Archive for September, 2019

ALA.PR.H Debuts With No Trading

Monday, September 30th, 2019

Assiduous Readers will remember that there was an 14% Conversion from the FixedReset ALA.PR.G to the FloatingReset ALA.PR.H. I had advised readers not to convert, but to continue holding the ALA.PR.G, which have reset to 3.415%.

ALA.PR.H will pay dividends at a rate of 3-Month Canada Treasury Bills plus 306bp, reset quarterly.

The issue was listed today, but didn’t trade – this is largely due to the banks’ hegemony over the Canadian financial system (approved by both securities regulators and the Competition-haha Board) and their total lack of interest in providing competent service to stinking investor scum such as yourselves. These exchanges do not hit client accounts until the day after the company gives effect to them – however, investors can complain to the exchange-owned CDS and the (mostly) bank-owned brokerages about this lackadaisical attitude toward client assets and see how far it gets them.

The most logical way to analyze the relative value of ALA.PR.G vs ALA.PR.H 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., ALA.PR.G and the FloatingReset ALA.PR.H). 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_190903
Click for Big

The break-even T-Bill yield for the ALA.PR.G / ALA.PR.H pair is now -0.80% (given bid prices of 15.86 and 14.00, respectively; but note that there is no offer for ALA.PR.H and therefore the bid may be regarded with some suspicion even without considering how this relates to other FloatingResets, or other pairs).

ALA.PR.G : 14% Conversion to FloatingReset

Monday, September 30th, 2019

AltaGas Ltd. has announced:

that 1,114,177 of its 8,000,000 Cumulative Redeemable Five-Year Fixed Rate Reset Preferred Shares, Series G (the “Series G Preferred Shares”) (TSX:ALA.PR.G) were tendered for conversion into Cumulative Floating Rate Preferred Shares, Series H (the “Series H Preferred Shares”). As a result of the conversion AltaGas has 6,885,823 Series G Preferred Shares and 1,114,177 Series H Preferred Shares issued and outstanding. The Series G Preferred Shares will continue to be listed on the Toronto Stock Exchange (TSX) under the symbol ALA.PR.G. The Series H Preferred Shares will begin trading on the TSX today under the symbol ALA.PR.H.

The Series G Preferred Shares will continue to pay on a quarterly basis, for the five-year period beginning on September 30, 2019, as and when declared by the Board of Directors of AltaGas, a fixed dividend based on an annual fixed dividend rate of 4.242 percent.

The Series H Preferred Shares will pay a floating quarterly dividend for the five-year period beginning on September 30, 2019, as and when declared by the Board of Directors of AltaGas. The floating quarterly dividend rate for the Series H Preferred Shares for the first quarterly floating rate period (being the period from September 30, 2019 to but excluding, December 31, 2019) is 4.698 percent and will be reset every quarter.

For more information on the terms of, and risks associated with an investment in, the Series G Preferred Shares and the Series H Preferred Shares, please see the prospectus supplement dated June 25, 2014 which is available on SEDAR at www.sedar.com.

ALA.PR.G is a FixedReset, 4.75%+306, that commenced trading 2014-7-3 after being announced 2014-6-23. Notice of extension was announced 2019-8-29. The issue will reset at 4.242% effective September 30, 2019. I recommended against conversion. News that some were converted was reported on 2019-9-24. The issue is tracked by HIMIPref™ but relegated to the Scraps subindex on credit concerns. In December, 2018, the issue was downgraded to Pfd-3(low) by DBRS and to P-3 by S&P.

