Archive for September, 2019

September 20, 2019

Friday, September 20th, 2019

The recent US repo-market disruption continues to attract attention:

The Federal Reserve plans to pour cash into the U.S. banking system through early October in a bid to avert another market disruption, but analysts see the need for the central bank to come up with longer-term fixes.

Repo rates hit 10 per cent on Tuesday, propelling other short-term rates sharply higher.

Analysts blamed huge cash demand to pay for quarterly corporate taxes and the prior week’s US$78-billion worth of coupon-bearing Treasury supply for the market ruction.

They also attributed the decline of excess reserves, to about US$1.4-trillion from US$2.3-trillion in 2017, to the Fed’s reduction of its bond holdings.

Since Tuesday, the Fed has held four rounds of repo operations, with banks and dealers borrowing from the central banks with their Treasuries and other bonds as collateral.

On Friday, the New York Fed, which implements the central bank’s market actions, said it will conduct more repo operations into October.

While repo operations are expected to provide a temporary patch, analysts said the Fed needs to offer more permanent solutions.

“The underlying conditions that gave rise to the funding stress are still in place,” said Guy LeBas, chief fixed income strategist at Janney Montgomery Scott in Philadelphia.

Other analysts said policy-makers should consider launching a standing repo facility and/or increasing purchases of Treasuries.

I don’t think much of the proposed solutions in the final quoted paragraph. Both represent the Fed printing money.

The rationale behind the current bloated balance sheet of the Fed is that we are continuing to recover from the Credit Crunch. There was a huge shock to the system, so the Fed boosted the money supply, fine, I get it. But making this monetary expansion permanent – or even hinting that it could be permanent – looks like an open invitation to galloping inflation.

Look at the stresses that caused the episode! Tax payments and a big Treasury auction! Not at all unusual and totally forseeable. And yet the repo rate spiked to 10%.

Either the Fed screwed up by implementing ‘quantitative tightening’ too rapidly, or the financial system has become addicted to having all that cheap cash around. The first is an easy fix, the second is a little scary …. beating an addiction usually results in pain, as Canadian mortgage borrowers found out in 1981.

And through it all, Canadians are keeping up with the Joneses in the traditional way:

Canadian homeowners who accessed their home equity through a loan or refinancing helped fuel household spending in recent years, according to research by staff at the Bank of Canada.

In 2017, the researchers found Canadian homeowners extracted $89-billion in home equity through these two methods, with more money – $49-billion – coming through HELOCs.

Borrowers used that money to pay for big-ticket items, such as cars and furniture, or to fund renovations, among other things, according to the research, which suggests this “has likely contributed materially” to this kind of spending in Canada in recent years.

The researchers found that by the end of 2017, this equity extraction could have added two per cent to consumer spending on durables and semidurables (goods that include cars and furniture), as well as 11 per cent to renovation spending.

The report found that translated into a 0.5-per-cent impact on the GDP level.

The source paper is titled Home Equity Extraction and Household Spending in Canada, by Anson T. Y. Ho, Mikael Khan, Monica Mow and Brian Peterson.

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 -0.3196 % 1,902.5
FixedFloater 0.00 % 0.00 % 0 0.00 0 -0.3196 % 3,491.0
Floater 6.33 % 6.44 % 53,638 13.29 4 -0.3196 % 2,011.9
OpRet 0.00 % 0.00 % 0 0.00 0 -0.0507 % 3,381.6
SplitShare 4.66 % 4.48 % 55,721 4.02 7 -0.0507 % 4,038.4
Interest-Bearing 0.00 % 0.00 % 0 0.00 0 -0.0507 % 3,150.9
Perpetual-Premium 5.61 % -16.80 % 66,658 0.09 6 -0.0130 % 2,984.9
Perpetual-Discount 5.41 % 5.53 % 65,854 14.51 28 0.1357 % 3,168.0
FixedReset Disc 5.56 % 5.63 % 169,607 14.27 73 0.2267 % 2,061.2
Deemed-Retractible 5.22 % 5.79 % 77,966 7.91 27 0.2755 % 3,152.7
FloatingReset 4.53 % 6.70 % 61,298 8.00 3 0.2369 % 2,348.4
FixedReset Prem 5.24 % 3.99 % 128,893 1.59 14 0.1004 % 2,586.4
FixedReset Bank Non 1.98 % 4.31 % 87,959 2.28 3 -0.4844 % 2,659.2
FixedReset Ins Non 5.50 % 8.18 % 106,232 7.87 21 -0.0760 % 2,101.8
Performance Highlights
Issue Index Change Notes
HSE.PR.A FixedReset Disc -2.18 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-09-20
Maturity Price : 11.20
Evaluated at bid price : 11.20
Bid-YTW : 7.04 %
PWF.PR.P FixedReset Disc -1.80 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-09-20
Maturity Price : 12.52
Evaluated at bid price : 12.52
Bid-YTW : 6.16 %
PWF.PR.A Floater -1.36 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-09-20
Maturity Price : 11.60
Evaluated at bid price : 11.60
Bid-YTW : 6.04 %
HSE.PR.C FixedReset Disc -1.27 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-09-20
Maturity Price : 16.37
Evaluated at bid price : 16.37
Bid-YTW : 7.11 %
SLF.PR.G FixedReset Ins Non -1.15 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2030-01-31
Maturity Price : 25.00
Evaluated at bid price : 12.95
Bid-YTW : 10.69 %
IFC.PR.G FixedReset Ins Non -1.07 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2030-01-31
Maturity Price : 25.00
Evaluated at bid price : 18.55
Bid-YTW : 8.19 %
BAM.PR.X FixedReset Disc 1.10 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-09-20
Maturity Price : 12.84
Evaluated at bid price : 12.84
Bid-YTW : 6.27 %
CM.PR.Q FixedReset Disc 1.12 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-09-20
Maturity Price : 18.08
Evaluated at bid price : 18.08
Bid-YTW : 5.97 %
BIP.PR.F FixedReset Disc 1.29 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-09-20
Maturity Price : 21.67
Evaluated at bid price : 22.00
Bid-YTW : 5.81 %
TRP.PR.B FixedReset Disc 1.39 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-09-20
Maturity Price : 10.95
Evaluated at bid price : 10.95
Bid-YTW : 6.33 %
GWO.PR.T Deemed-Retractible 1.63 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2030-01-31
Maturity Price : 25.00
Evaluated at bid price : 23.73
Bid-YTW : 5.83 %
BAM.PF.B FixedReset Disc 2.30 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-09-20
Maturity Price : 17.33
Evaluated at bid price : 17.33
Bid-YTW : 6.12 %
CCS.PR.C Deemed-Retractible 2.32 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2030-01-31
Maturity Price : 25.00
Evaluated at bid price : 24.21
Bid-YTW : 5.42 %
Volume Highlights
Issue Index Shares
Traded
Notes
PWF.PR.P FixedReset Disc 386,800 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-09-20
Maturity Price : 12.52
Evaluated at bid price : 12.52
Bid-YTW : 6.16 %
TD.PF.I FixedReset Disc 72,500 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-09-20
Maturity Price : 20.93
Evaluated at bid price : 20.93
Bid-YTW : 5.47 %
SLF.PR.H FixedReset Ins Non 56,067 YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2030-01-31
Maturity Price : 25.00
Evaluated at bid price : 15.60
Bid-YTW : 9.20 %
CM.PR.Q FixedReset Disc 33,500 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-09-20
Maturity Price : 18.08
Evaluated at bid price : 18.08
Bid-YTW : 5.97 %
RY.PR.Z FixedReset Disc 32,334 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-09-20
Maturity Price : 17.25
Evaluated at bid price : 17.25
Bid-YTW : 5.44 %
BAM.PR.X FixedReset Disc 30,150 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-09-20
Maturity Price : 12.84
Evaluated at bid price : 12.84
Bid-YTW : 6.27 %
There were 27 other index-included issues trading in excess of 10,000 shares.
Wide Spread Highlights
Issue Index Quote Data and Yield Notes
CU.PR.D Perpetual-Discount Quote: 22.99 – 23.48
Spot Rate : 0.4900
Average : 0.3015

