August 23, 2019

August 23rd, 2019

The Stable Genius ratcheted up the trade war today:

Hours after Beijing said it would increase tariffs on American goods in response to President Trump’s latest round of Chinese levies, the president ordered companies in the United States to stop doing business with China and warned of additional retaliation.

In a series of angry Twitter posts, Mr. Trump said “Our great American companies are hereby ordered to immediately start looking for an alternative to China, including bringing our companies HOME and making your products in the USA.”

The president also said he was ordering the United States Postal Service and private American companies like FedEx, Amazon and UPS to search packages from China for the opioid Fentanyl and refuse delivery.

Powell came perilously close to criticizing policy:

As the year has progressed, we have been monitoring three factors that are weighing on this favorable outlook: slowing global growth, trade policy uncertainty, and muted inflation. The global growth outlook has been deteriorating since the middle of last year. Trade policy uncertainty seems to be playing a role in the global slowdown and in weak manufacturing and capital spending in the United States. Inflation fell below our objective at the start of the year. It appears to be moving back up closer to our symmetric 2 percent objective, but there are concerns about a more prolonged shortfall.

Turning to the current context, we are carefully watching developments as we assess their implications for the U.S. outlook and the path of monetary policy. The three weeks since our July FOMC meeting have been eventful, beginning with the announcement of new tariffs on imports from China. We have seen further evidence of a global slowdown, notably in Germany and China. Geopolitical events have been much in the news, including the growing possibility of a hard Brexit, rising tensions in Hong Kong, and the dissolution of the Italian government. Financial markets have reacted strongly to this complex, turbulent picture. Equity markets have been volatile. Long-term bond rates around the world have moved down sharply to near post-crisis lows. Meanwhile, the U.S. economy has continued to perform well overall, driven by consumer spending. Job creation has slowed from last year’s pace but is still above overall labor force growth. Inflation seems to be moving up closer to 2 percent. Based on our assessment of the implications of these developments, we will act as appropriate to sustain the expansion, with a strong labor market and inflation near its symmetric 2 percent objective.

So Stable Genius had to bolster his excuses for the next recession:

Jerome H. Powell, the Federal Reserve chair, kept future interest rate cuts squarely on the table on Friday but suggested that the central bank was limited in its ability to counteract President Trump’s trade policies, which are stoking uncertainty and posing risks to the economic outlook.

Mr. Powell’s remarks drew a swift and angry reaction from Mr. Trump, who equated the Fed leader with the president’s adversary in the trade war, President Xi Jinping of China.

“My only question is, who is our bigger enemy, Jay Powell or Chairman Xi?,” Mr. Trump wrote in one of a series of Twitter posts.

The markets noticed:

The Dow Jones Industrial Average fell 622.19 points, or 2.37 per cent, to 25,630.05, the S&P 500 lost 75.7 points, or 2.59 per cent, to 2,847.25 and the Nasdaq Composite dropped 239.62 points, or 3 per cent, to 7,751.77.

In Toronto, the S&P/TSX Composite index was unofficially down 215.88 points, or 1.33 per cent, at 16,037.58.

The two-year/10-year yield curve inverted last week for the first time since 2007, a signal that a U.S. recession is likely in one to two years. The curve has traded in and out of inversion over the past three days.

U.S. Treasury yields fell, with 10-year notes last up 25/32 in price to yield 1.5266 per cent, from 1.61 per cent late on Thursday.

The two-year/10-year yield curve tripped to negative territory early in the session and for a third consecutive day.

The U.S. dollar fell after Powell’s comments and dropped further after Trump’s tweets.

… and, just as I go to press, I learn that Stable Genius has freaked out again:

Twelve hours after China said it would retaliate against Mr. Trump’s next round of tariffs by raising taxes on American goods, Mr. Trump said he would boost existing tariffs on $250 billion worth of Chinese goods to 30 percent from 25 percent on Oct. 1.

And he said the United States would tax another $300 billion worth of Chinese imports at a 15 percent rate, rather than the 10 percent he had initially planned. Those levies go into effect on Sept. 1.

“China should not have put new Tariffs on 75 BILLION DOLLARS of United States product (politically motivated!),” Mr. Trump tweeted. “Starting on October 1st, the 250 BILLION DOLLARS of goods and products from China, currently being taxed at 25%, will be taxed at 30%.”

I’m sure we’re all shocked that the Chinese would do something “politically motivated”.

And the preferred share market was back to normal, with all three mainstream indicators setting new lows:

TXPR closed at 573.00, down 0.48% on the day after touching a new 52-week low of 572.88. Volume was 2.71-million, third-highest of the past 30 days, behind only August 14 and August 15.

CPD closed at 11.48, down 0.35% on the day after touching a new 52-week low of 11.44. Volume of 61,338 was low in the context of the past 30 days.

ZPR closed at 9.10, down 0.55% on the day after touching a new 52-week low of 9.08. Volume of 159,026 was a little above average but nothing special in the context of the past 30 days.

Five-year Canada yields were down 12bp to 1.21% today – but even that big drop leaves us 1bp higher than last Friday’s yield.

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 -0.1958 % 1,761.5
FixedFloater 0.00 % 0.00 % 0 0.00 0 -0.1958 % 3,232.3
Floater 6.78 % 7.04 % 42,460 12.41 4 -0.1958 % 1,862.8
OpRet 0.00 % 0.00 % 0 0.00 0 0.1531 % 3,364.6
SplitShare 4.68 % 4.57 % 61,061 4.09 7 0.1531 % 4,018.0
Interest-Bearing 0.00 % 0.00 % 0 0.00 0 0.1531 % 3,135.0
Perpetual-Premium 5.66 % -4.36 % 66,477 0.09 9 -0.1589 % 2,961.6
Perpetual-Discount 5.54 % 5.64 % 56,583 14.47 25 -0.1644 % 3,078.0
FixedReset Disc 6.00 % 5.64 % 157,552 14.48 66 -0.6278 % 1,941.5
Deemed-Retractible 5.31 % 6.26 % 73,191 7.82 27 -0.2434 % 3,070.2
FloatingReset 4.76 % 7.61 % 58,573 7.85 3 -0.2260 % 2,230.9
FixedReset Prem 5.23 % 5.03 % 169,269 1.89 21 -0.3221 % 2,548.0
FixedReset Bank Non 1.99 % 4.43 % 88,278 2.36 3 0.1819 % 2,647.7
FixedReset Ins Non 5.74 % 8.54 % 100,812 7.93 21 -1.0464 % 2,000.5
Performance Highlights
Issue Index Change Notes
HSE.PR.A FixedReset Disc -5.49 % A nonsensical quote provided at high cost by Nonsense Central, as the issue traded 600 shares today in a range of 10.95-09 before being quoted at 10.51-22. The closing price was 10.95, reached at 2:44pm.

I have not checked whether the lamentable state of the quote is due to inadequate Toronto Stock Exchange reporting or inadequate Toronto Stock Exchange supervision of market-makers.

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-08-23
Maturity Price : 10.51
Evaluated at bid price : 10.51
Bid-YTW : 6.96 %

PWF.PR.T FixedReset Disc -3.82 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-08-23
Maturity Price : 16.35
Evaluated at bid price : 16.35
Bid-YTW : 5.80 %
EMA.PR.F FixedReset Disc -3.59 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-08-23
Maturity Price : 14.76
Evaluated at bid price : 14.76
Bid-YTW : 6.57 %
PWF.PR.P FixedReset Disc -3.16 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-08-23
Maturity Price : 11.94
Evaluated at bid price : 11.94
Bid-YTW : 5.86 %
MFC.PR.I FixedReset Ins Non -2.55 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2030-01-31
Maturity Price : 25.00
Evaluated at bid price : 17.22
Bid-YTW : 8.79 %
CM.PR.P FixedReset Disc -2.43 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-08-23
Maturity Price : 14.83
Evaluated at bid price : 14.83
Bid-YTW : 5.90 %
MFC.PR.M FixedReset Ins Non -2.41 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2030-01-31
Maturity Price : 25.00
Evaluated at bid price : 15.01
Bid-YTW : 9.76 %
IAF.PR.G FixedReset Ins Non -2.25 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2030-01-31
Maturity Price : 25.00
Evaluated at bid price : 17.84
Bid-YTW : 8.22 %
IFC.PR.G FixedReset Ins Non -2.20 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2030-01-31
Maturity Price : 25.00
Evaluated at bid price : 17.78
Bid-YTW : 8.69 %
TRP.PR.A FixedReset Disc -2.15 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-08-23
Maturity Price : 11.85
Evaluated at bid price : 11.85
Bid-YTW : 6.75 %
TD.PF.A FixedReset Disc -2.06 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-08-23
Maturity Price : 15.68
Evaluated at bid price : 15.68
Bid-YTW : 5.56 %
MFC.PR.Q FixedReset Ins Non -1.99 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2030-01-31
Maturity Price : 25.00
Evaluated at bid price : 17.70
Bid-YTW : 8.44 %
MFC.PR.G FixedReset Ins Non -1.92 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2030-01-31
Maturity Price : 25.00
Evaluated at bid price : 16.83
Bid-YTW : 8.93 %
MFC.PR.N FixedReset Ins Non -1.68 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2030-01-31
Maturity Price : 25.00
Evaluated at bid price : 14.60
Bid-YTW : 10.05 %
CM.PR.Y FixedReset Disc -1.67 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-08-23
Maturity Price : 22.55
Evaluated at bid price : 23.50
Bid-YTW : 5.30 %
SLF.PR.I FixedReset Ins Non -1.65 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2030-01-31
Maturity Price : 25.00
Evaluated at bid price : 17.31
Bid-YTW : 8.53 %
TD.PF.C FixedReset Disc -1.57 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-08-23
Maturity Price : 15.70
Evaluated at bid price : 15.70
Bid-YTW : 5.58 %
NA.PR.W FixedReset Disc -1.55 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-08-23
Maturity Price : 14.62
Evaluated at bid price : 14.62
Bid-YTW : 5.98 %
HSE.PR.G FixedReset Disc -1.49 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-08-23
Maturity Price : 16.55
Evaluated at bid price : 16.55
Bid-YTW : 7.28 %
IAF.PR.I FixedReset Ins Non -1.47 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2030-01-31
Maturity Price : 25.00
Evaluated at bid price : 18.09
Bid-YTW : 8.54 %
MFC.PR.H FixedReset Ins Non -1.41 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2030-01-31
Maturity Price : 25.00
Evaluated at bid price : 19.60
Bid-YTW : 7.32 %
TRP.PR.F FloatingReset -1.32 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-08-23
Maturity Price : 11.94
Evaluated at bid price : 11.94
Bid-YTW : 7.61 %
BAM.PF.C Perpetual-Discount -1.32 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-08-23
Maturity Price : 20.24
Evaluated at bid price : 20.24
Bid-YTW : 6.10 %
NA.PR.S FixedReset Disc -1.31 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-08-23
Maturity Price : 15.80
Evaluated at bid price : 15.80
Bid-YTW : 5.95 %
CCS.PR.C Deemed-Retractible -1.31 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2030-01-31
Maturity Price : 25.00
Evaluated at bid price : 24.20
Bid-YTW : 5.53 %
TRP.PR.G FixedReset Disc -1.27 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-08-23
Maturity Price : 15.60
Evaluated at bid price : 15.60
Bid-YTW : 6.68 %
SLF.PR.C Deemed-Retractible -1.22 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2030-01-31
Maturity Price : 25.00
Evaluated at bid price : 20.30
Bid-YTW : 7.17 %
TRP.PR.D FixedReset Disc -1.21 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-08-23
Maturity Price : 14.67
Evaluated at bid price : 14.67
Bid-YTW : 6.35 %
CU.PR.H Perpetual-Discount -1.20 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-08-23
Maturity Price : 23.39
Evaluated at bid price : 23.86
Bid-YTW : 5.50 %
BIP.PR.E FixedReset Disc -1.19 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-08-23
Maturity Price : 20.75
Evaluated at bid price : 20.75
Bid-YTW : 6.13 %
IFC.PR.E Deemed-Retractible -1.19 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2030-01-31
Maturity Price : 25.00
Evaluated at bid price : 23.28
Bid-YTW : 6.25 %
BAM.PR.T FixedReset Disc -1.04 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-08-23
Maturity Price : 13.38
Evaluated at bid price : 13.38
Bid-YTW : 6.69 %
PWF.PR.S Perpetual-Discount -1.03 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-08-23
Maturity Price : 21.05
Evaluated at bid price : 21.05
Bid-YTW : 5.77 %
PWF.PR.Z Perpetual-Discount 1.07 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-08-23
Maturity Price : 22.25
Evaluated at bid price : 22.60
Bid-YTW : 5.74 %
CU.PR.F Perpetual-Discount 1.09 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-08-23
Maturity Price : 21.35
Evaluated at bid price : 21.35
Bid-YTW : 5.30 %
GWO.PR.H Deemed-Retractible 1.10 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2030-01-31
Maturity Price : 25.00
Evaluated at bid price : 22.00
Bid-YTW : 6.59 %
PVS.PR.D SplitShare 1.16 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2021-10-08
Maturity Price : 25.00
Evaluated at bid price : 25.30
Bid-YTW : 3.84 %
BNS.PR.I FixedReset Disc 1.33 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-08-23
Maturity Price : 19.03
Evaluated at bid price : 19.03
Bid-YTW : 5.24 %
MFC.PR.K FixedReset Ins Non 1.34 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2030-01-31
Maturity Price : 25.00
Evaluated at bid price : 16.62
Bid-YTW : 8.89 %
PWF.PR.L Perpetual-Discount 1.40 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-08-23
Maturity Price : 22.12
Evaluated at bid price : 22.40
Bid-YTW : 5.74 %
HSE.PR.E FixedReset Disc 1.66 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-08-23
Maturity Price : 17.18
Evaluated at bid price : 17.18
Bid-YTW : 7.07 %
BAM.PF.B FixedReset Disc 1.81 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-08-23
Maturity Price : 16.30
Evaluated at bid price : 16.30
Bid-YTW : 6.28 %
Volume Highlights
Issue Index Shares
Traded
Notes
MFC.PR.N FixedReset Ins Non 200,500 YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2030-01-31
Maturity Price : 25.00
Evaluated at bid price : 14.60
Bid-YTW : 10.05 %
BMO.PR.S FixedReset Disc 184,860 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-08-23
Maturity Price : 16.64
Evaluated at bid price : 16.64
Bid-YTW : 5.48 %
BMO.PR.W FixedReset Disc 70,591 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-08-23
Maturity Price : 15.50
Evaluated at bid price : 15.50
Bid-YTW : 5.57 %
SLF.PR.E Deemed-Retractible 59,182 YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2030-01-31
Maturity Price : 25.00
Evaluated at bid price : 20.77
Bid-YTW : 6.93 %
BAM.PF.B FixedReset Disc 56,425 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-08-23
Maturity Price : 16.30
Evaluated at bid price : 16.30
Bid-YTW : 6.28 %
BAM.PF.A FixedReset Disc 43,157 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-08-23
Maturity Price : 17.75
Evaluated at bid price : 17.75
Bid-YTW : 6.25 %
There were 41 other index-included issues trading in excess of 10,000 shares.
Wide Spread Highlights
Issue Index Quote Data and Yield Notes
HSE.PR.E FixedReset Disc Quote: 17.18 – 18.29
Spot Rate : 1.1100
Average : 0.7031

