Archive for September, 2019

ALA.PR.G : Some Conversion To FloatingReset

Tuesday, September 24th, 2019

An eMailed inquiry to AltaGas Ltd. regarding the recently expired conversion option for ALA.PR.G resulted in the following reply (in part):

We will announce the full details of the election on September 30th, but at this time we can confirm that there were enough Series G shares tendered for conversion into floating rate Series H shares and therefore Series H shares will be issued on September 30th.

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. 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.

Well! This is interesting news – there hasn’t been a new FloatingReset issue since ENB.PR.B partially converted in May, 2017 although there was some minor adjustment with the DC.PR.B / DC.PR.D conversion earlier this month.

September 23, 2019

Monday, September 23rd, 2019

A nice piece in the Globe today about Canada’s rentier economy:

We have to think about what most people rely on nowadays to support themselves and secure their futures. And the answer is assets – housing assets in particular. It’s no longer our salaries or incomes, nor even our pensions. Rather, Canada has become an asset-based economy in which it’s now a viable choice to buy a house far above your income threshold and sit tight – renting out rooms to pay the mortgage you can’t afford on your own income alone – waiting for its value to appreciate.

But there are perils to relying on this sort of economy for our future. An asset-based economy is underpinned by continuous asset price inflation alongside the suppression of income inflation, meaning a rising debt-to-income ratio is built in.

Another example of the asset based nature of our economy is the banks.

The banks now basically control the entire Canadian financial system – rather than simply being an important part of it – with their oligopoly protected from foreign competition by legislation and, to a slightly lesser extent, from new domestic competition by regulation.

A huge chunk of the Toronto Stock Exchange index is comprised of banks. with over 35% of the S&P/TSX 60 index being financial players; compared to less than 15% of the S&P 500.

And, I suggest, any attempt to introduce any real competition to the Canadian financial system – loosening Bank Act restrictions of foreign ownership and restricting bank encroachment on asset management and insurance – would be met by howls of outrage from the rent-seekers who invest in them.

And it appears that Mohamed A. El-Erian is as concerned as I am (see September 20) about the Fed response to the repo blip (from his Facebook page):

The longer this continues, and it will for now, the more it will be seen by investors as (pick your term):
  • stealth QE,
  • QE lite,
  • backdoor QE,
  • etc….

The big question is whether, for markets conditioned and empowered to believe they can force the hands of the Federal Reserve, this will be seen as a prelude to the formal resumption of a QE program.

