
Maturity Date : 2024-03-14
Maturity Price : 25.00
Evaluated at bid price : 24.61
Bid-YTW : 8.73 %
SLF.PR.G FixedReset Ins Non 3.57 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2053-09-27
Maturity Price : 13.05
Evaluated at bid price : 13.05
Bid-YTW : 9.99 %
GWO.PR.N FixedReset Ins Non 4.08 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2053-09-27
Maturity Price : 12.51
Evaluated at bid price : 12.51
Bid-YTW : 9.73 %
SLF.PR.C Insurance Straight 6.65 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2053-09-27
Maturity Price : 17.00
Evaluated at bid price : 17.00
Bid-YTW : 6.59 %
Volume Highlights
Issue Index Shares
Traded		 Notes
CU.PR.J Perpetual-Discount 126,300 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2053-09-27
Maturity Price : 17.10
Evaluated at bid price : 17.10
Bid-YTW : 7.04 %
TD.PF.K FixedReset Disc 106,324 YTW SCENARIO
Maturity Type : Call
Maturity Date : 2023-10-31
Maturity Price : 25.00
Evaluated at bid price : 25.16
Bid-YTW : 6.01 %
FTS.PR.J Perpetual-Discount 102,115 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2053-09-27
Maturity Price : 18.40
Evaluated at bid price : 18.40
Bid-YTW : 6.54 %
POW.PR.G Perpetual-Discount 75,700 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2053-09-27
Maturity Price : 19.85
Evaluated at bid price : 19.85
Bid-YTW : 7.09 %
TD.PF.B FixedReset Disc 59,260 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2053-09-27
Maturity Price : 18.20
Evaluated at bid price : 18.20
Bid-YTW : 8.99 %
NA.PR.S FixedReset Disc 56,675 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2053-09-27
Maturity Price : 18.30
Evaluated at bid price : 18.30
Bid-YTW : 9.20 %
There were 20 other index-included issues trading in excess of 10,000 shares.
Wide Spread Highlights
Issue Index Quote Data and Yield Notes
BN.PR.X FixedReset Disc Quote: 10.00 – 13.10
Spot Rate : 3.1000
Average : 1.6869

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2053-09-27
Maturity Price : 10.00
Evaluated at bid price : 10.00
Bid-YTW : 14.05 %
RY.PR.N Perpetual-Discount Quote: 20.51 – 22.00
Spot Rate : 1.4900
Average : 0.9867

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2053-09-27
Maturity Price : 20.51
Evaluated at bid price : 20.51
Bid-YTW : 6.06 %
TD.PF.I FixedReset Disc Quote: 22.75 – 23.91
Spot Rate : 1.1600
Average : 0.7707

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2053-09-27
Maturity Price : 22.18
Evaluated at bid price : 22.75
Bid-YTW : 7.87 %
MFC.PR.M FixedReset Ins Non Quote: 17.01 – 18.00
Spot Rate : 0.9900
Average : 0.6415

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2053-09-27
Maturity Price : 17.01
Evaluated at bid price : 17.01
Bid-YTW : 9.54 %
TD.PF.E FixedReset Disc Quote: 17.75 – 18.85
Spot Rate : 1.1000
Average : 0.7640

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2053-09-27
Maturity Price : 17.75
Evaluated at bid price : 17.75
Bid-YTW : 9.36 %
BIK.PR.A FixedReset Disc Quote: 20.88 – 21.75
Spot Rate : 0.8700
Average : 0.6355

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2053-09-27
Maturity Price : 20.88
Evaluated at bid price : 20.88
Bid-YTW : 9.86 %

Posted in Market Action | 11 Comments »

DBRS: BN and BRN under Review-Positive

September 27th, 2023

DBRS Limited (DBRS Morningstar) has announced:

placed the Issuer Rating, long-term obligations, and preferred shares credit ratings of Brookfield Corporation (BN or the Company, formerly Brookfield Asset Management Inc.) and its guaranteed subsidiaries Under Review with Positive Implications. In addition, DBRS Morningstar placed the short-term credit ratings of BN and its guaranteed subsidiaries Under Review with Developing Implications. These rating actions are not the result of any change in credit risk of the Company (or its guaranteed subsidiaries).

