BCE.PR.G Reset To 3.37% in 2021

August 10th, 2022

BCE Inc. has announced (on 2021-4-9):

BCE Inc. will, on May 1, 2021, continue to have Cumulative Redeemable First Preferred Shares, Series AG (“Series AG Preferred Shares”) outstanding if, following the end of the conversion period on April 21, 2021, BCE Inc. determines that at least 2,000,000 Series AG Preferred Shares would remain outstanding. In such a case, as of May 1, 2021, the Series AG Preferred Shares will pay, on a quarterly basis, as and when declared by the Board of Directors of BCE Inc., a fixed cash dividend for the following five years that will be based on an annual fixed dividend rate equal to 3.37%.

They later announced (2021-4-22):

that 105,430 of its 4,984,851 fixed-rate Cumulative Redeemable First Preferred Shares, Series AG (“Series AG Preferred Shares”) have been tendered for conversion on May 1, 2021, on a one-for-one basis, into floating-rate Cumulative Redeemable First Preferred Shares, Series AH (“Series AH Preferred Shares”). In addition, 4,100,109 of its 9,012,249 Series AH Preferred Shares have been tendered for conversion on May 1, 2021, on a one-for-one basis, into Series AG Preferred Shares. Consequently, on May 1, 2021, BCE will have 8,979,530 Series AG Preferred Shares and 5,017,570 Series AH Preferred Shares issued and outstanding. The Series AG Preferred Shares and the Series AH Preferred Shares will continue to be listed on the Toronto Stock Exchange under the symbols BCE.PR.G and BCE.PR.H, respectively.

The Series AG Preferred Shares will pay on a quarterly basis, for the five-year period beginning on May 1, 2021, as and when declared by the Board of Directors of BCE, a fixed cash dividend based on an annual fixed dividend rate of 3.37%.

The Series AH Preferred Shares will continue to pay a monthly floating adjustable cash dividend for the five-year period beginning on May 1, 2021, as and when declared by the Board of Directors of BCE. The monthly floating adjustable dividend for any particular month will continue to be calculated based on the prime rate for such month and using the Designated Percentage for such month representing the sum of an adjustment factor (based on the market price of the Series AH Preferred Shares in the preceding month) and the Designated Percentage for the preceding month.

This post is ridiculously late and appears as a matter of record only!

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BCE.PR.T Reset To 4.990% in 2021

August 10th, 2022

BCE Inc. has announced (on 2021-10-14):

BCE Inc. will, on November 1, 2021, continue to have Cumulative Redeemable First Preferred Shares, Series T (“Series T Preferred Shares”) outstanding if, following the end of the conversion period on October 18, 2021, BCE Inc. determines that at least one million Series T Preferred Shares would remain outstanding. In such a case, as of November 1, 2021, the Series T Preferred Shares will pay, on a quarterly basis, as and when declared by the Board of Directors of BCE Inc., a fixed cash dividend for the following five years that will be based on a fixed rate equal to the product of: (a) the average of the yields to maturity compounded semi-annually, determined on October 12, 2021 by two investment dealers selected by BCE Inc., that would be carried by non-callable Government of Canada bonds with a 5-year maturity (the “Government of Canada Yield”), multiplied by (b) a percentage rate determined by BCE Inc. (the “Selected Percentage Rate”) for such period. The “Selected Percentage Rate” determined by BCE Inc. for such period is 396%. The “Government of Canada Yield” is 1.260%. Accordingly, the annual dividend rate applicable to the Series T Preferred Shares for the period of five years beginning on November 1, 2021 will be 4.990%.

They later announced (on 2021-10-19):

that 9,593 of its 4,486,552 fixed-rate Cumulative Redeemable First Preferred Shares, Series T (“Series T Preferred Shares”) have been tendered for conversion on November 1, 2021, on a one-for-one basis, into floating-rate Cumulative Redeemable First Preferred Shares, Series S (“Series S Preferred Shares”). In addition, 1,393,174 of its 3,511,848 Series S Preferred Shares have been tendered for conversion on November 1, 2021, on a one-for-one basis, into Series T Preferred Shares. Consequently, on November 1, 2021, BCE will have 5,870,133 Series T Preferred Shares and 2,128,267 Series S Preferred Shares issued and outstanding. The Series T Preferred Shares and the Series S Preferred Shares will continue to be listed on the Toronto Stock Exchange under the symbols BCE.PR.T and BCE.PR.S, respectively.

The Series T Preferred Shares will pay on a quarterly basis, for the five-year period beginning on November 1, 2021, as and when declared by the Board of Directors of BCE, a fixed cash dividend based on an annual fixed dividend rate of 4.990%.

The Series S Preferred Shares will continue to pay a monthly floating adjustable cash dividend for the five-year period beginning on November 1, 2021, as and when declared by the Board of Directors of BCE. The monthly floating adjustable dividend for any particular month will continue to be calculated based on the prime rate for such month and using the Designated Percentage for such month representing the sum of an adjustment factor (based on the market price of the Series S Preferred Shares in the preceding month) and the Designated Percentage for the preceding month.

This post is very late! It appears as a matter of record only!

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BBD.PR.D Reset To 4.588% in August 2022

August 10th, 2022

Bombardier Inc. has announced (on 2022-7-12):

that as of August 1, 2022, its Series 3 Preferred Shares will pay, on a quarterly basis, as and when declared by the Board of Directors of Bombardier Inc., cash dividends for the following five years that will be based on a fixed rate equal to the product of (a) the average of the yields to maturity that would be carried by a Government of Canada bond with a five-year maturity, designated on July 11, 2022 by each of National Bank Financial Inc. and TD Securities Inc., namely 3.164%, multiplied by (b) 145%, which multiplier was previously announced on June 17, 2022.

Accordingly, the annual dividend rate applicable to the Series 3 Preferred Shares for the period of five years beginning on August 1, 2022 will be 4.588%.

As a reminder, any registered shareholder who wishes to convert his or her Series 2 and/or Series 3 Preferred Shares must complete and sign the conversion panel contained on the back of the Series 2 or Series 3 Preferred Share certificate, as the case may be, and deliver it to Computershare Investor Services Inc., and any registered shareholder who wishes to revoke or amend his or her previously delivered conversion instructions must notify Computershare Investor Services Inc., in each case at the latest by 5:00 p.m. (Montréal time) on July 18, 2022. Likewise, shareholders who are beneficial owners and who wish to exercise their right of conversion or, alternatively, revoke or amend their instructions should communicate as soon as possible with their broker or other nominee and follow their instructions. In that case, it is important that they follow such instructions and act in the timeframe advised so as to provide enough time to their broker or other nominee to meet the July 18, 2022 deadline.

This reporting is late and appears as a matter of record only!

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BAM.PR.G Reset to 2.75% in November, 2021

August 10th, 2022

Brookfield Asset Management Inc. has announced (in October, 2021):

that it has determined the fixed dividend rate on its Class A Preference Shares, Series 9 (the “Series 9 Preferred Shares”) (TSX: BAM.PR.G) for the five years commencing November 1, 2021 and ending October 31, 2026.

