PPL.PF.A To Reset To 6.302%

January 30th, 2023

Pembina Pipeline Corporation has announced:

that it does not intend to exercise its right to redeem the currently outstanding Cumulative Redeemable Minimum Rate Reset Class A Preferred Shares, Series 21 (“Series 21 Shares”) (TSX: PPL.PF.A) on March 1, 2023.

As a result of the decision not to redeem the Series 21 Shares, and subject to certain terms of the Series 21 Shares, the holders of the Series 21 Shares will have the right to elect to convert all or part of their Series 21 Shares on a one-for-one basis into Cumulative Redeemable Floating Rate Class A Preferred Shares, Series 22 of Pembina (“Series 22 Shares”) on March 1, 2023 (the “Conversion Date”). Holders who do not exercise their right to convert their Series 21 Shares into Series 22 Shares will retain their Series 21 Shares.

As provided in the terms of the Series 21 Shares: (i) if Pembina determines that there would remain outstanding immediately following the conversion less than 1,000,000 Series 21 Shares, then all remaining Series 21 Shares will be automatically converted into Series 22 Shares on a one-for-one basis effective as of the Conversion Date; or (ii) if Pembina determines that there would be less than 1,000,000 Series 22 Shares outstanding immediately following the conversion, no Series 21 Shares will be converted into Series 22 Shares on the Conversion Date. There are currently 16,000,000 Series 21 Shares outstanding.

With respect to any Series 21 Shares that remain outstanding after the Conversion Date, holders thereof will be entitled to receive quarterly fixed cumulative preferential cash dividends, if, as and when declared by the Board of Directors of Pembina. The annual dividend rate for the Series 21 Shares for the five-year period from and including March 1, 2023, to, but excluding, March 1, 2028, will be 6.302 percent, being equal to the five-year Government of Canada bond yield of 3.042 percent determined as of today plus 3.26 percent, in accordance with the terms of the Series 21 Shares.

With respect to any Series 22 Shares that may be issued on the Conversion Date, holders thereof will be entitled to receive quarterly floating rate cumulative preferential cash dividends, if, as and when declared by the Board of Directors of Pembina. The annual dividend rate applicable to the Series 22 Shares for the three-month floating rate period from and including March 1, 2023, to, but excluding, June 1, 2023, will be 7.706 percent, being equal to the annual rate of interest for the most recent auction of 90-day Government of Canada treasury bills of 4.446 percent plus 3.26 percent, in accordance with the terms of the Series 22 Shares (the “Floating Quarterly Dividend Rate”). The Floating Quarterly Dividend Rate will be reset on the first day of March, June, September and December in each year.

Beneficial holders of Series 21 Shares who wish to exercise their right of conversion during the conversion period, which runs from January 30, 2023, until 3:00 pm (MT) / 5:00 pm (ET) on February 14, 2023, should communicate as soon as possible with their broker or other intermediary for more information. It is recommended that this be done well in advance of the deadline in order to provide the broker or other intermediary with the time to complete the necessary steps. Any notices received after this deadline will not be valid.

As previously announced, the dividend payable on March 1, 2023, to holders of the Series 21 Shares of record on February 1, 2023, will be $0.30625 per Series 21 Share, consistent with the dividend rate in effect since the issuance of the Series 21 Shares. For more information on the terms of the Series 21 Shares and the Series 22 Shares, please see the prospectus supplement dated November 30, 2017, which can be found on SEDAR at www.sedar.com.

PPL.PF.A was issued as a FixedReset 4.90%+326M490 that commenced trading 2017-12-7 after being announced 2017-11-28. It is tracked by HIMIPref™, but has been relegated to the Scraps – FixedResets (Discount) subindex on credit concerns.

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

ENB.PR.D To Reset To 5.412%

January 30th, 2023

Enbridge Inc. has announced:

that it does not intend to exercise its right to redeem its currently outstanding Cumulative Redeemable Preference Shares, Series D (Series D Shares) (TSX: ENB.PR.D) on March 1, 2023. As a result, subject to certain conditions, the holders of the Series D Shares have the right to convert all or part of their Series D Shares on a one-for-one basis into Cumulative Redeemable Preference Shares, Series E of Enbridge (Series E Shares) on March 1, 2023. Holders who do not exercise their right to convert their Series D Shares into Series E Shares will retain their Series D Shares.

The foregoing conversion right is subject to the conditions that: (i) if Enbridge determines that there would be less than 1,000,000 Series D Shares outstanding after March 1, 2023, then all remaining Series D Shares will automatically be converted into Series E Shares on a one-for-one basis on March 1, 2023; and (ii) alternatively, if Enbridge determines that there would be less than 1,000,000 Series E Shares outstanding after March 1, 2023, no Series D Shares will be converted into Series E Shares. There are currently 18,000,000 Series D Shares outstanding.

With respect to any Series D Shares that remain outstanding after March 1, 2023, holders thereof will be entitled to receive quarterly fixed cumulative preferential cash dividends, as and when declared by the Board of Directors of Enbridge. The new annual dividend rate applicable to the Series D Shares for the five-year period commencing on March 1, 2023 to, but excluding, March 1, 2028 will be 5.412 percent, being equal to the five-year Government of Canada bond yield of 3.042 percent determined as of today plus 2.37 percent in accordance with the terms of the Series D Shares.

With respect to any Series E Shares that may be issued on March 1, 2023, holders thereof will be entitled to receive quarterly floating rate cumulative preferential cash dividends, as and when declared by the Board of Directors of Enbridge. The dividend rate applicable to the Series E Shares for the three-month floating rate period commencing on March 1, 2023 to, but excluding, June 1, 2023 will be 1.71901 percent, based on the annual rate on three month Government of Canada treasury bills for the most recent treasury bills auction of 4.45 percent plus 2.37 percent in accordance with the terms of the Series E Shares (the Floating Quarterly Dividend Rate). The Floating Quarterly Dividend Rate will be reset every quarter.

Beneficial holders of Series D Shares who wish to exercise their right of conversion during the conversion period, which runs from January 30, 2023 until 5:00 p.m. (EST) on February 14, 2023, should communicate as soon as possible with their broker or other intermediary for more information. It is recommended that this be done well in advance of the deadline in order to provide the broker or other intermediary time to complete the necessary steps. Any notices received after this deadline will not be valid.

ENB.PR.D is a FixedReset, 4.00%+237, that commenced trading 2011-11-23 after being announced 2011-11-14. It reset to 4.46% in 2018; I recommended against conversion; and there was no conversion. The issue is tracked by HIMIPref™ but relegated to the Scraps – FixedReset (Discount) subindex due to credit concerns.

Thanks to Assiduous Readers niagara and Fuzzybear for bringing this to my attention!

ENB.PF.K To Reset To 6.212%

January 30th, 2023

Enbridge Inc. has announced:

that it does not intend to exercise its right to redeem its currently outstanding Cumulative Redeemable Minimum Rate Reset Preference Shares, Series 19 (Series 19 Shares) (TSX: ENB.PF.K) on March 1, 2023. As a result, subject to certain conditions, the holders of the Series 19 Shares have the right to convert all or part of their Series 19 Shares on a one-for-one basis into Cumulative Redeemable Preference Shares, Series 20 of Enbridge (Series 20 Shares) on March 1, 2023. Holders who do not exercise their right to convert their Series 19 Shares into Series 20 Shares will retain their Series 19 Shares.

The foregoing conversion right is subject to the conditions that: (i) if Enbridge determines that there would be less than 1,000,000 Series 19 Shares outstanding after March 1, 2023, then all remaining Series 19 Shares will automatically be converted into Series 20 Shares on a one-for-one basis on March 1, 2023; and (ii) alternatively, if Enbridge determines that there would be less than 1,000,000 Series 20 Shares outstanding after March 1, 2023, no Series 19 Shares will be converted into Series 20 Shares. There are currently 20,000,000 Series 19 Shares outstanding.

