Market Action

January 3, 2023

TXPR closed at 547.53, up 0.58% on the day. Volume today was 748,240, second-lowest of the past 21 trading days.

CPD closed at 10.795, up 0.42% on the day. Volume was 85,560, second-lowest of the past 21 trading days.

ZPR closed at 9.02, down 0.22% on the day. Volume was 117,180, second-lowest of the past 21 trading days.

Five-year Canada yields were down to 3.33% today.

Equities were mostly boring:

Wall Street’s main indexes closed lower on the first trading day of 2023 with big drags from Tesla and Apple, while investors worried about the Federal Reserve’s interest-rate hiking path as they awaited minutes from its December meeting. The Canadian benchmark index ended the session with a modest gain, thanks partly to a rally in the gold sector.

The S&P/TSX Composite Index closed up 58.85 points, or 0.30%, to 19,443.77. Despite Wall Street’s losses, the Toronto market saw most sectors gain – with the notable exception of energy, which lost 5.8%. Oil prices settled 4.1% lower at US$76.93 a barrel, pressured by weak demand data from China, a gloomy economic outlook and a stronger U.S. dollar.

But there was one area of excitement:

Tesla Inc. TSLA-Q -12.24%decrease
shares kicked off 2023 with a thud, plunging more than 12 per cent on Tuesday on growing worries about weakening demand and logistical problems that have hampered deliveries for the world’s most valuable automaker.

Once worth more than $1 trillion, Tesla lost more than 65 per cent in market value in a tumultuous 2022 that saw it increasingly challenged by other automakers and face production issues stemming from COVID lockdowns in China.

Tuesday’s slide knocked off nearly $50 billion in market value, roughly equal to the valuation of rival Ford Motor Co, which last year sold three times as many cars as Tesla.

The sell-off came after Tesla missed market expectations for fourth-quarter deliveries despite shipping a record number of vehicles.

At a value of about $341 billion, Tesla is still the world’s most valuable automaker, even though its production is a fraction of rivals such as Toyota Motor Corp.

I bet Bill Gates is happy!

Bill Gates’ $500 million Tesla short position is a bit awkward in terms of his own pledges to help with climate change. Tesla is a trillion-dollar company with a focus on accelerating the transition to sustainability. It’s also the only company that has had massive success beating the odds stacked against it while pushing electric vehicles and making them more commonplace. Tesla is essentially the loudest advocate for sustainability and has shaken up the automotive industry.

Yet, the author of How To Avoid A Climate Disaster put his money on the failure of a company that is aligned with that book’s message, according to screenshots of a message between Gates and Tesla CEO Elon Musk.

The quoted argument is infantile, obviously. Whether or not you like a company’s products has very little to do with whether or not you own the stock – that decision is determined by whatever gap you might deduce between price and value. Tesla’s a great company and I hope it does well. Do I think it ever deserved to be worth half of the entire global auto industry? No.

German inflation news was indecisive:

German inflation eased for a second month in a row in December due to falling energy prices and the government’s one-off payment of household energy bills, coming in below expectations even as analysts warn that a continued slowdown is not a given.

German consumer prices, harmonised to compare with other European Union countries, rose by 9.6% on the year in December, preliminary data from the Federal Statistics Office showed on Tuesday. Analysts polled by Reuters predicted prices would rise by 10.7% year-on year in December.

October saw the highest reading since comparable data going back to 1996, with harmonized price index up 11.6% on the year. November saw a slight easing, with an increase of 11.3%.

A one-off payment for household energy bills in December, part of government efforts to shield consumers, had a downward effect on prices, according to the statistics office.

Compared with November, December prices fell by 1.2%. Analysts had expected a drop of 0.5% on the previous month.

But 2022 was good for pension plans!

Soaring interest rates helped push more pension plans into surplus in 2022, offsetting market losses as pensions brace for another volatile year in 2023, according to two reports that measure the funding status of Canadian plans.

Consulting company Mercer Canada Ltd. said its quarterly pension health pulse, which tracks the median solvency ratio of nearly 500 Canadian defined benefit (DB) pension plans that are Mercer clients, increased to 113 per cent as of Dec. 31, up from 103 per cent at the start of the year.

And professional services firm Aon PLC said the aggregate solvency of DB pension plans of companies in the S&P/TSX Composite Index, as measured by its pension risk tracker, increased to 100.8 per cent at the end of 2022, up from 96.9 per cent a year earlier.

At the end of the fourth quarter, 79 per cent of plans tracked by Mercer were estimated to be in surplus on a solvency basis, and another 12 per cent had ratios between 90 per cent and 100 per cent. Four per cent of plans had solvency ratios between 80 per cent and 90 per cent, and 5 per cent were below 80 per cent, according to Mercer’s data.

The main factor that helped boost solvency levels for many Canadian pension plans in 2022 was the rapid rise in interest rates as central banks tried to beat back surging inflation. The Bank of Canada raised its benchmark rate seven times in 2022, from 0.25 per cent to 4.25 per cent.

With more plans in surplus and continuing headwinds in markets, some pension fund managers could take steps to reduce risk in their portfolios, shifting more assets to fixed income – which now offers higher yields – or contracting with insurance companies to buy annuities to pay future benefits.

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 0.4715 % 2,457.4
FixedFloater 0.00 % 0.00 % 0 0.00 0 0.4715 % 4,713.2
Floater 8.83 % 8.88 % 66,317 10.53 2 0.4715 % 2,716.3
OpRet 0.00 % 0.00 % 0 0.00 0 0.6408 % 3,284.7
SplitShare 5.12 % 7.55 % 76,912 2.86 7 0.6408 % 3,922.6
Interest-Bearing 0.00 % 0.00 % 0 0.00 0 0.6408 % 3,060.6
Perpetual-Premium 0.00 % 0.00 % 0 0.00 0 0.5102 % 2,652.1
Perpetual-Discount 6.42 % 6.54 % 100,615 13.15 35 0.5102 % 2,892.0
FixedReset Disc 5.62 % 7.92 % 97,663 11.77 62 -0.0709 % 2,156.4
Insurance Straight 6.39 % 6.52 % 116,808 13.17 20 0.0078 % 2,809.4
FloatingReset 10.13 % 9.80 % 34,896 9.73 2 -0.2686 % 2,410.6
FixedReset Prem 6.62 % 6.70 % 180,724 4.06 2 -0.0596 % 2,373.3
FixedReset Bank Non 0.00 % 0.00 % 0 0.00 0 -0.0709 % 2,204.2
FixedReset Ins Non 5.70 % 7.86 % 60,562 11.98 14 0.1887 % 2,262.4
Performance Highlights
Issue Index Change Notes
IFC.PR.C FixedReset Disc -8.54 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2053-01-03
Maturity Price : 15.00
Evaluated at bid price : 15.00
Bid-YTW : 8.95 %
IFC.PR.F Insurance Straight -5.86 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2053-01-03
Maturity Price : 19.77
Evaluated at bid price : 19.77
Bid-YTW : 6.76 %
BN.PF.H FixedReset Disc -2.78 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2053-01-03
Maturity Price : 22.28
Evaluated at bid price : 22.75
Bid-YTW : 7.77 %
BNS.PR.I FixedReset Disc -1.87 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2053-01-03
Maturity Price : 19.50
Evaluated at bid price : 19.50
Bid-YTW : 7.40 %
BIP.PR.E FixedReset Disc -1.60 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2053-01-03
Maturity Price : 19.65
Evaluated at bid price : 19.65
Bid-YTW : 8.21 %
MFC.PR.L FixedReset Ins Non -1.40 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2053-01-03
Maturity Price : 16.17
Evaluated at bid price : 16.17
Bid-YTW : 8.39 %
MFC.PR.N FixedReset Ins Non -1.38 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2053-01-03
Maturity Price : 16.42
Evaluated at bid price : 16.42
Bid-YTW : 8.26 %
PWF.PR.P FixedReset Disc -1.12 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2053-01-03
Maturity Price : 12.37
Evaluated at bid price : 12.37
Bid-YTW : 8.81 %
RY.PR.Z FixedReset Disc -1.09 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2053-01-03
Maturity Price : 17.17
Evaluated at bid price : 17.17
Bid-YTW : 8.01 %
RY.PR.S FixedReset Disc 1.02 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2053-01-03
Maturity Price : 19.85
Evaluated at bid price : 19.85
Bid-YTW : 7.29 %
BMO.PR.F FixedReset Disc 1.02 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2053-01-03
Maturity Price : 23.30
Evaluated at bid price : 23.75
Bid-YTW : 7.17 %
BIP.PR.F FixedReset Disc 1.06 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2053-01-03
Maturity Price : 19.10
Evaluated at bid price : 19.10
Bid-YTW : 8.24 %
PVS.PR.H SplitShare 1.14 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2027-02-28
Maturity Price : 25.00
Evaluated at bid price : 22.25
Bid-YTW : 8.01 %
MFC.PR.Q FixedReset Ins Non 1.16 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2053-01-03
Maturity Price : 19.17
Evaluated at bid price : 19.17
Bid-YTW : 7.80 %
IFC.PR.A FixedReset Ins Non 1.16 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2053-01-03
Maturity Price : 17.40
Evaluated at bid price : 17.40
Bid-YTW : 7.28 %
BN.PF.B FixedReset Disc 1.18 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2053-01-03
Maturity Price : 16.30
Evaluated at bid price : 16.30
Bid-YTW : 9.11 %
RY.PR.N Perpetual-Discount 1.19 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2053-01-03
Maturity Price : 21.18
Evaluated at bid price : 21.18
Bid-YTW : 5.87 %
FTS.PR.J Perpetual-Discount 1.23 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2053-01-03
Maturity Price : 19.00
Evaluated at bid price : 19.00
Bid-YTW : 6.34 %
PWF.PR.F Perpetual-Discount 1.23 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2053-01-03
Maturity Price : 20.60
Evaluated at bid price : 20.60
Bid-YTW : 6.51 %
PVS.PR.K SplitShare 1.24 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2029-05-31
Maturity Price : 25.00
Evaluated at bid price : 21.26
Bid-YTW : 7.55 %
POW.PR.D Perpetual-Discount 1.31 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2053-01-03
Maturity Price : 19.30
Evaluated at bid price : 19.30
Bid-YTW : 6.51 %
RY.PR.O Perpetual-Discount 1.43 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2053-01-03
Maturity Price : 21.31
Evaluated at bid price : 21.31
Bid-YTW : 5.83 %
SLF.PR.E Insurance Straight 1.49 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2053-01-03
Maturity Price : 18.39
Evaluated at bid price : 18.39
Bid-YTW : 6.17 %
PVS.PR.I SplitShare 1.50 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-10-31
Maturity Price : 25.00
Evaluated at bid price : 23.75
Bid-YTW : 6.91 %
MFC.PR.B Insurance Straight 1.56 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2053-01-03
Maturity Price : 18.90
Evaluated at bid price : 18.90
Bid-YTW : 6.22 %
BN.PF.F FixedReset Disc 2.13 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2053-01-03
Maturity Price : 16.75
Evaluated at bid price : 16.75
Bid-YTW : 8.98 %
MFC.PR.J FixedReset Ins Non 2.37 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2053-01-03
Maturity Price : 20.30
Evaluated at bid price : 20.30
Bid-YTW : 7.47 %
MFC.PR.C Insurance Straight 2.70 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2053-01-03
Maturity Price : 18.23
Evaluated at bid price : 18.23
Bid-YTW : 6.24 %
BN.PR.X FixedReset Disc 3.28 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2053-01-03
Maturity Price : 15.75
Evaluated at bid price : 15.75
Bid-YTW : 8.02 %
IFC.PR.I Perpetual-Discount 4.63 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2053-01-03
Maturity Price : 21.45
Evaluated at bid price : 21.45
Bid-YTW : 6.35 %
BN.PF.E FixedReset Disc 4.69 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2053-01-03
Maturity Price : 15.19
Evaluated at bid price : 15.19
Bid-YTW : 9.19 %
Volume Highlights
Issue Index Shares
Traded
Notes
BMO.PR.T FixedReset Disc 44,239 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2053-01-03
Maturity Price : 17.27
Evaluated at bid price : 17.27
Bid-YTW : 7.93 %
RY.PR.H FixedReset Disc 41,225 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2053-01-03
Maturity Price : 17.40
Evaluated at bid price : 17.40
Bid-YTW : 7.90 %
IFC.PR.A FixedReset Ins Non 37,901 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2053-01-03
Maturity Price : 17.40
Evaluated at bid price : 17.40
Bid-YTW : 7.28 %
MFC.PR.J FixedReset Ins Non 23,067 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2053-01-03
Maturity Price : 20.30
Evaluated at bid price : 20.30
Bid-YTW : 7.47 %
IFC.PR.C FixedReset Disc 15,320 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2053-01-03
Maturity Price : 15.00
Evaluated at bid price : 15.00
Bid-YTW : 8.95 %
SLF.PR.D Insurance Straight 14,907 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2053-01-03
Maturity Price : 18.09
Evaluated at bid price : 18.09
Bid-YTW : 6.20 %
There were 4 other index-included issues trading in excess of 10,000 shares.
Wide Spread Highlights
Issue Index Quote Data and Yield Notes
TRP.PR.G FixedReset Disc Quote: 16.10 – 24.62
Spot Rate : 8.5200
Average : 4.8652