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-09-20
Maturity Price : 22.71
Evaluated at bid price : 22.99
Bid-YTW : 5.37 %

BAM.PF.J FixedReset Disc Quote: 24.19 – 24.70
Spot Rate : 0.5100
Average : 0.3288

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-09-20
Maturity Price : 23.02
Evaluated at bid price : 24.19
Bid-YTW : 4.86 %

EML.PR.A FixedReset Ins Non Quote: 25.50 – 25.85
Spot Rate : 0.3500
Average : 0.2117

YTW SCENARIO
Maturity Type : Call
Maturity Date : 2021-04-17
Maturity Price : 25.00
Evaluated at bid price : 25.50
Bid-YTW : 4.16 %

TRP.PR.G FixedReset Disc Quote: 17.44 – 17.89
Spot Rate : 0.4500
Average : 0.3121

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-09-20
Maturity Price : 17.44
Evaluated at bid price : 17.44
Bid-YTW : 6.40 %

RY.PR.J FixedReset Disc Quote: 18.46 – 18.81
Spot Rate : 0.3500
Average : 0.2411

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-09-20
Maturity Price : 18.46
Evaluated at bid price : 18.46
Bid-YTW : 5.78 %

BAM.PF.E FixedReset Disc Quote: 15.95 – 16.29
Spot Rate : 0.3400
Average : 0.2321

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-09-20
Maturity Price : 15.95
Evaluated at bid price : 15.95
Bid-YTW : 6.41 %

DGS.PR.A To Reset To 5.50% On Extension

Friday, September 20th, 2019

Brompton Group has announced:

As previously announced, the board of directors of Dividend Growth Split Corp. (the “Fund”) extended the maturity date of the class A and preferred shares of the Company for a period of up to five years beyond the current maturity date of November 28, 2019. The board of directors is pleased to announce that the new term of the Fund will be to September 27, 2024. In addition, the Fund announces that the distribution rate for the preferred shares (the “Preferred Shares”) for the new term from November 29, 2019 to September 27, 2024 has been increased to $0.55 per Preferred Share per annum (5.5% on the original issue price of $10) payable quarterly. The Preferred Share distribution rate is based on current market rates for preferred shares with similar terms.

The term extension offers preferred shareholders the opportunity to enjoy preferential cash dividends until September 27, 2024. Since inception in December 2007 to August 31, 2019, the Preferred Share has delivered a 5.4%(1) per annum return. In addition, the Fund intends to maintain the targeted monthly Class A Share distribution rate of at least $0.10 per Class A Share when the net asset value per unit (consisting of one Class A Share and one Preferred Share) is greater than $15.00, after taking into consideration the payment of the Class A Share distribution.

Since inception in December 2007 to August 31, 2019, the Class A share has delivered a 7.4%(1) per annum return, which outperformed the S&P/TSX Composite Index by 2.8% per annum. Since inception to August 31, 2019, Class A shareholders have received cash distributions of $12.89. Class A shareholders also have the option to reinvest their cash distributions in a dividend reinvestment plan which is commission free to participants. Class A shareholders can enroll in the DRIP program by contacting their investment advisor.

The Fund invests, on an approximately equally-weighted basis, in a portfolio consisting primarily of equity securities of Canadian dividend growth companies. In addition, DGS may hold up to 20% of the total assets of the portfolio in global dividend growth companies for diversification and enhanced return potential.

