August 21, 2017

August 21st, 2017
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 0.4507 % 2,367.1
FixedFloater 0.00 % 0.00 % 0 0.00 0 0.4507 % 4,343.5
Floater 3.66 % 3.69 % 110,985 18.03 3 0.4507 % 2,503.2
OpRet 0.00 % 0.00 % 0 0.00 0 0.0553 % 3,075.0
SplitShare 4.74 % 4.20 % 55,885 3.76 5 0.0553 % 3,672.2
Interest-Bearing 0.00 % 0.00 % 0 0.00 0 0.0553 % 2,865.2
Perpetual-Premium 5.41 % 4.80 % 61,300 5.89 17 0.1374 % 2,777.7
Perpetual-Discount 5.32 % 5.35 % 63,807 14.86 20 0.1176 % 2,921.4
FixedReset 4.40 % 4.48 % 143,389 6.35 98 0.0682 % 2,373.2
Deemed-Retractible 5.08 % 5.43 % 111,131 6.08 31 0.0268 % 2,864.2
FloatingReset 2.63 % 3.09 % 41,187 4.20 9 0.0562 % 2,612.3
Performance Highlights
Issue Index Change Notes
TD.PF.H FixedReset -2.30 % YTW SCENARIO
Maturity Type : Call
Maturity Date : 2021-10-31
Maturity Price : 25.00
Evaluated at bid price : 25.50
Bid-YTW : 4.42 %
TRP.PR.G FixedReset -1.61 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2047-08-21
Maturity Price : 22.54
Evaluated at bid price : 23.22
Bid-YTW : 4.65 %
IFC.PR.E Deemed-Retractible -1.17 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-01-31
Maturity Price : 25.00
Evaluated at bid price : 24.56
Bid-YTW : 5.43 %
MFC.PR.G FixedReset -1.10 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-01-31
Maturity Price : 25.00
Evaluated at bid price : 23.39
Bid-YTW : 5.12 %
BMO.PR.S FixedReset 1.01 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2047-08-21
Maturity Price : 21.60
Evaluated at bid price : 22.00
Bid-YTW : 4.36 %
RY.PR.O Perpetual-Premium 1.05 % YTW SCENARIO
Maturity Type : Call
Maturity Date : 2024-11-24
Maturity Price : 25.00
Evaluated at bid price : 25.05
Bid-YTW : 4.89 %
TD.PF.E FixedReset 1.20 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2047-08-21
Maturity Price : 22.74
Evaluated at bid price : 23.58
Bid-YTW : 4.50 %
Volume Highlights
Issue Index Shares
Traded
Notes
TRP.PR.J FixedReset 142,850 YTW SCENARIO
Maturity Type : Call
Maturity Date : 2021-05-31
Maturity Price : 25.00
Evaluated at bid price : 26.51
Bid-YTW : 3.75 %
TRP.PR.K FixedReset 136,847 YTW SCENARIO
Maturity Type : Call
Maturity Date : 2022-05-31
Maturity Price : 25.00
Evaluated at bid price : 25.93
Bid-YTW : 4.03 %
NA.PR.S FixedReset 102,700 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2047-08-21
Maturity Price : 21.57
Evaluated at bid price : 21.96
Bid-YTW : 4.46 %
IFC.PR.F Deemed-Retractible 86,802 YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-01-31
Maturity Price : 25.00
Evaluated at bid price : 24.58
Bid-YTW : 5.63 %
HSE.PR.A FixedReset 64,489 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2047-08-21
Maturity Price : 16.75
Evaluated at bid price : 16.75
Bid-YTW : 4.62 %
CU.PR.I FixedReset 52,100 YTW SCENARIO
Maturity Type : Call
Maturity Date : 2020-12-01
Maturity Price : 25.00
Evaluated at bid price : 25.50
Bid-YTW : 3.82 %
There were 8 other index-included issues trading in excess of 10,000 shares.
Wide Spread Highlights
Issue Index Quote Data and Yield Notes
TD.PF.H FixedReset Quote: 25.50 – 26.22
Spot Rate : 0.7200
Average : 0.4016

YTW SCENARIO
Maturity Type : Call
Maturity Date : 2021-10-31
Maturity Price : 25.00
Evaluated at bid price : 25.50
Bid-YTW : 4.42 %

TRP.PR.G FixedReset Quote: 23.22 – 23.68
Spot Rate : 0.4600
Average : 0.2797

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2047-08-21
Maturity Price : 22.54
Evaluated at bid price : 23.22
Bid-YTW : 4.65 %

ELF.PR.G Perpetual-Discount Quote: 22.51 – 23.02
Spot Rate : 0.5100
Average : 0.3415

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2047-08-21
Maturity Price : 22.24
Evaluated at bid price : 22.51
Bid-YTW : 5.33 %

BMO.PR.Y FixedReset Quote: 23.22 – 23.65
Spot Rate : 0.4300
Average : 0.2839

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2047-08-21
Maturity Price : 22.57
Evaluated at bid price : 23.22
Bid-YTW : 4.44 %

TD.PF.D FixedReset Quote: 23.25 – 23.73
Spot Rate : 0.4800
Average : 0.3374

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2047-08-21
Maturity Price : 22.59
Evaluated at bid price : 23.25
Bid-YTW : 4.49 %

TD.PF.G FixedReset Quote: 26.55 – 26.84
Spot Rate : 0.2900
Average : 0.1903

YTW SCENARIO
Maturity Type : Call
Maturity Date : 2021-04-30
Maturity Price : 25.00
Evaluated at bid price : 26.55
Bid-YTW : 3.79 %

MFC.PR.I To Reset At 4.35100%

August 21st, 2017

Manulife Financial Corporation has announced (although not yet on their website):

the applicable dividend rates for its Non-cumulative Rate Reset Class 1 Shares Series 9 (the “Series 9 Preferred Shares”) (TSX: MFC.PR.I) and Non-cumulative Floating Rate Class 1 Shares Series 10 (the “Series 10 Preferred Shares”).

With respect to any Series 9 Preferred Shares that remain outstanding after September 19, 2017, holders thereof will be entitled to receive fixed rate non-cumulative preferential cash dividends on a quarterly basis, as and when declared by the Board of Directors of Manulife and subject to the provisions of the Insurance Companies Act (Canada). The dividend rate for the five-year period commencing on September 20, 2017, and ending on September 19, 2022, will be 4.35100% per annum or $0.271938 per share per quarter, being equal to the sum of the five-year Government of Canada bond yield as at August 21, 2017, plus 2.86%, as determined in accordance with the terms of the Series 9 Preferred Shares.