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2053-01-03
Maturity Price : 16.10
Evaluated at bid price : 16.10
Bid-YTW : 8.87 %

CU.PR.E Perpetual-Discount Quote: 19.21 – 22.00
Spot Rate : 2.7900
Average : 1.5221

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2053-01-03
Maturity Price : 19.21
Evaluated at bid price : 19.21
Bid-YTW : 6.47 %

BN.PR.X FixedReset Disc Quote: 15.75 – 20.00
Spot Rate : 4.2500
Average : 2.9831

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2053-01-03
Maturity Price : 15.75
Evaluated at bid price : 15.75
Bid-YTW : 8.02 %

CU.PR.D Perpetual-Discount Quote: 19.32 – 22.00
Spot Rate : 2.6800
Average : 1.5166

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2053-01-03
Maturity Price : 19.32
Evaluated at bid price : 19.32
Bid-YTW : 6.44 %

TRP.PR.C FixedReset Disc Quote: 11.30 – 13.70
Spot Rate : 2.4000
Average : 1.5152

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2053-01-03
Maturity Price : 11.30
Evaluated at bid price : 11.30
Bid-YTW : 9.36 %

CU.PR.H Perpetual-Discount Quote: 20.60 – 22.60
Spot Rate : 2.0000
Average : 1.2401

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2053-01-03
Maturity Price : 20.60
Evaluated at bid price : 20.60
Bid-YTW : 6.47 %

MAPF

MAPF Portfolio Composition: December, 2022

Turnover picked up to 11% in December, as tax-loss selling season increased volumes and caused distortion is relative pricing. 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 December 30, 2022, were:

MAPF Sectoral Analysis 2022-12-30
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 8.0% 7.22% 12.32
Fixed-Reset Discount 63.4% 8.61% 11.38
Insurance – Straight 0% N/A N/A
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 20.5% 8.23% 12.04
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 7.6% 9.77% 10.50
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 +0.4% 0.00% 0.00
Total 100% 8.47% 11.48
Totals and changes will not add precisely due to rounding. Cash is included in totals with duration and yield both equal to zero.
The various “Scraps” indices include issues with a DBRS rating of Pfd-3(high) or lower and issues with an Average Trading Value (calculated with HIMIPref™ methodology, which is relatively complex) of less than $25,000. The issues considered “Scraps” are subdivided into indices which reflect those of the main indices.
DeemedRetractibles were comprised of all Straight Perpetuals (both PerpetualDiscount and PerpetualPremium) issued by BMO, BNS, CM, ELF, GWO, HSB, IAG, MFC, NA, RY, SLF and TD, which are not exchangable into common at the option of the company or the regulator. These issues are analyzed as if their prospectuses included a requirement to redeem at par on or prior to 2022-1-31 in the case of banks or normally in the case of insurers and insurance holding companies, in addition to the call schedule explicitly defined. See the Deemed Retractible Review: September 2016 for the rationale behind this analysis and IAIS Says No To DeemedRetractions for the recent change in policy with respect to insurers.

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

The name of this subindex has been changed to “Insurance Straight” as of November, 2020

Calculations of resettable instruments are performed assuming a constant GOC-5 rate of 3.37%, a constant 3-Month Bill rate of 4.35% and a constant Canada Prime Rate of 6.45%

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 2022-12-30
DBRS Rating MAPF Weighting
Pfd-1 0
Pfd-1(low) 0
Pfd-2(high) 45.6%
Pfd-2 13.7%
Pfd-2(low) 32.7%
Pfd-3(high) 3.8%
Pfd-3 1.2%
Pfd-3(low) 1.1%
Pfd-4(high) 1.1%
Pfd-4 0.4%
Pfd-4(low) 0%
Pfd-5(high) 0%
Pfd-5 0%
Cash +0.4%
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 2022-12-30
Average Daily Trading MAPF Weighting
<$50,000 18.9%
$50,000 – $100,000 40.3%
$100,000 – $200,000 31.6%
$200,000 – $300,000 8.8%
>$300,000 0%
Cash +0.4%
Totals will not add precisely due to rounding.

The distribution of Issue Reset Spreads is:

Range MAPF Weight
<100bp 0%
100-149bp 17.4%
150-199bp 21.1%
200-249bp 40.2%
250-299bp 10.8%
300-349bp 2.1%
350-399bp 0%
400-449bp 0%
450-499bp 0%
500-549bp 0%
550-599bp 0%
>= 600bp 0%
Undefined 8.4%

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 1.6%
1-2 Years 25.1%
2-3 Years 27.5%
3-4 Years 32.2%
4-5 Years 3.2%
5-6 Years 1.9%
>6 Years 0%
Not Floating Rate 8.5%

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.

Issue Comments

CM.PR.S To Reset At 5.878%

Canadian Imperial Bank of Commerce has announced:

the dividend rates applicable to its Non-cumulative Rate Reset Class A Preferred Shares Series 47 (Non-Viability Contingent Capital (NVCC)) (the “Series 47 Shares”) and Non-cumulative Floating Rate Class A Preferred Shares Series 48 (Non-Viability Contingent Capital (NVCC)) (the “Series 48 Shares”).

The fixed dividend rate applicable to the Series 47 Shares, should any remain outstanding after January 31, 2023, for the five-year period from and including January 31, 2023 to but excluding January 31, 2028 is 5.878%, payable quarterly as and when declared by the Board of Directors of CIBC.

The floating dividend rate applicable to the Series 48 Shares, should any be issued, for the three-month period from and including January 31, 2023 to but excluding April 30, 2023 is 6.753%, payable for the period as defined as and when declared by the Board of Directors of CIBC. CIBC has designated the Series 48 Shares as eligible to participate in the CIBC Shareholder Investment Plan.

Beneficial owners of Series 47 Shares who wish to exercise their conversion right should instruct their broker or other nominee to exercise such right during the conversion period, which runs from January 1, 2023 until 5:00 p.m. (Eastern Standard Time) on January 16, 2023. Any notices received after this deadline will not be valid.

CM.PR.S was issued as a FixedReset, 4.50%+245, NVCC-compliant, that commenced trading 2018-1-18 after being announced January 10. Notice of extension was provided 2022-12-15. The issue is tracked by HIMIPref™ and is assigned to the FixedReset (Discount) subindex.

