July PrefLetter Released!

July 14th, 2019

The July, 2019, 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.

PrefLetter may now be purchased by all Canadian residents.

Until further notice, the “Previous Edition” will refer to the July, 2019, issue, while the “Next Edition” will be the August, 2019, issue, scheduled to be prepared as of the close August 9, 2019, and eMailed to subscribers prior to market-opening on August 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: 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?).

TD.PF.B : Convert or Hold?

July 12th, 2019

It will be recalled that TD.PF.B will reset At 3.681% effective July 31, 2019.

TD.PF.B is a FixedReset 3.80%+227, NVCC-compliant, issue that commenced trading 2017-7-31 after being announced 2014-7-22. TD provided notice of extension on 2019-6-25. The issue is tracked by HIMIPref™ and is assigned to the FixedReset (Discount) subindex.

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. TD.PF.B and the FloatingReset that will exist if enough holders convert). 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).

pairs_fr_190712
Click for Big

The market appears to have lost its fleeting interest in floating rate product; the implied rates until the next interconversion are well below the current 3-month bill rate as the averages for investment-grade and junk issues are at +0.66% and +0.95%, respectively. Whatever might be the result of the next few Bank of Canada overnight rate decisions, I suggest that it is unlikely that the average rate over the next five years will be lower than current – but if you disagree, of course, you may interpret the data any way you like.

Since credit quality of each element of the pair is equal to the other element, it should not make any difference whether the pair examined is investment-grade or junk, although we might expect greater variation of implied rates between junk issues on grounds of lower liquidity, and this is just what we see.

If we plug in the current bid price of the TD.PF.B FixedReset, we may construct the following table showing consistent prices for its soon-may-be-issued FloatingReset counterpart given a variety of Implied Breakeven yields consistent with issues currently trading:

Estimate of FloatingReset (received in exchange for TD.PF.B) Trading Price In Current Conditions
  Assumed FloatingReset
Price if Implied Bill
is equal to
FixedReset Bid Price Spread 1.50% 1.00% 0.50%
TD.PF.B 18.03 227bp 18.12 17.62 17.11

Based on current market conditions, I suggest that the FloatingResets that will result from conversion are likely to trade below the price of their FixedReset counterparts, TD.PF.B. Therefore, I recommend that holders of TD.PF.B continue to hold the issue and not to convert. I will note that once the FloatingResets commence trading (if, in fact, they do) it may be a good trade to swap one issue for the other in the market once both elements of each pair are trading and you can – hopefully – do it with a reasonably good take-out in price, rather than doing it through the company on a 1:1 basis. But that, of course, will depend on the prices at that time and your forecast for the path of policy rates over the next five years. There are no guarantees – my recommendation is based on the assumption that current market conditions with respect to the pairs will continue until the FloatingResets commence trading and that the relative pricing of the two new pairs will reflect these conditions.

Those who wish to convert are advised that the deadline for notifying the company of such a desire is 5:00 p.m. (Toronto time) on July 16, 2019. Brokers and other intermediaries generally set their internal deadlines a day or two in advance of this date, so if you wish to convert there’s no time to waste! 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.

CM.PR.O : Convert or Hold?

July 12th, 2019

It will be recalled that CM.PR.O will reset At 3.713% effective July 31, 2019.

CM.PR.O is a FixedReset, 3.90%+232, NVCC-compliant, that commenced trading 2014-6-11 after being announced 2014-6-2. The extension was announced 2019-6-12. It is tracked by HIMIPref™ and is assigned to the FixedReset (Discount) subindex.

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. CM.PR.O and the FloatingReset that will exist if enough holders convert). 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).

pairs_fr_190712
Click for Big

The market appears to have lost its fleeting interest in floating rate product; the implied rates until the next interconversion are well below the current 3-month bill rate as the averages for investment-grade and junk issues are at +0.66% and +0.95%, respectively. Whatever might be the result of the next few Bank of Canada overnight rate decisions, I suggest that it is unlikely that the average rate over the next five years will be lower than current – but if you disagree, of course, you may interpret the data any way you like.

Since credit quality of each element of the pair is equal to the other element, it should not make any difference whether the pair examined is investment-grade or junk, although we might expect greater variation of implied rates between junk issues on grounds of lower liquidity, and this is just what we see.

If we plug in the current bid price of the CM.PR.O FixedReset, we may construct the following table showing consistent prices for its soon-may-be-issued FloatingReset counterpart given a variety of Implied Breakeven yields consistent with issues currently trading:

Estimate of FloatingReset (received in exchange for CM.PR.O) Trading Price In Current Conditions
  Assumed FloatingReset
Price if Implied Bill
is equal to
FixedReset Bid Price Spread 1.50% 1.00% 0.50%
CM.PR.O 17.32 232bp 17.43 16.93 16.43

Based on current market conditions, I suggest that the FloatingResets that will result from conversion are likely to trade below the price of their FixedReset counterparts, CM.PR.O. Therefore, I recommend that holders of CM.PR.O continue to hold the issue and not to convert. I will note that once the FloatingResets commence trading (if, in fact, they do) it may be a good trade to swap one issue for the other in the market once both elements of each pair are trading and you can – hopefully – do it with a reasonably good take-out in price, rather than doing it through the company on a 1:1 basis. But that, of course, will depend on the prices at that time and your forecast for the path of policy rates over the next five years. There are no guarantees – my recommendation is based on the assumption that current market conditions with respect to the pairs will continue until the FloatingResets commence trading and that the relative pricing of the two new pairs will reflect these conditions.

Those who wish to convert are advised that the deadline for notifying the company of such a desire is 5:00 p.m. (Eastern Daylight Time) on July 16, 2019. Brokers and other intermediaries generally set their internal deadlines a day or two in advance of this date, so if you wish to convert there’s no time to waste! 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.

BRF.PR.C : Convert or Hold?

July 12th, 2019

It will be recalled that BRF.PR.C will reset At 4.351% effective August 1, 2019.

BRF.PR.C is a FixedReset, 4.40%+294, that commenced trading 2010-10-11 after being announced 2010-10-1. The issue has been tracked by HIMIPref™, but assigned to the Scraps – FixedReset (Discount) subindex on credit concerns.

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. BRF.PR.C and the FloatingReset that will exist if enough holders convert). 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).

pairs_fr_190712
Click for Big

The market appears to have lost its fleeting interest in floating rate product; the implied rates until the next interconversion are well below the current 3-month bill rate as the averages for investment-grade and junk issues are at +0.66% and +0.95%, respectively. Whatever might be the result of the next few Bank of Canada overnight rate decisions, I suggest that it is unlikely that the average rate over the next five years will be lower than current – but if you disagree, of course, you may interpret the data any way you like.

Since credit quality of each element of the pair is equal to the other element, it should not make any difference whether the pair examined is investment-grade or junk, although we might expect greater variation of implied rates between junk issues on grounds of lower liquidity, and this is just what we see.