With respect to any Series 10 Preferred Shares that may be issued on September 19, 2017 in connection with the conversion of the Series 9 Preferred Shares into the Series 10 Preferred Shares, holders thereof will be entitled to receive floating rate non-cumulative preferential cash dividends on a quarterly basis, calculated on the basis of actual number of days elapsed in each quarterly floating rate period divided by 365, as and when declared by the Board of Directors of Manulife and subject to the provisions of the Insurance Companies Act (Canada). The dividend rate for the three-month period commencing on September 20, 2017, and ending on December 19, 2017, will be 0.89753% (3.60000% on an annualized basis) or $0.224383 per share, being equal to the sum of the three-month Government of Canada Treasury bill yield as at August 21, 2017, plus 2.86%, as determined in accordance with the terms of the Series 10 Preferred Shares.

Beneficial owners of Series 9 Preferred Shares who wish to exercise their right of conversion should instruct their broker or other nominee to exercise such right before 5:00 p.m. (Toronto time) on September 5, 2017. The news release announcing such conversion right was issued on July 27, 2017 and can be viewed on SEDAR or Manulife’s website. Conversion inquiries should be directed to Manulife’s Registrar and Transfer Agent, CST Trust Company, at 1‑800-387-0825.

The Toronto Stock Exchange (“TSX”) has conditionally approved the listing of the Series 10 Preferred Shares effective upon conversion. Listing of the Series 10 Preferred Shares is subject to Manulife fulfilling all the listing requirements of the TSX and, upon approval, the Series 10 Preferred Shares will be listed on the TSX under the trading symbol “MFC.PR.T”.

The notice of extension was previously reported on PrefBlog.

MFC.PR.I is a FixedReset, 4.40%+286, that commenced trading 2012-5-24 after being announced 2015-5-16.

As this issue (and the possibly forthcoming MFC.PR.T) is not NVCC compliant, it is be analyzed as having a Deemed Retraction.

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

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

pairs_fr_170821
Click for Big

The market appears to have a distaste at the moment for floating rate product; most of the implied rates until the next interconversion are lower than the current 3-month bill rate and the averages for investment-grade and junk issues are both well below current market rates, at +0.51% and +0.32%, respectively! Whatever might be the result of the next few Bank of Canada overnight rate decisions, I suggest that it is unlikely that the average rate over the next five years will be lower than current – but if you disagree, of course, you may interpret the data any way you like.

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

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

Estimate of FloatingReset MFC.PR.T (received in exchange for MFC.PR.I) Trading Price In Current Conditions
  Assumed FloatingReset
Price if Implied Bill
is equal to
FixedReset Bid Price Spread 1.00% 0.50% 0.00%
MFC.PR.I 23.69 286bp 23.18 22.67 22.15

Based on current market conditions, I suggest that the FloatingResets that will result from conversion are likely to be cheap and trading below the price of their FixedReset counterparts. Therefore, it seems likely that I will recommend that holders of MFC.PR.I continue to hold the issue and not to convert, but I will wait until it’s closer to the September 5 notification deadline before making a final pronouncement. I will note that, given the apparent cheapness of the FloatingResets, it may be a good trade to swap the FixedReset for the FloatingReset in the market once both elements of each pair are trading and you can – presumably, according to this analysis – do it with a reasonably good take-out in price, rather than doing it through the company on a 1:1 basis. But that, of course, will depend on the prices at that time and your forecast for the path of policy rates over the next five years. There are no guarantees – my recommendation is based on the assumption that current market conditions with respect to the pairs will continue until the FloatingResets commence trading and that the relative pricing of the two new pairs will reflect these conditions

IFC.PR.F Soft on Muted Volume

August 19th, 2017

Intact Financial Corporation has announced:

that it has closed its previously announced bought deal offering of 6,000,000 Class A Series 6 Preferred Shares (the “Series 6 Shares”) (the “Offering”) underwritten by a syndicate of underwriters (the “Underwriters”) led by CIBC Capital Markets together with BMO Capital Markets, National Bank Financial and TD Securities Inc., resulting in gross proceeds to IFC of $150 million.

The net proceeds from the Offering are intended to be used by IFC to fund a portion of the purchase price for its previously announced acquisition (the “Acquisition”) of all of the issued and outstanding shares of OneBeacon Insurance Group, Ltd. (“OneBeacon”). The closing of the Acquisition is expected to occur in the third quarter or early fourth quarter of 2017 and is subject to receipt of required regulatory approvals. If the Acquisition is not completed, the net proceeds of this Offering will be used for general corporate purposes.

Each Series 6 Share entitles the holder thereof to receive quarterly non-cumulative preferential cash dividends, if, as and when declared by the Board of Directors, on the last day of March, June, September and December in each year at a rate equal to $0.33125 per share. The initial dividend, if declared, will be paid on December 29, 2017 and will be $0.49007 per share.

The Series 6 Shares will commence trading today on the Toronto Stock Exchange under the symbol IFC.PR.F.

IFC.PR.F is a Straight Perpetual, 5.30%, announced 2017-08-09. It will be tracked by HIMIPref™ and assigned to the DeemedRetractibles sub-index.

As this issue is not NVCC compliant, it will be analyzed as a DeemedRetractible. Note, however, that this carries more uncertainty than it does with most other insurers because Intact is a P&C insurer, not a life company.

The issue traded 259,384 shares on its opening day of 2017-8-18 in a range of 24.75-94 before closing at 24.82-83. Vital Statistics are:

IFC.PR.F Deemed-Retractible YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-01-31
Maturity Price : 25.00
Evaluated at bid price : 24.82
Bid-YTW : 5.46 %

August 18, 2017

August 19th, 2017

Sorry it’s late!

