Archive for March, 2019

BAM.PF.B : No Conversion To FloatingReset

Wednesday, March 20th, 2019

Brookfield Asset Management Inc. has announced:

that after having taken into account all election notices received by the March 18, 2019 deadline for the conversion of its Cumulative Class A Preference Shares, Series 34 (the “Series 34 Shares”) (TSX: BAM.PF.B) into Cumulative Class A Preference Shares, Series 35 (the “Series 35 Shares”), there were 53,649 Series 34 Shares tendered for conversion, which is less than the one million shares required to give effect to conversions into Series 35 Shares. Accordingly, there will be no conversion of Series 34 Shares into Series 35 Shares.

BAM.PF.B is a FixedReset, 4.20%+263, that commenced trading 2012-9-12 after being announced 2012-8-23. I recommended against conversion. The issue is tracked by HIMIPref™ and assigned to the FixedReset (Discount) sub-index.

March 20, 2019

Wednesday, March 20th, 2019

There were no surprises in today’s FOMC statement:

Information received since the Federal Open Market Committee met in January indicates that the labor market remains strong but that growth of economic activity has slowed from its solid rate in the fourth quarter. Payroll employment was little changed in February, but job gains have been solid, on average, in recent months, and the unemployment rate has remained low. Recent indicators point to slower growth of household spending and business fixed investment in the first quarter. On a 12-month basis, overall inflation has declined, largely as a result of lower energy prices; inflation for items other than food and energy remains near 2 percent. On balance, market-based measures of inflation compensation have remained low in recent months, and survey-based measures of longer-term inflation expectations are little changed.

Consistent with its statutory mandate, the Committee seeks to foster maximum employment and price stability. In support of these goals, the Committee decided to maintain the target range for the federal funds rate at 2-1/4 to 2-1/2 percent. The Committee continues to view sustained expansion of economic activity, strong labor market conditions, and inflation near the Committee’s symmetric 2 percent objective as the most likely outcomes. In light of global economic and financial developments and muted inflation pressures, the Committee will be patient as it determines what future adjustments to the target range for the federal funds rate may be appropriate to support these outcomes.

In determining the timing and size of future adjustments to the target range for the federal funds rate, the Committee will assess realized and expected economic conditions relative to its maximum employment objective and its symmetric 2 percent inflation objective. This assessment will take into account a wide range of information, including measures of labor market conditions, indicators of inflation pressures and inflation expectations, and readings on financial and international developments.

Voting for the FOMC monetary policy action were: Jerome H. Powell, Chairman; John C. Williams, Vice Chairman; Michelle W. Bowman; Lael Brainard; James Bullard; Richard H. Clarida; Charles L. Evans; Esther L. George; Randal K. Quarles; and Eric S. Rosengren.

The FOMC also issued a note titled Balance Sheet Normalization Principles and Plans.

The Grits latest subsidy effort is attracting some criticism:

The announced housing-affordability plan, which will have Crown agency Canada Mortgage and Housing Corp. provide up to 10-per-cent funding of mortgages for first-time buyers, is a can’t-lose political proposition for a government that hangs its hat on supporting the middle class (and expects that support to be returned at the ballot box).

The plan will increase demand for homes – that’s precisely what it’s designed to do. The government argues that because CMHC will contribute a bigger incentive for buyers of newly built homes, the plan will also spur increased supply. But while the demand will be essentially immediate, it takes much longer for homes to be built to catch up. It doesn’t take a PhD in economics to figure out that higher demand, in the absence of matching supply, will inflate prices. The help the government is offering new buyers could very quickly be wiped out by rising prices; in markets where prices have been declining, this could undermine the improving affordability that buyers would have seen otherwise. And this isn’t just for first-time buyers – all buyers will feel the impact.

None of this is helpful in addressing Canada’s record-high household debt loads. Instead, it encourages more people at the margins of being able to afford a home to take on mortgage debt, while contributing to the bloated housing costs that got Canadian households into the current debt conundrum in the first place.

Tell me again how this is a good investment?

Yes, I’ve often said that that this country really needs is an increased supply of houses that can’t be sold without a government subsidy. Haven’t we all?

Like so many other idiotic government programmes (such as rent control and subsidized housing), this will have a deleterious effect on the economy due to the restriction of labour mobility. You buy a house for X, assisted by a 10% government subsidy. Ten years later, you get the offer of a slightly better job, but to take it will require moving. Moving means you have to pay back your interest-free loan. So you will have to buy a house that’s not as good as the one you’re in. And after adding up all the pros and cons, you decide to turn down the job and stay put. Hurrah for productivity!

On a brighter note, it appears the CMHC is reducing its impact on mortgage insurance – in 2017 there was 480-billion worth of insurance in force, compared to 557-billion in 2013; the CMHC insured about 31.9% of outstanding Canadian residential mortgages in 2017, compared to 45.6% in 2013.

PerpetualDiscounts now yield 5.57%, equivalent to 7.24% interest at the standard equivalency factor of 1.3x. Long corporates now yield about 3.75%, so the pre-tax interest-equivalent spread (in this context, the “Seniority Spread”) is now about 350bp, a slight (and perhaps spurious) narrowing from the 355bp reported on March 13.