With respect to any Series 19 Shares that remain outstanding after March 1, 2023, holders thereof will be entitled to receive quarterly fixed cumulative preferential cash dividends, as and when declared by the Board of Directors of Enbridge. The new annual dividend rate applicable to the Series 19 Shares for the five-year period commencing on March 1, 2023 to, but excluding, March 1, 2028 will be 6.212 percent, being equal to the five-year Government of Canada bond yield of 3.042 percent determined as of today plus 3.17 percent in accordance with the terms of the Series 19 Shares.

With respect to any Series 20 Shares that may be issued on March 1, 2023, holders thereof will be entitled to receive quarterly floating rate cumulative preferential cash dividends, as and when declared by the Board of Directors of Enbridge. The dividend rate applicable to the Series 20 Shares for the three-month floating rate period commencing on March 1, 2023 to, but excluding, June 1, 2023 will be 1.92066 percent, based on the annual rate on three month Government of Canada treasury bills for the most recent treasury bills auction of 4.45 percent plus 3.17 percent in accordance with the terms of the Series 20 Shares (the Floating Quarterly Dividend Rate). The Floating Quarterly Dividend Rate will be reset every quarter.

Beneficial holders of Series 19 Shares who wish to exercise their right of conversion during the conversion period, which runs from January 30, 2023 until 5:00 p.m. (EST) on February 14, 2023, should communicate as soon as possible with their broker or other intermediary for more information. It is recommended that this be done well in advance of the deadline in order to provide the broker or other intermediary time to complete the necessary steps. Any notices received after this deadline will not be valid.

ENB.PF.K was issued as a FixedReset 4.90%+317M490 that commenced trading 2017-2-11 after being announced 2017-12-4. It has been added to the HIMIPref™ database but has been relegated to the Scraps subindex on credit concerns.

Thanks to Assiduous Readers niagara and CanSiamCyp for bringing this to my attention!

January 30, 2023

January 30th, 2023

The BoC has announced:

The most recent addition to the Bank of Canada’s set of stakeholder surveys2 is the Market Participants Survey (MPS). The MPS engages a diverse set of participants in financial markets and gathers their views on key macroeconomic and financial variables as well as monetary policy. Bank staff conduct the MPS every quarter to gather timely information in a structured and systematic way and to enhance their monetary policy analysis and advice to Governing Council. MPS results help staff understand how market participants form their expectations and may also, over time, provide useful insights about the effectiveness of the Bank’s communication efforts and its monetary policy.

The pilot phase of the MPS began in 2019. The survey will soon be a permanent part of the Bank’s tool kit. The Bank will publish results regularly, beginning shortly after publication of the January 2023 Monetary Policy Report.

This note describes the MPS’s objectives and main features, its process and design, and how staff use the results.

Throughout the pilot phase of the MPS, the survey sample was expanded. The current set of 30 participants have been selected based on the following general criteria:

  • Relevance of expertise—Participants are senior economists or strategists involved in the areas addressed in the survey. However, survey responses are interpreted as not necessarily representing the view of the respondent’s organization, because not all participating institutions have public or firm-level forecasts. In some cases, people from different areas of an institution have different views (e.g., depending on the institution’s organizational structure, a commercial bank senior economist, an asset-management senior economist and a broker-dealer senior economist—all from the same institution—may have different forecasts and offer different perspectives).
  • Representativeness—The sample selection ensures the collection of a diverse set of opinions across institution types (see Chart 1).
  • Commitment to participate regularly in the survey—Participants are from institutions that are often involved in market intelligence activities. While participation in the MPS is voluntary, Bank staff work to ensure a high response rate and stability in the sample of respondents over time to maintain the quality of results.

Here’s two of the charts that were used to illustrate the announcement:

 

 

 

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 0.2627 % 2,567.9
FixedFloater 0.00 % 0.00 % 0 0.00 0 0.2627 % 4,925.2
Floater 8.78 % 8.94 % 52,636 10.41 2 0.2627 % 2,838.4
OpRet 0.00 % 0.00 % 0 0.00 0 -0.0539 % 3,420.8
SplitShare 4.91 % 6.44 % 57,806 2.81 7 -0.0539 % 4,085.2
Interest-Bearing 0.00 % 0.00 % 0 0.00 0 -0.0539 % 3,187.4
Perpetual-Premium 0.00 % 0.00 % 0 0.00 0 -0.1955 % 2,873.3
Perpetual-Discount 5.93 % 5.97 % 89,346 13.91 35 -0.1955 % 3,133.2
FixedReset Disc 5.37 % 7.17 % 92,730 12.54 62 -0.3175 % 2,256.4
Insurance Straight 5.80 % 5.95 % 94,539 13.96 20 -0.1500 % 3,094.6
FloatingReset 9.74 % 10.18 % 42,415 9.36 2 0.7341 % 2,561.6
FixedReset Prem 6.56 % 6.23 % 179,546 4.07 2 0.0591 % 2,395.5
FixedReset Bank Non 0.00 % 0.00 % 0 0.00 0 -0.3175 % 2,306.5
FixedReset Ins Non 5.40 % 7.05 % 51,859 12.68 14 0.2225 % 2,388.4
Performance Highlights
Issue Index Change Notes
IFC.PR.C FixedReset Disc -24.53 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2053-01-30
Maturity Price : 14.00
Evaluated at bid price : 14.00
Bid-YTW : 9.23 %
BMO.PR.Y FixedReset Disc -4.04 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2053-01-30
Maturity Price : 18.30
Evaluated at bid price : 18.30
Bid-YTW : 7.29 %
RY.PR.O Perpetual-Discount -3.46 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2053-01-30
Maturity Price : 22.01
Evaluated at bid price : 22.01
Bid-YTW : 5.58 %
BIP.PR.E FixedReset Disc -2.15 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2053-01-30
Maturity Price : 21.49
Evaluated at bid price : 21.80
Bid-YTW : 7.05 %
MFC.PR.L FixedReset Ins Non -1.86 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2053-01-30
Maturity Price : 16.89
Evaluated at bid price : 16.89
Bid-YTW : 7.67 %
PWF.PR.H Perpetual-Discount -1.63 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2053-01-30
Maturity Price : 23.33
Evaluated at bid price : 23.61
Bid-YTW : 6.12 %
NA.PR.W FixedReset Disc -1.48 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2053-01-30
Maturity Price : 17.25
Evaluated at bid price : 17.25
Bid-YTW : 7.46 %
PWF.PR.Z Perpetual-Discount -1.46 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2053-01-30
Maturity Price : 21.60
Evaluated at bid price : 21.60
Bid-YTW : 6.01 %
TD.PF.C FixedReset Disc -1.39 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2053-01-30
Maturity Price : 17.75
Evaluated at bid price : 17.75
Bid-YTW : 7.28 %
CM.PR.Y FixedReset Disc 1.04 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2053-01-30
Maturity Price : 24.04
Evaluated at bid price : 24.40
Bid-YTW : 6.73 %
TRP.PR.C FixedReset Disc 1.16 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2053-01-30
Maturity Price : 12.20
Evaluated at bid price : 12.20
Bid-YTW : 8.32 %
SLF.PR.J FloatingReset 1.17 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2053-01-30
Maturity Price : 15.51
Evaluated at bid price : 15.51
Bid-YTW : 9.69 %
BN.PF.G FixedReset Disc 1.20 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2053-01-30
Maturity Price : 16.80
Evaluated at bid price : 16.80
Bid-YTW : 8.22 %
IAF.PR.I FixedReset Ins Non 1.32 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2053-01-30
Maturity Price : 22.27
Evaluated at bid price : 23.00
Bid-YTW : 6.38 %
RY.PR.N Perpetual-Discount 1.41 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2053-01-30
Maturity Price : 22.68
Evaluated at bid price : 22.96
Bid-YTW : 5.33 %
TRP.PR.E FixedReset Disc 1.72 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2053-01-30
Maturity Price : 15.94
Evaluated at bid price : 15.94
Bid-YTW : 8.25 %
TRP.PR.B FixedReset Disc 2.00 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2053-01-30
Maturity Price : 11.75
Evaluated at bid price : 11.75
Bid-YTW : 8.36 %
MIC.PR.A Perpetual-Discount 3.08 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2053-01-30
Maturity Price : 20.10
Evaluated at bid price : 20.10
Bid-YTW : 6.82 %
Volume Highlights
Issue Index Shares
Traded
Notes
GWO.PR.R Insurance Straight 20,011 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2053-01-30
Maturity Price : 20.80
Evaluated at bid price : 20.80
Bid-YTW : 5.85 %
NA.PR.W FixedReset Disc 12,440 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2053-01-30
Maturity Price : 17.25
Evaluated at bid price : 17.25
Bid-YTW : 7.46 %
IFC.PR.C FixedReset Disc 10,950 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2053-01-30
Maturity Price : 14.00
Evaluated at bid price : 14.00
Bid-YTW : 9.23 %
PVS.PR.J SplitShare 10,450 YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2028-02-29
Maturity Price : 25.00
Evaluated at bid price : 22.88
Bid-YTW : 6.58 %
There were 0 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 – 18.55
Spot Rate : 4.5500
Average : 2.4312