Following the annual surveillance review of the credit ratings of the Company on July 5, 2023, DBRS Morningstar identified an error in the application of certain methodologies used in the determination of the credit ratings of BN. DBRS Morningstar believes the rating rationale for the credit ratings of BN, and the applicable methodological approach, was not adequately disclosed previously. This error is not connected in any way to the data and information provided by the Company for the purposes of providing the relevant credit ratings.

Over the course of the coming weeks, DBRS Morningstar will conduct a review of the Company and the applicable methodological approach(es). Further to that review, DBRS Morningstar may apply additional or different DBRS Morningstar methodologies from those that have been applied in the past in the determination of the credit ratings of BN. Such methodologies may include the “Global Methodology for Rating Investment Management Companies” and the “Global Methodology for Rating Insurance Companies and Insurance Organizations.” The application of a different methodological approach may result in changes in the level of one or more outstanding credit ratings of BN. DBRS Morningstar will provide information regarding the rationale for any such changes in connection with the announcement of the related credit rating actions.

Affected issues are (deep breath): BN.PF.A, BN.PF.B, BN.PF.C, BN.PF.D, BN.PF.E, BN.PF.F, BN.PF.G, BN.PF.H, BN.PF.I, BN.PF.J, BN.PF.K, BN.PF.L, BN.PR.B, BN.PR.C, BN.PR.K, BN.PR.M, BN.PR.N, BN.PR.R, BN.PR.T, BN.PR.X, BN.PR.Z and (this one not tracked by HIMIPref™) BRN.PR.A,

Posted in Issue Comments | No Comments »

ytc_resets.xlsx : Slight Modification

September 27th, 2023

I have recently been discussing the question of yield and forecast income from Malachite Aggressive Preferred Fund with a client, and as part of that referred him to the Yield Calculator for Resets so he could see for himself why the projected income from the fund was so much higher than the current income.

As part of that, I had to explain that HIMIPref™, my analytical software, uses semi-annual compounded yield, which is a higher number than the quarterly compounded yield calculated by the spreadsheet. And my income projections use HIMIPref™ calculations. The more I looked at my explanation, the more it looked like bafflegab and handwaving.

So, in order to reduce the complexity of this explanation in the future, I have added a display field on the spreadsheet showing the yield as the semi-annual compounded value (for comparability with bonds) as well as the quarterly compounded value (applicable only to instruments that pay quarterly).

Posted in Miscellaneous News, Reader Initiated Comments | 4 Comments »