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-08-23
Maturity Price : 17.18
Evaluated at bid price : 17.18
Bid-YTW : 7.07 %

HSE.PR.C FixedReset Disc Quote: 15.85 – 16.50
Spot Rate : 0.6500
Average : 0.4401

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-08-23
Maturity Price : 15.85
Evaluated at bid price : 15.85
Bid-YTW : 6.99 %

IAF.PR.G FixedReset Ins Non Quote: 17.84 – 18.40
Spot Rate : 0.5600
Average : 0.3609

YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2030-01-31
Maturity Price : 25.00
Evaluated at bid price : 17.84
Bid-YTW : 8.22 %

EMA.PR.F FixedReset Disc Quote: 14.76 – 15.44
Spot Rate : 0.6800
Average : 0.4882

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-08-23
Maturity Price : 14.76
Evaluated at bid price : 14.76
Bid-YTW : 6.57 %

PVS.PR.F SplitShare Quote: 25.20 – 25.79
Spot Rate : 0.5900
Average : 0.4270

YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2024-09-30
Maturity Price : 25.00
Evaluated at bid price : 25.20
Bid-YTW : 4.61 %

PWF.PR.E Perpetual-Discount Quote: 23.89 – 24.47
Spot Rate : 0.5800
Average : 0.4230

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-08-23
Maturity Price : 23.62
Evaluated at bid price : 23.89
Bid-YTW : 5.81 %

August 22, 2019

August 22nd, 2019

What a great day! Only one of the mainstream indicators made a new 52-week low!

TXPR closed at 575.74, up 0.11% on the day. Volume was 2.18-million, nothing special in the context of the past 30 days.

CPD closed at 11.52, up 0.17% on the day. Volume of 97,108 was above median but nothing special in the context of the past 30 days.

ZPR closed at 9.15, unchanged on the day after touching a new 52-week low of 9.145. Volume of 111,979 was a little above average but nothing special in the context of the past 30 days.

Five-year Canada yields were up 5bp to 1.33% today.

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 0.2208 % 1,765.0
FixedFloater 0.00 % 0.00 % 0 0.00 0 0.2208 % 3,238.6
Floater 6.77 % 7.03 % 41,461 12.42 4 0.2208 % 1,866.4
OpRet 0.00 % 0.00 % 0 0.00 0 -0.1528 % 3,359.4
SplitShare 4.68 % 4.56 % 60,857 4.09 7 -0.1528 % 4,011.9
Interest-Bearing 0.00 % 0.00 % 0 0.00 0 -0.1528 % 3,130.2
Perpetual-Premium 5.65 % -4.54 % 66,492 0.09 9 -0.1190 % 2,966.4
Perpetual-Discount 5.53 % 5.60 % 54,750 14.49 25 -0.3046 % 3,083.0
FixedReset Disc 5.96 % 5.58 % 153,381 14.43 66 0.3969 % 1,953.7
Deemed-Retractible 5.30 % 6.22 % 61,377 7.84 27 -0.0400 % 3,077.7
FloatingReset 4.75 % 7.50 % 60,981 7.84 3 0.1646 % 2,236.0
FixedReset Prem 5.21 % 4.87 % 170,726 1.90 21 0.0948 % 2,556.3
FixedReset Bank Non 1.99 % 4.42 % 86,289 2.37 3 0.2666 % 2,642.9
FixedReset Ins Non 5.68 % 8.34 % 100,429 7.96 21 -0.1381 % 2,021.7
Performance Highlights
Issue Index Change Notes
IFC.PR.A FixedReset Ins Non -2.15 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2030-01-31
Maturity Price : 25.00
Evaluated at bid price : 13.63
Bid-YTW : 10.54 %
PWF.PR.L Perpetual-Discount -1.87 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-08-22
Maturity Price : 21.85
Evaluated at bid price : 22.09
Bid-YTW : 5.82 %
MFC.PR.B Deemed-Retractible -1.70 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2030-01-31
Maturity Price : 25.00
Evaluated at bid price : 20.76
Bid-YTW : 6.95 %
BAM.PF.D Perpetual-Discount -1.57 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-08-22
Maturity Price : 20.68
Evaluated at bid price : 20.68
Bid-YTW : 6.03 %
BAM.PR.R FixedReset Disc -1.54 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-08-22
Maturity Price : 13.39
Evaluated at bid price : 13.39
Bid-YTW : 6.56 %
SLF.PR.I FixedReset Ins Non -1.40 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2030-01-31
Maturity Price : 25.00
Evaluated at bid price : 17.60
Bid-YTW : 8.31 %
PWF.PR.F Perpetual-Discount -1.38 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-08-22
Maturity Price : 22.69
Evaluated at bid price : 22.93
Bid-YTW : 5.77 %
MFC.PR.K FixedReset Ins Non -1.32 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2030-01-31
Maturity Price : 25.00
Evaluated at bid price : 16.40
Bid-YTW : 9.06 %
PWF.PR.Z Perpetual-Discount -1.28 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-08-22
Maturity Price : 22.02
Evaluated at bid price : 22.36
Bid-YTW : 5.80 %
PVS.PR.D SplitShare -1.15 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2021-10-08
Maturity Price : 25.00
Evaluated at bid price : 25.01
Bid-YTW : 4.41 %
CM.PR.T FixedReset Disc -1.13 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-08-22
Maturity Price : 22.57
Evaluated at bid price : 23.52
Bid-YTW : 4.99 %
PWF.PR.K Perpetual-Discount -1.06 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-08-22
Maturity Price : 21.50
Evaluated at bid price : 21.50
Bid-YTW : 5.82 %
NA.PR.W FixedReset Disc 1.02 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-08-22
Maturity Price : 14.85
Evaluated at bid price : 14.85
Bid-YTW : 5.89 %
BMO.PR.Z Perpetual-Discount 1.09 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-08-22
Maturity Price : 23.75
Evaluated at bid price : 24.21
Bid-YTW : 5.17 %
CM.PR.P FixedReset Disc 1.13 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-08-22
Maturity Price : 15.20
Evaluated at bid price : 15.20
Bid-YTW : 5.76 %
SLF.PR.B Deemed-Retractible 1.14 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2030-01-31
Maturity Price : 25.00
Evaluated at bid price : 22.10
Bid-YTW : 6.48 %
RY.PR.M FixedReset Disc 1.23 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-08-22
Maturity Price : 17.23
Evaluated at bid price : 17.23
Bid-YTW : 5.57 %
BMO.PR.W FixedReset Disc 1.30 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-08-22
Maturity Price : 15.60
Evaluated at bid price : 15.60
Bid-YTW : 5.53 %
EMA.PR.C FixedReset Disc 1.32 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-08-22
Maturity Price : 16.94
Evaluated at bid price : 16.94
Bid-YTW : 6.06 %
NA.PR.S FixedReset Disc 1.33 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-08-22
Maturity Price : 16.01
Evaluated at bid price : 16.01
Bid-YTW : 5.87 %
NA.PR.G FixedReset Disc 1.62 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-08-22
Maturity Price : 18.80
Evaluated at bid price : 18.80
Bid-YTW : 5.66 %
TRP.PR.D FixedReset Disc 1.64 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-08-22
Maturity Price : 14.85
Evaluated at bid price : 14.85
Bid-YTW : 6.27 %
CM.PR.O FixedReset Disc 1.72 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-08-22
Maturity Price : 16.00
Evaluated at bid price : 16.00
Bid-YTW : 5.66 %
TD.PF.C FixedReset Disc 1.79 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-08-22
Maturity Price : 15.95
Evaluated at bid price : 15.95
Bid-YTW : 5.49 %
TRP.PR.G FixedReset Disc 1.87 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-08-22
Maturity Price : 15.80
Evaluated at bid price : 15.80
Bid-YTW : 6.59 %
HSE.PR.C FixedReset Disc 2.12 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-08-22
Maturity Price : 15.86
Evaluated at bid price : 15.86
Bid-YTW : 6.99 %
CCS.PR.C Deemed-Retractible 2.34 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2030-01-31
Maturity Price : 25.00
Evaluated at bid price : 24.52
Bid-YTW : 5.37 %
TRP.PR.A FixedReset Disc 2.63 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-08-22
Maturity Price : 12.11
Evaluated at bid price : 12.11
Bid-YTW : 6.60 %
Volume Highlights
Issue Index Shares
Traded
Notes
TD.PF.L FixedReset Disc 80,675 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-08-22
Maturity Price : 22.62
Evaluated at bid price : 23.62
Bid-YTW : 4.92 %
RY.PR.Z FixedReset Disc 80,128 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-08-22
Maturity Price : 16.52
Evaluated at bid price : 16.52
Bid-YTW : 5.32 %
BMO.PR.T FixedReset Disc 53,250 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-08-22
Maturity Price : 15.90
Evaluated at bid price : 15.90
Bid-YTW : 5.46 %
TD.PF.H FixedReset Prem 43,038 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-08-22
Maturity Price : 23.35
Evaluated at bid price : 24.51
Bid-YTW : 5.37 %
BAM.PF.E FixedReset Disc 38,400 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-08-22
Maturity Price : 14.32
Evaluated at bid price : 14.32
Bid-YTW : 6.76 %
CM.PR.P FixedReset Disc 36,800 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-08-22
Maturity Price : 15.20
Evaluated at bid price : 15.20
Bid-YTW : 5.76 %
There were 39 other index-included issues trading in excess of 10,000 shares.
Wide Spread Highlights
Issue Index Quote Data and Yield Notes
PWF.PR.L Perpetual-Discount Quote: 22.09 – 22.69
Spot Rate : 0.6000
Average : 0.3956