In connection with the extension, shareholders who do not wish to continue their investment in the Fund, may retract their Preferred Shares and Class A Shares on November 28, 2019 pursuant to a special retraction right and receive a retraction price that is calculated in the same way that such price would be calculated if the Fund were to terminate on November 28, 2019. Pursuant to this option, the retraction price may be less than the market price if the security is trading at a premium to net asset value. Notice must be provided to your investment dealer by October 31, 2019 at 5:00 p.m. (Toronto time) in order to exercise this right; however, investment dealers may have earlier deadlines. Alternatively, shareholders may sell their shares through their securities dealer for the market price at any time, potentially at a higher price than would be achieved through retraction, or shareholders may take no action and continue to hold their shares.

DGS.PR.A approved a term extension in 2011 which became official in 2013 and took effect in 2014 (these guys like to plan ahead!) with the dividend rate unchanged at 5.25%. The current extension was announced in September, 2018. The manager’s mandate expanded slightly in August, 2018.

DGS.PR.A is tracked by HIMIPref™ but relegated to the Scraps – SplitShare index on credit concerns.

September 19, 2019

Thursday, September 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 0.5510 % 1,908.6
FixedFloater 0.00 % 0.00 % 0 0.00 0 0.5510 % 3,502.2
Floater 6.31 % 6.46 % 55,821 13.26 4 0.5510 % 2,018.3
OpRet 0.00 % 0.00 % 0 0.00 0 0.1016 % 3,383.3
SplitShare 4.66 % 4.49 % 54,955 4.02 7 0.1016 % 4,040.4
Interest-Bearing 0.00 % 0.00 % 0 0.00 0 0.1016 % 3,152.5
Perpetual-Premium 5.61 % -16.97 % 66,510 0.09 6 0.0000 % 2,985.2
Perpetual-Discount 5.42 % 5.57 % 65,696 14.48 28 0.1266 % 3,163.7
FixedReset Disc 5.58 % 5.65 % 171,666 14.25 73 -0.3500 % 2,056.6
Deemed-Retractible 5.24 % 5.84 % 73,720 7.90 27 0.0396 % 3,144.1
FloatingReset 4.54 % 6.70 % 61,876 7.99 3 -0.8612 % 2,342.9
FixedReset Prem 5.25 % 4.05 % 129,036 1.59 14 -0.0167 % 2,583.8
FixedReset Bank Non 1.97 % 4.32 % 85,170 2.29 3 0.3612 % 2,672.1
FixedReset Ins Non 5.49 % 8.15 % 106,051 7.87 21 -0.6123 % 2,103.4
Performance Highlights
Issue Index Change Notes
SLF.PR.J FloatingReset -3.37 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2030-01-31
Maturity Price : 25.00
Evaluated at bid price : 12.89
Bid-YTW : 10.98 %
IFC.PR.A FixedReset Ins Non -3.29 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2030-01-31
Maturity Price : 25.00
Evaluated at bid price : 14.10
Bid-YTW : 10.25 %
BAM.PF.B FixedReset Disc -2.31 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-09-19
Maturity Price : 16.94
Evaluated at bid price : 16.94
Bid-YTW : 6.26 %
CM.PR.Q FixedReset Disc -2.30 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-09-19
Maturity Price : 17.88
Evaluated at bid price : 17.88
Bid-YTW : 6.03 %
SLF.PR.G FixedReset Ins Non -1.95 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2030-01-31
Maturity Price : 25.00
Evaluated at bid price : 13.10
Bid-YTW : 10.54 %
HSE.PR.E FixedReset Disc -1.93 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-09-19
Maturity Price : 17.75
Evaluated at bid price : 17.75
Bid-YTW : 7.15 %
HSE.PR.G FixedReset Disc -1.89 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-09-19
Maturity Price : 17.66
Evaluated at bid price : 17.66
Bid-YTW : 7.13 %
TRP.PR.C FixedReset Disc -1.69 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-09-19
Maturity Price : 11.60
Evaluated at bid price : 11.60
Bid-YTW : 6.52 %
GWO.PR.T Deemed-Retractible -1.68 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2030-01-31
Maturity Price : 25.00
Evaluated at bid price : 23.35
Bid-YTW : 6.03 %
RY.PR.J FixedReset Disc -1.65 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-09-19
Maturity Price : 18.45
Evaluated at bid price : 18.45
Bid-YTW : 5.78 %
BMO.PR.Y FixedReset Disc -1.65 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-09-19
Maturity Price : 18.50
Evaluated at bid price : 18.50
Bid-YTW : 5.73 %
BIP.PR.A FixedReset Disc -1.56 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-09-19
Maturity Price : 17.67
Evaluated at bid price : 17.67
Bid-YTW : 7.17 %
HSE.PR.C FixedReset Disc -1.54 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-09-19
Maturity Price : 16.58
Evaluated at bid price : 16.58
Bid-YTW : 7.02 %
NA.PR.G FixedReset Disc -1.54 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-09-19
Maturity Price : 19.21
Evaluated at bid price : 19.21
Bid-YTW : 5.86 %
GWO.PR.N FixedReset Ins Non -1.51 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2030-01-31
Maturity Price : 25.00
Evaluated at bid price : 14.37
Bid-YTW : 9.14 %
MFC.PR.I FixedReset Ins Non -1.41 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2030-01-31
Maturity Price : 25.00
Evaluated at bid price : 18.88
Bid-YTW : 7.90 %
TRP.PR.B FixedReset Disc -1.37 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-09-19
Maturity Price : 10.80
Evaluated at bid price : 10.80
Bid-YTW : 6.42 %
GWO.PR.R Deemed-Retractible -1.32 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2030-01-31
Maturity Price : 25.00
Evaluated at bid price : 22.40
Bid-YTW : 6.19 %
BMO.PR.E FixedReset Disc -1.26 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-09-19
Maturity Price : 19.55
Evaluated at bid price : 19.55
Bid-YTW : 5.62 %
TD.PF.K FixedReset Disc -1.16 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-09-19
Maturity Price : 19.57
Evaluated at bid price : 19.57
Bid-YTW : 5.52 %
IAF.PR.G FixedReset Ins Non -1.14 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2030-01-31
Maturity Price : 25.00
Evaluated at bid price : 19.00
Bid-YTW : 7.57 %
TD.PF.I FixedReset Disc -1.14 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-09-19
Maturity Price : 20.76
Evaluated at bid price : 20.76
Bid-YTW : 5.52 %
TD.PF.A FixedReset Disc -1.12 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-09-19
Maturity Price : 16.82
Evaluated at bid price : 16.82
Bid-YTW : 5.65 %
SLF.PR.I FixedReset Ins Non -1.10 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2030-01-31
Maturity Price : 25.00
Evaluated at bid price : 18.05
Bid-YTW : 8.15 %
IFC.PR.C FixedReset Ins Non -1.08 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2030-01-31
Maturity Price : 25.00
Evaluated at bid price : 17.35
Bid-YTW : 8.48 %
BAM.PR.K Floater 1.53 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-09-19
Maturity Price : 10.61
Evaluated at bid price : 10.61
Bid-YTW : 6.54 %
BAM.PF.G FixedReset Disc 2.02 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-09-19
Maturity Price : 17.19
Evaluated at bid price : 17.19
Bid-YTW : 6.36 %
Volume Highlights
Issue Index Shares
Traded
Notes
CM.PR.Y FixedReset Disc 211,260 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-09-19
Maturity Price : 23.04
Evaluated at bid price : 24.64
Bid-YTW : 5.25 %
BMO.PR.D FixedReset Disc 135,300 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-09-19
Maturity Price : 21.30
Evaluated at bid price : 21.30
Bid-YTW : 5.49 %
TD.PF.B FixedReset Disc 41,490 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-09-19
Maturity Price : 17.05
Evaluated at bid price : 17.05
Bid-YTW : 5.58 %
BAM.PR.R FixedReset Disc 38,800 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-09-19
Maturity Price : 14.58
Evaluated at bid price : 14.58
Bid-YTW : 6.41 %
MFC.PR.H FixedReset Ins Non 37,000 YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2030-01-31
Maturity Price : 25.00
Evaluated at bid price : 20.69
Bid-YTW : 6.94 %
TRP.PR.E FixedReset Disc 36,611 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-09-19
Maturity Price : 15.60
Evaluated at bid price : 15.60
Bid-YTW : 6.28 %
There were 38 other index-included issues trading in excess of 10,000 shares.
Wide Spread Highlights
Issue Index Quote Data and Yield Notes
CCS.PR.C Deemed-Retractible Quote: 23.66 – 24.68
Spot Rate : 1.0200
Average : 0.7242

YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2030-01-31
Maturity Price : 25.00
Evaluated at bid price : 23.66
Bid-YTW : 5.71 %

GWO.PR.T Deemed-Retractible Quote: 23.35 – 23.99
Spot Rate : 0.6400
Average : 0.4399

YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2030-01-31
Maturity Price : 25.00
Evaluated at bid price : 23.35
Bid-YTW : 6.03 %

BAM.PF.B FixedReset Disc Quote: 16.94 – 17.30
Spot Rate : 0.3600
Average : 0.2260

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-09-19
Maturity Price : 16.94
Evaluated at bid price : 16.94
Bid-YTW : 6.26 %

GWO.PR.R Deemed-Retractible Quote: 22.40 – 22.80
Spot Rate : 0.4000
Average : 0.2852

YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2030-01-31
Maturity Price : 25.00
Evaluated at bid price : 22.40
Bid-YTW : 6.19 %

GWO.PR.M Deemed-Retractible Quote: 25.61 – 26.02
Spot Rate : 0.4100
Average : 0.2992

YTW SCENARIO
Maturity Type : Call
Maturity Date : 2019-10-19
Maturity Price : 25.00
Evaluated at bid price : 25.61
Bid-YTW : -24.10 %

RY.PR.P Perpetual-Premium Quote: 25.46 – 25.74
Spot Rate : 0.2800
Average : 0.1923

YTW SCENARIO
Maturity Type : Call
Maturity Date : 2024-02-24
Maturity Price : 25.25
Evaluated at bid price : 25.46
Bid-YTW : 5.11 %

EFN.PR.E : No Conversion To FloatingReset

Thursday, September 19th, 2019

Element Fleet Management Corp. has announced:

that none of its outstanding Cumulative 5-Year Rate Reset Preferred Shares, Series E (the “Series E shares”) will be converted into Cumulative Floating Rate Preferred Shares, Series F (the “Series F shares”) on September 30, 2019.

During the conversion notice period, which commenced on September 3, 2019 and ended at 5:00 p.m. (Toronto time) on September 16, 2019, 90,430 Series E shares were tendered for conversion into Series F shares. In accordance with Section 8.03(a)(iii) of the rights, privileges, restrictions and conditions attaching to the Series E shares, as provided in the Corporation’s restated articles of incorporation dated October 4, 2016, since there would be outstanding on September 30, 2019 less than 500,000 Series F shares, after having taken into account all Series E shares tendered for conversion into Series F shares,

holders of Series E shares who elected to tender their shares for conversion will not have their Series E shares converted into Series F shares on September 30, 2019.

As a result, no Series F shares will be issued in connection with the current conversion privilege.

