August 16, 2022

August 16th, 2022

Canadian inflation came in as expected:

Canada’s annual inflation rate slowed to 7.6% in July, a two month low but still far above the Bank of Canada’s 2% target, as gasoline prices eased even though food prices rose at a 40-year high, Statistics Canada data showed on Tuesday.

The headline number matched analyst forecasts and was down from 8.1% in June. On a month-over-month basis, the index rose 0.1%, again matching forecasts.

CPI common, which the central bank says is the best gauge of the economy’s performance, was at 5.5%, while June’s CPI common was revised sharply up to 5.3%. CPI median edged up to 5.0% in July, while CPI trim eased slightly to 5.4%.

Gasoline prices rose 35.6% in July on an annual basis, slowing from a 54.6% increase in June. Gas prices fell 9.2% in July from June, the largest monthly decline since April 2020.

Grocery prices increased by 9.9% in July, the largest gain since August 1981 and up from 9.4% in June, as the cost of everyday staples such as baked goods and eggs accelerated.

… but the market reacted anyway:

The Canadian dollar strengthened against its U.S. counterpart on Tuesday as investors raised bets on another oversized interest rate hike by the Bank of Canada next month after domestic data showed rising underlying inflation pressures.
….
Money markets were pricing in 59 basis points of tightening by the central bank at its next policy announcement on Sept. 7, up from 53 basis points before the data. In July, the BoC hiked by a full percentage point.

The Canadian dollar was trading 0.5% higher at 1.2840 to the greenback, or 77.60 U.S. cents, clawing back some of the previous day’s sharp decline that came as the U.S. dollar broadly rallied. It traded in a range of 1.2832 to 1.2928.

Canadian government bond yields jumped across a flatter curve.

The 2-year touched its highest since July 14 at 3.372% before dipping to 3.336%, up 12.7 basis points on the day, while the 10-year was up 8 basis points at 2.775%.

Tiff Macklem wrote in the Financial Post:

The best way to protect people from high inflation is to eliminate it. That’s our job, and we are determined to do it. Tuesday’s inflation number offers a bit of relief, but unfortunately, it will take some time before inflation is back to normal. We know our job is not done yet — it won’t be done until inflation gets back to the two per cent target.