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-08-22
Maturity Price : 21.85
Evaluated at bid price : 22.09
Bid-YTW : 5.82 %

BAM.PF.D Perpetual-Discount Quote: 20.68 – 21.20
Spot Rate : 0.5200
Average : 0.3606

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-08-22
Maturity Price : 20.68
Evaluated at bid price : 20.68
Bid-YTW : 6.03 %

BIP.PR.A FixedReset Disc Quote: 17.19 – 17.60
Spot Rate : 0.4100
Average : 0.2543

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-08-22
Maturity Price : 17.19
Evaluated at bid price : 17.19
Bid-YTW : 7.05 %

BNS.PR.I FixedReset Disc Quote: 18.78 – 19.15
Spot Rate : 0.3700
Average : 0.2250

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-08-22
Maturity Price : 18.78
Evaluated at bid price : 18.78
Bid-YTW : 5.31 %

PWF.PR.K Perpetual-Discount Quote: 21.50 – 21.96
Spot Rate : 0.4600
Average : 0.3161

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-08-22
Maturity Price : 21.50
Evaluated at bid price : 21.50
Bid-YTW : 5.82 %

BAM.PR.X FixedReset Disc Quote: 11.79 – 12.30
Spot Rate : 0.5100
Average : 0.3717

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-08-22
Maturity Price : 11.79
Evaluated at bid price : 11.79
Bid-YTW : 6.39 %

KML.PR.A & KML.PR.C On Review-Developing by DBRS

August 22nd, 2019

DBRS has announced:

DBRS Limited (DBRS) placed the following ratings Under Review with Developing Implications:

— Kinder Morgan Canada Limited (KML), Preferred Shares – Cumulative (the Preferred Shares) rating of Pfd-3
— Kinder Morgan Cochin ULC (KMU), Issuer Rating of BBB


KMU’s Issuer Rating is based on its strong financial profile and expectation that leverage will remain reasonable for the current rating. The Preferred Shares rating of KML, which owns 30% of KMU and holds no other material assets, is based on the strength of KMU, the structural support in place for the benefit of the holders of the Preferred Shares (please see DBRS’s report on Kinder Morgan Canada Limited and Kinder Morgan Cochin ULC, dated March 25, 2019, for details) and the expectation that no debt will be issued by KML. DBRS expects to resolve the Under Review status once additional information becomes available with respect to Pembina’s intention for the Preferred Shares and the proposed capital structure at KMU post completion of the Acquisition.

This follows yesterday’s news that PPL To Acquire KML Under Proposed Plan of Arrangement.

KML.PR.A is a FixedReset 5.25%+365M525 that commenced trading 2017-8-15 after being announced 2017-8-3. It is tracked by HIMIPref™ but relegated to the Scraps-FixedReset Discount subindex on credit concerns.

KML.PR.C is a FixedReset, 5.20%+351M520, that commenced trading 2017-12-15 after being announced 2017-12-6. It is tracked by HIMIPref™ but relegated to the Scraps-FixedReset Discount subindex on credit concerns.

August 21, 2019

August 22nd, 2019

There was good news for Poloz in today’s inflation numbers:

The Canadian dollar strengthened against its U.S. counterpart on Wednesday, recovering from a two-month low it hit the previous day after stronger-than-expected domestic inflation data, but earlier gains were capped as the greenback rallied broadly.

The U.S. dollar gained against a basket of currencies after minutes from the Federal Reserve’s July meeting showed that policy-makers were united in wanting to avoid the appearance of being on the path to further rate cuts.

Canada’s annual inflation rate held steady in July at 2 per cent as lower costs for services were offset by higher prices for durable goods. Analysts had expected the annual rate to fall to 1.7 per cent from 2 per cent in June.

Canada’s retail sales data is due on Friday, with a Reuters poll forecasting a 0.1 per cent decrease, which could help guide expectations about the Bank of Canada’s interest rate decision.

Canadian government bond prices were lower across the yield curve, with the two-year down 10 cents to yield 1.395 per cent and the 10-year falling 53 cents to yield 1.213 per cent.

Each of the mainstream indicators made a new 52-week low today. This is getting monotonous.

TXPR closed at 575.08, down 0.41% on the day after touching a new 52-week low of 574.94. Volume was 2.44-million, above average but nothing special in the context of the past 30 days.

CPD closed at 11.50, a new 52-week low and down 0.26% on the day. Volume of 73,613 was above median and nothing special in the context of the past 30 days.

ZPR closed at 9.15, a new 52-week low and down 0.11% on the day. Volume of 163,912 was a little above average but nothing special in the context of the past 30 days.

Five-year Canada yields were up 8bp to 1.28% today.

PerpetualDiscounts now yield 5.58%, equivalent to 7.25% interest at the standard equivalency factor of 1.3x. Long corporates now yield 3.15%, so the pre-tax interest-equivalent spread (in this context, the “Seniority Spread”) has widened to an eye-popping 410bp, a new post-Credit Crunch record (second only to the 445bp recorded November 26, 2008, a day on which

The TXPR index was down 5.94% on the BCE news.

) and a slight (and possibly spurious) widening from the 405bp the reported August 14.

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 -1.2115 % 1,761.1
FixedFloater 0.00 % 0.00 % 0 0.00 0 -1.2115 % 3,231.5
Floater 6.78 % 7.03 % 41,782 12.42 4 -1.2115 % 1,862.3
OpRet 0.00 % 0.00 % 0 0.00 0 0.4000 % 3,364.6
SplitShare 4.68 % 4.58 % 63,063 4.10 7 0.4000 % 4,018.0
Interest-Bearing 0.00 % 0.00 % 0 0.00 0 0.4000 % 3,135.0
Perpetual-Premium 5.64 % -4.73 % 64,392 0.09 9 -0.1233 % 2,969.9
Perpetual-Discount 5.51 % 5.58 % 54,682 14.50 25 -0.4646 % 3,092.5
FixedReset Disc 5.99 % 5.61 % 152,251 14.49 66 -0.4109 % 1,946.0
Deemed-Retractible 5.30 % 6.14 % 65,508 7.84 27 -0.0384 % 3,079.0
FloatingReset 4.76 % 7.56 % 61,878 7.85 3 -0.0617 % 2,232.3
FixedReset Prem 5.22 % 4.95 % 170,782 1.90 21 -0.0910 % 2,553.9
FixedReset Bank Non 2.00 % 4.56 % 89,175 2.37 3 -0.1261 % 2,635.9
FixedReset Ins Non 5.67 % 8.23 % 101,606 7.96 21 -0.3749 % 2,024.5
Performance Highlights
Issue Index Change Notes
HSE.PR.C FixedReset Disc -2.94 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-08-21
Maturity Price : 15.53
Evaluated at bid price : 15.53
Bid-YTW : 7.14 %
BMO.PR.S FixedReset Disc -2.58 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-08-21
Maturity Price : 16.60
Evaluated at bid price : 16.60
Bid-YTW : 5.49 %
NA.PR.G FixedReset Disc -2.53 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-08-21
Maturity Price : 18.50
Evaluated at bid price : 18.50
Bid-YTW : 5.75 %
BMO.PR.Z Perpetual-Discount -2.24 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-08-21
Maturity Price : 23.51
Evaluated at bid price : 23.95
Bid-YTW : 5.22 %
EMA.PR.C FixedReset Disc -2.17 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-08-21
Maturity Price : 16.72
Evaluated at bid price : 16.72
Bid-YTW : 6.14 %
IAF.PR.I FixedReset Ins Non -2.12 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2030-01-31
Maturity Price : 25.00
Evaluated at bid price : 18.51
Bid-YTW : 8.23 %
MFC.PR.I FixedReset Ins Non -2.06 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2030-01-31
Maturity Price : 25.00
Evaluated at bid price : 17.63
Bid-YTW : 8.48 %
BAM.PR.M Perpetual-Discount -2.01 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-08-21
Maturity Price : 20.02
Evaluated at bid price : 20.02
Bid-YTW : 6.04 %
TRP.PR.G FixedReset Disc -1.90 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-08-21
Maturity Price : 15.51
Evaluated at bid price : 15.51
Bid-YTW : 6.72 %
RY.PR.M FixedReset Disc -1.73 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-08-21
Maturity Price : 17.02
Evaluated at bid price : 17.02
Bid-YTW : 5.64 %
SLF.PR.G FixedReset Ins Non -1.67 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2030-01-31
Maturity Price : 25.00
Evaluated at bid price : 12.36
Bid-YTW : 10.90 %
BMO.PR.Y FixedReset Disc -1.61 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-08-21
Maturity Price : 17.71
Evaluated at bid price : 17.71
Bid-YTW : 5.56 %
BMO.PR.T FixedReset Disc -1.56 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-08-21
Maturity Price : 15.75
Evaluated at bid price : 15.75
Bid-YTW : 5.51 %
NA.PR.W FixedReset Disc -1.54 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-08-21
Maturity Price : 14.70
Evaluated at bid price : 14.70
Bid-YTW : 5.95 %
MFC.PR.H FixedReset Ins Non -1.50 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2030-01-31
Maturity Price : 25.00
Evaluated at bid price : 19.73
Bid-YTW : 7.23 %
RY.PR.Z FixedReset Disc -1.49 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-08-21
Maturity Price : 16.55
Evaluated at bid price : 16.55
Bid-YTW : 5.31 %
MFC.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 : 20.20
Bid-YTW : 7.13 %
PWF.PR.A Floater -1.37 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-08-21
Maturity Price : 10.76
Evaluated at bid price : 10.76
Bid-YTW : 6.48 %
EMA.PR.F FixedReset Disc -1.35 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-08-21
Maturity Price : 15.30
Evaluated at bid price : 15.30
Bid-YTW : 6.34 %
BNS.PR.I FixedReset Disc -1.31 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-08-21
Maturity Price : 18.90
Evaluated at bid price : 18.90
Bid-YTW : 5.28 %
NA.PR.S FixedReset Disc -1.25 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-08-21
Maturity Price : 15.80
Evaluated at bid price : 15.80
Bid-YTW : 5.95 %
BAM.PR.K Floater -1.19 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-08-21
Maturity Price : 10.00
Evaluated at bid price : 10.00
Bid-YTW : 7.04 %
BAM.PR.B Floater -1.19 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-08-21
Maturity Price : 10.00
Evaluated at bid price : 10.00
Bid-YTW : 7.04 %
PWF.PR.E Perpetual-Discount -1.18 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-08-21
Maturity Price : 23.96
Evaluated at bid price : 24.21
Bid-YTW : 5.73 %
BAM.PR.N Perpetual-Discount -1.13 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-08-21
Maturity Price : 20.12
Evaluated at bid price : 20.12
Bid-YTW : 6.01 %
CM.PR.P FixedReset Disc -1.12 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-08-21
Maturity Price : 15.03
Evaluated at bid price : 15.03
Bid-YTW : 5.82 %
PWF.PR.L Perpetual-Discount -1.10 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-08-21
Maturity Price : 22.24
Evaluated at bid price : 22.51
Bid-YTW : 5.71 %
TD.PF.D FixedReset Disc -1.10 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-08-21
Maturity Price : 18.05
Evaluated at bid price : 18.05
Bid-YTW : 5.57 %
BAM.PR.C Floater -1.09 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-08-21
Maturity Price : 10.01
Evaluated at bid price : 10.01
Bid-YTW : 7.03 %
TRP.PR.B FixedReset Disc 1.02 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-08-21
Maturity Price : 9.86
Evaluated at bid price : 9.86
Bid-YTW : 6.38 %
MFC.PR.K FixedReset Ins Non 1.09 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2030-01-31
Maturity Price : 25.00
Evaluated at bid price : 16.62
Bid-YTW : 8.89 %
TD.PF.J FixedReset Disc 1.11 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-08-21
Maturity Price : 19.07
Evaluated at bid price : 19.07
Bid-YTW : 5.40 %
HSE.PR.G FixedReset Disc 1.82 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-08-21
Maturity Price : 16.80
Evaluated at bid price : 16.80
Bid-YTW : 7.17 %
CCS.PR.C Deemed-Retractible 2.00 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2030-01-31
Maturity Price : 25.00
Evaluated at bid price : 23.96
Bid-YTW : 5.66 %
HSE.PR.A FixedReset Disc 4.19 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-08-21
Maturity Price : 11.20
Evaluated at bid price : 11.20
Bid-YTW : 6.53 %
Volume Highlights
Issue Index Shares
Traded
Notes
BMO.PR.W FixedReset Disc 95,713 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-08-21
Maturity Price : 15.40
Evaluated at bid price : 15.40
Bid-YTW : 5.60 %
TD.PF.K FixedReset Disc 92,000 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-08-21
Maturity Price : 18.96
Evaluated at bid price : 18.96
Bid-YTW : 5.37 %
TD.PF.A FixedReset Disc 63,745 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-08-21
Maturity Price : 15.87
Evaluated at bid price : 15.87
Bid-YTW : 5.49 %
EMA.PR.F FixedReset Disc 41,000 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-08-21
Maturity Price : 15.30
Evaluated at bid price : 15.30
Bid-YTW : 6.34 %
BMO.PR.D FixedReset Disc 38,649 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-08-21
Maturity Price : 20.27
Evaluated at bid price : 20.27
Bid-YTW : 5.44 %
BMO.PR.T FixedReset Disc 38,600 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-08-21
Maturity Price : 15.75
Evaluated at bid price : 15.75
Bid-YTW : 5.51 %
There were 39 other index-included issues trading in excess of 10,000 shares.
Wide Spread Highlights
Issue Index Quote Data and Yield Notes
BAM.PR.M Perpetual-Discount Quote: 20.02 – 20.69
Spot Rate : 0.6700
Average : 0.4396