September 26, 2023

September 26th, 2023
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 0.3578 % 2,168.3
FixedFloater 0.00 % 0.00 % 0 0.00 0 0.3578 % 4,158.8
Floater 11.23 % 11.34 % 56,697 8.60 2 0.3578 % 2,396.7
OpRet 0.00 % 0.00 % 0 0.00 0 -0.5576 % 3,341.9
SplitShare 5.05 % 7.29 % 42,926 2.25 7 -0.5576 % 3,990.9
Interest-Bearing 0.00 % 0.00 % 0 0.00 0 -0.5576 % 3,113.9
Perpetual-Premium 0.00 % 0.00 % 0 0.00 0 0.4262 % 2,484.7
Perpetual-Discount 6.87 % 7.07 % 44,284 12.43 33 0.4262 % 2,709.5
FixedReset Disc 5.95 % 9.13 % 104,469 10.57 55 -0.2715 % 2,117.4
Insurance Straight 6.87 % 6.94 % 60,990 12.66 17 0.1212 % 2,619.1
FloatingReset 11.65 % 11.80 % 38,948 8.31 1 0.1410 % 2,284.0
FixedReset Prem 0.00 % 0.00 % 0 0.00 0 -0.2715 % 2,320.5
FixedReset Bank Non 0.00 % 0.00 % 0 0.00 0 -0.2715 % 2,164.4
FixedReset Ins Non 6.65 % 8.59 % 125,421 10.96 11 0.0476 % 2,255.7
Performance Highlights
Issue Index Change Notes
EIT.PR.A SplitShare -3.76 % YTW SCENARIO
Maturity Type : Soft Maturity
Maturity Date : 2024-03-14
Maturity Price : 25.00
Evaluated at bid price : 23.82
Bid-YTW : 16.17 %
BNS.PR.I FixedReset Disc -3.74 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2053-09-26
Maturity Price : 21.13
Evaluated at bid price : 21.13
Bid-YTW : 8.12 %
CM.PR.S FixedReset Disc -3.04 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2053-09-26
Maturity Price : 19.80
Evaluated at bid price : 19.80
Bid-YTW : 8.36 %
RY.PR.J FixedReset Disc -2.51 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2053-09-26
Maturity Price : 17.50
Evaluated at bid price : 17.50
Bid-YTW : 9.50 %
RY.PR.Z FixedReset Disc -2.37 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2053-09-26
Maturity Price : 17.70
Evaluated at bid price : 17.70
Bid-YTW : 9.20 %
RY.PR.O Perpetual-Discount -2.14 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2053-09-26
Maturity Price : 20.55
Evaluated at bid price : 20.55
Bid-YTW : 6.04 %
BN.PF.A FixedReset Disc -2.12 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2053-09-26
Maturity Price : 18.94
Evaluated at bid price : 18.94
Bid-YTW : 9.62 %
BMO.PR.F FixedReset Disc -2.09 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2053-09-26
Maturity Price : 23.17
Evaluated at bid price : 23.85
Bid-YTW : 8.19 %
IFC.PR.C FixedReset Disc -1.54 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2053-09-26
Maturity Price : 16.00
Evaluated at bid price : 16.00
Bid-YTW : 9.65 %
RY.PR.N Perpetual-Discount -1.43 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2053-09-26
Maturity Price : 20.70
Evaluated at bid price : 20.70
Bid-YTW : 6.00 %
BIP.PR.E FixedReset Disc -1.30 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2053-09-26
Maturity Price : 19.75
Evaluated at bid price : 19.75
Bid-YTW : 9.04 %
MFC.PR.K FixedReset Ins Non -1.26 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2053-09-26
Maturity Price : 19.60
Evaluated at bid price : 19.60
Bid-YTW : 8.43 %
BN.PF.H FixedReset Disc -1.00 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2053-09-26
Maturity Price : 18.81
Evaluated at bid price : 18.81
Bid-YTW : 10.40 %
TD.PF.C FixedReset Disc 1.15 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2053-09-26
Maturity Price : 17.58
Evaluated at bid price : 17.58
Bid-YTW : 9.13 %
BN.PF.G FixedReset Disc 1.19 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2053-09-26
Maturity Price : 14.45
Evaluated at bid price : 14.45
Bid-YTW : 11.44 %
BIP.PR.F FixedReset Disc 3.51 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2053-09-26
Maturity Price : 19.15
Evaluated at bid price : 19.15
Bid-YTW : 9.47 %
POW.PR.C Perpetual-Discount 14.92 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2053-09-26
Maturity Price : 21.03
Evaluated at bid price : 21.03
Bid-YTW : 6.93 %
Volume Highlights
Issue Index Shares
Traded		 Notes
NA.PR.G FixedReset Disc 363,867 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2053-09-26
Maturity Price : 21.84
Evaluated at bid price : 22.30
Bid-YTW : 8.08 %
TD.PF.K FixedReset Disc 230,175 YTW SCENARIO
Maturity Type : Call
Maturity Date : 2023-10-31
Maturity Price : 25.00
Evaluated at bid price : 25.16
Bid-YTW : 5.84 %
BMO.PR.E FixedReset Disc 84,498 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2053-09-26
Maturity Price : 21.98
Evaluated at bid price : 22.51
Bid-YTW : 7.87 %
NA.PR.S FixedReset Disc 63,600 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2053-09-26
Maturity Price : 18.34
Evaluated at bid price : 18.34
Bid-YTW : 9.17 %
NA.PR.W FixedReset Disc 63,244 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2053-09-26
Maturity Price : 16.75
Evaluated at bid price : 16.75
Bid-YTW : 9.53 %
BMO.PR.F FixedReset Disc 59,312 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2053-09-26
Maturity Price : 23.17
Evaluated at bid price : 23.85
Bid-YTW : 8.19 %
There were 22 other index-included issues trading in excess of 10,000 shares.
Wide Spread Highlights
Issue Index Quote Data and Yield Notes
GWO.PR.I Insurance Straight Quote: 16.45 – 17.80
Spot Rate : 1.3500
Average : 0.7490