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 0.1157 % 2,494.9
FixedFloater 0.00 % 0.00 % 0 0.00 0 0.1157 % 4,785.1
Floater 6.34 % 6.43 % 56,124 13.22 2 0.1157 % 2,757.7
OpRet 0.00 % 0.00 % 0 0.00 0 -0.0744 % 3,480.4
SplitShare 4.89 % 5.67 % 41,129 3.06 8 -0.0744 % 4,156.3
Interest-Bearing 0.00 % 0.00 % 0 0.00 0 -0.0744 % 3,242.9
Perpetual-Premium 0.00 % 0.00 % 0 0.00 0 0.0817 % 2,882.8
Perpetual-Discount 5.91 % 6.06 % 73,604 13.80 35 0.0817 % 3,143.5
FixedReset Disc 4.69 % 5.90 % 107,080 13.86 59 0.3386 % 2,524.2
Insurance Straight 5.84 % 5.99 % 85,687 13.84 19 0.0248 % 3,080.6
FloatingReset 6.99 % 7.22 % 40,571 12.19 2 0.0312 % 2,603.0
FixedReset Prem 5.06 % 4.24 % 116,880 1.85 6 0.3465 % 2,618.5
FixedReset Bank Non 0.00 % 0.00 % 0 0.00 0 0.3386 % 2,580.2
FixedReset Ins Non 4.61 % 6.01 % 54,578 13.85 14 0.1293 % 2,643.4
Performance Highlights
Issue Index Change Notes
TD.PF.D FixedReset Disc -10.81 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-08-16
Maturity Price : 19.80
Evaluated at bid price : 19.80
Bid-YTW : 6.66 %
NA.PR.E FixedReset Disc -2.48 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-08-16
Maturity Price : 22.60
Evaluated at bid price : 23.21
Bid-YTW : 5.88 %
BMO.PR.T FixedReset Disc -2.33 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-08-16
Maturity Price : 21.00
Evaluated at bid price : 21.00
Bid-YTW : 5.93 %
SLF.PR.H FixedReset Ins Non -2.03 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-08-16
Maturity Price : 17.34
Evaluated at bid price : 17.34
Bid-YTW : 6.61 %
BAM.PR.M Perpetual-Discount -1.83 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-08-16
Maturity Price : 19.80
Evaluated at bid price : 19.80
Bid-YTW : 6.10 %
TRP.PR.C FixedReset Disc -1.82 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-08-16
Maturity Price : 13.51
Evaluated at bid price : 13.51
Bid-YTW : 7.23 %
CU.PR.G Perpetual-Discount -1.72 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-08-16
Maturity Price : 19.46
Evaluated at bid price : 19.46
Bid-YTW : 5.81 %
GWO.PR.Y Insurance Straight -1.68 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-08-16
Maturity Price : 19.34
Evaluated at bid price : 19.34
Bid-YTW : 5.91 %
CM.PR.O FixedReset Disc -1.24 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-08-16
Maturity Price : 21.51
Evaluated at bid price : 21.51
Bid-YTW : 5.90 %
PWF.PR.Z Perpetual-Discount -1.11 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-08-16
Maturity Price : 21.36
Evaluated at bid price : 21.36
Bid-YTW : 6.09 %
PVS.PR.K SplitShare -1.08 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2029-05-31
Maturity Price : 25.00
Evaluated at bid price : 23.00
Bid-YTW : 6.10 %
GWO.PR.I Insurance Straight -1.02 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-08-16
Maturity Price : 19.43
Evaluated at bid price : 19.43
Bid-YTW : 5.88 %
MFC.PR.I FixedReset Ins Non 1.04 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-08-16
Maturity Price : 22.88
Evaluated at bid price : 24.25
Bid-YTW : 5.98 %
RY.PR.J FixedReset Disc 1.04 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-08-16
Maturity Price : 21.99
Evaluated at bid price : 22.30
Bid-YTW : 5.88 %
GWO.PR.N FixedReset Ins Non 1.13 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-08-16
Maturity Price : 14.35
Evaluated at bid price : 14.35
Bid-YTW : 6.43 %
RY.PR.S FixedReset Disc 1.13 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-08-16
Maturity Price : 23.76
Evaluated at bid price : 24.15
Bid-YTW : 5.43 %
BMO.PR.W FixedReset Disc 1.31 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-08-16
Maturity Price : 21.34
Evaluated at bid price : 21.65
Bid-YTW : 5.73 %
PWF.PR.P FixedReset Disc 1.36 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-08-16
Maturity Price : 14.20
Evaluated at bid price : 14.20
Bid-YTW : 6.99 %
BAM.PR.X FixedReset Disc 1.40 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-08-16
Maturity Price : 18.15
Evaluated at bid price : 18.15
Bid-YTW : 6.55 %
GWO.PR.T Insurance Straight 1.44 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-08-16
Maturity Price : 21.54
Evaluated at bid price : 21.80
Bid-YTW : 5.99 %
MFC.PR.Q FixedReset Ins Non 1.58 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-08-16
Maturity Price : 22.55
Evaluated at bid price : 23.12
Bid-YTW : 5.93 %
TRP.PR.D FixedReset Disc 1.83 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-08-16
Maturity Price : 17.82
Evaluated at bid price : 17.82
Bid-YTW : 7.27 %
MFC.PR.L FixedReset Ins Non 1.84 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-08-16
Maturity Price : 19.35
Evaluated at bid price : 19.35
Bid-YTW : 6.46 %
BAM.PR.R FixedReset Disc 2.15 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-08-16
Maturity Price : 16.65
Evaluated at bid price : 16.65
Bid-YTW : 7.16 %
IFC.PR.C FixedReset Disc 2.53 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-08-16
Maturity Price : 20.30
Evaluated at bid price : 20.30
Bid-YTW : 6.28 %
CU.PR.J Perpetual-Discount 3.00 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-08-16
Maturity Price : 20.60
Evaluated at bid price : 20.60
Bid-YTW : 5.79 %
TRP.PR.A FixedReset Disc 3.10 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-08-16
Maturity Price : 15.98
Evaluated at bid price : 15.98
Bid-YTW : 7.29 %
BAM.PR.Z FixedReset Disc 3.18 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-08-16
Maturity Price : 22.08
Evaluated at bid price : 22.70
Bid-YTW : 6.49 %
TRP.PR.E FixedReset Disc 4.73 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-08-16
Maturity Price : 17.50
Evaluated at bid price : 17.50
Bid-YTW : 7.27 %
NA.PR.S FixedReset Disc 5.52 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-08-16
Maturity Price : 21.71
Evaluated at bid price : 22.16
Bid-YTW : 5.85 %
BMO.PR.Y FixedReset Disc 5.92 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-08-16
Maturity Price : 22.01
Evaluated at bid price : 22.35
Bid-YTW : 5.77 %
TRP.PR.G FixedReset Disc 10.18 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-08-16
Maturity Price : 19.70
Evaluated at bid price : 19.70
Bid-YTW : 6.75 %
Volume Highlights
Issue Index Shares
Traded
Notes
TD.PF.B FixedReset Disc 111,758 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-08-16
Maturity Price : 21.52
Evaluated at bid price : 21.52
Bid-YTW : 5.86 %
TD.PF.M FixedReset Prem 52,190 YTW SCENARIO
Maturity Type : Call
Maturity Date : 2024-07-31
Maturity Price : 25.00
Evaluated at bid price : 25.40
Bid-YTW : 4.38 %
GWO.PR.H Insurance Straight 45,873 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-08-16
Maturity Price : 20.35
Evaluated at bid price : 20.35
Bid-YTW : 6.06 %
BAM.PR.K Floater 37,078 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-08-16
Maturity Price : 12.97
Evaluated at bid price : 12.97
Bid-YTW : 6.44 %
GWO.PR.T Insurance Straight 35,002 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-08-16
Maturity Price : 21.54
Evaluated at bid price : 21.80
Bid-YTW : 5.99 %
TRP.PR.D FixedReset Disc 34,060 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-08-16
Maturity Price : 17.82
Evaluated at bid price : 17.82
Bid-YTW : 7.27 %
There were 31 other index-included issues trading in excess of 10,000 shares.
Wide Spread Highlights
Issue Index Quote Data and Yield Notes
BAM.PR.N Perpetual-Discount Quote: 20.00 – 23.00
Spot Rate : 3.0000
Average : 1.8162

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-08-16
Maturity Price : 20.00
Evaluated at bid price : 20.00
Bid-YTW : 6.04 %

TD.PF.D FixedReset Disc Quote: 19.80 – 22.35
Spot Rate : 2.5500
Average : 1.4708

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-08-16
Maturity Price : 19.80
Evaluated at bid price : 19.80
Bid-YTW : 6.66 %

BAM.PR.M Perpetual-Discount Quote: 19.80 – 21.69
Spot Rate : 1.8900
Average : 1.1627

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-08-16
Maturity Price : 19.80
Evaluated at bid price : 19.80
Bid-YTW : 6.10 %

BAM.PF.G FixedReset Disc Quote: 18.46 – 19.81
Spot Rate : 1.3500
Average : 0.8111

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-08-16
Maturity Price : 18.46
Evaluated at bid price : 18.46
Bid-YTW : 7.23 %

MIC.PR.A Perpetual-Discount Quote: 21.60 – 23.15
Spot Rate : 1.5500
Average : 1.1232

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-08-16
Maturity Price : 21.30
Evaluated at bid price : 21.60
Bid-YTW : 6.34 %

TRP.PR.B FixedReset Disc Quote: 12.85 – 14.15
Spot Rate : 1.3000
Average : 0.8987

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-08-16
Maturity Price : 12.85
Evaluated at bid price : 12.85
Bid-YTW : 7.29 %

August 15, 2022

August 15th, 2022

Canadian real estate is getting hurt in a thin market:

The Canadian Real Estate Association says home sales fell for the fifth consecutive month between June and July, but the latest drop was the smallest of the five.

On a seasonally adjusted basis, the association says sales in July fell 5.3 per cent compared with June. The actual number of sales last month was 37,975, down 29 per cent compared with July last year.

The average sales price was $629,971, down five per cent from $662,924 last July and on a seasonally adjusted basis amounted to $650,760, a three per cent drop from June.