If we plug in the current bid price of the BRF.PR.C FixedReset, we may construct the following table showing consistent prices for its soon-may-be-issued FloatingReset counterpart given a variety of Implied Breakeven yields consistent with issues currently trading:

Estimate of FloatingReset (received in exchange for BRF.PR.C) Trading Price In Current Conditions
  Assumed FloatingReset
Price if Implied Bill
is equal to
FixedReset Bid Price Spread 1.50% 1.00% 0.50%
BRF.PR.C 16.51 294bp 16.59 16.12 15.65

Based on current market conditions, I suggest that the FloatingResets that will result from conversion are likely to trade below the price of their FixedReset counterparts, BRF.PR.C. Therefore, I recommend that holders of BRF.PR.C continue to hold the issue and not to convert. I will note that once the FloatingResets commence trading (if, in fact, they do) it may be a good trade to swap one issue for the other in the market once both elements of each pair are trading and you can – hopefully – do it with a reasonably good take-out in price, rather than doing it through the company on a 1:1 basis. But that, of course, will depend on the prices at that time and your forecast for the path of policy rates over the next five years. There are no guarantees – my recommendation is based on the assumption that current market conditions with respect to the pairs will continue until the FloatingResets commence trading and that the relative pricing of the two new pairs will reflect these conditions.

Those who wish to convert are advised that the deadline for notifying the company of such a desire is 5:00 p.m. (Toronto time) on July 16, 2019. Brokers and other intermediaries generally set their internal deadlines a day or two in advance of this date, so if you wish to convert there’s no time to waste! 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.

July 12, 2019

July 12th, 2019
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 0.5487 % 1,973.1
FixedFloater 0.00 % 0.00 % 0 0.00 0 0.5487 % 3,620.5
Floater 6.04 % 6.22 % 37,177 13.59 4 0.5487 % 2,086.5
OpRet 0.00 % 0.00 % 0 0.00 0 0.0056 % 3,342.9
SplitShare 4.66 % 4.62 % 79,070 4.16 7 0.0056 % 3,992.1
Interest-Bearing 0.00 % 0.00 % 0 0.00 0 0.0056 % 3,114.8
Perpetual-Premium 5.62 % -18.67 % 55,501 0.09 7 0.0337 % 2,977.5
Perpetual-Discount 5.46 % 5.56 % 60,190 14.58 25 -0.0747 % 3,113.5
FixedReset Disc 5.37 % 5.37 % 157,843 14.76 69 -0.1969 % 2,140.0
Deemed-Retractible 5.23 % 5.88 % 70,445 7.99 27 -0.0300 % 3,105.6
FloatingReset 4.03 % 4.35 % 39,963 2.46 4 -0.0131 % 2,370.1
FixedReset Prem 5.14 % 3.83 % 170,856 1.93 17 -0.1557 % 2,591.2
FixedReset Bank Non 1.98 % 4.10 % 99,530 2.47 3 -0.0418 % 2,648.3
FixedReset Ins Non 5.23 % 7.42 % 91,851 8.04 22 0.0263 % 2,180.8
Performance Highlights
Issue Index Change Notes
CM.PR.O FixedReset Disc -2.48 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-07-12
Maturity Price : 17.32
Evaluated at bid price : 17.32
Bid-YTW : 5.62 %
BAM.PR.X FixedReset Disc -2.21 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-07-12
Maturity Price : 12.84
Evaluated at bid price : 12.84
Bid-YTW : 6.38 %
IAF.PR.I FixedReset Ins Non -1.44 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2030-01-31
Maturity Price : 25.00
Evaluated at bid price : 20.60
Bid-YTW : 6.97 %
MFC.PR.H FixedReset Ins Non -1.29 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2030-01-31
Maturity Price : 25.00
Evaluated at bid price : 20.73
Bid-YTW : 6.96 %
BIP.PR.E FixedReset Disc -1.19 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-07-12
Maturity Price : 21.50
Evaluated at bid price : 21.50
Bid-YTW : 5.87 %
TRP.PR.D FixedReset Disc -1.13 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-07-12
Maturity Price : 16.59
Evaluated at bid price : 16.59
Bid-YTW : 5.94 %
CM.PR.T FixedReset Disc -1.09 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-07-12
Maturity Price : 22.96
Evaluated at bid price : 24.42
Bid-YTW : 5.01 %
SLF.PR.G FixedReset Ins Non -1.08 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2030-01-31
Maturity Price : 25.00
Evaluated at bid price : 13.75
Bid-YTW : 9.91 %
RY.PR.H FixedReset Disc 1.14 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-07-12
Maturity Price : 18.60
Evaluated at bid price : 18.60
Bid-YTW : 5.21 %
MFC.PR.N FixedReset Ins Non 1.16 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2030-01-31
Maturity Price : 25.00
Evaluated at bid price : 17.46
Bid-YTW : 8.27 %
IFC.PR.A FixedReset Ins Non 1.17 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2030-01-31
Maturity Price : 25.00
Evaluated at bid price : 15.62
Bid-YTW : 8.95 %
BIP.PR.A FixedReset Disc 1.21 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-07-12
Maturity Price : 19.24
Evaluated at bid price : 19.24
Bid-YTW : 6.68 %
CCS.PR.C Deemed-Retractible 1.51 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2030-01-31
Maturity Price : 25.00
Evaluated at bid price : 23.50
Bid-YTW : 5.82 %
MFC.PR.M FixedReset Ins Non 1.66 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2030-01-31
Maturity Price : 25.00
Evaluated at bid price : 17.77
Bid-YTW : 8.12 %
IFC.PR.C FixedReset Ins Non 1.84 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2030-01-31
Maturity Price : 25.00
Evaluated at bid price : 18.25
Bid-YTW : 7.85 %
Volume Highlights
Issue Index Shares
Traded
Notes
CM.PR.T FixedReset Disc 137,741 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-07-12
Maturity Price : 22.96
Evaluated at bid price : 24.42
Bid-YTW : 5.01 %
CM.PR.S FixedReset Disc 137,100 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-07-12
Maturity Price : 19.20
Evaluated at bid price : 19.20
Bid-YTW : 5.38 %
HSE.PR.A FixedReset Disc 106,700 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-07-12
Maturity Price : 12.70
Evaluated at bid price : 12.70
Bid-YTW : 6.33 %
TD.PF.B FixedReset Disc 98,235 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-07-12
Maturity Price : 18.03
Evaluated at bid price : 18.03
Bid-YTW : 5.33 %
TRP.PR.B FixedReset Disc 95,758 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-07-12
Maturity Price : 11.85
Evaluated at bid price : 11.85
Bid-YTW : 5.97 %
TRP.PR.D FixedReset Disc 59,350 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-07-12
Maturity Price : 16.59
Evaluated at bid price : 16.59
Bid-YTW : 5.94 %
There were 21 other index-included issues trading in excess of 10,000 shares.
Wide Spread Highlights
Issue Index Quote Data and Yield Notes
BAM.PR.X FixedReset Disc Quote: 12.84 – 13.32
Spot Rate : 0.4800
Average : 0.3067

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-07-12
Maturity Price : 12.84
Evaluated at bid price : 12.84
Bid-YTW : 6.38 %