September 30, 2019

Monday, September 30th, 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 0.1614 % 1,893.4
FixedFloater 0.00 % 0.00 % 0 0.00 0 0.1614 % 3,474.2
Floater 6.36 % 6.54 % 47,664 13.13 4 0.1614 % 2,002.2
OpRet 0.00 % 0.00 % 0 0.00 0 0.0846 % 3,385.1
SplitShare 4.65 % 4.61 % 53,950 3.99 7 0.0846 % 4,042.5
Interest-Bearing 0.00 % 0.00 % 0 0.00 0 0.0846 % 3,154.1
Perpetual-Premium 5.58 % -21.67 % 60,173 0.09 6 0.2010 % 3,006.1
Perpetual-Discount 5.40 % 5.46 % 68,768 14.53 28 0.1987 % 3,182.8
FixedReset Disc 5.51 % 5.47 % 166,113 14.42 73 0.2546 % 2,084.0
Deemed-Retractible 5.22 % 5.78 % 68,625 7.89 27 -0.0079 % 3,157.8
FloatingReset 4.60 % 6.76 % 56,535 7.95 3 0.0074 % 2,345.4
FixedReset Prem 5.23 % 3.44 % 127,624 1.57 14 0.2330 % 2,604.4
FixedReset Bank Non 1.97 % 3.99 % 85,985 2.27 3 0.0451 % 2,681.1
FixedReset Ins Non 5.48 % 8.02 % 100,958 7.90 21 0.2624 % 2,106.8
Performance Highlights
Issue Index Change Notes
BIP.PR.A FixedReset Disc -1.87 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-09-30
Maturity Price : 17.89
Evaluated at bid price : 17.89
Bid-YTW : 6.98 %
CM.PR.O FixedReset Disc -1.32 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-09-30
Maturity Price : 16.42
Evaluated at bid price : 16.42
Bid-YTW : 5.68 %
CM.PR.P FixedReset Disc -1.24 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-09-30
Maturity Price : 15.91
Evaluated at bid price : 15.91
Bid-YTW : 5.75 %
NA.PR.W FixedReset Disc -1.12 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-09-30
Maturity Price : 15.92
Evaluated at bid price : 15.92
Bid-YTW : 5.85 %
CM.PR.S FixedReset Disc -1.04 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-09-30
Maturity Price : 18.00
Evaluated at bid price : 18.00
Bid-YTW : 5.55 %
CM.PR.Q FixedReset Disc 1.01 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-09-30
Maturity Price : 18.09
Evaluated at bid price : 18.09
Bid-YTW : 5.77 %
RY.PR.M FixedReset Disc 1.03 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-09-30
Maturity Price : 18.70
Evaluated at bid price : 18.70
Bid-YTW : 5.42 %
BAM.PR.Z FixedReset Disc 1.03 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-09-30
Maturity Price : 18.60
Evaluated at bid price : 18.60
Bid-YTW : 6.01 %
TD.PF.A FixedReset Disc 1.03 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-09-30
Maturity Price : 17.58
Evaluated at bid price : 17.58
Bid-YTW : 5.28 %
SLF.PR.J FloatingReset 1.09 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2030-01-31
Maturity Price : 25.00
Evaluated at bid price : 13.04
Bid-YTW : 10.94 %
MFC.PR.M FixedReset Ins Non 1.10 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2030-01-31
Maturity Price : 25.00
Evaluated at bid price : 16.56
Bid-YTW : 8.89 %
EMA.PR.C FixedReset Disc 1.12 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-09-30
Maturity Price : 18.10
Evaluated at bid price : 18.10
Bid-YTW : 5.92 %
TRP.PR.B FixedReset Disc 1.21 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-09-30
Maturity Price : 10.90
Evaluated at bid price : 10.90
Bid-YTW : 6.17 %
CU.PR.F Perpetual-Discount 1.22 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-09-30
Maturity Price : 21.60
Evaluated at bid price : 21.60
Bid-YTW : 5.27 %
TD.PF.I FixedReset Disc 1.43 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-09-30
Maturity Price : 21.25
Evaluated at bid price : 21.25
Bid-YTW : 5.31 %
BAM.PF.A FixedReset Disc 1.44 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-09-30
Maturity Price : 19.07
Evaluated at bid price : 19.07
Bid-YTW : 5.93 %
IFC.PR.G FixedReset Ins Non 1.74 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2030-01-31
Maturity Price : 25.00
Evaluated at bid price : 18.75
Bid-YTW : 8.02 %
GWO.PR.N FixedReset Ins Non 1.77 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2030-01-31
Maturity Price : 25.00
Evaluated at bid price : 14.36
Bid-YTW : 9.08 %
BMO.PR.Y FixedReset Disc 1.88 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-09-30
Maturity Price : 19.00
Evaluated at bid price : 19.00
Bid-YTW : 5.47 %
HSE.PR.A FixedReset Disc 1.94 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-09-30
Maturity Price : 11.04
Evaluated at bid price : 11.04
Bid-YTW : 6.98 %
TD.PF.D FixedReset Disc 1.95 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-09-30
Maturity Price : 19.82
Evaluated at bid price : 19.82
Bid-YTW : 5.35 %
BAM.PF.F FixedReset Disc 2.01 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-09-30
Maturity Price : 17.80
Evaluated at bid price : 17.80
Bid-YTW : 6.04 %
RY.PR.J FixedReset Disc 2.01 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-09-30
Maturity Price : 19.25
Evaluated at bid price : 19.25
Bid-YTW : 5.44 %
Volume Highlights
Issue Index Shares
Traded
Notes
EIT.PR.B SplitShare 80,200 YTW SCENARIO
Maturity Type : Soft Maturity
Maturity Date : 2025-03-14
Maturity Price : 25.00
Evaluated at bid price : 25.31
Bid-YTW : 4.61 %
CM.PR.Y FixedReset Disc 42,800 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-09-30
Maturity Price : 22.89
Evaluated at bid price : 24.25
Bid-YTW : 5.15 %
HSE.PR.A FixedReset Disc 39,083 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-09-30
Maturity Price : 11.04
Evaluated at bid price : 11.04
Bid-YTW : 6.98 %
PWF.PR.P FixedReset Disc 30,400 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-09-30
Maturity Price : 12.72
Evaluated at bid price : 12.72
Bid-YTW : 5.91 %
BMO.PR.D FixedReset Disc 30,280 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-09-30
Maturity Price : 21.37
Evaluated at bid price : 21.69
Bid-YTW : 5.29 %
CM.PR.R FixedReset Disc 30,050 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-09-30
Maturity Price : 21.29
Evaluated at bid price : 21.29
Bid-YTW : 5.55 %
There were 29 other index-included issues trading in excess of 10,000 shares.
Wide Spread Highlights
Issue Index Quote Data and Yield Notes
BAM.PF.G FixedReset Disc Quote: 17.38 – 17.88
Spot Rate : 0.5000
Average : 0.3277

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-09-30
Maturity Price : 17.38
Evaluated at bid price : 17.38
Bid-YTW : 6.17 %

CGI.PR.D SplitShare Quote: 25.10 – 25.50
Spot Rate : 0.4000
Average : 0.2292

YTW SCENARIO
Maturity Type : Soft Maturity
Maturity Date : 2023-06-14
Maturity Price : 25.00
Evaluated at bid price : 25.10
Bid-YTW : 3.70 %

IAF.PR.B Deemed-Retractible Quote: 21.87 – 22.46
Spot Rate : 0.5900
Average : 0.4302

YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2030-01-31
Maturity Price : 25.00
Evaluated at bid price : 21.87
Bid-YTW : 6.30 %

CM.PR.T FixedReset Disc Quote: 23.64 – 23.99
Spot Rate : 0.3500
Average : 0.2334

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-09-30
Maturity Price : 22.64
Evaluated at bid price : 23.64
Bid-YTW : 5.07 %

BAM.PF.D Perpetual-Discount Quote: 21.15 – 21.53
Spot Rate : 0.3800
Average : 0.2636

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-09-30
Maturity Price : 21.15
Evaluated at bid price : 21.15
Bid-YTW : 5.83 %

EMA.PR.C FixedReset Disc Quote: 18.10 – 18.49
Spot Rate : 0.3900
Average : 0.2785

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-09-30
Maturity Price : 18.10
Evaluated at bid price : 18.10
Bid-YTW : 5.92 %

TRP.PR.E To Reset At 3.762%

Monday, September 30th, 2019

TC Energy Corporation has announced:

that it has notified the registered shareholder of the applicable dividend rates for Cumulative Redeemable First Preferred Shares, Series 9 (Series 9 Shares) and the Cumulative Redeemable First Preferred Shares, Series 10 (Series 10 Shares).

As previously announced in our news release dated September 18, 2019, holders of the Series 9 Shares have the right on October 30, 2019 to convert, on a one-for-one basis, any or all of their Series 9 Shares into Series 10 Shares and receive a floating rate quarterly dividend, or retain any or all of their Series 9 Shares and receive a new fixed rate quarterly dividend.

Should a holder of Series 9 Shares choose to retain their shares, such shareholders will receive the new annual fixed dividend rate applicable to the Series 9 Shares of 3.762% for the five-year period commencing October 30, 2019 to, but excluding, October 30, 2024.

Should a holder of Series 9 Shares choose to convert their shares to Series 10 Shares, holders of Series 10 Shares will receive the floating quarterly dividend rate applicable to the Series 10 Shares of 3.974% for the first quarterly floating rate period commencing effective October 30, 2019 to, but excluding, January 30, 2020. The floating quarterly dividend rate will be reset every quarter.

Beneficial owners of Series 9 Shares who do not provide notice or communicate with their broker or other nominee by 5 p.m. (EDT) on October 15, 2019 will retain their Series 9 Shares and receive the new annual fixed dividend rate applicable to the Series 9 Shares stated above.