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2053-01-30
Maturity Price : 14.00
Evaluated at bid price : 14.00
Bid-YTW : 9.23 %

EIT.PR.A SplitShare Quote: 24.51 – 25.57
Spot Rate : 1.0600
Average : 0.6222

YTW SCENARIO
Maturity Type : Soft Maturity
Maturity Date : 2024-03-14
Maturity Price : 25.00
Evaluated at bid price : 24.51
Bid-YTW : 7.27 %

RY.PR.O Perpetual-Discount Quote: 22.01 – 23.55
Spot Rate : 1.5400
Average : 1.1258

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2053-01-30
Maturity Price : 22.01
Evaluated at bid price : 22.01
Bid-YTW : 5.58 %

BMO.PR.Y FixedReset Disc Quote: 18.30 – 19.54
Spot Rate : 1.2400
Average : 0.8366

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2053-01-30
Maturity Price : 18.30
Evaluated at bid price : 18.30
Bid-YTW : 7.29 %

MIC.PR.A Perpetual-Discount Quote: 20.10 – 21.03
Spot Rate : 0.9300
Average : 0.6197

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2053-01-30
Maturity Price : 20.10
Evaluated at bid price : 20.10
Bid-YTW : 6.82 %

CU.PR.F Perpetual-Discount Quote: 19.65 – 20.74
Spot Rate : 1.0900
Average : 0.7927

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2053-01-30
Maturity Price : 19.65
Evaluated at bid price : 19.65
Bid-YTW : 5.83 %

OSP.PR.A To Reset At 8.00% For One Year Term

January 28th, 2023

Brompton Funds has announced:

As previously announced, the board of directors of Brompton Oil Split Corp. (the “Fund”) determined that it would extend the maturity date of the class A and preferred shares of the Company. Today, the board of directors announces that the new term of the Fund will be 1 year to March 28, 2024. In addition, the distribution rate for the preferred shares (the “Preferred Shares”) for the new term from March 31, 2023 to March 28, 2024 has been increased to $0.80 per Preferred Share per annum (8.0% on the original issue price of $10) payable quarterly. The new Preferred Share distribution rate is based on current market rates for preferred shares with similar terms. In addition, the Fund intends to maintain the targeted monthly Class A Share distribution rate at $0.10 per Class A Share.

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. The Manager believes that the Fund’s strategy is well positioned to participate in opportunities that are expected to continue in the energy sector.

In connection with the extension, shareholders who do not wish to continue their investment in the Fund, will be able to retract Preferred Shares or Class A Shares on March 30, 2023 pursuant to a special retraction right and receive a retraction price that is calculated in the same way that such price would be calculated if the Fund were to terminate on March 30, 2023. Pursuant to this option, the retraction price may be less than the market price if the security is trading at a premium to net asset value. To exercise this retraction right, shareholders must provide notice to their investment dealer by February 28, 2023 at 5:00 p.m. (Toronto time). Alternatively, shareholders may sell their Preferred Shares and/or Class A Shares through their securities dealer for the market price at any time, potentially at a higher price than would be achieved through retraction, or shareholders may take no action and continue to hold their shares.

Thanks to Assiduous Reader RAV4guy for bringing this to my attention. As he suggests, the crucial question is “Will it stop the current owners retracting?”, following the 41% retraction of SBC.PR.A at the end of 2022 and the 75% retraction of OSP.PR.A itself in early 2020. Well, you got me! The issue has been trading slightly under par during January and the Whole Unit NAPVU is 14.62 as of 2023-1-26, much healthier than the 8.28 at the end of February 2020. On the other hand, DGS.PR.A is yielding 9.63% at its current bid price of 9.45, despite a Whole Unit NAVPU of 15.29 as of 2023-1-26. Added to which, OSP.PR.A is inherently less credit-worthy due to its concentration in the oil industry. So retraction, or a prior sale on the market at 10.00+, certainly looks attractive! The decision would be far more complex if Brompton had offered a longer term for that big fat 8.00%.

The capital units, by the way, are trading above intrinisic value at 4.85 VWAP, but volume is low and the price shot up on Friday and there hasn’t been a Capital Unit Distribution for quite a while. It won’t take much of a capital share consolidation following preferred retraction to get the distribution flowing again … could it be that Friday’s buyers are anticipating exactly that, to be followed by a pop in the capital units from those who look for dividend yield without qualifications or reservations?

MFC.PR.I : No Conversion To FloatingReset

January 28th, 2023

This is very old (2022-9-6), but is being added for completeness: Manulife Financial Corporation has announced:

that after having taken into account all election notices received by the September 2, 2022 deadline for conversion of its currently outstanding 10,000,000 Non-cumulative Rate Reset Class 1 Shares Series 9 (the “Series 9 Preferred Shares”) (TSX: MFC.PR.I) into Non-cumulative Floating Rate Class 1 Shares Series 10 of Manulife (the “Series 10 Preferred Shares”), the holders of Series 9 Preferred Shares are not entitled to convert their Series 9 Preferred Shares into Series 10 Preferred Shares. There were 26,525 Series 9 Preferred Shares elected for conversion, which is less than the minimum one million shares required to give effect to conversions into Series 10 Preferred Shares.

As announced by Manulife on August 22, 2022, after September 19, 2022, holders of Series 9 Preferred Shares will be entitled to receive fixed rate non-cumulative preferential cash dividends on a quarterly basis, as and when declared by the Board of Directors of Manulife and subject to the provisions of the Insurance Companies Act (Canada). The dividend rate for the five-year period commencing on September 20, 2022, and ending on September 19, 2027, will be 5.97800% per annum or $0.373625 per share per quarter, being equal to the sum of the five-year Government of Canada bond yield as of August 22, 2022, plus 2.86%, as determined in accordance with the terms of the Series 9 Preferred Shares.

Subject to certain conditions described in the prospectus supplement dated May 16, 2012 relating to the issuance of the Series 9 Preferred Shares, Manulife may redeem the Series 9 Preferred Shares, in whole or in part, on September 19, 2027 and on September 19 every five years thereafter.