I have received a mildly irate eMail from Assiduous Reader PG:

Has CIBC jumped the gun with today’s rate announcement for CM.PR.S?

As per the Prospectus, the “Fixed Rate Calculation Date” for any “Subsequent Fixed Rate Period” is the 30th day prior to the first day of such Subsequent Fixed Rate Period. The latter term, in this case, refers to the five-year period from and including January 31, 2023.

Thirty days prior to January 31 obviously falls on Sunday, January 1.

The CIBC Prospectus for CM.PR.S does NOT have the usual “Business Day” provision found in so many other Prospectuses and which would have any action to be taken fall on the next business day.

I realize CIBC went on record as choosing December 30, but do they have that discretion?

Well, it’s true. The CM.PR.S prospectus provides the usual definition of the “Fixed Rate Calculation Date”, but does not specify what is to happen if this date is not a business day; and this, presumably, played a role in CIBC’s decision to specify the actual date in their notice of extension.

I agree that it’s better to have these things specified in the prospectus, but I think CIBC acted responsibly in providing two week’s notice of the actual date. Careless errors with calculation dates became an issue in the 2019 reset of HSE.PR.C and in the 2019 reset of AZP.PR.B. All I can say is that if this sort of thing is important to investors, then they should check the prospectus in advance of any purchase.

Thanks to Assiduous Reader niagara for bringing this to my attention and to to CanSiamCyp for the follow -up.

Market Action

December 30, 2022

TXPR closed at 544.36, up 0.52% on the day. Volume today was 556,320, lowest of the past 21 trading days.

CPD closed at 10.75, up 0.19% on the day. Volume was 90,700, second-lowest of the past 21 trading days.

ZPR closed at 9.04, up 0.22% on the day. Volume was 111,880, lowest of the past 21 trading days.

Five-year Canada yields were up a bit to 3.43% today.

Equities were down a bit today, but the annual figures got more attention:

U.S. and Canadian stocks ended the final trading session of 2022 lower on Friday, capping a year of sharp losses driven by aggressive interest rate hikes to curb inflation, recession fears, the Russia-Ukraine war and rising concerns over COVID cases in China.

Wall Street’s three main indexes booked their first yearly drop since 2018 as an era of loose monetary policy ended with the Federal Reserve’s fastest pace of rate hikes since the 1980s.

This also marked their biggest yearly declines since the 2008 financial crisis, largely driven by growth shares as the Fed’s rate hikes boosted U.S. Treasury yields and made stocks less attractive.

The TSX’s 2022 losses were less sharp, but the Canadian index still lost more than 8% this year, also its first annual decline since 2018.

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 -0.1961 % 2,445.8
FixedFloater 0.00 % 0.00 % 0 0.00 0 -0.1961 % 4,691.1
Floater 8.87 % 8.94 % 66,799 10.46 2 -0.1961 % 2,703.5
OpRet 0.00 % 0.00 % 0 0.00 0 0.1728 % 3,263.7
SplitShare 5.21 % 7.64 % 61,311 2.74 8 0.1728 % 3,897.6
Interest-Bearing 0.00 % 0.00 % 0 0.00 0 0.1728 % 3,041.1
Perpetual-Premium 0.00 % 0.00 % 0 0.00 0 -0.0115 % 2,638.6
Perpetual-Discount 6.46 % 6.57 % 101,895 13.11 35 -0.0115 % 2,877.3
FixedReset Disc 5.63 % 7.89 % 98,635 11.85 62 0.3410 % 2,157.9
Insurance Straight 6.39 % 6.51 % 118,726 13.18 20 0.2333 % 2,809.2
FloatingReset 10.10 % 9.70 % 35,480 9.79 2 1.7772 % 2,417.1
FixedReset Prem 6.62 % 6.66 % 182,370 4.08 2 -0.0992 % 2,374.8
FixedReset Bank Non 0.00 % 0.00 % 0 0.00 0 0.3410 % 2,205.8
FixedReset Ins Non 5.72 % 8.12 % 60,831 11.80 14 0.3746 % 2,258.1
Performance Highlights
Issue Index Change Notes
IFC.PR.I Perpetual-Discount -5.22 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-12-30
Maturity Price : 20.50
Evaluated at bid price : 20.50
Bid-YTW : 6.64 %
MFC.PR.C Insurance Straight -1.55 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-12-30
Maturity Price : 17.75
Evaluated at bid price : 17.75
Bid-YTW : 6.40 %
BN.PF.B FixedReset Disc -1.47 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-12-30
Maturity Price : 16.11
Evaluated at bid price : 16.11
Bid-YTW : 9.19 %
BN.PR.M Perpetual-Discount 1.08 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-12-30
Maturity Price : 17.80
Evaluated at bid price : 17.80
Bid-YTW : 6.73 %
TRP.PR.F FloatingReset 1.09 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-12-30
Maturity Price : 14.78
Evaluated at bid price : 14.78
Bid-YTW : 10.73 %
BMO.PR.S FixedReset Disc 1.14 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-12-30
Maturity Price : 17.70
Evaluated at bid price : 17.70
Bid-YTW : 7.92 %
MFC.PR.K FixedReset Ins Non 1.18 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-12-30
Maturity Price : 17.15
Evaluated at bid price : 17.15
Bid-YTW : 8.18 %
MFC.PR.F FixedReset Ins Non 1.20 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-12-30
Maturity Price : 12.70
Evaluated at bid price : 12.70
Bid-YTW : 8.30 %
TRP.PR.E FixedReset Disc 1.26 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-12-30
Maturity Price : 14.70
Evaluated at bid price : 14.70
Bid-YTW : 9.30 %
NA.PR.E FixedReset Disc 1.26 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-12-30
Maturity Price : 20.15
Evaluated at bid price : 20.15
Bid-YTW : 7.49 %
RY.PR.M FixedReset Disc 1.35 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-12-30
Maturity Price : 18.05
Evaluated at bid price : 18.05
Bid-YTW : 7.57 %
GWO.PR.L Insurance Straight 1.41 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-12-30
Maturity Price : 21.38
Evaluated at bid price : 21.65
Bid-YTW : 6.56 %
NA.PR.G FixedReset Disc 1.65 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-12-30
Maturity Price : 21.50
Evaluated at bid price : 21.50
Bid-YTW : 7.19 %
BN.PR.X FixedReset Disc 1.67 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-12-30
Maturity Price : 15.25
Evaluated at bid price : 15.25
Bid-YTW : 8.26 %
TRP.PR.D FixedReset Disc 1.73 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-12-30
Maturity Price : 15.30
Evaluated at bid price : 15.30
Bid-YTW : 9.14 %
SLF.PR.D Insurance Straight 1.97 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-12-30
Maturity Price : 18.10
Evaluated at bid price : 18.10
Bid-YTW : 6.19 %
TRP.PR.C FixedReset Disc 2.05 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-12-30
Maturity Price : 11.41
Evaluated at bid price : 11.41
Bid-YTW : 9.25 %
CM.PR.S FixedReset Disc 2.08 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-12-30
Maturity Price : 21.13
Evaluated at bid price : 21.13
Bid-YTW : 6.90 %
BIP.PR.E FixedReset Disc 2.15 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-12-30
Maturity Price : 19.97
Evaluated at bid price : 19.97
Bid-YTW : 8.05 %
BN.PF.H FixedReset Disc 2.18 % YTW SCENARIO
Maturity Type : Call
Maturity Date : 2025-12-31
Maturity Price : 25.00
Evaluated at bid price : 23.40
Bid-YTW : 7.46 %
BN.PF.D Perpetual-Discount 2.23 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-12-30
Maturity Price : 18.30
Evaluated at bid price : 18.30
Bid-YTW : 6.75 %
MFC.PR.L FixedReset Ins Non 2.31 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-12-30
Maturity Price : 16.40
Evaluated at bid price : 16.40
Bid-YTW : 8.26 %
SLF.PR.J FloatingReset 2.46 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-12-30
Maturity Price : 15.00
Evaluated at bid price : 15.00
Bid-YTW : 9.70 %
Volume Highlights
Issue Index Shares
Traded
Notes
RY.PR.S FixedReset Disc 55,300 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-12-30
Maturity Price : 19.65
Evaluated at bid price : 19.65
Bid-YTW : 7.34 %
RY.PR.Z FixedReset Disc 26,956 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-12-30
Maturity Price : 17.36
Evaluated at bid price : 17.36
Bid-YTW : 7.90 %
TD.PF.L FixedReset Disc 26,211 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-12-30
Maturity Price : 23.20
Evaluated at bid price : 23.67
Bid-YTW : 7.00 %
GWO.PR.N FixedReset Ins Non 17,200 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-12-30
Maturity Price : 12.05
Evaluated at bid price : 12.05
Bid-YTW : 8.42 %
TD.PF.B FixedReset Disc 13,800 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-12-30
Maturity Price : 17.29
Evaluated at bid price : 17.29
Bid-YTW : 7.99 %
CM.PR.S FixedReset Disc 13,800 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-12-30
Maturity Price : 21.13
Evaluated at bid price : 21.13
Bid-YTW : 6.90 %
There were 5 other index-included issues trading in excess of 10,000 shares.
Wide Spread Highlights
Issue Index Quote Data and Yield Notes
IFC.PR.I Perpetual-Discount Quote: 20.50 – 22.18
Spot Rate : 1.6800
Average : 1.0976

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-12-30
Maturity Price : 20.50
Evaluated at bid price : 20.50
Bid-YTW : 6.64 %

BN.PF.F FixedReset Disc Quote: 16.40 – 17.75
Spot Rate : 1.3500
Average : 0.8089

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-12-30
Maturity Price : 16.40
Evaluated at bid price : 16.40
Bid-YTW : 9.14 %