The foregoing conversions are subject to the conditions that: (i) if TC Energy determines that there would be less than one million Series 9 Shares outstanding after October 30, 2019, then all remaining Series 9 Shares will automatically be converted into Series 10 Shares on a one-for-one basis on October 30, 2019 and (ii) alternatively, if TC Energy determines that there would be less than one million Series 10 Shares outstanding after October 30, 2019, no Series 9 Shares will be converted into Series 10 Shares. In either case, TC Energy will issue a news release to that effect no later than October 23, 2019.

For more information on the terms of, and risks associated with an investment in the Series 9 Shares and the Series 10 Shares, please see the Corporation’s prospectus supplement dated January 13, 2014 which is available on sedar.com or on our website.

TRP.PR.E is a FixedReset, 4.25%+235, that commenced trading 2014-1-20 after being announced 2014-1-13. Notice of extension was provided on 2019-9-18. It is tracked by HIMIPref™ and assigned to the FixedReset-Discount subindex.

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

We can show the break-even rates for each FixedReset / FloatingReset Strong Pair graphically by plotting the implied average 3-month bill rate against the next Exchange Date (which is the date to which the average will be calculated). Inspection of the graph and the overall average break-even rates for extant pairs will provide a guide for estimating the break-even rate for the pair now under consideration assuming, of course, that enough conversions occur so that the pair is in fact created.

pairs_fr_190930
Click for Big

The market has lost enthusiasm for floating rate product; the implied rates until the next interconversion are generally well below the current 3-month bill rate as the averages for investment-grade and junk issues are at +0.66% and +0.75%, 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 TRP.PR.E FixedReset, we may construct the following table showing consistent prices for its soon-may-be-issued FloatingReset counterpart given a variety of Implied Breakeven yields consistent with issues currently trading:

Estimate of FloatingReset (received in exchange for TRP.PR.E) Trading Price In Current Conditions
  Assumed FloatingReset
Price if Implied Bill
is equal to
FixedReset Bid Price Spread 1.50% 1.00% 0.50%
TRP.PR.E 15.69 235bp 15.78 15.29 14.80

Based on current market conditions, I suggest that the FloatingResets that will result from conversion are likely to trade below the price of their FixedReset counterparts, TRP.PR.E. Therefore, it seems likely that I will recommend that holders of TRP.PR.E continue to hold the issue and not to convert, but I will wait until it’s closer to the October 15 notification deadline before making a final pronouncement. I will note that once the FloatingResets commence trading (if, in fact, they do) it may be a good trade to swap one issue for the other in the market once both elements of each pair are trading and you can – hopefully – do it with a reasonably good take-out in price, rather than doing it through the company on a 1:1 basis. But that, of course, will depend on the prices at that time and your forecast for the path of policy rates over the next five years. There are no guarantees – my recommendation is based on the assumption that current market conditions with respect to the pairs will continue until the FloatingResets commence trading and that the relative pricing of the two new pairs will reflect these conditions.

September 27, 2019

Monday, September 30th, 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 0.1154 % 1,890.3
FixedFloater 0.00 % 0.00 % 0 0.00 0 0.1154 % 3,468.6
Floater 6.37 % 6.54 % 48,180 13.14 4 0.1154 % 1,999.0
OpRet 0.00 % 0.00 % 0 0.00 0 0.1298 % 3,382.2
SplitShare 4.66 % 4.53 % 53,348 4.00 7 0.1298 % 4,039.1
Interest-Bearing 0.00 % 0.00 % 0 0.00 0 0.1298 % 3,151.4
Perpetual-Premium 5.59 % -18.81 % 60,077 0.09 6 0.0195 % 3,000.1
Perpetual-Discount 5.41 % 5.45 % 67,688 14.51 28 0.0972 % 3,176.5
FixedReset Disc 5.53 % 5.46 % 166,675 14.49 73 0.5549 % 2,078.7
Deemed-Retractible 5.22 % 5.80 % 67,141 7.89 27 0.1547 % 3,158.1
FloatingReset 4.55 % 6.71 % 56,469 7.96 3 0.0987 % 2,345.2
FixedReset Prem 5.22 % 3.70 % 128,344 1.58 14 0.3701 % 2,598.4
FixedReset Bank Non 1.96 % 3.98 % 89,513 2.27 3 0.2629 % 2,679.9
FixedReset Ins Non 5.50 % 8.08 % 102,109 7.92 21 0.2974 % 2,101.3
Performance Highlights
Issue Index Change Notes
CM.PR.Q FixedReset Disc -1.05 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-09-27
Maturity Price : 17.91
Evaluated at bid price : 17.91
Bid-YTW : 5.80 %
BAM.PF.B FixedReset Disc 1.05 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-09-27
Maturity Price : 17.33
Evaluated at bid price : 17.33
Bid-YTW : 6.01 %
ELF.PR.H Perpetual-Discount 1.05 % YTW SCENARIO
Maturity Type : Call
Maturity Date : 2021-04-17
Maturity Price : 25.00
Evaluated at bid price : 24.95
Bid-YTW : 5.46 %
TRP.PR.D FixedReset Disc 1.08 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-09-27
Maturity Price : 16.01
Evaluated at bid price : 16.01
Bid-YTW : 5.95 %
TD.PF.A FixedReset Disc 1.10 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-09-27
Maturity Price : 17.40
Evaluated at bid price : 17.40
Bid-YTW : 5.31 %
TD.PF.E FixedReset Disc 1.12 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-09-27
Maturity Price : 19.90
Evaluated at bid price : 19.90
Bid-YTW : 5.40 %
MFC.PR.Q FixedReset Ins Non 1.16 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2030-01-31
Maturity Price : 25.00
Evaluated at bid price : 18.37
Bid-YTW : 8.18 %
MFC.PR.J FixedReset Ins Non 1.23 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2030-01-31
Maturity Price : 25.00
Evaluated at bid price : 18.90
Bid-YTW : 7.84 %
NA.PR.W FixedReset Disc 1.26 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-09-27
Maturity Price : 16.10
Evaluated at bid price : 16.10
Bid-YTW : 5.75 %
BAM.PF.I FixedReset Disc 1.27 % YTW SCENARIO
Maturity Type : Call
Maturity Date : 2022-03-31
Maturity Price : 25.00
Evaluated at bid price : 25.50
Bid-YTW : 3.97 %
NA.PR.C FixedReset Disc 1.29 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-09-27
Maturity Price : 21.25
Evaluated at bid price : 21.25
Bid-YTW : 5.67 %
HSE.PR.G FixedReset Disc 1.31 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-09-27
Maturity Price : 17.73
Evaluated at bid price : 17.73
Bid-YTW : 6.96 %
NA.PR.G FixedReset Disc 1.36 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-09-27
Maturity Price : 20.09
Evaluated at bid price : 20.09
Bid-YTW : 5.50 %
RY.PR.M FixedReset Disc 1.37 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-09-27
Maturity Price : 18.51
Evaluated at bid price : 18.51
Bid-YTW : 5.45 %
PWF.PR.P FixedReset Disc 1.43 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-09-27
Maturity Price : 12.79
Evaluated at bid price : 12.79
Bid-YTW : 5.83 %
MFC.PR.G FixedReset Ins Non 1.43 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2030-01-31
Maturity Price : 25.00
Evaluated at bid price : 18.47
Bid-YTW : 8.00 %
TRP.PR.E FixedReset Disc 1.44 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-09-27
Maturity Price : 15.61
Evaluated at bid price : 15.61
Bid-YTW : 6.00 %
TD.PF.K FixedReset Disc 1.48 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-09-27
Maturity Price : 19.89
Evaluated at bid price : 19.89
Bid-YTW : 5.32 %
W.PR.K FixedReset Prem 1.53 % YTW SCENARIO
Maturity Type : Call
Maturity Date : 2021-01-15
Maturity Price : 25.00
Evaluated at bid price : 25.86
Bid-YTW : 3.38 %
BMO.PR.C FixedReset Disc 1.59 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-09-27
Maturity Price : 22.08
Evaluated at bid price : 22.40
Bid-YTW : 5.27 %
BAM.PF.E FixedReset Disc 1.60 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-09-27
Maturity Price : 15.90
Evaluated at bid price : 15.90
Bid-YTW : 6.27 %
BAM.PF.G FixedReset Disc 1.69 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-09-27
Maturity Price : 17.44
Evaluated at bid price : 17.44
Bid-YTW : 6.12 %
BIP.PR.A FixedReset Disc 2.19 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-09-27
Maturity Price : 18.23
Evaluated at bid price : 18.23
Bid-YTW : 6.82 %
HSE.PR.A FixedReset Disc 2.75 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-09-27
Maturity Price : 10.83
Evaluated at bid price : 10.83
Bid-YTW : 7.07 %
BNS.PR.I FixedReset Disc 2.93 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-09-27
Maturity Price : 20.72
Evaluated at bid price : 20.72
Bid-YTW : 5.00 %
Volume Highlights
Issue Index Shares
Traded
Notes
PWF.PR.P FixedReset Disc 197,200 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-09-27
Maturity Price : 12.79
Evaluated at bid price : 12.79
Bid-YTW : 5.83 %
TD.PF.J FixedReset Disc 152,910 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-09-27
Maturity Price : 20.25
Evaluated at bid price : 20.25
Bid-YTW : 5.30 %
CM.PR.T FixedReset Disc 151,402 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-09-27
Maturity Price : 22.73
Evaluated at bid price : 23.84
Bid-YTW : 5.00 %
CU.PR.C FixedReset Disc 132,326 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-09-27
Maturity Price : 16.62
Evaluated at bid price : 16.62
Bid-YTW : 5.67 %
BMO.PR.F FixedReset Disc 102,600 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-09-27
Maturity Price : 22.91
Evaluated at bid price : 24.27
Bid-YTW : 5.08 %
CM.PR.S FixedReset Disc 94,900 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-09-27
Maturity Price : 18.19
Evaluated at bid price : 18.19
Bid-YTW : 5.46 %
There were 31 other index-included issues trading in excess of 10,000 shares.
Wide Spread Highlights
Issue Index Quote Data and Yield Notes
CM.PR.Q FixedReset Disc Quote: 17.91 – 18.42
Spot Rate : 0.5100
Average : 0.3738