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 -0.4486 % 2,356.5
FixedFloater 0.00 % 0.00 % 0 0.00 0 -0.4486 % 4,324.0
Floater 3.67 % 3.71 % 114,552 18.00 3 -0.4486 % 2,491.9
OpRet 0.00 % 0.00 % 0 0.00 0 0.1877 % 3,073.3
SplitShare 4.74 % 4.19 % 56,196 3.77 5 0.1877 % 3,670.2
Interest-Bearing 0.00 % 0.00 % 0 0.00 0 0.1877 % 2,863.6
Perpetual-Premium 5.42 % 4.91 % 61,328 5.90 17 -0.1093 % 2,773.9
Perpetual-Discount 5.33 % 5.36 % 63,977 14.86 20 -0.0128 % 2,918.0
FixedReset 4.40 % 4.44 % 148,887 6.37 98 0.1172 % 2,371.6
Deemed-Retractible 5.08 % 5.46 % 112,193 6.06 31 0.0210 % 2,863.4
FloatingReset 2.63 % 3.12 % 42,781 4.21 9 -0.2041 % 2,610.9
Performance Highlights
Issue Index Change Notes
RY.PR.O Perpetual-Premium -1.43 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2047-08-18
Maturity Price : 24.37
Evaluated at bid price : 24.79
Bid-YTW : 4.94 %
SLF.PR.J FloatingReset -1.19 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-01-31
Maturity Price : 25.00
Evaluated at bid price : 16.55
Bid-YTW : 8.34 %
BAM.PR.R FixedReset 1.02 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2047-08-18
Maturity Price : 19.76
Evaluated at bid price : 19.76
Bid-YTW : 4.62 %
IFC.PR.A FixedReset 1.13 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-01-31
Maturity Price : 25.00
Evaluated at bid price : 19.65
Bid-YTW : 7.13 %
TRP.PR.C FixedReset 1.31 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2047-08-18
Maturity Price : 16.28
Evaluated at bid price : 16.28
Bid-YTW : 4.44 %
Volume Highlights
Issue Index Shares
Traded
Notes
IFC.PR.F Deemed-Retractible 259,384 YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-01-31
Maturity Price : 25.00
Evaluated at bid price : 24.82
Bid-YTW : 5.46 %
CM.PR.Q FixedReset 33,200 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2047-08-18
Maturity Price : 22.53
Evaluated at bid price : 23.15
Bid-YTW : 4.47 %
TD.PF.G FixedReset 30,600 YTW SCENARIO
Maturity Type : Call
Maturity Date : 2021-04-30
Maturity Price : 25.00
Evaluated at bid price : 26.75
Bid-YTW : 3.56 %
CU.PR.C FixedReset 16,981 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2047-08-18
Maturity Price : 21.31
Evaluated at bid price : 21.31
Bid-YTW : 4.54 %
MFC.PR.R FixedReset 15,834 YTW SCENARIO
Maturity Type : Call
Maturity Date : 2022-03-19
Maturity Price : 25.00
Evaluated at bid price : 25.61
Bid-YTW : 4.18 %
PVS.PR.C SplitShare 13,860 YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2017-12-10
Maturity Price : 25.00
Evaluated at bid price : 25.02
Bid-YTW : 3.77 %
There were 6 other index-included issues trading in excess of 10,000 shares.
Wide Spread Highlights
Issue Index Quote Data and Yield Notes
RY.PR.P Perpetual-Premium Quote: 25.26 – 25.72
Spot Rate : 0.4600
Average : 0.2728

YTW SCENARIO
Maturity Type : Call
Maturity Date : 2025-02-24
Maturity Price : 25.00
Evaluated at bid price : 25.26
Bid-YTW : 5.10 %

BAM.PR.N Perpetual-Discount Quote: 21.65 – 22.04
Spot Rate : 0.3900
Average : 0.2190

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2047-08-18
Maturity Price : 21.38
Evaluated at bid price : 21.65
Bid-YTW : 5.56 %

RY.PR.L FixedReset Quote: 25.17 – 25.54
Spot Rate : 0.3700
Average : 0.2150

YTW SCENARIO
Maturity Type : Call
Maturity Date : 2019-02-24
Maturity Price : 25.00
Evaluated at bid price : 25.17
Bid-YTW : 3.76 %

RY.PR.J FixedReset Quote: 23.00 – 23.35
Spot Rate : 0.3500
Average : 0.2351

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2047-08-18
Maturity Price : 22.47
Evaluated at bid price : 23.00
Bid-YTW : 4.45 %

TD.PF.F Perpetual-Premium Quote: 25.07 – 25.38
Spot Rate : 0.3100
Average : 0.1971

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2047-08-18
Maturity Price : 24.65
Evaluated at bid price : 25.07
Bid-YTW : 4.91 %

TRP.PR.B FixedReset Quote: 15.08 – 15.43
Spot Rate : 0.3500
Average : 0.2409

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2047-08-18
Maturity Price : 15.08
Evaluated at bid price : 15.08
Bid-YTW : 4.45 %

August 17, 2017

August 17th, 2017

The Government of Canada is considering reopening an ultra-long bond issue:

The Government of Canada is considering issuing ultra-long bonds, subject to favourable market conditions, through a reopening of the 2.75% December 1, 2064 ultra-long bond, using a modified auction process. The potential for issuing ultra-long bonds and the option of issuing via auction were highlighted in the Debt Management Strategy for 2017–18.

The additional issuance of bonds in the ultra-long sector is in keeping with the commitment that the Government made in Budget 2017 to reallocate short-term issuance towards long-term bonds in order to lock in low funding costs and reduce refinancing risk.

Any ultra-long bond issuance would be subject to a set of issuance criteria. These criteria include projections of cost savings based on market expectations of interest rates over time and the costs of rolling over short-term funding relative to the constant costs of issuing long-term debt, and indications of sufficient demand for ultra-long bonds.

That said, ultra-long bond issuance remains a tactical funding measure and is not part of the regular bond program. There is no commitment to issue ultra-long bonds and other factors may preclude the Government from issuing these securities, even if the above criteria are met.

To facilitate market preparations for potential ultra-long bond issuances, the Government will consult its primary dealers regarding possible issuance dates and auction sizes. Potential issuance dates during the current quarter will be assessed and potential issuance dates in future quarters will be communicated through quarterly bond schedules posted on the Bank of Canada’s website. If a decision is made to hold an ultra-long bond auction, a Call for Tenders confirming the date and size of the auction will be posted on the Bank of Canada’s website.