EFN.PR.E is a FixedReset, 6.40%+472, that was announced 2014-6-2 but not immediately tracked by HIMIPref™ as it was unrated. Coverage commenced in September, 2015 after the company’s preferreds were rated Pfd-3 by DBRS. The extension was announced 2019-8-27. The issue will reset at 5.903% effective September 30, 2019. I recommended against conversion. The issue is tracked by HIMIPref™ and is assigned to the Scraps – FixedReset – Discount subindex.

BAM.PF.F : No Conversion To FloatingReset

Thursday, September 19th, 2019

Brookfield Asset Management Inc. has announced:

that after having taken into account all election notices received by the September 16, 2019 deadline for the conversion of its Cumulative Class A Preference Shares, Series 40 (the “Series 40 Shares”) (TSX: BAM.PF.F) into Cumulative Class A Preference Shares, Series 41 (the “Series 41 Shares”), there were 116,560 Series 40 Shares tendered for conversion, which is less than the one million shares required to give effect to conversions into Series 41 Shares. Accordingly, there will be no conversion of Series 40 Shares into Series 41 Shares, and holders of Series 40 Shares will retain their Series 40 shares.

BAM.PF.F is a FixedReset, 4.50%+286, that commenced trading 2014-6-5 after being announced 2014-5-27. The issue will reset at 4.029% effective October 1, 2019. I recommended against conversion. BAM.PF.F is tracked by HIMIPref™ and is assigned to the FixedReset – Discount subindex.

DF.PR.A To Reset To 5.75% On Extension

Thursday, September 19th, 2019

Quadravest has announced:

Dividend 15 Split Corp. II (the “Company”) previously announced on February 21, 2019 it will extend the termination date of the Company a further five year period from December 1, 2019 to December 1, 2024.

In connection with the extension, the Company will amend the dividend entitlement of the DF.PR.A Preferred Shares (“Preferred Shares”) for the five year renewal period effective December 1, 2019, to pay a fixed cumulative preferential monthly dividend at an annual rate equivalent to 5.75% based on the $10 repayment value. The Preferred Share distribution rate is based on current market rates for preferred shares with similar terms. Preferred shareholders have received a total of $6.71 per share in distributions since inception. The dividend policy for the DF Class A Shares (“Class A Shares”) will remain unchanged.

In relation to the term extension and the Preferred Share rate increase, the Company has an additional retraction right for those shareholders not wishing to continue holding their investment, allowing existing shareholders to tender one or both classes of Shares and receive a retraction price based on the November 29, 2019 net asset value per unit. Alternatively, shareholders may sell their shares for the market price at any time, potentially at a higher price than would be achieved through retraction, or shareholders may take no action and continue to hold their shares.

The Company invests in a high quality portfolio of leading Canadian dividend-yielding stocks as follows: Bank of Montreal, Bank of Nova Scotia, Canadian Imperial Bank of Commerce, Royal Bank of Canada, Toronto-Dominion Bank, National Bank of Canada, CI Financial Corp., BCE Inc., Manulife Financial, Enbridge, Sun Life Financial, TELUS Corporation, Thomson Reuters Corporation, TransAlta Corporation, TC Energy Corporation.

DF.PR.A was added to the HIMIPref™ universe in May 2008, as a 5.25% Split Share maturing 2014-12-1. It was hammered in the Credit Crunch, but survived and a five year term extension with unchanged dividend was proposed in May 2013 which was approved in June 2013. Notice of extension to 2024 was given in February, 2019

The NAVPU (for Whole Units) was 15.14 as of 2019-9-13. Opportunistic treasury issuance of Whole Units over the years has increased the assets of the fund to $242-million as of 2019-8-30.

DFN.PR.A To Reset To 5.50% On Extension

Thursday, September 19th, 2019

Quadravest has announced:

Dividend 15 Split Corp. (the “Company”) previously announced on February 21, 2019 it will extend the termination date of the Company a further five year period from December 1, 2019 to December 1, 2024.

In connection with the extension, the Company will amend the dividend entitlement of the DFN.PR.A Preferred Shares (“Preferred Shares”) for the five year renewal period effective December 1, 2019, to pay a fixed cumulative preferential monthly dividend at an annual rate equivalent to 5.5% based on the $10 repayment value. The Preferred Share distribution rate is based on current market rates for preferred shares with similar terms. Preferred shareholders have received a total of $8.11 per share in distributions since inception. The dividend policy for the DFN Class A Shares (“Class A Shares”) will remain unchanged.

In relation to the term extension and the Preferred Share rate increase, the Company has an additional retraction right for those shareholders not wishing to continue holding their investment, allowing existing shareholders to tender one or both classes of Shares and receive a retraction price based on the November 29, 2019 net asset value per unit.

Alternatively, shareholders may sell their shares for the market price at any time, potentially at a higher price than would be achieved through retraction, or shareholders may take no action and continue to hold their shares.

The Company invests in a high quality portfolio of leading Canadian dividend-yielding stocks as follows: Bank of Montreal, Bank of Nova Scotia, Canadian Imperial Bank of Commerce, Royal Bank of Canada, TorontoDominion Bank, National Bank of Canada, CI Financial Corp., BCE Inc., Manulife Financial, Enbridge, Sun Life Financial, TELUS Corporation, Thomson Reuters Corporation, TransAlta Corporation, TC Energy Corporation.

DFN.PR.A was first traded 2004-3-16 as a 5.25% Split Share scheduled to mature 2009-12-1. A Special Resolution was proposed in April 2007 to extend term to 2014-12-1 with an unchanged dividend. The proposal was approved and shareholders had a wild ride during the Credit Crunch. There was another term extension approved in June 2013 with the dividend remaining unchanged. The fund then swallowed up CGQ & CGQ.E as well as STQ / STQ.E. The extension to 2024 was announced in February, 2019.