Meanwhile China is cutting policy rates:

China’s central bank cut key lending rates in a surprise move on Monday to revive demand as data showed the economy unexpectedly slowing in July, with factory and retail activity squeezed by Beijing’s zero-COVID policy and a property crisis.

The grim set of figures indicate the world’s second largest economy is struggling to shake off the June quarter’s hit to growth from strict COVID-19 restrictions, prompting some economists to downgrade their projections.

Industrial output grew 3.8% in July from a year earlier, according to the National Bureau of Statistics (NBS), below the 3.9% expansion in June and a 4.6% increase expected by analysts in a Reuters poll.

Retail sales, which only just returned to growth in June, rose 2.7% from a year ago, missing forecasts for 5.0% growth and the 3.1% growth seen in June.

and the CAD’s hurting:

The Canadian dollar CADUSD -0.94%decrease
fell to a one-week low against its broadly stronger U.S. counterpart on Monday, as disappointing Chinese economic data stoked fears of a global slowdown and ahead of a key domestic inflation report this week.

Global shares fell and the safe-haven U.S. dollar rallied against a basket of major currencies after data showed China’s economy unexpectedly slowed in July.

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 % 2,492.0
FixedFloater 0.00 % 0.00 % 0 0.00 0 -0.1156 % 4,779.6
Floater 6.34 % 6.44 % 55,111 13.21 2 -0.1156 % 2,754.5
OpRet 0.00 % 0.00 % 0 0.00 0 0.0231 % 3,483.0
SplitShare 4.88 % 5.79 % 41,377 3.06 8 0.0231 % 4,159.4
Interest-Bearing 0.00 % 0.00 % 0 0.00 0 0.0231 % 3,245.4
Perpetual-Premium 0.00 % 0.00 % 0 0.00 0 -0.0619 % 2,880.4
Perpetual-Discount 5.91 % 6.03 % 73,889 13.84 35 -0.0619 % 3,141.0
FixedReset Disc 4.70 % 5.94 % 109,623 13.87 59 -0.3815 % 2,515.7
Insurance Straight 5.84 % 6.02 % 85,372 13.80 19 0.0545 % 3,079.9
FloatingReset 6.99 % 7.22 % 37,562 12.20 2 -0.1246 % 2,602.2
FixedReset Prem 5.08 % 4.37 % 118,530 1.86 6 0.1178 % 2,609.4
FixedReset Bank Non 0.00 % 0.00 % 0 0.00 0 -0.3815 % 2,571.5
FixedReset Ins Non 4.62 % 6.05 % 54,519 13.85 14 -0.0897 % 2,640.0
Performance Highlights
Issue Index Change Notes
TRP.PR.G FixedReset Disc -8.50 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-08-15
Maturity Price : 17.88
Evaluated at bid price : 17.88
Bid-YTW : 7.40 %
NA.PR.S FixedReset Disc -5.53 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-08-15
Maturity Price : 21.00
Evaluated at bid price : 21.00
Bid-YTW : 6.19 %
BMO.PR.Y FixedReset Disc -4.95 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-08-15
Maturity Price : 21.10
Evaluated at bid price : 21.10
Bid-YTW : 6.12 %
TRP.PR.D FixedReset Disc -3.85 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-08-15
Maturity Price : 17.50
Evaluated at bid price : 17.50
Bid-YTW : 7.40 %
TRP.PR.E FixedReset Disc -3.24 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-08-15
Maturity Price : 16.71
Evaluated at bid price : 16.71
Bid-YTW : 7.60 %
MFC.PR.L FixedReset Ins Non -2.56 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-08-15
Maturity Price : 19.00
Evaluated at bid price : 19.00
Bid-YTW : 6.57 %
TRP.PR.A FixedReset Disc -2.52 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-08-15
Maturity Price : 15.50
Evaluated at bid price : 15.50
Bid-YTW : 7.51 %
IFC.PR.F Insurance Straight -1.33 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-08-15
Maturity Price : 22.02
Evaluated at bid price : 22.30
Bid-YTW : 6.02 %
TRP.PR.B FixedReset Disc -1.31 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-08-15
Maturity Price : 12.83
Evaluated at bid price : 12.83
Bid-YTW : 7.30 %
RY.PR.J FixedReset Disc -1.25 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-08-15
Maturity Price : 21.82
Evaluated at bid price : 22.07
Bid-YTW : 5.94 %
GWO.PR.T Insurance Straight -1.24 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-08-15
Maturity Price : 21.49
Evaluated at bid price : 21.49
Bid-YTW : 6.09 %
FTS.PR.M FixedReset Disc -1.20 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-08-15
Maturity Price : 19.76
Evaluated at bid price : 19.76
Bid-YTW : 6.66 %
RY.PR.M FixedReset Disc -1.16 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-08-15
Maturity Price : 21.25
Evaluated at bid price : 21.25
Bid-YTW : 5.94 %
MFC.PR.Q FixedReset Ins Non -1.09 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-08-15
Maturity Price : 22.10
Evaluated at bid price : 22.76
Bid-YTW : 6.02 %
PWF.PR.P FixedReset Disc -1.06 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-08-15
Maturity Price : 14.01
Evaluated at bid price : 14.01
Bid-YTW : 7.08 %
CIU.PR.A Perpetual-Discount -1.00 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-08-15
Maturity Price : 19.80
Evaluated at bid price : 19.80
Bid-YTW : 5.83 %
MFC.PR.J FixedReset Ins Non 1.03 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-08-15
Maturity Price : 22.80
Evaluated at bid price : 23.50
Bid-YTW : 5.90 %
CM.PR.P FixedReset Disc 1.07 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-08-15
Maturity Price : 21.45
Evaluated at bid price : 21.80
Bid-YTW : 5.70 %
BAM.PR.X FixedReset Disc 1.13 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-08-15
Maturity Price : 17.90
Evaluated at bid price : 17.90
Bid-YTW : 6.64 %
TD.PF.D FixedReset Disc 1.14 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-08-15
Maturity Price : 21.90
Evaluated at bid price : 22.20
Bid-YTW : 5.95 %
IFC.PR.E Insurance Straight 1.34 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-08-15
Maturity Price : 22.30
Evaluated at bid price : 22.65
Bid-YTW : 5.81 %
CU.PR.C FixedReset Disc 1.54 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-08-15
Maturity Price : 21.92
Evaluated at bid price : 22.40
Bid-YTW : 5.88 %
BMO.PR.T FixedReset Disc 1.65 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-08-15
Maturity Price : 21.50
Evaluated at bid price : 21.50
Bid-YTW : 5.80 %
MFC.PR.F FixedReset Ins Non 1.81 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-08-15
Maturity Price : 14.66
Evaluated at bid price : 14.66
Bid-YTW : 6.63 %
SLF.PR.E Insurance Straight 2.18 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-08-15
Maturity Price : 20.60
Evaluated at bid price : 20.60
Bid-YTW : 5.55 %
Volume Highlights
Issue Index Shares
Traded
Notes
GWO.PR.H Insurance Straight 196,159 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-08-15
Maturity Price : 20.36
Evaluated at bid price : 20.36
Bid-YTW : 6.05 %
CM.PR.P FixedReset Disc 55,400 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-08-15
Maturity Price : 21.45
Evaluated at bid price : 21.80
Bid-YTW : 5.70 %
PWF.PR.Z Perpetual-Discount 41,900 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-08-15
Maturity Price : 21.60
Evaluated at bid price : 21.60
Bid-YTW : 6.02 %
NA.PR.C FixedReset Disc 39,200 YTW SCENARIO
Maturity Type : Call
Maturity Date : 2022-11-15
Maturity Price : 25.00
Evaluated at bid price : 24.92
Bid-YTW : 5.78 %
PWF.PR.H Perpetual-Discount 30,064 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-08-15
Maturity Price : 22.83
Evaluated at bid price : 23.11
Bid-YTW : 6.27 %
MFC.PR.I FixedReset Ins Non 17,700 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-08-15
Maturity Price : 22.77
Evaluated at bid price : 24.00
Bid-YTW : 6.05 %
There were 1 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: 17.88 – 20.05
Spot Rate : 2.1700
Average : 1.3653

