January 25, 2021

January 25th, 2021
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 0.6487 % 2,085.9
FixedFloater 0.00 % 0.00 % 0 0.00 0 0.6487 % 3,827.5
Floater 4.15 % 4.18 % 43,642 17.05 3 0.6487 % 2,205.8
OpRet 0.00 % 0.00 % 0 0.00 0 0.1612 % 3,636.2
SplitShare 4.69 % 4.39 % 37,984 4.19 8 0.1612 % 4,342.3
Interest-Bearing 0.00 % 0.00 % 0 0.00 0 0.1612 % 3,388.1
Perpetual-Premium 5.34 % -11.54 % 65,619 0.09 18 0.1369 % 3,240.1
Perpetual-Discount 4.99 % 5.05 % 70,520 15.40 13 -0.0158 % 3,698.4
FixedReset Disc 4.87 % 3.76 % 141,406 17.52 56 0.3092 % 2,412.2
Insurance Straight 5.03 % 4.79 % 82,380 15.37 22 0.1374 % 3,576.8
FloatingReset 2.49 % 0.38 % 27,021 0.10 3 0.0000 % 1,934.8
FixedReset Prem 5.12 % 2.81 % 195,877 0.98 20 0.0525 % 2,705.1
FixedReset Bank Non 1.93 % 1.96 % 169,856 1.00 2 0.0400 % 2,886.0
FixedReset Ins Non 4.83 % 3.68 % 91,445 17.67 22 0.4872 % 2,522.6
Performance Highlights
Issue Index Change Notes
TD.PF.K FixedReset Disc -1.82 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-01-25
Maturity Price : 21.85
Evaluated at bid price : 22.10
Bid-YTW : 3.66 %
SLF.PR.G FixedReset Ins Non -1.16 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-01-25
Maturity Price : 12.75
Evaluated at bid price : 12.75
Bid-YTW : 3.62 %
IAF.PR.I FixedReset Ins Non 1.11 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-01-25
Maturity Price : 22.46
Evaluated at bid price : 22.75
Bid-YTW : 3.68 %
MFC.PR.G FixedReset Ins Non 1.19 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-01-25
Maturity Price : 22.17
Evaluated at bid price : 22.88
Bid-YTW : 3.63 %
TRP.PR.E FixedReset Disc 1.41 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-01-25
Maturity Price : 15.82
Evaluated at bid price : 15.82
Bid-YTW : 4.72 %
BAM.PR.K Floater 1.67 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-01-25
Maturity Price : 10.38
Evaluated at bid price : 10.38
Bid-YTW : 4.16 %
PWF.PR.T FixedReset Disc 2.10 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-01-25
Maturity Price : 18.95
Evaluated at bid price : 18.95
Bid-YTW : 3.98 %
BIP.PR.A FixedReset Disc 2.37 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-01-25
Maturity Price : 21.31
Evaluated at bid price : 21.60
Bid-YTW : 4.63 %
BAM.PR.X FixedReset Disc 2.40 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-01-25
Maturity Price : 13.21
Evaluated at bid price : 13.21
Bid-YTW : 4.31 %
RY.PR.M FixedReset Disc 3.65 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-01-25
Maturity Price : 21.30
Evaluated at bid price : 21.58
Bid-YTW : 3.49 %
IAF.PR.G FixedReset Ins Non 4.93 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-01-25
Maturity Price : 21.97
Evaluated at bid price : 22.56
Bid-YTW : 3.64 %
Volume Highlights
Issue Index Shares
Traded
Notes
TD.PF.H FixedReset Prem 151,794 YTW SCENARIO
Maturity Type : Call
Maturity Date : 2021-10-31
Maturity Price : 25.00
Evaluated at bid price : 25.40
Bid-YTW : 2.64 %
BNS.PR.H FixedReset Prem 126,704 YTW SCENARIO
Maturity Type : Call
Maturity Date : 2022-01-26
Maturity Price : 25.00
Evaluated at bid price : 25.50
Bid-YTW : 2.81 %
CU.PR.C FixedReset Disc 98,100 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-01-25
Maturity Price : 18.62
Evaluated at bid price : 18.62
Bid-YTW : 3.89 %
RY.PR.M FixedReset Disc 90,309 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-01-25
Maturity Price : 21.30
Evaluated at bid price : 21.58
Bid-YTW : 3.49 %
BMO.PR.D FixedReset Disc 65,383 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-01-25
Maturity Price : 23.57
Evaluated at bid price : 24.65
Bid-YTW : 3.68 %
TRP.PR.D FixedReset Disc 63,597 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-01-25
Maturity Price : 16.21
Evaluated at bid price : 16.21
Bid-YTW : 4.64 %
There were 35 other index-included issues trading in excess of 10,000 shares.
Wide Spread Highlights
Issue Index Quote Data and Yield Notes
TD.PF.K FixedReset Disc Quote: 22.10 – 22.75
Spot Rate : 0.6500
Average : 0.4131

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-01-25
Maturity Price : 21.85
Evaluated at bid price : 22.10
Bid-YTW : 3.66 %

TD.PF.J FixedReset Disc Quote: 22.91 – 23.50
Spot Rate : 0.5900
Average : 0.3829

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-01-25
Maturity Price : 22.48
Evaluated at bid price : 22.91
Bid-YTW : 3.57 %

BMO.PR.C FixedReset Disc Quote: 25.04 – 25.38
Spot Rate : 0.3400
Average : 0.1984

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-01-25
Maturity Price : 23.81
Evaluated at bid price : 25.04
Bid-YTW : 3.76 %

IFC.PR.C FixedReset Ins Non Quote: 20.17 – 21.00
Spot Rate : 0.8300
Average : 0.6971

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-01-25
Maturity Price : 20.17
Evaluated at bid price : 20.17
Bid-YTW : 3.86 %

IAF.PR.I FixedReset Ins Non Quote: 22.75 – 23.20
Spot Rate : 0.4500
Average : 0.3177

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-01-25
Maturity Price : 22.46
Evaluated at bid price : 22.75
Bid-YTW : 3.68 %

SLF.PR.E Insurance Straight Quote: 24.09 – 24.50
Spot Rate : 0.4100
Average : 0.2956

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-01-25
Maturity Price : 23.84
Evaluated at bid price : 24.09
Bid-YTW : 4.70 %

PPL.PR.K To Be Redeemed

January 25th, 2021

Pembina Pipeline Corporation has announced:

that it has closed its previously announced offering of $600 million of 4.80% Fixed-to-Fixed Rate Subordinated Notes, Series 1 due January 25, 2081 (the “Offering”). The Company also announced its intention to redeem its issued and outstanding Cumulative Redeemable Minimum Rate Reset Class A Preferred Shares, Series 11 (TSX: PPL.PR.K) (the “Series 11 Shares”) on March 1, 2021.