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 0.0265 % 2,130.5
FixedFloater 0.00 % 0.00 % 0 0.00 0 0.0265 % 3,909.4
Floater 5.49 % 5.65 % 45,454 14.44 3 0.0265 % 2,253.0
OpRet 0.00 % 0.00 % 0 0.00 0 0.0794 % 3,280.3
SplitShare 4.87 % 4.55 % 73,092 3.90 8 0.0794 % 3,917.4
Interest-Bearing 0.00 % 0.00 % 0 0.00 0 0.0794 % 3,056.5
Perpetual-Premium 5.63 % -0.82 % 59,282 0.08 9 0.0964 % 2,923.9
Perpetual-Discount 5.43 % 5.57 % 71,700 14.45 26 0.3286 % 3,069.5
FixedReset Disc 5.17 % 5.31 % 192,273 14.90 64 -0.3071 % 2,203.3
Deemed-Retractible 5.26 % 6.00 % 102,912 8.19 27 0.2424 % 3,047.1
FloatingReset 4.19 % 4.15 % 42,237 2.73 5 0.1510 % 2,411.0
FixedReset Prem 5.07 % 3.75 % 339,252 2.24 19 -0.0957 % 2,569.0
FixedReset Bank Non 1.97 % 3.96 % 153,536 2.76 3 0.0139 % 2,637.4
FixedReset Ins Non 4.96 % 6.58 % 112,231 8.36 22 0.2789 % 2,274.2
Performance Highlights
Issue Index Change Notes
TRP.PR.G FixedReset Disc -3.27 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-03-20
Maturity Price : 18.96
Evaluated at bid price : 18.96
Bid-YTW : 5.97 %
TD.PF.D FixedReset Disc -2.96 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-03-20
Maturity Price : 21.01
Evaluated at bid price : 21.01
Bid-YTW : 5.24 %
RY.PR.H FixedReset Disc -2.54 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-03-20
Maturity Price : 19.20
Evaluated at bid price : 19.20
Bid-YTW : 5.09 %
TRP.PR.D FixedReset Disc -2.39 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-03-20
Maturity Price : 17.55
Evaluated at bid price : 17.55
Bid-YTW : 5.78 %
TD.PF.A FixedReset Disc -2.31 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-03-20
Maturity Price : 19.00
Evaluated at bid price : 19.00
Bid-YTW : 5.14 %
TD.PF.J FixedReset Disc -2.25 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-03-20
Maturity Price : 21.79
Evaluated at bid price : 22.15
Bid-YTW : 5.02 %
TD.PF.E FixedReset Disc -2.23 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-03-20
Maturity Price : 21.51
Evaluated at bid price : 21.88
Bid-YTW : 5.09 %
SLF.PR.I FixedReset Ins Non -1.69 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2030-01-31
Maturity Price : 25.00
Evaluated at bid price : 20.33
Bid-YTW : 6.63 %
TRP.PR.C FixedReset Disc -1.57 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-03-20
Maturity Price : 13.14
Evaluated at bid price : 13.14
Bid-YTW : 5.89 %
CCS.PR.C Deemed-Retractible -1.57 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2030-01-31
Maturity Price : 25.00
Evaluated at bid price : 22.64
Bid-YTW : 6.22 %
BAM.PR.K Floater -1.31 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-03-20
Maturity Price : 12.09
Evaluated at bid price : 12.09
Bid-YTW : 5.73 %
TD.PF.C FixedReset Disc -1.30 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-03-20
Maturity Price : 19.05
Evaluated at bid price : 19.05
Bid-YTW : 5.13 %
CU.PR.C FixedReset Disc -1.07 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-03-20
Maturity Price : 18.55
Evaluated at bid price : 18.55
Bid-YTW : 5.31 %
SLF.PR.D Deemed-Retractible 1.02 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2030-01-31
Maturity Price : 25.00
Evaluated at bid price : 20.85
Bid-YTW : 6.63 %
CU.PR.D Perpetual-Discount 1.02 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-03-20
Maturity Price : 22.62
Evaluated at bid price : 22.83
Bid-YTW : 5.41 %
BAM.PF.D Perpetual-Discount 1.08 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-03-20
Maturity Price : 21.59
Evaluated at bid price : 21.59
Bid-YTW : 5.70 %
BAM.PR.N Perpetual-Discount 1.10 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-03-20
Maturity Price : 21.05
Evaluated at bid price : 21.05
Bid-YTW : 5.67 %
GWO.PR.Q Deemed-Retractible 1.15 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2030-01-31
Maturity Price : 25.00
Evaluated at bid price : 23.68
Bid-YTW : 5.83 %
MFC.PR.C Deemed-Retractible 1.19 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2030-01-31
Maturity Price : 25.00
Evaluated at bid price : 21.25
Bid-YTW : 6.48 %
SLF.PR.G FixedReset Ins Non 1.23 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2030-01-31
Maturity Price : 25.00
Evaluated at bid price : 14.85
Bid-YTW : 8.81 %
GWO.PR.G Deemed-Retractible 1.45 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2030-01-31
Maturity Price : 25.00
Evaluated at bid price : 23.72
Bid-YTW : 5.86 %
PWF.PR.A Floater 1.52 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-03-20
Maturity Price : 13.40
Evaluated at bid price : 13.40
Bid-YTW : 5.22 %
HSE.PR.A FixedReset Disc 1.54 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-03-20
Maturity Price : 13.15
Evaluated at bid price : 13.15
Bid-YTW : 6.16 %
SLF.PR.E Deemed-Retractible 1.56 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2030-01-31
Maturity Price : 25.00
Evaluated at bid price : 20.87
Bid-YTW : 6.68 %
BAM.PF.C Perpetual-Discount 1.67 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-03-20
Maturity Price : 21.35
Evaluated at bid price : 21.35
Bid-YTW : 5.71 %
GWO.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 : 15.00
Bid-YTW : 8.48 %
MFC.PR.K FixedReset Ins Non 2.35 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2030-01-31
Maturity Price : 25.00
Evaluated at bid price : 19.57
Bid-YTW : 7.05 %
Volume Highlights
Issue Index Shares
Traded
Notes
CM.PR.R FixedReset Disc 141,383 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-03-20
Maturity Price : 22.50
Evaluated at bid price : 23.18
Bid-YTW : 5.29 %
SLF.PR.H FixedReset Ins Non 122,341 YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2030-01-31
Maturity Price : 25.00
Evaluated at bid price : 17.75
Bid-YTW : 7.48 %
BAM.PR.X FixedReset Disc 107,700 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-03-20
Maturity Price : 14.45
Evaluated at bid price : 14.45
Bid-YTW : 5.70 %
SLF.PR.J FloatingReset 96,600 YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2030-01-31
Maturity Price : 25.00
Evaluated at bid price : 14.70
Bid-YTW : 9.13 %
RY.PR.H FixedReset Disc 81,122 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-03-20
Maturity Price : 19.20
Evaluated at bid price : 19.20
Bid-YTW : 5.09 %
GWO.PR.N FixedReset Ins Non 76,000 YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2030-01-31
Maturity Price : 25.00
Evaluated at bid price : 15.00
Bid-YTW : 8.48 %
There were 34 other index-included issues trading in excess of 10,000 shares.
Wide Spread Highlights
Issue Index Quote Data and Yield Notes
TD.PF.D FixedReset Disc Quote: 21.01 – 22.60
Spot Rate : 1.5900
Average : 1.0451

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-03-20
Maturity Price : 21.01
Evaluated at bid price : 21.01
Bid-YTW : 5.24 %

POW.PR.A Perpetual-Discount Quote: 25.06 – 26.06
Spot Rate : 1.0000
Average : 0.6264

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-03-20
Maturity Price : 24.85
Evaluated at bid price : 25.06
Bid-YTW : 5.68 %

W.PR.H Perpetual-Premium Quote: 25.21 – 26.21
Spot Rate : 1.0000
Average : 0.6845

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-03-20
Maturity Price : 24.89
Evaluated at bid price : 25.21
Bid-YTW : 5.54 %

PWF.PR.Q FloatingReset Quote: 14.62 – 15.40
Spot Rate : 0.7800
Average : 0.4772

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-03-20
Maturity Price : 14.62
Evaluated at bid price : 14.62
Bid-YTW : 5.66 %

VNR.PR.A FixedReset Disc Quote: 21.30 – 22.69
Spot Rate : 1.3900
Average : 1.0933

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-03-20
Maturity Price : 21.30
Evaluated at bid price : 21.30
Bid-YTW : 5.34 %

BIP.PR.A FixedReset Disc Quote: 20.16 – 21.00
Spot Rate : 0.8400
Average : 0.5508

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-03-20
Maturity Price : 20.16
Evaluated at bid price : 20.16
Bid-YTW : 6.38 %

March 19, 2019

Tuesday, March 19th, 2019
HIMIPref™ Preferred Indices
These values reflect the December 2008 revision of the HIMIPref™ Indices