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2053-09-26
Maturity Price : 16.45
Evaluated at bid price : 16.45
Bid-YTW : 6.89 %
BNS.PR.I FixedReset Disc Quote: 21.13 – 22.35
Spot Rate : 1.2200
Average : 0.6849

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2053-09-26
Maturity Price : 21.13
Evaluated at bid price : 21.13
Bid-YTW : 8.12 %
EIT.PR.A SplitShare Quote: 23.82 – 24.82
Spot Rate : 1.0000
Average : 0.5343

YTW SCENARIO
Maturity Type : Soft Maturity
Maturity Date : 2024-03-14
Maturity Price : 25.00
Evaluated at bid price : 23.82
Bid-YTW : 16.17 %
BN.PR.R FixedReset Disc Quote: 12.81 – 13.76
Spot Rate : 0.9500
Average : 0.6287

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2053-09-26
Maturity Price : 12.81
Evaluated at bid price : 12.81
Bid-YTW : 11.39 %
CU.PR.E Perpetual-Discount Quote: 17.80 – 18.50
Spot Rate : 0.7000
Average : 0.4264

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2053-09-26
Maturity Price : 17.80
Evaluated at bid price : 17.80
Bid-YTW : 6.98 %
SLF.PR.C Insurance Straight Quote: 15.94 – 17.09
Spot Rate : 1.1500
Average : 0.8790

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2053-09-26
Maturity Price : 15.94
Evaluated at bid price : 15.94
Bid-YTW : 7.03 %

Posted in Market Action | No Comments »

September 25, 2023

September 25th, 2023

TXPR closed at 512.37, up 1.45% on the day. Volume today was 3.64-million, the highest by far of the past 21 trading days. The price index has recovered all the ground it has lost since 2023-8-24!

CPD closed at 10.16, up 0.69% on the day. Volume was 133,110, second-highest of the past 21 trading days. It hasn’t closed this high since 2023-9-6!

ZPR closed at 8.57, up 1.66% on the day. Volume was 486,320, highest by far of the past 21 trading days. We haven’t seen a close like this since 2023-8-28!

Five-year Canada yields were up to 4.33%.

Equities were flattish, with the pundits looking at bonds:

Canada’s main stock index rose on Monday as energy shares rallied, but the market was still trading near its lowest level in four weeks as investors worried about interest rates being kept at elevated levels for longer than previously expected. The Canadian 10-year bond yield climbed above the 4% threshold to its highest in nearly 16 years.
…
The Canadian five-year bond yield – closely watched because of its influence on popular terms of fixed mortgage rates – also rose to a 16-year high on Monday, reaching 4.33%.