If declared, the fixed quarterly dividends on the Series 9 Preferred Shares during the five years commencing November 1, 2021 will be paid at an annual rate of 2.75% ($0.171875 per share per quarter). This dividend rate represents 218% of the interpolated yield, calculated as of October 12, 2021 at 10:00 a.m. (Toronto time), on the 1.00% Government of Canada bond due September 1, 2026 and the 1.00% Government of Canada bond due June 1, 2027. This dividend will be payable quarterly on the first day of February, May, August and November, commencing with the dividend payable on February 1, 2022.

The annual rate currently paid on the Series 9 Preferred Shares is 2.75%. A quarterly dividend payable at this rate will be paid on November 1, 2021 to shareholders of record on October 15, 2021.

Conversion Rights
Holders of Series 9 Preferred Shares have the right, at their option, exercisable not later than 5:00 p.m. (Toronto time) on October 18, 2021, to convert all or part of their Series 9 Preferred Shares, on a one-for-one basis, into Brookfield’s Class A Preference Shares, Series 8 (the “Series 8 Preferred Shares”) (TSX: BAM.PR.E), effective November 1, 2021. Holders of Series 9 Preferred Shares who elect to convert their shares by the conversion deadline will receive Series 8 Preferred Shares, effective November 1, 2021 and will be entitled to receive, if declared, a monthly floating-rate dividend based on the prime rate.

Holders of Series 8 Preferred Shares also have the right, at their option, exercisable not later than 5:00 p.m. (Toronto time) on October 18, 2021, to convert all or part of their Series 8 Preferred Shares, on a one-for-one basis, into Series 9 Preferred Shares, effective November 1, 2021. Holders of Series 8 Preferred Shares who elect to convert their shares by the conversion deadline will receive Series 9 Preferred Shares, effective November 1, 2021 and will be entitled to receive, if declared, the fixed-rate dividend as described above.

Holders of Series 9 Preferred Shares are not required to elect to convert all or any part of their Series 9 Preferred Shares into Series 8 Preferred Shares and holders of Series 8 Preferred Shares are not required to elect to convert all or any part of their Series 8 Preferred Shares into Series 9 Preferred Shares.

As provided in the share conditions of the Series 9 Preferred Shares, (i) if Brookfield determines that there would be fewer than 500,000 Series 9 Preferred Shares outstanding after November 1, 2021, all remaining Series 9 Preferred Shares will be automatically converted into Series 8 Preferred Shares on a one-for-one basis effective November 1, 2021; and (ii) if Brookfield determines that there would be fewer than 500,000 Series 8 Preferred Shares outstanding after November 1, 2021, no Series 9 Preferred Shares will be permitted to be converted into Series 8 Preferred Shares. There are currently 5,515,981 Series 9 Preferred Shares outstanding.

Similarly, as provided in the share conditions of the Series 8 Preferred Shares, (i) if Brookfield determines that there would be fewer than 500,000 Series 8 Preferred Shares outstanding after November 1, 2021, all remaining Series 8 Preferred Shares will be automatically converted into Series 9 Preferred Shares on a one-for-one basis effective November 1, 2021; and (ii) if Brookfield determines that there would be fewer than 500,000 Series 9 Preferred Shares outstanding after November 1, 2021, no Series 8 Preferred Shares will be permitted to be converted into Series 9 Preferred Shares. There are currently 2,476,185 Series 8 Preferred Shares outstanding.

Holders of Series 8 Preferred Shares and Series 9 Preferred Shares will again have the opportunity to convert their shares into the other series on November 1, 2026 and every five years thereafter.

They later announced (on 2021-10-22):

that holders of 8,202 of its Class A Preference Shares, Series 8 (the “Series 8 Preferred Shares”) (TSX: BAM.PR.E) and holders of 853,503 of its Class A Preference Shares, Series 9 (the “Series 9 Preferred Shares”) (TSX: BAM.PR.G) have elected, effective November 1, 2021, to convert their shares into an equivalent number of shares of the other series. Following these conversions, there will be 3,321,486 Series 8 Preferred Shares and 4,670,680 Series 9 Preferred Shares issued and outstanding.

I didn’t post this at the proper time! This post exists as a matter of record only!

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August 10, 2022

August 10th, 2022

US inflation was down a little this month:

Inflation cooled in July as gas prices and airfares fell, a welcome reprieve for consumers and economic policymakers but not yet a conclusive sign that price increases are turning a corner.

The Consumer Price Index climbed 8.5 percent in the year through July, compared with 9.1 percent the prior month, a bigger slowdown than economists had projected. After stripping out food and fuel costs to get a sense of underlying price pressures, prices climbed by 5.9 percent through July, matching the previous reading.

  • On a monthly basis, the price index did not move at all in July. That’s because fuel prices, airfares and used cars declined in price, offsetting increases in rent and food costs.
  • Core inflation was also slower than economists had expected on a monthly basis, climbing by 0.3 percent. In June, that figure was 0.7 percent.
  • Today’s report is probably welcome news at the White House and the Federal Reserve, both of which have been waiting for inflation to decelerate.
  • But it’s easy to overstate how much July’s slowdown matters. Inflation is still abnormally high. The decline owed in large part to gas prices, and they can always jump again.
  • There are some real reasons to believe inflation will slow in the months ahead: Supply chain pressures, for instance, show signs of easing.
  • But there are also reasons to worry. Wage growth remains rapid. And housing costs, particularly rents, continue to climb, which could keep inflation high for some time.

This was reflected in the New York Fed’s underlying inflation gauge:

  • The UIG “full data set” measure for July is currently estimated at 4.7%, a 0.1 percentage point decrease from the current estimate of the previous month.
  • The “prices-only” measure for July is currently estimated at 5.9%, a 0.1 percentage point decrease from the current estimate for the previous month.
  • The twelve-month change in the July CPI was +8.5%, a 0.6 percentage point decrease from the previous month.
    • -For July 2022, trend CPI inflation is estimated to be in the 4.7% to 5.9% range, a similar range to June, but with its lower and upper bounds both 0.1% lower.

PerpetualDiscounts now yield 6.03%, equivalent to 7.84% interest at the standard equivalency factor of 1.3x. Long corporates now yield 4.73%, so the pre-tax interest-equivalent spread (in this context, the “Seniority Spread”) has remained at the 310bp reported August 3.