Values are provisional and are finalized monthly
Index Mean
Current
Yield
(at bid)
Median
YTW
Median
Average
Trading
Value
Median
Mod Dur
(YTW)
Issues Day’s Perf. Index Value
Ratchet 0.00 % 0.00 % 0 0.00 0 0.3457 % 2,129.9
FixedFloater 0.00 % 0.00 % 0 0.00 0 0.3457 % 3,908.3
Floater 5.50 % 5.64 % 45,504 14.47 3 0.3457 % 2,252.4
OpRet 0.00 % 0.00 % 0 0.00 0 -0.0446 % 3,277.7
SplitShare 4.88 % 4.67 % 73,905 3.90 8 -0.0446 % 3,914.3
Interest-Bearing 0.00 % 0.00 % 0 0.00 0 -0.0446 % 3,054.1
Perpetual-Premium 5.64 % -0.04 % 61,686 0.08 9 0.0219 % 2,921.1
Perpetual-Discount 5.44 % 5.58 % 71,866 14.41 26 0.1879 % 3,059.4
FixedReset Disc 5.16 % 5.32 % 194,392 14.92 64 0.3457 % 2,210.1
Deemed-Retractible 5.28 % 6.03 % 97,038 8.19 27 0.4647 % 3,039.8
FloatingReset 4.20 % 4.21 % 42,796 2.74 5 0.1404 % 2,407.4
FixedReset Prem 5.07 % 3.82 % 343,615 2.25 19 0.2225 % 2,571.5
FixedReset Bank Non 1.97 % 4.00 % 155,209 2.76 3 0.1112 % 2,637.0
FixedReset Ins Non 4.97 % 6.43 % 116,053 8.38 22 0.4831 % 2,267.9
Performance Highlights
Issue Index Change Notes
MFC.PR.K FixedReset Ins Non -1.60 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2030-01-31
Maturity Price : 25.00
Evaluated at bid price : 19.12
Bid-YTW : 7.33 %
MFC.PR.H FixedReset Ins Non 1.03 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2030-01-31
Maturity Price : 25.00
Evaluated at bid price : 22.50
Bid-YTW : 5.89 %
TD.PF.K FixedReset Disc 1.05 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-03-19
Maturity Price : 21.69
Evaluated at bid price : 22.05
Bid-YTW : 4.97 %
BMO.PR.W FixedReset Disc 1.09 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-03-19
Maturity Price : 18.60
Evaluated at bid price : 18.60
Bid-YTW : 5.20 %
MFC.PR.J FixedReset Ins Non 1.09 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2030-01-31
Maturity Price : 25.00
Evaluated at bid price : 21.26
Bid-YTW : 6.41 %
NA.PR.A FixedReset Prem 1.17 % YTW SCENARIO
Maturity Type : Call
Maturity Date : 2021-08-15
Maturity Price : 25.00
Evaluated at bid price : 25.95
Bid-YTW : 3.98 %
IFC.PR.G FixedReset Ins Non 1.18 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2030-01-31
Maturity Price : 25.00
Evaluated at bid price : 21.40
Bid-YTW : 6.37 %
BAM.PR.T FixedReset Disc 1.22 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-03-19
Maturity Price : 16.60
Evaluated at bid price : 16.60
Bid-YTW : 5.81 %
BMO.PR.C FixedReset Disc 1.26 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-03-19
Maturity Price : 23.02
Evaluated at bid price : 24.15
Bid-YTW : 5.02 %
BAM.PR.M Perpetual-Discount 1.26 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-03-19
Maturity Price : 20.87
Evaluated at bid price : 20.87
Bid-YTW : 5.72 %
GWO.PR.I Deemed-Retractible 1.27 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2030-01-31
Maturity Price : 25.00
Evaluated at bid price : 20.76
Bid-YTW : 6.74 %
PWF.PR.S Perpetual-Discount 1.44 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-03-19
Maturity Price : 21.86
Evaluated at bid price : 21.86
Bid-YTW : 5.58 %
BAM.PR.B Floater 1.49 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-03-19
Maturity Price : 12.28
Evaluated at bid price : 12.28
Bid-YTW : 5.64 %
RY.PR.M FixedReset Disc 1.51 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-03-19
Maturity Price : 20.84
Evaluated at bid price : 20.84
Bid-YTW : 5.06 %
GWO.PR.T Deemed-Retractible 1.51 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2030-01-31
Maturity Price : 25.00
Evaluated at bid price : 23.50
Bid-YTW : 5.92 %
SLF.PR.H FixedReset Ins Non 1.53 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2030-01-31
Maturity Price : 25.00
Evaluated at bid price : 17.92
Bid-YTW : 7.36 %
BAM.PF.E FixedReset Disc 1.56 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-03-19
Maturity Price : 18.20
Evaluated at bid price : 18.20
Bid-YTW : 5.76 %
SLF.PR.C Deemed-Retractible 1.57 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2030-01-31
Maturity Price : 25.00
Evaluated at bid price : 20.75
Bid-YTW : 6.69 %
BAM.PR.X FixedReset Disc 1.61 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-03-19
Maturity Price : 14.55
Evaluated at bid price : 14.55
Bid-YTW : 5.66 %
CCS.PR.C Deemed-Retractible 1.86 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2030-01-31
Maturity Price : 25.00
Evaluated at bid price : 23.00
Bid-YTW : 6.03 %
RY.PR.J FixedReset Disc 2.14 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-03-19
Maturity Price : 21.04
Evaluated at bid price : 21.04
Bid-YTW : 5.17 %
MFC.PR.L FixedReset Ins Non 2.26 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2030-01-31
Maturity Price : 25.00
Evaluated at bid price : 18.11
Bid-YTW : 7.57 %
BAM.PR.R FixedReset Disc 2.41 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-03-19
Maturity Price : 16.60
Evaluated at bid price : 16.60
Bid-YTW : 5.73 %
EMA.PR.F FixedReset Disc 2.45 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-03-19
Maturity Price : 19.20
Evaluated at bid price : 19.20
Bid-YTW : 5.59 %
BIP.PR.E FixedReset Disc 2.55 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-03-19
Maturity Price : 21.42
Evaluated at bid price : 21.75
Bid-YTW : 5.75 %
MFC.PR.C Deemed-Retractible 2.94 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2030-01-31
Maturity Price : 25.00
Evaluated at bid price : 21.00
Bid-YTW : 6.62 %
Volume Highlights
Issue Index Shares
Traded
Notes
NA.PR.C FixedReset Disc 150,585 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-03-19
Maturity Price : 22.33
Evaluated at bid price : 22.94
Bid-YTW : 5.39 %
SLF.PR.G FixedReset Ins Non 109,595 YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2030-01-31
Maturity Price : 25.00
Evaluated at bid price : 14.67
Bid-YTW : 8.96 %
TRP.PR.K FixedReset Disc 105,865 YTW SCENARIO
Maturity Type : Call
Maturity Date : 2022-05-31
Maturity Price : 25.00
Evaluated at bid price : 24.97
Bid-YTW : 5.07 %
MFC.PR.F FixedReset Ins Non 100,869 YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2030-01-31
Maturity Price : 25.00
Evaluated at bid price : 14.80
Bid-YTW : 8.71 %
TRP.PR.D FixedReset Disc 76,175 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-03-19
Maturity Price : 17.98
Evaluated at bid price : 17.98
Bid-YTW : 5.64 %
TRP.PR.C FixedReset Disc 73,833 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-03-19
Maturity Price : 13.35
Evaluated at bid price : 13.35
Bid-YTW : 5.80 %
There were 35 other index-included issues trading in excess of 10,000 shares.
Wide Spread Highlights
Issue Index Quote Data and Yield Notes
IAF.PR.I FixedReset Ins Non Quote: 21.40 – 22.50
Spot Rate : 1.1000
Average : 0.7050

YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2030-01-31
Maturity Price : 25.00
Evaluated at bid price : 21.40
Bid-YTW : 6.43 %

SLF.PR.A Deemed-Retractible Quote: 21.80 – 22.25
Spot Rate : 0.4500
Average : 0.2905

YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2030-01-31
Maturity Price : 25.00
Evaluated at bid price : 21.80
Bid-YTW : 6.42 %

CM.PR.Q FixedReset Disc Quote: 20.56 – 21.00
Spot Rate : 0.4400
Average : 0.2904

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-03-19
Maturity Price : 20.56
Evaluated at bid price : 20.56
Bid-YTW : 5.34 %

SLF.PR.E Deemed-Retractible Quote: 20.55 – 21.05
Spot Rate : 0.5000
Average : 0.3530

YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2030-01-31
Maturity Price : 25.00
Evaluated at bid price : 20.55
Bid-YTW : 6.87 %

IAF.PR.G FixedReset Ins Non Quote: 20.40 – 20.85
Spot Rate : 0.4500
Average : 0.3510

YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2030-01-31
Maturity Price : 25.00
Evaluated at bid price : 20.40
Bid-YTW : 6.63 %

SLF.PR.G FixedReset Ins Non Quote: 14.67 – 14.97
Spot Rate : 0.3000
Average : 0.2038

YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2030-01-31
Maturity Price : 25.00
Evaluated at bid price : 14.67
Bid-YTW : 8.96 %

AIM.PR.C : No Conversion to FloatingReset

Tuesday, March 19th, 2019

Aimia Inc. has announced:

that none of its 6,000,000 Cumulative Rate Reset Preferred Shares, Series 3 (the “Series 3 Shares”) will be converted into Cumulative Floating Rate Preferred Shares, Series 4 (the “Series 4 Shares”) on April 1, 2019. During the conversion notice period, which commenced on March 4, 2019 and ended at 5:00 p.m. (Montreal time) on March 18, 2019, 65,624 Series 3 Shares were tendered for conversion into Series 4 Shares. In accordance with the rights, privileges, restrictions and conditions attaching to the Series 3 Shares and the Series 4 Shares, since there would be less than 1,000,000 Series 4 Shares outstanding on April 1, 2019, after having taken into account all Series 3 Shares tendered for conversion into Series 4 Shares, holders of Series 3 Shares who elected to tender their shares for conversion will not have their Series 3 Shares converted into Series 4 Shares on April 1, 2019. As a result, no Series 4 Shares will be issued on April 1, 2019.

It will be recalled that AIM.PR.C will reset at 6.011% effective March 31, 2019 (not 6.01%, as stated in the original press release).

AIM.PR.C is a FixedReset, 6.25%+420, that commenced trading 2014-1-15 after being announced 2014-1-6. The extension was announced 2019-2-26. I recommended against conversion. The issue is tracked by HIMIPref™ but relegated to the Scraps-FixedReset (Discount) subindex on credit concerns.

Aimia suspended preferred share dividends in June, 2017. DBRS downgraded the preferreds to Pfd-5(high) in August, 2017, and currently has them under review with developing implications. S&P declared that it considered the preferred shares to be in default in June, 2018. On February 26, 2019, Aimia announced it would be paying the accrued dividends. On March 1, S&P upgraded the credit rating to P-4(low) and discontinued the rating.

March 18, 2019

Monday, March 18th, 2019

Assiduous Readers will remember that Manulife was bailed out by the regulators again after a hedge fund claimed the terms of its contract with the firm allowed it to deposit unlimited funds with the firm at a guaranteed rate of up to 5%.

It turns out the bail-out was unnecessary! Manulife won the court case:

Manulife Financial Corp. says a Saskatchewan court has ruled in its favour in its legal fight with hedge fund Mosten Investment LP over insurance contracts.

Mosten had argued that under the terms of the universal life insurance policy, it could deposit an unlimited amount of money and receive an annualized guaranteed return of at least four per cent with one-month liquidity.

However, Manulife says the ruling by the Saskatchewan Court of Queen’s Bench found the policy in question “does not provide for unlimited stand-alone investment opportunities within the carrier fund.”

Still, it has been a useful episode: we now have increased assurance that regulators will not allow Manulife to go bankrupt. Moral hazard, anyone?

Ian Bandeen makes a good point about how the banks’ hegemony over the Canadian financial system hurts us all:

Likely unwittingly, the securities regulators have worked in almost perfect alignment with the dominant bank oligopoly to effectively shut down the efficient provision of early-stage, high-risk, capital to our innovators and fledgling companies. Industry leaders have been trying to warn us of this phenomenon for some time.

The problems really started in the 1980s when we permitted the banks to buy out the then-independent investment dealers. The significant culture clashes were systematically paved over as the banks increasingly asserted their comparatively risk-adverse approach to the investment business, one division at a time. Typically, it was the equity capital markets trading operations and the corporate finance M&A businesses that were the last to be subsumed.

Initially resistant to the anti-risk culture of their parent commercial banks, the investment subsidiaries began to realize that their new owners were well practised at the art of being heavily regulated and had whole departments dedicated to servicing and dealing with regulators. Instead of pushing back against excessive regulation, they came to see the competitive advantage of having regulatory-centric resources relative to their non-bank-owned competitors.

None of this bodes well for our junior markets. Without rising new stars, the traditional “blue-chip” companies will start to hollow out. Witness the recent de-Canadianization of some of our former, world-leading‎ gold companies. Where will their replacements come from? Without funding and capital markets support, the innovation continuum will be broken and Canada will lose so much of its potential.

Perhaps the time has come for a serious rethink of what the fundamental goals of securities regulation should be, coupled with a holistic review of whether our current facilities and regimes are actually helping or hindering our attainment of same. It may be time to start thinking outside the box in which we have unwittingly cornered ourselves. Doing nothing is no longer an option and our early-stage entrepreneurs need political assistance before they get lost in the paper shuffle orchestrated by the dominant banks and their regulators.

The obvious answer is: break up the banks. This bloated oligarchy is detrimental to our prosperity … and one day, some day, will break down completely. And, with respect to the point of securities regulation … I hope that at least one or two Assiduous Readers will remember my exhortations to remember that the point of public securities markets is not to ‘provide good, safe returns to Canadians’ or to ‘assist retirement planning’ or any such other incidental trivia. The point of securities markets is to move money from individual savers to corporate capital investment and all regulation should be examined through that lens.

