Archive for February, 2020

February 25, 2020

Tuesday, February 25th, 2020
explosion_200225
Click for Big

Attack of the corona virus … Day 2:

A day after its worst one-day slide in two years, the S&P 500 closed down 3 percent on Tuesday, a decline that put the index deeper in the red for 2020.

Investors moved into the safety of government bonds, pushing their prices up and yields down. The yield on the 10-year Treasury note closed at a record low of 1.335 percent and the 30-year bond also dropped to a record of 1.81 percent — two signals that investors expect growth in the United States to slow.

In comments on Tuesday, [Federal Reserve] Vice Chairman Richard H. Clarida signaled that Fed was not yet ready to act, though it is monitoring economic developments related to the virus.

But in recent days, the market-based probability — derived from prices in the Fed funds futures market — of a rate cut at the Fed’s April meeting jumped to over 60 percent, according to data from CME. Last Wednesday, when markets were at record highs, the market was putting odds of a cut at the April meeting at less than 25 percent.

TXPR closed at 607.70, down 0.70% on the day. Volume was 1.83-million, about average in the context of the past thirty days.

CPD closed at 12.13, down 0.82% on the day. Volume of 109,537 was the fourth-highest of the past 30 days.

ZPR closed at 9.72, down 1.32% on the day. Volume of 301,864 was fifth-highest of the past 30 days.

Five-year Canada yields were unchanged at 1.22% today.

So … players are still using preferred shares to speculate on interest rates. Damned if I understand it.