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-08-15
Maturity Price : 17.88
Evaluated at bid price : 17.88
Bid-YTW : 7.40 %

NA.PR.S FixedReset Disc Quote: 21.00 – 22.49
Spot Rate : 1.4900
Average : 0.8958

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-08-15
Maturity Price : 21.00
Evaluated at bid price : 21.00
Bid-YTW : 6.19 %

BMO.PR.Y FixedReset Disc Quote: 21.10 – 22.41
Spot Rate : 1.3100
Average : 0.7912

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-08-15
Maturity Price : 21.10
Evaluated at bid price : 21.10
Bid-YTW : 6.12 %

IFC.PR.F Insurance Straight Quote: 22.30 – 23.30
Spot Rate : 1.0000
Average : 0.7040

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-08-15
Maturity Price : 22.02
Evaluated at bid price : 22.30
Bid-YTW : 6.02 %

MFC.PR.L FixedReset Ins Non Quote: 19.00 – 20.00
Spot Rate : 1.0000
Average : 0.7588

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-08-15
Maturity Price : 19.00
Evaluated at bid price : 19.00
Bid-YTW : 6.57 %

CM.PR.Q FixedReset Disc Quote: 21.90 – 22.64
Spot Rate : 0.7400
Average : 0.5244

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-08-15
Maturity Price : 21.52
Evaluated at bid price : 21.90
Bid-YTW : 5.97 %

August PrefLetter Released!

August 14th, 2022

The August, 2022, edition of PrefLetter has been released and is now available for purchase as the “Previous edition”. Those who subscribe for a full year receive the “Previous edition” as a bonus.

This edition comes with not just one, but two, count ’em, two special appendices: the first examining the effects of a rate shock affecting both the GOC-5 yield and the yields of FixedReset issues, with a special emphasis on the implications of differing terms-to-reset among otherwise identical issues; the second providing an analysis of the CPD portfolio as of July 29, 2022.

PrefLetter may now be purchased by all Canadian residents.

Until further notice, the “previous” edition will refer to the August, 2022, issue, while the “next” edition will be the September, 2022, issue scheduled to be prepared as of the close September 9, and emailed to subscribers prior to the market-opening on September 12. Prefletter is intended for long term investors seeking issues to buy-and-hold. At least one recommendation from each of the major preferred share sectors is included and discussed.

Note: My verbosity has grown by such leaps and bounds that it is no longer possible to deliver PrefLetter as an eMail attachment – it’s just too big for my software! Instead, I have sent passwords – click on the link in your eMail and your copy will download.

Note: There have been problems lately with corporate eMail protection systems that substitute “safe” links for the links sent in the eMails; the problem being that the “safe” links do not work and an error is generated by my software. To avoid possible problems and delays, please subscribe through an eMail account that is not “protected” by such software.

Note: The PrefLetter website has a Subscriber Download Feature. If you have not received your copy, try it!

Note: PrefLetter eMails sometimes runs afoul of spam filters. If you have not received your copy within fifteen minutes of a release notice such as this one, please double check your (company’s) spam filtering policy and your spam repository – there are some hints in the post Sympatico Spam Filters out of Control. If it’s not there, contact me and I’ll get you your copy … somehow!

Note: There have been scattered complaints regarding inability to open PrefLetter in Acrobat Reader, despite my practice of including myself on the subscription list and immediately checking the copy received. I have had the occasional difficulty reading US Government documents, which I was able to resolve by downloading and installing the latest version of Adobe Reader. Also, note that so far, all complaints have been from users of Yahoo Mail. Try saving it to disk first, before attempting to open it.

Note: There have been other scattered complaints that double-clicking on the links in the “PrefLetter Download” email results in a message that the password has already been used. I have been able to reproduce this problem in my own eMail software … the problem is double-clicking. What happens is the first click opens the link and the second click finds that the password has already been used and refuses to work properly. So the moral of the story is: Don’t be a dick! Single Click!

Note: Assiduous Reader DG informs me:

In case you have any other Apple users: you need to install a free App from the apple store called “FileApp”. It comes with it’s own tutorial and allows you to download and save a PDF file.

However, Assiduous Reader Adrian informs me in the comments to the January 2015 release:

Some nitpicking for DG:
FileApp costs $1.19 in the Apple Store.

But Adrian2 now advises:

Well, as of now, FileApp is free (again?).