HIMIPref™ Preferred Indices
These values reflect the December 2008 revision of the HIMIPref™ Indices
Values are provisional and are finalized monthly
Index Mean
Current
Yield
(at bid)		 Median
YTW		 Median
Average
Trading
Value		 Median
Mod Dur
(YTW)		 Issues Day’s Perf. Index Value
Ratchet 0.00 % 0.00 % 0 0.00 0 1.0563 % 2,482.4
FixedFloater 0.00 % 0.00 % 0 0.00 0 1.0563 % 4,761.2
Floater 6.37 % 6.46 % 54,697 13.20 2 1.0563 % 2,743.9
OpRet 0.00 % 0.00 % 0 0.00 0 -0.0232 % 3,474.8
SplitShare 4.89 % 5.80 % 39,788 3.08 8 -0.0232 % 4,149.6
Interest-Bearing 0.00 % 0.00 % 0 0.00 0 -0.0232 % 3,237.7
Perpetual-Premium 0.00 % 0.00 % 0 0.00 0 0.9609 % 2,890.4
Perpetual-Discount 5.89 % 6.03 % 73,759 13.83 35 0.9609 % 3,151.8
FixedReset Disc 4.70 % 5.86 % 118,425 14.08 59 0.2710 % 2,514.1
Insurance Straight 5.85 % 5.97 % 87,763 13.91 19 0.6641 % 3,077.3
FloatingReset 7.09 % 7.29 % 37,951 12.12 2 0.0313 % 2,597.3
FixedReset Prem 5.08 % 4.06 % 114,879 1.87 6 0.3482 % 2,606.0
FixedReset Bank Non 0.00 % 0.00 % 0 0.00 0 0.2710 % 2,569.9
FixedReset Ins Non 4.65 % 6.09 % 54,915 13.92 14 0.8717 % 2,622.4
Performance Highlights
Issue Index Change Notes
TD.PF.B FixedReset Disc -3.00 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-08-10
Maturity Price : 21.00
Evaluated at bid price : 21.00
Bid-YTW : 5.92 %
CM.PR.O FixedReset Disc -1.42 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-08-10
Maturity Price : 21.29
Evaluated at bid price : 21.58
Bid-YTW : 5.77 %
MIC.PR.A Perpetual-Discount -1.38 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-08-10
Maturity Price : 21.40
Evaluated at bid price : 21.40
Bid-YTW : 6.41 %
NA.PR.S FixedReset Disc -1.35 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-08-10
Maturity Price : 21.60
Evaluated at bid price : 22.00
Bid-YTW : 5.80 %
BMO.PR.W FixedReset Disc -1.15 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-08-10
Maturity Price : 21.40
Evaluated at bid price : 21.40
Bid-YTW : 5.73 %
BAM.PR.B Floater 1.02 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-08-10
Maturity Price : 12.93
Evaluated at bid price : 12.93
Bid-YTW : 6.46 %
MFC.PR.I FixedReset Ins Non 1.06 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-08-10
Maturity Price : 22.73
Evaluated at bid price : 23.90
Bid-YTW : 5.98 %
RY.PR.O Perpetual-Discount 1.06 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-08-10
Maturity Price : 23.51
Evaluated at bid price : 23.84
Bid-YTW : 5.14 %
PWF.PR.F Perpetual-Discount 1.07 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-08-10
Maturity Price : 21.44
Evaluated at bid price : 21.70
Bid-YTW : 6.09 %
PWF.PR.K Perpetual-Discount 1.08 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-08-10
Maturity Price : 20.65
Evaluated at bid price : 20.65
Bid-YTW : 6.05 %
MFC.PR.J FixedReset Ins Non 1.09 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-08-10
Maturity Price : 22.39
Evaluated at bid price : 23.25
Bid-YTW : 5.87 %
ELF.PR.H Perpetual-Discount 1.09 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-08-10
Maturity Price : 22.84
Evaluated at bid price : 23.12
Bid-YTW : 6.00 %
BAM.PR.K Floater 1.10 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-08-10
Maturity Price : 12.90
Evaluated at bid price : 12.90
Bid-YTW : 6.47 %
PWF.PR.L Perpetual-Discount 1.10 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-08-10
Maturity Price : 21.13
Evaluated at bid price : 21.13
Bid-YTW : 6.09 %
PWF.PR.E Perpetual-Discount 1.17 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-08-10
Maturity Price : 22.29
Evaluated at bid price : 22.56
Bid-YTW : 6.14 %
MFC.PR.C Insurance Straight 1.22 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-08-10
Maturity Price : 19.94
Evaluated at bid price : 19.94
Bid-YTW : 5.74 %
BAM.PF.C Perpetual-Discount 1.24 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-08-10
Maturity Price : 20.35
Evaluated at bid price : 20.35
Bid-YTW : 6.05 %
PWF.PR.O Perpetual-Discount 1.24 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-08-10
Maturity Price : 23.31
Evaluated at bid price : 23.59
Bid-YTW : 6.19 %
IFC.PR.E Insurance Straight 1.35 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-08-10
Maturity Price : 22.19
Evaluated at bid price : 22.50
Bid-YTW : 5.85 %
SLF.PR.C Insurance Straight 1.37 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-08-10
Maturity Price : 20.05
Evaluated at bid price : 20.05
Bid-YTW : 5.63 %
CU.PR.G Perpetual-Discount 1.39 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-08-10
Maturity Price : 19.73
Evaluated at bid price : 19.73
Bid-YTW : 5.72 %
GWO.PR.G Insurance Straight 1.40 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-08-10
Maturity Price : 21.44
Evaluated at bid price : 21.70
Bid-YTW : 6.07 %
SLF.PR.E Insurance Straight 1.44 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-08-10
Maturity Price : 20.40
Evaluated at bid price : 20.40
Bid-YTW : 5.60 %
PWF.PR.G Perpetual-Discount 1.46 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-08-10
Maturity Price : 24.00
Evaluated at bid price : 24.25
Bid-YTW : 6.13 %
CU.PR.J Perpetual-Discount 1.48 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-08-10
Maturity Price : 20.60
Evaluated at bid price : 20.60
Bid-YTW : 5.78 %
CU.PR.C FixedReset Disc 1.52 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-08-10
Maturity Price : 21.72
Evaluated at bid price : 22.10
Bid-YTW : 5.90 %
TD.PF.E FixedReset Disc 1.66 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-08-10
Maturity Price : 21.82
Evaluated at bid price : 22.11
Bid-YTW : 5.93 %
GWO.PR.S Insurance Straight 1.80 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-08-10
Maturity Price : 21.75
Evaluated at bid price : 22.05
Bid-YTW : 6.03 %
SLF.PR.H FixedReset Ins Non 1.86 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-08-10
Maturity Price : 18.10
Evaluated at bid price : 18.10
Bid-YTW : 6.26 %
BAM.PR.N Perpetual-Discount 2.04 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-08-10
Maturity Price : 20.00
Evaluated at bid price : 20.00
Bid-YTW : 6.03 %
MFC.PR.K FixedReset Ins Non 2.38 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-08-10
Maturity Price : 21.50
Evaluated at bid price : 21.50
Bid-YTW : 5.91 %
PWF.PF.A Perpetual-Discount 2.59 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-08-10
Maturity Price : 19.40
Evaluated at bid price : 19.40
Bid-YTW : 5.85 %
BAM.PF.D Perpetual-Discount 2.62 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-08-10
Maturity Price : 20.75
Evaluated at bid price : 20.75
Bid-YTW : 5.99 %
TRP.PR.G FixedReset Disc 3.24 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-08-10
Maturity Price : 19.75
Evaluated at bid price : 19.75
Bid-YTW : 6.73 %
MFC.PR.Q FixedReset Ins Non 3.41 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-08-10
Maturity Price : 22.10
Evaluated at bid price : 22.75
Bid-YTW : 5.93 %
CU.PR.H Perpetual-Discount 4.65 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-08-10
Maturity Price : 22.21
Evaluated at bid price : 22.50
Bid-YTW : 5.84 %
BAM.PR.Z FixedReset Disc 9.20 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-08-10
Maturity Price : 21.52
Evaluated at bid price : 21.85
Bid-YTW : 6.66 %
Volume Highlights
Issue Index Shares
Traded		 Notes
BAM.PF.G FixedReset Disc 94,680 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-08-10
Maturity Price : 17.77
Evaluated at bid price : 17.77
Bid-YTW : 7.40 %
MFC.PR.F FixedReset Ins Non 72,200 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-08-10
Maturity Price : 14.25
Evaluated at bid price : 14.25
Bid-YTW : 6.70 %
BAM.PR.X FixedReset Disc 48,332 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-08-10
Maturity Price : 17.65
Evaluated at bid price : 17.65
Bid-YTW : 6.65 %
BAM.PF.E FixedReset Disc 33,262 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-08-10
Maturity Price : 17.50
Evaluated at bid price : 17.50
Bid-YTW : 7.28 %
BAM.PF.I FixedReset Disc 32,499 YTW SCENARIO
Maturity Type : Call
Maturity Date : 2027-03-31
Maturity Price : 25.00
Evaluated at bid price : 25.10
Bid-YTW : 5.47 %
TRP.PR.A FixedReset Disc 31,100 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-08-10
Maturity Price : 16.07
Evaluated at bid price : 16.07
Bid-YTW : 7.14 %
There were 20 other index-included issues trading in excess of 10,000 shares.
Wide Spread Highlights
Issue Index Quote Data and Yield Notes
CCS.PR.C Insurance Straight Quote: 21.25 – 23.50
Spot Rate : 2.2500
Average : 1.3137