RY.PR.S FixedReset Disc Quote: 19.65 – 20.55
Spot Rate : 0.9000
Average : 0.5747

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-12-30
Maturity Price : 19.65
Evaluated at bid price : 19.65
Bid-YTW : 7.34 %

BN.PF.I FixedReset Disc Quote: 22.50 – 23.40
Spot Rate : 0.9000
Average : 0.6167

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-12-30
Maturity Price : 22.02
Evaluated at bid price : 22.50
Bid-YTW : 7.48 %

TRP.PR.C FixedReset Disc Quote: 11.41 – 12.20
Spot Rate : 0.7900
Average : 0.5451

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-12-30
Maturity Price : 11.41
Evaluated at bid price : 11.41
Bid-YTW : 9.25 %

BN.PF.A FixedReset Disc Quote: 18.37 – 19.16
Spot Rate : 0.7900
Average : 0.5492

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-12-30
Maturity Price : 18.37
Evaluated at bid price : 18.37
Bid-YTW : 8.55 %

Market Action

December 29, 2022

HIMIPref™ Preferred Indices
These values reflect the December 2008 revision of the HIMIPref™ Indices

Values are provisional and are finalized monthly
Index Mean
Current
Yield
(at bid)
Median
YTW
Median
Average
Trading
Value
Median
Mod Dur
(YTW)
Issues Day’s Perf. Index Value
Ratchet 0.00 % 0.00 % 0 0.00 0 1.1905 % 2,450.7
FixedFloater 0.00 % 0.00 % 0 0.00 0 1.1905 % 4,700.3
Floater 8.85 % 8.93 % 52,143 10.46 2 1.1905 % 2,708.8
OpRet 0.00 % 0.00 % 0 0.00 0 0.4990 % 3,258.1
SplitShare 5.22 % 7.67 % 63,571 2.75 8 0.4990 % 3,890.9
Interest-Bearing 0.00 % 0.00 % 0 0.00 0 0.4990 % 3,035.8
Perpetual-Premium 0.00 % 0.00 % 0 0.00 0 0.1776 % 2,638.9
Perpetual-Discount 6.46 % 6.57 % 105,935 13.10 35 0.1776 % 2,877.6
FixedReset Disc 5.59 % 7.89 % 106,207 11.83 62 0.3798 % 2,150.6
Insurance Straight 6.41 % 6.55 % 120,280 13.17 20 0.2807 % 2,802.6
FloatingReset 10.28 % 9.94 % 36,838 9.60 2 -1.6471 % 2,374.9
FixedReset Prem 6.61 % 6.66 % 182,717 4.08 2 0.1988 % 2,377.1
FixedReset Bank Non 0.00 % 0.00 % 0 0.00 0 0.3798 % 2,198.3
FixedReset Ins Non 5.58 % 8.08 % 59,964 11.77 14 0.4270 % 2,249.7
Performance Highlights
Issue Index Change Notes
SLF.PR.J FloatingReset -3.43 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-12-29
Maturity Price : 14.64
Evaluated at bid price : 14.64
Bid-YTW : 9.94 %
BIP.PR.B FixedReset Disc -2.92 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-12-29
Maturity Price : 21.30
Evaluated at bid price : 21.60
Bid-YTW : 8.59 %
BN.PF.H FixedReset Disc -2.55 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-12-29
Maturity Price : 22.38
Evaluated at bid price : 22.90
Bid-YTW : 7.70 %
SLF.PR.G FixedReset Ins Non -1.78 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-12-29
Maturity Price : 12.67
Evaluated at bid price : 12.67
Bid-YTW : 8.43 %
CU.PR.I FixedReset Disc -1.42 % YTW SCENARIO
Maturity Type : Call
Maturity Date : 2025-12-01
Maturity Price : 25.00
Evaluated at bid price : 24.25
Bid-YTW : 5.79 %
BN.PR.Z FixedReset Disc -1.40 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-12-29
Maturity Price : 21.20
Evaluated at bid price : 21.20
Bid-YTW : 7.53 %
GWO.PR.L Insurance Straight -1.39 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-12-29
Maturity Price : 21.35
Evaluated at bid price : 21.35
Bid-YTW : 6.67 %
TD.PF.D FixedReset Disc -1.27 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-12-29
Maturity Price : 18.61
Evaluated at bid price : 18.61
Bid-YTW : 7.68 %
PVS.PR.G SplitShare -1.07 % YTW SCENARIO
Maturity Type : Option Certainty
Maturity Date : 2026-02-28
Maturity Price : 25.00
Evaluated at bid price : 23.10
Bid-YTW : 7.81 %
MFC.PR.J FixedReset Ins Non 1.02 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-12-29
Maturity Price : 19.75
Evaluated at bid price : 19.75
Bid-YTW : 7.66 %
NA.PR.E FixedReset Disc 1.07 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-12-29
Maturity Price : 19.90
Evaluated at bid price : 19.90
Bid-YTW : 7.58 %
NA.PR.G FixedReset Disc 1.10 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-12-29
Maturity Price : 21.15
Evaluated at bid price : 21.15
Bid-YTW : 7.31 %
CU.PR.J Perpetual-Discount 1.10 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-12-29
Maturity Price : 18.33
Evaluated at bid price : 18.33
Bid-YTW : 6.57 %
IFC.PR.F Insurance Straight 1.11 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-12-29
Maturity Price : 20.93
Evaluated at bid price : 20.93
Bid-YTW : 6.38 %
MFC.PR.I FixedReset Ins Non 1.13 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-12-29
Maturity Price : 21.92
Evaluated at bid price : 22.40
Bid-YTW : 6.92 %
PWF.PR.P FixedReset Disc 1.13 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-12-29
Maturity Price : 12.50
Evaluated at bid price : 12.50
Bid-YTW : 8.70 %
NA.PR.W FixedReset Disc 1.14 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-12-29
Maturity Price : 16.80
Evaluated at bid price : 16.80
Bid-YTW : 8.10 %
BN.PR.B Floater 1.19 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-12-29
Maturity Price : 12.75
Evaluated at bid price : 12.75
Bid-YTW : 8.93 %
BN.PR.K Floater 1.19 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-12-29
Maturity Price : 12.75
Evaluated at bid price : 12.75
Bid-YTW : 8.93 %
PVS.PR.K SplitShare 1.21 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2029-05-31
Maturity Price : 25.00
Evaluated at bid price : 20.85
Bid-YTW : 7.90 %
RY.PR.H FixedReset Disc 1.22 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-12-29
Maturity Price : 17.42
Evaluated at bid price : 17.42
Bid-YTW : 7.87 %
PWF.PR.F Perpetual-Discount 1.23 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-12-29
Maturity Price : 20.50
Evaluated at bid price : 20.50
Bid-YTW : 6.53 %
TRP.PR.C FixedReset Disc 1.25 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-12-29
Maturity Price : 11.30
Evaluated at bid price : 11.30
Bid-YTW : 9.42 %
NA.PR.S FixedReset Disc 1.31 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-12-29
Maturity Price : 17.75
Evaluated at bid price : 17.75
Bid-YTW : 8.03 %
BN.PF.F FixedReset Disc 1.42 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-12-29
Maturity Price : 16.43
Evaluated at bid price : 16.43
Bid-YTW : 9.12 %
CCS.PR.C Insurance Straight 1.49 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-12-29
Maturity Price : 19.10
Evaluated at bid price : 19.10
Bid-YTW : 6.60 %
BIP.PR.E FixedReset Disc 1.56 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-12-29
Maturity Price : 19.55
Evaluated at bid price : 19.55
Bid-YTW : 8.22 %
IAF.PR.B Insurance Straight 1.64 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-12-29
Maturity Price : 19.18
Evaluated at bid price : 19.18
Bid-YTW : 6.04 %
FTS.PR.M FixedReset Disc 1.66 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-12-29
Maturity Price : 16.50
Evaluated at bid price : 16.50
Bid-YTW : 8.58 %
RY.PR.Z FixedReset Disc 2.06 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-12-29
Maturity Price : 17.35
Evaluated at bid price : 17.35
Bid-YTW : 7.90 %
BN.PF.B FixedReset Disc 2.19 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-12-29
Maturity Price : 16.35
Evaluated at bid price : 16.35
Bid-YTW : 9.05 %
PVS.PR.J SplitShare 2.44 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2028-02-29
Maturity Price : 25.00
Evaluated at bid price : 21.00
Bid-YTW : 8.39 %
PWF.PR.T FixedReset Disc 2.76 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-12-29
Maturity Price : 17.90
Evaluated at bid price : 17.90
Bid-YTW : 8.02 %
PVS.PR.I SplitShare 3.10 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-10-31
Maturity Price : 25.00
Evaluated at bid price : 23.30
Bid-YTW : 7.62 %
IFC.PR.A FixedReset Ins Non 3.37 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-12-29
Maturity Price : 17.20
Evaluated at bid price : 17.20
Bid-YTW : 7.46 %
IFC.PR.C FixedReset Disc 16.79 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-12-29
Maturity Price : 16.35
Evaluated at bid price : 16.35
Bid-YTW : 8.23 %
Volume Highlights
Issue Index Shares
Traded
Notes
MFC.PR.I FixedReset Ins Non 48,500 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-12-29
Maturity Price : 21.92
Evaluated at bid price : 22.40
Bid-YTW : 6.92 %
PWF.PF.A Perpetual-Discount 41,253 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-12-29
Maturity Price : 17.58
Evaluated at bid price : 17.58
Bid-YTW : 6.53 %
IFC.PR.A FixedReset Ins Non 31,500 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-12-29
Maturity Price : 17.20
Evaluated at bid price : 17.20
Bid-YTW : 7.46 %
TRP.PR.F FloatingReset 23,100 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-12-29
Maturity Price : 14.62
Evaluated at bid price : 14.62
Bid-YTW : 10.85 %
GWO.PR.N FixedReset Ins Non 20,080 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-12-29
Maturity Price : 12.00
Evaluated at bid price : 12.00
Bid-YTW : 8.45 %
PWF.PR.F Perpetual-Discount 15,300 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-12-29
Maturity Price : 20.50
Evaluated at bid price : 20.50
Bid-YTW : 6.53 %
There were 9 other index-included issues trading in excess of 10,000 shares.
Wide Spread Highlights
Issue Index Quote Data and Yield Notes
MFC.PR.J FixedReset Ins Non Quote: 19.75 – 25.53
Spot Rate : 5.7800
Average : 3.1222