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-09-27
Maturity Price : 17.91
Evaluated at bid price : 17.91
Bid-YTW : 5.80 %

IFC.PR.G FixedReset Ins Non Quote: 18.43 – 18.85
Spot Rate : 0.4200
Average : 0.3163

YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2030-01-31
Maturity Price : 25.00
Evaluated at bid price : 18.43
Bid-YTW : 8.22 %

IAF.PR.I FixedReset Ins Non Quote: 18.75 – 19.29
Spot Rate : 0.5400
Average : 0.4505

YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2030-01-31
Maturity Price : 25.00
Evaluated at bid price : 18.75
Bid-YTW : 8.08 %

IFC.PR.C FixedReset Ins Non Quote: 16.90 – 17.28
Spot Rate : 0.3800
Average : 0.2943

YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2030-01-31
Maturity Price : 25.00
Evaluated at bid price : 16.90
Bid-YTW : 8.73 %

ELF.PR.G Perpetual-Discount Quote: 22.05 – 22.36
Spot Rate : 0.3100
Average : 0.2272

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-09-27
Maturity Price : 21.81
Evaluated at bid price : 22.05
Bid-YTW : 5.39 %

RY.PR.S FixedReset Disc Quote: 20.11 – 20.37
Spot Rate : 0.2600
Average : 0.1839

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-09-27
Maturity Price : 20.11
Evaluated at bid price : 20.11
Bid-YTW : 5.06 %

VNR.PR.A Acquisition Completed

Monday, September 30th, 2019

Valener Inc. has announced:

Valener Inc. (« Valener ») (TSX : VNR) (TSX : VNR.PR.A) the public investment vehicle in Énergir, L.P. today announces the completion of the previously announced acquisition of all of Valener’s issued and outstanding common shares (the “Common Shares”) and all of Valener’s issued and outstanding Cumulative Rate Reset Preferred Shares, Series A (the “Preferred Shares”) by Noverco Acquisition, Inc., a wholly-owned subsidiary of Noverco Inc. Pursuant to the statutory plan of arrangement (the “Arrangement”) under Section 192 of the Canada Business Corporations Act, holders of Common Shares will receive $26.00 per Common Share in cash, without interest, and holders of Preferred Shares will receive $25.00 per Preferred Share in cash plus accrued and unpaid dividends, without interest.

DBRS has discontinued the rating:

DBRS Limited discontinued Valener Inc.’s (Valener or the Company) Cumulative Rate Reset Preferred Shares rating of Pfd-2 (low) following repayment of the only outstanding issue.

On March 27, 2019, Valener announced that Noverco Inc. (Noverco), the controlling partner and indirect 71% owner of Énergir, L.P., entered into a definitive arrangement agreement under which Noverco would indirectly acquire all issued and outstanding common shares as well as the Cumulative Rate Reset Preferred Shares of Valener (the Arrangement). Following completion of the Arrangement, Valener will no longer issue any public securities and the rating is therefore discontinued at the Company’s request.

The proposed acquisition at par was announced in March and approved by holders in June. The previous progress report was reported in early August. The company announced on September 23 that it had received its last required approval.

The issue commenced trading 2012-6-6 as a FixedReset, 4.35%+281, after being announced 2012-5-15. It reset to 4.62% effective 2017-10-15. I recommended against conversion and there was no conversion to FloatingResets. The issue is tracked by HIMIPref™ and has been assigned to the FixedReset subindex.