Closing of Hybrid Note Offering

Pembina expects to use the net proceeds of the Offering to fund the redemption of its outstanding Series 11 Shares and its Cumulative Redeemable Minimum Rate Reset Class A Preferred Shares, Series 13 (TSX: PPL.PR.M), to repay other outstanding indebtedness, as well as for general corporate purposes.

The subordinated notes were offered through a syndicate of underwriters, co-led by RBC Capital Markets, CIBC Capital Markets, Scotiabank and TD Securities, under Pembina’s short form base shelf prospectus dated December 30, 2020, as supplemented by a prospectus supplement dated January 12, 2021.

Pembina announced that they were considering this step in mid-January and confirmed the intent a few days later.

PPL.PR.K was issued as a FixedReset, 5.75%+500M575 that commenced trading 2016-1-15 after being announced 2016-1-6.

AZP Put On Watch-Negative By S&P

January 22nd, 2021

Standard & Poor’s has announced:

  • Atlantic Power Corp. (APC) announced it has entered into an agreement to be acquired by I Squared Capital for $3.03 per share.
  • The ratings on our ‘BB-‘ issuer credit rating on APC are unchanged and we are placing the company’s ratings on CreditWatch with negative implications.
  • At the same time, we are placing the issue-level ratings on APLP Holdings L.P.’s term loan B, $180 million revolving credit facility, and Atlantic Power L.P.’s C$210 million medium-term notes on CreditWatch with negative implications.
  • We are also placing the preferred shares at Atlantic Power Preferred Equity Ltd. (APLP) on CreditWatch with negative implications.
  • The CreditWatch placements capture our view that the new sponsor could alter the capital structure.

S&P Global Ratings today took the rating actions listed above. Pro forma for the transaction, Atlantic Power’s financial policy will be determined by I Squared, which we would most likely designate a financial sponsor. We typically expect financial sponsors to use leverage to fund transactions to achieve returns. Consequently, ratings are generally lower for financial sponsor-owned companies than strategically owned entities. However, I Squared indicated it plans to redeem some debt and reorganize APC’s capital structure. We will monitor and reassess financial policy, forward leverage, and any changes to the business strategy as we obtain additional clarity on I Squared’s plan and as the transaction approaches financial close.

Following the necessary approvals by APC’s board, shareholders, and regulators, we anticipate common shareholders will receive $3.03 per share at the close of the transaction. The unsecured convertible debt due Jan. 31, 2025, will be converted to common shares for $3.03, plus accrued and unpaid interest. The company’s senior secured term loan will also be redeemed at 101% of principal. Atlantic Power Preferred’s shares will be redeemed for C$22 each in cash. Atlantic Power L.P.’s 5.95% medium term notes due June 23, 2036, will be redeemed for consideration equal to 106.071% of the principal amount plus accrued and unpaid interest at financial close.

The CreditWatch listing reflects the likelihood that I Squared’s financial policy will inform the rating on Atlantic Power pro forma for the transaction. We would most likely classify I Squared as a financial sponsor. Consequently, any rating implications will depend on the forward capital structure, our assessment of the business strategy, and most important how we assess I Squared’s financial policy with regard to APC. We will likely resolve the CreditWatch when the transaction closes, projected for the second quarter of 2021.

Affected issues are AZP.PR.A, AZP.PR.B and AZP.PR.C.

I have previously reported the proposed redemption at $22 of these issues.