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-12-29
Maturity Price : 19.75
Evaluated at bid price : 19.75
Bid-YTW : 7.66 %

MFC.PR.N FixedReset Ins Non Quote: 16.61 – 22.30
Spot Rate : 5.6900
Average : 3.2641

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-12-29
Maturity Price : 16.61
Evaluated at bid price : 16.61
Bid-YTW : 8.15 %

MFC.PR.K FixedReset Ins Non Quote: 16.95 – 22.00
Spot Rate : 5.0500
Average : 2.6744

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-12-29
Maturity Price : 16.95
Evaluated at bid price : 16.95
Bid-YTW : 8.28 %

TD.PF.E FixedReset Disc Quote: 19.05 – 21.49
Spot Rate : 2.4400
Average : 1.3578

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-12-29
Maturity Price : 19.05
Evaluated at bid price : 19.05
Bid-YTW : 7.54 %

BN.PR.X FixedReset Disc Quote: 15.00 – 17.99
Spot Rate : 2.9900
Average : 2.0808

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-12-29
Maturity Price : 15.00
Evaluated at bid price : 15.00
Bid-YTW : 8.40 %

TRP.PR.D FixedReset Disc Quote: 15.28 – 16.90
Spot Rate : 1.6200
Average : 0.9457

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-12-29
Maturity Price : 15.28
Evaluated at bid price : 15.28
Bid-YTW : 9.31 %

Market Action

December 28, 2022

Bond yields popped up today:

The yield on the benchmark U.S. 10-year Treasury rose for a third straight day on Wednesday, reversing an earlier decline, as investors attempted to navigate the impact of China’s reopening policy on the path of interest rate hikes by the U.S. Federal Reserve.

While China has quickly reversed course on its previous “zero-COVID” policy this month, which is likely to benefit the global economy, the change has come with a surge in cases that could hamper the economy in the short-term.

The yield on 10-year Treasury notes was up 2.5 basis points to 3.883% after hitting a six-week high of 3.89%. On Tuesday, the 10-year jumped 11.1 basis points, its biggest one-day rise since Oct. 19.

Five year Canadas are now at 3.40%.

An op-ed in the Globe looked at Marginal Effective Tax Rates:

Parents across the country may be thinking about taking on an extra shift or an extra job to pay off bills from the holiday season or keep up with the rising costs of day-to-day items. What these hard working parents pocket from extra work not only depends on the taxes they pay on that additional income, but also on how much their income-tested government benefits such as the Canada Child Benefit or the Canada Workers Benefit will be reduced or “clawed back.”

In a recent C.D. Howe Institute study, we calculate the total impact of taxes and benefit clawbacks on families with children, giving us what we call “effective” tax rates. We found that parents in low-income families in particular face high effective tax rates. For instance, more than one-in-three face the prospect of bringing home less than 50 cents of every dollar they earn from extra work. High effective rates reduce the incentive to take on more work and get ahead.

They propose four different measures to address the issue:

  • Avoid Very High Rates by Better Integrating New Benefit Programs
  • Benefit Shields
  • Income Averaging
  • Childcare Subsidization

What’s a benefit shield? I’m glad you asked:

In 2016, the Quebec government, following through on a key recommendation from the 2015 Quebec Taxation Review Committee chaired by Luc Godbout, instituted a “benefit shield”11 partly compensating workers for the loss of certain income-tested tax credits – but only in the first year after they take on more work. On the assumption that work decisions are mostly influenced by short-term financial considerations, the shield approach enables governments to provide relief from high effective tax rates at a low fiscal cost (because relief is only offered for one year after taking on extra work) while maintaining the same level of generosity of targeted cash benefits.

More than 274,000 Quebecers took advantage of the shield in 2018, for a cost of only $49 million. Originally, the credit ceiling was set at $2,500 per worker, but has since been increased to $4,000 in successive budgets (CRFFP 2019).

However, I was disappointed by the absence of a Guaranteed Annual Income as a suggested policy measure.

PerpetualDiscounts now yield 6.60%, equivalent to 8.58% interest at the standard equivalency factor of 1.3x. Long corporates yielded 4.86% on 2022-12-16 and since then the closing price has changed from 15.46 to 14.67, a decline of 511bp in price, with a Duration of 12.42 (BMO doesn’t specify whether this is Macaulay or Modified Duration; I will assume Modified) which implies an increase in yield of about 41bp since 12/16 to 5.27%, so the pre-tax interest-equivalent spread (in this context, the “Seniority Spread”) has narrowed to 330bp from the 355bp reported December 21.

HIMIPref™ Preferred Indices
These values reflect the December 2008 revision of the HIMIPref™ Indices