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-08-10
Maturity Price : 21.25
Evaluated at bid price : 21.25
Bid-YTW : 5.97 %
CU.PR.C FixedReset Disc Quote: 22.10 – 23.25
Spot Rate : 1.1500
Average : 0.8004

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-08-10
Maturity Price : 21.72
Evaluated at bid price : 22.10
Bid-YTW : 5.90 %
TD.PF.B FixedReset Disc Quote: 21.00 – 21.74
Spot Rate : 0.7400
Average : 0.5018

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-08-10
Maturity Price : 21.00
Evaluated at bid price : 21.00
Bid-YTW : 5.92 %
CIU.PR.A Perpetual-Discount Quote: 19.71 – 20.55
Spot Rate : 0.8400
Average : 0.6062

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-08-10
Maturity Price : 19.71
Evaluated at bid price : 19.71
Bid-YTW : 5.85 %
PWF.PR.G Perpetual-Discount Quote: 24.25 – 24.90
Spot Rate : 0.6500
Average : 0.4168

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-08-10
Maturity Price : 24.00
Evaluated at bid price : 24.25
Bid-YTW : 6.13 %
MFC.PR.N FixedReset Ins Non Quote: 19.77 – 20.45
Spot Rate : 0.6800
Average : 0.4841

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-08-10
Maturity Price : 19.77
Evaluated at bid price : 19.77
Bid-YTW : 6.27 %

Posted in Market Action | 1 Comment »

August 9, 2022

August 9th, 2022

Well, it seems obvious … but nice to have it confirmed!

Why would you leave money in a checking or savings account while also carrying a credit card balance? Economists call this question the credit card debt puzzle. That’s because simultaneously holding both liquid assets and credit card debt seemingly makes no sense if the interest rates paid on deposit accounts are substantially lower than the interest rates charged on unpaid credit card balances — which they always are. In late 2021, the average rate paid was 0.06%, and the average rate charged was 16.13%.

And yet in 2019, according to a new Federal Reserve Bank of Boston working paper, 42% of the people surveyed carried — or “revolved” — credit card debt while maintaining some liquid assets, typically as a balance in their bank accounts. The paper was written by Boston Fed senior economist and policy advisor Joanna Stavins and Federal Reserve Bank of Atlanta payments risk expert Claire Greene.

The authors look at why consumers make such a choice. As indicated by the paper’s title, “Credit Card Debt Puzzle: Liquid Assets to Pay Bills,” Stavins and Greene show these “borrower-savers” left money in the bank to cover monthly bills and other necessary expenses including mortgage or rent. They find that more than 80% of borrower-savers’ bills (by value) were paid using checks, online bill payments, and other out-of-bank-account payment instruments.

“Even those consumers who carry costly unpaid credit card debt must keep a substantial balance in liquid assets to pay their bills,” the authors write. “Thus, the credit card puzzle is not a puzzle at all.”

There’s also this:

We use the 1979 National Longitudinal Survey of Youth to revisit what is termed the credit card debt puzzle: why consumers simultaneously co-hold high-interest credit card debt and low-interest assets that could be used to pay down this debt. Relative to individuals with no credit card debt but positive liquid assets, borrower-savers have very different perceptions of future credit access risk and use credit cards for precautionary motives. Moreover, changing perceptions about credit access risk are essential for predicting transitions among the two groups. Preferences and the composition of financial portfolios also play a role in these transitions.

… and this:

This article investigates the credit card debt puzzle. Simultaneously holding credit card debt and liquid assets is puzzling given the sizeable difference between interest rates of debt and assets. However, this behavior is common—about 31% of households in the 2016 Survey of Consumer Finances. The cost of co-holding may be justified if consumers anticipate future restrictions in credit or if they need to maintain liquidity. Other existing explanations for co-holding include impulsive spending and low financial literacy. This research reveals a new explanation for the credit card debt puzzle: consumers’ overconfidence of their financial knowledge. Using a Coarsened Exact Matching method, we found that overconfident consumers were 20%-40% more likely to co-hold credit card debt and liquid assets.

… and probably a lot of other material as well!