August 12, 2022

August 12th, 2022
HIMIPref™ Preferred Indices
These values reflect the December 2008 revision of the HIMIPref™ Indices

Values are provisional and are finalized monthly
Index Mean
Current
Yield
(at bid)
Median
YTW
Median
Average
Trading
Value
Median
Mod Dur
(YTW)
Issues Day’s Perf. Index Value
Ratchet 0.00 % 0.00 % 0 0.00 0 0.2317 % 2,494.9
FixedFloater 0.00 % 0.00 % 0 0.00 0 0.2317 % 4,785.1
Floater 6.34 % 6.42 % 40,618 13.24 2 0.2317 % 2,757.7
OpRet 0.00 % 0.00 % 0 0.00 0 0.0334 % 3,482.2
SplitShare 4.88 % 5.65 % 39,079 3.07 8 0.0334 % 4,158.5
Interest-Bearing 0.00 % 0.00 % 0 0.00 0 0.0334 % 3,244.6
Perpetual-Premium 0.00 % 0.00 % 0 0.00 0 -0.0763 % 2,882.2
Perpetual-Discount 5.91 % 6.03 % 76,567 13.82 35 -0.0763 % 3,142.9
FixedReset Disc 4.68 % 5.87 % 111,220 13.99 59 -0.0738 % 2,525.3
Insurance Straight 5.85 % 5.96 % 85,638 13.91 19 0.0223 % 3,078.2
FloatingReset 6.99 % 7.22 % 37,650 12.21 2 -0.2176 % 2,605.4
FixedReset Prem 5.08 % 4.35 % 119,156 1.86 6 -0.0981 % 2,606.4
FixedReset Bank Non 0.00 % 0.00 % 0 0.00 0 -0.0738 % 2,581.4
FixedReset Ins Non 4.61 % 6.03 % 55,246 13.89 14 0.0467 % 2,642.3
Performance Highlights
Issue Index Change Notes
TRP.PR.E FixedReset Disc -2.15 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-08-12
Maturity Price : 17.27
Evaluated at bid price : 17.27
Bid-YTW : 7.36 %
SLF.PR.H FixedReset Ins Non -2.05 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-08-12
Maturity Price : 17.70
Evaluated at bid price : 17.70
Bid-YTW : 6.48 %
TRP.PR.A FixedReset Disc -2.03 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-08-12
Maturity Price : 15.90
Evaluated at bid price : 15.90
Bid-YTW : 7.32 %
PWF.PF.A Perpetual-Discount -2.00 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-08-12
Maturity Price : 19.08
Evaluated at bid price : 19.08
Bid-YTW : 5.95 %
BMO.PR.T FixedReset Disc -1.86 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-08-12
Maturity Price : 21.15
Evaluated at bid price : 21.15
Bid-YTW : 5.89 %
GWO.PR.H Insurance Straight -1.70 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-08-12
Maturity Price : 20.18
Evaluated at bid price : 20.18
Bid-YTW : 6.10 %
BNS.PR.I FixedReset Disc -1.38 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-08-12
Maturity Price : 23.86
Evaluated at bid price : 24.25
Bid-YTW : 5.49 %
CU.PR.C FixedReset Disc -1.30 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-08-12
Maturity Price : 21.69
Evaluated at bid price : 22.06
Bid-YTW : 5.97 %
TD.PF.D FixedReset Disc -1.13 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-08-12
Maturity Price : 21.56
Evaluated at bid price : 21.95
Bid-YTW : 6.00 %
TRP.PR.F FloatingReset -1.01 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-08-12
Maturity Price : 16.70
Evaluated at bid price : 16.70
Bid-YTW : 7.22 %
FTS.PR.M FixedReset Disc 1.01 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-08-12
Maturity Price : 20.00
Evaluated at bid price : 20.00
Bid-YTW : 6.58 %
GWO.PR.I Insurance Straight 1.03 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-08-12
Maturity Price : 19.70
Evaluated at bid price : 19.70
Bid-YTW : 5.80 %
BAM.PF.G FixedReset Disc 1.09 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-08-12
Maturity Price : 18.50
Evaluated at bid price : 18.50
Bid-YTW : 7.21 %
PVS.PR.H SplitShare 1.25 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2027-02-28
Maturity Price : 25.00
Evaluated at bid price : 24.35
Bid-YTW : 5.60 %
BAM.PF.B FixedReset Disc 1.27 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-08-12
Maturity Price : 19.90
Evaluated at bid price : 19.90
Bid-YTW : 6.89 %
BAM.PF.F FixedReset Disc 1.44 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-08-12
Maturity Price : 19.70
Evaluated at bid price : 19.70
Bid-YTW : 7.11 %
BIP.PR.A FixedReset Disc 2.53 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-08-12
Maturity Price : 20.25
Evaluated at bid price : 20.25
Bid-YTW : 7.48 %
Volume Highlights
Issue Index Shares
Traded
Notes
NA.PR.W FixedReset Disc 52,270 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-08-12
Maturity Price : 21.50
Evaluated at bid price : 21.50
Bid-YTW : 5.80 %
SLF.PR.J FloatingReset 28,172 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-08-12
Maturity Price : 15.40
Evaluated at bid price : 15.40
Bid-YTW : 6.98 %
GWO.PR.L Insurance Straight 23,481 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-08-12
Maturity Price : 22.90
Evaluated at bid price : 23.17
Bid-YTW : 6.18 %
PWF.PR.R Perpetual-Discount 21,500 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-08-12
Maturity Price : 22.12
Evaluated at bid price : 22.40
Bid-YTW : 6.18 %
PWF.PR.G Perpetual-Discount 20,262 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-08-12
Maturity Price : 23.61
Evaluated at bid price : 23.88
Bid-YTW : 6.23 %
GWO.PR.H Insurance Straight 18,800 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-08-12
Maturity Price : 20.18
Evaluated at bid price : 20.18
Bid-YTW : 6.10 %
There were 6 other index-included issues trading in excess of 10,000 shares.
Wide Spread Highlights
Issue Index Quote Data and Yield Notes
CU.PR.F Perpetual-Discount Quote: 19.85 – 24.43
Spot Rate : 4.5800
Average : 2.5264

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-08-12
Maturity Price : 19.85
Evaluated at bid price : 19.85
Bid-YTW : 5.69 %

BAM.PF.B FixedReset Disc Quote: 19.90 – 21.15
Spot Rate : 1.2500
Average : 0.8497