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 -0.5635 % 2,367.1
FixedFloater 0.00 % 0.00 % 0 0.00 0 -0.5635 % 4,343.5
Floater 3.66 % 3.69 % 113,253 18.04 3 -0.5635 % 2,503.2
OpRet 0.00 % 0.00 % 0 0.00 0 0.4556 % 3,067.6
SplitShare 4.69 % 4.28 % 53,789 1.34 5 0.4556 % 3,663.3
Interest-Bearing 0.00 % 0.00 % 0 0.00 0 0.4556 % 2,858.3
Perpetual-Premium 5.41 % 4.81 % 63,053 6.10 17 0.0768 % 2,776.9
Perpetual-Discount 5.33 % 5.35 % 66,559 14.86 20 0.0749 % 2,918.3
FixedReset 4.40 % 4.44 % 150,994 6.31 98 0.0979 % 2,368.8
Deemed-Retractible 5.07 % 5.50 % 113,063 6.06 30 0.0000 % 2,862.8
FloatingReset 2.63 % 3.12 % 42,850 4.21 9 0.0919 % 2,616.2
Performance Highlights
Issue Index Change Notes
TRP.PR.C FixedReset -1.83 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2047-08-17
Maturity Price : 16.07
Evaluated at bid price : 16.07
Bid-YTW : 4.49 %
SLF.PR.G FixedReset -1.68 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-01-31
Maturity Price : 25.00
Evaluated at bid price : 17.00
Bid-YTW : 8.59 %
BAM.PR.B Floater -1.26 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2047-08-17
Maturity Price : 14.10
Evaluated at bid price : 14.10
Bid-YTW : 3.70 %
TD.PF.D FixedReset 1.09 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2047-08-17
Maturity Price : 22.60
Evaluated at bid price : 23.27
Bid-YTW : 4.45 %
BAM.PF.G FixedReset 1.12 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2047-08-17
Maturity Price : 22.74
Evaluated at bid price : 23.49
Bid-YTW : 4.62 %
PVS.PR.E SplitShare 1.19 % YTW SCENARIO
Maturity Type : Call
Maturity Date : 2017-09-16
Maturity Price : 26.00
Evaluated at bid price : 26.42
Bid-YTW : -1.96 %
BAM.PF.D Perpetual-Discount 1.26 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2047-08-17
Maturity Price : 22.27
Evaluated at bid price : 22.56
Bid-YTW : 5.50 %
ELF.PR.G Perpetual-Discount 1.30 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2047-08-17
Maturity Price : 22.32
Evaluated at bid price : 22.59
Bid-YTW : 5.30 %
MFC.PR.K FixedReset 1.60 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-01-31
Maturity Price : 25.00
Evaluated at bid price : 21.55
Bid-YTW : 6.16 %
Volume Highlights
Issue Index Shares
Traded
Notes
SLF.PR.I FixedReset 77,476 YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-01-31
Maturity Price : 25.00
Evaluated at bid price : 23.41
Bid-YTW : 5.08 %
IFC.PR.A FixedReset 74,400 YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-01-31
Maturity Price : 25.00
Evaluated at bid price : 19.43
Bid-YTW : 7.31 %
MFC.PR.R FixedReset 59,400 YTW SCENARIO
Maturity Type : Call
Maturity Date : 2022-03-19
Maturity Price : 25.00
Evaluated at bid price : 25.78
Bid-YTW : 4.31 %
TD.PR.T FloatingReset 37,149 YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2022-01-31
Maturity Price : 25.00
Evaluated at bid price : 24.47
Bid-YTW : 2.72 %
RY.PR.Q FixedReset 28,230 YTW SCENARIO
Maturity Type : Call
Maturity Date : 2021-05-24
Maturity Price : 25.00
Evaluated at bid price : 26.64
Bid-YTW : 3.61 %
TRP.PR.K FixedReset 17,231 YTW SCENARIO
Maturity Type : Call
Maturity Date : 2022-05-31
Maturity Price : 25.00
Evaluated at bid price : 25.81
Bid-YTW : 4.13 %
There were 3 other index-included issues trading in excess of 10,000 shares.
Wide Spread Highlights
Issue Index Quote Data and Yield Notes
EML.PR.A FixedReset Quote: 26.39 – 26.84
Spot Rate : 0.4500
Average : 0.2944

YTW SCENARIO
Maturity Type : Call
Maturity Date : 2021-04-17
Maturity Price : 25.00
Evaluated at bid price : 26.39
Bid-YTW : 4.26 %

TRP.PR.C FixedReset Quote: 16.07 – 16.43
Spot Rate : 0.3600
Average : 0.2061

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2047-08-17
Maturity Price : 16.07
Evaluated at bid price : 16.07
Bid-YTW : 4.49 %

SLF.PR.G FixedReset Quote: 17.00 – 17.49
Spot Rate : 0.4900
Average : 0.3682

YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-01-31
Maturity Price : 25.00
Evaluated at bid price : 17.00
Bid-YTW : 8.59 %

GWO.PR.G Deemed-Retractible Quote: 24.61 – 25.00
Spot Rate : 0.3900
Average : 0.2777

YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-01-31
Maturity Price : 25.00
Evaluated at bid price : 24.61
Bid-YTW : 5.61 %

MFC.PR.G FixedReset Quote: 23.75 – 24.09
Spot Rate : 0.3400
Average : 0.2431

YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-01-31
Maturity Price : 25.00
Evaluated at bid price : 23.75
Bid-YTW : 5.01 %

RY.PR.J FixedReset Quote: 23.05 – 23.22
Spot Rate : 0.1700
Average : 0.1090

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2047-08-17
Maturity Price : 22.50
Evaluated at bid price : 23.05
Bid-YTW : 4.44 %

August 16, 2017

August 17th, 2017

The WSJ has a nice piece titled The Wage Paradox Explained:

So why haven’t wages risen faster amid an increase in hiring and unfilled jobs? One answer is that wages have actually been growing at a faster clip—around 4% to 5%—at least for full-time workers with steady jobs. But new full-time workers who are generally paid less than the retirees they replace are dragging down the average wage increase.

Researchers at the San Francisco Fed this week updated their 2016 paper that disaggregated the wages of full-time workers with steady employment from recent entrants—that is, new workers or those returning to full-time work. Their earlier analysis showed that average wage growth had slowed less than expected during the recession while staying relatively flat during the recovery.

That’s because workers who lost jobs during the recession were generally lower skilled and lower paid, so average weekly wages didn’t fall significantly. However, many of those workers have since been rehired at below-average wages, which has depressed the aggregate.

In prior expansions, wage growth has been driven mostly by continuously full-time employed workers, and the researchers find that’s still the case. Wage growth for these workers is now close to the pre-recession 2007 peak. But there are now many more workers who have been on the labor-force sidelines who are moving to full-time employment, thus creating a drag on wages.