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 -1.2947 % 1,990.1
FixedFloater 0.00 % 0.00 % 0 0.00 0 -1.2947 % 3,651.8
Floater 6.15 % 6.40 % 52,791 13.25 4 -1.2947 % 2,104.6
OpRet 0.00 % 0.00 % 0 0.00 0 -0.2215 % 3,483.4
SplitShare 4.78 % 4.28 % 45,919 4.12 6 -0.2215 % 4,159.9
Interest-Bearing 0.00 % 0.00 % 0 0.00 0 -0.2215 % 3,245.7
Perpetual-Premium 5.55 % 1.13 % 59,905 0.09 12 -0.0460 % 3,067.5
Perpetual-Discount 5.19 % 5.27 % 67,777 15.01 24 -0.1166 % 3,368.0
FixedReset Disc 5.63 % 5.40 % 173,953 14.72 64 -1.4369 % 2,128.1
Deemed-Retractible 5.11 % 5.22 % 74,848 14.85 27 -0.2404 % 3,275.3
FloatingReset 6.23 % 6.22 % 59,543 13.57 3 -2.1436 % 2,432.9
FixedReset Prem 5.08 % 3.62 % 128,758 1.41 22 -0.0053 % 2,660.3
FixedReset Bank Non 1.93 % 3.45 % 88,314 1.88 3 0.1088 % 2,750.2
FixedReset Ins Non 5.50 % 5.36 % 104,988 14.79 22 -1.8015 % 2,150.7
Performance Highlights
Issue Index Change Notes
TRP.PR.B FixedReset Disc -4.93 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-02-25
Maturity Price : 10.80
Evaluated at bid price : 10.80
Bid-YTW : 5.88 %
TRP.PR.F FloatingReset -4.93 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-02-25
Maturity Price : 13.51
Evaluated at bid price : 13.51
Bid-YTW : 6.67 %
HSE.PR.E FixedReset Disc -4.26 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-02-25
Maturity Price : 18.00
Evaluated at bid price : 18.00
Bid-YTW : 6.79 %
BAM.PF.E FixedReset Disc -4.10 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-02-25
Maturity Price : 15.89
Evaluated at bid price : 15.89
Bid-YTW : 6.04 %
TRP.PR.E FixedReset Disc -3.88 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-02-25
Maturity Price : 15.85
Evaluated at bid price : 15.85
Bid-YTW : 5.78 %
TRP.PR.C FixedReset Disc -3.69 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-02-25
Maturity Price : 11.47
Evaluated at bid price : 11.47
Bid-YTW : 6.03 %
HSE.PR.A FixedReset Disc -3.59 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-02-25
Maturity Price : 10.75
Evaluated at bid price : 10.75
Bid-YTW : 6.90 %
TRP.PR.D FixedReset Disc -3.26 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-02-25
Maturity Price : 16.00
Evaluated at bid price : 16.00
Bid-YTW : 5.81 %
TRP.PR.A FixedReset Disc -3.06 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-02-25
Maturity Price : 14.25
Evaluated at bid price : 14.25
Bid-YTW : 5.78 %
SLF.PR.H FixedReset Ins Non -2.85 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-02-25
Maturity Price : 15.69
Evaluated at bid price : 15.69
Bid-YTW : 5.41 %
IFC.PR.C FixedReset Ins Non -2.82 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-02-25
Maturity Price : 17.25
Evaluated at bid price : 17.25
Bid-YTW : 5.64 %
TD.PF.D FixedReset Disc -2.78 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-02-25
Maturity Price : 18.86
Evaluated at bid price : 18.86
Bid-YTW : 5.37 %
BAM.PR.C Floater -2.70 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-02-25
Maturity Price : 10.80
Evaluated at bid price : 10.80
Bid-YTW : 6.52 %
IFC.PR.G FixedReset Ins Non -2.63 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-02-25
Maturity Price : 18.52
Evaluated at bid price : 18.52
Bid-YTW : 5.49 %
CM.PR.Q FixedReset Disc -2.63 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-02-25
Maturity Price : 18.16
Evaluated at bid price : 18.16
Bid-YTW : 5.57 %
HSE.PR.G FixedReset Disc -2.50 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-02-25
Maturity Price : 18.30
Evaluated at bid price : 18.30
Bid-YTW : 6.60 %
MFC.PR.I FixedReset Ins Non -2.49 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-02-25
Maturity Price : 18.77
Evaluated at bid price : 18.77
Bid-YTW : 5.50 %
CU.PR.C FixedReset Disc -2.47 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-02-25
Maturity Price : 16.60
Evaluated at bid price : 16.60
Bid-YTW : 5.44 %
MFC.PR.H FixedReset Ins Non -2.46 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-02-25
Maturity Price : 20.18
Evaluated at bid price : 20.18
Bid-YTW : 5.40 %
MFC.PR.M FixedReset Ins Non -2.43 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-02-25
Maturity Price : 17.27
Evaluated at bid price : 17.27
Bid-YTW : 5.28 %
RY.PR.M FixedReset Disc -2.43 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-02-25
Maturity Price : 18.10
Evaluated at bid price : 18.10
Bid-YTW : 5.33 %