January 21, 2021

January 21st, 2021
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 1.6545 % 2,065.0
FixedFloater 0.00 % 0.00 % 0 0.00 0 1.6545 % 3,789.2
Floater 4.19 % 4.24 % 44,948 16.94 3 1.6545 % 2,183.8
OpRet 0.00 % 0.00 % 0 0.00 0 -0.0341 % 3,634.5
SplitShare 4.70 % 4.29 % 37,404 3.73 8 -0.0341 % 4,340.3
Interest-Bearing 0.00 % 0.00 % 0 0.00 0 -0.0341 % 3,386.5
Perpetual-Premium 5.36 % -5.24 % 66,431 0.09 18 -0.3171 % 3,223.2
Perpetual-Discount 5.01 % 5.04 % 67,960 15.42 13 -0.0570 % 3,690.9
FixedReset Disc 4.88 % 3.75 % 146,101 17.52 56 0.3725 % 2,402.0
Insurance Straight 5.03 % 4.81 % 84,095 15.34 22 0.0147 % 3,571.1
FloatingReset 2.48 % 0.35 % 28,016 0.11 3 -0.0204 % 1,928.5
FixedReset Prem 5.12 % 2.77 % 190,286 0.99 20 0.1668 % 2,706.1
FixedReset Bank Non 1.93 % 1.98 % 176,566 1.01 2 0.0000 % 2,884.9
FixedReset Ins Non 4.86 % 3.71 % 90,698 17.61 22 0.0180 % 2,507.2
Performance Highlights
Issue Index Change Notes
MFC.PR.J FixedReset Ins Non -5.76 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-01-21
Maturity Price : 20.60
Evaluated at bid price : 20.60
Bid-YTW : 3.96 %
CU.PR.H Perpetual-Premium -5.76 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-01-21
Maturity Price : 23.88
Evaluated at bid price : 24.40
Bid-YTW : 5.44 %
BAM.PR.X FixedReset Disc -3.69 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-01-21
Maturity Price : 12.52
Evaluated at bid price : 12.52
Bid-YTW : 4.57 %
CU.PR.F Perpetual-Discount -2.36 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-01-21
Maturity Price : 22.82
Evaluated at bid price : 23.21
Bid-YTW : 4.90 %
TRP.PR.E FixedReset Disc -1.59 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-01-21
Maturity Price : 15.50
Evaluated at bid price : 15.50
Bid-YTW : 4.83 %
CM.PR.T FixedReset Disc -1.06 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-01-21
Maturity Price : 23.41
Evaluated at bid price : 25.20
Bid-YTW : 3.85 %
BAM.PR.B Floater 1.08 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-01-21
Maturity Price : 10.33
Evaluated at bid price : 10.33
Bid-YTW : 4.18 %
GWO.PR.N FixedReset Ins Non 1.08 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-01-21
Maturity Price : 12.20
Evaluated at bid price : 12.20
Bid-YTW : 3.58 %
BNS.PR.I FixedReset Disc 1.08 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-01-21
Maturity Price : 22.66
Evaluated at bid price : 23.39
Bid-YTW : 3.31 %
BAM.PF.E FixedReset Disc 1.09 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-01-21
Maturity Price : 16.70
Evaluated at bid price : 16.70
Bid-YTW : 4.70 %
BIP.PR.A FixedReset Disc 1.10 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-01-21
Maturity Price : 21.05
Evaluated at bid price : 21.05
Bid-YTW : 4.78 %
BAM.PR.C Floater 1.19 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-01-21
Maturity Price : 10.19
Evaluated at bid price : 10.19
Bid-YTW : 4.24 %
BMO.PR.E FixedReset Disc 1.36 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-01-21
Maturity Price : 22.89
Evaluated at bid price : 23.77
Bid-YTW : 3.51 %
CM.PR.S FixedReset Disc 1.47 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-01-21
Maturity Price : 21.35
Evaluated at bid price : 21.35
Bid-YTW : 3.59 %
BAM.PF.B FixedReset Disc 1.60 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-01-21
Maturity Price : 17.83
Evaluated at bid price : 17.83
Bid-YTW : 4.67 %
BIK.PR.A FixedReset Prem 1.71 % YTW SCENARIO
Maturity Type : Call
Maturity Date : 2024-03-31
Maturity Price : 25.00
Evaluated at bid price : 26.14
Bid-YTW : 4.45 %
PWF.PR.T FixedReset Disc 1.94 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-01-21
Maturity Price : 18.92
Evaluated at bid price : 18.92
Bid-YTW : 4.00 %
TRP.PR.C FixedReset Disc 2.31 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-01-21
Maturity Price : 11.05
Evaluated at bid price : 11.05
Bid-YTW : 4.48 %
IFC.PR.G FixedReset Ins Non 2.55 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-01-21
Maturity Price : 20.53
Evaluated at bid price : 20.53
Bid-YTW : 3.95 %
BAM.PR.K Floater 2.72 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-01-21
Maturity Price : 10.20
Evaluated at bid price : 10.20
Bid-YTW : 4.24 %
CM.PR.O FixedReset Disc 2.72 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-01-21
Maturity Price : 19.63
Evaluated at bid price : 19.63
Bid-YTW : 3.74 %
IAF.PR.G FixedReset Ins Non 2.84 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-01-21
Maturity Price : 21.68
Evaluated at bid price : 22.11
Bid-YTW : 3.74 %
Volume Highlights
Issue Index Shares
Traded
Notes
RY.PR.M FixedReset Disc 461,010 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-01-21
Maturity Price : 21.39
Evaluated at bid price : 21.39
Bid-YTW : 3.60 %
TD.PF.J FixedReset Disc 242,300 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-01-21
Maturity Price : 22.82
Evaluated at bid price : 23.12
Bid-YTW : 3.56 %
CM.PR.Q FixedReset Disc 232,100 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-01-21
Maturity Price : 21.45
Evaluated at bid price : 21.45
Bid-YTW : 3.75 %
BMO.PR.T FixedReset Disc 132,590 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-01-21
Maturity Price : 19.90
Evaluated at bid price : 19.90
Bid-YTW : 3.62 %
MFC.PR.M FixedReset Ins Non 111,200 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-01-21
Maturity Price : 20.33
Evaluated at bid price : 20.33
Bid-YTW : 3.71 %
BMO.PR.E FixedReset Disc 100,900 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-01-21
Maturity Price : 22.89
Evaluated at bid price : 23.77
Bid-YTW : 3.51 %
BNS.PR.Z FixedReset Bank Non 100,235 YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2022-01-31
Maturity Price : 25.00
Evaluated at bid price : 24.99
Bid-YTW : 1.79 %
There were 28 other index-included issues trading in excess of 10,000 shares.
Wide Spread Highlights
Issue Index Quote Data and Yield Notes
MFC.PR.J FixedReset Ins Non Quote: 20.60 – 21.78
Spot Rate : 1.1800
Average : 0.6662

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-01-21
Maturity Price : 20.60
Evaluated at bid price : 20.60
Bid-YTW : 3.96 %

CU.PR.F Perpetual-Discount Quote: 23.21 – 24.00
Spot Rate : 0.7900
Average : 0.5418

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-01-21
Maturity Price : 22.82
Evaluated at bid price : 23.21
Bid-YTW : 4.90 %

POW.PR.G Perpetual-Premium Quote: 25.45 – 26.25
Spot Rate : 0.8000
Average : 0.5803

YTW SCENARIO
Maturity Type : Call
Maturity Date : 2021-02-20
Maturity Price : 25.25
Evaluated at bid price : 25.45
Bid-YTW : -2.95 %

CU.PR.H Perpetual-Premium Quote: 24.40 – 25.40
Spot Rate : 1.0000
Average : 0.8329

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-01-21
Maturity Price : 23.88
Evaluated at bid price : 24.40
Bid-YTW : 5.44 %

BIP.PR.F FixedReset Disc Quote: 24.43 – 24.88
Spot Rate : 0.4500
Average : 0.3005

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-01-21
Maturity Price : 23.17
Evaluated at bid price : 24.43
Bid-YTW : 5.20 %

SLF.PR.J FloatingReset Quote: 11.95 – 12.50
Spot Rate : 0.5500
Average : 0.4474

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-01-21
Maturity Price : 11.95
Evaluated at bid price : 11.95
Bid-YTW : 3.09 %

January 20, 2021

January 20th, 2021

PerpetualDiscounts now yield 5.04%, equivalent to 6.55% interest at the standard equivalency factor of 1.3x. Long corporates now yield 2.85%, so the pre-tax interest-equivalent spread (in this context, the “Seniority Spread”) is unchanged at the 370bp reported December 30.