Unfortunately, the San Francisco Fed’s website seems to have collywobbles at the moment so I can’t access the paper.

PerpetualDiscounts now yield 5.34%, equivalent to 6.94% interest at the standard equivalency factor of 1.3x. Long corporates now yield about 3.90%, so the pre-tax interest-equivalent spread (in this context, the “Seniority Spread”) is now about 305bp, the same as reported on August 9.

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 0.4718 % 2,380.5
FixedFloater 0.00 % 0.00 % 0 0.00 0 0.4718 % 4,368.1
Floater 3.64 % 3.67 % 117,797 18.10 3 0.4718 % 2,517.4
OpRet 0.00 % 0.00 % 0 0.00 0 -0.2038 % 3,053.7
SplitShare 4.71 % 4.61 % 53,013 3.73 5 -0.2038 % 3,646.7
Interest-Bearing 0.00 % 0.00 % 0 0.00 0 -0.2038 % 2,845.3
Perpetual-Premium 5.41 % 4.86 % 63,679 6.10 17 0.0722 % 2,774.8
Perpetual-Discount 5.33 % 5.34 % 67,208 14.85 20 0.2272 % 2,916.2
FixedReset 4.40 % 4.43 % 154,936 6.33 98 -0.0345 % 2,366.5
Deemed-Retractible 5.07 % 5.49 % 114,669 6.06 30 0.2318 % 2,862.8
FloatingReset 2.63 % 3.12 % 42,320 4.22 9 0.0664 % 2,613.8
Performance Highlights
Issue Index Change Notes
ELF.PR.G Perpetual-Discount -1.28 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2047-08-16
Maturity Price : 22.07
Evaluated at bid price : 22.30
Bid-YTW : 5.38 %
MFC.PR.K FixedReset -1.12 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-01-31
Maturity Price : 25.00
Evaluated at bid price : 21.21
Bid-YTW : 6.42 %
PVS.PR.E SplitShare -1.10 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2022-10-31
Maturity Price : 25.00
Evaluated at bid price : 26.11
Bid-YTW : 4.79 %
SLF.PR.G FixedReset 1.05 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-01-31
Maturity Price : 25.00
Evaluated at bid price : 17.29
Bid-YTW : 8.33 %
BAM.PR.C Floater 1.07 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2047-08-16
Maturity Price : 14.21
Evaluated at bid price : 14.21
Bid-YTW : 3.67 %
MFC.PR.B Deemed-Retractible 1.17 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-01-31
Maturity Price : 25.00
Evaluated at bid price : 22.51
Bid-YTW : 6.52 %
TRP.PR.E FixedReset 1.30 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2047-08-16
Maturity Price : 21.48
Evaluated at bid price : 21.84
Bid-YTW : 4.43 %
Volume Highlights
Issue Index Shares
Traded
Notes
TD.PR.Z FloatingReset 109,700 YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2022-01-31
Maturity Price : 25.00
Evaluated at bid price : 24.44
Bid-YTW : 2.82 %
TD.PF.H FixedReset 56,410 YTW SCENARIO
Maturity Type : Call
Maturity Date : 2021-10-31
Maturity Price : 25.00
Evaluated at bid price : 26.08
Bid-YTW : 3.80 %
TD.PR.T FloatingReset 54,718 YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2022-01-31
Maturity Price : 25.00
Evaluated at bid price : 24.47
Bid-YTW : 2.72 %
BAM.PR.M Perpetual-Discount 51,700 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2047-08-16
Maturity Price : 21.37
Evaluated at bid price : 21.64
Bid-YTW : 5.56 %
NA.PR.C FixedReset 45,161 YTW SCENARIO
Maturity Type : Call
Maturity Date : 2022-11-15
Maturity Price : 25.00
Evaluated at bid price : 25.07
Bid-YTW : 4.58 %
RY.PR.L FixedReset 41,700 YTW SCENARIO
Maturity Type : Call
Maturity Date : 2019-02-24
Maturity Price : 25.00
Evaluated at bid price : 25.18
Bid-YTW : 3.72 %
There were 7 other index-included issues trading in excess of 10,000 shares.
Wide Spread Highlights
Issue Index Quote Data and Yield Notes
ELF.PR.G Perpetual-Discount Quote: 22.30 – 22.95
Spot Rate : 0.6500
Average : 0.4301

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2047-08-16
Maturity Price : 22.07
Evaluated at bid price : 22.30
Bid-YTW : 5.38 %

MFC.PR.J FixedReset Quote: 23.40 – 23.81
Spot Rate : 0.4100
Average : 0.2470

YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-01-31
Maturity Price : 25.00
Evaluated at bid price : 23.40
Bid-YTW : 5.24 %

CU.PR.C FixedReset Quote: 21.36 – 21.79
Spot Rate : 0.4300
Average : 0.2848

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2047-08-16
Maturity Price : 21.36
Evaluated at bid price : 21.36
Bid-YTW : 4.53 %

BAM.PR.R FixedReset Quote: 19.43 – 19.90
Spot Rate : 0.4700
Average : 0.3724

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2047-08-16
Maturity Price : 19.43
Evaluated at bid price : 19.43
Bid-YTW : 4.70 %

NA.PR.X FixedReset Quote: 26.45 – 26.68
Spot Rate : 0.2300
Average : 0.1385

YTW SCENARIO
Maturity Type : Call
Maturity Date : 2021-05-15
Maturity Price : 25.00
Evaluated at bid price : 26.45
Bid-YTW : 3.94 %

TRP.PR.K FixedReset Quote: 25.75 – 25.99
Spot Rate : 0.2400
Average : 0.1543

YTW SCENARIO
Maturity Type : Call
Maturity Date : 2022-05-31
Maturity Price : 25.00
Evaluated at bid price : 25.75
Bid-YTW : 4.18 %

S&P Upgrades BRF & BEP to P-2(low)

August 16th, 2017

Standard & Poor’s has announced:

  • •We are raising our long-term corporate credit and senior unsecured debt ratings on Brookfield Renewable Partners L.P. (BEP) to ‘BBB+’ from ‘BBB’.
  • •The upgrade follows a revision of our assessment of the company’s relationship with parent Brookfield Asset Management Inc.
  • •We revised our group assessment of BEP to moderately strategic from nonstrategic, resulting in a one-notch uplift from the ‘bbb’ stand-alone credit profile to the final ‘BBB+’ rating.
  • •The stable outlook reflects our expectation that the company will continue to have fairly predictable cash flows due to its long-term contracts from its well-diversified portfolio of generation assets.