MFC.PR.I was issued as a FixedReset, 4.40%+286, that commenced trading 2012-5-24 after being announced 2012-5-16. After the 2017 announcement the issue would be extended, the rate was reset to 4.35100% and I recommended against conversion; there was no conversion. Notice of extension earlier in 2022 has been previously reported and announcement of the reset rate at 5.978% soon followed. MFC.PR.I is tracked by HIMIPref™ and is included in the FixedReset (Discount) subindex.

Thanks to Assiduous Reader JD for reminding me of incomplete reporting!

January 27, 2023

January 27th, 2023

Offbeat indices have been used to try and predict inflation. If I remember correctly, Greenspan liked one that had to do with trucks; but there’s another form of transport that has come to the fore:

The Fed was not alone in misreading the implications of the data already available in 2021. The IMF, whose mandate is to take an independent view of developments and policies in member countries, described the inflationary surge in a blog by its (then) chief economist, Gita Gopinath, in the same terms as the Fed, pointing to transitory causes and taking comfort in the anchoring of inflation expectations. Like the Fed, the IMF did not mention in its updates the possibility of economic overheating and inflation persistence.

Fast-forward to spring 2022: the IMF’s World Economic Outlook revealed that the institution’s inflation projections were off by a factor of more than 3 for advanced economies and 2 for all other countries. These facts show that the inflation surprise was global.

So was there a smoking gun? In a recent study, my coauthors and I focus on a key driver of global inflation that was very evident already in 2021: the rapid increase in global shipping costs. By October 2021, indicators of the cost of shipping containers by maritime freight had increased by over 600 percent from their pre-pandemic levels, while the cost of shipping bulk commodities by sea had more than tripled.

What caused this remarkable increase? As manufacturing activity picked up following extended COVID-19 lockdowns, demand for shipping intermediate inputs (such as energy and raw materials) by sea increased significantly. At the same time, shipping capacity was severely constrained by logistical hurdles and bottlenecks related to pandemic disruptions and shortages of container equipment. Ports around the world lacked workers, who had to self-isolate after testing positive for COVID-19, and public health restrictions prevented truck drivers and ship crews from crossing borders.

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 % 2,561.2
FixedFloater 0.00 % 0.00 % 0 0.00 0 0.0000 % 4,912.3
Floater 8.80 % 8.94 % 51,830 10.42 2 0.0000 % 2,831.0
OpRet 0.00 % 0.00 % 0 0.00 0 0.2462 % 3,422.6
SplitShare 4.91 % 6.47 % 59,921 2.81 7 0.2462 % 4,087.4
Interest-Bearing 0.00 % 0.00 % 0 0.00 0 0.2462 % 3,189.1
Perpetual-Premium 0.00 % 0.00 % 0 0.00 0 0.1482 % 2,878.9
Perpetual-Discount 5.92 % 5.95 % 91,135 13.92 35 0.1482 % 3,139.3
FixedReset Disc 5.35 % 7.04 % 93,476 12.75 62 0.1980 % 2,263.6
Insurance Straight 5.79 % 5.94 % 97,881 13.97 20 0.3646 % 3,099.2
FloatingReset 9.77 % 10.17 % 44,086 9.37 2 -0.3499 % 2,542.9
FixedReset Prem 6.56 % 6.15 % 179,963 4.08 2 0.2369 % 2,394.1
FixedReset Bank Non 0.00 % 0.00 % 0 0.00 0 0.1980 % 2,313.8
FixedReset Ins Non 5.42 % 6.95 % 52,280 12.79 14 -0.1032 % 2,383.1
Performance Highlights
Issue Index Change Notes
SLF.PR.H FixedReset Ins Non -1.98 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2053-01-27
Maturity Price : 15.81
Evaluated at bid price : 15.81
Bid-YTW : 7.38 %
RY.PR.N Perpetual-Discount -1.74 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2053-01-27
Maturity Price : 22.36
Evaluated at bid price : 22.64
Bid-YTW : 5.40 %
TRP.PR.E FixedReset Disc -1.45 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2053-01-27
Maturity Price : 15.67
Evaluated at bid price : 15.67
Bid-YTW : 8.26 %
FTS.PR.K FixedReset Disc -1.41 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2053-01-27
Maturity Price : 16.75
Evaluated at bid price : 16.75
Bid-YTW : 7.54 %
MIC.PR.A Perpetual-Discount -1.27 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2053-01-27
Maturity Price : 19.50
Evaluated at bid price : 19.50
Bid-YTW : 7.03 %
BMO.PR.F FixedReset Disc 1.02 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2053-01-27
Maturity Price : 23.83
Evaluated at bid price : 24.25
Bid-YTW : 6.58 %
MFC.PR.N FixedReset Ins Non 1.03 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2053-01-27
Maturity Price : 17.60
Evaluated at bid price : 17.60
Bid-YTW : 7.28 %
PWF.PR.Z Perpetual-Discount 1.11 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2053-01-27
Maturity Price : 21.65
Evaluated at bid price : 21.92
Bid-YTW : 5.90 %
SLF.PR.D Insurance Straight 1.11 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2053-01-27
Maturity Price : 20.07
Evaluated at bid price : 20.07
Bid-YTW : 5.61 %
IFC.PR.K Perpetual-Discount 1.14 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2053-01-27
Maturity Price : 21.87
Evaluated at bid price : 22.20
Bid-YTW : 5.97 %
BMO.PR.E FixedReset Disc 1.18 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2053-01-27
Maturity Price : 21.40
Evaluated at bid price : 21.40
Bid-YTW : 6.59 %
BMO.PR.Y FixedReset Disc 1.37 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2053-01-27
Maturity Price : 19.07
Evaluated at bid price : 19.07
Bid-YTW : 6.91 %
PWF.PR.L Perpetual-Discount 1.40 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2053-01-27
Maturity Price : 21.54
Evaluated at bid price : 21.80
Bid-YTW : 5.87 %
TD.PF.C FixedReset Disc 1.41 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2053-01-27
Maturity Price : 18.00
Evaluated at bid price : 18.00
Bid-YTW : 7.07 %
CU.PR.I FixedReset Disc 1.46 % YTW SCENARIO
Maturity Type : Call
Maturity Date : 2025-12-01
Maturity Price : 25.00
Evaluated at bid price : 24.38
Bid-YTW : 5.76 %
POW.PR.D Perpetual-Discount 1.47 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2053-01-27
Maturity Price : 21.35
Evaluated at bid price : 21.35
Bid-YTW : 5.91 %
GWO.PR.T Insurance Straight 1.53 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2053-01-27
Maturity Price : 21.87
Evaluated at bid price : 21.87
Bid-YTW : 5.96 %
PVS.PR.K SplitShare 1.55 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2029-05-31
Maturity Price : 25.00
Evaluated at bid price : 23.00
Bid-YTW : 6.15 %
BMO.PR.W FixedReset Disc 1.62 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2053-01-27
Maturity Price : 17.95
Evaluated at bid price : 17.95
Bid-YTW : 7.05 %
BN.PR.X FixedReset Disc 1.88 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2053-01-27
Maturity Price : 16.30
Evaluated at bid price : 16.30
Bid-YTW : 7.36 %
TD.PF.L FixedReset Disc 1.89 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2053-01-27
Maturity Price : 23.81
Evaluated at bid price : 24.25
Bid-YTW : 6.39 %
TRP.PR.G FixedReset Disc 2.53 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2053-01-27
Maturity Price : 17.43
Evaluated at bid price : 17.43
Bid-YTW : 7.85 %
Volume Highlights
Issue Index Shares
Traded
Notes
PWF.PR.R Perpetual-Discount 38,700 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2053-01-27
Maturity Price : 22.77
Evaluated at bid price : 23.05
Bid-YTW : 5.99 %
PWF.PR.Z Perpetual-Discount 36,817 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2053-01-27
Maturity Price : 21.65
Evaluated at bid price : 21.92
Bid-YTW : 5.90 %
SLF.PR.C Insurance Straight 28,150 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2053-01-27
Maturity Price : 20.10
Evaluated at bid price : 20.10
Bid-YTW : 5.60 %
BN.PR.T FixedReset Disc 21,868 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2053-01-27
Maturity Price : 15.10
Evaluated at bid price : 15.10
Bid-YTW : 8.17 %
NA.PR.C FixedReset Prem 21,060 YTW SCENARIO
Maturity Type : Call
Maturity Date : 2027-11-15
Maturity Price : 25.00
Evaluated at bid price : 25.87
Bid-YTW : 6.15 %
BN.PR.Z FixedReset Disc 18,680 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2053-01-27
Maturity Price : 21.61
Evaluated at bid price : 21.95
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
NA.PR.C FixedReset Prem Quote: 25.87 – 26.96
Spot Rate : 1.0900
Average : 0.6030