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-08-12
Maturity Price : 19.90
Evaluated at bid price : 19.90
Bid-YTW : 6.89 %

SLF.PR.E Insurance Straight Quote: 20.16 – 21.15
Spot Rate : 0.9900
Average : 0.6463

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-08-12
Maturity Price : 20.16
Evaluated at bid price : 20.16
Bid-YTW : 5.66 %

BNS.PR.I FixedReset Disc Quote: 24.25 – 25.00
Spot Rate : 0.7500
Average : 0.4475

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-08-12
Maturity Price : 23.86
Evaluated at bid price : 24.25
Bid-YTW : 5.49 %

BMO.PR.T FixedReset Disc Quote: 21.15 – 22.17
Spot Rate : 1.0200
Average : 0.7757

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-08-12
Maturity Price : 21.15
Evaluated at bid price : 21.15
Bid-YTW : 5.89 %

MFC.PR.B Insurance Straight Quote: 20.54 – 21.99
Spot Rate : 1.4500
Average : 1.2115

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-08-12
Maturity Price : 20.54
Evaluated at bid price : 20.54
Bid-YTW : 5.76 %

OSP.PR.A To Be Extended

August 12th, 2022

Brompton Group has announced:

Brompton Oil Split Corp. (the “Fund”) is pleased to announce that the board of directors has approved an extension of the maturity date of the Class A and Preferred shares of the Fund. The current maturity date of March 30, 2023 will be extended for an additional period of one to three years. The new term and the proposed rate for the preferred share dividend for the new term will be announced at least 60 days prior to the current March 30, 2023 maturity date. The preferred share dividend rate for the extended term will be based on market yields for preferred shares with similar terms at that time. The extension of the term of the Fund is not expected to be a taxable event.

The Fund invests in a portfolio of equity securities of large capitalization North American oil and gas issuers, primarily focused on those with significant exposure to oil.

OSP.PR.A is the preferred part of a Split Share Corporation that commenced trading 2015-2-24 after being announced 2015-2-9. It ran into problems in 2019 but announced an extension anyway. Problems worsened by late 2019 and by the time extension details were published the fund’s NAVPU only just covered the preferred share obligation. The fund then suffered a 75% retraction of preferred shares. The fund’s NAVPU is now 12.78 amidst an uncertain future for oil prices, so we could well see further excitement at the next retraction date.

Thanks to Assiduous Reader RAV4guy for bringing this to my attention!

August 11, 2022

August 11th, 2022
HIMIPref™ Preferred Indices
These values reflect the December 2008 revision of the HIMIPref™ Indices