September 26, 2019

Friday, September 27th, 2019

Due to other commitments, the Market Action report for September 27 may be delayed a bit, maybe ’til Monday.

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 -0.8920 % 1,888.1
FixedFloater 0.00 % 0.00 % 0 0.00 0 -0.8920 % 3,464.6
Floater 6.38 % 6.55 % 47,975 13.12 4 -0.8920 % 1,996.7
OpRet 0.00 % 0.00 % 0 0.00 0 0.0282 % 3,377.8
SplitShare 4.66 % 4.61 % 54,099 4.00 7 0.0282 % 4,033.8
Interest-Bearing 0.00 % 0.00 % 0 0.00 0 0.0282 % 3,147.4
Perpetual-Premium 5.59 % -17.70 % 62,230 0.09 6 0.0974 % 2,999.5
Perpetual-Discount 5.41 % 5.50 % 65,955 14.51 28 0.0786 % 3,173.4
FixedReset Disc 5.56 % 5.50 % 166,584 14.45 73 0.2353 % 2,067.2
Deemed-Retractible 5.22 % 5.80 % 69,893 7.90 27 0.0600 % 3,153.2
FloatingReset 4.55 % 6.72 % 56,755 7.96 3 0.1978 % 2,342.9
FixedReset Prem 5.24 % 3.89 % 130,350 1.58 14 0.1812 % 2,588.8
FixedReset Bank Non 1.97 % 4.20 % 86,958 2.27 3 0.6406 % 2,672.8
FixedReset Ins Non 5.51 % 8.18 % 103,361 7.91 21 0.1397 % 2,095.1
Performance Highlights
Issue Index Change Notes
BAM.PR.B Floater -1.49 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-09-26
Maturity Price : 10.60
Evaluated at bid price : 10.60
Bid-YTW : 6.55 %
MFC.PR.G FixedReset Ins Non -1.30 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2030-01-31
Maturity Price : 25.00
Evaluated at bid price : 18.21
Bid-YTW : 8.18 %
BAM.PF.E FixedReset Disc -1.20 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-09-26
Maturity Price : 15.65
Evaluated at bid price : 15.65
Bid-YTW : 6.37 %
BAM.PR.C Floater -1.03 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-09-26
Maturity Price : 10.60
Evaluated at bid price : 10.60
Bid-YTW : 6.55 %
MFC.PR.B Deemed-Retractible 1.03 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2030-01-31
Maturity Price : 25.00
Evaluated at bid price : 21.68
Bid-YTW : 6.48 %
TRP.PR.E FixedReset Disc 1.03 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-09-26
Maturity Price : 15.65
Evaluated at bid price : 15.65
Bid-YTW : 6.09 %
BAM.PR.Z FixedReset Disc 1.10 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-09-26
Maturity Price : 18.30
Evaluated at bid price : 18.30
Bid-YTW : 6.08 %
CM.PR.T FixedReset Disc 1.19 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-09-26
Maturity Price : 22.78
Evaluated at bid price : 23.95
Bid-YTW : 4.97 %
BNS.PR.Y FixedReset Bank Non 1.24 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2022-01-31
Maturity Price : 25.00
Evaluated at bid price : 24.55
Bid-YTW : 3.25 %
BAM.PR.X FixedReset Disc 1.25 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-09-26
Maturity Price : 12.91
Evaluated at bid price : 12.91
Bid-YTW : 6.07 %
CM.PR.O FixedReset Disc 1.28 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-09-26
Maturity Price : 16.60
Evaluated at bid price : 16.60
Bid-YTW : 5.59 %
BNS.PR.I FixedReset Disc 1.36 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-09-26
Maturity Price : 20.13
Evaluated at bid price : 20.13
Bid-YTW : 5.15 %
BAM.PR.T FixedReset Disc 1.37 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-09-26
Maturity Price : 14.80
Evaluated at bid price : 14.80
Bid-YTW : 6.23 %
NA.PR.G FixedReset Disc 1.38 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-09-26
Maturity Price : 19.82
Evaluated at bid price : 19.82
Bid-YTW : 5.57 %
IFC.PR.C FixedReset Ins Non 1.61 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2030-01-31
Maturity Price : 25.00
Evaluated at bid price : 16.99
Bid-YTW : 8.66 %
BMO.PR.E FixedReset Disc 1.78 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-09-26
Maturity Price : 20.05
Evaluated at bid price : 20.05
Bid-YTW : 5.38 %
IFC.PR.A FixedReset Ins Non 2.15 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2030-01-31
Maturity Price : 25.00
Evaluated at bid price : 13.80
Bid-YTW : 10.46 %
Volume Highlights
Issue Index Shares
Traded
Notes
CU.PR.C FixedReset Disc 302,100 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-09-26
Maturity Price : 16.61
Evaluated at bid price : 16.61
Bid-YTW : 5.68 %
BNS.PR.H FixedReset Disc 283,348 YTW SCENARIO
Maturity Type : Call
Maturity Date : 2022-01-26
Maturity Price : 25.00
Evaluated at bid price : 25.40
Bid-YTW : 4.51 %
BMO.PR.T FixedReset Disc 85,927 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-09-26
Maturity Price : 16.70
Evaluated at bid price : 16.70
Bid-YTW : 5.50 %
IFC.PR.A FixedReset Ins Non 76,371 YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2030-01-31
Maturity Price : 25.00
Evaluated at bid price : 13.80
Bid-YTW : 10.46 %
POW.PR.D Perpetual-Discount 73,860 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-09-26
Maturity Price : 22.03
Evaluated at bid price : 22.26
Bid-YTW : 5.62 %
MFC.PR.R FixedReset Ins Non 49,584 YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2030-01-31
Maturity Price : 25.00
Evaluated at bid price : 24.05
Bid-YTW : 5.66 %
There were 36 other index-included issues trading in excess of 10,000 shares.
Wide Spread Highlights
Issue Index Quote Data and Yield Notes
HSE.PR.E FixedReset Disc Quote: 17.70 – 18.36
Spot Rate : 0.6600
Average : 0.4828

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-09-26
Maturity Price : 17.70
Evaluated at bid price : 17.70
Bid-YTW : 7.03 %

BMO.PR.F FixedReset Disc Quote: 24.27 – 24.65
Spot Rate : 0.3800
Average : 0.2319

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-09-26
Maturity Price : 22.91
Evaluated at bid price : 24.27
Bid-YTW : 5.08 %

HSE.PR.A FixedReset Disc Quote: 10.54 – 11.25
Spot Rate : 0.7100
Average : 0.5632

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-09-26
Maturity Price : 10.54
Evaluated at bid price : 10.54
Bid-YTW : 7.26 %