YTW SCENARIO
Maturity Type : Call
Maturity Date : 2027-11-15
Maturity Price : 25.00
Evaluated at bid price : 25.87
Bid-YTW : 6.15 %

NA.PR.E FixedReset Disc Quote: 20.85 – 22.13
Spot Rate : 1.2800
Average : 0.8020

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2053-01-27
Maturity Price : 20.85
Evaluated at bid price : 20.85
Bid-YTW : 6.70 %

BN.PR.R FixedReset Disc Quote: 14.67 – 15.44
Spot Rate : 0.7700
Average : 0.5016

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2053-01-27
Maturity Price : 14.67
Evaluated at bid price : 14.67
Bid-YTW : 8.25 %

MFC.PR.Q FixedReset Ins Non Quote: 20.18 – 21.10
Spot Rate : 0.9200
Average : 0.6705

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2053-01-27
Maturity Price : 20.18
Evaluated at bid price : 20.18
Bid-YTW : 6.95 %

BIP.PR.A FixedReset Disc Quote: 18.47 – 19.08
Spot Rate : 0.6100
Average : 0.4118

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2053-01-27
Maturity Price : 18.47
Evaluated at bid price : 18.47
Bid-YTW : 8.35 %

BN.PF.F FixedReset Disc Quote: 17.57 – 18.25
Spot Rate : 0.6800
Average : 0.5454

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2053-01-27
Maturity Price : 17.57
Evaluated at bid price : 17.57
Bid-YTW : 8.12 %

January 26, 2023

January 26th, 2023

Well, here’s a paper that will receive some attention! One of a long series, I’ll bet … The 2021–22 Surge in Inflation by Oleksiy Kryvtsov, Jim MacGee and Luis Uzeda:

The rise in inflation in 2021–22 sparked a growing literature and debate over the causes of the surge as well as the near- and medium-term path for inflation. This review offers three key messages. First, the exceptional nature of shocks resulting from the COVID-19 pandemic and geopolitical events drove the surge in inflation and the initial underestimation by many central banks of the extent of inflationary pressures. Second, the pandemic may have
accelerated structural changes in goods and labour markets, which are likely to put pressure on goods prices and wages in the medium and long term. Third, the resulting shifts in relative prices for goods, services and labour are unlikely to be large enough to threaten a return of inflation to target but may require somewhat higher interest rates than those in the decade before the pandemic.

My favourite chart is:

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 1.0618 % 2,561.2
FixedFloater 0.00 % 0.00 % 0 0.00 0 1.0618 % 4,912.3
Floater 8.80 % 8.94 % 51,141 10.42 2 1.0618 % 2,831.0
OpRet 0.00 % 0.00 % 0 0.00 0 0.4403 % 3,414.2
SplitShare 4.92 % 6.44 % 60,011 2.82 7 0.4403 % 4,077.3
Interest-Bearing 0.00 % 0.00 % 0 0.00 0 0.4403 % 3,181.3
Perpetual-Premium 0.00 % 0.00 % 0 0.00 0 0.2693 % 2,874.6
Perpetual-Discount 5.93 % 5.98 % 91,362 13.93 35 0.2693 % 3,134.6
FixedReset Disc 5.36 % 7.06 % 93,952 12.66 62 0.1890 % 2,259.1
Insurance Straight 5.82 % 5.97 % 97,919 13.90 20 0.2263 % 3,087.9
FloatingReset 9.74 % 10.10 % 43,835 9.43 2 0.0955 % 2,551.8
FixedReset Prem 6.58 % 6.18 % 172,565 4.08 2 0.1978 % 2,388.4
FixedReset Bank Non 0.00 % 0.00 % 0 0.00 0 0.1890 % 2,309.3
FixedReset Ins Non 5.41 % 6.89 % 52,727 12.79 14 0.6553 % 2,385.6
Performance Highlights
Issue Index Change Notes
CM.PR.Q FixedReset Disc -2.00 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2053-01-26
Maturity Price : 19.11
Evaluated at bid price : 19.11
Bid-YTW : 6.98 %
RY.PR.O Perpetual-Discount -1.97 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2053-01-26
Maturity Price : 22.66
Evaluated at bid price : 22.94
Bid-YTW : 5.33 %
NA.PR.G FixedReset Disc -1.95 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2053-01-26
Maturity Price : 21.31
Evaluated at bid price : 21.58
Bid-YTW : 6.64 %
BN.PF.C Perpetual-Discount -1.60 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2053-01-26
Maturity Price : 19.63
Evaluated at bid price : 19.63
Bid-YTW : 6.26 %
BIP.PR.F FixedReset Disc -1.44 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2053-01-26
Maturity Price : 20.50
Evaluated at bid price : 20.50
Bid-YTW : 7.24 %
BN.PF.D Perpetual-Discount -1.30 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2053-01-26
Maturity Price : 19.71
Evaluated at bid price : 19.71
Bid-YTW : 6.30 %
TRP.PR.C FixedReset Disc 1.01 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2053-01-26
Maturity Price : 12.02
Evaluated at bid price : 12.02
Bid-YTW : 8.29 %
PVS.PR.J SplitShare 1.10 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2028-02-29
Maturity Price : 25.00
Evaluated at bid price : 23.00
Bid-YTW : 6.44 %
IFC.PR.A FixedReset Ins Non 1.16 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2053-01-26
Maturity Price : 18.39
Evaluated at bid price : 18.39
Bid-YTW : 6.54 %
NA.PR.W FixedReset Disc 1.16 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2053-01-26
Maturity Price : 17.46
Evaluated at bid price : 17.46
Bid-YTW : 7.26 %
IFC.PR.F Insurance Straight 1.27 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2053-01-26
Maturity Price : 21.89
Evaluated at bid price : 22.26
Bid-YTW : 6.01 %
MIC.PR.A Perpetual-Discount 1.28 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2053-01-26
Maturity Price : 19.75
Evaluated at bid price : 19.75
Bid-YTW : 6.93 %
PWF.PR.T FixedReset Disc 1.30 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2053-01-26
Maturity Price : 18.69
Evaluated at bid price : 18.69
Bid-YTW : 7.12 %
TRP.PR.A FixedReset Disc 1.39 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2053-01-26
Maturity Price : 14.57
Evaluated at bid price : 14.57
Bid-YTW : 8.19 %
BN.PR.B Floater 1.45 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2053-01-26
Maturity Price : 13.30
Evaluated at bid price : 13.30
Bid-YTW : 8.97 %
BN.PF.H FixedReset Disc 1.46 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2053-01-26
Maturity Price : 22.80
Evaluated at bid price : 23.63
Bid-YTW : 7.18 %
CM.PR.P FixedReset Disc 1.64 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2053-01-26
Maturity Price : 17.94
Evaluated at bid price : 17.94
Bid-YTW : 7.06 %
IFC.PR.C FixedReset Disc 1.65 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2053-01-26
Maturity Price : 18.50
Evaluated at bid price : 18.50
Bid-YTW : 7.00 %
MFC.PR.Q FixedReset Ins Non 1.70 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2053-01-26
Maturity Price : 20.34
Evaluated at bid price : 20.34
Bid-YTW : 6.89 %
PVS.PR.K SplitShare 1.80 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2029-05-31
Maturity Price : 25.00
Evaluated at bid price : 22.65
Bid-YTW : 6.43 %
GWO.PR.L Insurance Straight 1.89 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2053-01-26
Maturity Price : 23.48
Evaluated at bid price : 23.75
Bid-YTW : 6.01 %
BN.PF.F FixedReset Disc 2.47 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2053-01-26
Maturity Price : 17.42
Evaluated at bid price : 17.42
Bid-YTW : 8.19 %
SLF.PR.H FixedReset Ins Non 2.54 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2053-01-26
Maturity Price : 16.13
Evaluated at bid price : 16.13
Bid-YTW : 7.24 %
MFC.PR.L FixedReset Ins Non 2.67 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2053-01-26
Maturity Price : 17.30
Evaluated at bid price : 17.30
Bid-YTW : 7.37 %
CU.PR.F Perpetual-Discount 3.42 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2053-01-26
Maturity Price : 19.65
Evaluated at bid price : 19.65
Bid-YTW : 5.83 %
TRP.PR.B FixedReset Disc 4.00 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2053-01-26
Maturity Price : 11.44
Evaluated at bid price : 11.44
Bid-YTW : 8.41 %
BN.PR.N Perpetual-Discount 4.07 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2053-01-26
Maturity Price : 19.20
Evaluated at bid price : 19.20
Bid-YTW : 6.27 %
BNS.PR.I FixedReset Disc 4.13 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2053-01-26
Maturity Price : 20.95
Evaluated at bid price : 20.95
Bid-YTW : 6.47 %
BN.PR.M Perpetual-Discount 7.81 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2053-01-26
Maturity Price : 19.19
Evaluated at bid price : 19.19
Bid-YTW : 6.27 %
Volume Highlights
Issue Index Shares
Traded
Notes
BN.PF.D Perpetual-Discount 40,278 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2053-01-26
Maturity Price : 19.71
Evaluated at bid price : 19.71
Bid-YTW : 6.30 %
BN.PR.T FixedReset Disc 39,100 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2053-01-26
Maturity Price : 15.10
Evaluated at bid price : 15.10
Bid-YTW : 8.17 %
MIC.PR.A Perpetual-Discount 26,200 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2053-01-26
Maturity Price : 19.75
Evaluated at bid price : 19.75
Bid-YTW : 6.93 %
RY.PR.H FixedReset Disc 18,615 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2053-01-26
Maturity Price : 18.14
Evaluated at bid price : 18.14
Bid-YTW : 7.03 %
BN.PF.C Perpetual-Discount 17,055 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2053-01-26
Maturity Price : 19.63
Evaluated at bid price : 19.63
Bid-YTW : 6.26 %
MFC.PR.C Insurance Straight 14,758 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2053-01-26
Maturity Price : 20.18
Evaluated at bid price : 20.18
Bid-YTW : 5.66 %
There were 3 other index-included issues trading in excess of 10,000 shares.
Wide Spread Highlights
Issue Index Quote Data and Yield Notes
BN.PF.A FixedReset Disc Quote: 19.90 – 21.95
Spot Rate : 2.0500
Average : 1.5664