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 0.8678 % 2,031.4
FixedFloater 0.00 % 0.00 % 0 0.00 0 0.8678 % 3,727.6
Floater 4.26 % 4.29 % 44,992 16.83 3 0.8678 % 2,148.2
OpRet 0.00 % 0.00 % 0 0.00 0 -0.0293 % 3,635.7
SplitShare 4.70 % 4.29 % 38,938 3.73 8 -0.0293 % 4,341.8
Interest-Bearing 0.00 % 0.00 % 0 0.00 0 -0.0293 % 3,387.7
Perpetual-Premium 5.34 % -4.94 % 66,531 0.09 18 0.0239 % 3,233.4
Perpetual-Discount 5.00 % 5.04 % 69,052 15.40 13 -0.0980 % 3,693.0
FixedReset Disc 4.90 % 3.79 % 141,278 17.48 56 0.2996 % 2,393.1
Insurance Straight 5.03 % 4.81 % 87,422 15.35 22 0.0550 % 3,570.6
FloatingReset 2.48 % 0.34 % 25,937 0.12 3 0.7618 % 1,928.9
FixedReset Prem 5.12 % 2.95 % 191,960 0.99 20 0.0864 % 2,701.6
FixedReset Bank Non 1.93 % 1.97 % 179,290 1.01 2 0.0200 % 2,884.9
FixedReset Ins Non 4.86 % 3.69 % 88,889 17.59 22 0.0495 % 2,506.7
Performance Highlights
Issue Index Change Notes
IFC.PR.G FixedReset Ins Non -2.44 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-01-20
Maturity Price : 20.02
Evaluated at bid price : 20.02
Bid-YTW : 4.05 %
CM.PR.O FixedReset Disc -1.55 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-01-20
Maturity Price : 19.11
Evaluated at bid price : 19.11
Bid-YTW : 3.85 %
TRP.PR.B FixedReset Disc 1.03 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-01-20
Maturity Price : 9.83
Evaluated at bid price : 9.83
Bid-YTW : 4.38 %
BAM.PF.E FixedReset Disc 1.16 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-01-20
Maturity Price : 16.52
Evaluated at bid price : 16.52
Bid-YTW : 4.76 %
BAM.PR.X FixedReset Disc 1.17 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-01-20
Maturity Price : 13.00
Evaluated at bid price : 13.00
Bid-YTW : 4.40 %
BAM.PR.C Floater 1.21 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-01-20
Maturity Price : 10.07
Evaluated at bid price : 10.07
Bid-YTW : 4.29 %
MFC.PR.L FixedReset Ins Non 1.33 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-01-20
Maturity Price : 19.10
Evaluated at bid price : 19.10
Bid-YTW : 3.69 %
BAM.PR.B Floater 1.39 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-01-20
Maturity Price : 10.22
Evaluated at bid price : 10.22
Bid-YTW : 4.23 %
NA.PR.G FixedReset Disc 1.51 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-01-20
Maturity Price : 22.80
Evaluated at bid price : 23.60
Bid-YTW : 3.58 %
TRP.PR.E FixedReset Disc 1.61 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-01-20
Maturity Price : 15.75
Evaluated at bid price : 15.75
Bid-YTW : 4.75 %
BNS.PR.I FixedReset Disc 1.71 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-01-20
Maturity Price : 22.52
Evaluated at bid price : 23.14
Bid-YTW : 3.36 %
TRP.PR.D FixedReset Disc 2.23 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-01-20
Maturity Price : 16.01
Evaluated at bid price : 16.01
Bid-YTW : 4.71 %
SLF.PR.J FloatingReset 2.56 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-01-20
Maturity Price : 12.00
Evaluated at bid price : 12.00
Bid-YTW : 3.08 %
BIP.PR.A FixedReset Disc 3.07 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-01-20
Maturity Price : 20.82
Evaluated at bid price : 20.82
Bid-YTW : 4.83 %
PWF.PR.P FixedReset Disc 3.70 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-01-20
Maturity Price : 12.60
Evaluated at bid price : 12.60
Bid-YTW : 4.04 %
Volume Highlights
Issue Index Shares
Traded
Notes
PWF.PR.K Perpetual-Discount 166,806 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-01-20
Maturity Price : 24.19
Evaluated at bid price : 24.45
Bid-YTW : 5.07 %
RY.PR.H FixedReset Disc 102,630 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-01-20
Maturity Price : 21.34
Evaluated at bid price : 21.34
Bid-YTW : 3.39 %
TD.PF.C FixedReset Disc 91,615 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-01-20
Maturity Price : 20.95
Evaluated at bid price : 20.95
Bid-YTW : 3.48 %
BMO.PR.T FixedReset Disc 90,900 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-01-20
Maturity Price : 19.82
Evaluated at bid price : 19.82
Bid-YTW : 3.63 %
TD.PF.B FixedReset Disc 78,090 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-01-20
Maturity Price : 20.90
Evaluated at bid price : 20.90
Bid-YTW : 3.44 %
TD.PF.A FixedReset Disc 67,350 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-01-20
Maturity Price : 20.92
Evaluated at bid price : 20.92
Bid-YTW : 3.41 %
There were 31 other index-included issues trading in excess of 10,000 shares.
Wide Spread Highlights
Issue Index Quote Data and Yield Notes
BAM.PR.X FixedReset Disc Quote: 13.00 – 14.75
Spot Rate : 1.7500
Average : 1.1101

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-01-20
Maturity Price : 13.00
Evaluated at bid price : 13.00
Bid-YTW : 4.40 %

BAM.PF.I FixedReset Prem Quote: 25.50 – 26.50
Spot Rate : 1.0000
Average : 0.5964

YTW SCENARIO
Maturity Type : Call
Maturity Date : 2022-03-31
Maturity Price : 25.00
Evaluated at bid price : 25.50
Bid-YTW : 3.31 %

CU.PR.H Perpetual-Premium Quote: 25.89 – 26.89
Spot Rate : 1.0000
Average : 0.6498

YTW SCENARIO
Maturity Type : Call
Maturity Date : 2024-09-01
Maturity Price : 25.00
Evaluated at bid price : 25.89
Bid-YTW : 4.42 %

BAM.PR.R FixedReset Disc Quote: 14.90 – 15.45
Spot Rate : 0.5500
Average : 0.3040

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-01-20
Maturity Price : 14.90
Evaluated at bid price : 14.90
Bid-YTW : 4.63 %

IFC.PR.G FixedReset Ins Non Quote: 20.02 – 20.75
Spot Rate : 0.7300
Average : 0.5650

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-01-20
Maturity Price : 20.02
Evaluated at bid price : 20.02
Bid-YTW : 4.05 %

BAM.PF.G FixedReset Disc Quote: 17.15 – 17.66
Spot Rate : 0.5100
Average : 0.3807

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-01-20
Maturity Price : 17.15
Evaluated at bid price : 17.15
Bid-YTW : 4.81 %

LBS.PR.A To Get Bigger

January 19th, 2021

Brompton Group has announced:

Life & Banc Split Corp. (the “Company”) is pleased to announce it is undertaking an overnight treasury offering of class A shares and preferred shares (the “Class A Shares” and “Preferred Shares”, respectively).