HIMIPref™ Preferred Indices
These values reflect the December 2008 revision of the HIMIPref™ Indices
Values are provisional and are finalized monthly
Index Mean
Current
Yield
(at bid)		 Median
YTW		 Median
Average
Trading
Value		 Median
Mod Dur
(YTW)		 Issues Day’s Perf. Index Value
Ratchet 0.00 % 0.00 % 0 0.00 0 -1.6166 % 2,456.4
FixedFloater 0.00 % 0.00 % 0 0.00 0 -1.6166 % 4,711.4
Floater 6.44 % 6.52 % 54,864 13.11 2 -1.6166 % 2,715.2
OpRet 0.00 % 0.00 % 0 0.00 0 0.0850 % 3,475.6
SplitShare 4.89 % 5.82 % 39,228 3.08 8 0.0850 % 4,150.6
Interest-Bearing 0.00 % 0.00 % 0 0.00 0 0.0850 % 3,238.4
Perpetual-Premium 0.00 % 0.00 % 0 0.00 0 -0.5719 % 2,862.9
Perpetual-Discount 5.95 % 6.11 % 72,696 13.76 35 -0.5719 % 3,121.8
FixedReset Disc 4.72 % 5.85 % 115,238 14.02 59 0.0494 % 2,507.3
Insurance Straight 5.89 % 5.97 % 84,270 13.91 19 -0.5067 % 3,057.0
FloatingReset 7.09 % 7.30 % 38,451 12.12 2 0.1879 % 2,596.5
FixedReset Prem 5.10 % 4.64 % 116,223 1.87 6 0.0329 % 2,597.0
FixedReset Bank Non 0.00 % 0.00 % 0 0.00 0 0.0494 % 2,563.0
FixedReset Ins Non 4.69 % 6.15 % 54,003 13.84 14 0.0365 % 2,599.8
Performance Highlights
Issue Index Change Notes
BAM.PR.Z FixedReset Disc -9.46 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-08-09
Maturity Price : 20.01
Evaluated at bid price : 20.01
Bid-YTW : 7.29 %
CU.PR.H Perpetual-Discount -3.59 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-08-09
Maturity Price : 21.50
Evaluated at bid price : 21.50
Bid-YTW : 6.12 %
RY.PR.S FixedReset Disc -2.08 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-08-09
Maturity Price : 23.13
Evaluated at bid price : 23.55
Bid-YTW : 5.48 %
BAM.PR.K Floater -2.00 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-08-09
Maturity Price : 12.76
Evaluated at bid price : 12.76
Bid-YTW : 6.54 %
SLF.PR.G FixedReset Ins Non -1.98 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-08-09
Maturity Price : 14.36
Evaluated at bid price : 14.36
Bid-YTW : 6.67 %
CM.PR.P FixedReset Disc -1.93 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-08-09
Maturity Price : 21.38
Evaluated at bid price : 21.38
Bid-YTW : 5.75 %
GWO.PR.H Insurance Straight -1.45 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-08-09
Maturity Price : 20.45
Evaluated at bid price : 20.45
Bid-YTW : 6.02 %
IFC.PR.E Insurance Straight -1.33 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-08-09
Maturity Price : 21.83
Evaluated at bid price : 22.20
Bid-YTW : 5.92 %
PWF.PR.K Perpetual-Discount -1.30 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-08-09
Maturity Price : 20.43
Evaluated at bid price : 20.43
Bid-YTW : 6.11 %
PWF.PR.F Perpetual-Discount -1.29 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-08-09
Maturity Price : 21.47
Evaluated at bid price : 21.47
Bid-YTW : 6.17 %
PWF.PR.E Perpetual-Discount -1.28 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-08-09
Maturity Price : 22.07
Evaluated at bid price : 22.30
Bid-YTW : 6.21 %
POW.PR.G Perpetual-Discount -1.26 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-08-09
Maturity Price : 22.55
Evaluated at bid price : 22.81
Bid-YTW : 6.20 %
PWF.PF.A Perpetual-Discount -1.25 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-08-09
Maturity Price : 18.91
Evaluated at bid price : 18.91
Bid-YTW : 6.00 %
BAM.PR.B Floater -1.23 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-08-09
Maturity Price : 12.80
Evaluated at bid price : 12.80
Bid-YTW : 6.52 %
GWO.PR.S Insurance Straight -1.10 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-08-09
Maturity Price : 21.36
Evaluated at bid price : 21.66
Bid-YTW : 6.14 %
IFC.PR.K Perpetual-Discount -1.07 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-08-09
Maturity Price : 21.79
Evaluated at bid price : 22.11
Bid-YTW : 6.01 %
PVS.PR.K SplitShare -1.07 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2029-05-31
Maturity Price : 25.00
Evaluated at bid price : 23.05
Bid-YTW : 6.04 %
PWF.PR.R Perpetual-Discount -1.06 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-08-09
Maturity Price : 22.08
Evaluated at bid price : 22.36
Bid-YTW : 6.19 %
GWO.PR.M Insurance Straight -1.04 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-08-09
Maturity Price : 23.63
Evaluated at bid price : 23.90
Bid-YTW : 6.15 %
CIU.PR.A Perpetual-Discount -1.01 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-08-09
Maturity Price : 19.70
Evaluated at bid price : 19.70
Bid-YTW : 5.85 %
MFC.PR.C Insurance Straight -1.01 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-08-09
Maturity Price : 19.70
Evaluated at bid price : 19.70
Bid-YTW : 5.81 %
BIP.PR.A FixedReset Disc 1.03 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-08-09
Maturity Price : 19.65
Evaluated at bid price : 19.65
Bid-YTW : 7.62 %
NA.PR.E FixedReset Disc 1.06 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-08-09
Maturity Price : 23.11
Evaluated at bid price : 23.75
Bid-YTW : 5.65 %
BAM.PR.M Perpetual-Discount 1.12 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-08-09
Maturity Price : 19.82
Evaluated at bid price : 19.82
Bid-YTW : 6.08 %
NA.PR.S FixedReset Disc 1.13 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-08-09
Maturity Price : 21.80
Evaluated at bid price : 22.30
Bid-YTW : 5.72 %
BAM.PF.B FixedReset Disc 1.15 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-08-09
Maturity Price : 19.35
Evaluated at bid price : 19.35
Bid-YTW : 6.99 %
PVS.PR.J SplitShare 1.18 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2028-02-29
Maturity Price : 25.00
Evaluated at bid price : 23.18
Bid-YTW : 6.16 %
TRP.PR.C FixedReset Disc 1.24 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-08-09
Maturity Price : 13.84
Evaluated at bid price : 13.84
Bid-YTW : 6.95 %
MFC.PR.Q FixedReset Ins Non 1.85 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-08-09
Maturity Price : 21.61
Evaluated at bid price : 22.00
Bid-YTW : 6.15 %
FTS.PR.K FixedReset Disc 2.15 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-08-09
Maturity Price : 18.55
Evaluated at bid price : 18.55
Bid-YTW : 6.57 %
IFC.PR.C FixedReset Disc 3.20 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-08-09
Maturity Price : 19.99
Evaluated at bid price : 19.99
Bid-YTW : 6.29 %
Volume Highlights
Issue Index Shares
Traded		 Notes
BAM.PF.G FixedReset Disc 158,963 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-08-09
Maturity Price : 17.60
Evaluated at bid price : 17.60
Bid-YTW : 7.47 %
SLF.PR.E Insurance Straight 105,200 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-08-09
Maturity Price : 20.11
Evaluated at bid price : 20.11
Bid-YTW : 5.68 %
RY.PR.M FixedReset Disc 75,900 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-08-09
Maturity Price : 21.30
Evaluated at bid price : 21.30
Bid-YTW : 5.85 %
BMO.PR.T FixedReset Disc 71,200 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-08-09
Maturity Price : 21.35
Evaluated at bid price : 21.66
Bid-YTW : 5.65 %
BAM.PR.Z FixedReset Disc 62,723 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-08-09
Maturity Price : 20.01
Evaluated at bid price : 20.01
Bid-YTW : 7.29 %
CM.PR.O FixedReset Disc 51,800 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-08-09
Maturity Price : 21.52
Evaluated at bid price : 21.89
Bid-YTW : 5.69 %
There were 19 other index-included issues trading in excess of 10,000 shares.
Wide Spread Highlights
Issue Index Quote Data and Yield Notes
BAM.PR.Z FixedReset Disc Quote: 20.01 – 22.10
Spot Rate : 2.0900
Average : 1.4628