S&P Global Ratings today raised its long-term corporate credit rating on Brookfield Renewable Partners L.P. (BEP) to ‘BBB+’ from ‘BBB’. The outlook is stable.

At the same time, S&P Global Ratings raised its senior unsecured debt rating on the company to ‘BBB+’ from ‘BBB’. S&P Global Ratings also raised its global scale preferred stock rating on BEP to ‘BBB-‘ from ‘BB+’, and its Canada scale preferred stock rating to ‘P-2(Low)’ from ‘P-3(High)’. Finally, S&P Global Ratings affirmed its ‘A-2’ short-term corporate credit rating on the company.

The upgrade follows our revision of the group status between BEP and parent Brookfield Asset Management Inc. (BAM), to moderately strategic from nonstrategic following our reassessment of BAM under different criteria (for more information, see the research update on BAM published Aug. 15, 2017, on RatingsDirect). BAM indirectly holds about 60% in BEP and we believe it exerts some level of control through its ownership interest; and exerts some influence as the service provider, where it charges BEP for management, administrative, and advisory services through the master service agreement. All these factors leads us to believe there will be some level of parental support, a key factor our group assessment.

Affected issues are:

BRF.PR.A, BRF.PR.B, BRF.PR.C, BRF.PR.E and BRF.PR.F (These are from Brookfield Renewable Power Preferred Equity Inc., a wholly owned subsidiary of BEP, and pay eligible dividends)

BEP.PR.E, BEP.PR.G, BEP.PR.I and BEP.PR.K (These are from Brookfield Renewable Partners L.P. itself, and pay distributions comprised of return of capital and ordinary income)

August 15, 2017

August 15th, 2017

Maple bonds are having a good year:

Apple raised those funds in the Maple market, where foreign issuers match wits with domestic investors. When the game was over, Apple raised $2.5 billion at a rate of 2.513 per cent.

While the coupon Apple is required to pay represents one term of the financing, investors and issuers also focus on the spread. At 80 basis points above comparable Canada bonds, the spread is at the bottom end of the range that Apple expected to pay when the issue was launched.

The $2.5 billion issue represents the largest single tranche Maple bond issue: it is almost twice as large as the previous record, a $1.3 billion borrowing that Canadian investors provided to brewing company Anheuser-Busch last April. It is also more than what Apple had expected to raise when the deal was launched.

At $2.5 billion the financing is understood to be the largest corporate non-financial borrowing in Canadian history.

Prior to Apple’s record-breaking borrowing, Canadians had invested $8.6 billion in 10 newly issued Maple bonds this year. AT&T raised $1.35 billion via a two-tranche offering; United Parcels raised $750 million; Anheuser-Busch raised a total of $2 billion; Pepsico garnered $750 million, as did Goldman Sachs; while Wells Fargo, Bank of America and Morgan Stanley received $1 billion each. The terms have ranged from five years (Wells Fargo) to 30 years (AT&T and Anheuser-Busch.)

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 0.9045 % 2,369.3
FixedFloater 0.00 % 0.00 % 0 0.00 0 0.9045 % 4,347.6
Floater 3.65 % 3.69 % 116,760 18.06 3 0.9045 % 2,505.5
OpRet 0.00 % 0.00 % 0 0.00 0 0.0235 % 3,059.9
SplitShare 4.70 % 4.43 % 53,740 1.34 5 0.0235 % 3,654.2
Interest-Bearing 0.00 % 0.00 % 0 0.00 0 0.0235 % 2,851.1
Perpetual-Premium 5.42 % 4.89 % 66,205 6.10 17 -0.0628 % 2,772.8
Perpetual-Discount 5.34 % 5.33 % 68,314 14.83 20 -0.0857 % 2,909.5
FixedReset 4.40 % 4.42 % 156,972 6.33 98 -0.2690 % 2,367.3
Deemed-Retractible 5.08 % 5.53 % 113,381 6.07 30 0.0014 % 2,856.2
FloatingReset 2.63 % 3.16 % 40,927 4.22 9 -0.0255 % 2,612.1
Performance Highlights
Issue Index Change Notes
BAM.PR.X FixedReset -1.33 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2047-08-15
Maturity Price : 17.02
Evaluated at bid price : 17.02
Bid-YTW : 4.64 %
TD.PF.D FixedReset -1.32 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2047-08-15
Maturity Price : 22.53
Evaluated at bid price : 23.15
Bid-YTW : 4.47 %
TRP.PR.E FixedReset -1.15 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2047-08-15
Maturity Price : 21.28
Evaluated at bid price : 21.56
Bid-YTW : 4.49 %
BMO.PR.T FixedReset -1.11 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2047-08-15
Maturity Price : 21.29
Evaluated at bid price : 21.29
Bid-YTW : 4.39 %
MFC.PR.N FixedReset -1.04 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-01-31
Maturity Price : 25.00
Evaluated at bid price : 21.79
Bid-YTW : 6.07 %
SLF.PR.G FixedReset -1.04 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-01-31
Maturity Price : 25.00
Evaluated at bid price : 17.11
Bid-YTW : 8.49 %
IFC.PR.A FixedReset -1.01 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-01-31
Maturity Price : 25.00
Evaluated at bid price : 19.60
Bid-YTW : 7.16 %
BAM.PR.B Floater 1.36 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2047-08-15
Maturity Price : 14.20
Evaluated at bid price : 14.20
Bid-YTW : 3.67 %
IAG.PR.A Deemed-Retractible 1.88 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-01-31
Maturity Price : 25.00
Evaluated at bid price : 22.72
Bid-YTW : 6.28 %
Volume Highlights
Issue Index Shares
Traded
Notes
TRP.PR.K FixedReset 54,440 YTW SCENARIO
Maturity Type : Call
Maturity Date : 2022-05-31
Maturity Price : 25.00
Evaluated at bid price : 25.70
Bid-YTW : 4.23 %
TRP.PR.J FixedReset 44,950 YTW SCENARIO
Maturity Type : Call
Maturity Date : 2021-05-31
Maturity Price : 25.00
Evaluated at bid price : 26.60
Bid-YTW : 3.64 %
CU.PR.C FixedReset 36,700 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2047-08-15
Maturity Price : 21.55
Evaluated at bid price : 21.55
Bid-YTW : 4.49 %
CM.PR.R FixedReset 31,845 YTW SCENARIO
Maturity Type : Call
Maturity Date : 2022-07-31
Maturity Price : 25.00
Evaluated at bid price : 25.05
Bid-YTW : 4.59 %
MFC.PR.H FixedReset 31,300 YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-01-31
Maturity Price : 25.00
Evaluated at bid price : 24.39
Bid-YTW : 5.13 %
MFC.PR.I FixedReset 28,083 YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-01-31
Maturity Price : 25.00
Evaluated at bid price : 23.92
Bid-YTW : 5.16 %
There were 17 other index-included issues trading in excess of 10,000 shares.
Wide Spread Highlights
Issue Index Quote Data and Yield Notes
PVS.PR.E SplitShare Quote: 26.40 – 26.75
Spot Rate : 0.3500
Average : 0.2408