The sales period for this overnight offering will end at 9:00 a.m. (ET) on Wednesday, January 20, 2021. The offering is expected to close on or about January 27, 2020 and is subject to certain closing conditions including approval by the Toronto Stock Exchange (“TSX”).

The Class A Shares will be offered at a price of $7.80 per Class A Share for a distribution rate of 15.4% on the issue price, and the Preferred Shares will be offered at a price of $10.15 per Preferred Share for a yield to maturity of 5.1%.(1) The closing price on the TSX for each of the Class A Shares and Preferred Shares on January 18, 2021 was $7.87 and $10.31, respectively. The Class A Share and Preferred Share offering prices were determined so as to be non-dilutive to the most recently calculated net asset value per unit of the Company (“Unit”) (calculated as at January 14, 2021), as adjusted for dividends and certain expenses to be accrued prior to or upon settlement of the offering.

The syndicate of agents for the offering is being led by RBC Capital Markets, CIBC Capital Markets, National Bank Financial Inc. and Scotiabank.

The Company invests in a portfolio (the “Portfolio”) consisting of common shares of the six largest Canadian banks and the four major publicly traded Canadian life insurance companies:

Bank of Montreal Great-West Lifeco Inc.
National Bank of Canada The Bank of Nova Scotia
Canadian Imperial Bank of Commerce Royal Bank of Canada
iA Financial Corporation Inc. The Toronto-Dominion Bank
Sun Life Financial Inc. Manulife Financial Corporation

The investment objectives for the Class A Shares are to provide holders with regular monthly cash distributions targeted to be $0.10 per Class A Share and to provide the opportunity for growth in the net asset value per Class A Share.

The investment objectives for the Preferred Shares are to provide holders with fixed cumulative preferential quarterly cash distributions, currently in the amount of $0.13625 per Preferred Share ($0.545 per annum), and to return the original issue price plus accrued dividends (if any) to holders of Preferred Shares on October 30, 2023.

The NAVPU was 17.20 as of January 14 and the Whole Units are being offered for 17.95; the premium is therefore 4%. There have been many higher figures on SplitShare offerings, but 4% is still good business!

Update, 2021-1-20: The offering was successful:

Life & Banc Split Corp. (the “Company”) is pleased to announce a successful overnight treasury offering of class A shares and preferred shares (the “Class A Shares” and “Preferred Shares”, respectively). Gross proceeds of the offering are expected to be approximately $53.8 million. The offering is expected to close on or about January 27, 2020 and is subject to certain closing conditions. The Company has granted the Agents (as defined below) an over-allotment option, exercisable for 30 days following the closing date of the offering, to purchase up to an additional 15% of the number of Class A Shares and Preferred Shares issued at the closing of the offering

PWF.PR.P / PWF.PR.Q : Net 6% Conversion To FixedReset

January 19th, 2021

Power Financial Corporation has announced:

that (i) 137,539 of its outstanding 8,965,485 Non-Cumulative 5-Year Rate Reset First Preferred Shares, Series P (the “Series P shares”) will be converted on February 1, 2021, on a one-for-one basis, into Non-Cumulative Floating Rate First Preferred Shares, Series Q (the “Series Q shares”) of Power Financial, and (ii) 829,570 of its outstanding 2,234,515 Series Q shares will be converted on February 1, 2021, on a one-for-one basis, into Series P shares of Power Financial.

As a result, on February 1, 2021, Power Financial will have issued and outstanding 9,657,516 Series P shares and 1,542,484 Series Q shares.

The Series P shares and Series Q shares are currently listed on the Toronto Stock Exchange under the symbols PWF.PR.P and PWF.PR.Q, respectively.

PWF.PR.P was issued as a a FixedReset, 4.40%+160 that commenced trading 2010-6-29 after being announced 2010-6-17. It reset to 2.306% in 2016; I recommended against conversion but there was a 20% conversion to PWF.PR.Q anyway. After providing notice of extension the company announced the 2021 reset of PWF.PR.P to 1.998%.

PWF.PR.Q is a FloatingReset, Bills+160, that arose via a partial conversion from PWF.PR.P in 2016.