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 -0.6867 % 2,122.6
FixedFloater 0.00 % 0.00 % 0 0.00 0 -0.6867 % 3,894.9
Floater 5.52 % 5.65 % 45,598 14.45 3 -0.6867 % 2,244.6
OpRet 0.00 % 0.00 % 0 0.00 0 0.1242 % 3,279.2
SplitShare 4.87 % 4.63 % 71,868 3.90 8 0.1242 % 3,916.0
Interest-Bearing 0.00 % 0.00 % 0 0.00 0 0.1242 % 3,055.5
Perpetual-Premium 5.64 % -0.23 % 60,118 0.08 9 0.0263 % 2,920.5
Perpetual-Discount 5.45 % 5.61 % 72,870 14.40 26 0.0599 % 3,053.7
FixedReset Disc 5.18 % 5.32 % 201,155 14.92 64 0.2256 % 2,202.4
Deemed-Retractible 5.30 % 6.06 % 101,005 8.18 27 0.1219 % 3,025.7
FloatingReset 4.20 % 4.22 % 44,355 2.74 5 -0.1725 % 2,404.0
FixedReset Prem 5.08 % 3.91 % 325,612 2.24 19 0.0838 % 2,565.8
FixedReset Bank Non 1.98 % 3.99 % 156,960 2.76 3 0.1811 % 2,634.1
FixedReset Ins Non 4.99 % 6.54 % 117,624 8.36 22 0.3958 % 2,257.0
Performance Highlights
Issue Index Change Notes
MFC.PR.C Deemed-Retractible -2.21 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2030-01-31
Maturity Price : 25.00
Evaluated at bid price : 20.40
Bid-YTW : 6.98 %
EMA.PR.F FixedReset Disc -2.14 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-03-18
Maturity Price : 18.74
Evaluated at bid price : 18.74
Bid-YTW : 5.73 %
MFC.PR.L FixedReset Ins Non -2.10 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2030-01-31
Maturity Price : 25.00
Evaluated at bid price : 17.71
Bid-YTW : 7.84 %
CCS.PR.C Deemed-Retractible -1.83 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2030-01-31
Maturity Price : 25.00
Evaluated at bid price : 22.58
Bid-YTW : 6.25 %
BAM.PF.C Perpetual-Discount -1.50 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-03-18
Maturity Price : 20.98
Evaluated at bid price : 20.98
Bid-YTW : 5.81 %
PWF.PR.A Floater -1.49 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-03-18
Maturity Price : 13.25
Evaluated at bid price : 13.25
Bid-YTW : 5.28 %
RY.PR.J FixedReset Disc -1.44 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-03-18
Maturity Price : 20.60
Evaluated at bid price : 20.60
Bid-YTW : 5.28 %
RY.PR.M FixedReset Disc -1.30 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-03-18
Maturity Price : 20.53
Evaluated at bid price : 20.53
Bid-YTW : 5.13 %
CU.PR.H Perpetual-Discount -1.20 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-03-18
Maturity Price : 24.25
Evaluated at bid price : 24.75
Bid-YTW : 5.33 %
BAM.PR.M Perpetual-Discount -1.10 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-03-18
Maturity Price : 20.61
Evaluated at bid price : 20.61
Bid-YTW : 5.79 %
SLF.PR.J FloatingReset -1.08 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2030-01-31
Maturity Price : 25.00
Evaluated at bid price : 14.60
Bid-YTW : 9.21 %
GWO.PR.T Deemed-Retractible -1.07 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2030-01-31
Maturity Price : 25.00
Evaluated at bid price : 23.15
Bid-YTW : 6.10 %
NA.PR.E FixedReset Disc -1.07 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-03-18
Maturity Price : 20.40
Evaluated at bid price : 20.40
Bid-YTW : 5.32 %
GWO.PR.N FixedReset Ins Non -1.01 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2030-01-31
Maturity Price : 25.00
Evaluated at bid price : 14.70
Bid-YTW : 8.71 %
TD.PF.C FixedReset Disc 1.05 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-03-18
Maturity Price : 19.21
Evaluated at bid price : 19.21
Bid-YTW : 5.09 %
BAM.PF.G FixedReset Disc 1.07 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-03-18
Maturity Price : 19.86
Evaluated at bid price : 19.86
Bid-YTW : 5.63 %
SLF.PR.I FixedReset Ins Non 1.08 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2030-01-31
Maturity Price : 25.00
Evaluated at bid price : 20.50
Bid-YTW : 6.53 %
TRP.PR.D FixedReset Disc 1.13 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-03-18
Maturity Price : 17.95
Evaluated at bid price : 17.95
Bid-YTW : 5.65 %
RY.PR.S FixedReset Disc 1.13 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-03-18
Maturity Price : 21.85
Evaluated at bid price : 22.30
Bid-YTW : 4.73 %
HSE.PR.C FixedReset Disc 1.15 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-03-18
Maturity Price : 19.18
Evaluated at bid price : 19.18
Bid-YTW : 6.20 %
HSE.PR.A FixedReset Disc 1.15 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-03-18
Maturity Price : 13.02
Evaluated at bid price : 13.02
Bid-YTW : 6.22 %
IAF.PR.B Deemed-Retractible 1.20 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2030-01-31
Maturity Price : 25.00
Evaluated at bid price : 21.17
Bid-YTW : 6.61 %
BMO.PR.D FixedReset Disc 1.35 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-03-18
Maturity Price : 22.51
Evaluated at bid price : 23.20
Bid-YTW : 5.08 %
SLF.PR.D Deemed-Retractible 1.38 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2030-01-31
Maturity Price : 25.00
Evaluated at bid price : 20.64
Bid-YTW : 6.75 %
BAM.PR.N Perpetual-Discount 1.42 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-03-18
Maturity Price : 20.65
Evaluated at bid price : 20.65
Bid-YTW : 5.78 %
RY.PR.H FixedReset Disc 1.50 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-03-18
Maturity Price : 19.65
Evaluated at bid price : 19.65
Bid-YTW : 4.98 %
BNS.PR.I FixedReset Disc 1.71 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-03-18
Maturity Price : 22.40
Evaluated at bid price : 23.21
Bid-YTW : 4.60 %
NA.PR.G FixedReset Disc 1.80 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-03-18
Maturity Price : 21.69
Evaluated at bid price : 22.05
Bid-YTW : 5.18 %
GWO.PR.P Deemed-Retractible 1.90 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2030-01-31
Maturity Price : 25.00
Evaluated at bid price : 24.61
Bid-YTW : 5.60 %
GWO.PR.I Deemed-Retractible 2.14 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2030-01-31
Maturity Price : 25.00
Evaluated at bid price : 20.50
Bid-YTW : 6.89 %
MFC.PR.K FixedReset Ins Non 2.21 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2030-01-31
Maturity Price : 25.00
Evaluated at bid price : 19.43
Bid-YTW : 7.13 %
IAF.PR.I FixedReset Ins Non 2.88 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2030-01-31
Maturity Price : 25.00
Evaluated at bid price : 21.40
Bid-YTW : 6.42 %
Volume Highlights
Issue Index Shares
Traded
Notes
TRP.PR.K FixedReset Disc 161,335 YTW SCENARIO
Maturity Type : Call
Maturity Date : 2022-05-31
Maturity Price : 25.00
Evaluated at bid price : 25.05
Bid-YTW : 4.95 %
MFC.PR.K FixedReset Ins Non 55,208 YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2030-01-31
Maturity Price : 25.00
Evaluated at bid price : 19.43
Bid-YTW : 7.13 %
IFC.PR.F Deemed-Retractible 53,007 YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2030-01-31
Maturity Price : 25.00
Evaluated at bid price : 23.52
Bid-YTW : 6.06 %
BAM.PF.F FixedReset Disc 51,813 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-03-18
Maturity Price : 20.45
Evaluated at bid price : 20.45
Bid-YTW : 5.49 %
BAM.PF.G FixedReset Disc 50,416 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-03-18
Maturity Price : 19.86
Evaluated at bid price : 19.86
Bid-YTW : 5.63 %
NA.PR.G FixedReset Disc 36,167 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-03-18
Maturity Price : 21.69
Evaluated at bid price : 22.05
Bid-YTW : 5.18 %
There were 32 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: 19.43 – 23.99
Spot Rate : 4.5600
Average : 2.5756

YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2030-01-31
Maturity Price : 25.00
Evaluated at bid price : 19.43
Bid-YTW : 7.13 %

MFC.PR.G FixedReset Ins Non Quote: 21.10 – 25.00
Spot Rate : 3.9000
Average : 2.1261

YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2030-01-31
Maturity Price : 25.00
Evaluated at bid price : 21.10
Bid-YTW : 6.36 %

MFC.PR.N FixedReset Ins Non Quote: 18.54 – 22.15
Spot Rate : 3.6100
Average : 2.0494

YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2030-01-31
Maturity Price : 25.00
Evaluated at bid price : 18.54
Bid-YTW : 7.44 %

VNR.PR.A FixedReset Disc Quote: 21.25 – 22.69
Spot Rate : 1.4400
Average : 0.8536

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-03-18
Maturity Price : 21.25
Evaluated at bid price : 21.25
Bid-YTW : 5.35 %

W.PR.H Perpetual-Premium Quote: 25.21 – 26.21
Spot Rate : 1.0000
Average : 0.5564

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-03-18
Maturity Price : 24.89
Evaluated at bid price : 25.21
Bid-YTW : 5.54 %

TD.PF.D FixedReset Disc Quote: 21.60 – 22.60
Spot Rate : 1.0000
Average : 0.5985

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-03-18
Maturity Price : 21.31
Evaluated at bid price : 21.60
Bid-YTW : 5.07 %

FTS.PR.K : Reset Rate To Be Reset

Monday, March 18th, 2019

The lawyers have an old slogan – False in one thing, false in everything. My credo is ‘Sloppy in one thing, sloppy in everything’.

It will be recalled that Fortis could not be bothered to announce the FTS.PR.K reset rate and that when their figure did come to light it was discovered that there was a discrepancy between the GOC-5 rate they used and that of other companies resetting issues on the same day. The rather vital news regarding conversion – of great interest to those who value liquidity – was also considered a topic not fit for public discussion.

In the face of their continuing refusal to answer a basic question regarding the GOC-5 rate used to determine the reset rate, I finally sent the following eMail to them early on the afternoon of March 18:

Please advise when I may expect an answer to this question, as I do not wish to have to write to the Board of Directors.

Sincerely,

I have finally received an answer:

Good afternoon,

Thank you for your patience. It appears that our team used information as of 10:45 am rather than 10 am.

We plan to bring this issue to our Board on March 31, 2019 for correction. We are targeting to issue a press release with the corrected amounts in early April. Sorry for any inconvenience this may have caused.

All the best,

Sloppy in one thing, sloppy in everything.

FTS.PR.K is a FixedReset, 4.00%+205, that commenced trading 2013-7-13 after being announced 2013-7-9. It was incorrectly claimed to reset to 3.925% effective 2019-3-1, although the company would prefer you didn’t know that. I recommended against conversion. The reset rate is not yet known, over two weeks after it has become effective. The issue is tracked by HIMIPref™ but relegated to the Scraps – FixedResets (Discount) subindex on credit concerns.

CWB.PR.B To Be Extended

Monday, March 18th, 2019

Canadian Western Bank has announced (on March 11):

that it does not intend to exercise its right to redeem all or any of its currently outstanding 5,000,000 non-cumulative 5-year rate reset First Preferred Shares Series 5 (the “Series 5 Preferred Shares”) (TSX: CWB.PR.B) on April 30, 2019. As a result, subject to certain conditions described in the prospectus supplement dated February 3, 2014 relating to the issuance of the Series 5 Preferred Shares (the “Prospectus”), the holders of the Series 5 Preferred Shares have the right, at their option, to convert any or all of their Series 5 Preferred Shares into an equal number of CWB’s non-cumulative floating rate First Preferred Shares Series 6 (the “Series 6 Preferred Shares”), subject to certain conditions, on April 30, 2019. In accordance with the share conditions, a formal notice of the right to convert Series 5 Preferred Shares into Series 6 Preferred Shares will be sent to the registered holders of the Series 5 Preferred Shares. Holders of Series 5 Preferred Shares are not required to elect to convert all or any part of their Series 5 Preferred Shares into Series 6 Preferred Shares. Holders who do not exercise their right to convert their Series 5 Preferred Shares into Series 6 Preferred Shares on April 30, 2019 will retain their Series 5 Preferred Shares, unless automatically converted in accordance with the conditions below.

The foregoing conversion right is subject to the conditions that: (i) if, after April 15, 2019, CWB determines that there would be less than 500,000 Series 6 Preferred Shares outstanding on April 30, 2019, then no Series 5 Preferred Shares will be converted into Series 6 Preferred Shares, and (ii) alternatively, if after, April 15, 2019, CWB determines that there would be less than 500,000 Series 5 Preferred Shares outstanding on April 30, 2019, then all remaining Series 5 Preferred Shares will automatically be converted into an equal number of Series 6 Preferred Shares on April 30, 2019. In either case, CWB will give written notice to that effect to any registered holders of Series 5 Preferred Shares affected by the preceding minimums on or before April 23, 2019.

The dividend rate applicable to the Series 5 Preferred Shares for the 5-year period commencing on May 1, 2019, and ending on and including April 30, 2024, and the dividend rate applicable to the Series 6 Preferred Shares for the 3-month period commencing on May 1, 2019, and ending on and including July 31, 2019, will be determined and announced by way of a news release on April 1, 2019. CWB will also give written notice of these dividend rates to the registered holders of Series 5 Preferred Shares.

Beneficial owners of Series 5 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. (EDT) on April 15, 2019. Conversion inquiries should be directed to CWB’s Registrar and Transfer Agent, Computershare, at 1-800-564-6253.

Subject to certain conditions described in the Prospectus, CWB may redeem the Series 5 Preferred Shares, in whole or in part, on April 30, 2024 and on April 30 every five years thereafter and may redeem the Series 6 Preferred Shares, in whole or in part, after April 30, 2019.