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2053-01-26
Maturity Price : 19.90
Evaluated at bid price : 19.90
Bid-YTW : 7.46 %

PVS.PR.H SplitShare Quote: 23.55 – 24.75
Spot Rate : 1.2000
Average : 0.7242

YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2027-02-28
Maturity Price : 25.00
Evaluated at bid price : 23.55
Bid-YTW : 6.56 %

BMO.PR.W FixedReset Disc Quote: 17.90 – 18.75
Spot Rate : 0.8500
Average : 0.5771

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2053-01-26
Maturity Price : 17.90
Evaluated at bid price : 17.90
Bid-YTW : 7.17 %

RY.PR.O Perpetual-Discount Quote: 22.94 – 23.76
Spot Rate : 0.8200
Average : 0.5855

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2053-01-26
Maturity Price : 22.66
Evaluated at bid price : 22.94
Bid-YTW : 5.33 %

TD.PF.K FixedReset Disc Quote: 20.75 – 21.48
Spot Rate : 0.7300
Average : 0.5442

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2053-01-26
Maturity Price : 20.75
Evaluated at bid price : 20.75
Bid-YTW : 6.72 %

NA.PR.S FixedReset Disc Quote: 18.20 – 19.00
Spot Rate : 0.8000
Average : 0.6296

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2053-01-26
Maturity Price : 18.20
Evaluated at bid price : 18.20
Bid-YTW : 7.28 %

BoC Hikes Policy 25bp to 4.50%; Prime Follows

January 25th, 2023

The Bank of Canada has announced it has:

today increased its target for the overnight rate to 4½%, with the Bank Rate at 4¾% and the deposit rate at 4½%. The Bank is also continuing its policy of quantitative tightening.

Global inflation remains high and broad-based. Inflation is coming down in many countries, largely reflecting lower energy prices as well as improvements in global supply chains. In the United States and Europe, economies are slowing but proving more resilient than was expected at the time of the Bank’s October Monetary Policy Report (MPR). China’s abrupt lifting of COVID-19 restrictions has prompted an upward revision to the growth forecast for China and poses an upside risk to commodity prices. Russia’s war on Ukraine remains a significant source of uncertainty. Financial conditions remain restrictive but have eased since October, and the Canadian dollar has been relatively stable against the US dollar.

The Bank estimates the global economy grew by about 3½% in 2022, and will slow to about 2% in 2023 and 2½% in 2024. This projection is slightly higher than October’s.

In Canada, recent economic growth has been stronger than expected and the economy remains in excess demand. Labour markets are still tight: the unemployment rate is near historic lows and businesses are reporting ongoing difficulty finding workers. However, there is growing evidence that restrictive monetary policy is slowing activity, especially household spending. Consumption growth has moderated from the first half of 2022 and housing market activity has declined substantially. As the effects of interest rate increases continue to work through the economy, spending on consumer services and business investment are expected to slow. Meanwhile, weaker foreign demand will likely weigh on exports. This overall slowdown in activity will allow supply to catch up with demand.

The Bank estimates Canada’s economy grew by 3.6% in 2022, slightly stronger than was projected in October. Growth is expected to stall through the middle of 2023, picking up later in the year. The Bank expects GDP growth of about 1% in 2023 and about 2% in 2024, little changed from the October outlook.

Inflation has declined from 8.1% in June to 6.3% in December, reflecting lower gasoline prices and, more recently, moderating prices for durable goods. Despite this progress, Canadians are still feeling the hardship of high inflation in their essential household expenses, with persistent price increases for food and shelter. Short-term inflation expectations remain elevated. Year-over-year measures of core inflation are still around 5%, but 3-month measures of core inflation have come down, suggesting that core inflation has peaked.

Inflation is projected to come down significantly this year. Lower energy prices, improvements in global supply conditions, and the effects of higher interest rates on demand are expected to bring CPI inflation down to around 3% in the middle of this year and back to the 2% target in 2024.