January 19, 2021

January 19th, 2021
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 0.7059 % 2,013.9
FixedFloater 0.00 % 0.00 % 0 0.00 0 0.7059 % 3,695.5
Floater 4.29 % 4.34 % 45,123 16.73 3 0.7059 % 2,129.7
OpRet 0.00 % 0.00 % 0 0.00 0 -0.1971 % 3,636.8
SplitShare 4.69 % 4.28 % 39,417 3.74 8 -0.1971 % 4,343.1
Interest-Bearing 0.00 % 0.00 % 0 0.00 0 -0.1971 % 3,388.6
Perpetual-Premium 5.34 % -5.99 % 66,504 0.09 18 0.0761 % 3,232.7
Perpetual-Discount 5.00 % 5.04 % 69,837 15.42 13 0.1838 % 3,696.7
FixedReset Disc 4.92 % 3.79 % 142,844 17.50 56 0.0467 % 2,385.9
Insurance Straight 5.04 % 4.82 % 86,228 15.34 22 0.1580 % 3,568.7
FloatingReset 2.50 % 0.66 % 27,003 0.12 3 0.1650 % 1,914.3
FixedReset Prem 5.13 % 3.02 % 194,344 0.99 20 -0.0275 % 2,699.2
FixedReset Bank Non 1.93 % 1.97 % 181,562 1.02 2 -0.0200 % 2,884.3
FixedReset Ins Non 4.86 % 3.74 % 89,920 17.57 22 -0.2244 % 2,505.5
Performance Highlights
Issue Index Change Notes
IAF.PR.G FixedReset Ins Non -3.07 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-01-19
Maturity Price : 21.50
Evaluated at bid price : 21.50
Bid-YTW : 3.88 %
BAM.PR.X FixedReset Disc -2.13 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-01-19
Maturity Price : 12.85
Evaluated at bid price : 12.85
Bid-YTW : 4.45 %
BAM.PF.E FixedReset Disc -1.86 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-01-19
Maturity Price : 16.33
Evaluated at bid price : 16.33
Bid-YTW : 4.81 %
PWF.PR.T FixedReset Disc -1.59 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-01-19
Maturity Price : 18.56
Evaluated at bid price : 18.56
Bid-YTW : 4.08 %
NA.PR.E FixedReset Disc 1.07 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-01-19
Maturity Price : 21.45
Evaluated at bid price : 21.80
Bid-YTW : 3.62 %
SLF.PR.H FixedReset Ins Non 1.09 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-01-19
Maturity Price : 18.50
Evaluated at bid price : 18.50
Bid-YTW : 3.55 %
TRP.PR.F FloatingReset 1.11 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-01-19
Maturity Price : 11.89
Evaluated at bid price : 11.89
Bid-YTW : 4.19 %
PWF.PR.P FixedReset Disc 1.67 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-01-19
Maturity Price : 12.15
Evaluated at bid price : 12.15
Bid-YTW : 4.19 %
BIP.PR.A FixedReset Disc 1.76 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-01-19
Maturity Price : 20.20
Evaluated at bid price : 20.20
Bid-YTW : 4.98 %
BAM.PR.B Floater 1.82 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-01-19
Maturity Price : 10.08
Evaluated at bid price : 10.08
Bid-YTW : 4.29 %
Volume Highlights
Issue Index Shares
Traded
Notes
MFC.PR.O FixedReset Ins Non 122,750 YTW SCENARIO
Maturity Type : Call
Maturity Date : 2021-06-19
Maturity Price : 25.00
Evaluated at bid price : 25.42
Bid-YTW : 2.71 %
TD.PF.I FixedReset Disc 82,695 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-01-19
Maturity Price : 23.70
Evaluated at bid price : 24.05
Bid-YTW : 3.65 %
MFC.PR.F FixedReset Ins Non 61,000 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-01-19
Maturity Price : 12.87
Evaluated at bid price : 12.87
Bid-YTW : 3.62 %
TD.PF.H FixedReset Prem 56,898 YTW SCENARIO
Maturity Type : Call
Maturity Date : 2021-10-31
Maturity Price : 25.00
Evaluated at bid price : 25.37
Bid-YTW : 2.74 %
RS.PR.A SplitShare 43,110 YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-12-31
Maturity Price : 10.00
Evaluated at bid price : 10.25
Bid-YTW : 4.77 %
PWF.PR.Z Perpetual-Premium 25,770 YTW SCENARIO
Maturity Type : Call
Maturity Date : 2025-07-31
Maturity Price : 25.25
Evaluated at bid price : 25.30
Bid-YTW : 5.04 %
There were 18 other index-included issues trading in excess of 10,000 shares.
Wide Spread Highlights
Issue Index Quote Data and Yield Notes
RS.PR.A SplitShare Quote: 10.25 – 11.69
Spot Rate : 1.4400
Average : 0.8007

YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-12-31
Maturity Price : 10.00
Evaluated at bid price : 10.25
Bid-YTW : 4.77 %

MFC.PR.N FixedReset Ins Non Quote: 20.10 – 21.10
Spot Rate : 1.0000
Average : 0.6384

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-01-19
Maturity Price : 20.10
Evaluated at bid price : 20.10
Bid-YTW : 3.67 %

TRP.PR.E FixedReset Disc Quote: 15.50 – 16.33
Spot Rate : 0.8300
Average : 0.5128

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-01-19
Maturity Price : 15.50
Evaluated at bid price : 15.50
Bid-YTW : 4.83 %

POW.PR.G Perpetual-Premium Quote: 25.50 – 26.25
Spot Rate : 0.7500
Average : 0.4373

YTW SCENARIO
Maturity Type : Call
Maturity Date : 2021-02-18
Maturity Price : 25.25
Evaluated at bid price : 25.50
Bid-YTW : -5.65 %

TRP.PR.F FloatingReset Quote: 11.89 – 12.87
Spot Rate : 0.9800
Average : 0.7020

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-01-19
Maturity Price : 11.89
Evaluated at bid price : 11.89
Bid-YTW : 4.19 %

BAM.PR.Z FixedReset Disc Quote: 19.10 – 19.67
Spot Rate : 0.5700
Average : 0.3346

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-01-19
Maturity Price : 19.10
Evaluated at bid price : 19.10
Bid-YTW : 4.66 %