Values are provisional and are finalized monthly
Index Mean
Current
Yield
(at bid)
Median
YTW
Median
Average
Trading
Value
Median
Mod Dur
(YTW)
Issues Day’s Perf. Index Value
Ratchet 0.00 % 0.00 % 0 0.00 0 0.8000 % 2,421.8
FixedFloater 0.00 % 0.00 % 0 0.00 0 0.8000 % 4,645.0
Floater 8.96 % 9.04 % 52,713 10.37 2 0.8000 % 2,677.0
OpRet 0.00 % 0.00 % 0 0.00 0 0.2571 % 3,241.9
SplitShare 5.25 % 7.60 % 64,607 2.71 8 0.2571 % 3,871.6
Interest-Bearing 0.00 % 0.00 % 0 0.00 0 0.2571 % 3,020.7
Perpetual-Premium 0.00 % 0.00 % 0 0.00 0 -0.4941 % 2,634.3
Perpetual-Discount 6.47 % 6.60 % 109,769 13.03 35 -0.4941 % 2,872.5
FixedReset Disc 5.61 % 7.91 % 108,602 11.74 62 -0.2069 % 2,142.4
Insurance Straight 6.43 % 6.55 % 121,443 13.17 20 -0.2256 % 2,794.8
FloatingReset 10.11 % 9.59 % 38,405 9.89 2 -0.8664 % 2,414.7
FixedReset Prem 6.62 % 6.69 % 189,201 4.08 2 -0.0596 % 2,372.4
FixedReset Bank Non 0.00 % 0.00 % 0 0.00 0 -0.2069 % 2,190.0
FixedReset Ins Non 5.61 % 8.12 % 57,027 11.69 14 -0.1815 % 2,240.1
Performance Highlights
Issue Index Change Notes
IFC.PR.C FixedReset Disc -15.15 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-12-28
Maturity Price : 14.00
Evaluated at bid price : 14.00
Bid-YTW : 9.51 %
PVS.PR.I SplitShare -3.00 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-10-31
Maturity Price : 25.00
Evaluated at bid price : 22.60
Bid-YTW : 8.80 %
TRP.PR.C FixedReset Disc -2.45 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-12-28
Maturity Price : 11.16
Evaluated at bid price : 11.16
Bid-YTW : 9.53 %
TRP.PR.B FixedReset Disc -2.20 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-12-28
Maturity Price : 10.65
Evaluated at bid price : 10.65
Bid-YTW : 9.61 %
SLF.PR.E Insurance Straight -2.17 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-12-28
Maturity Price : 18.00
Evaluated at bid price : 18.00
Bid-YTW : 6.30 %
CCS.PR.C Insurance Straight -2.03 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-12-28
Maturity Price : 18.82
Evaluated at bid price : 18.82
Bid-YTW : 6.69 %
CU.PR.J Perpetual-Discount -2.00 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-12-28
Maturity Price : 18.13
Evaluated at bid price : 18.13
Bid-YTW : 6.64 %
RY.PR.J FixedReset Disc -1.86 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-12-28
Maturity Price : 18.50
Evaluated at bid price : 18.50
Bid-YTW : 7.70 %
BN.PF.B FixedReset Disc -1.84 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-12-28
Maturity Price : 16.00
Evaluated at bid price : 16.00
Bid-YTW : 9.25 %
TRP.PR.F FloatingReset -1.75 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-12-28
Maturity Price : 14.59
Evaluated at bid price : 14.59
Bid-YTW : 10.87 %
BN.PF.E FixedReset Disc -1.75 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-12-28
Maturity Price : 14.60
Evaluated at bid price : 14.60
Bid-YTW : 9.51 %
PWF.PF.A Perpetual-Discount -1.74 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-12-28
Maturity Price : 17.55
Evaluated at bid price : 17.55
Bid-YTW : 6.54 %
TRP.PR.G FixedReset Disc -1.71 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-12-28
Maturity Price : 16.05
Evaluated at bid price : 16.05
Bid-YTW : 8.87 %
IFC.PR.K Perpetual-Discount -1.71 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-12-28
Maturity Price : 20.69
Evaluated at bid price : 20.69
Bid-YTW : 6.39 %
BN.PF.A FixedReset Disc -1.67 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-12-28
Maturity Price : 18.26
Evaluated at bid price : 18.26
Bid-YTW : 8.59 %
RY.PR.O Perpetual-Discount -1.64 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-12-28
Maturity Price : 21.00
Evaluated at bid price : 21.00
Bid-YTW : 5.91 %
BN.PR.N Perpetual-Discount -1.63 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-12-28
Maturity Price : 17.48
Evaluated at bid price : 17.48
Bid-YTW : 6.85 %
MFC.PR.B Insurance Straight -1.60 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-12-28
Maturity Price : 18.50
Evaluated at bid price : 18.50
Bid-YTW : 6.35 %
SLF.PR.C Insurance Straight -1.58 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-12-28
Maturity Price : 18.01
Evaluated at bid price : 18.01
Bid-YTW : 6.22 %
RY.PR.N Perpetual-Discount -1.50 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-12-28
Maturity Price : 21.03
Evaluated at bid price : 21.03
Bid-YTW : 5.91 %
CIU.PR.A Perpetual-Discount -1.45 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-12-28
Maturity Price : 17.64
Evaluated at bid price : 17.64
Bid-YTW : 6.61 %
SLF.PR.D Insurance Straight -1.38 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-12-28
Maturity Price : 17.92
Evaluated at bid price : 17.92
Bid-YTW : 6.25 %
FTS.PR.M FixedReset Disc -1.34 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-12-28
Maturity Price : 16.23
Evaluated at bid price : 16.23
Bid-YTW : 8.72 %
BMO.PR.F FixedReset Disc -1.26 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-12-28
Maturity Price : 23.00
Evaluated at bid price : 23.45
Bid-YTW : 7.25 %
CM.PR.P FixedReset Disc -1.23 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-12-28
Maturity Price : 16.80
Evaluated at bid price : 16.80
Bid-YTW : 7.96 %
CU.PR.H Perpetual-Discount -1.20 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-12-28
Maturity Price : 20.60
Evaluated at bid price : 20.60
Bid-YTW : 6.46 %
TRP.PR.E FixedReset Disc -1.14 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-12-28
Maturity Price : 14.73
Evaluated at bid price : 14.73
Bid-YTW : 9.43 %
MFC.PR.C Insurance Straight -1.09 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-12-28
Maturity Price : 18.10
Evaluated at bid price : 18.10
Bid-YTW : 6.28 %
TD.PF.E FixedReset Disc -1.09 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-12-28
Maturity Price : 19.04
Evaluated at bid price : 19.04
Bid-YTW : 7.54 %
BN.PR.R FixedReset Disc -1.08 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-12-28
Maturity Price : 13.75
Evaluated at bid price : 13.75
Bid-YTW : 9.20 %
MFC.PR.L FixedReset Ins Non -1.05 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-12-28
Maturity Price : 16.03
Evaluated at bid price : 16.03
Bid-YTW : 8.44 %
BN.PF.D Perpetual-Discount -1.04 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-12-28
Maturity Price : 18.06
Evaluated at bid price : 18.06
Bid-YTW : 6.84 %
POW.PR.A Perpetual-Discount -1.02 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-12-28
Maturity Price : 21.38
Evaluated at bid price : 21.38
Bid-YTW : 6.58 %
IAF.PR.B Insurance Straight 1.02 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-12-28
Maturity Price : 18.87
Evaluated at bid price : 18.87
Bid-YTW : 6.14 %
CU.PR.I FixedReset Disc 1.03 % YTW SCENARIO
Maturity Type : Call
Maturity Date : 2025-12-01
Maturity Price : 25.00
Evaluated at bid price : 24.60
Bid-YTW : 5.25 %
PVS.PR.F SplitShare 1.04 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2024-09-30
Maturity Price : 25.00
Evaluated at bid price : 24.30
Bid-YTW : 6.72 %
BN.PF.J FixedReset Disc 1.49 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-12-28
Maturity Price : 21.98
Evaluated at bid price : 22.50
Bid-YTW : 7.22 %
PVS.PR.H SplitShare 1.85 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2027-02-28
Maturity Price : 25.00
Evaluated at bid price : 22.00
Bid-YTW : 8.29 %
NA.PR.E FixedReset Disc 2.02 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-12-28
Maturity Price : 19.69
Evaluated at bid price : 19.69
Bid-YTW : 7.66 %
CM.PR.S FixedReset Disc 2.44 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-12-28
Maturity Price : 20.60
Evaluated at bid price : 20.60
Bid-YTW : 7.08 %
PVS.PR.G SplitShare 2.64 % YTW SCENARIO
Maturity Type : Option Certainty
Maturity Date : 2026-02-28
Maturity Price : 25.00
Evaluated at bid price : 23.35
Bid-YTW : 7.42 %
BN.PF.I FixedReset Disc 2.91 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-12-28
Maturity Price : 22.08
Evaluated at bid price : 22.60
Bid-YTW : 7.45 %
BN.PR.X FixedReset Disc 4.34 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-12-28
Maturity Price : 15.14
Evaluated at bid price : 15.14
Bid-YTW : 8.32 %
IFC.PR.F Insurance Straight 4.70 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-12-28
Maturity Price : 20.70
Evaluated at bid price : 20.70
Bid-YTW : 6.45 %
BN.PF.H FixedReset Disc 5.76 % YTW SCENARIO
Maturity Type : Call
Maturity Date : 2025-12-31
Maturity Price : 25.00
Evaluated at bid price : 23.50
Bid-YTW : 7.29 %
Volume Highlights
Issue Index Shares
Traded
Notes
RY.PR.Z FixedReset Disc 55,300 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-12-28
Maturity Price : 17.00
Evaluated at bid price : 17.00
Bid-YTW : 8.06 %
TRP.PR.E FixedReset Disc 51,950 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-12-28
Maturity Price : 14.73
Evaluated at bid price : 14.73
Bid-YTW : 9.43 %
IFC.PR.A FixedReset Ins Non 49,031 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-12-28
Maturity Price : 16.64
Evaluated at bid price : 16.64
Bid-YTW : 7.71 %
TRP.PR.A FixedReset Disc 38,064 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-12-28
Maturity Price : 13.59
Evaluated at bid price : 13.59
Bid-YTW : 9.30 %
GWO.PR.Y Insurance Straight 36,100 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-12-28
Maturity Price : 17.71
Evaluated at bid price : 17.71
Bid-YTW : 6.40 %
FTS.PR.M FixedReset Disc 34,086 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-12-28
Maturity Price : 16.23
Evaluated at bid price : 16.23
Bid-YTW : 8.72 %
There were 32 other index-included issues trading in excess of 10,000 shares.
Wide Spread Highlights
Issue Index Quote Data and Yield Notes
IFC.PR.C FixedReset Disc Quote: 14.00 – 16.51
Spot Rate : 2.5100
Average : 1.8493

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-12-28
Maturity Price : 14.00
Evaluated at bid price : 14.00
Bid-YTW : 9.51 %

PVS.PR.K SplitShare Quote: 20.60 – 21.80
Spot Rate : 1.2000
Average : 0.8346

YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2029-05-31
Maturity Price : 25.00
Evaluated at bid price : 20.60
Bid-YTW : 8.12 %

PVS.PR.I SplitShare Quote: 22.60 – 23.80
Spot Rate : 1.2000
Average : 0.8834

YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-10-31
Maturity Price : 25.00
Evaluated at bid price : 22.60
Bid-YTW : 8.80 %

BMO.PR.F FixedReset Disc Quote: 23.45 – 24.32
Spot Rate : 0.8700
Average : 0.5589

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-12-28
Maturity Price : 23.00
Evaluated at bid price : 23.45
Bid-YTW : 7.25 %

EIT.PR.A SplitShare Quote: 24.26 – 25.10
Spot Rate : 0.8400
Average : 0.5333

YTW SCENARIO
Maturity Type : Soft Maturity
Maturity Date : 2024-03-14
Maturity Price : 25.00
Evaluated at bid price : 24.26
Bid-YTW : 7.60 %

PVS.PR.H SplitShare Quote: 22.00 – 23.00
Spot Rate : 1.0000
Average : 0.7020

YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2027-02-28
Maturity Price : 25.00
Evaluated at bid price : 22.00
Bid-YTW : 8.29 %

Market Action

December 23, 2022

Yields popped up again:

U.S. Treasury yields rose on Friday after data showed that personal income rose more than expected in November while inflation data for October was revised upward, supporting the view that the Federal Reserve will continue to hike rates as it battles stubbornly high price pressures.

Personal income rose by 0.4% in the month, beating economists’ expectations for a 0.3% gain.

The personal consumption expenditures (PCE) price index rose 0.1% last month and its October gain was revised upward to 0.4%, from 0.3%. In the 12 months through November, the PCE price index increased 5.5% after advancing 6.1% in October.

Consumer spending, which accounts for more than two-thirds of U.S. economic activity, also edged up 0.1% in November, while data for October was revised upward to show spending surging 0.9% instead of 0.8% as previously reported.

Other data on Friday showed that U.S. consumers expect price pressures to moderate notably in the next year, with a benchmark survey on Friday showing their one-year inflation outlook dropping to the lowest in 18 months in December.

Benchmark 10-year yields rose 9 basis points to 3.749%, and two-year yields gained 7 basis points to 4.330%.

Merry Christmas, everybody!