TD.PF.D FixedReset Disc Quote: 19.32 – 19.72
Spot Rate : 0.4000
Average : 0.2868

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-09-26
Maturity Price : 19.32
Evaluated at bid price : 19.32
Bid-YTW : 5.46 %

IAF.PR.G FixedReset Ins Non Quote: 18.81 – 19.32
Spot Rate : 0.5100
Average : 0.4205

YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2030-01-31
Maturity Price : 25.00
Evaluated at bid price : 18.81
Bid-YTW : 7.63 %

EML.PR.A FixedReset Ins Non Quote: 25.50 – 25.84
Spot Rate : 0.3400
Average : 0.2515

YTW SCENARIO
Maturity Type : Call
Maturity Date : 2021-04-17
Maturity Price : 25.00
Evaluated at bid price : 25.50
Bid-YTW : 4.21 %

LCS.PR.A : Proposed Mandate Change Fails

Wednesday, September 25th, 2019

Brompton Group has announced:

that the special meeting (the “Meeting”) of holders of Class A Shares and Preferred Shares (the “Shareholders”) of Brompton Lifeco Split Corp. (the “Fund”) scheduled to be held at 9:00 a.m. on Thursday September 26, 2019, has been cancelled. The purpose of the Meeting was to consider and vote upon an extraordinary resolution to implement amendments to update and modernize the investment objectives, investment guidelines and investment restrictions of the Fund (the “Amendments”). The Amendments, as set out in Appendix A of the management information circular dated August 23, 2019, will not be implemented.

At the voting deadline today, a majority of both the Class A Shares and the Preferred Shares were voted in favor of the Amendments. However, the Amendments required a two thirds majority by both Class A Shareholders and Preferred Shareholders, voting separately as individual classes, to approve the Amendments. Approximately 43% of the issued and outstanding Preferred Shares were voted and the two thirds approval threshold was exceeded. Approximately 32% of the issued and outstanding Class A Shares were voted, however, the two thirds approval threshold was not met.

The Fund will continue to operate as it does currently. The Fund invests, on an approximately equally weighted basis, in a portfolio consisting of common shares of Canada’s four largest publicly traded life insurance companies: Great-West Lifeco Inc., iA Financial Group, Manulife Financial Corporation and Sun Life Financial Inc. The Fund provides a low cost, efficient way to gain exposure to Canadian life insurance companies, with the added benefit of a proprietary covered call option strategy employed by the Manager which can lower portfolio volatility along with generating cash flows for distribution to Shareholders.

LCS.PR.A was added to the HIMIPref™ database in October, 2014, backdated to 2014-5-1, following its term extension and treasury offering earlier in the year. Capital Units dividends were suspended in January 2015, but reinstated in November, 2016. Only two of the scheduled monthly Capital Unit distributions has been made since the September, 2018, payment became due. The company announced the five year extension in March, 2018. A mandate change was proposed in August, 2019. The issue reset to 6.25% with an end-date of 2024-4-29 in April, 2019. The issue is tracked by HIMIPref™ but relegated to the Scraps – Splitshares subindex on credit concerns.

September 25, 2019

Wednesday, September 25th, 2019

PerpetualDiscounts now yield 5.55%, equivalent to 7.22% interest at the standard equivalency factor of 1.3x. Long corporates now yield 3.31%, so the pre-tax interest-equivalent spread (in this context, the “Seniority Spread”) has vigorously bounced to 390bp from the 375bp reported September 18.

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 -0.2054 % 1,905.1
FixedFloater 0.00 % 0.00 % 0 0.00 0 -0.2054 % 3,495.8
Floater 6.32 % 6.45 % 48,249 13.26 4 -0.2054 % 2,014.7
OpRet 0.00 % 0.00 % 0 0.00 0 -0.0056 % 3,376.9
SplitShare 4.67 % 4.61 % 54,894 4.00 7 -0.0056 % 4,032.7
Interest-Bearing 0.00 % 0.00 % 0 0.00 0 -0.0056 % 3,146.5
Perpetual-Premium 5.60 % -17.87 % 64,784 0.09 6 0.1235 % 2,996.6
Perpetual-Discount 5.41 % 5.55 % 64,942 14.51 28 0.0293 % 3,170.9
FixedReset Disc 5.56 % 5.50 % 167,721 14.36 73 -0.0180 % 2,062.4
Deemed-Retractible 5.23 % 5.80 % 72,438 7.90 27 0.0174 % 3,151.3
FloatingReset 4.56 % 6.74 % 57,545 7.95 3 0.2976 % 2,338.2
FixedReset Prem 5.25 % 4.00 % 128,681 1.58 14 -0.1086 % 2,584.1
FixedReset Bank Non 1.98 % 4.29 % 80,506 2.27 3 -0.3746 % 2,655.8
FixedReset Ins Non 5.52 % 8.10 % 102,996 7.91 21 0.0871 % 2,092.2
Performance Highlights
Issue Index Change Notes
HSE.PR.A FixedReset Disc -4.09 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-09-25
Maturity Price : 10.56
Evaluated at bid price : 10.56
Bid-YTW : 7.24 %
IFC.PR.A FixedReset Ins Non -3.15 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2030-01-31
Maturity Price : 25.00
Evaluated at bid price : 13.51
Bid-YTW : 10.73 %
IAF.PR.I FixedReset Ins Non -1.89 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2030-01-31
Maturity Price : 25.00
Evaluated at bid price : 18.72
Bid-YTW : 8.10 %
BAM.PR.Z FixedReset Disc -1.63 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-09-25
Maturity Price : 18.10
Evaluated at bid price : 18.10
Bid-YTW : 6.15 %
BAM.PF.B FixedReset Disc -1.16 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-09-25
Maturity Price : 17.09
Evaluated at bid price : 17.09
Bid-YTW : 6.10 %
CM.PR.O FixedReset Disc -1.13 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-09-25
Maturity Price : 16.62
Evaluated at bid price : 16.62
Bid-YTW : 5.68 %
BAM.PR.K Floater -1.12 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-09-25
Maturity Price : 10.55
Evaluated at bid price : 10.55
Bid-YTW : 6.58 %
IFC.PR.G FixedReset Ins Non -1.04 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2030-01-31
Maturity Price : 25.00
Evaluated at bid price : 18.11
Bid-YTW : 8.45 %
MFC.PR.J FixedReset Ins Non 1.07 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2030-01-31
Maturity Price : 25.00
Evaluated at bid price : 18.85
Bid-YTW : 7.87 %
MFC.PR.F FixedReset Ins Non 1.36 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2030-01-31
Maturity Price : 25.00
Evaluated at bid price : 12.69
Bid-YTW : 10.68 %
MFC.PR.H FixedReset Ins Non 1.42 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2030-01-31
Maturity Price : 25.00
Evaluated at bid price : 20.70
Bid-YTW : 6.86 %
BAM.PF.F FixedReset Disc 1.46 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-09-25
Maturity Price : 17.40
Evaluated at bid price : 17.40
Bid-YTW : 6.15 %
MFC.PR.G FixedReset Ins Non 1.93 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2030-01-31
Maturity Price : 25.00
Evaluated at bid price : 18.45
Bid-YTW : 8.00 %
PWF.PR.P FixedReset Disc 2.34 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-09-25
Maturity Price : 12.66
Evaluated at bid price : 12.66
Bid-YTW : 5.89 %
Volume Highlights
Issue Index Shares
Traded
Notes
MFC.PR.M FixedReset Ins Non 86,925 YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2030-01-31
Maturity Price : 25.00
Evaluated at bid price : 16.30
Bid-YTW : 9.05 %
CU.PR.C FixedReset Disc 56,850 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-09-25
Maturity Price : 16.61
Evaluated at bid price : 16.61
Bid-YTW : 5.68 %
TD.PF.H FixedReset Disc 44,250 YTW SCENARIO
Maturity Type : Call
Maturity Date : 2021-10-31
Maturity Price : 25.00
Evaluated at bid price : 25.30
Bid-YTW : 4.64 %
MFC.PR.R FixedReset Ins Non 41,890 YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2030-01-31
Maturity Price : 25.00
Evaluated at bid price : 24.05
Bid-YTW : 5.65 %
BAM.PF.C Perpetual-Discount 38,971 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-09-25
Maturity Price : 20.98
Evaluated at bid price : 20.98
Bid-YTW : 5.82 %
TRP.PR.K FixedReset Disc 37,462 YTW SCENARIO
Maturity Type : Call
Maturity Date : 2022-05-31
Maturity Price : 25.00
Evaluated at bid price : 25.11
Bid-YTW : 4.89 %
There were 30 other index-included issues trading in excess of 10,000 shares.
Wide Spread Highlights
Issue Index Quote Data and Yield Notes
SLF.PR.I FixedReset Ins Non Quote: 18.25 – 18.78
Spot Rate : 0.5300
Average : 0.3169

YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2030-01-31
Maturity Price : 25.00
Evaluated at bid price : 18.25
Bid-YTW : 7.93 %

BAM.PF.A FixedReset Disc Quote: 18.75 – 19.20
Spot Rate : 0.4500
Average : 0.2876

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-09-25
Maturity Price : 18.75
Evaluated at bid price : 18.75
Bid-YTW : 6.01 %

SLF.PR.H FixedReset Ins Non Quote: 15.56 – 16.05
Spot Rate : 0.4900
Average : 0.3346

YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2030-01-31
Maturity Price : 25.00
Evaluated at bid price : 15.56
Bid-YTW : 9.13 %

EIT.PR.A SplitShare Quote: 25.36 – 25.73
Spot Rate : 0.3700
Average : 0.2429

YTW SCENARIO
Maturity Type : Soft Maturity
Maturity Date : 2024-03-14
Maturity Price : 25.00
Evaluated at bid price : 25.36
Bid-YTW : 4.50 %

NA.PR.C FixedReset Disc Quote: 20.78 – 21.12
Spot Rate : 0.3400
Average : 0.2161

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-09-25
Maturity Price : 20.78
Evaluated at bid price : 20.78
Bid-YTW : 5.80 %

IAF.PR.B Deemed-Retractible Quote: 21.90 – 22.32
Spot Rate : 0.4200
Average : 0.2970

YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2030-01-31
Maturity Price : 25.00
Evaluated at bid price : 21.90
Bid-YTW : 6.27 %

September 24, 2019

Tuesday, September 24th, 2019

I admired Jody Wilson-Raybould and her stand on principle regarding SNC-Lavalin and its legal problems.

Not because I think Trudeau and the rest of Cabinet did much wrong, though! It should be clear that in government, the boss can say something like ‘Gee, you know, it sure would be nice if such-and-such a decision was made on this issue”, and the next day, like magic, a memo appears on his desk to the effect that a completely independent assessment of the issue, based solely on the evidence, has resulted in a decision of such-and-such. This happens most of the time in private industry, too.

In politics, you’re continually subject to testing. Are you loyal? We know you disagree with us on this issue, but you’re going to vote with us, aren’t you, buddy? Right? Every single vote, whether in Parliament or committee represents a test and if the party should decide that War Is Peace, Freedom Is Slavery, and Ignorance Is Strength, well then, stick your hand up. Trudeau’s mistake was that he gave the nod-and-wink to somebody who hadn’t been sufficiently tested for such a senior position, given that she was first elected in 2015. He thought she was a normal cabinet minister:

I grew so rich that I was sent
By a pocket borough into Parliament.
I always voted at my party’s call,
And I never thought of thinking for myself at all.
….
I thought so little, they rewarded me
By making me the Ruler of the Queen’s Navee!

So anyway, I decided to donate some money to her campaign … just in an attempt to give the next guy placed in the position she was in a little backbone. And what do I find?

Thank you to everyone who has donated to the 2019 Campaign to Re-Elect Jody Wilson-Raybould. With your support for a different way of doing politics and your generosity we have now exceeded our fundraising targets and will no longer be accepting monetary contributions.

I’m astonished.

Jane Philpott still needs money, though!