The Toronto Stock Exchange (“TSX”) has conditionally approved the listing of the Series 6 Preferred Shares effective upon conversion. Listing of the Series 6 Preferred Shares is subject to CWB fulfilling all the listing requirements of the TSX and, upon approval, the Series 6 Preferred Shares will be listed on the TSX under the trading symbol “CWB.PR.E”.

CWB.PR.B is a FixedReset, 4.40%+276, that commenced trading 2014-2-10 after being announced 2014-1-31. It is tracked by HIMIPref™ but relegated to the Scraps – FixedReset (Discount) index on credit concerns.

I will have more to say about the desirability of conversion when the reset rate is announced on April 1.

March 15, 2019

Friday, March 15th, 2019
HIMIPref™ Preferred Indices
These values reflect the December 2008 revision of the HIMIPref™ Indices

Values are provisional and are finalized monthly
Index Mean
Current
Yield
(at bid)
Median
YTW
Median
Average
Trading
Value
Median
Mod Dur
(YTW)
Issues Day’s Perf. Index Value
Ratchet 0.00 % 0.00 % 0 0.00 0 -1.0196 % 2,137.3
FixedFloater 0.00 % 0.00 % 0 0.00 0 -1.0196 % 3,921.8
Floater 5.48 % 5.63 % 45,998 14.50 3 -1.0196 % 2,260.2
OpRet 0.00 % 0.00 % 0 0.00 0 -0.0397 % 3,275.1
SplitShare 4.88 % 4.69 % 69,271 3.91 8 -0.0397 % 3,911.2
Interest-Bearing 0.00 % 0.00 % 0 0.00 0 -0.0397 % 3,051.7
Perpetual-Premium 5.64 % 0.04 % 58,323 0.08 9 0.1536 % 2,919.7
Perpetual-Discount 5.46 % 5.61 % 73,761 14.41 26 0.3372 % 3,051.9
FixedReset Disc 5.18 % 5.38 % 203,827 14.82 64 -0.1205 % 2,197.5
Deemed-Retractible 5.31 % 5.99 % 99,924 8.20 27 0.0177 % 3,022.0
FloatingReset 4.18 % 4.19 % 45,006 2.75 5 0.0971 % 2,408.2
FixedReset Prem 5.08 % 3.89 % 329,807 2.26 19 -0.0266 % 2,563.6
FixedReset Bank Non 1.98 % 4.12 % 159,239 2.77 3 -0.1946 % 2,629.4
FixedReset Ins Non 5.01 % 6.72 % 119,064 8.35 22 -0.3055 % 2,248.1
Performance Highlights
Issue Index Change Notes
GWO.PR.I Deemed-Retractible -3.28 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2030-01-31
Maturity Price : 25.00
Evaluated at bid price : 20.07
Bid-YTW : 7.15 %
GWO.PR.P Deemed-Retractible -2.15 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2030-01-31
Maturity Price : 25.00
Evaluated at bid price : 24.15
Bid-YTW : 5.83 %
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 : 20.80
Bid-YTW : 6.81 %
SLF.PR.I FixedReset Ins Non -2.03 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2030-01-31
Maturity Price : 25.00
Evaluated at bid price : 20.28
Bid-YTW : 6.70 %
PWF.PR.A Floater -1.68 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-03-15
Maturity Price : 13.45
Evaluated at bid price : 13.45
Bid-YTW : 5.19 %
MFC.PR.K FixedReset Ins Non -1.66 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2030-01-31
Maturity Price : 25.00
Evaluated at bid price : 19.01
Bid-YTW : 7.43 %
IFC.PR.F Deemed-Retractible -1.55 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2030-01-31
Maturity Price : 25.00
Evaluated at bid price : 23.43
Bid-YTW : 6.11 %
TD.PF.C FixedReset Disc -1.50 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-03-15
Maturity Price : 19.01
Evaluated at bid price : 19.01
Bid-YTW : 5.22 %
BAM.PR.B Floater -1.46 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-03-15
Maturity Price : 12.11
Evaluated at bid price : 12.11
Bid-YTW : 5.72 %
BAM.PR.R FixedReset Disc -1.46 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-03-15
Maturity Price : 16.21
Evaluated at bid price : 16.21
Bid-YTW : 5.95 %
BAM.PF.E FixedReset Disc -1.37 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-03-15
Maturity Price : 18.05
Evaluated at bid price : 18.05
Bid-YTW : 5.88 %
PWF.PR.T FixedReset Disc -1.37 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-03-15
Maturity Price : 19.50
Evaluated at bid price : 19.50
Bid-YTW : 5.25 %
BAM.PR.N Perpetual-Discount -1.26 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-03-15
Maturity Price : 20.36
Evaluated at bid price : 20.36
Bid-YTW : 5.86 %
NA.PR.G FixedReset Disc -1.19 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-03-15
Maturity Price : 21.36
Evaluated at bid price : 21.66
Bid-YTW : 5.33 %
TD.PF.K FixedReset Disc -1.14 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-03-15
Maturity Price : 21.43
Evaluated at bid price : 21.70
Bid-YTW : 5.11 %
CU.PR.D Perpetual-Discount 1.03 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-03-15
Maturity Price : 22.24
Evaluated at bid price : 22.60
Bid-YTW : 5.45 %
TD.PF.I FixedReset Disc 1.08 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-03-15
Maturity Price : 22.55
Evaluated at bid price : 23.31
Bid-YTW : 5.00 %
EMA.PR.H FixedReset Disc 1.09 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-03-15
Maturity Price : 22.45
Evaluated at bid price : 23.25
Bid-YTW : 5.28 %
BAM.PR.M Perpetual-Discount 1.17 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-03-15
Maturity Price : 20.84
Evaluated at bid price : 20.84
Bid-YTW : 5.72 %
PWF.PR.S Perpetual-Discount 1.17 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-03-15
Maturity Price : 21.57
Evaluated at bid price : 21.57
Bid-YTW : 5.65 %
TRP.PR.C FixedReset Disc 1.21 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-03-15
Maturity Price : 13.43
Evaluated at bid price : 13.43
Bid-YTW : 5.86 %
IFC.PR.A FixedReset Ins Non 1.28 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2030-01-31
Maturity Price : 25.00
Evaluated at bid price : 16.60
Bid-YTW : 8.11 %
IFC.PR.E Deemed-Retractible 1.30 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2030-01-31
Maturity Price : 25.00
Evaluated at bid price : 23.45
Bid-YTW : 5.99 %
GWO.PR.T Deemed-Retractible 1.52 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2030-01-31
Maturity Price : 25.00
Evaluated at bid price : 23.40
Bid-YTW : 5.96 %
CU.PR.E Perpetual-Discount 1.98 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-03-15
Maturity Price : 22.27
Evaluated at bid price : 22.64
Bid-YTW : 5.44 %
BAM.PF.J FixedReset Disc 2.15 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-03-15
Maturity Price : 22.78
Evaluated at bid price : 23.80
Bid-YTW : 4.96 %
Volume Highlights
Issue Index Shares
Traded
Notes
BMO.PR.E FixedReset Disc 114,935 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-03-15
Maturity Price : 22.12
Evaluated at bid price : 22.71
Bid-YTW : 4.94 %
BAM.PF.F FixedReset Disc 83,387 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-03-15
Maturity Price : 20.36
Evaluated at bid price : 20.36
Bid-YTW : 5.58 %
MFC.PR.R FixedReset Ins Non 80,543 YTW SCENARIO
Maturity Type : Call
Maturity Date : 2022-03-19
Maturity Price : 25.00
Evaluated at bid price : 25.08
Bid-YTW : 4.74 %
RY.PR.Z FixedReset Disc 78,287 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-03-15
Maturity Price : 19.15
Evaluated at bid price : 19.15
Bid-YTW : 5.12 %
RY.PR.Q FixedReset Prem 77,311 YTW SCENARIO
Maturity Type : Call
Maturity Date : 2021-05-24
Maturity Price : 25.00
Evaluated at bid price : 26.15
Bid-YTW : 3.46 %
BAM.PR.T FixedReset Disc 72,339 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-03-15
Maturity Price : 16.40
Evaluated at bid price : 16.40
Bid-YTW : 5.95 %
There were 48 other index-included issues trading in excess of 10,000 shares.
Wide Spread Highlights
Issue Index Quote Data and Yield Notes
GWO.PR.H Deemed-Retractible Quote: 21.97 – 23.00
Spot Rate : 1.0300
Average : 0.6032

YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2030-01-31
Maturity Price : 25.00
Evaluated at bid price : 21.97
Bid-YTW : 6.42 %

MFC.PR.Q FixedReset Ins Non Quote: 20.70 – 21.50
Spot Rate : 0.8000
Average : 0.4614

YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2030-01-31
Maturity Price : 25.00
Evaluated at bid price : 20.70
Bid-YTW : 6.72 %

GWO.PR.I Deemed-Retractible Quote: 20.07 – 20.75
Spot Rate : 0.6800
Average : 0.4101

YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2030-01-31
Maturity Price : 25.00
Evaluated at bid price : 20.07
Bid-YTW : 7.15 %

GWO.PR.P Deemed-Retractible Quote: 24.15 – 24.70
Spot Rate : 0.5500
Average : 0.3521

YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2030-01-31
Maturity Price : 25.00
Evaluated at bid price : 24.15
Bid-YTW : 5.83 %

IAF.PR.I FixedReset Ins Non Quote: 20.80 – 21.45
Spot Rate : 0.6500
Average : 0.4604

YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2030-01-31
Maturity Price : 25.00
Evaluated at bid price : 20.80
Bid-YTW : 6.81 %

EML.PR.A FixedReset Ins Non Quote: 25.50 – 25.92
Spot Rate : 0.4200
Average : 0.2451

YTW SCENARIO
Maturity Type : Call
Maturity Date : 2021-04-17
Maturity Price : 25.00
Evaluated at bid price : 25.50
Bid-YTW : 4.50 %

TRP.PR.D To Be Extended

Friday, March 15th, 2019

TransCanada Corporation has announced:

that it does not intend to exercise its right to redeem its Cumulative Redeemable First Preferred Shares, Series 7 (Series 7 Shares) on April 30, 2019. As a result, subject to certain conditions, the holders of Series 7 Shares have the right to choose one of the following options with regard to their shares:
1.to retain any or all of their Series 7 Shares and continue to receive a fixed rate quarterly dividend; or

2.to convert, on a one-for-one basis, any or all of their Series 7 Shares into Cumulative Redeemable First Preferred Shares, Series 8 (Series 8 Shares) of TransCanada and receive a floating rate quarterly dividend.

The dividend rate applicable to the Series 7 Shares for the five-year period commencing on April 30, 2019 to, but excluding, April 30, 2024 will equal the Government of Canada five-year bond yield on April 1, 2019 plus 2.38 per cent. The dividend rate applicable to the Series 8 Shares for the three-month period commencing on April 30, 2019 to, but excluding, July 30, 2019 will equal the Government of Canada 90-day treasury bill rate on April 1, 2019 plus 2.38 per cent. Both rates will be calculated according to the terms of the prospectus supplement dated November 14, 2011, and announced by way of a news release on April 1, 2019.

Beneficial owners of Series 7 Shares who wish to exercise their right of conversion should communicate as soon as possible with their broker or other nominee and ensure that they follow their instructions in order to meet the deadline to exercise such right, which is 5 p.m. (EDT) on April 15, 2019. Any notices received after this deadline will not be valid. As such, it is recommended that this be done well in advance of the deadline in order to provide the broker or other intermediary with time to complete the necessary steps.

The foregoing conversions are subject to the conditions that: (i) if TransCanada determines that there would be less than one million Series 7 Shares outstanding after April 30, 2019, then all remaining Series 7 Shares will automatically be converted into Series 8 Shares on a one-for-one basis on April 30, 2019, and (ii) alternatively, if TransCanada determines that there would be less than one million Series 8 Shares outstanding after April 30, 2019, no Series 7 Shares will be converted into Series 8 Shares. In either case, TransCanada will issue a news release to that effect no later than April 23, 2019.

Beneficial owners of Series 7 Shares who do not provide notice or communicate with their broker or other nominee by the deadline will retain their Series 7 Shares and receive the new annual fixed dividend rate applicable to the Series 7 Shares, subject to the conditions stated above.

Holders of the Series 7 Shares and the Series 8 Shares will have the opportunity to convert their shares again on April 30, 2024, and every five years thereafter as long as the shares remain outstanding.

For more information on the terms of, and risks associated with an investment in the Series 7 Shares and the Series 8 Shares, please see the Corporation’s prospectus supplement dated November 14, 2011 which is available on sedar.com or on the Corporation’s website.

TRP.PR.D is a FixedReset, 4.00%+238, that commenced trading 2013-3-4 after being announced February 25 at $300-million and quickly monster-sized to $600-million.

I will have more to say about the conversion when the rate is announced on April 1.

PPL.PR.Q : No Conversion to FloatingReset

Friday, March 15th, 2019

Pembina Pipeline Corporation has announced:

that none of Pembina’s Cumulative Redeemable Rate Reset Class A Preferred Shares, Series 17 (“Series 17 Shares”) (TSX: PPL.PR.Q) will be converted into Cumulative Redeemable Floating Rate Class A Preferred Shares, Series 18 of Pembina (“Series 18 Shares”) on March 31, 2019.

After taking into account all conversion notices received from holders of its outstanding Series 17 Shares by the March 15, 2019 deadline for the conversion of the Series 17 Shares into Series 18 Shares, less than the 1,000,000 Series 17 Shares required to give effect to conversions into Series 18 Shares were tendered for conversion.

It will be recalled that PPL.PR.Q will reset at 4.821% effective March 31, 2019.

PPL.PR.Q was originally issued as VSN.PR.C, following a plan of arrangement between the two companies. VSN.PR.C was a FixedReset, 5.00%+301 that commenced trading 2013-10-21 after being announced October 9. I recommended against conversion. PPL.PR.Q is tracked by HIMIPref™ but is relegated to the Scraps-FixedReset (Discount) subindex on credit concerns.