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-08-21
Maturity Price : 20.02
Evaluated at bid price : 20.02
Bid-YTW : 6.04 %

HSE.PR.C FixedReset Disc Quote: 15.53 – 16.01
Spot Rate : 0.4800
Average : 0.2868

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-08-21
Maturity Price : 15.53
Evaluated at bid price : 15.53
Bid-YTW : 7.14 %

MFC.PR.H FixedReset Ins Non Quote: 19.73 – 20.13
Spot Rate : 0.4000
Average : 0.2640

YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2030-01-31
Maturity Price : 25.00
Evaluated at bid price : 19.73
Bid-YTW : 7.23 %

EMA.PR.F FixedReset Disc Quote: 15.30 – 15.80
Spot Rate : 0.5000
Average : 0.3742

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-08-21
Maturity Price : 15.30
Evaluated at bid price : 15.30
Bid-YTW : 6.34 %

BMO.PR.Z Perpetual-Discount Quote: 23.95 – 24.34
Spot Rate : 0.3900
Average : 0.2683

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-08-21
Maturity Price : 23.51
Evaluated at bid price : 23.95
Bid-YTW : 5.22 %

SLF.PR.G FixedReset Ins Non Quote: 12.36 – 12.86
Spot Rate : 0.5000
Average : 0.3795

YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2030-01-31
Maturity Price : 25.00
Evaluated at bid price : 12.36
Bid-YTW : 10.90 %

PPL To Acquire KML Under Proposed Plan of Arrangement

August 22nd, 2019

Pembina Pipeline Corporation has announced:

that it has entered into agreements pursuant to which it will acquire Kinder Morgan Canada Limited (TSX: KML) (“Kinder Morgan Canada” or “KML”) (the “Corporate Acquisition”) and the U.S. portion of the Cochin Pipeline system (“Cochin US”) from Kinder Morgan, Inc. (“KMI”) (the “Cochin US Acquisition”) for a total purchase price of approximately $4.35 billion (the “Transaction”). The Transaction values Kinder Morgan Canada at approximately $2.3 billion, or $15.02 per share, based on an all-share exchange ratio of 0.3068 of a common share of Pembina per KML security and Pembina’s 30-day volume weighted average price on the date hereof; and Cochin US at approximately $2.05 billion for cash consideration.

Subject to closing of the Transaction, Pembina’s board of directors has also approved a $0.01 per common share, or approximately five percent, increase to its monthly common share dividend rate.

Through the Transaction, Pembina will acquire strategically located assets including the Cochin Pipeline System, the Edmonton storage and terminal business and Vancouver Wharves, a bulk storage and export/import business. Upon closing, the Transaction immediately provides Pembina with well-established business platforms and substantial opportunities for growth.

Under the terms of the arrangement agreement governing the Corporate Acquisition, Pembina will acquire all of the issued and outstanding restricted voting shares (the “Restricted Voting Shares”) and special voting shares (the “Special Voting Shares”) of Kinder Morgan Canada and all of the class B units (the “Class B Units”) of Kinder Morgan Canada Limited Partnership by way of a plan of arrangement under the Business Corporations Act (Alberta). Pembina is offering to acquire each of the outstanding Restricted Voting Shares and each Class B Unit in exchange for 0.3068 of a common share of Pembina, which represents a 32 percent premium, based on Pembina and Kinder Morgan Canada’s 30-day volume weighted average prices of $48.96 and $11.37, respectively, on the date hereof. The Corporate Acquisition is valued at approximately $2.3 billion including the assumption of Kinder Morgan Canada’s preferred shares and outstanding net debt.

The Corporate Acquisition is subject to approval of: (a) at least 66 2/3 percent of holders of Restricted Voting Shares and Special Voting Shares, voting together as a single class; and (b) a majority of holders of Restricted Voting Shares, in each case present in person or by proxy at a special meeting of the holders of Restricted Voting Shares and Special Voting Shares to be called to consider the Corporate Acquisition, approval of the Court of Queen’s Bench of Alberta, certain regulatory approvals in Canada, and other customary conditions.

KMI, who holds all of the Special Voting Shares (an approximate 70 percent of the voting rights of KML) and a corresponding 70 percent economic interest in Kinder Morgan Canada’s business and assets (by way of its ownership of all the Class B Units), has entered into a support agreement pursuant to which it has agreed to vote its Special Voting Shares in favor of the Corporate Acquisition. The Corporate Acquisition is also subject to clearance under the Competition Act (Canada) and the Canada Transportation Act.

The Corporate Acquisition is valued at approximately $2.3 billion including the assumption of Kinder Morgan Canada’s preferred shares and outstanding net debt. is the crucial phrase for preferred shareholders. There is no huge change in credit quality – KML was downgraded to Pfd-3 by DBRS in March, 2019, while PPL was confirmed at Pfd-3 in April, 2019. Meanwhile, S&P shows both KML and PPL at P-3(high).

The press release does not specify that preferred shareholders will be voting on this arrangement; I have checked with and been told:

The transaction requires 2 votes: (1) a favorable 66 2/3 vote by KML common shareholders in total (KMI will vote its shares in support of the transaction) and (2) a majority approval from holders of the restricted voting shares. So no, the pref holders will not be voting.

I confess I’m a little surprised by this. It may be because this is a plan of arrangement under the Business Corporations Act (Alberta) and we more often see a plan of arrangement under the Canada Business Corporations Act.

Following receipt of the eMail above, I received another one:

There will be a vote of preferred shareholders on whether or not they wish to convert the pref shares to PPL pref shares (under the same terms) if not they will remain as is (KML pref shares under the same terms).

Should you have any further question please reach out.

Thanks,

DBRS comments:

DBRS views the proposed Transaction as having a modestly positive impact on Pembina’s business risk profile,

Based on the current proposed financing plan, DBRS expects a modestly negative impact on Pembina’s credit metrics because of the issuance of incremental debt of approximately $2.05 billion for the Transaction. Although Pembina’s credit metrics are expected to weaken, the impact is modest and would not affect the current ratings. Pembina’s financial profile remained strong in 2018 and during the LTM 2019 with solid liquidity and strong credit metrics. For the LTM 2019, the cash flow-to-debt ratio was approximately 26%, EBIT interest coverage was approximately 6.65 times, and debt-to-capital (adjusted for the debt treatment of preferred shares) was under 40%. DBRS has done a pro forma assessment on the impact of the $2.05 billion acquisition debt on the three above-mentioned metrics and is satisfied that these metrics would still solidly support the BBB ratings.

Affected issues are KML.PR.A and KML.PR.C. Both issues were up smartly on the day; KML.PR.A up $0.68 to 22.35 (close/close) and KML.PR.C up $0.80 to 22.25 (close/close).

KML.PR.A is a FixedReset 5.25%+365M525 that commenced trading 2017-8-15 after being announced 2017-8-3. It is tracked by HIMIPref™ but relegated to the Scraps-FixedReset Discount subindex on credit concerns.

KML.PR.C is a FixedReset, 5.20%+351M520, that commenced trading 2017-12-15 after being announced 2017-12-6. It is tracked by HIMIPref™ but relegated to the Scraps-FixedReset Discount subindex on credit concerns.

Update, 2019-08-22: KML.PR.A & KML.PR.C On Review-Developing by DBRS until additional information becomes available with respect to Pembina’s intention for the Preferred Shares and the proposed capital structure at KMU post completion of the Acquisition.

August 20, 2019

August 20th, 2019
explosion_190820
Click for Big

Each of the mainstream indicators made a new 52-week low today.

TXPR closed at 577.43, a new 52-week low and down 0.56% on the day. Volume was 2.40-million, above average but nothing special in the context of the past 30 days.