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 -1.1953 % 1,909.0
FixedFloater 0.00 % 0.00 % 0 0.00 0 -1.1953 % 3,503.0
Floater 6.31 % 6.46 % 49,916 13.25 4 -1.1953 % 2,018.8
OpRet 0.00 % 0.00 % 0 0.00 0 -0.0056 % 3,377.1
SplitShare 4.67 % 4.62 % 55,498 4.01 7 -0.0056 % 4,032.9
Interest-Bearing 0.00 % 0.00 % 0 0.00 0 -0.0056 % 3,146.6
Perpetual-Premium 5.61 % -18.05 % 67,445 0.09 6 0.0911 % 2,992.9
Perpetual-Discount 5.42 % 5.50 % 63,979 14.55 28 -0.0308 % 3,170.0
FixedReset Disc 5.56 % 5.52 % 169,400 14.36 73 0.0051 % 2,062.7
Deemed-Retractible 5.23 % 5.80 % 72,847 7.90 27 -0.0663 % 3,150.8
FloatingReset 4.57 % 6.76 % 59,969 7.94 3 -0.2375 % 2,331.3
FixedReset Prem 5.24 % 3.93 % 128,864 1.58 14 0.0167 % 2,586.9
FixedReset Bank Non 1.97 % 4.21 % 81,669 2.27 3 0.1528 % 2,665.8
FixedReset Ins Non 5.53 % 8.25 % 104,660 7.91 21 -0.2552 % 2,090.3
Performance Highlights
Issue Index Change Notes
IFC.PR.C FixedReset Ins Non -3.75 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2030-01-31
Maturity Price : 25.00
Evaluated at bid price : 16.70
Bid-YTW : 8.88 %
CCS.PR.C Deemed-Retractible -2.18 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2030-01-31
Maturity Price : 25.00
Evaluated at bid price : 23.82
Bid-YTW : 5.63 %
GWO.PR.N FixedReset Ins Non -1.69 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2030-01-31
Maturity Price : 25.00
Evaluated at bid price : 13.97
Bid-YTW : 9.37 %
PWF.PR.A Floater -1.68 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-09-24
Maturity Price : 11.70
Evaluated at bid price : 11.70
Bid-YTW : 5.99 %
IFC.PR.A FixedReset Ins Non -1.55 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2030-01-31
Maturity Price : 25.00
Evaluated at bid price : 13.95
Bid-YTW : 10.31 %
PWF.PR.T FixedReset Disc -1.49 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-09-24
Maturity Price : 17.14
Evaluated at bid price : 17.14
Bid-YTW : 5.76 %
BAM.PR.B Floater -1.47 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-09-24
Maturity Price : 10.70
Evaluated at bid price : 10.70
Bid-YTW : 6.49 %
HSE.PR.C FixedReset Disc -1.38 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-09-24
Maturity Price : 16.38
Evaluated at bid price : 16.38
Bid-YTW : 6.95 %
MFC.PR.G FixedReset Ins Non -1.36 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2030-01-31
Maturity Price : 25.00
Evaluated at bid price : 18.10
Bid-YTW : 8.25 %
BAM.PR.K Floater -1.20 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-09-24
Maturity Price : 10.67
Evaluated at bid price : 10.67
Bid-YTW : 6.51 %
MFC.PR.F FixedReset Ins Non -1.11 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2030-01-31
Maturity Price : 25.00
Evaluated at bid price : 12.52
Bid-YTW : 10.84 %
GWO.PR.R Deemed-Retractible -1.10 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2030-01-31
Maturity Price : 25.00
Evaluated at bid price : 22.55
Bid-YTW : 6.12 %
BAM.PR.Z FixedReset Disc -1.08 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-09-24
Maturity Price : 18.40
Evaluated at bid price : 18.40
Bid-YTW : 6.05 %
BAM.PR.R FixedReset Disc -1.02 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-09-24
Maturity Price : 14.50
Evaluated at bid price : 14.50
Bid-YTW : 6.28 %
CU.PR.F Perpetual-Discount -1.02 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-09-24
Maturity Price : 21.45
Evaluated at bid price : 21.45
Bid-YTW : 5.30 %
BMO.PR.T FixedReset Disc -1.01 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-09-24
Maturity Price : 16.65
Evaluated at bid price : 16.65
Bid-YTW : 5.52 %
SLF.PR.G FixedReset Ins Non 1.10 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2030-01-31
Maturity Price : 25.00
Evaluated at bid price : 12.90
Bid-YTW : 10.60 %
RY.PR.M FixedReset Disc 1.10 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-09-24
Maturity Price : 18.35
Evaluated at bid price : 18.35
Bid-YTW : 5.49 %
GWO.PR.T Deemed-Retractible 1.19 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2030-01-31
Maturity Price : 25.00
Evaluated at bid price : 23.80
Bid-YTW : 5.80 %
TD.PF.I FixedReset Disc 1.35 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-09-24
Maturity Price : 21.05
Evaluated at bid price : 21.05
Bid-YTW : 5.33 %
NA.PR.G FixedReset Disc 1.56 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-09-24
Maturity Price : 19.53
Evaluated at bid price : 19.53
Bid-YTW : 5.66 %
CM.PR.Q FixedReset Disc 1.78 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-09-24
Maturity Price : 18.25
Evaluated at bid price : 18.25
Bid-YTW : 5.77 %
Volume Highlights
Issue Index Shares
Traded
Notes
TRP.PR.B FixedReset Disc 736,315 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-09-24
Maturity Price : 10.89
Evaluated at bid price : 10.89
Bid-YTW : 6.12 %
TD.PF.J FixedReset Disc 96,600 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-09-24
Maturity Price : 20.10
Evaluated at bid price : 20.10
Bid-YTW : 5.34 %
TD.PF.D FixedReset Disc 68,800 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-09-24
Maturity Price : 19.32
Evaluated at bid price : 19.32
Bid-YTW : 5.46 %
CM.PR.Y FixedReset Disc 56,050 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-09-24
Maturity Price : 23.08
Evaluated at bid price : 24.75
Bid-YTW : 5.14 %
TRP.PR.D FixedReset Disc 44,810 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-09-24
Maturity Price : 15.99
Evaluated at bid price : 15.99
Bid-YTW : 6.06 %
CM.PR.S FixedReset Disc 40,800 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-09-24
Maturity Price : 18.51
Evaluated at bid price : 18.51
Bid-YTW : 5.47 %
There were 26 other index-included issues trading in excess of 10,000 shares.
Wide Spread Highlights
Issue Index Quote Data and Yield Notes
HSE.PR.E FixedReset Disc Quote: 17.80 – 18.50
Spot Rate : 0.7000
Average : 0.4951

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-09-24
Maturity Price : 17.80
Evaluated at bid price : 17.80
Bid-YTW : 6.99 %

GWO.PR.N FixedReset Ins Non Quote: 13.97 – 14.44
Spot Rate : 0.4700
Average : 0.3333

YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2030-01-31
Maturity Price : 25.00
Evaluated at bid price : 13.97
Bid-YTW : 9.37 %

BNS.PR.I FixedReset Disc Quote: 19.96 – 20.35
Spot Rate : 0.3900
Average : 0.2572

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-09-24
Maturity Price : 19.96
Evaluated at bid price : 19.96
Bid-YTW : 5.20 %

SLF.PR.J FloatingReset Quote: 12.71 – 13.13
Spot Rate : 0.4200
Average : 0.2972

YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2030-01-31
Maturity Price : 25.00
Evaluated at bid price : 12.71
Bid-YTW : 11.20 %

IFC.PR.C FixedReset Ins Non Quote: 16.70 – 17.00
Spot Rate : 0.3000
Average : 0.2071

YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2030-01-31
Maturity Price : 25.00
Evaluated at bid price : 16.70
Bid-YTW : 8.88 %

PWF.PR.T FixedReset Disc Quote: 17.14 – 17.45
Spot Rate : 0.3100
Average : 0.2172

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-09-24
Maturity Price : 17.14
Evaluated at bid price : 17.14
Bid-YTW : 5.76 %