With persistent excess demand putting continued upward pressure on many prices, Governing Council decided to increase the policy interest rate by a further 25 basis points. The Bank’s ongoing program of quantitative tightening is complementing the restrictive stance of the policy rate. If economic developments evolve broadly in line with the MPR outlook, Governing Council expects to hold the policy rate at its current level while it assesses the impact of the cumulative interest rate increases. Governing Council is prepared to increase the policy rate further if needed to return inflation to the 2% target, and remains resolute in its commitment to restoring price stability for Canadians.

The Monetary Policy Report has also been made available.

David Parkinson points out:

The Bank of Canada warned that although the pace of wage growth “appears to have plateaued” in the range of 4 to 5 per cent annually, it remains a threat to achieving a return to its 2-per-cent inflation target.

In its Monetary Policy Report, the bank didn’t mince words.

“Unless a surprisingly strong pick-up in productivity growth occurs, sustained 4 per cent to 5 per cent growth is not consistent with achieving the 2-per-cent inflation target.”

Think of a sustainable pace for wage growth as the rate of productivity growth plus the rate of inflation.

So, you would need productivity to grow by between 2 and 3 per cent annually to support this sort of wage growth while sustaining 2-per-cent inflation. Labour productivity grew 0.6 per cent in the third quarter compared to the second quarter (the latest figures available from Statistics Canada), but actually declined 0.3 per cent year over year.

The implication is that if wage growth doesn’t retreat, barring a surge in productivity, the bank’s quest for 2-per-cent inflation will run into a road block – and higher interest rates for longer may be necessary to achieve the target.

Prime followed:

Well, Rob Carrick and Ryan Siever will be mad:

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

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

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

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

January 25, 2023

January 25th, 2023

TXPR closed at 576.60, down 0.65% on the day. Volume today was 1.21-million, near the median of the past 21 trading days.

CPD closed at 11.47, down 0.78% on the day. Volume was 93,580, slightly below the median of the past 21 trading days.

ZPR closed at 9.525, down 0.16% on the day. Volume was 171,820, well below the median of the past 21 trading days.

Five-year Canada yields were were down to 2.90% today.

The preferred market was weak all day, but it was a late day collapse that did the damage in our sector. More generally, pundits blamed earnings:

The S&P 500 ended nominally lower on Wednesday as a string of corporate earnings ran the gamut from downbeat to dismal, reviving worries over the economic impact of the U.S. Federal Reserve’s restrictive policy. The TSX also closed with a modest loss, as market players took in what could be the final Bank of Canada rate hike for this monetary tightening cycle and began aggressively pricing in the possibility of interest rate cuts before year end.

The S&P/TSX Composite index and all three major U.S. stock indexes pared their losses throughout the afternoon to close well off session lows, with the blue-chip Dow eking out a small gain in the final minutes.

The tech-laden Nasdaq was weighed down after Microsoft Corp, the first major technology firm to post quarterly results, offered dour guidance and raised red flags with respect to its megacap peers which have yet to report.

Interest rate probabilities show about 89% odds of the bank making no change to its overnight rate at its next announcement on March 8, according to Refinitiv Eikon data.

But following the bank’s 10 am announcement and Monetary Policy Report, credit markets started making their most aggressive bets yet that the central bank’s key lending rate will start coming down later this year as the bank shifts from inflation fighting to providing support to a slowing economy. They are now fully pricing in a 25 basis point cut by the Oct. 25 Bank of Canada meeting. And they are positioned for an overnight rate of 4.07% by the Dec. 6 meeting. That implies money markets are getting close to pricing in a 50 basis point cut in the overnight rate by the end of this year.

PerpetualDiscounts now yield 5.99%, equivalent to 7.79% interest at the standard equivalency factor of 1.3x. Long corporates yielded 4.89% on 2023-1-20 and since then the closing price has changed from 15.51 to 15.59, an increase of 52bp in price, with a Duration of 12.36 (BMO doesn’t specify whether this is Macaulay or Modified Duration; I will assume Modified) which implies a decline in yield of about 4bp since 1/20 to 4.85%, so the pre-tax interest-equivalent spread (in this context, the “Seniority Spread”) has narrowed to about 295bp from the 305bp reported January 18.