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 0.0000 % 2,402.6
FixedFloater 0.00 % 0.00 % 0 0.00 0 0.0000 % 4,608.2
Floater 9.03 % 9.10 % 51,459 10.32 2 0.0000 % 2,655.7
OpRet 0.00 % 0.00 % 0 0.00 0 -0.1931 % 3,233.6
SplitShare 5.26 % 7.75 % 63,119 2.72 8 -0.1931 % 3,861.6
Interest-Bearing 0.00 % 0.00 % 0 0.00 0 -0.1931 % 3,013.0
Perpetual-Premium 0.00 % 0.00 % 0 0.00 0 0.1957 % 2,647.3
Perpetual-Discount 6.44 % 6.57 % 109,787 13.16 35 0.1957 % 2,886.8
FixedReset Disc 5.60 % 7.79 % 102,713 11.93 62 -0.2092 % 2,146.9
Insurance Straight 6.41 % 6.55 % 121,013 13.16 20 -0.7183 % 2,801.1
FloatingReset 10.00 % 9.56 % 37,038 9.92 2 0.4015 % 2,435.8
FixedReset Prem 6.62 % 6.66 % 191,667 12.61 2 -0.0199 % 2,373.8
FixedReset Bank Non 0.00 % 0.00 % 0 0.00 0 -0.2092 % 2,194.5
FixedReset Ins Non 5.60 % 7.97 % 57,419 11.84 14 0.2157 % 2,244.2
Performance Highlights
Issue Index Change Notes
IFC.PR.F Insurance Straight -5.41 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-12-23
Maturity Price : 19.77
Evaluated at bid price : 19.77
Bid-YTW : 6.75 %
BN.PF.H FixedReset Disc -4.02 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-12-23
Maturity Price : 21.91
Evaluated at bid price : 22.22
Bid-YTW : 7.84 %
BN.PR.X FixedReset Disc -3.91 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-12-23
Maturity Price : 14.51
Evaluated at bid price : 14.51
Bid-YTW : 8.55 %
TRP.PR.E FixedReset Disc -2.61 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-12-23
Maturity Price : 14.90
Evaluated at bid price : 14.90
Bid-YTW : 9.17 %
IAF.PR.B Insurance Straight -2.61 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-12-23
Maturity Price : 18.68
Evaluated at bid price : 18.68
Bid-YTW : 6.19 %
TRP.PR.G FixedReset Disc -2.22 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-12-23
Maturity Price : 16.33
Evaluated at bid price : 16.33
Bid-YTW : 8.61 %
MFC.PR.B Insurance Straight -2.08 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-12-23
Maturity Price : 18.80
Evaluated at bid price : 18.80
Bid-YTW : 6.24 %
MFC.PR.C Insurance Straight -1.93 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-12-23
Maturity Price : 18.30
Evaluated at bid price : 18.30
Bid-YTW : 6.20 %
BN.PF.J FixedReset Disc -1.69 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-12-23
Maturity Price : 21.76
Evaluated at bid price : 22.17
Bid-YTW : 7.21 %
TRP.PR.D FixedReset Disc -1.60 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-12-23
Maturity Price : 15.40
Evaluated at bid price : 15.40
Bid-YTW : 9.07 %
BN.PF.B FixedReset Disc -1.51 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-12-23
Maturity Price : 16.30
Evaluated at bid price : 16.30
Bid-YTW : 8.92 %
CCS.PR.C Insurance Straight -1.49 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-12-23
Maturity Price : 19.21
Evaluated at bid price : 19.21
Bid-YTW : 6.55 %
TRP.PR.A FixedReset Disc -1.44 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-12-23
Maturity Price : 13.68
Evaluated at bid price : 13.68
Bid-YTW : 9.08 %
TRP.PR.C FixedReset Disc -1.38 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-12-23
Maturity Price : 11.44
Evaluated at bid price : 11.44
Bid-YTW : 9.15 %
PVS.PR.H SplitShare -1.14 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2027-02-28
Maturity Price : 25.00
Evaluated at bid price : 21.60
Bid-YTW : 8.77 %
FTS.PR.K FixedReset Disc -1.03 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-12-23
Maturity Price : 15.38
Evaluated at bid price : 15.38
Bid-YTW : 8.59 %
GWO.PR.Y Insurance Straight 1.03 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-12-23
Maturity Price : 17.70
Evaluated at bid price : 17.70
Bid-YTW : 6.40 %
BN.PF.G FixedReset Disc 1.05 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-12-23
Maturity Price : 15.40
Evaluated at bid price : 15.40
Bid-YTW : 9.09 %
PVS.PR.J SplitShare 1.23 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2028-02-29
Maturity Price : 25.00
Evaluated at bid price : 20.50
Bid-YTW : 8.91 %
NA.PR.S FixedReset Disc 1.44 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-12-23
Maturity Price : 17.65
Evaluated at bid price : 17.65
Bid-YTW : 7.94 %
SLF.PR.J FloatingReset 1.47 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-12-23
Maturity Price : 15.16
Evaluated at bid price : 15.16
Bid-YTW : 9.56 %
POW.PR.G Perpetual-Discount 1.52 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-12-23
Maturity Price : 21.35
Evaluated at bid price : 21.35
Bid-YTW : 6.58 %
BN.PR.R FixedReset Disc 1.53 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-12-23
Maturity Price : 13.90
Evaluated at bid price : 13.90
Bid-YTW : 8.97 %
MFC.PR.M FixedReset Ins Non 1.55 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-12-23
Maturity Price : 17.00
Evaluated at bid price : 17.00
Bid-YTW : 7.99 %
IFC.PR.K Perpetual-Discount 1.69 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-12-23
Maturity Price : 21.05
Evaluated at bid price : 21.05
Bid-YTW : 6.27 %
PWF.PF.A Perpetual-Discount 2.06 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-12-23
Maturity Price : 17.86
Evaluated at bid price : 17.86
Bid-YTW : 6.42 %
BN.PR.Z FixedReset Disc 2.14 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-12-23
Maturity Price : 21.45
Evaluated at bid price : 21.45
Bid-YTW : 7.31 %
IFC.PR.C FixedReset Disc 3.13 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-12-23
Maturity Price : 16.50
Evaluated at bid price : 16.50
Bid-YTW : 8.05 %
Volume Highlights
Issue Index Shares
Traded
Notes
GWO.PR.L Insurance Straight 27,325 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-12-23
Maturity Price : 21.45
Evaluated at bid price : 21.45
Bid-YTW : 6.63 %
TRP.PR.E FixedReset Disc 18,952 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-12-23
Maturity Price : 14.90
Evaluated at bid price : 14.90
Bid-YTW : 9.17 %
GWO.PR.Y Insurance Straight 17,500 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-12-23
Maturity Price : 17.70
Evaluated at bid price : 17.70
Bid-YTW : 6.40 %
GWO.PR.R Insurance Straight 16,900 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-12-23
Maturity Price : 18.39
Evaluated at bid price : 18.39
Bid-YTW : 6.57 %
IFC.PR.A FixedReset Ins Non 16,700 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-12-23
Maturity Price : 16.75
Evaluated at bid price : 16.75
Bid-YTW : 7.50 %
CM.PR.Y FixedReset Disc 15,000 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-12-23
Maturity Price : 23.83
Evaluated at bid price : 24.20
Bid-YTW : 6.91 %
There were 16 other index-included issues trading in excess of 10,000 shares.
Wide Spread Highlights
Issue Index Quote Data and Yield Notes
TRP.PR.G FixedReset Disc Quote: 16.33 – 24.62
Spot Rate : 8.2900
Average : 4.4554

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-12-23
Maturity Price : 16.33
Evaluated at bid price : 16.33
Bid-YTW : 8.61 %

PWF.PR.G Perpetual-Discount Quote: 22.85 – 24.60
Spot Rate : 1.7500
Average : 1.0414

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-12-23
Maturity Price : 22.60
Evaluated at bid price : 22.85
Bid-YTW : 6.57 %

BN.PF.H FixedReset Disc Quote: 22.22 – 23.75
Spot Rate : 1.5300
Average : 0.9089

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-12-23
Maturity Price : 21.91
Evaluated at bid price : 22.22
Bid-YTW : 7.84 %

IFC.PR.F Insurance Straight Quote: 19.77 – 21.20
Spot Rate : 1.4300
Average : 0.8689

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-12-23
Maturity Price : 19.77
Evaluated at bid price : 19.77
Bid-YTW : 6.75 %

BN.PF.G FixedReset Disc Quote: 15.40 – 16.60
Spot Rate : 1.2000
Average : 0.7136

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-12-23
Maturity Price : 15.40
Evaluated at bid price : 15.40
Bid-YTW : 9.09 %

BN.PF.J FixedReset Disc Quote: 22.17 – 23.10
Spot Rate : 0.9300
Average : 0.5697

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-12-23
Maturity Price : 21.76
Evaluated at bid price : 22.17
Bid-YTW : 7.21 %

Market Action

December 22, 2022

HIMIPref™ Preferred Indices
These values reflect the December 2008 revision of the HIMIPref™ Indices