January 18, 2021

January 18th, 2021
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 0.3711 % 1,999.8
FixedFloater 0.00 % 0.00 % 0 0.00 0 0.3711 % 3,669.6
Floater 4.32 % 4.36 % 45,007 16.69 3 0.3711 % 2,114.8
OpRet 0.00 % 0.00 % 0 0.00 0 0.2855 % 3,644.0
SplitShare 4.68 % 4.22 % 38,667 3.74 8 0.2855 % 4,351.7
Interest-Bearing 0.00 % 0.00 % 0 0.00 0 0.2855 % 3,395.3
Perpetual-Premium 5.35 % -6.14 % 65,501 0.08 18 -0.0456 % 3,230.2
Perpetual-Discount 5.01 % 5.05 % 69,810 15.40 13 -0.1266 % 3,689.9
FixedReset Disc 4.92 % 3.78 % 140,167 17.55 56 0.6188 % 2,384.8
Insurance Straight 5.05 % 4.83 % 86,435 15.37 22 0.1067 % 3,563.0
FloatingReset 2.50 % 0.65 % 28,011 0.12 3 0.7480 % 1,911.1
FixedReset Prem 5.13 % 3.01 % 196,757 1.00 20 0.1987 % 2,700.0
FixedReset Bank Non 1.93 % 1.92 % 181,877 1.02 2 0.0200 % 2,884.9
FixedReset Ins Non 4.85 % 3.72 % 89,819 17.61 22 0.7211 % 2,511.1
Performance Highlights
Issue Index Change Notes
PWF.PR.P FixedReset Disc -2.05 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-01-18
Maturity Price : 11.95
Evaluated at bid price : 11.95
Bid-YTW : 4.26 %
TRP.PR.B FixedReset Disc -1.72 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-01-18
Maturity Price : 9.73
Evaluated at bid price : 9.73
Bid-YTW : 4.42 %
CU.PR.F Perpetual-Discount -1.46 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-01-18
Maturity Price : 23.39
Evaluated at bid price : 23.65
Bid-YTW : 4.81 %
SLF.PR.H FixedReset Ins Non -1.19 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-01-18
Maturity Price : 18.30
Evaluated at bid price : 18.30
Bid-YTW : 3.59 %
IFC.PR.G FixedReset Ins Non 1.03 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-01-18
Maturity Price : 20.51
Evaluated at bid price : 20.51
Bid-YTW : 3.95 %
BAM.PF.A FixedReset Disc 1.07 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-01-18
Maturity Price : 19.86
Evaluated at bid price : 19.86
Bid-YTW : 4.55 %
SLF.PR.I FixedReset Ins Non 1.09 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-01-18
Maturity Price : 21.38
Evaluated at bid price : 21.38
Bid-YTW : 3.75 %
CM.PR.Y FixedReset Prem 1.10 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-01-18
Maturity Price : 23.55
Evaluated at bid price : 25.78
Bid-YTW : 3.99 %
IFC.PR.A FixedReset Ins Non 1.13 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-01-18
Maturity Price : 15.27
Evaluated at bid price : 15.27
Bid-YTW : 3.74 %
BMO.PR.E FixedReset Disc 1.18 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-01-18
Maturity Price : 22.60
Evaluated at bid price : 23.24
Bid-YTW : 3.61 %
MFC.PR.L FixedReset Ins Non 1.29 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-01-18
Maturity Price : 18.89
Evaluated at bid price : 18.89
Bid-YTW : 3.73 %
BAM.PF.G FixedReset Disc 1.34 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-01-18
Maturity Price : 17.38
Evaluated at bid price : 17.38
Bid-YTW : 4.74 %
CM.PR.S FixedReset Disc 1.40 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-01-18
Maturity Price : 20.94
Evaluated at bid price : 20.94
Bid-YTW : 3.66 %
CU.PR.C FixedReset Disc 1.42 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-01-18
Maturity Price : 18.58
Evaluated at bid price : 18.58
Bid-YTW : 3.91 %
TRP.PR.C FixedReset Disc 1.50 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-01-18
Maturity Price : 10.86
Evaluated at bid price : 10.86
Bid-YTW : 4.55 %
BIP.PR.A FixedReset Disc 1.53 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-01-18
Maturity Price : 19.85
Evaluated at bid price : 19.85
Bid-YTW : 5.07 %
IFC.PR.C FixedReset Ins Non 1.59 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-01-18
Maturity Price : 20.42
Evaluated at bid price : 20.42
Bid-YTW : 3.82 %
BAM.PR.T FixedReset Disc 1.88 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-01-18
Maturity Price : 15.15
Evaluated at bid price : 15.15
Bid-YTW : 4.64 %
MFC.PR.K FixedReset Ins Non 1.92 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-01-18
Maturity Price : 19.68
Evaluated at bid price : 19.68
Bid-YTW : 3.70 %
TD.PF.J FixedReset Disc 1.93 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-01-18
Maturity Price : 22.89
Evaluated at bid price : 23.19
Bid-YTW : 3.54 %
PWF.PR.T FixedReset Disc 1.95 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-01-18
Maturity Price : 18.86
Evaluated at bid price : 18.86
Bid-YTW : 4.01 %
MFC.PR.F FixedReset Ins Non 2.21 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-01-18
Maturity Price : 12.94
Evaluated at bid price : 12.94
Bid-YTW : 3.60 %
IAF.PR.G FixedReset Ins Non 2.26 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-01-18
Maturity Price : 21.72
Evaluated at bid price : 22.18
Bid-YTW : 3.73 %
CM.PR.O FixedReset Disc 2.47 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-01-18
Maturity Price : 19.48
Evaluated at bid price : 19.48
Bid-YTW : 3.77 %
TD.PF.D FixedReset Disc 2.59 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-01-18
Maturity Price : 22.06
Evaluated at bid price : 22.60
Bid-YTW : 3.52 %
SLF.PR.J FloatingReset 3.07 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-01-18
Maturity Price : 11.75
Evaluated at bid price : 11.75
Bid-YTW : 3.15 %
SLF.PR.G FixedReset Ins Non 4.05 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-01-18
Maturity Price : 12.85
Evaluated at bid price : 12.85
Bid-YTW : 3.60 %
Volume Highlights
Issue Index Shares
Traded
Notes
GWO.PR.Q Insurance Straight 76,000 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-01-18
Maturity Price : 24.78
Evaluated at bid price : 25.05
Bid-YTW : 5.17 %
RY.PR.Z FixedReset Disc 54,400 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-01-18
Maturity Price : 20.94
Evaluated at bid price : 20.94
Bid-YTW : 3.40 %
BAM.PF.A FixedReset Disc 53,078 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-01-18
Maturity Price : 19.86
Evaluated at bid price : 19.86
Bid-YTW : 4.55 %
PWF.PR.H Perpetual-Premium 53,068 YTW SCENARIO
Maturity Type : Call
Maturity Date : 2021-02-17
Maturity Price : 25.00
Evaluated at bid price : 25.35
Bid-YTW : -13.39 %
SLF.PR.C Insurance Straight 51,900 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-01-18
Maturity Price : 23.70
Evaluated at bid price : 24.01
Bid-YTW : 4.66 %
BMO.PR.D FixedReset Disc 34,400 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-01-18
Maturity Price : 24.02
Evaluated at bid price : 24.37
Bid-YTW : 3.78 %
There were 9 other index-included issues trading in excess of 10,000 shares.
Wide Spread Highlights
Issue Index Quote Data and Yield Notes
BAM.PR.B Floater Quote: 9.90 – 11.05
Spot Rate : 1.1500
Average : 0.9352

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-01-18
Maturity Price : 9.90
Evaluated at bid price : 9.90
Bid-YTW : 4.36 %

CU.PR.F Perpetual-Discount Quote: 23.65 – 24.00
Spot Rate : 0.3500
Average : 0.2456