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 -0.7527 % 2,534.3
FixedFloater 0.00 % 0.00 % 0 0.00 0 -0.7527 % 4,860.7
Floater 8.56 % 8.66 % 51,833 10.69 2 -0.7527 % 2,801.2
OpRet 0.00 % 0.00 % 0 0.00 0 0.1571 % 3,399.3
SplitShare 4.95 % 6.57 % 60,051 2.82 7 0.1571 % 4,059.5
Interest-Bearing 0.00 % 0.00 % 0 0.00 0 0.1571 % 3,167.3
Perpetual-Premium 0.00 % 0.00 % 0 0.00 0 -0.5947 % 2,866.9
Perpetual-Discount 5.94 % 5.99 % 93,497 13.91 35 -0.5947 % 3,126.2
FixedReset Disc 5.37 % 7.06 % 96,373 12.67 62 -0.6417 % 2,254.8
Insurance Straight 5.83 % 5.98 % 98,127 13.89 20 -0.2634 % 3,081.0
FloatingReset 9.75 % 10.10 % 42,685 9.44 2 -1.0709 % 2,549.4
FixedReset Prem 6.59 % 6.21 % 173,775 4.08 2 -0.0395 % 2,383.7
FixedReset Bank Non 0.00 % 0.00 % 0 0.00 0 -0.6417 % 2,304.9
FixedReset Ins Non 5.45 % 7.01 % 53,408 12.82 14 -0.6550 % 2,370.1
Performance Highlights
Issue Index Change Notes
BN.PR.M Perpetual-Discount -9.18 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2053-01-25
Maturity Price : 17.80
Evaluated at bid price : 17.80
Bid-YTW : 6.76 %
TRP.PR.B FixedReset Disc -5.01 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2053-01-25
Maturity Price : 11.00
Evaluated at bid price : 11.00
Bid-YTW : 8.72 %
BN.PR.N Perpetual-Discount -4.99 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2053-01-25
Maturity Price : 18.45
Evaluated at bid price : 18.45
Bid-YTW : 6.52 %
MFC.PR.L FixedReset Ins Non -3.33 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2053-01-25
Maturity Price : 16.85
Evaluated at bid price : 16.85
Bid-YTW : 7.56 %
CU.PR.F Perpetual-Discount -3.16 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2053-01-25
Maturity Price : 19.00
Evaluated at bid price : 19.00
Bid-YTW : 6.03 %
PWF.PR.P FixedReset Disc -3.11 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2053-01-25
Maturity Price : 13.10
Evaluated at bid price : 13.10
Bid-YTW : 7.76 %
BN.PF.H FixedReset Disc -2.76 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2053-01-25
Maturity Price : 22.62
Evaluated at bid price : 23.29
Bid-YTW : 7.29 %
MFC.PR.N FixedReset Ins Non -2.68 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2053-01-25
Maturity Price : 17.42
Evaluated at bid price : 17.42
Bid-YTW : 7.35 %
MFC.PR.Q FixedReset Ins Non -2.68 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2053-01-25
Maturity Price : 20.00
Evaluated at bid price : 20.00
Bid-YTW : 7.01 %
IAF.PR.B Insurance Straight -2.50 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2053-01-25
Maturity Price : 20.26
Evaluated at bid price : 20.26
Bid-YTW : 5.74 %
BN.PF.F FixedReset Disc -2.24 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2053-01-25
Maturity Price : 17.00
Evaluated at bid price : 17.00
Bid-YTW : 8.39 %
TRP.PR.C FixedReset Disc -2.22 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2053-01-25
Maturity Price : 11.90
Evaluated at bid price : 11.90
Bid-YTW : 8.37 %
RY.PR.J FixedReset Disc -1.99 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2053-01-25
Maturity Price : 19.50
Evaluated at bid price : 19.50
Bid-YTW : 6.87 %
CM.PR.P FixedReset Disc -1.94 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2053-01-25
Maturity Price : 17.65
Evaluated at bid price : 17.65
Bid-YTW : 7.17 %
BMO.PR.W FixedReset Disc -1.91 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2053-01-25
Maturity Price : 18.00
Evaluated at bid price : 18.00
Bid-YTW : 7.13 %
RY.PR.H FixedReset Disc -1.88 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2053-01-25
Maturity Price : 18.15
Evaluated at bid price : 18.15
Bid-YTW : 7.02 %
GWO.PR.L Insurance Straight -1.85 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2053-01-25
Maturity Price : 23.04
Evaluated at bid price : 23.31
Bid-YTW : 6.12 %
TRP.PR.A FixedReset Disc -1.78 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2053-01-25
Maturity Price : 14.37
Evaluated at bid price : 14.37
Bid-YTW : 8.30 %
TD.PF.B FixedReset Disc -1.77 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2053-01-25
Maturity Price : 17.80
Evaluated at bid price : 17.80
Bid-YTW : 7.21 %
TD.PF.A FixedReset Disc -1.61 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2053-01-25
Maturity Price : 17.67
Evaluated at bid price : 17.67
Bid-YTW : 7.18 %
RY.PR.M FixedReset Disc -1.60 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2053-01-25
Maturity Price : 18.43
Evaluated at bid price : 18.43
Bid-YTW : 6.97 %
BMO.PR.E FixedReset Disc -1.59 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2053-01-25
Maturity Price : 21.36
Evaluated at bid price : 21.65
Bid-YTW : 6.60 %
BMO.PR.Y FixedReset Disc -1.55 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2053-01-25
Maturity Price : 19.00
Evaluated at bid price : 19.00
Bid-YTW : 7.00 %
SLF.PR.D Insurance Straight -1.55 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2053-01-25
Maturity Price : 19.70
Evaluated at bid price : 19.70
Bid-YTW : 5.72 %
TRP.PR.F FloatingReset -1.47 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2053-01-25
Maturity Price : 16.11
Evaluated at bid price : 16.11
Bid-YTW : 10.10 %
BN.PR.B Floater -1.43 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2053-01-25
Maturity Price : 13.11
Evaluated at bid price : 13.11
Bid-YTW : 8.76 %
TD.PF.C FixedReset Disc -1.39 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2053-01-25
Maturity Price : 17.75
Evaluated at bid price : 17.75
Bid-YTW : 7.17 %
TD.PF.J FixedReset Disc -1.30 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2053-01-25
Maturity Price : 21.69
Evaluated at bid price : 22.08
Bid-YTW : 6.45 %
BN.PR.X FixedReset Disc -1.18 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2053-01-25
Maturity Price : 15.91
Evaluated at bid price : 15.91
Bid-YTW : 7.54 %
BN.PR.R FixedReset Disc -1.14 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2053-01-25
Maturity Price : 14.69
Evaluated at bid price : 14.69
Bid-YTW : 8.24 %
CU.PR.I FixedReset Disc -1.11 % YTW SCENARIO
Maturity Type : Call
Maturity Date : 2025-12-01
Maturity Price : 25.00
Evaluated at bid price : 24.03
Bid-YTW : 6.31 %
IAF.PR.I FixedReset Ins Non -1.10 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2053-01-25
Maturity Price : 22.00
Evaluated at bid price : 22.55
Bid-YTW : 6.41 %
MIC.PR.A Perpetual-Discount -1.02 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2053-01-25
Maturity Price : 19.50
Evaluated at bid price : 19.50
Bid-YTW : 7.02 %
BMO.PR.T FixedReset Disc 1.13 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2053-01-25
Maturity Price : 17.95
Evaluated at bid price : 17.95
Bid-YTW : 7.17 %
FTS.PR.H FixedReset Disc 1.43 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2053-01-25
Maturity Price : 13.50
Evaluated at bid price : 13.50
Bid-YTW : 7.54 %
BIP.PR.A FixedReset Disc 2.35 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2053-01-25
Maturity Price : 18.32
Evaluated at bid price : 18.32
Bid-YTW : 8.42 %
MFC.PR.M FixedReset Ins Non 2.35 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2053-01-25
Maturity Price : 17.40
Evaluated at bid price : 17.40
Bid-YTW : 7.50 %
NA.PR.G FixedReset Disc 2.37 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2053-01-25
Maturity Price : 21.62
Evaluated at bid price : 22.01
Bid-YTW : 6.50 %
CM.PR.O FixedReset Disc 4.34 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2053-01-25
Maturity Price : 18.26
Evaluated at bid price : 18.26
Bid-YTW : 7.06 %
Volume Highlights
Issue Index Shares
Traded
Notes
BN.PF.C Perpetual-Discount 36,201 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2053-01-25
Maturity Price : 19.95
Evaluated at bid price : 19.95
Bid-YTW : 6.16 %
CM.PR.Q FixedReset Disc 33,588 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2053-01-25
Maturity Price : 19.50
Evaluated at bid price : 19.50
Bid-YTW : 6.84 %
TD.PF.I FixedReset Prem 31,636 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2053-01-25
Maturity Price : 23.09
Evaluated at bid price : 24.75
Bid-YTW : 6.10 %
CU.PR.J Perpetual-Discount 27,387 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2053-01-25
Maturity Price : 20.19
Evaluated at bid price : 20.19
Bid-YTW : 5.99 %
TD.PF.M FixedReset Disc 24,900 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2053-01-25
Maturity Price : 24.02
Evaluated at bid price : 24.38
Bid-YTW : 6.60 %
CM.PR.S FixedReset Disc 20,211 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2053-01-25
Maturity Price : 21.84
Evaluated at bid price : 22.30
Bid-YTW : 6.10 %
There were 12 other index-included issues trading in excess of 10,000 shares.
Wide Spread Highlights
Issue Index Quote Data and Yield Notes
BN.PR.M Perpetual-Discount Quote: 17.80 – 19.70
Spot Rate : 1.9000
Average : 1.1258

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2053-01-25
Maturity Price : 17.80
Evaluated at bid price : 17.80
Bid-YTW : 6.76 %

BN.PR.N Perpetual-Discount Quote: 18.45 – 20.80
Spot Rate : 2.3500
Average : 1.7003

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2053-01-25
Maturity Price : 18.45
Evaluated at bid price : 18.45
Bid-YTW : 6.52 %

MFC.PR.N FixedReset Ins Non Quote: 17.42 – 18.40
Spot Rate : 0.9800
Average : 0.5905

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2053-01-25
Maturity Price : 17.42
Evaluated at bid price : 17.42
Bid-YTW : 7.35 %

CM.PR.Y FixedReset Disc Quote: 24.04 – 24.99
Spot Rate : 0.9500
Average : 0.6572

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2053-01-25
Maturity Price : 23.64
Evaluated at bid price : 24.04
Bid-YTW : 6.73 %

TRP.PR.B FixedReset Disc Quote: 11.00 – 12.06
Spot Rate : 1.0600
Average : 0.7713

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2053-01-25
Maturity Price : 11.00
Evaluated at bid price : 11.00
Bid-YTW : 8.72 %

RY.PR.H FixedReset Disc Quote: 18.15 – 18.75
Spot Rate : 0.6000
Average : 0.3558

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2053-01-25
Maturity Price : 18.15
Evaluated at bid price : 18.15
Bid-YTW : 7.02 %