repoblip_190923
Click for Big
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 1.5575 % 1,932.1
FixedFloater 0.00 % 0.00 % 0 0.00 0 1.5575 % 3,545.4
Floater 6.24 % 6.39 % 51,847 13.35 4 1.5575 % 2,043.2
OpRet 0.00 % 0.00 % 0 0.00 0 -0.1297 % 3,377.2
SplitShare 4.67 % 4.61 % 55,914 4.01 7 -0.1297 % 4,033.1
Interest-Bearing 0.00 % 0.00 % 0 0.00 0 -0.1297 % 3,146.8
Perpetual-Premium 5.61 % -18.22 % 67,565 0.09 6 0.1772 % 2,990.1
Perpetual-Discount 5.41 % 5.56 % 65,088 14.50 28 0.0950 % 3,171.0
FixedReset Disc 5.56 % 5.51 % 175,427 14.39 73 0.0672 % 2,062.6
Deemed-Retractible 5.22 % 5.80 % 75,332 7.90 27 0.0047 % 3,152.9
FloatingReset 4.56 % 6.73 % 60,503 7.95 3 -0.4924 % 2,336.9
FixedReset Prem 5.24 % 3.92 % 127,961 1.58 14 0.0028 % 2,586.5
FixedReset Bank Non 1.98 % 4.28 % 84,939 2.28 3 0.0974 % 2,661.7
FixedReset Ins Non 5.51 % 8.07 % 105,684 7.91 21 -0.2886 % 2,095.7
Performance Highlights
Issue Index Change Notes
SLF.PR.J FloatingReset -1.84 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2030-01-31
Maturity Price : 25.00
Evaluated at bid price : 12.77
Bid-YTW : 11.13 %
IAF.PR.G FixedReset Ins Non -1.58 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2030-01-31
Maturity Price : 25.00
Evaluated at bid price : 18.70
Bid-YTW : 7.69 %
SLF.PR.G FixedReset Ins Non -1.47 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2030-01-31
Maturity Price : 25.00
Evaluated at bid price : 12.76
Bid-YTW : 10.73 %
MFC.PR.H FixedReset Ins Non -1.40 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2030-01-31
Maturity Price : 25.00
Evaluated at bid price : 20.41
Bid-YTW : 7.03 %
IAF.PR.I FixedReset Ins Non -1.36 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2030-01-31
Maturity Price : 25.00
Evaluated at bid price : 18.90
Bid-YTW : 7.96 %
PWF.PR.P FixedReset Disc -1.28 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-09-23
Maturity Price : 12.36
Evaluated at bid price : 12.36
Bid-YTW : 6.03 %
BAM.PR.X FixedReset Disc -1.09 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-09-23
Maturity Price : 12.70
Evaluated at bid price : 12.70
Bid-YTW : 6.16 %
MFC.PR.C Deemed-Retractible -1.00 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2030-01-31
Maturity Price : 25.00
Evaluated at bid price : 20.75
Bid-YTW : 6.87 %
CU.PR.D Perpetual-Discount 1.00 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-09-23
Maturity Price : 22.93
Evaluated at bid price : 23.22
Bid-YTW : 5.31 %
BAM.PR.B Floater 1.02 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-09-23
Maturity Price : 10.86
Evaluated at bid price : 10.86
Bid-YTW : 6.39 %
GWO.PR.R Deemed-Retractible 1.11 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2030-01-31
Maturity Price : 25.00
Evaluated at bid price : 22.80
Bid-YTW : 5.98 %
CM.PR.R FixedReset Disc 1.18 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-09-23
Maturity Price : 21.40
Evaluated at bid price : 21.40
Bid-YTW : 5.58 %
SLF.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 : 18.25
Bid-YTW : 7.93 %
HSE.PR.C FixedReset Disc 1.47 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-09-23
Maturity Price : 16.61
Evaluated at bid price : 16.61
Bid-YTW : 6.85 %
TD.PF.A FixedReset Disc 1.60 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-09-23
Maturity Price : 17.15
Evaluated at bid price : 17.15
Bid-YTW : 5.38 %
BAM.PF.J FixedReset Disc 1.78 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-09-23
Maturity Price : 23.20
Evaluated at bid price : 24.62
Bid-YTW : 4.76 %
BAM.PR.K Floater 2.47 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-09-23
Maturity Price : 10.80
Evaluated at bid price : 10.80
Bid-YTW : 6.43 %
PWF.PR.A Floater 2.59 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-09-23
Maturity Price : 11.90
Evaluated at bid price : 11.90
Bid-YTW : 5.89 %
Volume Highlights
Issue Index Shares
Traded
Notes
RY.PR.M FixedReset Disc 95,395 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-09-23
Maturity Price : 18.15
Evaluated at bid price : 18.15
Bid-YTW : 5.55 %
PVS.PR.E SplitShare 69,750 YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2022-10-31
Maturity Price : 25.00
Evaluated at bid price : 25.46
Bid-YTW : 4.97 %
CU.PR.I FixedReset Prem 66,500 YTW SCENARIO
Maturity Type : Call
Maturity Date : 2020-12-01
Maturity Price : 25.00
Evaluated at bid price : 25.71
Bid-YTW : 2.31 %
TD.PF.E FixedReset Disc 45,650 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-09-23
Maturity Price : 19.45
Evaluated at bid price : 19.45
Bid-YTW : 5.52 %
BNS.PR.Y FixedReset Bank Non 39,200 YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2022-01-31
Maturity Price : 25.00
Evaluated at bid price : 24.44
Bid-YTW : 3.43 %
HSE.PR.G FixedReset Disc 35,800 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-09-23
Maturity Price : 17.50
Evaluated at bid price : 17.50
Bid-YTW : 7.05 %
There were 23 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: 17.93 – 18.49
Spot Rate : 0.5600
Average : 0.3832