The NAVPU of the Whole Units of the fund is 17.79 as of 2019-09-13. Frequent treasury offerings of Whole Units have increased the size of the company to $864-million as of 2019-8-30.

DC.PR.B / DC.PR.D : Small Net Conversion To FloatingReset

Thursday, September 19th, 2019

Dundee Corporation has announced:

that 651,862 of its Cumulative 5-Year Rate Reset First Preference Shares, Series 2 (“Series 2 Shares”) will be converted, on a one for one basis, into Cumulative Floating Rate First Preference Shares, Series 3 (“Series 3 Shares”) of the Company and 349,755 Series 3 Shares will be converted into Series 2 Shares, in each case effective September 30, 2019. As a result, on September 30, 2019, Dundee will have 3,177,278 Series 2 Shares and 2,022,722 Series 3 Shares issued and outstanding, less any Series 2 Shares and Series 3 Shares purchased by the Company for cancellation pursuant to the previously announced normal course issuer bids.

Holders will again have the opportunity to convert their Series 2 Shares into Series 3 or to convert their Series 3 Shares into Series 2 Shares on September 30, 2024, and every five years thereafter as long as the Series 2 Shares and Series 3 Shares remain outstanding.

So that’s a net conversion of just under 6% from DC.PR.B, the FixedReset, to DC.PR.D, the FloatingReset, leaving DC.PR.B with about 61% of the total.

DC.PR.B is a FixedReset, 5.688%+410, that commenced trading 2009-9-15 with a 6.75% coupon after being announced 2009-8-25. It reset to 5.688% effective 2014-09-30. I made no recommendation regarding conversion. Now, DC.PR.B will reset at 5.284% effective September 30, 2019. I recommended retaining, or converting to, DC.PR.B. It is tracked by HIMIPref™ but is relegated to the Scraps – FixedReset (Discount) subindex on credit concerns.

DC.PR.D is a FloatingReset, +410, that came into existence via a partial conversion from DC.PR.B. It is tracked by HIMIPref™ but relegated to the Scraps – FloatingReset subindex on credit concerns.

September 18, 2019

Thursday, September 19th, 2019

So, the Fed cut by a quarter:

Information received since the Federal Open Market Committee met in July indicates that the labor market remains strong and that economic activity has been rising at a moderate rate. Job gains have been solid, on average, in recent months, and the unemployment rate has remained low. Although household spending has been rising at a strong pace, business fixed investment and exports have weakened. On a 12-month basis, overall inflation and inflation for items other than food and energy are running below 2 percent. Market-based measures of inflation compensation remain low; 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 light of the implications of global developments for the economic outlook as well as muted inflation pressures, the Committee decided to lower the target range for the federal funds rate to 1-3/4 to 2 percent. This action supports the Committee’s view that sustained expansion of economic activity, strong labor market conditions, and inflation near the Committee’s symmetric 2 percent objective are the most likely outcomes, but uncertainties about this outlook remain. As the Committee contemplates the future path of the target range for the federal funds rate, it will continue to monitor the implications of incoming information for the economic outlook and will act as appropriate to sustain the expansion, with a strong labor market and inflation near its symmetric 2 percent objective.

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 monetary policy action were Jerome H. Powell, Chair, John C. Williams, Vice Chair; Michelle W. Bowman; Lael Brainard; Richard H. Clarida; Charles L. Evans; and Randal K. Quarles. Voting against the action were James Bullard, who preferred at this meeting to lower the target range for the federal funds rate to 1-1/2 to 1-3/4 percent; and Esther L. George and Eric S. Rosengren, who preferred to maintain the target range at 2 percent to 2-1/4 percent.

The voting was interesting, with two hawks and one dove dissenting, which underscores the uncertainty that prevails globally. Of course, there’s there’s one guy who’s never uncertain:

“Jay Powell and the Federal Reserve Fail Again. No “guts,” no sense, no vision! A terrible communicator!,” Mr. Trump said in a tweet shortly after the Fed’s announcement, referring to Jerome H. Powell, the Fed Chair.

Equities fell initially, and then:

But stocks reversed their slide during Powell’s news conference following the policy decision, during which he said the Fed is closely monitoring economic data, trade and global growth risks, but did not see imminent recession, or think the central bank would cut rates to negative territory.

U.S. Treasury yields dipped following Powell’s remarks.

Benchmark 10-year notes last rose 7/32 in price to yield 1.7909%, from 1.814% late on Tuesday. The 30-year bond last rose 23/32 in price to yield 2.2471%, from 2.28% late on Tuesday.

The dollar strengthened following the Fed’s rate cut. The dollar index rose 0.28%, with the euro down 0.36% to $1.1031.

And in the frozen north:

The Canadian dollar weakened to a two-week low against its U.S. counterpart on Wednesday as oil prices fell and after the U.S. Federal Reserve was less dovish than some investors had anticipated.

Canadian government bond prices were higher across a flatter
yield curve. The two-year rose 2.5 Canadian cents to yield 1.598% and the 10-year was up 15 Canadian cents to yield 1.433%.

The 10-year yield touched its lowest intraday since Sept. 12 at 1.409%.

PerpetualDiscounts now yield 5.57%, equivalent to 7.24% interest at the standard equivalency factor of 1.3x. Long corporates now yield 3.48%, so the pre-tax interest-equivalent spread (in this context, the “Seniority Spread”) has plunged to 375bp from the 415bp reported September 11.