TRP.PR.G FixedReset Disc -2.37 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-02-25
Maturity Price : 18.10
Evaluated at bid price : 18.10
Bid-YTW : 5.78 %
MFC.PR.F FixedReset Ins Non -2.35 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-02-25
Maturity Price : 12.06
Evaluated at bid price : 12.06
Bid-YTW : 5.40 %
BMO.PR.Y FixedReset Disc -2.35 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-02-25
Maturity Price : 18.31
Evaluated at bid price : 18.31
Bid-YTW : 5.40 %
MFC.PR.N FixedReset Ins Non -2.31 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-02-25
Maturity Price : 16.47
Evaluated at bid price : 16.47
Bid-YTW : 5.36 %
MFC.PR.R FixedReset Ins Non -2.30 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-02-25
Maturity Price : 23.43
Evaluated at bid price : 23.75
Bid-YTW : 5.29 %
PWF.PR.P FixedReset Disc -2.28 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-02-25
Maturity Price : 12.84
Evaluated at bid price : 12.84
Bid-YTW : 5.50 %
SLF.PR.G FixedReset Ins Non -2.27 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-02-25
Maturity Price : 12.51
Evaluated at bid price : 12.51
Bid-YTW : 5.33 %
MFC.PR.K FixedReset Ins Non -2.26 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-02-25
Maturity Price : 17.28
Evaluated at bid price : 17.28
Bid-YTW : 5.27 %
RY.PR.H FixedReset Disc -2.17 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-02-25
Maturity Price : 17.17
Evaluated at bid price : 17.17
Bid-YTW : 5.16 %
IFC.PR.A FixedReset Ins Non -2.14 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-02-25
Maturity Price : 13.71
Evaluated at bid price : 13.71
Bid-YTW : 5.60 %
RY.PR.J FixedReset Disc -2.10 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-02-25
Maturity Price : 18.65
Evaluated at bid price : 18.65
Bid-YTW : 5.35 %
MFC.PR.G FixedReset Ins Non -2.09 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-02-25
Maturity Price : 18.70
Evaluated at bid price : 18.70
Bid-YTW : 5.49 %
BMO.PR.W FixedReset Disc -2.03 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-02-25
Maturity Price : 16.91
Evaluated at bid price : 16.91
Bid-YTW : 5.28 %
MFC.PR.L FixedReset Ins Non -2.01 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-02-25
Maturity Price : 16.05
Evaluated at bid price : 16.05
Bid-YTW : 5.43 %
BAM.PR.R FixedReset Disc -1.98 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-02-25
Maturity Price : 14.88
Evaluated at bid price : 14.88
Bid-YTW : 5.95 %
BAM.PF.F FixedReset Disc -1.98 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-02-25
Maturity Price : 17.37
Evaluated at bid price : 17.37
Bid-YTW : 5.96 %
BAM.PR.X FixedReset Disc -1.94 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-02-25
Maturity Price : 12.64
Evaluated at bid price : 12.64
Bid-YTW : 5.99 %
MFC.PR.J FixedReset Ins Non -1.93 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-02-25
Maturity Price : 18.85
Evaluated at bid price : 18.85
Bid-YTW : 5.30 %
TD.PF.K FixedReset Disc -1.82 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-02-25
Maturity Price : 19.39
Evaluated at bid price : 19.39
Bid-YTW : 5.22 %
RY.PR.S FixedReset Disc -1.81 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-02-25
Maturity Price : 19.53
Evaluated at bid price : 19.53
Bid-YTW : 4.98 %
CM.PR.O FixedReset Disc -1.73 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-02-25
Maturity Price : 16.50
Evaluated at bid price : 16.50
Bid-YTW : 5.50 %
BAM.PR.T FixedReset Disc -1.64 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-02-25
Maturity Price : 15.00
Evaluated at bid price : 15.00
Bid-YTW : 5.98 %
HSE.PR.C FixedReset Disc -1.61 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-02-25
Maturity Price : 17.12
Evaluated at bid price : 17.12
Bid-YTW : 6.64 %
BIP.PR.A FixedReset Disc -1.57 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-02-25
Maturity Price : 20.05
Evaluated at bid price : 20.05
Bid-YTW : 6.06 %
RY.PR.Z FixedReset Disc -1.55 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-02-25
Maturity Price : 17.12
Evaluated at bid price : 17.12
Bid-YTW : 5.14 %
TD.PF.E FixedReset Disc -1.44 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-02-25
Maturity Price : 19.23
Evaluated at bid price : 19.23
Bid-YTW : 5.36 %
CM.PR.R FixedReset Disc -1.43 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-02-25