CPD closed at 11.53, a new 52-week low and down 0.69% on the day. Volume of 138,446 was above average but nothing special in the constext of the past 30 days.

ZPR closed at 9.16, a new 52-week low and down 0.97% on the day. Volume of 249,098 was high but oddly the “Price History” tab on tmxmoney refuses to display data for this issue. Yahoo Finance comes through with the information that today had the third-highest volume of the past thirty days, behind August 13 and August 14.

Five-year Canada yields were down 2bp to 1.20% today.

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 -1.7615 % 1,782.7
FixedFloater 0.00 % 0.00 % 0 0.00 0 -1.7615 % 3,271.1
Floater 6.70 % 6.95 % 41,541 12.52 4 -1.7615 % 1,885.2
OpRet 0.00 % 0.00 % 0 0.00 0 -0.1684 % 3,351.2
SplitShare 4.65 % 4.67 % 60,407 4.05 7 -0.1684 % 4,002.0
Interest-Bearing 0.00 % 0.00 % 0 0.00 0 -0.1684 % 3,122.5
Perpetual-Premium 5.64 % -9.54 % 61,245 0.09 9 -0.0176 % 2,973.6
Perpetual-Discount 5.49 % 5.61 % 53,284 14.45 25 -0.2211 % 3,106.9
FixedReset Disc 5.96 % 5.60 % 154,586 14.47 66 -0.8623 % 1,954.0
Deemed-Retractible 5.29 % 6.13 % 68,100 7.84 27 -0.1550 % 3,080.1
FloatingReset 4.76 % 7.56 % 60,898 7.86 3 -1.3190 % 2,233.7
FixedReset Prem 5.21 % 4.85 % 167,784 1.90 21 -0.1098 % 2,556.2
FixedReset Bank Non 1.99 % 4.39 % 90,251 2.37 3 -0.0700 % 2,639.2
FixedReset Ins Non 5.65 % 8.20 % 102,069 7.98 21 -1.0963 % 2,032.1
Performance Highlights
Issue Index Change Notes
MFC.PR.F FixedReset Ins Non -3.92 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2030-01-31
Maturity Price : 25.00
Evaluated at bid price : 12.26
Bid-YTW : 10.76 %
SLF.PR.J FloatingReset -3.89 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2030-01-31
Maturity Price : 25.00
Evaluated at bid price : 12.35
Bid-YTW : 11.65 %
TD.PF.J FixedReset Disc -3.73 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-08-20
Maturity Price : 18.86
Evaluated at bid price : 18.86
Bid-YTW : 5.46 %
RY.PR.J FixedReset Disc -3.50 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-08-20
Maturity Price : 17.66
Evaluated at bid price : 17.66
Bid-YTW : 5.61 %
NA.PR.C FixedReset Disc -3.47 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-08-20
Maturity Price : 20.00
Evaluated at bid price : 20.00
Bid-YTW : 5.80 %
MFC.PR.K FixedReset Ins Non -3.35 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2030-01-31
Maturity Price : 25.00
Evaluated at bid price : 16.44
Bid-YTW : 9.03 %
MFC.PR.G FixedReset Ins Non -3.14 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2030-01-31
Maturity Price : 25.00
Evaluated at bid price : 17.27
Bid-YTW : 8.59 %
RY.PR.H FixedReset Disc -2.80 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-08-20
Maturity Price : 16.32
Evaluated at bid price : 16.32
Bid-YTW : 5.35 %
BMO.PR.C FixedReset Disc -2.67 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-08-20
Maturity Price : 20.44
Evaluated at bid price : 20.44
Bid-YTW : 5.58 %
TD.PF.M FixedReset Prem -2.50 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-08-20
Maturity Price : 22.67
Evaluated at bid price : 23.75
Bid-YTW : 5.16 %
BAM.PR.B Floater -2.32 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-08-20
Maturity Price : 10.12
Evaluated at bid price : 10.12
Bid-YTW : 6.95 %
TRP.PR.A FixedReset Disc -2.31 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-08-20
Maturity Price : 11.82
Evaluated at bid price : 11.82
Bid-YTW : 6.76 %
PWF.PR.P FixedReset Disc -2.30 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-08-20
Maturity Price : 12.31
Evaluated at bid price : 12.31
Bid-YTW : 5.68 %
BAM.PR.C Floater -2.22 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-08-20
Maturity Price : 10.12
Evaluated at bid price : 10.12
Bid-YTW : 6.95 %
BAM.PR.K Floater -2.22 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-08-20
Maturity Price : 10.12
Evaluated at bid price : 10.12
Bid-YTW : 6.95 %
RY.PR.Z FixedReset Disc -2.15 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-08-20
Maturity Price : 16.80
Evaluated at bid price : 16.80
Bid-YTW : 5.23 %
BAM.PF.E FixedReset Disc -2.04 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-08-20
Maturity Price : 14.40
Evaluated at bid price : 14.40
Bid-YTW : 6.72 %
MFC.PR.N FixedReset Ins Non -1.97 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2030-01-31
Maturity Price : 25.00
Evaluated at bid price : 14.91
Bid-YTW : 9.77 %
PWF.PR.T FixedReset Disc -1.93 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-08-20
Maturity Price : 17.31
Evaluated at bid price : 17.31
Bid-YTW : 5.46 %
CM.PR.O FixedReset Disc -1.86 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-08-20
Maturity Price : 15.87
Evaluated at bid price : 15.87
Bid-YTW : 5.71 %
MFC.PR.J FixedReset Ins Non -1.85 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2030-01-31
Maturity Price : 25.00
Evaluated at bid price : 18.05
Bid-YTW : 8.20 %
BAM.PF.B FixedReset Disc -1.78 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-08-20
Maturity Price : 16.01
Evaluated at bid price : 16.01
Bid-YTW : 6.40 %
BAM.PF.G FixedReset Disc -1.77 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-08-20
Maturity Price : 15.50
Evaluated at bid price : 15.50
Bid-YTW : 6.70 %
TD.PF.C FixedReset Disc -1.74 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-08-20
Maturity Price : 15.81
Evaluated at bid price : 15.81
Bid-YTW : 5.54 %
SLF.PR.H FixedReset Ins Non -1.73 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2030-01-31
Maturity Price : 25.00
Evaluated at bid price : 15.34
Bid-YTW : 9.16 %
TD.PF.I FixedReset Disc -1.55 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-08-20
Maturity Price : 20.35
Evaluated at bid price : 20.35
Bid-YTW : 5.30 %
NA.PR.W FixedReset Disc -1.52 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-08-20
Maturity Price : 14.93
Evaluated at bid price : 14.93
Bid-YTW : 5.85 %
IFC.PR.G FixedReset Ins Non -1.51 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2030-01-31
Maturity Price : 25.00
Evaluated at bid price : 18.22
Bid-YTW : 8.36 %
BAM.PF.A FixedReset Disc -1.50 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-08-20
Maturity Price : 17.68
Evaluated at bid price : 17.68
Bid-YTW : 6.27 %
TRP.PR.G FixedReset Disc -1.50 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-08-20
Maturity Price : 15.81
Evaluated at bid price : 15.81
Bid-YTW : 6.59 %
HSE.PR.G FixedReset Disc -1.49 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-08-20
Maturity Price : 16.50
Evaluated at bid price : 16.50
Bid-YTW : 7.30 %
CM.PR.Q FixedReset Disc -1.45 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-08-20
Maturity Price : 17.00
Evaluated at bid price : 17.00
Bid-YTW : 5.91 %
CU.PR.H Perpetual-Discount -1.44 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-08-20
Maturity Price : 23.55
Evaluated at bid price : 24.00
Bid-YTW : 5.47 %
CM.PR.Y FixedReset Disc -1.44 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-08-20
Maturity Price : 22.78
Evaluated at bid price : 24.01
Bid-YTW : 5.16 %
TRP.PR.B FixedReset Disc -1.41 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-08-20
Maturity Price : 9.76
Evaluated at bid price : 9.76
Bid-YTW : 6.45 %
TD.PF.E FixedReset Disc -1.35 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-08-20
Maturity Price : 18.26
Evaluated at bid price : 18.26
Bid-YTW : 5.61 %
MFC.PR.Q FixedReset Ins Non -1.31 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2030-01-31
Maturity Price : 25.00
Evaluated at bid price : 18.12
Bid-YTW : 8.13 %
TRP.PR.F FloatingReset -1.23 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-08-20
Maturity Price : 12.00
Evaluated at bid price : 12.00
Bid-YTW : 7.56 %
BMO.PR.D FixedReset Disc -1.22 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-08-20
Maturity Price : 20.25
Evaluated at bid price : 20.25
Bid-YTW : 5.44 %
GWO.PR.Q Deemed-Retractible -1.16 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2030-01-31
Maturity Price : 25.00
Evaluated at bid price : 22.98
Bid-YTW : 6.35 %
GWO.PR.T Deemed-Retractible -1.11 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2030-01-31
Maturity Price : 25.00
Evaluated at bid price : 23.06
Bid-YTW : 6.31 %
RY.PR.M FixedReset Disc -1.09 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-08-20
Maturity Price : 17.32
Evaluated at bid price : 17.32
Bid-YTW : 5.54 %
POW.PR.B Perpetual-Discount -1.06 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-08-20
Maturity Price : 23.09
Evaluated at bid price : 23.35
Bid-YTW : 5.79 %
HSE.PR.C FixedReset Disc 1.27 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-08-20
Maturity Price : 16.00
Evaluated at bid price : 16.00
Bid-YTW : 6.92 %
HSE.PR.A FixedReset Disc 2.38 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-08-20
Maturity Price : 10.75
Evaluated at bid price : 10.75
Bid-YTW : 6.80 %
Volume Highlights
Issue Index Shares
Traded
Notes
TD.PF.M FixedReset Prem 73,569 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-08-20
Maturity Price : 22.67
Evaluated at bid price : 23.75
Bid-YTW : 5.16 %
TD.PF.C FixedReset Disc 58,185 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-08-20
Maturity Price : 15.81
Evaluated at bid price : 15.81
Bid-YTW : 5.54 %
IAF.PR.I FixedReset Ins Non 56,200 YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2030-01-31
Maturity Price : 25.00
Evaluated at bid price : 18.91
Bid-YTW : 7.95 %
PWF.PR.P FixedReset Disc 52,343 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-08-20
Maturity Price : 12.31
Evaluated at bid price : 12.31
Bid-YTW : 5.68 %
MFC.PR.O FixedReset Ins Non 51,177 YTW SCENARIO
Maturity Type : Call
Maturity Date : 2021-06-19
Maturity Price : 25.00
Evaluated at bid price : 25.65
Bid-YTW : 3.89 %
RY.PR.J FixedReset Disc 46,133 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-08-20
Maturity Price : 17.66
Evaluated at bid price : 17.66
Bid-YTW : 5.61 %
There were 36 other index-included issues trading in excess of 10,000 shares.
Wide Spread Highlights
Issue Index Quote Data and Yield Notes
MFC.PR.K FixedReset Ins Non Quote: 16.44 – 17.10
Spot Rate : 0.6600
Average : 0.4798

YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2030-01-31
Maturity Price : 25.00
Evaluated at bid price : 16.44
Bid-YTW : 9.03 %

TD.PF.M FixedReset Prem Quote: 23.75 – 24.20
Spot Rate : 0.4500
Average : 0.2974

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-08-20
Maturity Price : 22.67
Evaluated at bid price : 23.75
Bid-YTW : 5.16 %

BAM.PF.A FixedReset Disc Quote: 17.68 – 18.01
Spot Rate : 0.3300
Average : 0.2133

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-08-20
Maturity Price : 17.68
Evaluated at bid price : 17.68
Bid-YTW : 6.27 %

SLF.PR.H FixedReset Ins Non Quote: 15.34 – 15.66
Spot Rate : 0.3200
Average : 0.2149

YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2030-01-31
Maturity Price : 25.00
Evaluated at bid price : 15.34
Bid-YTW : 9.16 %

GWO.PR.T Deemed-Retractible Quote: 23.06 – 23.48
Spot Rate : 0.4200
Average : 0.3229

YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2030-01-31
Maturity Price : 25.00
Evaluated at bid price : 23.06
Bid-YTW : 6.31 %

CU.PR.H Perpetual-Discount Quote: 24.00 – 24.32
Spot Rate : 0.3200
Average : 0.2284

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-08-20
Maturity Price : 23.55
Evaluated at bid price : 24.00
Bid-YTW : 5.47 %

PIC.PR.A To Get Bigger

August 20th, 2019

Strathbridge Asset Management Inc. has announced:

Premium Income Corporation (the “Fund”) is pleased to announce that it is undertaking an overnight treasury offering of Preferred Shares and Class A Shares.