It’s very tempting to ascribe today’s market pop to the surprise redemption of TD.PF.K, particularly given the fine performances of TD.PF.A, TD.PF.B and TD.PF.C. But who knows? Those eager to bet on a wave of uneconomic bank pref redemptions are urged to remember that TD’s enormous amount of excess equity make it an outlier in terms of financial condition.

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 -0.4009 % 2,160.6
FixedFloater 0.00 % 0.00 % 0 0.00 0 -0.4009 % 4,144.0
Floater 11.27 % 11.38 % 38,595 8.58 2 -0.4009 % 2,388.2
OpRet 0.00 % 0.00 % 0 0.00 0 -0.0184 % 3,360.6
SplitShare 5.02 % 7.29 % 42,479 2.25 7 -0.0184 % 4,013.3
Interest-Bearing 0.00 % 0.00 % 0 0.00 0 -0.0184 % 3,131.4
Perpetual-Premium 0.00 % 0.00 % 0 0.00 0 -0.0148 % 2,474.2
Perpetual-Discount 6.90 % 7.09 % 43,675 12.39 33 -0.0148 % 2,698.0
FixedReset Disc 5.93 % 9.14 % 106,146 10.60 55 2.9868 % 2,123.1
Insurance Straight 6.88 % 6.96 % 61,840 12.64 17 -0.2483 % 2,615.9
FloatingReset 11.67 % 11.81 % 38,100 8.30 1 0.1412 % 2,280.7
FixedReset Prem 0.00 % 0.00 % 0 0.00 0 2.9868 % 2,326.8
FixedReset Bank Non 0.00 % 0.00 % 0 0.00 0 2.9868 % 2,170.3
FixedReset Ins Non 6.65 % 8.63 % 126,673 11.07 11 0.5265 % 2,254.6
Performance Highlights
Issue Index Change Notes
SLF.PR.C Insurance Straight -5.18 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2053-09-25
Maturity Price : 15.94
Evaluated at bid price : 15.94
Bid-YTW : 7.03 %
CU.PR.J Perpetual-Discount -1.46 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2053-09-25
Maturity Price : 16.91
Evaluated at bid price : 16.91
Bid-YTW : 7.12 %
ELF.PR.F Perpetual-Discount -1.35 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2053-09-25
Maturity Price : 18.99
Evaluated at bid price : 18.99
Bid-YTW : 7.15 %
FTS.PR.J Perpetual-Discount -1.34 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2053-09-25
Maturity Price : 18.35
Evaluated at bid price : 18.35
Bid-YTW : 6.56 %
POW.PR.A Perpetual-Discount -1.29 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2053-09-25
Maturity Price : 19.94
Evaluated at bid price : 19.94
Bid-YTW : 7.05 %
MFC.PR.J FixedReset Ins Non 1.06 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2053-09-25
Maturity Price : 19.96
Evaluated at bid price : 19.96
Bid-YTW : 8.46 %
FTS.PR.M FixedReset Disc 1.10 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2053-09-25
Maturity Price : 16.48
Evaluated at bid price : 16.48
Bid-YTW : 10.06 %
BN.PF.J FixedReset Disc 1.11 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2053-09-25
Maturity Price : 18.15
Evaluated at bid price : 18.15
Bid-YTW : 9.73 %
BN.PF.H FixedReset Disc 1.33 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2053-09-25
Maturity Price : 19.00
Evaluated at bid price : 19.00
Bid-YTW : 10.29 %
IFC.PR.C FixedReset Disc 1.56 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2053-09-25
Maturity Price : 16.25
Evaluated at bid price : 16.25
Bid-YTW : 9.51 %
MFC.PR.K FixedReset Ins Non 1.79 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2053-09-25
Maturity Price : 19.85
Evaluated at bid price : 19.85
Bid-YTW : 8.32 %
BN.PF.D Perpetual-Discount 1.82 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2053-09-25
Maturity Price : 16.80
Evaluated at bid price : 16.80
Bid-YTW : 7.35 %
BN.PF.A FixedReset Disc 1.84 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2053-09-25
Maturity Price : 19.35
Evaluated at bid price : 19.35
Bid-YTW : 9.41 %
BN.PR.R FixedReset Disc 1.98 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2053-09-25
Maturity Price : 12.86
Evaluated at bid price : 12.86
Bid-YTW : 11.34 %