CM.PR.O FixedReset Disc Quote: 17.32 – 17.74
Spot Rate : 0.4200
Average : 0.2559

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-07-12
Maturity Price : 17.32
Evaluated at bid price : 17.32
Bid-YTW : 5.62 %

TRP.PR.D FixedReset Disc Quote: 16.59 – 17.00
Spot Rate : 0.4100
Average : 0.2529

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-07-12
Maturity Price : 16.59
Evaluated at bid price : 16.59
Bid-YTW : 5.94 %

W.PR.K FixedReset Prem Quote: 25.27 – 25.79
Spot Rate : 0.5200
Average : 0.3697

YTW SCENARIO
Maturity Type : Call
Maturity Date : 2021-01-15
Maturity Price : 25.00
Evaluated at bid price : 25.27
Bid-YTW : 4.49 %

CM.PR.T FixedReset Disc Quote: 24.42 – 24.80
Spot Rate : 0.3800
Average : 0.2446

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-07-12
Maturity Price : 22.96
Evaluated at bid price : 24.42
Bid-YTW : 5.01 %

BAM.PF.J FixedReset Disc Quote: 23.89 – 24.33
Spot Rate : 0.4400
Average : 0.3275

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-07-12
Maturity Price : 22.86
Evaluated at bid price : 23.89
Bid-YTW : 4.95 %

July 11, 2019

July 11th, 2019
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 -0.1534 % 1,962.3
FixedFloater 0.00 % 0.00 % 0 0.00 0 -0.1534 % 3,600.7
Floater 6.07 % 6.23 % 37,655 13.58 4 -0.1534 % 2,075.1
OpRet 0.00 % 0.00 % 0 0.00 0 0.2317 % 3,342.7
SplitShare 4.66 % 4.57 % 79,701 4.16 7 0.2317 % 3,991.9
Interest-Bearing 0.00 % 0.00 % 0 0.00 0 0.2317 % 3,114.6
Perpetual-Premium 5.62 % -18.21 % 56,114 0.09 7 0.0844 % 2,976.5
Perpetual-Discount 5.46 % 5.53 % 62,146 14.64 25 0.1670 % 3,115.8
FixedReset Disc 5.36 % 5.35 % 161,141 14.82 69 0.1788 % 2,144.3
Deemed-Retractible 5.23 % 5.87 % 71,283 8.00 27 -0.0395 % 3,106.6
FloatingReset 4.03 % 4.34 % 41,607 2.46 4 0.3286 % 2,370.4
FixedReset Prem 5.13 % 3.95 % 171,604 1.93 17 0.1490 % 2,595.3
FixedReset Bank Non 1.98 % 4.22 % 103,150 2.47 3 0.2935 % 2,649.4
FixedReset Ins Non 5.23 % 7.43 % 93,913 8.05 22 -0.1003 % 2,180.2
Performance Highlights
Issue Index Change Notes
IFC.PR.C FixedReset Ins Non -2.08 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2030-01-31
Maturity Price : 25.00
Evaluated at bid price : 17.92
Bid-YTW : 8.06 %
SLF.PR.C Deemed-Retractible -1.96 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2030-01-31
Maturity Price : 25.00
Evaluated at bid price : 21.04
Bid-YTW : 6.61 %
IFC.PR.A FixedReset Ins Non -1.03 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2030-01-31
Maturity Price : 25.00
Evaluated at bid price : 15.44
Bid-YTW : 9.08 %
HSE.PR.C FixedReset Disc 1.03 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-07-11
Maturity Price : 18.59
Evaluated at bid price : 18.59
Bid-YTW : 6.33 %
SLF.PR.I FixedReset Ins Non 1.06 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2030-01-31
Maturity Price : 25.00
Evaluated at bid price : 19.12
Bid-YTW : 7.43 %
BIK.PR.A FixedReset Prem 1.14 % YTW SCENARIO
Maturity Type : Call
Maturity Date : 2024-03-31
Maturity Price : 25.00
Evaluated at bid price : 25.84
Bid-YTW : 5.12 %
BMO.PR.W FixedReset Disc 1.15 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-07-11
Maturity Price : 17.62
Evaluated at bid price : 17.62
Bid-YTW : 5.42 %
PWF.PR.P FixedReset Disc 1.51 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-07-11
Maturity Price : 13.46
Evaluated at bid price : 13.46
Bid-YTW : 5.72 %
TD.PF.D FixedReset Disc 1.59 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-07-11
Maturity Price : 20.49
Evaluated at bid price : 20.49
Bid-YTW : 5.25 %
IAF.PR.B Deemed-Retractible 1.59 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2030-01-31
Maturity Price : 25.00
Evaluated at bid price : 21.75
Bid-YTW : 6.36 %
MFC.PR.I FixedReset Ins Non 1.91 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2030-01-31
Maturity Price : 25.00
Evaluated at bid price : 19.73
Bid-YTW : 7.36 %
Volume Highlights
Issue Index Shares
Traded
Notes
TD.PF.M FixedReset Disc 188,955 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-07-11
Maturity Price : 23.15
Evaluated at bid price : 24.99
Bid-YTW : 5.06 %
HSE.PR.C FixedReset Disc 69,669 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-07-11
Maturity Price : 18.59
Evaluated at bid price : 18.59
Bid-YTW : 6.33 %
TD.PF.B FixedReset Disc 69,020 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-07-11
Maturity Price : 18.01
Evaluated at bid price : 18.01
Bid-YTW : 5.30 %
TD.PF.H FixedReset Prem 56,489 YTW SCENARIO
Maturity Type : Call
Maturity Date : 2021-10-31
Maturity Price : 25.00
Evaluated at bid price : 25.36
Bid-YTW : 4.08 %
IAF.PR.G FixedReset Ins Non 38,438 YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2030-01-31
Maturity Price : 25.00
Evaluated at bid price : 20.51
Bid-YTW : 6.63 %
HSE.PR.A FixedReset Disc 31,131 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-07-11
Maturity Price : 12.72
Evaluated at bid price : 12.72
Bid-YTW : 6.28 %
There were 12 other index-included issues trading in excess of 10,000 shares.
Wide Spread Highlights
Issue Index Quote Data and Yield Notes
BMO.PR.Y FixedReset Disc Quote: 19.75 – 20.50
Spot Rate : 0.7500
Average : 0.4462

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-07-11
Maturity Price : 19.75
Evaluated at bid price : 19.75
Bid-YTW : 5.42 %

IAF.PR.I FixedReset Ins Non Quote: 20.90 – 21.49
Spot Rate : 0.5900
Average : 0.3588

YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2030-01-31
Maturity Price : 25.00
Evaluated at bid price : 20.90
Bid-YTW : 6.77 %

CCS.PR.C Deemed-Retractible Quote: 23.15 – 23.97
Spot Rate : 0.8200
Average : 0.6086

YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2030-01-31
Maturity Price : 25.00
Evaluated at bid price : 23.15
Bid-YTW : 6.01 %

CM.PR.Q FixedReset Disc Quote: 19.38 – 19.88
Spot Rate : 0.5000
Average : 0.3548

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-07-11
Maturity Price : 19.38
Evaluated at bid price : 19.38
Bid-YTW : 5.54 %

GWO.PR.H Deemed-Retractible Quote: 22.16 – 22.63
Spot Rate : 0.4700
Average : 0.3683

YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2030-01-31
Maturity Price : 25.00
Evaluated at bid price : 22.16
Bid-YTW : 6.40 %

BAM.PF.J FixedReset Disc Quote: 23.88 – 24.17
Spot Rate : 0.2900
Average : 0.2042

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-07-11
Maturity Price : 22.86
Evaluated at bid price : 23.88
Bid-YTW : 4.95 %

July 10, 2019

July 10th, 2019

The BoC maintained the policy rate:

The Bank of Canada today maintained its target for the overnight rate at 1 ¾ percent. The Bank Rate is correspondingly 2 percent and the deposit rate is 1 ½ percent.