The sales period for the overnight offering will end at 9:00 am EST tomorrow, August 21, 2019. The offering is expected to close on or about August 28, 2019 and is subject to certain conditions including approval by the Toronto Stock Exchange (“TSX”). The Preferred Shares will be offered at an indicative price of $14.70 per Preferred Share to yield 5.97% and the Class A Shares will be offered at an indicative price of $6.10 per Class A Share to yield 13.3%. The trading price on the TSX for the Preferred Shares and Class A Shares as at 2:30 pm EST on August 20, 2019 was $14.70 and $6.27, respectively.

Since the inception of the Fund, the aggregate dividends declared on the Preferred Shares have been $19.83 per share and the aggregate dividends declared on the Class A Shares have been $25.21 per share, for a combined total of $45.04 per unit.

The Fund invests in a portfolio consisting principally of common shares of Bank of Montreal, The Bank of Nova Scotia, Canadian Imperial Bank of Commerce, National Bank of Canada, Royal Bank of Canada and The Toronto-Dominion Bank. To generate additional returns above the dividend income earned on the Fund’s portfolio, the Fund will selectively write covered call and put options in respect of some or all of the common shares in the Fund’s portfolio. The manager and investment manager of the Fund is Strathbridge Asset Management Inc.

The Preferred Shares pay fixed cumulative preferential quarterly cash distributions in the amount of $0.215625 ($0.8625 per annum) per Preferred Share representing a yield of 5.75% on the original issue price of $15.00. The Class A Shares currently pay quarterly distributions in the amount $0.20319 ($0.81276 per annum) per Class A Share.

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

For further information, please contact Investor Relations at 416.681.3966, toll free at 1.800.725.7172, email at info@strathbridge.com or visit www.strathbridge.com

John Germain, Senior VP & CFO

So they’re offering Whole Units at an “indicative” price (I don’t know what that means) of 20.80, whereas the NAVPU on August 19 was 19.41. A premium of 7.2% is good business!

They last got bigger about ten weeks ago.

August 19, 2019

August 19th, 2019

Mohamed A. El-Erian has again updated my favourite financial market chart:

negativeyielddebt_190819
Click for Big

He also passed on another great chart:

Along with the chart showing that the stock of negative-yielding bonds now stands at some $17 trillion, this one, via Zerohedge on Austria’s 100-year bond, screams how unusual — very very very unusual — conditions are in global fixed income.

Issued two years ago with a yield of 2.1%, its price has doubled … implying that, if held to maturity, buyers today would recoup half of their investment.

Look tonight for a Bloomberg Opinion post on a related issue.

austriancenturybond_190819
Click for Big

Husky, which has been a feature on the price-movement highlights charts recently, saw a modest counter-move today:

Shares in Husky Energy Inc. are up by about five per cent after an RBC Dominion Securities analyst suggested its low share price makes this a good time for the company to be taken private.

The stock jumped by as much as 47 cents to $9.24 on Monday morning, still well off its 52-week high of $22.98 set last Sept. 27.

In a report over the weekend, analyst Greg Pardy suggests that Husky’s near-15-year-low share prices make privatization attractive for the entities controlled by Hong Kong billionaire Li Ka-Shing which own 69.5 per cent of the equity.

There was more good news, of sorts, today: neither CPD nor ZPR made a new low!

TXPR closed at 580.66, down 0.07% on the day after setting a new 52-week low of 580.61. Volume was 1.54-million, the lowest since August 2 and nothing special in the context of the past 30 days.

CPD closed at 11.61, up 0.09% on the day. Volume of 84,120 was at about the median of the past 30 days.

ZPR closed at 9.25, up 0.22% on the day. Volume of 66,962 was very low in the context of the past thirty days.

Five-year Canada yields were up 2bp to 1.22% today.

So what’s going on with Structured Notes? BMO’s page shows JHN12544, to be issued August 21 with a seven year term; and JHN12545, to be issued August 21 with a seven year term. TD’s page shows Series 416 to be issued August 26 with a seven year term. National’s page shows nothing cooking after one was issued August 2 and four issued in July.

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

Values are provisional and are finalized monthly
Index Mean
Current
Yield
(at bid)
Median
YTW
Median
Average
Trading
Value
Median
Mod Dur
(YTW)
Issues Day’s Perf. Index Value
Ratchet 0.00 % 0.00 % 0 0.00 0 -0.2375 % 1,814.6
FixedFloater 0.00 % 0.00 % 0 0.00 0 -0.2375 % 3,329.8
Floater 6.58 % 6.79 % 42,081 12.73 4 -0.2375 % 1,919.0
OpRet 0.00 % 0.00 % 0 0.00 0 0.5703 % 3,356.8
SplitShare 4.64 % 4.67 % 62,901 4.06 7 0.5703 % 4,008.8
Interest-Bearing 0.00 % 0.00 % 0 0.00 0 0.5703 % 3,127.8
Perpetual-Premium 5.64 % -6.04 % 61,829 0.09 9 0.1808 % 2,974.1
Perpetual-Discount 5.47 % 5.59 % 53,920 14.50 25 0.1719 % 3,113.8
FixedReset Disc 5.91 % 5.55 % 150,335 14.61 66 -0.1448 % 1,971.0
Deemed-Retractible 5.29 % 6.07 % 70,775 7.86 27 0.0450 % 3,084.9
FloatingReset 4.69 % 7.47 % 59,638 7.93 3 -0.1014 % 2,263.5
FixedReset Prem 5.21 % 4.85 % 167,738 1.97 21 0.0057 % 2,559.0
FixedReset Bank Non 1.99 % 4.39 % 93,987 2.37 3 -0.0840 % 2,641.0
FixedReset Ins Non 5.59 % 8.10 % 102,248 8.01 21 0.0367 % 2,054.6
Performance Highlights
Issue Index Change Notes
BAM.PF.F FixedReset Disc -3.31 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-08-19
Maturity Price : 15.47
Evaluated at bid price : 15.47
Bid-YTW : 6.70 %
BAM.PR.R FixedReset Disc -2.30 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-08-19
Maturity Price : 13.60
Evaluated at bid price : 13.60
Bid-YTW : 6.45 %
NA.PR.G FixedReset Disc -2.18 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-08-19
Maturity Price : 18.83
Evaluated at bid price : 18.83
Bid-YTW : 5.64 %
CM.PR.S FixedReset Disc -1.99 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-08-19
Maturity Price : 17.20
Evaluated at bid price : 17.20
Bid-YTW : 5.65 %
EMA.PR.F FixedReset Disc -1.84 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-08-19
Maturity Price : 15.51
Evaluated at bid price : 15.51
Bid-YTW : 6.25 %
BAM.PR.T FixedReset Disc -1.74 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-08-19
Maturity Price : 13.58
Evaluated at bid price : 13.58
Bid-YTW : 6.58 %
IAF.PR.G FixedReset Ins Non -1.70 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2030-01-31
Maturity Price : 25.00
Evaluated at bid price : 18.53
Bid-YTW : 7.73 %
CU.PR.I FixedReset Prem -1.67 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-08-19
Maturity Price : 24.35
Evaluated at bid price : 24.70
Bid-YTW : 4.93 %
CCS.PR.C Deemed-Retractible -1.60 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2030-01-31
Maturity Price : 25.00
Evaluated at bid price : 23.36
Bid-YTW : 5.98 %
NA.PR.E FixedReset Disc -1.49 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-08-19
Maturity Price : 17.88
Evaluated at bid price : 17.88
Bid-YTW : 5.59 %
MFC.PR.I FixedReset Ins Non -1.49 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2030-01-31
Maturity Price : 25.00
Evaluated at bid price : 18.15
Bid-YTW : 8.10 %
TD.PF.E FixedReset Disc -1.44 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-08-19
Maturity Price : 18.51
Evaluated at bid price : 18.51
Bid-YTW : 5.53 %
BMO.PR.Y FixedReset Disc -1.32 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-08-19
Maturity Price : 18.01
Evaluated at bid price : 18.01
Bid-YTW : 5.46 %
TRP.PR.G FixedReset Disc -1.23 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-08-19
Maturity Price : 16.05
Evaluated at bid price : 16.05
Bid-YTW : 6.49 %
NA.PR.S FixedReset Disc -1.04 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-08-19
Maturity Price : 16.11
Evaluated at bid price : 16.11
Bid-YTW : 5.83 %
TRP.PR.B FixedReset Disc -1.00 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-08-19
Maturity Price : 9.90
Evaluated at bid price : 9.90
Bid-YTW : 6.35 %
NA.PR.W FixedReset Disc 1.07 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-08-19
Maturity Price : 15.16
Evaluated at bid price : 15.16
Bid-YTW : 5.76 %
BAM.PF.A FixedReset Disc 1.13 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-08-19
Maturity Price : 17.95
Evaluated at bid price : 17.95
Bid-YTW : 6.17 %
EIT.PR.A SplitShare 1.18 % YTW SCENARIO
Maturity Type : Soft Maturity
Maturity Date : 2024-03-14
Maturity Price : 25.00
Evaluated at bid price : 25.71
Bid-YTW : 4.34 %
PVS.PR.G SplitShare 1.20 % YTW SCENARIO
Maturity Type : Option Certainty
Maturity Date : 2026-02-28
Maturity Price : 25.00
Evaluated at bid price : 25.40
Bid-YTW : 4.82 %
BIP.PR.A FixedReset Disc 1.24 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-08-19
Maturity Price : 17.16
Evaluated at bid price : 17.16
Bid-YTW : 7.06 %
MFC.PR.J FixedReset Ins Non 1.28 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2030-01-31
Maturity Price : 25.00
Evaluated at bid price : 18.39
Bid-YTW : 7.96 %
IFC.PR.A FixedReset Ins Non 1.45 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2030-01-31
Maturity Price : 25.00
Evaluated at bid price : 13.96
Bid-YTW : 10.22 %
HSE.PR.E FixedReset Disc 1.51 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-08-19
Maturity Price : 16.82
Evaluated at bid price : 16.82
Bid-YTW : 7.22 %
HSE.PR.G FixedReset Disc 1.52 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-08-19
Maturity Price : 16.75
Evaluated at bid price : 16.75
Bid-YTW : 7.19 %
TD.PF.J FixedReset Disc 1.56 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-08-19
Maturity Price : 19.59
Evaluated at bid price : 19.59
Bid-YTW : 5.25 %
PWF.PR.E Perpetual-Discount 1.65 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-08-19
Maturity Price : 24.29
Evaluated at bid price : 24.60
Bid-YTW : 5.63 %
MFC.PR.Q FixedReset Ins Non 1.93 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2030-01-31
Maturity Price : 25.00
Evaluated at bid price : 18.36
Bid-YTW : 7.95 %
MFC.PR.F FixedReset Ins Non 2.03 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2030-01-31
Maturity Price : 25.00
Evaluated at bid price : 12.76
Bid-YTW : 10.27 %
PWF.PR.P FixedReset Disc 3.62 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-08-19
Maturity Price : 12.60
Evaluated at bid price : 12.60
Bid-YTW : 5.55 %
Volume Highlights
Issue Index Shares
Traded
Notes
PWF.PR.P FixedReset Disc 62,170 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-08-19
Maturity Price : 12.60
Evaluated at bid price : 12.60
Bid-YTW : 5.55 %
TD.PF.A FixedReset Disc 59,890 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-08-19
Maturity Price : 16.15
Evaluated at bid price : 16.15
Bid-YTW : 5.39 %
TD.PF.C FixedReset Disc 42,300 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-08-19
Maturity Price : 16.09
Evaluated at bid price : 16.09
Bid-YTW : 5.44 %
BNS.PR.I FixedReset Disc 32,400 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-08-19
Maturity Price : 19.16
Evaluated at bid price : 19.16
Bid-YTW : 5.20 %
TD.PF.K FixedReset Disc 31,002 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-08-19
Maturity Price : 19.01
Evaluated at bid price : 19.01
Bid-YTW : 5.35 %
CM.PR.S FixedReset Disc 29,015 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-08-19
Maturity Price : 17.20
Evaluated at bid price : 17.20
Bid-YTW : 5.65 %
There were 19 other index-included issues trading in excess of 10,000 shares.
Wide Spread Highlights
Issue Index Quote Data and Yield Notes
HSE.PR.A FixedReset Disc Quote: 10.50 – 11.30
Spot Rate : 0.8000
Average : 0.5825