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-09-23
Maturity Price : 17.93
Evaluated at bid price : 17.93
Bid-YTW : 5.87 %

CM.PR.P FixedReset Disc Quote: 16.14 – 16.61
Spot Rate : 0.4700
Average : 0.3103

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-09-23
Maturity Price : 16.14
Evaluated at bid price : 16.14
Bid-YTW : 5.73 %

BNS.PR.Y FixedReset Bank Non Quote: 24.44 – 24.86
Spot Rate : 0.4200
Average : 0.3041

YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2022-01-31
Maturity Price : 25.00
Evaluated at bid price : 24.44
Bid-YTW : 3.43 %

BMO.PR.C FixedReset Disc Quote: 22.00 – 22.30
Spot Rate : 0.3000
Average : 0.1983

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-09-23
Maturity Price : 21.59
Evaluated at bid price : 22.00
Bid-YTW : 5.36 %

MFC.PR.H FixedReset Ins Non Quote: 20.41 – 20.74
Spot Rate : 0.3300
Average : 0.2305

YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2030-01-31
Maturity Price : 25.00
Evaluated at bid price : 20.41
Bid-YTW : 7.03 %

TRP.PR.F FloatingReset Quote: 13.25 – 13.51
Spot Rate : 0.2600
Average : 0.1724

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-09-23
Maturity Price : 13.25
Evaluated at bid price : 13.25
Bid-YTW : 6.73 %

VNR.PR.A Close To Closing Acquisition

Monday, September 23rd, 2019

Valener Inc. has announced:

that following the regulatory approval process led by Noverco Acquisition, Inc. (the “Acquirer”) before the Vermont Public Utility Commission (“VPUC”), the VPUC has given its approval to the Acquirer, a wholly-owned subsidiary of Noverco Inc., to proceed with the acquisition of all of the issued and outstanding common shares and all of the issued and outstanding preferred shares of Valener (the “Transaction”). The parties are now authorized to complete the Transaction pursuant to the terms of the arrangement agreement publicly announced on March 27, 2019 (the “Arrangement”).

Following the evidentiary hearing that took place on July 23, 2019 and the review of the Transaction, the VPUC, in a binding decision, concluded that the “proposed acquisition by Noverco Inc. of an additional indirect ownership interest in Vermont Gas System Inc., Green Mountain Power Corporation (“GMP”) and subsidiaries of GMP will promote the public good and is approved by the Commission pursuant to 30 V.S.A. 107.”

Filing of Articles of Arrangement with the Director of Corporations Canada

Obtaining the VPUC approval for the Acquirer represented the last condition of a regulatory nature required to close the Transaction.

Therefore, pursuant to the terms of the Arrangement, Valener will file within five business days the articles of arrangement with the Director of Corporations Canada as required under Section 192 of the Canada Business Corporations Act, which means closing is scheduled to occur on or before September 27, 2019, at 12:01 a.m..The effective date of the Transaction, which is the date that will appear on the certificate of arrangement issued by the Director of Corporations Canada pursuant to applicable legislation (the “Certificate”), will be confirmed in a subsequent press release once the Certificate has been received by Valener.

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 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 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 %

Update, 2019-9-25, referred to in comments: From the report Combatting Money Laundering in BC Real Estate:

launderingflows_190925
Click for Big

… and from a blog (I couldn’t find an actual Bank of Canada chart with this information, but this chart looks right):

canadian-households-total-mortgage-oustanding
Click for Big

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.