Evidence has been accumulating that ongoing trade tensions are having a material effect on the global economic outlook. The Bank had already incorporated such negative effects in previous Monetary Policy Reports (MPR) and in this forecast has made further adjustments in light of weaker sentiment and activity in major economies. Trade conflicts between the United States and China, in particular, are curbing manufacturing activity and business investment and pushing down commodity prices.

Policy is responding to the slowdown: central banks in the US and Europe have signalled their readiness to provide more accommodative monetary policy and further policy stimulus has been implemented in China. In this context, global financial conditions have eased substantially. The Bank now expects global GDP to grow by 3 percent in 2019 and to strengthen to around 3 ¼ percent in 2020 and 2021, with the US slowing to a pace near its potential. Escalation of trade conflicts remains the biggest downside risk to the global and Canadian outlooks.

Following temporary weakness in late 2018 and early 2019, Canada’s economy is returning to growth around potential, as expected. Growth in the second quarter appears to be stronger than predicted due to some temporary factors, including the reversal of weather-related slowdowns in the first quarter and a surge in oil production. Consumption is being supported by a healthy labour market. At the national level, the housing market is stabilizing, although there are still significant adjustments underway in some regions. A material decline in longer-term mortgage rates is supporting housing activity. Exports rebounded in the second quarter and will grow moderately as foreign demand continues to expand. However, ongoing trade conflicts and competitiveness challenges are dampening the outlook for trade and investment. The Bank projects real GDP growth to average 1.3 percent in 2019 and about 2 percent in 2020 and 2021.

Inflation remains around the 2 percent target, with some recent upward pressure from higher food and automobile prices. Core measures of inflation are also close to 2 percent. CPI inflation will likely dip this year because of the dynamics of gasoline prices and some other temporary factors. As slack in the economy is absorbed and these temporary effects wane, inflation is expected to return sustainably to 2 percent by mid-2020.

Recent data show the Canadian economy is returning to potential growth. However, the outlook is clouded by persistent trade tensions. Taken together, the degree of accommodation being provided by the current policy interest rate remains appropriate. As Governing Council continues to monitor incoming data, it will pay particular attention to developments in the energy sector and the impact of trade conflicts on the prospects for Canadian growth and inflation.

As usual, there was no record published of the votes, let alone a brief summary of any reasons for dissent. In order to get that, you need competence and confidence as qualities of your committee members.

Gundy’s trying to bring back preferred securitis:

CIBC World Markets Corp. says a new type of bond has opened up the debt markets to mid-sized companies seeking to issue debt without diluting existing shareholders’ stakes.

The listed bonds, which were pioneered by CIBC, are similar to convertible debentures in that they trade on an exchange, making them more accessible to yield-hungry retail investors looking to invest in familiar names. But unlike convertible bonds, these offerings can’t be converted into equity, nor do they come with warrants attached, so current shareholders won’t experience dilution.

CIBC has done four such deals in recent months, and the bank predicts more to come. The latest, a $100-million bought deal for Fiera Capital Corp. bearing a 5.6-per-cent interest rate, started trading last week.

Referred to as senior subordinated unsecured debentures, the bonds rank below bank debt but above some types of capital markets debt, Mr. Swan said.

Exchange-traded bonds are hardly novel, but they get full marks for trying to reintroduce them. It would be nice to see a return of the preferred securities market, but maybe that comes later. I am not permitted to link directly to the Fiera Capital issue’s prospectus, since the regulators believe that access to public documents is too precious for the public to have convenient access, but go to SEDAR and search for “Fiera Capital Corporation (formerly Fiera Sceptre Inc.) Jun 18 2019 15:42:29 ET Preliminary short form prospectus – English PDF 264 K”

PerpetualDiscounts now yield 5.53%, equivalent to 7.19% interest at the standard equivalency factor of 1.3x. Long corporates now yield 3.42%, so the pre-tax interest-equivalent spread (in this context, the “Seniority Spread”) is now about 375bp, significantly narrower than the 385bp reported July 3.