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-08-19
Maturity Price : 10.50
Evaluated at bid price : 10.50
Bid-YTW : 6.97 %

BAM.PF.F FixedReset Disc Quote: 15.47 – 16.00
Spot Rate : 0.5300
Average : 0.3319

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-08-19
Maturity Price : 15.47
Evaluated at bid price : 15.47
Bid-YTW : 6.70 %

BAM.PR.R FixedReset Disc Quote: 13.60 – 14.15
Spot Rate : 0.5500
Average : 0.3535

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-08-19
Maturity Price : 13.60
Evaluated at bid price : 13.60
Bid-YTW : 6.45 %

TD.PF.E FixedReset Disc Quote: 18.51 – 19.03
Spot Rate : 0.5200
Average : 0.3290

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-08-19
Maturity Price : 18.51
Evaluated at bid price : 18.51
Bid-YTW : 5.53 %

CU.PR.C FixedReset Disc Quote: 16.12 – 16.75
Spot Rate : 0.6300
Average : 0.4557

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-08-19
Maturity Price : 16.12
Evaluated at bid price : 16.12
Bid-YTW : 5.57 %

BMO.PR.B FixedReset Prem Quote: 24.50 – 24.99
Spot Rate : 0.4900
Average : 0.3286

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-08-19
Maturity Price : 23.27
Evaluated at bid price : 24.50
Bid-YTW : 5.27 %

BAM Renews Real NCIB

August 18th, 2019

Brookfield Asset Management Inc. has announced:

it has received approval from the Toronto Stock Exchange (“TSX”) for its proposed normal course issuer bid to purchase up to 10% of the public float of each series of the company’s outstanding Class A Preference Shares that are listed on the TSX (the “Preferred Shares”). Purchases under the bid will be made through the facilities of the TSX and/or alternative Canadian trading systems. The period of the normal course issuer bid will extend from August 20, 2019 to August 19, 2020, or an earlier date should Brookfield complete its purchases. Brookfield will pay the market price at the time of acquisition for any Preferred Shares purchased. All Preferred Shares acquired by Brookfield under this bid will be cancelled.

Under the normal course issuer bid, Brookfield is authorized to repurchase each respective series of the Preferred Shares as follows:

Series Ticker Issued and outstanding shares1 Public float1 Average daily trading volume2 Maximum number of shares subject to Purchase
Total Daily
Series 2 BAM.PR.B 10,457,685 10,220,175 6,171 1,022,017 1,542
Series 4 BAM.PR.C 3,995,910 3,983,910 3,339 398,391 1,000
Series 8 BAM.PR.E 2,476,185 2,475,185 928 247,518 1,000
Series 9 BAM.PR.G 5,515,981 2,022,881 691 202,288 1,000
Series 13 BAM.PR.K 9,640,096 8,792,596 12,049 879,259 3,012
Series 17 BAM.PR.M 7,840,204 7,840,204 2,913 784,020 1,000
Series 18 BAM.PR.N 7,866,749 7,681,088 3,555 768,108 1,000
Series 24 BAM.PR.R 9,282,910 9,281,610 6,314 928,161 1,578
Series 25 BAM.PR.S 1,529,133 1,529,133 976 152,913 1,000
Series 26 BAM.PR.T 9,774,812 9,774,012 7,764 977,401 1,941
Series 28 BAM.PR.X 9,241,457 9,237,347 10,008 923,734 2,502
Series 30 BAM.PR.Z 9,790,374 9,790,274 9,037 979,027 2,259
Series 32 BAM.PF.A 11,754,099 11,754,099 11,858 1,175,409 2,964
Series 34 BAM.PF.B 9,879,277 9,879,277 8,901 987,927 2,225
Series 36 BAM.PF.C 7,842,909 7,842,909 4,384 784,290 1,096
Series 37 BAM.PF.D 7,830,091 7,830,091 3,488 783,009 1,000
Series 38 BAM.PF.E 7,914,556 7,908,396 5,742 790,839 1,435
Series 40 BAM.PF.F 11,848,165 11,845,195 10,856 1,184,519 2,714
Series 42 BAM.PF.G 11,899,900 11,890,300 7,938 1,189,030 1,984
Series 44 BAM.PF.H 9,831,929 9,831,929 8,357 983,192 2,089
Series 46 BAM.PF.I 11,740,797 11,740,797 15,201 1,174,079 3,800
Series 48 BAM.PF.J 11,885,972 11,885,972 9,161 1,188,597 2,290

1. Calculated as at August 6, 2019.
2. Calculated for the six months prior to July 31, 2019.
3. In accordance with TSX rules, any daily repurchases with respect to: (i) the Series 4, Series 8, Series 9, Series 17, Series 18, Series 25 and Series 36 Preferred Shares will be limited to 1,000 shares of the respective series and (ii) each of the other series of Preferred Shares (excluding the Series 4, Series 8, Series 9, Series 17, Series 25 and Series 36 Preferred Shares) will be limited to 25% of the average daily trading volume on the TSX of the respective series.

As of August 6, 2019, under its current normal course issuer bid that commenced on August 20, 2018 and will expire on August 19, 2019, and which the company sought and received approval from the TSX, Brookfield purchased Preferred Shares as follows

Series Number of shares purchased Maximum number of shares subject to purchase Weighted average price paid per purchased share (C$)
Series 2 7,415 1,022,759 13.79
Series 4 4,090 398,800 13.68
Series 8 3,400 247,858 19.54
Series 9 3,134 202,601 18.92
Series 13 7,604 880,020 13.85
Series 17 110,552 795,075 20.45
Series 18 99,409 778,049 20.42
Series 24 112,640 939,425 18.38
Series 25 4,000 153,313 16.96
Series 26 129,336 990,334 18.30
Series 28 122,040 935,938 16.69
Series 30 143,776 993,405 22.68
Series 32 228,469 1,198,256 23.02
Series 34 98,612 997,788 21.09
Series 36 106,115 794,902 20.90
Series 37 118,992 794,908 21.21
Series 38 91,604 800,000 20.40
Series 40 154,805 1,200,000 21.80
Series 42 109,700 1,200,000 21.50
Series 44 113,260 994,518 25.71
Series 46 154,993 1,189,579 25.44
Series 48 114,028 1,200,000 24.44

Brookfield is renewing its normal course issuer bid because it believes that, from time to time, the Preferred Shares may trade in price ranges that do not fully reflect their value. Brookfield believes that, in such circumstances, acquiring the Preferred Shares represents an attractive and desirable use of its available funds.

Brookfield will enter into an automatic purchase plan on or about the week of September 23, 2019 in relation to the normal course issuer bid. The automatic purchase plan will allow for the purchase of Preferred Shares, subject to certain trading parameters, at times when Brookfield ordinarily would not be active in the market due to its own internal trading black-out period, insider trading rules or otherwise. Outside of these periods, Preferred Shares will be repurchased in accordance with management’s discretion and in compliance with applicable law.

Brookfield Asset Management Inc. is a leading global alternative asset manager with over $385 billion in assets under management. The company has more than a 120-year history of owning and operating assets with a focus on real estate, renewable power, infrastructure and private equity. Brookfield offers a range of public and private investment products and services, and is co-listed on the New York, Toronto and Euronext stock exchanges under the symbol BAM, BAM.A and BAMA, respectively.

For more information, please visit our website at www.brookfield.com or contact:

Claire Holland
Communications & Media
Tel: (416) 369-8236
Email: claire.holland@brookfield.com

Linda Northwood
Investor Relations
Tel: (416) 359-8647
Email: linda.northwood@brookfield.com

This is significant because Brookfield spent just under $44-million over the year. So, OK, $44-million isn’t going to turn the market around. Its effect can be cancelled simply by the exercise of a greenshoe option on a normal-sized new issue. But monny a mickle maks a muckle, as we say in Glasgow, or would say if we ever went there, and since the average price paid per share is a hair under $21.50, that’s a profit on cancellation of $3.50 per share, or a total of a little over $7-million, which is always a nice thing to have.

I note that last year’s NCIB release stated:

Under its current normal course issuer bid that commenced on August 18, 2017 and expired on August 17, 2018, under which Company sought and received approval from the TSX, Brookfield purchased 34,986 Series 28 Preferred Shares, 2,587 Series 30 Preferred Shares, 30,625 Series 44 Preferred Shares and 104,210 Series 46 Preferred Shares at weighted average prices of C$17.59, C$24.50, C$26.31 and C$26.14 per Preferred Share, respectively. No other Preferred Shares were purchased by Brookfield under the normal course issuer bid.

I mentioned their 2015-2016 NCIB on August 12, 2015 – the final effects of that were much smaller:

Under its current normal course issuer bid that commenced on August 12, 2015 and expired on August 11, 2016, Brookfield purchased 1,000 Series 9 Preferred Shares, 72,617 Series 24 Preferred Shares, 96,652 Series 26 Preferred Shares, 5,627 Series 28 Preferred Shares, 49,548 Series 30 Preferred Shares, 17,432 Series 32 Preferred Shares and 22,111 Series 34 Preferred Shares at weighted average prices of C$15.19, C$15.22, C$15.27, C$14.19, C$18.86, C$18.63 and C$17.77 per Preferred Share, respectively. No other Preferred Shares were purchased by Brookfield under the normal course issuer bid.

I like to see these buy-backs – they show that the company is not worried about being able to find cheaper financing elsewhere and also shows that the Treasury department is watching for opportunities. It’s always nice to see that somebody’s really thinking about what they’re doing – it’s sometimes a little dubious.

Thanks to Assiduous Reader mbarbon for bringing this to my attention.

August 16, 2019

August 16th, 2019

There was good news, of sorts, today: ZPR did not make a new low!