YTW SCENARIO
Maturity Type : Call
Maturity Date : 2017-09-14
Maturity Price : 26.00
Evaluated at bid price : 26.40
Bid-YTW : -1.38 %

POW.PR.D Perpetual-Discount Quote: 23.90 – 24.24
Spot Rate : 0.3400
Average : 0.2357

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2047-08-15
Maturity Price : 23.63
Evaluated at bid price : 23.90
Bid-YTW : 5.28 %

W.PR.K FixedReset Quote: 25.77 – 26.15
Spot Rate : 0.3800
Average : 0.2794

YTW SCENARIO
Maturity Type : Call
Maturity Date : 2021-01-15
Maturity Price : 25.00
Evaluated at bid price : 25.77
Bid-YTW : 4.44 %

CCS.PR.C Deemed-Retractible Quote: 23.58 – 23.98
Spot Rate : 0.4000
Average : 0.3076

YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-01-31
Maturity Price : 25.00
Evaluated at bid price : 23.58
Bid-YTW : 6.10 %

TD.PR.Y FixedReset Quote: 24.55 – 24.79
Spot Rate : 0.2400
Average : 0.1500

YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2022-01-31
Maturity Price : 25.00
Evaluated at bid price : 24.55
Bid-YTW : 3.75 %

CU.PR.D Perpetual-Discount Quote: 23.54 – 23.95
Spot Rate : 0.4100
Average : 0.3214

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2047-08-15
Maturity Price : 23.08
Evaluated at bid price : 23.54
Bid-YTW : 5.19 %

KML.PR.A Closes Firm On Good Volume

August 15th, 2017

Kinder Morgan Canada Limited has announced:

that it has completed its previously announced offering of cumulative redeemable minimum rate reset preferred shares, Series 1 (the “Series 1 Preferred Shares”). The Company issued 12,000,000 Series 1 Preferred Shares for aggregate gross proceeds of $300 million through a syndicate of underwriters led by Scotiabank, CIBC Capital Markets, RBC Capital Markets and TD Securities. The transaction was upsized from a base size of 8,000,000 shares as a result of strong investor demand.

“This robust inaugural preferred offering is another testament to the attractiveness of KML’s integrated suite of assets,” said Dax Sanders, the Company’s Chief Financial Officer. “The transaction also represents another important step in financing the Trans Mountain Expansion Project.”

The Company intends to use the proceeds from the offering to indirectly subscribe for preferred units in Kinder Morgan Canada Limited Partnership, which in turn, intends to use such proceeds to, directly or indirectly, finance the development, construction and completion of the Trans Mountain Expansion project and Base Line Terminal project as well as in connection with other potential future growth opportunities, to repay indebtedness and for general corporate purposes.

The Series 1 Preferred Shares will begin trading today on the TSX under the symbol KML.PR.A. S&P and DBRS have assigned this series a rating of P-3 (high) and Pfd-3 (high), respectively. The outstanding principal amount of the series is expected to receive 50 percent equity treatment from S&P and 100 percent equity treatment from DBRS.
Dividends on the Series 1 Preferred Shares are expected to be $1.3125 per share annually, payable quarterly on the 15th day of February, May, August and November, as and when declared by the Board of Directors of the Company, for the initial fixed rate period to but excluding November 15, 2022. The first dividend, if declared, will be payable November 15, 2017, in the amount of $0.3308 per share.

All of the Company’s dividends are designated “eligible dividends” for Canadian income tax purposes.

KML.PR.A is a FixedReset 5.25%+365M525 announced August 3. It will be tracked by HIMIPref™ but relegated to the Scraps subindex on credit concerns.

The issue traded 714,130 shares today in a range of 24.89-00 before closing at 24.98-00. Vital statistics are:

KML.PR.A FixedReset YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2047-08-15
Maturity Price : 23.14
Evaluated at bid price : 24.98
Bid-YTW : 5.18 %

DBRS finalized its Pfd-3(high) rating of the issue.

August 14, 2017

August 14th, 2017

Some interesting, but not particularly surprising, commentary on the effects of the fiduciary rule in the States:

The brokerage business fiercely fought the new retirement advice rule. But so far for Wall Street, it has been a gift.

The rule requires brokers to act in the best interests of retirement savers, rather than sell products that are merely suitable but could make brokers more money. Financial firms decried the restriction, which began to take effect in June, as limiting consumer choice while raising their compliance costs and potential liability.

But adherence is proving a positive. Firms are pushing customers toward accounts that charge an annual fee on their assets, rather than commissions which can violate the rule, and such fee-based accounts have long been more lucrative for the industry. In earnings calls, executives are citing the Department of Labor rule, known varyingly as the DOL or fiduciary rule, as a boon.

Dudley had some good observations on income inequality:

In my view, two main factors are responsible for this pattern of differential wage growth and the resulting increase in wage inequality. First, advances in technology have dramatically changed the nature of work, increasing the skill requirements for many jobs while displacing others. Second, the pace of globalization has accelerated in recent decades, with increased cross-border trade, investment, immigration, and the emergence of global supply chains. Together, these economic forces have contributed to significant job losses in certain sectors, most notably manufacturing. The resulting decline in demand for middle- and lower-skilled workers has resulted in fewer jobs and has depressed wages for many in those industries. Other, less important factors behind the rise in inequality include the decline in private sector labor unions and the falling real value of the minimum wage.

At the same time, technological change and globalization have created jobs in areas such as engineering and software development. Demand has been particularly high for knowledge workers, resulting in strong wage growth in certain sectors. All told, the forces of technological change and globalization have contributed to wage inequality by pushing up wages for those toward the top, and stifling wage growth for workers toward the middle and bottom of the wage distribution. As I have said in previous remarks, we need to do a better job of helping those hurt by globalization.