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

Values are provisional and are finalized monthly
Index Mean
Current
Yield
(at bid)
Median
YTW
Median
Average
Trading
Value
Median
Mod Dur
(YTW)
Issues Day’s Perf. Index Value
Ratchet 0.00 % 0.00 % 0 0.00 0 0.0877 % 1,965.3
FixedFloater 0.00 % 0.00 % 0 0.00 0 0.0877 % 3,606.2
Floater 6.06 % 6.22 % 37,451 13.59 4 0.0877 % 2,078.3
OpRet 0.00 % 0.00 % 0 0.00 0 -0.0791 % 3,335.0
SplitShare 4.67 % 4.69 % 80,100 4.16 7 -0.0791 % 3,982.7
Interest-Bearing 0.00 % 0.00 % 0 0.00 0 -0.0791 % 3,107.4
Perpetual-Premium 5.63 % -18.38 % 58,422 0.09 7 0.0113 % 2,974.0
Perpetual-Discount 5.47 % 5.53 % 63,658 14.59 25 0.1045 % 3,110.6
FixedReset Disc 5.37 % 5.34 % 164,541 14.81 69 -0.5239 % 2,140.4
Deemed-Retractible 5.23 % 5.90 % 71,541 8.00 27 0.0918 % 3,107.8
FloatingReset 4.04 % 4.34 % 43,317 2.47 4 0.0000 % 2,362.6
FixedReset Prem 5.14 % 3.69 % 172,281 1.94 17 -0.0756 % 2,591.4
FixedReset Bank Non 1.99 % 4.34 % 104,473 2.47 3 -0.1814 % 2,641.7
FixedReset Ins Non 5.22 % 7.47 % 93,605 8.04 22 -0.1787 % 2,182.4
Performance Highlights
Issue Index Change Notes
BAM.PF.A FixedReset Disc -2.19 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-07-10
Maturity Price : 19.17
Evaluated at bid price : 19.17
Bid-YTW : 6.05 %
BIP.PR.A FixedReset Disc -2.08 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-07-10
Maturity Price : 18.86
Evaluated at bid price : 18.86
Bid-YTW : 6.79 %
TD.PF.D FixedReset Disc -1.90 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-07-10
Maturity Price : 20.17
Evaluated at bid price : 20.17
Bid-YTW : 5.33 %
NA.PR.G FixedReset Disc -1.89 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-07-10
Maturity Price : 20.80
Evaluated at bid price : 20.80
Bid-YTW : 5.37 %
IAF.PR.B Deemed-Retractible -1.79 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2030-01-31
Maturity Price : 25.00
Evaluated at bid price : 21.41
Bid-YTW : 6.56 %
SLF.PR.I FixedReset Ins Non -1.71 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2030-01-31
Maturity Price : 25.00
Evaluated at bid price : 18.92
Bid-YTW : 7.56 %
RY.PR.M FixedReset Disc -1.66 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-07-10
Maturity Price : 19.60
Evaluated at bid price : 19.60
Bid-YTW : 5.33 %
SLF.PR.B Deemed-Retractible -1.60 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2030-01-31
Maturity Price : 25.00
Evaluated at bid price : 22.15
Bid-YTW : 6.35 %
NA.PR.C FixedReset Disc -1.44 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-07-10
Maturity Price : 21.48
Evaluated at bid price : 21.84
Bid-YTW : 5.55 %
CM.PR.R FixedReset Disc -1.41 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-07-10
Maturity Price : 21.41
Evaluated at bid price : 21.75
Bid-YTW : 5.54 %
BMO.PR.E FixedReset Disc -1.40 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-07-10
Maturity Price : 21.20
Evaluated at bid price : 21.20
Bid-YTW : 5.24 %
BAM.PF.B FixedReset Disc -1.37 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-07-10
Maturity Price : 17.95
Evaluated at bid price : 17.95
Bid-YTW : 5.97 %
TRP.PR.E FixedReset Disc -1.34 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-07-10
Maturity Price : 16.25
Evaluated at bid price : 16.25
Bid-YTW : 6.01 %
TRP.PR.G FixedReset Disc -1.33 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-07-10
Maturity Price : 18.51
Evaluated at bid price : 18.51
Bid-YTW : 6.09 %
TD.PF.J FixedReset Disc -1.31 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-07-10
Maturity Price : 21.17
Evaluated at bid price : 21.17
Bid-YTW : 5.13 %
PWF.PR.P FixedReset Disc -1.27 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-07-10
Maturity Price : 13.26
Evaluated at bid price : 13.26
Bid-YTW : 5.80 %
CM.PR.P FixedReset Disc -1.26 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-07-10
Maturity Price : 17.30
Evaluated at bid price : 17.30
Bid-YTW : 5.48 %
TD.PF.K FixedReset Disc -1.19 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-07-10
Maturity Price : 20.72
Evaluated at bid price : 20.72
Bid-YTW : 5.17 %
BMO.PR.W FixedReset Disc -1.19 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-07-10
Maturity Price : 17.42
Evaluated at bid price : 17.42
Bid-YTW : 5.48 %
MFC.PR.I FixedReset Ins Non -1.17 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2030-01-31
Maturity Price : 25.00
Evaluated at bid price : 19.36
Bid-YTW : 7.60 %
CU.PR.C FixedReset Disc -1.16 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-07-10
Maturity Price : 17.85
Evaluated at bid price : 17.85
Bid-YTW : 5.46 %
CM.PR.S FixedReset Disc -1.13 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-07-10
Maturity Price : 19.26
Evaluated at bid price : 19.26
Bid-YTW : 5.34 %
TRP.PR.D FixedReset Disc -1.12 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-07-10
Maturity Price : 16.75
Evaluated at bid price : 16.75
Bid-YTW : 5.86 %
BMO.PR.C FixedReset Disc -1.07 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-07-10
Maturity Price : 22.48
Evaluated at bid price : 23.05
Bid-YTW : 5.26 %
GWO.PR.G Deemed-Retractible 1.02 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2030-01-31
Maturity Price : 25.00
Evaluated at bid price : 23.75
Bid-YTW : 5.90 %
IFC.PR.F Deemed-Retractible 1.04 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2030-01-31
Maturity Price : 25.00
Evaluated at bid price : 24.25
Bid-YTW : 5.74 %
CU.PR.G Perpetual-Discount 1.20 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-07-10
Maturity Price : 21.05
Evaluated at bid price : 21.05
Bid-YTW : 5.42 %
SLF.PR.C Deemed-Retractible 1.42 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2030-01-31
Maturity Price : 25.00
Evaluated at bid price : 21.46
Bid-YTW : 6.36 %
TRP.PR.A FixedReset Disc 1.42 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-07-10
Maturity Price : 14.25
Evaluated at bid price : 14.25
Bid-YTW : 6.12 %
EMA.PR.F FixedReset Disc 1.45 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-07-10
Maturity Price : 17.51
Evaluated at bid price : 17.51
Bid-YTW : 6.06 %
SLF.PR.G FixedReset Ins Non 1.45 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2030-01-31
Maturity Price : 25.00
Evaluated at bid price : 14.00
Bid-YTW : 9.66 %
BAM.PF.E FixedReset Disc 1.75 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-07-10
Maturity Price : 16.85
Evaluated at bid price : 16.85
Bid-YTW : 6.15 %
Volume Highlights
Issue Index Shares
Traded
Notes
TD.PF.H FixedReset Prem 208,665 YTW SCENARIO
Maturity Type : Call
Maturity Date : 2021-10-31
Maturity Price : 25.00
Evaluated at bid price : 25.26
Bid-YTW : 4.26 %
TRP.PR.D FixedReset Disc 81,597 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-07-10
Maturity Price : 16.75
Evaluated at bid price : 16.75
Bid-YTW : 5.86 %
BIP.PR.C FixedReset Prem 58,100 YTW SCENARIO
Maturity Type : Call
Maturity Date : 2021-09-30
Maturity Price : 25.00
Evaluated at bid price : 25.00
Bid-YTW : 5.45 %
BMO.PR.F FixedReset Disc 41,872 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-07-10
Maturity Price : 23.19
Evaluated at bid price : 25.05
Bid-YTW : 5.05 %
SLF.PR.B Deemed-Retractible 39,500 YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2030-01-31
Maturity Price : 25.00
Evaluated at bid price : 22.15
Bid-YTW : 6.35 %
TD.PF.A FixedReset Disc 38,903 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-07-10
Maturity Price : 18.04
Evaluated at bid price : 18.04
Bid-YTW : 5.25 %
There were 16 other index-included issues trading in excess of 10,000 shares.
Wide Spread Highlights
Issue Index Quote Data and Yield Notes
IAF.PR.B Deemed-Retractible Quote: 21.41 – 22.12
Spot Rate : 0.7100
Average : 0.5346

YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2030-01-31
Maturity Price : 25.00
Evaluated at bid price : 21.41
Bid-YTW : 6.56 %

SLF.PR.B Deemed-Retractible Quote: 22.15 – 22.60
Spot Rate : 0.4500
Average : 0.2776

YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2030-01-31
Maturity Price : 25.00
Evaluated at bid price : 22.15
Bid-YTW : 6.35 %

PVS.PR.F SplitShare Quote: 25.22 – 25.60
Spot Rate : 0.3800
Average : 0.2507

YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2024-09-30
Maturity Price : 25.00
Evaluated at bid price : 25.22
Bid-YTW : 4.73 %

TD.PF.D FixedReset Disc Quote: 20.17 – 20.60
Spot Rate : 0.4300
Average : 0.3087

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-07-10
Maturity Price : 20.17
Evaluated at bid price : 20.17
Bid-YTW : 5.33 %

GWO.PR.F Deemed-Retractible Quote: 25.70 – 26.10
Spot Rate : 0.4000
Average : 0.2844

YTW SCENARIO
Maturity Type : Call
Maturity Date : 2019-08-09
Maturity Price : 25.00
Evaluated at bid price : 25.70
Bid-YTW : -24.19 %

PWF.PR.P FixedReset Disc Quote: 13.26 – 13.78
Spot Rate : 0.5200
Average : 0.4146

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-07-10
Maturity Price : 13.26
Evaluated at bid price : 13.26
Bid-YTW : 5.80 %

July 9, 2019

July 9th, 2019
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 -0.7619 % 1,963.6
FixedFloater 0.00 % 0.00 % 0 0.00 0 -0.7619 % 3,603.1
Floater 6.06 % 6.19 % 37,565 13.65 4 -0.7619 % 2,076.5
OpRet 0.00 % 0.00 % 0 0.00 0 -0.0452 % 3,337.6
SplitShare 4.67 % 4.61 % 80,927 4.16 7 -0.0452 % 3,985.8
Interest-Bearing 0.00 % 0.00 % 0 0.00 0 -0.0452 % 3,109.9
Perpetual-Premium 5.63 % -16.13 % 60,763 0.09 7 0.0944 % 2,973.6
Perpetual-Discount 5.47 % 5.54 % 64,830 14.59 25 0.0830 % 3,107.4
FixedReset Disc 5.34 % 5.35 % 167,400 14.91 69 0.1384 % 2,151.7
Deemed-Retractible 5.24 % 5.91 % 71,754 8.00 27 0.0285 % 3,105.0
FloatingReset 4.04 % 4.32 % 44,897 2.47 4 -0.1050 % 2,362.6
FixedReset Prem 5.14 % 3.70 % 172,435 1.94 17 0.0496 % 2,593.4
FixedReset Bank Non 1.98 % 4.28 % 108,202 2.48 3 -0.2505 % 2,646.5
FixedReset Ins Non 5.21 % 7.36 % 87,608 8.06 22 -0.0500 % 2,186.3
Performance Highlights
Issue Index Change Notes
PWF.PR.T FixedReset Disc -2.32 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-07-09
Maturity Price : 18.09
Evaluated at bid price : 18.09
Bid-YTW : 5.53 %
BAM.PR.K Floater -2.31 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-07-09
Maturity Price : 11.01
Evaluated at bid price : 11.01
Bid-YTW : 6.34 %
HSE.PR.C FixedReset Disc -1.87 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-07-09
Maturity Price : 18.33
Evaluated at bid price : 18.33
Bid-YTW : 6.42 %
MFC.PR.Q FixedReset Ins Non -1.66 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2030-01-31
Maturity Price : 25.00
Evaluated at bid price : 19.52
Bid-YTW : 7.48 %
IFC.PR.A FixedReset Ins Non -1.46 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2030-01-31
Maturity Price : 25.00
Evaluated at bid price : 15.52
Bid-YTW : 9.01 %
EMA.PR.F FixedReset Disc -1.37 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-07-09
Maturity Price : 17.26
Evaluated at bid price : 17.26
Bid-YTW : 6.15 %
IFC.PR.G FixedReset Ins Non -1.17 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2030-01-31
Maturity Price : 25.00
Evaluated at bid price : 20.26
Bid-YTW : 7.08 %
IFC.PR.F Deemed-Retractible -1.03 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2030-01-31
Maturity Price : 25.00
Evaluated at bid price : 24.00
Bid-YTW : 5.87 %
BMO.PR.S FixedReset Disc 1.01 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-07-09
Maturity Price : 19.05
Evaluated at bid price : 19.05
Bid-YTW : 5.15 %
SLF.PR.G FixedReset Ins Non 1.02 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2030-01-31
Maturity Price : 25.00
Evaluated at bid price : 13.80
Bid-YTW : 9.83 %
BIP.PR.A FixedReset Disc 1.05 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-07-09
Maturity Price : 19.26
Evaluated at bid price : 19.26
Bid-YTW : 6.64 %
TRP.PR.A FixedReset Disc 1.08 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-07-09
Maturity Price : 14.05
Evaluated at bid price : 14.05
Bid-YTW : 6.20 %
BAM.PF.B FixedReset Disc 1.11 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-07-09
Maturity Price : 18.20
Evaluated at bid price : 18.20
Bid-YTW : 5.89 %
TD.PF.A FixedReset Disc 1.12 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-07-09
Maturity Price : 18.17
Evaluated at bid price : 18.17
Bid-YTW : 5.21 %
PWF.PR.P FixedReset Disc 1.30 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-07-09
Maturity Price : 13.43
Evaluated at bid price : 13.43
Bid-YTW : 5.73 %
BAM.PR.R FixedReset Disc 1.31 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-07-09
Maturity Price : 15.43
Evaluated at bid price : 15.43
Bid-YTW : 6.12 %
CU.PR.C FixedReset Disc 1.46 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-07-09
Maturity Price : 18.06
Evaluated at bid price : 18.06
Bid-YTW : 5.40 %
MFC.PR.N FixedReset Ins Non 1.51 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2030-01-31
Maturity Price : 25.00
Evaluated at bid price : 17.45
Bid-YTW : 8.24 %
CM.PR.P FixedReset Disc 1.86 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-07-09
Maturity Price : 17.52
Evaluated at bid price : 17.52
Bid-YTW : 5.41 %
TRP.PR.G FixedReset Disc 2.46 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-07-09
Maturity Price : 18.76
Evaluated at bid price : 18.76
Bid-YTW : 6.00 %
Volume Highlights
Issue Index Shares
Traded
Notes
TD.PF.G FixedReset Prem 405,970 YTW SCENARIO
Maturity Type : Call
Maturity Date : 2021-04-30
Maturity Price : 25.00
Evaluated at bid price : 25.72
Bid-YTW : 3.65 %
CM.PR.R FixedReset Disc 87,177 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-07-09
Maturity Price : 21.79
Evaluated at bid price : 22.06
Bid-YTW : 5.46 %
TRP.PR.K FixedReset Disc 84,100 YTW SCENARIO
Maturity Type : Call
Maturity Date : 2022-05-31
Maturity Price : 25.00
Evaluated at bid price : 24.97
Bid-YTW : 5.17 %
RY.PR.A Deemed-Retractible 65,600 YTW SCENARIO
Maturity Type : Call
Maturity Date : 2019-08-08
Maturity Price : 25.00
Evaluated at bid price : 25.28
Bid-YTW : -2.33 %
TRP.PR.D FixedReset Disc 49,650 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-07-09
Maturity Price : 16.94
Evaluated at bid price : 16.94
Bid-YTW : 5.79 %
BAM.PR.T FixedReset Disc 47,775 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-07-09
Maturity Price : 15.55
Evaluated at bid price : 15.55
Bid-YTW : 6.13 %
There were 22 other index-included issues trading in excess of 10,000 shares.
Wide Spread Highlights
Issue Index Quote Data and Yield Notes
EMA.PR.F FixedReset Disc Quote: 17.26 – 17.96
Spot Rate : 0.7000
Average : 0.4740