FTS.PR.K FixedReset Disc 2.35 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2053-09-25
Maturity Price : 16.99
Evaluated at bid price : 16.99
Bid-YTW : 9.44 %
BMO.PR.F FixedReset Disc 2.35 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2053-09-25
Maturity Price : 23.73
Evaluated at bid price : 24.36
Bid-YTW : 8.02 %
CM.PR.Y FixedReset Disc 2.42 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2053-09-25
Maturity Price : 23.54
Evaluated at bid price : 24.12
Bid-YTW : 8.15 %
PWF.PR.T FixedReset Disc 2.43 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2053-09-25
Maturity Price : 18.95
Evaluated at bid price : 18.95
Bid-YTW : 8.96 %
TD.PF.J FixedReset Disc 2.58 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2053-09-25
Maturity Price : 21.05
Evaluated at bid price : 21.05
Bid-YTW : 8.01 %
BIP.PR.E FixedReset Disc 2.62 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2053-09-25
Maturity Price : 20.01
Evaluated at bid price : 20.01
Bid-YTW : 8.93 %
BN.PF.B FixedReset Disc 2.72 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2053-09-25
Maturity Price : 17.00
Evaluated at bid price : 17.00
Bid-YTW : 10.13 %
CM.PR.T FixedReset Disc 2.75 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2053-09-25
Maturity Price : 22.80
Evaluated at bid price : 23.50
Bid-YTW : 8.11 %
TD.PF.M FixedReset Disc 2.81 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2053-09-25
Maturity Price : 23.58
Evaluated at bid price : 24.16
Bid-YTW : 8.12 %
CM.PR.Q FixedReset Disc 2.88 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2053-09-25
Maturity Price : 17.50
Evaluated at bid price : 17.50
Bid-YTW : 9.38 %
BMO.PR.Y FixedReset Disc 2.90 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2053-09-25
Maturity Price : 17.75
Evaluated at bid price : 17.75
Bid-YTW : 9.19 %
FTS.PR.G FixedReset Disc 2.94 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2053-09-25
Maturity Price : 18.90
Evaluated at bid price : 18.90
Bid-YTW : 8.51 %
CM.PR.P FixedReset Disc 2.96 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2053-09-25
Maturity Price : 16.70
Evaluated at bid price : 16.70
Bid-YTW : 9.51 %
NA.PR.G FixedReset Disc 3.00 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2053-09-25
Maturity Price : 21.84
Evaluated at bid price : 22.30
Bid-YTW : 8.07 %
RY.PR.M FixedReset Disc 3.00 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2053-09-25
Maturity Price : 17.15
Evaluated at bid price : 17.15
Bid-YTW : 9.26 %
CM.PR.S FixedReset Disc 3.08 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2053-09-25
Maturity Price : 20.42
Evaluated at bid price : 20.42
Bid-YTW : 8.11 %
NA.PR.W FixedReset Disc 3.40 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2053-09-25
Maturity Price : 16.75
Evaluated at bid price : 16.75
Bid-YTW : 9.53 %
BMO.PR.T FixedReset Disc 3.81 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2053-09-25
Maturity Price : 17.15
Evaluated at bid price : 17.15
Bid-YTW : 9.43 %
TD.PF.E FixedReset Disc 3.83 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2053-09-25
Maturity Price : 18.17
Evaluated at bid price : 18.17
Bid-YTW : 9.15 %
TD.PF.L FixedReset Disc 3.85 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2053-09-25
Maturity Price : 23.56
Evaluated at bid price : 24.25
Bid-YTW : 7.86 %
BMO.PR.W FixedReset Disc 3.87 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2053-09-25
Maturity Price : 16.93
Evaluated at bid price : 16.93
Bid-YTW : 9.45 %
TD.PF.I FixedReset Disc 4.05 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2053-09-25
Maturity Price : 22.39
Evaluated at bid price : 23.10