Values are provisional and are finalized monthly
Index Mean
Current
Yield
(at bid)
Median
YTW
Median
Average
Trading
Value
Median
Mod Dur
(YTW)
Issues Day’s Perf. Index Value
Ratchet 0.00 % 0.00 % 0 0.00 0 0.2710 % 2,489.1
FixedFloater 0.00 % 0.00 % 0 0.00 0 0.2710 % 4,774.1
Floater 6.35 % 6.42 % 57,764 13.24 2 0.2710 % 2,751.3
OpRet 0.00 % 0.00 % 0 0.00 0 0.1801 % 3,481.0
SplitShare 4.89 % 5.83 % 40,206 3.08 8 0.1801 % 4,157.1
Interest-Bearing 0.00 % 0.00 % 0 0.00 0 0.1801 % 3,243.5
Perpetual-Premium 0.00 % 0.00 % 0 0.00 0 -0.2061 % 2,884.4
Perpetual-Discount 5.91 % 6.06 % 76,380 13.80 35 -0.2061 % 3,145.3
FixedReset Disc 4.68 % 5.80 % 113,856 14.17 59 0.5203 % 2,527.2
Insurance Straight 5.85 % 5.99 % 86,607 13.89 19 0.0050 % 3,077.5
FloatingReset 7.05 % 7.22 % 38,922 12.21 2 0.5313 % 2,611.1
FixedReset Prem 5.08 % 4.18 % 120,784 1.87 6 0.1113 % 2,608.9
FixedReset Bank Non 0.00 % 0.00 % 0 0.00 0 0.5203 % 2,583.3
FixedReset Ins Non 4.62 % 5.96 % 55,353 13.96 14 0.7123 % 2,641.1
Performance Highlights
Issue Index Change Notes
CU.PR.J Perpetual-Discount -2.91 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-08-11
Maturity Price : 20.00
Evaluated at bid price : 20.00
Bid-YTW : 5.96 %
SLF.PR.G FixedReset Ins Non -1.60 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-08-11
Maturity Price : 14.15
Evaluated at bid price : 14.15
Bid-YTW : 6.76 %
PWF.PR.G Perpetual-Discount -1.44 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-08-11
Maturity Price : 23.63
Evaluated at bid price : 23.90
Bid-YTW : 6.22 %
PWF.PR.O Perpetual-Discount -1.44 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-08-11
Maturity Price : 22.98
Evaluated at bid price : 23.25
Bid-YTW : 6.28 %
PWF.PR.H Perpetual-Discount -1.11 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-08-11
Maturity Price : 22.93
Evaluated at bid price : 23.21
Bid-YTW : 6.24 %
PWF.PR.E Perpetual-Discount -1.06 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-08-11
Maturity Price : 22.10
Evaluated at bid price : 22.32
Bid-YTW : 6.21 %
TRP.PR.F FloatingReset 1.02 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-08-11
Maturity Price : 16.87
Evaluated at bid price : 16.87
Bid-YTW : 7.22 %
GWO.PR.Y Insurance Straight 1.03 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-08-11
Maturity Price : 19.70
Evaluated at bid price : 19.70
Bid-YTW : 5.80 %
TD.PF.A FixedReset Disc 1.03 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-08-11
Maturity Price : 21.30
Evaluated at bid price : 21.60
Bid-YTW : 5.68 %
MFC.PR.L FixedReset Ins Non 1.04 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-08-11
Maturity Price : 19.40
Evaluated at bid price : 19.40
Bid-YTW : 6.34 %
FTS.PR.G FixedReset Disc 1.09 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-08-11
Maturity Price : 19.51
Evaluated at bid price : 19.51
Bid-YTW : 6.43 %
CU.PR.C FixedReset Disc 1.13 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-08-11
Maturity Price : 21.89
Evaluated at bid price : 22.35
Bid-YTW : 5.83 %
BAM.PR.Z FixedReset Disc 1.14 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-08-11
Maturity Price : 21.70
Evaluated at bid price : 22.10
Bid-YTW : 6.58 %
MFC.PR.K FixedReset Ins Non 1.16 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-08-11
Maturity Price : 21.43
Evaluated at bid price : 21.75
Bid-YTW : 5.82 %
MFC.PR.Q FixedReset Ins Non 1.23 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-08-11
Maturity Price : 22.48
Evaluated at bid price : 23.03
Bid-YTW : 5.86 %
NA.PR.S FixedReset Disc 1.27 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-08-11
Maturity Price : 21.79
Evaluated at bid price : 22.28
Bid-YTW : 5.73 %
CU.PR.F Perpetual-Discount 1.28 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-08-11
Maturity Price : 19.85
Evaluated at bid price : 19.85
Bid-YTW : 5.69 %
CM.PR.O FixedReset Disc 1.30 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-08-11
Maturity Price : 21.50
Evaluated at bid price : 21.86
Bid-YTW : 5.70 %
PVS.PR.K SplitShare 1.30 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2029-05-31
Maturity Price : 25.00
Evaluated at bid price : 23.30
Bid-YTW : 5.85 %
TD.PF.D FixedReset Disc 1.37 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-08-11
Maturity Price : 21.90
Evaluated at bid price : 22.20
Bid-YTW : 5.87 %
RY.PR.S FixedReset Disc 1.40 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-08-11
Maturity Price : 23.47
Evaluated at bid price : 23.88
Bid-YTW : 5.41 %
GWO.PR.T Insurance Straight 1.40 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-08-11
Maturity Price : 21.70
Evaluated at bid price : 21.70
Bid-YTW : 6.03 %
MFC.PR.N FixedReset Ins Non 1.52 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-08-11
Maturity Price : 20.07
Evaluated at bid price : 20.07
Bid-YTW : 6.18 %
BAM.PR.T FixedReset Disc 1.91 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-08-11
Maturity Price : 17.07
Evaluated at bid price : 17.07
Bid-YTW : 7.03 %
BAM.PR.M Perpetual-Discount 1.91 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-08-11
Maturity Price : 20.25
Evaluated at bid price : 20.25
Bid-YTW : 5.96 %
IFC.PR.K Perpetual-Discount 1.99 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-08-11
Maturity Price : 22.26
Evaluated at bid price : 22.55
Bid-YTW : 5.89 %
BAM.PF.B FixedReset Disc 2.18 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-08-11
Maturity Price : 19.65
Evaluated at bid price : 19.65
Bid-YTW : 6.88 %
TRP.PR.E FixedReset Disc 2.26 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-08-11
Maturity Price : 17.65
Evaluated at bid price : 17.65
Bid-YTW : 7.10 %
IFC.PR.G FixedReset Ins Non 2.48 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-08-11
Maturity Price : 22.10
Evaluated at bid price : 22.75
Bid-YTW : 5.93 %
TD.PF.B FixedReset Disc 2.86 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-08-11
Maturity Price : 21.31
Evaluated at bid price : 21.60
Bid-YTW : 5.74 %
BAM.PF.E FixedReset Disc 2.86 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-08-11
Maturity Price : 18.00
Evaluated at bid price : 18.00
Bid-YTW : 7.08 %
BAM.PF.G FixedReset Disc 2.98 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-08-11
Maturity Price : 18.30
Evaluated at bid price : 18.30
Bid-YTW : 7.20 %
Volume Highlights
Issue Index Shares
Traded
Notes
BNS.PR.I FixedReset Disc 89,062 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-08-11
Maturity Price : 24.25
Evaluated at bid price : 24.59
Bid-YTW : 5.33 %
TD.PF.B FixedReset Disc 58,989 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-08-11
Maturity Price : 21.31
Evaluated at bid price : 21.60
Bid-YTW : 5.74 %
BAM.PF.H FixedReset Prem 53,095 YTW SCENARIO
Maturity Type : Call
Maturity Date : 2025-12-31
Maturity Price : 25.00
Evaluated at bid price : 25.80
Bid-YTW : 4.18 %
BMO.PR.F FixedReset Prem 28,193 YTW SCENARIO
Maturity Type : Call
Maturity Date : 2024-05-25
Maturity Price : 25.00
Evaluated at bid price : 25.55
Bid-YTW : 3.72 %
PWF.PR.H Perpetual-Discount 27,759 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-08-11
Maturity Price : 22.93
Evaluated at bid price : 23.21
Bid-YTW : 6.24 %
BAM.PF.E FixedReset Disc 21,773 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-08-11
Maturity Price : 18.00
Evaluated at bid price : 18.00
Bid-YTW : 7.08 %
There were 13 other index-included issues trading in excess of 10,000 shares.
Wide Spread Highlights
Issue Index Quote Data and Yield Notes
BAM.PR.N Perpetual-Discount Quote: 19.92 – 23.00
Spot Rate : 3.0800
Average : 1.7171

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-08-11
Maturity Price : 19.92
Evaluated at bid price : 19.92
Bid-YTW : 6.06 %

MFC.PR.B Insurance Straight Quote: 20.50 – 21.99
Spot Rate : 1.4900
Average : 0.9501

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-08-11
Maturity Price : 20.50
Evaluated at bid price : 20.50
Bid-YTW : 5.77 %

CCS.PR.C Insurance Straight Quote: 21.20 – 23.50
Spot Rate : 2.3000
Average : 1.8295

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-08-11
Maturity Price : 21.20
Evaluated at bid price : 21.20
Bid-YTW : 5.99 %

BIP.PR.A FixedReset Disc Quote: 19.75 – 21.10
Spot Rate : 1.3500
Average : 0.9186

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-08-11
Maturity Price : 19.75
Evaluated at bid price : 19.75
Bid-YTW : 7.58 %

PWF.PR.P FixedReset Disc Quote: 14.10 – 15.50
Spot Rate : 1.4000
Average : 0.9894

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-08-11
Maturity Price : 14.10
Evaluated at bid price : 14.10
Bid-YTW : 6.93 %

CU.PR.G Perpetual-Discount Quote: 19.75 – 20.88
Spot Rate : 1.1300
Average : 0.8110

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2052-08-11
Maturity Price : 19.75
Evaluated at bid price : 19.75
Bid-YTW : 5.71 %

BCE.PR.A To Reset To 4.94%

August 10th, 2022

BCE Inc. has announced:

BCE Inc. will, on September 1, 2022, continue to have Cumulative Redeemable First Preferred Shares, Series AA (“Series AA Preferred Shares”) outstanding if, following the end of the conversion period on August 22, 2022, BCE Inc. determines that at least 2,500,000 Series AA Preferred Shares would remain outstanding. In such a case, as of September 1, 2022, the Series AA 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 4.94%.