I call his remarks good, of course, because I agree with them. One thing that might have been mentioned is inefficiency in the creative destruction process. Technology and globalization are bringing down the price of various outputs; in the past, we have seen that these cheaper outputs become inputs to other processes in new sectors, but it takes a while.

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 1.4734 % 2,348.1
FixedFloater 0.00 % 0.00 % 0 0.00 0 1.4734 % 4,308.6
Floater 3.69 % 3.72 % 118,260 17.98 3 1.4734 % 2,483.1
OpRet 0.00 % 0.00 % 0 0.00 0 0.1335 % 3,059.2
SplitShare 4.70 % 4.43 % 54,681 1.35 5 0.1335 % 3,653.3
Interest-Bearing 0.00 % 0.00 % 0 0.00 0 0.1335 % 2,850.5
Perpetual-Premium 5.41 % 4.80 % 66,691 6.04 17 -0.0093 % 2,774.5
Perpetual-Discount 5.34 % 5.34 % 68,451 14.86 20 0.1953 % 2,912.0
FixedReset 4.39 % 4.39 % 159,157 6.34 98 0.1974 % 2,373.7
Deemed-Retractible 5.08 % 5.50 % 114,150 6.07 30 -0.0333 % 2,856.2
FloatingReset 2.63 % 3.17 % 40,735 4.22 9 0.2561 % 2,612.7
Performance Highlights
Issue Index Change Notes
IAG.PR.A Deemed-Retractible -1.76 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-01-31
Maturity Price : 25.00
Evaluated at bid price : 22.30
Bid-YTW : 6.59 %
RY.PR.O Perpetual-Premium -1.08 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2047-08-14
Maturity Price : 24.39
Evaluated at bid price : 24.81
Bid-YTW : 4.93 %
BAM.PR.C Floater 1.08 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2047-08-14
Maturity Price : 14.00
Evaluated at bid price : 14.00
Bid-YTW : 3.72 %
BAM.PR.B Floater 1.23 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2047-08-14
Maturity Price : 14.01
Evaluated at bid price : 14.01
Bid-YTW : 3.72 %
MFC.PR.K FixedReset 1.23 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-01-31
Maturity Price : 25.00
Evaluated at bid price : 21.42
Bid-YTW : 6.25 %
SLF.PR.I FixedReset 1.25 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-01-31
Maturity Price : 25.00
Evaluated at bid price : 23.54
Bid-YTW : 4.99 %
TRP.PR.F FloatingReset 1.25 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2047-08-14
Maturity Price : 19.44
Evaluated at bid price : 19.44
Bid-YTW : 3.40 %
BAM.PR.X FixedReset 1.47 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2047-08-14
Maturity Price : 17.25
Evaluated at bid price : 17.25
Bid-YTW : 4.58 %
SLF.PR.H FixedReset 1.69 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-01-31
Maturity Price : 25.00
Evaluated at bid price : 20.50
Bid-YTW : 6.31 %
BAM.PR.K Floater 2.12 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2047-08-14
Maturity Price : 14.00
Evaluated at bid price : 14.00
Bid-YTW : 3.72 %
Volume Highlights
Issue Index Shares
Traded
Notes
RY.PR.A Deemed-Retractible 66,107 YTW SCENARIO
Maturity Type : Call
Maturity Date : 2017-09-13
Maturity Price : 25.00
Evaluated at bid price : 25.20
Bid-YTW : -6.63 %
RY.PR.R FixedReset 63,188 YTW SCENARIO
Maturity Type : Call
Maturity Date : 2021-08-24
Maturity Price : 25.00
Evaluated at bid price : 26.76
Bid-YTW : 3.59 %
GWO.PR.G Deemed-Retractible 51,910 YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-01-31
Maturity Price : 25.00
Evaluated at bid price : 24.62
Bid-YTW : 5.59 %
RY.PR.L FixedReset 50,684 YTW SCENARIO
Maturity Type : Call
Maturity Date : 2019-02-24
Maturity Price : 25.00
Evaluated at bid price : 25.18
Bid-YTW : 3.71 %
MFC.PR.I FixedReset 26,579 YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-01-31
Maturity Price : 25.00
Evaluated at bid price : 23.95
Bid-YTW : 5.14 %
BNS.PR.E FixedReset 22,428 YTW SCENARIO
Maturity Type : Call
Maturity Date : 2021-04-25
Maturity Price : 25.00
Evaluated at bid price : 26.67
Bid-YTW : 3.65 %
There were 14 other index-included issues trading in excess of 10,000 shares.
Wide Spread Highlights
Issue Index Quote Data and Yield Notes
IAG.PR.A Deemed-Retractible Quote: 22.30 – 22.80
Spot Rate : 0.5000
Average : 0.3691

YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-01-31
Maturity Price : 25.00
Evaluated at bid price : 22.30
Bid-YTW : 6.59 %

RY.PR.O Perpetual-Premium Quote: 24.81 – 25.18
Spot Rate : 0.3700
Average : 0.2525

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2047-08-14
Maturity Price : 24.39
Evaluated at bid price : 24.81
Bid-YTW : 4.93 %

PWF.PR.O Perpetual-Premium Quote: 25.65 – 26.00
Spot Rate : 0.3500
Average : 0.2499

YTW SCENARIO
Maturity Type : Call
Maturity Date : 2017-10-31
Maturity Price : 25.25
Evaluated at bid price : 25.65
Bid-YTW : -0.63 %

EML.PR.A FixedReset Quote: 26.50 – 26.81
Spot Rate : 0.3100
Average : 0.2341

YTW SCENARIO
Maturity Type : Call
Maturity Date : 2021-04-17
Maturity Price : 25.00
Evaluated at bid price : 26.50
Bid-YTW : 4.13 %

TRP.PR.J FixedReset Quote: 26.75 – 26.95
Spot Rate : 0.2000
Average : 0.1274

YTW SCENARIO
Maturity Type : Call
Maturity Date : 2021-05-31
Maturity Price : 25.00
Evaluated at bid price : 26.75
Bid-YTW : 3.47 %

CU.PR.D Perpetual-Discount Quote: 23.51 – 23.80
Spot Rate : 0.2900
Average : 0.2242

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2047-08-14
Maturity Price : 23.05
Evaluated at bid price : 23.51
Bid-YTW : 5.20 %