Values are provisional and are finalized monthly
Index Mean
Current
Yield
(at bid)
Median
YTW
Median
Average
Trading
Value
Median
Mod Dur
(YTW)
Issues Day’s Perf. Index Value
Ratchet 0.00 % 0.00 % 0 0.00 0 1.0101 % 2,402.6
FixedFloater 0.00 % 0.00 % 0 0.00 0 1.0101 % 4,608.2
Floater 9.03 % 9.10 % 51,814 10.33 2 1.0101 % 2,655.7
OpRet 0.00 % 0.00 % 0 0.00 0 0.0221 % 3,239.9
SplitShare 5.25 % 7.74 % 63,361 2.73 8 0.0221 % 3,869.1
Interest-Bearing 0.00 % 0.00 % 0 0.00 0 0.0221 % 3,018.8
Perpetual-Premium 0.00 % 0.00 % 0 0.00 0 -0.2169 % 2,642.2
Perpetual-Discount 6.45 % 6.55 % 111,466 13.07 35 -0.2169 % 2,881.2
FixedReset Disc 5.58 % 7.45 % 102,550 12.26 62 0.2785 % 2,151.4
Insurance Straight 6.37 % 6.46 % 117,626 13.30 20 0.4240 % 2,821.4
FloatingReset 9.91 % 10.43 % 43,621 9.24 2 -0.3999 % 2,426.0
FixedReset Prem 6.62 % 6.45 % 198,321 12.78 2 -0.2180 % 2,374.3
FixedReset Bank Non 0.00 % 0.00 % 0 0.00 0 0.2785 % 2,199.1
FixedReset Ins Non 5.61 % 7.61 % 59,638 12.28 14 -0.0465 % 2,239.4
Performance Highlights
Issue Index Change Notes
PVS.PR.J SplitShare -2.13 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2028-02-29
Maturity Price : 25.00
Evaluated at bid price : 20.25
Bid-YTW : 9.18 %
POW.PR.G Perpetual-Discount -2.02 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-12-22
Maturity Price : 21.03
Evaluated at bid price : 21.03
Bid-YTW : 6.68 %
BN.PR.Z FixedReset Disc -1.50 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-12-22
Maturity Price : 21.00
Evaluated at bid price : 21.00
Bid-YTW : 7.12 %
POW.PR.D Perpetual-Discount -1.17 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-12-22
Maturity Price : 18.98
Evaluated at bid price : 18.98
Bid-YTW : 6.61 %
TD.PF.D FixedReset Disc -1.16 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-12-22
Maturity Price : 18.75
Evaluated at bid price : 18.75
Bid-YTW : 7.20 %
MFC.PR.M FixedReset Ins Non -1.06 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-12-22
Maturity Price : 16.74
Evaluated at bid price : 16.74
Bid-YTW : 7.74 %
RY.PR.J FixedReset Disc 1.08 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-12-22
Maturity Price : 18.70
Evaluated at bid price : 18.70
Bid-YTW : 7.19 %
FTS.PR.G FixedReset Disc 1.13 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-12-22
Maturity Price : 16.94
Evaluated at bid price : 16.94
Bid-YTW : 7.61 %
BN.PR.B Floater 1.21 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-12-22
Maturity Price : 12.50
Evaluated at bid price : 12.50
Bid-YTW : 9.10 %
TRP.PR.A FixedReset Disc 1.24 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-12-22
Maturity Price : 13.88
Evaluated at bid price : 13.88
Bid-YTW : 8.52 %
TRP.PR.E FixedReset Disc 1.32 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-12-22
Maturity Price : 15.30
Evaluated at bid price : 15.30
Bid-YTW : 8.52 %
TD.PF.B FixedReset Disc 1.34 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-12-22
Maturity Price : 17.35
Evaluated at bid price : 17.35
Bid-YTW : 7.45 %
BN.PF.A FixedReset Disc 1.37 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-12-22
Maturity Price : 18.53
Evaluated at bid price : 18.53
Bid-YTW : 7.95 %
CU.PR.F Perpetual-Discount 1.43 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-12-22
Maturity Price : 17.75
Evaluated at bid price : 17.75
Bid-YTW : 6.42 %
CU.PR.H Perpetual-Discount 1.46 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-12-22
Maturity Price : 20.80
Evaluated at bid price : 20.80
Bid-YTW : 6.39 %
FTS.PR.K FixedReset Disc 1.50 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-12-22
Maturity Price : 15.54
Evaluated at bid price : 15.54
Bid-YTW : 8.06 %
TRP.PR.G FixedReset Disc 1.58 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-12-22
Maturity Price : 16.70
Evaluated at bid price : 16.70
Bid-YTW : 8.11 %
IFC.PR.C FixedReset Disc 1.59 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-12-22
Maturity Price : 16.00
Evaluated at bid price : 16.00
Bid-YTW : 7.97 %
IAF.PR.B Insurance Straight 1.59 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-12-22
Maturity Price : 19.18
Evaluated at bid price : 19.18
Bid-YTW : 6.03 %
CU.PR.I FixedReset Disc 1.67 % YTW SCENARIO
Maturity Type : Call
Maturity Date : 2025-12-01
Maturity Price : 25.00
Evaluated at bid price : 24.30
Bid-YTW : 5.67 %
BN.PF.B FixedReset Disc 1.85 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-12-22
Maturity Price : 16.55
Evaluated at bid price : 16.55
Bid-YTW : 8.39 %
PVS.PR.H SplitShare 1.86 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2027-02-28
Maturity Price : 25.00
Evaluated at bid price : 21.85
Bid-YTW : 8.44 %
MFC.PR.B Insurance Straight 2.73 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-12-22
Maturity Price : 19.20
Evaluated at bid price : 19.20
Bid-YTW : 6.11 %
MFC.PR.C Insurance Straight 2.81 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-12-22
Maturity Price : 18.66
Evaluated at bid price : 18.66
Bid-YTW : 6.08 %
Volume Highlights
Issue Index Shares
Traded
Notes
SLF.PR.C Insurance Straight 47,570 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-12-22
Maturity Price : 18.29
Evaluated at bid price : 18.29
Bid-YTW : 6.12 %
RY.PR.J FixedReset Disc 33,011 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-12-22
Maturity Price : 18.70
Evaluated at bid price : 18.70
Bid-YTW : 7.19 %
SLF.PR.D Insurance Straight 28,770 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-12-22
Maturity Price : 18.31
Evaluated at bid price : 18.31
Bid-YTW : 6.11 %
TD.PF.B FixedReset Disc 26,000 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-12-22
Maturity Price : 17.35
Evaluated at bid price : 17.35
Bid-YTW : 7.45 %
BN.PR.Z FixedReset Disc 24,900 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-12-22
Maturity Price : 21.00
Evaluated at bid price : 21.00
Bid-YTW : 7.12 %
TD.PF.I FixedReset Prem 21,500 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-12-22
Maturity Price : 23.10
Evaluated at bid price : 24.78
Bid-YTW : 6.17 %
There were 25 other index-included issues trading in excess of 10,000 shares.
Wide Spread Highlights
Issue Index Quote Data and Yield Notes
BN.PF.B FixedReset Disc Quote: 16.55 – 17.90
Spot Rate : 1.3500
Average : 0.7966

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-12-22
Maturity Price : 16.55
Evaluated at bid price : 16.55
Bid-YTW : 8.39 %

BIP.PR.A FixedReset Disc Quote: 16.75 – 18.12
Spot Rate : 1.3700
Average : 0.8369

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-12-22
Maturity Price : 16.75
Evaluated at bid price : 16.75
Bid-YTW : 9.09 %

IFC.PR.K Perpetual-Discount Quote: 20.70 – 21.70
Spot Rate : 1.0000
Average : 0.6564

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-12-22
Maturity Price : 20.70
Evaluated at bid price : 20.70
Bid-YTW : 6.38 %

BNS.PR.I FixedReset Disc Quote: 20.00 – 20.99
Spot Rate : 0.9900
Average : 0.6997

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-12-22
Maturity Price : 20.00
Evaluated at bid price : 20.00
Bid-YTW : 6.85 %

CM.PR.S FixedReset Disc Quote: 20.30 – 21.00
Spot Rate : 0.7000
Average : 0.4369

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-12-22
Maturity Price : 20.30
Evaluated at bid price : 20.30
Bid-YTW : 6.80 %

POW.PR.G Perpetual-Discount Quote: 21.03 – 21.70
Spot Rate : 0.6700
Average : 0.4555

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-12-22
Maturity Price : 21.03
Evaluated at bid price : 21.03
Bid-YTW : 6.68 %

Issue Comments

BN.PR.Z , BN.PF.J : No Conversion To FloatingReset

Brookfield Corporation has announced:

that after having taken into account all election notices received by the deadline for the conversion of its Cumulative Class A Preference Shares, Series 30 (the “Series 30 Shares”)(TSX: BN.PR.Z) into Cumulative Class A Preference Shares, Series 31 (the “Series 31 Shares”) and for the conversion of its Cumulative Class A Preference Shares, Series 48 (the “Series 48 Shares”) (TSX: BN.PF.J) into Cumulative Class A Preference Shares, Series 49 (the “Series 49 Shares”), there were 92,379 Series 30 Shares and 39,620 Series 48 Shares tendered for conversion, which is less than the one million shares required to give effect to conversions into Series 31 Shares and Series 49 Shares, respectively. Accordingly, there will be no conversion of Series 30 Shares into Series 31 Shares, nor of Series 48 Shares into Series 49 Shares and holders of Series 30 Shares and of Series 48 Shares will retain their Series 30 Shares and Series 48 Shares, respectively.

BAM.PF.J was issued as a FixedReset, 4.75%+310M475, that commenced trading 2017-9-13 after being announced 2017-09-06. The ticker changed to BN.PF.J in December, 2022. BN.PF.J will reset at 6.229% effective 2023-1-1; I recommended conversion.

BAM.PR.Z was issued as a FixedReset, 4.80%+296, that commenced trading 2011-11-2 after being announced 2011-10-24. BAM.PR.Z reset to 4.685% effective 2018-1-1; I recommended against conversion; and there was no conversion. The ticker changed to BN.PR.Z in December, 2022. BN.PR.Z will reset at 6.089% effective 2023-1-1; I recommended conversion.

Issue Comments

BPO.PR.I : No Conversion To FloatingReset

Brookfield Office Properties Inc. (“Brookfield”), a subsidiary of Brookfield Property Partners L.P., has announced:

that after having taken into account all election notices received by the December 16, 2022 deadline for the conversion of the Class AAA Preference Shares, Series II (the “Series II Shares”) (TSX: BPO.PR.I) into Class AAA Preference Shares, Series JJ (the “Series JJ Shares”), the holders of Series II Shares are not entitled to convert their Series II Shares into Series JJ Shares. There were 142,807 Series II Shares tendered for conversion, which is less than the one million shares required to give effect to conversion into Series JJ Shares.

The Series II Shares will pay on a quarterly basis, for the five-year period beginning on January 1, 2023, as and when declared by the board of directors of Brookfield, a fixed dividend based on an annual dividend rate of 6.359% ($0.397438 per share per quarter).

BPO.PR.I was issued as a FixedReset, 4.85%+323M485, that commenced trading 2017-12-7 after being announced 2017-11-29. BPO.PR.I will reset at 6.359% effective 2023-1-1; I recommended conversion.

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