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-08-09
Maturity Price : 20.01
Evaluated at bid price : 20.01
Bid-YTW : 7.29 %
PWF.PF.A Perpetual-Discount Quote: 18.91 – 20.59
Spot Rate : 1.6800
Average : 1.2626

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-08-09
Maturity Price : 18.91
Evaluated at bid price : 18.91
Bid-YTW : 6.00 %
BAM.PR.K Floater Quote: 12.76 – 14.40
Spot Rate : 1.6400
Average : 1.3439

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-08-09
Maturity Price : 12.76
Evaluated at bid price : 12.76
Bid-YTW : 6.54 %
TRP.PR.E FixedReset Disc Quote: 17.15 – 18.10
Spot Rate : 0.9500
Average : 0.6906

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-08-09
Maturity Price : 17.15
Evaluated at bid price : 17.15
Bid-YTW : 7.30 %
CU.PR.J Perpetual-Discount Quote: 20.30 – 21.83
Spot Rate : 1.5300
Average : 1.3032

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-08-09
Maturity Price : 20.30
Evaluated at bid price : 20.30
Bid-YTW : 5.87 %
SLF.PR.H FixedReset Ins Non Quote: 17.77 – 18.50
Spot Rate : 0.7300
Average : 0.5207

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-08-09
Maturity Price : 17.77
Evaluated at bid price : 17.77
Bid-YTW : 6.37 %

Posted in Market Action | 1 Comment »

August 8, 2022

August 8th, 2022

Huffing and puffing at the Fed appears to have had some impact:

Median one- and three-year-ahead inflation expectations both declined sharply in July, from 6.8 percent and 3.6 percent in June to 6.2 percent and 3.2 percent, respectively. Both decreases were broad-based across income groups, but largest among respondents with annual household incomes under $50,000 and respondents with no more than a high school education. Median five-year ahead inflation expectations, which have been elicited in the monthly SCE core survey on an ad-hoc basis since the beginning of this year, also declined to 2.3 percent from 2.8 percent in June. Expectations about year-ahead price increases for gas and food fell sharply. Home price growth expectations and year-ahead spending growth expectations continued to pull back from recent series highs. Households’ income growth expectations improved.

Assiduous Readers may remember my fascination with pumped storage – a piece of the energy storage puzzle that must be installed before green energy becomes more than a political slogan. A new plant has commenced operation in Switzerland:

Fourteen years after the start of construction work, the Nant de Drance pumped storage power plant will be put into operation on 1 July 2022. Federal Councillor Simonetta Sommaruga and the President of the Cantonal Council of the Valais, Roberto Schmidt, today took the opportunity to visit the power plant and get a first-hand impression. Located 600 m below ground in a cavern between the Emosson and Vieux Emosson reservoirs in the Finhaut municipality of Valais, the Nant de Drance power plant will feature six pump turbines with a capacity of 150 MW each. The highly flexible machines make it possible to switch from pumping at full power to turbining at full power in less than five minutes, i.e. from -900 MW to +900 MW. The volume of water passing through the Nant de Drance turbines, 360 m3 a second, corresponds to the flow of the Rhône at Geneva in summer. The upper reservoir of Vieux Emosson holds 25 million m3 of water, which represents a storage capacity of 20 million kWh. These characteristics allow Nant de Drance to play a crucial role in stabilising the electric grid. In face of the growth of new renewable energies such as wind and photovoltaic whose production is intermittent, this flexibility is required to compensate for the fluctuations on the electric grid and maintain continual equilibrium between production and electricity consumption. Nant de Drance works like a gigantic battery which allows excess electricity to be stored in a short term or to produce the necessary energy when demand exceeds production.