BCE.PR.A is a FixedFloater that was issued with a 5.45% coupon in 2002 and reset to 4.80% in 2007; about half were converted to the RatchetRate BCE.PR.B.. It then reset to 3.45% in 2012 and there was a small net conversion back to the FixedFloater. It reset to 3.61% in 2017 and there was a 6% net conversion in the FixedFloater. Notice of extension in 2022 was announced previously.

BCE.PR.B is a RatchetRate preferred that is interconvertible with BCE.PR.A every five years.

The most logical way to analyze the question of whether or not to convert is through the theory of Preferred Pairs, for which a calculator is available. Briefly, a Strong Pair is defined as a pair of securities that can be interconverted in the future (e.g. BCE.PR.A and BCE.PR.B). Since they will be interconvertible on this future date, it may be assumed that they will be priced identically on this date (if they aren’t then holders will simply convert en masse to the higher-priced issue). And since they will be priced identically on a given date in the future, any current difference in price must be offset by expectations of an equal and opposite value of dividends to be received in the interim. And since the dividend rate on one element of the pair is both fixed and known, the implied average rate of the other, floating rate, instrument can be determined. Finally, we say, we may compare these average rates and take a view regarding the actual future course of that rate relative to the implied rate, which will provide us with guidance on which element of the pair is likely to outperform the other until the next interconversion date, at which time the process will be repeated.

We can show the break-even rates for each FixedReset / FloatingReset Strong Pair graphically by plotting the implied average 3-month bill rate against the next Exchange Date (which is the date to which the average will be calculated).


Click for Big

The market seems to love the RatchetRate issues, with most BCE pairs trading with breakeven yields well in excess of the current 4.70% Prime Rate – exceptions are BCE.PR.T / BCE.PR.S (3.13%), BCE.PR.A / BCE.PR.B (4.93%) and BCE.PR.C / BCE.PR.D (4.45%). The average breakeven prime rate for the BCE pairs (without including the BCE.PR.T / BCE.PR.S outlier) is 5.65%.

If we plug in the current bid price of the the BCE.PR.A FixedFloater, we may construct the following table showing consistent prices for BCE.PR.B following the expiration of the conversion privilege given a variety of Implied Breakeven yields consistent with issues currently trading:

Estimate of BCE.PR.B Trading Price Following Conversion Privilege In Current Conditions
  Assumed RatchetRate
Price if Prime Breakeven Rate
is equal to
FixedFloater Bid Price 5.20% 5.70% 6.20%
BCE.PR.A 19.31 19.56 20.04 20.51

Based on current market conditions, I suggest that RatchetRate issue, BCE.PR.B, is likely to trade above the price of its FixedFloater counterpart, BCE.PR.A. Therefore, I recommend that holders of BCE.PR.A tender for conversion to BCE.PR.B. It may then be possible, for holders for whom portfolio considerations make the FixedFloater preferable, to swap back in the market with a good take-out in price. There are no guarantees – my recommendation is based on the assumption that current market conditions with respect to the pairs will continue after the conversion period has elapsed and that the relative pricing of the two new pairs will reflect these conditions.

One important consideration that must be given particular attention for this pair of issues is: do you want to hold either one? Other BCE RatchetRate preferreds are trading in the 18.30-40 range, well below the 19.30 bid for BCE.PR.B; whatever one might think of fixed rates in general, or the BCE.PR.A fixed rate in particular, one RatchetRate is pretty much like another – suggesting that the current market price of both elements of this pair have been elevated by the excitement of a reset and conversion.

Those who wish to convert are advised that the deadline for notifying the company of such a desire is 5:00 p.m. (Eastern time) on August 22, 2022.. Brokers and other intermediaries generally set their internal deadlines a day or two in advance of this date, so don’t waste time! Note that brokers will, in general, try to execute the instruction on a ‘best efforts’ basis if received between the two deadlines, provided that the procrastinating shareholder grovels entertainingly enough.

BCE.PR.I Reset To 3.39% in 2021

August 10th, 2022

BCE Inc. has announced (on 2021-7-9):

BCE Inc. will, on August 1, 2021, continue to have Cumulative Redeemable First Preferred Shares, Series AI (“Series AI Preferred Shares”) outstanding if, following the end of the conversion period on July 22, 2021, BCE Inc. determines that at least 2 million Series AI Preferred Shares would remain outstanding. In such a case, as of August 1, 2021, the Series AI 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 3.39%

They later announced (on 2021-7-23):

that 12,985 of its 5,949,884 fixed-rate Cumulative Redeemable First Preferred Shares, Series AI (“Series AI Preferred Shares”) have been tendered for conversion on August 1, 2021, on a one-for-one basis, into floating-rate Cumulative Redeemable First Preferred Shares, Series AJ (“Series AJ Preferred Shares”). In addition, 3,598,141 of its 8,050,116 Series AJ Preferred Shares have been tendered for conversion on August 1, 2021, on a one-for-one basis, into Series AI Preferred Shares. Consequently, on August 1, 2021, BCE will have 9,535,040 Series AI Preferred Shares and 4,464,960 Series AJ Preferred Shares issued and outstanding. The Series AI Preferred Shares and the Series AJ Preferred Shares will continue to be listed on the Toronto Stock Exchange under the symbols BCE.PR.I and BCE.PR.J, respectively.

The Series AI Preferred Shares will pay on a quarterly basis, for the five-year period beginning on August 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 3.39%.

The Series AJ Preferred Shares will continue to pay a monthly floating adjustable cash dividend for the five-year period beginning on August 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 AJ Preferred Shares in the preceding month) and the Designated Percentage for the preceding month.

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

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!

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!