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< br>Value
Median
Mod Dur
(YTW)
Issues Day’s Perf. Index Value
Ratchet 0.00 % 0.00 % 0 0.0
0
0 -1.1797 % 1,898.2
FixedFloater 0.00 % 0.00 % 0 0.00 0 -1.1797 % 3,483.0
Floater 6.35 % 6.47 % 56,467 13.25 4 -1.1797 % 2,007.3
OpRet 0.00 % 0.00 % 0 0.00 0 -0.1014 % 3,379.9
SplitShare 4.66 % 4.61 % 56,797 4.02 7 -0.1014 % 4,036.3
Interest-Bearing 0.00 % 0.00 % 0 0.00 0 -0.1014 % 3,149.3
Perpetual-Premium 5.61 % -14.96 % 68,907 0.09 6 0.0130 % 2,985.2
Perpetual-Discount 5.42 % 5.57 % 62,979 14.48 28 0.2229 % 3,159.7
FixedReset Disc 5.56 % 5.63 % 173,943 14.2
6
73 -0.4811 % 2,063.8
Deemed-Retractible 5.24 % 5.84 % 74,629 7.91 27 0.2207 % 3,142.8
FloatingReset 4.50 % 6.70 % 61,966 8.04 3 0.0588 % 2,363.2
FixedReset Prem< /td> 5.25 % 4.00 % 126,743 1.60 14 0.0112 % 2,584.3
FixedReset Bank Non 1.98 % 4.46 % 85,862 2.29 3 -0.2632 % 2,662.5
FixedReset Ins Non 5.46 % 8.01 % 107,184 7.90 21 -0.3479 % 2,116.3
Performance Highlights
Issue Index Change Notes
BAM.PF.G FixedReset Disc -4.48 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-09-18
Maturity Price : 16.85
Evaluated at bid price : 16.85
Bid-YTW : 6.48 %
BAM.PF.E FixedReset Disc -2.23 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-09-18
Maturity Price : 15.75
Evaluated at bid price : 15.75
Bid-YTW : 6.49 %
RY.PR.M FixedReset Disc -2.00 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-09-18
Maturity Price : 18.13
Evaluated at bid price : 18.13
Bid-YTW : 5.70 %
HSE.PR.A FixedReset Disc -1.90 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-09-18
Maturity Price : 11.35
Evaluated at bid price : 11.35
Bid-YTW : 6.95 %
PWF.PR.A Floater -1.84 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-09-18
Maturity Price : 11.76
Evaluated at bid price : 11.76
Bid-YTW : 5.95 %
BIP.PR.F FixedReset Disc -1.81 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-09-18
Maturity Price : 21.39
Evaluated at bid price : 21.70
Bid-YTW : 5.89 %
TD.PF.B FixedReset Disc -1.73 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-09-18
Maturity Price : 17.05
Evaluated at bid price : 17.05
Bid-YTW : 5.58 %
TD.PF.A FixedReset Disc -1.62 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-09-18
Maturity Price : 17.01
Evaluated at bid price : 17.01
Bid-YTW : 5.59 %
NA.PR.G FixedReset Disc -1.61 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-09-18
Maturity Price : 19.51
Evaluated at bid price : 19.51
Bid-YTW : 5.77 %
RY.PR.S FixedReset Disc -1.60 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-09-18
Maturity Price : 19.67
Evaluated at bid price : 19.67
Bid-YTW : 5.28 %
RY.PR.Z FixedReset Disc -1.53 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-09-18
Maturity Price : 17.33
Evaluated at bid price : 17.33
Bid-YTW : 5.41 %
SLF.PR.H FixedReset Ins Non -1.45 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2030-01-31
Maturity Price : 25.00
Evaluated at bid price : 15.62
Bid-YTW : 9.17 %
CM.PR.S FixedReset Disc -1.44 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-09-18
Maturity Price : 18.50
Evaluated at bid price : 18.50
Bid-YTW : 5.59 %
TD.PF.E FixedReset Disc -1.42 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-09-18
Maturity Price : 19.46
Evaluated at bid price : 19.46
Bid-YTW : 5.65 %
MFC.PR.Q FixedReset Ins Non -1.41 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2030-01-31
Maturity Price : 25.00
Evaluated at bid price : 18.20
Bid-YTW : 8.35 %
BAM.PR.B Floater -1.39 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-09-18
Maturity Price : 10.64
Evaluated at bid price : 10.64
Bid-YTW : 6.52 %
EMA.PR.C FixedReset Disc -1.38 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-09-18
Maturity Price : 17.90
Evaluated at bid price : 17.90
Bid-YTW : 6.07 %
IAF.PR.I FixedReset Ins Non -1.33 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2030-01-31
Maturity Price : 25.00
Evaluated at bid price : 19.30
Bid-YTW : 7.75 %
BMO.PR.S FixedReset Disc -1.30 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-09-18
Maturity Price : 17.50
Evaluated at bid price : 17.50
Bid-YTW : 5.54 %
CM.PR.P FixedReset Disc -1.29 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-09-18
Maturity Price : 16.10
Evaluated at bid price : 16.10
Bid-YTW : 5.91 %
NA.PR.W FixedReset Disc -1.25 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-09-18
Maturity Price : 15.85
Evaluated at bid price : 15.85
Bid-YTW : 6.00 %
BAM.PR.R FixedReset Disc -1.15 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-09-18
Maturity Price : 14.58
Evaluated at bid price : 14.58
Bid-YTW : 6.40 %
CM.PR.R FixedReset Disc -1.12 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-09-18
Maturity Price : 21.20
Evaluated at bid price : 21.20
Bid-YTW : 5.74 %
BNS.PR.I FixedReset Disc -1.07 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-09-18
Maturity Price : 20.30
Evaluated at bid price : 20.30
Bid-YTW : 5.21 %
MFC.PR.J FixedReset Ins Non -1.05 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2030-01-31
Maturity Price : 25.00
Evaluated at bid price : 18.80
Bid-YTW : 7.97 %
BAM.PR.K Floater -1.04 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-09-18
Maturity Price : 10.45
Evaluated at bid price : 10.45
Bid-YTW : 6.64 %
MFC.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 : 15.76
Bid-YTW : 9.53 %
BMO.PR.E FixedReset Disc -1.00 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-09-18
Maturity Price : 19.80
Evaluated at bid price : 19.80
Bid-YTW : 5.55 %
PWF.PR.T FixedReset Disc 1.46 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-09-18
Maturity Price : 17.40
Evaluated at bid price : 17.40
Bid-YTW : 5.78 %
GWO.PR.T Deemed-Retractible 1.50 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2030-01-31
Maturity Price : 25.00
Evaluated at bid price : 23.75
Bid-YTW : 5.81 %
GWO.PR.S Deemed-Retractible 1.63 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2030-01-31
Maturity Price : 25.00
Evaluated at bid price : 24.29
Bid-YTW : 5.63 %
Volume Highlights
Issue Index Shares
Traded
Notes
RY.PR.Q FixedReset Prem 70,400 YTW SCENARIO
Maturity Type : Call
Maturity Date : 2021-05-24
Maturity Price : 25.00
Evaluated at bid price : 25.70
Bid-YTW : 4.00 %
HSE.PR.C FixedReset Disc 37,023 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-09-18
Maturity Price : 16.84
Evaluated at bid price : 16.84
Bid-YTW : 6.91 %
RY.PR.S FixedReset Disc 29,500 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-09-18
Maturity Price : 19.67
Evaluated at bid price : 19.67
Bid-YTW : 5.28 %
MFC.PR.R FixedReset Ins Non 26,200 YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2030-01-31
Maturity Price : 25.00
Evaluated at bid price : 23.99
Bid-YTW : 5.75 %
SLF.PR.J FloatingReset 24,400 YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2030-01-31
Maturity Price : 25.00
Evaluated at bid price : 13.34
Bid-YTW : 10.54 %
IFC.PR.A FixedReset Ins Non 22,229 YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2030-01-31
Maturity Price : 25.00
Evaluated at bid price : 14.58
Bid-YTW : 9.81 %
There were 21 other index-included issues trading in excess of 10,000 shares.
Wide Spread Highlights
Issue Index Quote Data and Yield Notes
BNS.PR.D FloatingReset Quote: 24.50 – 24.99
Spot Rate : 0.4900
Average : 0.3522


YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2022-01-31
Maturity Price : 25.00
Evaluated at bid price : 24.50
Bid-YTW : 3.67 %
TD.PF.E FixedReset Disc Quote: 19.46 – 19.86
Spot Rate : 0.4000
Average : 0.2848


YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-09-18
Maturity Price : 19.46
Evaluated at bid price : 19.46
Bid-YTW : 5.65 %
MFC.PR.B Deemed-Retractible Quote: 21.60 – 22.04
Spot Rate : 0.4400
Average : 0.3286


YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2030-01-31
Maturity Price : 25.00
Evaluated at bid price : 21.60
Bid-YTW : 6.51 %
BAM.PR.B Floater Quote: 10.64 – 10.90
Spot Rate : 0.2600
Average : 0.1545


YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-09-18
Maturity Price : 10.64
Evaluated at bid price : 10.64
Bid-YTW : 6.52 %
BAM.PR.X FixedReset Disc Quote: 12.79 – 13.19
Spot Rate : 0.4000
Average : 0.2982


YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-09-18
Maturity Price : 12.79
Evaluated at bid price : 12.79
Bid-YTW : 6.29 %
TD.PF.B FixedReset Disc Quote: 17.05 – 17.38
Spot Rate : 0.3300
Average : 0.2285


YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-09-18
Maturity Price : 17.05
Evaluated at bid price : 17.05
Bid-YTW : 5.58 %

TRP.PR.E To Be Extended

Thursday, September 19th, 2019

TC Energy Corporation has announced:

that it does not intend to exercise its right to redeem its Cumulative Redeemable First Preferred Shares, Series 9 (Series 9 Shares) on October 30, 2019. As a result, subject to certain conditions, the holders of Series 9 Shares have the right to choose one of the following options with regard to their shares:

to retain any or all of their Series 9 Shares and continue to receive a fixed rate quarterly dividend; or

to convert, on a one-for-one basis, any or all of their Series 9 Shares into Cumulative Redeemable First Preferred Shares, Series 10 (Series 10 Shares) of TC Energy and receive a floating rate quarterly dividend.
The dividend rate applicable to the Series 9 Shares for the five-year period commencing on October 30, 2019 to, but excluding, October 30, 2024 will equal the Government of Canada five-year bond yield on October 1, 2019 plus 2.35 per cent. The dividend rate applicable to the Series 10 Shares for the three-month period commencing on October 30, 2019 to, but excluding, January 30, 2020 will equal the Government of Canada 90-day treasury bill rate on October 1, 2019 plus 2.35 per cent. Both rates will be calculated according to the terms of the prospectus supplement dated January 13, 2014 and announced by way of a news release on October 1, 2019.

Beneficial owners of Series 9 Shares who want 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 October 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 nominee with time to complete the necessary steps.

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.

Beneficial owners of Series 9 Shares who do not provide notice or communicate with their broker or other nominee by the deadline will retain their Series 9 Shares and receive the new annual fixed dividend rate applicable to the Series 9 Shares, subject to the conditions stated above.

Holders of the Series 9 Shares and the Series 10 Shares will have the opportunity to convert their shares again on October 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 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 the Corporation’s website.

TRP.PR.E is a FixedReset, 4.25%+235, that commenced trading 2014-1-20 after being announced 2014-1-13. It is tracked by HIMIPref™ and assigned to the FixedReset-Discount subindex.

I will have more to say once the reset rate is announced October 1.