TXPR closed at 581.09, down 0.27% on the day after setting a new 52-week low of 580.98. Volume was 1.92-million, the lowest this week and nothing special in the context of the past 30 days.

CPD closed at 11.60, down 0.30% on the day after setting a new 52-week low of 11.59. Volume of 865,587 was by far the highest of the past 30 days, trouncing second-place August 7 on which a mere 267,654 shares traded.

ZPR closed at 9.23, unchanged on the day after touching, but not breaking through the prior low of 9.21 set yesterday. Volume of 98,386 was low in the context of the past thirty days.

Five-year Canada yields were up 4bp to 1.20% today.

Here’s some more regulatory over-reach:

According to the SEC’s order, Canaccord published quotes and made markets in dozens of over-the-counter (OTC) securities without performing the review required by Exchange Act Rule 15c2-11, which requires that broker-dealers have a reasonable basis for believing the prospectus and other information made available by the issuer of the securities was accurate. The order finds that Canaccord delegated to a compliance associate the responsibility to obtain and review the information required by Rule 15c2-11 and to fill out and sign the necessary forms demonstrating compliance with the rule. The compliance associate had no trading experience and no formal training on conducting the requisite review, such as training related to the analysis of financial statements and other information. As a result of the deficient review performed by the compliance associate, Canaccord allowed dozens of OTC securities to be traded in U.S. markets without conducting the review required to protect investors. Canaccord has since revised and improved its policies and procedures with respect to Rule 15c2-11.

It’s a dealer’s job to make markets. There is nothing in the SEC statement to suggest that these securities were recommended, or even sold to, naive clients.

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 -0.5902 % 1,819.0
FixedFloater 0.00 % 0.00 % 0 0.00 0 -0.5902 % 3,337.7
Floater 6.57 % 6.74 % 40,895 12.80 4 -0.5902 % 1,923.5
OpRet 0.00 % 0.00 % 0 0.00 0 0.0113 % 3,337.8
SplitShare 4.67 % 4.75 % 63,058 4.06 7 0.0113 % 3,986.0
Interest-Bearing 0.00 % 0.00 % 0 0.00 0 0.0113 % 3,110.1
Perpetual-Premium 5.65 % -8.44 % 62,200 0.09 9 -0.3954 % 2,968.7
Perpetual-Discount 5.48 % 5.60 % 53,234 14.47 25 -0.2193 % 3,108.4
FixedReset Disc 5.90 % 5.51 % 147,674 14.58 66 -0.2081 % 1,973.9
Deemed-Retractible 5.28 % 6.06 % 71,443 7.87 27 -0.2977 % 3,083.5
FloatingReset 4.67 % 7.44 % 62,214 7.95 3 -0.5644 % 2,265.8
FixedReset Prem 5.21 % 4.57 % 168,214 1.91 21 -0.2172 % 2,558.8
FixedReset Bank Non 1.99 % 4.37 % 95,157 2.38 3 0.3792 % 2,643.2
FixedReset Ins Non 5.55 % 8.11 % 103,893 7.93 21 0.0185 % 2,053.9
Performance Highlights
Issue Index Change Notes
TRP.PR.C FixedReset Disc -3.85 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-08-16
Maturity Price : 10.25
Evaluated at bid price : 10.25
Bid-YTW : 6.68 %
BIP.PR.A FixedReset Disc -3.69 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-08-16
Maturity Price : 16.95
Evaluated at bid price : 16.95
Bid-YTW : 7.15 %
SLF.PR.G FixedReset Ins Non -2.98 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2030-01-31
Maturity Price : 25.00
Evaluated at bid price : 12.71
Bid-YTW : 10.53 %
RY.PR.H FixedReset Disc -2.68 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-08-16
Maturity Price : 16.70
Evaluated at bid price : 16.70
Bid-YTW : 5.22 %
TD.PF.H FixedReset Prem -2.16 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-08-16
Maturity Price : 23.34
Evaluated at bid price : 24.50
Bid-YTW : 5.36 %
PWF.PR.A Floater -1.96 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-08-16
Maturity Price : 11.03
Evaluated at bid price : 11.03
Bid-YTW : 6.32 %
PWF.PR.P FixedReset Disc -1.94 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-08-16
Maturity Price : 12.16
Evaluated at bid price : 12.16
Bid-YTW : 5.75 %
BAM.PR.X FixedReset Disc -1.88 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-08-16
Maturity Price : 11.98
Evaluated at bid price : 11.98
Bid-YTW : 6.28 %
SLF.PR.J FloatingReset -1.83 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2030-01-31
Maturity Price : 25.00
Evaluated at bid price : 12.90
Bid-YTW : 11.05 %
RY.PR.Z FixedReset Disc -1.72 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-08-16
Maturity Price : 17.10
Evaluated at bid price : 17.10
Bid-YTW : 5.13 %
BNS.PR.H FixedReset Prem -1.64 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-08-16
Maturity Price : 23.33
Evaluated at bid price : 24.59
Bid-YTW : 5.40 %
POW.PR.B Perpetual-Discount -1.55 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-08-16
Maturity Price : 23.17
Evaluated at bid price : 23.43
Bid-YTW : 5.77 %
TRP.PR.E FixedReset Disc -1.43 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-08-16
Maturity Price : 13.75
Evaluated at bid price : 13.75
Bid-YTW : 6.55 %
CM.PR.Q FixedReset Disc -1.36 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-08-16
Maturity Price : 17.37
Evaluated at bid price : 17.37
Bid-YTW : 5.78 %
POW.PR.D Perpetual-Discount -1.35 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-08-16
Maturity Price : 21.75
Evaluated at bid price : 22.00
Bid-YTW : 5.74 %
SLF.PR.A Deemed-Retractible -1.32 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2030-01-31
Maturity Price : 25.00
Evaluated at bid price : 21.62
Bid-YTW : 6.69 %
TD.PF.B FixedReset Disc -1.31 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-08-16
Maturity Price : 16.63
Evaluated at bid price : 16.63
Bid-YTW : 5.37 %
SLF.PR.B Deemed-Retractible -1.27 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2030-01-31
Maturity Price : 25.00
Evaluated at bid price : 21.82
Bid-YTW : 6.63 %
IFC.PR.F Deemed-Retractible -1.27 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2030-01-31
Maturity Price : 25.00
Evaluated at bid price : 24.19
Bid-YTW : 5.84 %
TRP.PR.A FixedReset Disc -1.23 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-08-16
Maturity Price : 12.08
Evaluated at bid price : 12.08
Bid-YTW : 6.60 %
BMO.PR.B FixedReset Prem -1.21 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-08-16
Maturity Price : 23.27
Evaluated at bid price : 24.50
Bid-YTW : 5.27 %
POW.PR.A Perpetual-Premium -1.20 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-08-16
Maturity Price : 24.29
Evaluated at bid price : 24.60
Bid-YTW : 5.75 %
BMO.PR.C FixedReset Disc -1.18 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-08-16
Maturity Price : 21.00
Evaluated at bid price : 21.00
Bid-YTW : 5.42 %
CM.PR.P FixedReset Disc -1.10 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-08-16
Maturity Price : 15.22
Evaluated at bid price : 15.22
Bid-YTW : 5.74 %
TD.PF.J FixedReset Disc -1.08 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-08-16
Maturity Price : 19.29
Evaluated at bid price : 19.29
Bid-YTW : 5.33 %
BMO.PR.F FixedReset Disc -1.04 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-08-16
Maturity Price : 22.68
Evaluated at bid price : 23.75
Bid-YTW : 5.03 %
IFC.PR.G FixedReset Ins Non -1.01 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2030-01-31
Maturity Price : 25.00
Evaluated at bid price : 18.55
Bid-YTW : 8.11 %
IAF.PR.G FixedReset Ins Non 1.07 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2030-01-31
Maturity Price : 25.00
Evaluated at bid price : 18.85
Bid-YTW : 7.51 %
MFC.PR.H FixedReset Ins Non 1.14 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2030-01-31
Maturity Price : 25.00
Evaluated at bid price : 20.35
Bid-YTW : 7.00 %
NA.PR.G FixedReset Disc 1.26 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-08-16
Maturity Price : 19.25
Evaluated at bid price : 19.25
Bid-YTW : 5.51 %
BAM.PF.B FixedReset Disc 1.31 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-08-16
Maturity Price : 16.21
Evaluated at bid price : 16.21
Bid-YTW : 6.31 %
PWF.PR.T FixedReset Disc 1.32 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-08-16
Maturity Price : 17.71
Evaluated at bid price : 17.71
Bid-YTW : 5.33 %
TRP.PR.G FixedReset Disc 1.50 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-08-16
Maturity Price : 16.25
Evaluated at bid price : 16.25
Bid-YTW : 6.40 %
HSE.PR.A FixedReset Disc 2.16 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-08-16
Maturity Price : 10.40
Evaluated at bid price : 10.40
Bid-YTW : 7.03 %
Volume Highlights
Issue Index Shares
Traded
Notes
RY.PR.Z FixedReset Disc 125,420 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-08-16
Maturity Price : 17.10
Evaluated at bid price : 17.10
Bid-YTW : 5.13 %
BMO.PR.T FixedReset Disc 61,800 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-08-16
Maturity Price : 16.17
Evaluated at bid price : 16.17
Bid-YTW : 5.36 %
BMO.PR.Y FixedReset Disc 52,174 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-08-16
Maturity Price : 18.25
Evaluated at bid price : 18.25
Bid-YTW : 5.39 %
SLF.PR.C Deemed-Retractible 51,250 YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2030-01-31
Maturity Price : 25.00
Evaluated at bid price : 20.60
Bid-YTW : 6.96 %
SLF.PR.I FixedReset Ins Non 50,513 YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2030-01-31
Maturity Price : 25.00
Evaluated at bid price : 18.01
Bid-YTW : 8.00 %
POW.PR.D Perpetual-Discount 46,700 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-08-16
Maturity Price : 21.75
Evaluated at bid price : 22.00
Bid-YTW : 5.74 %
There were 32 other index-included issues trading in excess of 10,000 shares.
Wide Spread Highlights
Issue Index Quote Data and Yield Notes
BIP.PR.F FixedReset Disc Quote: 21.21 – 21.70
Spot Rate : 0.4900
Average : 0.3395

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-08-16
Maturity Price : 21.21
Evaluated at bid price : 21.21
Bid-YTW : 6.11 %

BMO.PR.F FixedReset Disc Quote: 23.75 – 24.29
Spot Rate : 0.5400
Average : 0.4028

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-08-16
Maturity Price : 22.68
Evaluated at bid price : 23.75
Bid-YTW : 5.03 %

BAM.PR.X FixedReset Disc Quote: 11.98 – 12.54
Spot Rate : 0.5600
Average : 0.4303

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-08-16
Maturity Price : 11.98
Evaluated at bid price : 11.98
Bid-YTW : 6.28 %

TRP.PR.C FixedReset Disc Quote: 10.25 – 10.65
Spot Rate : 0.4000
Average : 0.2741

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-08-16
Maturity Price : 10.25
Evaluated at bid price : 10.25
Bid-YTW : 6.68 %

HSE.PR.G FixedReset Disc Quote: 16.50 – 16.95
Spot Rate : 0.4500
Average : 0.3256

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-08-16
Maturity Price : 16.50
Evaluated at bid price : 16.50
Bid-YTW : 7.29 %

POW.PR.B Perpetual-Discount Quote: 23.43 – 23.85
Spot Rate : 0.4200
Average : 0.3027

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-08-16
Maturity Price : 23.17
Evaluated at bid price : 23.43
Bid-YTW : 5.77 %