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-07-09
Maturity Price : 17.26
Evaluated at bid price : 17.26
Bid-YTW : 6.15 %

TRP.PR.A FixedReset Disc Quote: 14.05 – 14.49
Spot Rate : 0.4400
Average : 0.2876

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-07-09
Maturity Price : 14.05
Evaluated at bid price : 14.05
Bid-YTW : 6.20 %

IFC.PR.F Deemed-Retractible Quote: 24.00 – 24.45
Spot Rate : 0.4500
Average : 0.3022

YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2030-01-31
Maturity Price : 25.00
Evaluated at bid price : 24.00
Bid-YTW : 5.87 %

HSE.PR.C FixedReset Disc Quote: 18.33 – 18.90
Spot Rate : 0.5700
Average : 0.4639

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-07-09
Maturity Price : 18.33
Evaluated at bid price : 18.33
Bid-YTW : 6.42 %

PWF.PR.T FixedReset Disc Quote: 18.09 – 18.45
Spot Rate : 0.3600
Average : 0.2652

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-07-09
Maturity Price : 18.09
Evaluated at bid price : 18.09
Bid-YTW : 5.53 %

NA.PR.G FixedReset Disc Quote: 21.20 – 21.60
Spot Rate : 0.4000
Average : 0.3080

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-07-09
Maturity Price : 21.20
Evaluated at bid price : 21.20
Bid-YTW : 5.26 %

July 8, 2019

July 9th, 2019
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 0.4153 % 1,978.7
FixedFloater 0.00 % 0.00 % 0 0.00 0 0.4153 % 3,630.7
Floater 6.02 % 6.14 % 38,166 13.71 4 0.4153 % 2,092.4
OpRet 0.00 % 0.00 % 0 0.00 0 0.1866 % 3,339.1
SplitShare 4.66 % 4.65 % 81,025 4.17 7 0.1866 % 3,987.6
Interest-Bearing 0.00 % 0.00 % 0 0.00 0 0.1866 % 3,111.3
Perpetual-Premium 5.58 % -15.59 % 63,264 0.09 7 -0.1170 % 2,970.8
Perpetual-Discount 5.46 % 5.56 % 62,447 14.48 25 -0.0156 % 3,104.8
FixedReset Disc 5.34 % 5.34 % 169,902 14.90 69 0.0598 % 2,148.7
Deemed-Retractible 5.24 % 5.91 % 73,610 7.99 27 -0.1596 % 3,104.1
FloatingReset 4.04 % 4.33 % 44,616 2.47 4 -0.5743 % 2,365.1
FixedReset Prem 5.13 % 3.67 % 174,218 1.94 17 -0.1691 % 2,592.1
FixedReset Bank Non 1.98 % 4.14 % 112,554 2.48 3 0.1254 % 2,653.1
FixedReset Ins Non 5.21 % 7.40 % 88,392 8.07 22 0.2388 % 2,187.4
Performance Highlights
Issue Index Change Notes
SLF.PR.G FixedReset Ins Non -4.01 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2030-01-31
Maturity Price : 25.00
Evaluated at bid price : 13.66
Bid-YTW : 9.95 %
TRP.PR.G FixedReset Disc -2.81 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-07-08
Maturity Price : 18.31
Evaluated at bid price : 18.31
Bid-YTW : 6.15 %
TRP.PR.F FloatingReset -1.84 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-07-08
Maturity Price : 13.90
Evaluated at bid price : 13.90
Bid-YTW : 6.50 %
MFC.PR.K FixedReset Ins Non -1.69 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2030-01-31
Maturity Price : 25.00
Evaluated at bid price : 18.60
Bid-YTW : 7.73 %
CU.PR.I FixedReset Prem -1.65 % YTW SCENARIO
Maturity Type : Call
Maturity Date : 2020-12-01
Maturity Price : 25.00
Evaluated at bid price : 25.61
Bid-YTW : 3.05 %
CM.PR.P FixedReset Disc -1.32 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-07-08
Maturity Price : 17.20
Evaluated at bid price : 17.20
Bid-YTW : 5.51 %
GWO.PR.H Deemed-Retractible -1.25 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2030-01-31
Maturity Price : 25.00
Evaluated at bid price : 22.09
Bid-YTW : 6.44 %
NA.PR.E FixedReset Disc -1.23 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-07-08
Maturity Price : 20.01
Evaluated at bid price : 20.01
Bid-YTW : 5.27 %
BAM.PR.C Floater -1.22 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-07-08
Maturity Price : 11.32
Evaluated at bid price : 11.32
Bid-YTW : 6.16 %
PWF.PR.A Floater -1.15 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-07-08
Maturity Price : 12.00
Evaluated at bid price : 12.00
Bid-YTW : 5.85 %
PWF.PR.P FixedReset Disc -1.11 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-07-08
Maturity Price : 13.40
Evaluated at bid price : 13.40
Bid-YTW : 5.82 %
CM.PR.R FixedReset Disc -1.03 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-07-08
Maturity Price : 21.86
Evaluated at bid price : 22.15
Bid-YTW : 5.44 %
TD.PF.C FixedReset Disc 1.10 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-07-08
Maturity Price : 18.30
Evaluated at bid price : 18.30
Bid-YTW : 5.27 %
HSE.PR.C FixedReset Disc 1.25 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-07-08
Maturity Price : 18.68
Evaluated at bid price : 18.68
Bid-YTW : 6.30 %
MFC.PR.Q FixedReset Ins Non 1.28 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2030-01-31
Maturity Price : 25.00
Evaluated at bid price : 19.85
Bid-YTW : 7.26 %
BIP.PR.F FixedReset Disc 1.30 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-07-08
Maturity Price : 21.48
Evaluated at bid price : 21.75
Bid-YTW : 5.90 %
BAM.PR.B Floater 1.34 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-07-08
Maturity Price : 11.35
Evaluated at bid price : 11.35
Bid-YTW : 6.14 %
GWO.PR.N FixedReset Ins Non 1.39 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2030-01-31
Maturity Price : 25.00
Evaluated at bid price : 14.60
Bid-YTW : 8.89 %
BAM.PF.E FixedReset Disc 1.84 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-07-08
Maturity Price : 16.60
Evaluated at bid price : 16.60
Bid-YTW : 6.24 %
TRP.PR.E FixedReset Disc 1.87 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-07-08
Maturity Price : 16.35
Evaluated at bid price : 16.35
Bid-YTW : 5.97 %
BAM.PF.F FixedReset Disc 2.27 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-07-08
Maturity Price : 18.00
Evaluated at bid price : 18.00
Bid-YTW : 6.17 %
IFC.PR.A FixedReset Ins Non 2.54 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2030-01-31
Maturity Price : 25.00
Evaluated at bid price : 15.75
Bid-YTW : 8.82 %
BAM.PR.K Floater 2.92 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-07-08
Maturity Price : 11.27
Evaluated at bid price : 11.27
Bid-YTW : 6.19 %
Volume Highlights
Issue Index Shares
Traded
Notes
BMO.PR.F FixedReset Disc 76,768 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-07-08
Maturity Price : 23.17
Evaluated at bid price : 25.00
Bid-YTW : 5.06 %
TRP.PR.E FixedReset Disc 74,839 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-07-08
Maturity Price : 16.35
Evaluated at bid price : 16.35
Bid-YTW : 5.97 %
TD.PF.L FixedReset Disc 66,382 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-07-08
Maturity Price : 23.15
Evaluated at bid price : 24.92
Bid-YTW : 4.91 %
TD.PF.M FixedReset Disc 48,348 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-07-08
Maturity Price : 23.12
Evaluated at bid price : 24.90
Bid-YTW : 5.08 %
MFC.PR.R FixedReset Ins Non 40,026 YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2030-01-31
Maturity Price : 25.00
Evaluated at bid price : 24.26
Bid-YTW : 5.66 %
CM.PR.Y FixedReset Disc 38,003 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-07-08
Maturity Price : 23.07
Evaluated at bid price : 24.76
Bid-YTW : 5.18 %
There were 15 other index-included issues trading in excess of 10,000 shares.
Wide Spread Highlights
Issue Index Quote Data and Yield Notes
HSE.PR.G FixedReset Disc Quote: 19.72 – 20.59
Spot Rate : 0.8700
Average : 0.6201