Bid-YTW : 7.74 %
RY.PR.J FixedReset Disc 4.06 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2053-09-25
Maturity Price : 17.95
Evaluated at bid price : 17.95
Bid-YTW : 9.27 %
BMO.PR.E FixedReset Disc 4.18 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2053-09-25
Maturity Price : 21.94
Evaluated at bid price : 22.45
Bid-YTW : 7.89 %
TD.PF.D FixedReset Disc 4.27 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2053-09-25
Maturity Price : 18.09
Evaluated at bid price : 18.09
Bid-YTW : 9.20 %
RY.PR.S FixedReset Disc 4.48 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2053-09-25
Maturity Price : 21.00
Evaluated at bid price : 21.00
Bid-YTW : 8.05 %
RY.PR.Z FixedReset Disc 4.50 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2053-09-25
Maturity Price : 18.13
Evaluated at bid price : 18.13
Bid-YTW : 8.98 %
RY.PR.H FixedReset Disc 4.61 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2053-09-25
Maturity Price : 17.94
Evaluated at bid price : 17.94
Bid-YTW : 9.05 %
CM.PR.O FixedReset Disc 4.71 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2053-09-25
Maturity Price : 18.02
Evaluated at bid price : 18.02
Bid-YTW : 9.06 %
BMO.PR.S FixedReset Disc 4.87 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2053-09-25
Maturity Price : 18.51
Evaluated at bid price : 18.51
Bid-YTW : 8.96 %
NA.PR.S FixedReset Disc 5.08 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2053-09-25
Maturity Price : 18.41
Evaluated at bid price : 18.41
Bid-YTW : 9.14 %
TD.PF.C FixedReset Disc 5.33 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2053-09-25
Maturity Price : 17.38
Evaluated at bid price : 17.38
Bid-YTW : 9.23 %
TD.PF.B FixedReset Disc 5.72 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2053-09-25
Maturity Price : 18.29
Evaluated at bid price : 18.29
Bid-YTW : 8.94 %
TD.PF.A FixedReset Disc 6.89 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2053-09-25
Maturity Price : 18.15
Evaluated at bid price : 18.15
Bid-YTW : 8.88 %
BNS.PR.I FixedReset Disc 7.33 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2053-09-25
Maturity Price : 21.59
Evaluated at bid price : 21.95
Bid-YTW : 7.79 %
TD.PF.K FixedReset Disc 15.58 % YTW SCENARIO
Maturity Type : Call
Maturity Date : 2023-10-31
Maturity Price : 25.00
Evaluated at bid price : 25.15
Bid-YTW : 6.09 %
Volume Highlights
Issue Index Shares
Traded		 Notes
RY.PR.J FixedReset Disc 204,000 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2053-09-25
Maturity Price : 17.95
Evaluated at bid price : 17.95
Bid-YTW : 9.27 %
TD.PF.L FixedReset Disc 133,000 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2053-09-25
Maturity Price : 23.56
Evaluated at bid price : 24.25
Bid-YTW : 7.86 %
TD.PF.A FixedReset Disc 112,000 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2053-09-25
Maturity Price : 18.15
Evaluated at bid price : 18.15
Bid-YTW : 8.88 %
BMO.PR.T FixedReset Disc 95,700 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2053-09-25
Maturity Price : 17.15
Evaluated at bid price : 17.15
Bid-YTW : 9.43 %
TD.PF.M FixedReset Disc 82,300 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2053-09-25
Maturity Price : 23.58
Evaluated at bid price : 24.16
Bid-YTW : 8.12 %
CM.PR.O FixedReset Disc 79,900 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2053-09-25
Maturity Price : 18.02
Evaluated at bid price : 18.02
Bid-YTW : 9.06 %
There were 34 other index-included issues trading in excess of 10,000 shares.
Wide Spread Highlights
Issue Index Quote Data and Yield Notes
POW.PR.C Perpetual-Discount Quote: 18.30 – 21.18
Spot Rate : 2.8800
Average : 2.3627