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 0.1156 % 2,496.8
FixedFloater 0.00 % 0.00 % 0 0.00 0 0.1156 % 4,788.8
Floater 6.33 % 6.41 % 41,606 13.27 2 0.1156 % 2,759.8
OpRet 0.00 % 0.00 % 0 0.00 0 0.0876 % 3,472.6
SplitShare 4.90 % 5.76 % 39,017 3.08 8 0.0876 % 4,147.1
Interest-Bearing 0.00 % 0.00 % 0 0.00 0 0.0876 % 3,235.7
Perpetual-Premium 0.00 % 0.00 % 0 0.00 0 0.0026 % 2,879.3
Perpetual-Discount 5.92 % 6.07 % 69,435 13.79 35 0.0026 % 3,139.8
FixedReset Disc 4.72 % 5.86 % 116,000 13.96 59 1.0384 % 2,506.1
Insurance Straight 5.86 % 5.93 % 78,524 13.98 19 0.3165 % 3,072.6
FloatingReset 7.10 % 7.33 % 40,030 12.09 2 1.5585 % 2,591.6
FixedReset Prem 5.10 % 4.40 % 118,119 1.87 6 -0.2818 % 2,596.1
FixedReset Bank Non 0.00 % 0.00 % 0 0.00 0 1.0384 % 2,561.7
FixedReset Ins Non 4.69 % 6.25 % 54,513 13.85 14 0.9205 % 2,598.8
Performance Highlights
Issue Index Change Notes
CU.PR.F Perpetual-Discount -3.25 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-08-08
Maturity Price : 19.34
Evaluated at bid price : 19.34
Bid-YTW : 5.83 %
BAM.PR.M Perpetual-Discount -2.00 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-08-08
Maturity Price : 19.60
Evaluated at bid price : 19.60
Bid-YTW : 6.15 %
MFC.PR.F FixedReset Ins Non -1.45 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-08-08
Maturity Price : 14.29
Evaluated at bid price : 14.29
Bid-YTW : 6.68 %
CM.PR.O FixedReset Disc -1.27 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-08-08
Maturity Price : 21.40
Evaluated at bid price : 21.72
Bid-YTW : 5.73 %
NA.PR.G FixedReset Disc -1.23 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-08-08
Maturity Price : 23.54
Evaluated at bid price : 24.00
Bid-YTW : 5.78 %
CU.PR.J Perpetual-Discount -1.20 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-08-08
Maturity Price : 20.50
Evaluated at bid price : 20.50
Bid-YTW : 5.81 %
PWF.PR.G Perpetual-Discount -1.20 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-08-08
Maturity Price : 23.63
Evaluated at bid price : 23.90
Bid-YTW : 6.21 %
BMO.PR.F FixedReset Prem -1.17 % YTW SCENARIO
Maturity Type : Call
Maturity Date : 2024-05-25
Maturity Price : 25.00
Evaluated at bid price : 25.25
Bid-YTW : 4.40 %
MFC.PR.N FixedReset Ins Non 1.12 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-08-08
Maturity Price : 19.84
Evaluated at bid price : 19.84
Bid-YTW : 6.25 %
TRP.PR.A FixedReset Disc 1.13 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-08-08
Maturity Price : 16.06
Evaluated at bid price : 16.06
Bid-YTW : 7.14 %
GWO.PR.H Insurance Straight 1.22 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-08-08
Maturity Price : 20.75
Evaluated at bid price : 20.75
Bid-YTW : 5.93 %
POW.PR.C Perpetual-Discount 1.23 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-08-08
Maturity Price : 23.52
Evaluated at bid price : 23.79
Bid-YTW : 6.16 %
MFC.PR.L FixedReset Ins Non 1.26 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-08-08
Maturity Price : 19.35
Evaluated at bid price : 19.35
Bid-YTW : 6.36 %
GWO.PR.M Insurance Straight 1.26 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-08-08
Maturity Price : 23.91
Evaluated at bid price : 24.15
Bid-YTW : 6.08 %
BAM.PF.A FixedReset Disc 1.29 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-08-08
Maturity Price : 21.27
Evaluated at bid price : 21.27
Bid-YTW : 6.78 %
GWO.PR.R Insurance Straight 1.30 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-08-08
Maturity Price : 20.26
Evaluated at bid price : 20.26
Bid-YTW : 6.01 %
RY.PR.O Perpetual-Discount 1.32 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-08-08
Maturity Price : 23.48
Evaluated at bid price : 23.81
Bid-YTW : 5.14 %
IFC.PR.E Insurance Straight 1.35 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-08-08
Maturity Price : 22.19
Evaluated at bid price : 22.50
Bid-YTW : 5.85 %
FTS.PR.H FixedReset Disc 1.36 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-08-08
Maturity Price : 14.20
Evaluated at bid price : 14.20
Bid-YTW : 6.83 %
CU.PR.I FixedReset Disc 1.40 % YTW SCENARIO
Maturity Type : Call
Maturity Date : 2025-12-01
Maturity Price : 25.00
Evaluated at bid price : 25.35
Bid-YTW : 3.97 %
IFC.PR.C FixedReset Disc 1.41 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-08-08
Maturity Price : 19.37
Evaluated at bid price : 19.37
Bid-YTW : 6.48 %
BAM.PF.F FixedReset Disc 1.42 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-08-08
Maturity Price : 19.26
Evaluated at bid price : 19.26
Bid-YTW : 7.17 %
BMO.PR.S FixedReset Disc 1.45 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-08-08
Maturity Price : 21.81
Evaluated at bid price : 22.32
Bid-YTW : 5.61 %
IFC.PR.K Perpetual-Discount 1.50 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-08-08
Maturity Price : 22.04
Evaluated at bid price : 22.35
Bid-YTW : 5.94 %
MFC.PR.C Insurance Straight 1.53 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-08-08
Maturity Price : 19.90
Evaluated at bid price : 19.90
Bid-YTW : 5.75 %
MIC.PR.A Perpetual-Discount 1.65 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-08-08
Maturity Price : 21.30
Evaluated at bid price : 21.60
Bid-YTW : 6.33 %
TRP.PR.G FixedReset Disc 1.65 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-08-08
Maturity Price : 19.13
Evaluated at bid price : 19.13
Bid-YTW : 6.94 %
TD.PF.A FixedReset Disc 1.79 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-08-08
Maturity Price : 21.29
Evaluated at bid price : 21.58
Bid-YTW : 5.68 %
RY.PR.M FixedReset Disc 2.02 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-08-08
Maturity Price : 21.25
Evaluated at bid price : 21.25
Bid-YTW : 5.86 %
RY.PR.S FixedReset Disc 2.12 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-08-08
Maturity Price : 23.65
Evaluated at bid price : 24.05
Bid-YTW : 5.37 %
TRP.PR.F FloatingReset 2.53 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-08-08
Maturity Price : 16.62
Evaluated at bid price : 16.62
Bid-YTW : 7.33 %
FTS.PR.M FixedReset Disc 2.90 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-08-08
Maturity Price : 19.50
Evaluated at bid price : 19.50
Bid-YTW : 6.65 %
IFC.PR.G FixedReset Ins Non 3.22 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-08-08
Maturity Price : 21.68
Evaluated at bid price : 22.10
Bid-YTW : 6.12 %
PWF.PR.P FixedReset Disc 3.64 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-08-08
Maturity Price : 14.25
Evaluated at bid price : 14.25
Bid-YTW : 6.86 %
TRP.PR.B FixedReset Disc 4.33 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-08-08
Maturity Price : 13.00
Evaluated at bid price : 13.00
Bid-YTW : 7.08 %
BMO.PR.Y FixedReset Disc 4.74 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-08-08
Maturity Price : 21.82
Evaluated at bid price : 22.10
Bid-YTW : 5.76 %
MFC.PR.K FixedReset Ins Non 5.79 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-08-08
Maturity Price : 21.00
Evaluated at bid price : 21.00
Bid-YTW : 6.05 %
TRP.PR.C FixedReset Disc 6.13 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-08-08
Maturity Price : 13.67
Evaluated at bid price : 13.67
Bid-YTW : 7.03 %
BMO.PR.W FixedReset Disc 6.87 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-08-08
Maturity Price : 21.31
Evaluated at bid price : 21.61
Bid-YTW : 5.65 %
TD.PF.D FixedReset Disc 10.10 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-08-08
Maturity Price : 21.45
Evaluated at bid price : 21.80
Bid-YTW : 5.97 %
BAM.PR.Z FixedReset Disc 10.44 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-08-08
Maturity Price : 21.70
Evaluated at bid price : 22.10
Bid-YTW : 6.58 %
Volume Highlights
Issue Index Shares
Traded		 Notes
BIP.PR.A FixedReset Disc 126,200 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-08-08
Maturity Price : 19.45
Evaluated at bid price : 19.45
Bid-YTW : 7.69 %
BMO.PR.T FixedReset Disc 104,850 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-08-08
Maturity Price : 21.34
Evaluated at bid price : 21.65
Bid-YTW : 5.65 %
BNS.PR.I FixedReset Disc 72,457 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-08-08
Maturity Price : 24.27
Evaluated at bid price : 24.60
Bid-YTW : 5.33 %
BAM.PF.G FixedReset Disc 58,383 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-08-08
Maturity Price : 17.57
Evaluated at bid price : 17.57
Bid-YTW : 7.48 %
PVS.PR.F SplitShare 46,300 YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2024-09-30
Maturity Price : 25.00
Evaluated at bid price : 24.55
Bid-YTW : 6.15 %
BAM.PF.E FixedReset Disc 45,426 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-08-08
Maturity Price : 17.34
Evaluated at bid price : 17.34
Bid-YTW : 7.34 %
There were 9 other index-included issues trading in excess of 10,000 shares.
Wide Spread Highlights
Issue Index Quote Data and Yield Notes
BMO.PR.T FixedReset Disc Quote: 21.65 – 24.00
Spot Rate : 2.3500
Average : 1.3635