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-01-18
Maturity Price : 23.39
Evaluated at bid price : 23.65
Bid-YTW : 4.81 %

PWF.PR.P FixedReset Disc Quote: 11.95 – 12.45
Spot Rate : 0.5000
Average : 0.3967

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-01-18
Maturity Price : 11.95
Evaluated at bid price : 11.95
Bid-YTW : 4.26 %

PWF.PR.Z Perpetual-Premium Quote: 25.36 – 25.73
Spot Rate : 0.3700
Average : 0.2806

YTW SCENARIO
Maturity Type : Call
Maturity Date : 2025-07-31
Maturity Price : 25.25
Evaluated at bid price : 25.36
Bid-YTW : 4.98 %

BAM.PR.X FixedReset Disc Quote: 13.13 – 13.44
Spot Rate : 0.3100
Average : 0.2423

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-01-18
Maturity Price : 13.13
Evaluated at bid price : 13.13
Bid-YTW : 4.35 %

PWF.PR.S Perpetual-Discount Quote: 24.18 – 24.40
Spot Rate : 0.2200
Average : 0.1582

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2051-01-18
Maturity Price : 23.73
Evaluated at bid price : 24.18
Bid-YTW : 4.96 %

Atlantic Power Proposes Redeeming AZP.PR.A, AZP.PR.B & AZP.PR.C at $22.00 Under Plan of Arrangement

January 16th, 2021

Atlantic Power Corporation has announced:

that it has entered into a definitive agreement with I Squared Capital, a leading global infrastructure investor, under which the company’s outstanding common shares and convertible debentures, and the outstanding preferred shares and medium term notes of certain of its subsidiaries, will be acquired. The total enterprise value of the deal is approximately US$961 million (based on current foreign exchange rates) and the transaction was unanimously approved by Atlantic Power’s board of directors.
  • Common shareholders of Atlantic Power will receive US$3.03 per common share in cash, representing a 48% premium to the 30-day volume weighted average price per common share on the New York Stock Exchange for the period ending January 14, 2021.
  • Atlantic Power’s 6.00% Series E Convertible Unsecured Subordinated Debentures due January 31, 2025 will be converted into common shares of Atlantic Power immediately prior to the closing of the transaction based on the conversion ratio in effect at such time (including the “make whole premium shares” issuable under the terms of the trust indenture for the convertible debentures following a cash change of control). Holders of the convertible debentures will receive US$3.03 per common share held following the conversion of the convertible debentures, plus accrued and unpaid interest on the convertible debentures up to, but excluding, the closing date of the transaction.
  • Atlantic Power Preferred Equity Ltd.’s (“APPEL”) cumulative redeemable preferred shares, Series 1, cumulative rate reset preferred shares, Series 2, and cumulative floating rate preferred shares, Series 3, will be redeemed for Cdn$22.00 per preferred share in cash, representing meaningful premiums to the recent trading prices of such shares on the Toronto Stock Exchange.
  • Atlantic Power Limited Partnership’s (“APLP”) 5.95% medium term notes due June 23, 2036 will be redeemed for consideration equal to 106.071% of the principal amount of medium term notes held as of the closing of the transaction, plus accrued and unpaid interest on the medium term notes up to, but excluding, the closing date of the transaction. Holders of medium term notes that deliver a written consent to the proposed amendments to the trust indenture governing the medium term notes (as described below) will also be entitled to a consent fee equal to 0.25% of the principal amount of medium term notes held by such holders, conditional on closing of the transaction.

The acquisition of Atlantic Power’s outstanding common shares and the redemption of the outstanding preferred shares of APPEL will be completed by way of a plan of arrangement (the “Arrangement”) under the Business Corporations Act (British Columbia). In connection with the Arrangement, Atlantic Power’s shareholder rights plan will be terminated and all rights to purchase Atlantic Power’s common shares issued pursuant to the shareholder rights plan will be cancelled.

The Transaction is also conditional on the approval of two-thirds of the votes cast by holders of Atlantic Power’s common shares voting in person or by proxy at a special meeting of Atlantic Power’s common shareholders and the approval of two-thirds of the votes cast by holders of APPEL’s preferred shares (voting as a single class) in person or by proxy at a meeting of APPEL’s preferred shareholders in respect of both the Arrangement and the proposed continuance of APPEL under the laws of British Columbia.

In addition, the Transaction is conditional upon the approval of the holders of the convertible debentures and the medium term notes, respectively (in each case either by way of votes of the holders of the convertible debentures and the medium term notes holding at least two-thirds of the principal amount of the convertible debentures and the medium term notes, respectively, voted in person or by proxy at separate meetings of the holders of the convertible debentures and the medium term notes or by way of separate written consents of the holders of the convertible debentures and the medium term notes holding not less than two-thirds of the principal amount of convertible debentures and medium term notes outstanding, as applicable), of certain amendments to the trust indentures governing such securities, as described above. Atlantic Power and APLP will seek the approval of the holders of the convertible debentures and medium term notes by way of separate meetings and/or consent solicitations.

A bondholder representing approximately 66% of the principal amount of medium term notes and approximately 19% of the principal amount of convertible debentures outstanding has agreed to vote in favor of or otherwise consent to amendments to the trust indentures governing those securities.

A nice deal for the preferred shareholders, I think, as the yield on the preferreds is now 5.59%, 5.59% and 4.87% for AZP.PR.A, AZP.PR.B and AZP.PR.C, respectively, well within the range of issues in the “Pfd-3 Group” (not bad for issues rated P-4(low)!), although I have received an eMail that stated in part:

Why on earth would any preferred shareholder agree to sell their preferred shares below what is stated in the prospectuses?

I find it hard to believe that any preferred shareholder would agree to selling their preferred shares at $22.

Also, in your Q&A on the transaction, Atlantic Power states…” Preferred shareholders will not be entitled to a pro rata dividend in the event that the closing occurs mid-quarter.”

I believe Atlantic Power is mistaken here.

Presumably the elimination of the pro-rata dividend will be specified in the Plan of Arrangement.

It remains to be seen whether preferred shareholders are able to replicate their success realized in the negotiations regarding the Rona preferred shares in which Fidelity Investments Canada ULC was able to squeeze Lowes for a significant sum.

Many thanks to Assiduous Readers TS and JD for bringing this to my attention!