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2053-09-25
Maturity Price : 18.30
Evaluated at bid price : 18.30
Bid-YTW : 7.96 %
PWF.PR.T FixedReset Disc Quote: 18.95 – 19.95
Spot Rate : 1.0000
Average : 0.6018

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2053-09-25
Maturity Price : 18.95
Evaluated at bid price : 18.95
Bid-YTW : 8.96 %
SLF.PR.C Insurance Straight Quote: 15.94 – 16.90
Spot Rate : 0.9600
Average : 0.5818

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2053-09-25
Maturity Price : 15.94
Evaluated at bid price : 15.94
Bid-YTW : 7.03 %
ELF.PR.F Perpetual-Discount Quote: 18.99 – 20.48
Spot Rate : 1.4900
Average : 1.1454

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2053-09-25
Maturity Price : 18.99
Evaluated at bid price : 18.99
Bid-YTW : 7.15 %
BN.PF.J FixedReset Disc Quote: 18.15 – 18.96
Spot Rate : 0.8100
Average : 0.4689

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2053-09-25
Maturity Price : 18.15
Evaluated at bid price : 18.15
Bid-YTW : 9.73 %
GWO.PR.N FixedReset Ins Non Quote: 11.96 – 12.80
Spot Rate : 0.8400
Average : 0.4989

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2053-09-25
Maturity Price : 11.96
Evaluated at bid price : 11.96
Bid-YTW : 10.13 %

Posted in Market Action | No Comments »

TD.PF.K To Be Redeemed

September 23rd, 2023

The Toronto-Dominion Bank has announced:

that it will exercise its right to redeem all of its 16,000,000 outstanding Non-Cumulative 5-Year Rate Reset Class A First Preferred Shares, Series 20 (Non-Viability Contingent Capital) (the “Series 20 Shares”) on October 31, 2023 at the price of $25.00 per Series 20 Share for an aggregate total of approximately $400 million. The redemption has been approved by the Office of the Superintendent of Financial Institutions.

On August 24, 2023, TD announced that dividends of $0.296875 per Series 20 Share had been declared. These will be the final dividends on the Series 20 Shares, and will be paid in the usual manner on October 31, 2023 to shareholders of record on October 6, 2023, as previously announced. After October 31, 2023, the Series 20 Shares will cease to be entitled to dividends and the only remaining rights of holders of such shares will be to receive payment of the redemption amount.

Beneficial holders who are not directly the registered holder of Series 20 Shares should contact the financial institution, broker or other intermediary through which they hold these shares to confirm how they will receive their redemption proceeds. Inquiries should be directed to our Registrar and Transfer Agent, TSX Trust Company, at 1-800-387-0825 (or in Toronto 416-682-3860).

TD.PF.K was issued as a FixedReset, 4.75%+259 that commenced trading 2018-9-13 after being announced 2018-9-4. It is tracked by HIMIPref™ and is assigned to the FixedReset (Discount) subindex.

The redemption comes as quite a surprise, given that the closing price on 2023-9-22 was 21.79 with most VWAPs for September being below 22.00. It has been clear for a while that TD has been awash in excess capital since the Horizons deal was abandoned; in addition, OSFI has been twisting bank arms to get them to issue LRCNs and OTC preferreds. Still, I would have liked to have been a fly on the wall at the meeting where this redemption was approved by the bank!

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

Posted in Issue Comments | 14 Comments »

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