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-08-08
Maturity Price : 21.34
Evaluated at bid price : 21.65
Bid-YTW : 5.65 %
TRP.PR.D FixedReset Disc Quote: 17.88 – 19.10
Spot Rate : 1.2200
Average : 0.7125

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-08-08
Maturity Price : 17.88
Evaluated at bid price : 17.88
Bid-YTW : 7.14 %
BAM.PR.K Floater Quote: 13.02 – 14.40
Spot Rate : 1.3800
Average : 1.0193

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-08-08
Maturity Price : 13.02
Evaluated at bid price : 13.02
Bid-YTW : 6.41 %
GWO.PR.M Insurance Straight Quote: 24.15 – 24.92
Spot Rate : 0.7700
Average : 0.4960

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-08-08
Maturity Price : 23.91
Evaluated at bid price : 24.15
Bid-YTW : 6.08 %
SLF.PR.G FixedReset Ins Non Quote: 14.65 – 15.35
Spot Rate : 0.7000
Average : 0.5090

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-08-08
Maturity Price : 14.65
Evaluated at bid price : 14.65
Bid-YTW : 6.54 %
PWF.PR.Z Perpetual-Discount Quote: 21.32 – 21.90
Spot Rate : 0.5800
Average : 0.4343

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-08-08
Maturity Price : 21.32
Evaluated at bid price : 21.32
Bid-YTW : 6.09 %

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MAPF Performance : July, 2022

August 8th, 2022

Malachite Aggressive Preferred Fund’s Net Asset Value per Unit as of the close July 29, 2022, was $8.9251.

Performance was hurt by the fund’s holdings in CVE.PR.G (-7.52%); FTS.PR.K (-7.26%) and TRP.PR.E (-7.22%). There was no major pattern apparent in the relative performance of the issues held.

There is still a pronounced ‘risk-off’ sentiment in the market as interest rates rise, but 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.

Returns to July 29, 2022
Period MAPF TXPR*
Total Return		 CPD – according to Blackrock
One Month -4.15% -0.25% N/A
Three Months -3.90% -0.77% N/A
One Year -10.82% -6.87% -7.31%
Two Years (annualized) +17.35% +9.85% N/A
Three Years (annualized) +8.81% +5.51% +4.91%
Four Years (annualized) +1.42% +1.60% N/A
Five Years (annualized) +3.19% +2.33% +1.74%
Six Years (annualized) +6.94% +4.63% N/A
Seven Years (annualized) +4.94% +3.59% N/A
Eight Years (annualized) +2.85% +1.58% N/A
Nine Years (annualized) +3.56% +1.93% N/A
Ten Years (annualized) +3.40% +1.78% +1.29%
Eleven Years (annualized) +3.35% +2.00%  
Twelve Years (annualized) +4.33% +2.68%  
Thirteen Years (annualized) +5.15% +3.08%  
Fourteen Years (annualized) +8.18% +3.27%  
Fifteen Years (annualized) +7.09% +2.46  
Sixteen Years (annualized) +6.99%    
Seventeen Years (annualized) +6.85%    
Eighteen Years (annualized) +6.88%    
Nineteen Years (annualized) +7.49%    
Twenty Years (annualized) +7.78%    
Twenty-One Years (annualized) +7.95%    
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 -0.49%, -1.49% and -7.97%, respectively, according to Globe & Mail / Fundata after all fees & expenses. Three year performance is +6.66%; five year is +3.22%; ten year is +2.72%

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 -0.19%, -1.25% & -7.53%, respectively. Three year performance is +6.67%, five-year is +2.34%, ten year is +2.54%
Figures for National Bank Preferred Equity Fund (formerly Altamira Preferred Equity Fund) are -0.05%, -1.29% and -7.58% for one-, three- and twelve months, respectively. Three year performance is +6.85%; five-year is +2.51%.

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 -5.89% for the past twelve months. Two year performance is +13.04%, three year is +6.87%, five year is +2.50%.
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 -0.01%, -0.87% and -0.69% for the past one-, three- and twelve-months, respectively. Two year performance is +7.88%; three year is +3.64%; five-year is -0.21%.
Figures for PowerShares Canadian Preferred Share Index Class, Series F (PPS) are -6.81% for the past twelve months. The three-year figure is +5.60%; five years is +1.97%; ten-year is +1.66%
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 -0.4%, -0.9% and -6.5% for the past one, three and twelve months, respectively. Three year performance is +5.8%, five-year is +1.7%.
Figures for the Desjardins Canadian Preferred Share Fund A Class (A Class), as reported by the company are -0.88%, -1.38% and -8.55% for the past one, three and twelve months, respectively. Two year performance is +8.68%, three-year is +4.19%, five-year is +0.64%
Figures for the RBC Canadian Preferred Share ETF (RPF) as reported by Morningstar are -0.71%, -0.88% and -6.89% for the past one, three and twelve months, respectively. Three-year performance is +6.58%; five-year is +2.05%
Figures for the Dynamic Active Preferred Shares ETF (DXP) are +%, -% and % for the past one, three and twelve months, respectively. Three-year performance is +%; five-year is +%

Prior yield increases reversed in July, with the five-year Canada yield (“GOC-5”) falling from 3.24% at June month-end to 2.69% at July month-end.

The Seniority Spread (between long-term corporate bonds and interest-equivalent PerpetualDiscounts) has recently popped up to 320bp and is very volatile:

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 518bp …

…while at the same time the spread between FixedReset (Discounts) and PerpetualDiscounts has narrowed to 4bp from its 2021-7-28 level of 170bp.

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:

Surprisingly, there was no significant correlation for either groups for 1-Month performance against term-to-reset, despite the overall change in the GOC-5 rate of 55bp (from 3.24% to 2.69%, almost exactly reversing June’s change) during the period:

… and for three-month performance, poor correlations of 12% for both Pfd-2 and Pfd-3 were observed; this was actually better than expected as the GOC-5 change for the three months was negligible, from 2.68% to 2.69%:

It should be noted that to some extent such a dependence can be justified as the nearer-term issues will receive the benefit of presumably higher dividend rates sooner as a result of higher GOC-5 yields and therefore, perhaps, for longer. In this case, however, there has been no significant change in GOC-5 over the three-month period, so it would appear that interest rate anticipation has had an effect over this time.

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
July, 2022 8.9251 6.86% 1.006 6.819% 1.0000 $0.6086
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%
July, 2022 2.69% 2.68%

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MAPF Portfolio Composition : July, 2022

August 6th, 2022

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

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

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

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

The name of this subindex has been changed to “Insurance Straight” as of November, 2020
Calculations of resettable instruments are performed assuming a constant GOC-5 rate of 2.69%, a constant 3-Month Bill rate of 2.68% and a constant Canada Prime Rate of 4.70%

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

Credit distribution is:

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

Liquidity Distribution is:

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

The distribution of Issue Reset Spreads is:

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

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

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

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

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

August 5th, 2022

Birchcliff Energy Ltd. has announced:

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

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

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

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

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

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

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

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