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-07-08
Maturity Price : 19.72
Evaluated at bid price : 19.72
Bid-YTW : 6.44 %

IAF.PR.G FixedReset Ins Non Quote: 20.51 – 21.09
Spot Rate : 0.5800
Average : 0.3616

YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2030-01-31
Maturity Price : 25.00
Evaluated at bid price : 20.51
Bid-YTW : 6.62 %

TRP.PR.G FixedReset Disc Quote: 18.31 – 19.00
Spot Rate : 0.6900
Average : 0.4764

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-07-08
Maturity Price : 18.31
Evaluated at bid price : 18.31
Bid-YTW : 6.15 %

SLF.PR.G FixedReset Ins Non Quote: 13.66 – 14.20
Spot Rate : 0.5400
Average : 0.3475

YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2030-01-31
Maturity Price : 25.00
Evaluated at bid price : 13.66
Bid-YTW : 9.95 %

CU.PR.I FixedReset Prem Quote: 25.61 – 26.00
Spot Rate : 0.3900
Average : 0.2309

YTW SCENARIO
Maturity Type : Call
Maturity Date : 2020-12-01
Maturity Price : 25.00
Evaluated at bid price : 25.61
Bid-YTW : 3.05 %

BAM.PF.B FixedReset Disc Quote: 18.00 – 18.34
Spot Rate : 0.3400
Average : 0.2067

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-07-08
Maturity Price : 18.00
Evaluated at bid price : 18.00
Bid-YTW : 5.95 %

BEP & BRF Outlook Improves to Stable, says S&P

July 9th, 2019

Standard & Poor’s has announced:

  • We are revising our outlook on Brookfield Renewable Partners L.P. (BREP) to stable from negative and are affirming our ‘BBB+’ issuer credit rating.
  • At the same time, we are affirming our ‘BBB+’ issue-level rating on the company’s unsecured notes and our ‘A-2’ short-term rating. Our ‘BBB-/P-2(Low)’ preferred rating remains unchanged.
  • The stable outlook reflects our view that the company’s business profile is less susceptible to resource risk because its hydrology is reverting back to historical levels. The decline in its financial measures, reflected in its year-end 2017 adjusted funds from operations (FFO) to debt of about 14%, has also reversed and its FFO-to-debt ratio improved to about 19% as of the quarter ended March 2019. We now expect BREP to maintain adjusted FFO to debt in the 20%-25% range over the next couple of years.

NEW YORK (S&P Global Ratings) July 8, 2019—S&P Global Ratings today took the rating actions above. Our affirmation reflects the continuing strength of BREP’s hydro-centric portfolio, which features assets with longer lives and relatively lower required capital spending than other generation asset types. We revised our outlook to stable because of the receding hydrology risk across the company’s portfolio, which had previously weighed on its financial measures, and its corporate-level debt prepayment. In the first quarter of 2019, BREP repaid almost all of its corporate credit facility using the proceeds from its issuance of preferred units and part of the proceeds from its sale of a 25% interest in one of its Canadian hydroelectric portfolios.

BREP’s year-end 2018 financial results demonstrate the successful execution of its long-term strategy to strengthen its liquidity and improve its credit metrics through both organic and inorganic growth. Even as the hydrology for its Brazilian assets continues to trend lower than we expected, we see the portfolio’s hydrology risk as moderating based on BREP’s generation levels for the most recent two years. The affirmation also incorporates the addition of the Terraform Power and Terraform Global wind and solar assets that contributed to the improvement in the company’s financial metrics in 2018.

The stable outlook on BREP reflects our expectation that the company will maintain a well-diversified portfolio of generation assets, operate under long-term contracts with investment-grade counterparties, and generate fairly predictable cash flows to support its holding-company debt obligations. We expect its adjusted FFO-to-debt ratio to improve to the 20%-25% range and anticipate that its adjusted debt to EBITDA will decline to 4.0x over the next 12 months. We also expect BREP to remain moderately strategic to its parent BAM per our group rating assessment.

We could lower our rating on BREP if its adjusted FFO-to-debt ratio consistently remains below 20% or if the company acquires assets that are higher risk that its existing portfolio, leading to a deterioration in the quality of the distributions from its portfolio. This could occur if it finances its acquisitions with substantially higher levels of holding-company debt or acquires higher-risk merchant assets or if there is a material change in the contractual profile of its operating assets.

While we view an upgrade as unlikely, we could raise our ratings on BREP if we revise our view of its stand-alone credit profile (SACP) to ‘a-‘. This is because our ratings on BREP already benefit from its perceived parental support but are capped one notch below our ‘A-‘ rating on BAM.

Affected issues are: (issued directly by Brookfield Renewable Partners L.P.) BEP.PR.E, BEP.PR.G, BEP.PR.I, BEP.PR.K, BEP.PR.M & BEP.PR.O

(issued by Brookfield Renewable Power Pref Eqty Inc, its subsidiary, and guaranteed by the parent) BRF.PR.A, BRF.PR.B, BRF.PR.C, BRF.PR.E, BRF.PR.F