Maturity Price : 21.30
Evaluated at bid price : 21.30
Bid-YTW : 5.42 %
BAM.PF.G FixedReset Disc -1.41 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-02-25
Maturity Price : 17.50
Evaluated at bid price : 17.50
Bid-YTW : 5.92 %
TD.PF.A FixedReset Disc -1.40 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-02-25
Maturity Price : 16.91
Evaluated at bid price : 16.91
Bid-YTW : 5.25 %
NA.PR.C FixedReset Disc -1.29 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-02-25
Maturity Price : 21.37
Evaluated at bid price : 21.37
Bid-YTW : 5.45 %
SLF.PR.I FixedReset Ins Non -1.29 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-02-25
Maturity Price : 18.41
Evaluated at bid price : 18.41
Bid-YTW : 5.43 %
BAM.PR.K Floater -1.27 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-02-25
Maturity Price : 10.92
Evaluated at bid price : 10.92
Bid-YTW : 6.44 %
SLF.PR.J FloatingReset -1.25 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-02-25
Maturity Price : 12.65
Evaluated at bid price : 12.65
Bid-YTW : 6.09 %
IAF.PR.G FixedReset Ins Non -1.21 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-02-25
Maturity Price : 18.82
Evaluated at bid price : 18.82
Bid-YTW : 5.44 %
CM.PR.P FixedReset Disc -1.19 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-02-25
Maturity Price : 16.55
Evaluated at bid price : 16.55
Bid-YTW : 5.49 %
TD.PF.J FixedReset Disc -1.15 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-02-25
Maturity Price : 19.70
Evaluated at bid price : 19.70
Bid-YTW : 5.21 %
PWF.PR.T FixedReset Disc -1.11 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-02-25
Maturity Price : 17.80
Evaluated at bid price : 17.80
Bid-YTW : 5.30 %
EMA.PR.C FixedReset Disc -1.10 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-02-25
Maturity Price : 18.00
Evaluated at bid price : 18.00
Bid-YTW : 5.67 %
BMO.PR.C FixedReset Disc -1.09 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-02-25
Maturity Price : 21.46
Evaluated at bid price : 21.81
Bid-YTW : 5.22 %
BMO.PR.S FixedReset Disc -1.09 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-02-25
Maturity Price : 17.30
Evaluated at bid price : 17.30
Bid-YTW : 5.27 %
PWF.PR.A Floater -1.05 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-02-25
Maturity Price : 12.26
Evaluated at bid price : 12.26
Bid-YTW : 5.69 %
POW.PR.D Perpetual-Discount -1.05 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-02-25
Maturity Price : 23.36
Evaluated at bid price : 23.65
Bid-YTW : 5.34 %
MFC.PR.Q FixedReset Ins Non -1.04 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-02-25
Maturity Price : 18.97
Evaluated at bid price : 18.97
Bid-YTW : 5.21 %
BIP.PR.B FixedReset Prem 1.14 % YTW SCENARIO
Maturity Type : Call
Maturity Date : 2020-12-31
Maturity Price : 25.00
Evaluated at bid price : 25.66
Bid-YTW : 3.34 %
Volume Highlights
Issue Index Shares
Traded
Notes
TD.PF.H FixedReset Prem 41,047 YTW SCENARIO
Maturity Type : Call
Maturity Date : 2021-10-31
Maturity Price : 25.00
Evaluated at bid price : 25.59
Bid-YTW : 3.62 %
TD.PF.D FixedReset Disc 31,592 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-02-25
Maturity Price : 18.86
Evaluated at bid price : 18.86
Bid-YTW : 5.37 %
TD.PF.M FixedReset Disc 30,999 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-02-25
Maturity Price : 23.01
Evaluated at bid price : 24.45
Bid-YTW : 4.93 %
BAM.PR.B Floater 26,856 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-02-25
Maturity Price : 11.00
Evaluated at bid price : 11.00
Bid-YTW : 6.40 %
IFC.PR.I Perpetual-Premium 26,500 YTW SCENARIO
Maturity Type : Call
Maturity Date : 2029-03-31
Maturity Price : 25.00
Evaluated at bid price : 25.15
Bid-YTW : 5.37 %
BAM.PR.C Floater 25,500 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-02-25
Maturity Price : 10.80
Evaluated at bid price : 10.80
Bid-YTW : 6.52 %
There were 37 other index-included issues trading in excess of 10,000 shares.
Wide Spread Highlights
Issue Index Quote Data and Yield Notes
BAM.PF.E FixedReset Disc Quote: 15.89 – 16.43
Spot Rate : 0.5400
Average : 0.3222

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-02-25
Maturity Price : 15.89
Evaluated at bid price : 15.89
Bid-YTW : 6.04 %

TD.PF.D FixedReset Disc Quote: 18.86 – 19.33
Spot Rate : 0.4700
Average : 0.2937

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-02-25
Maturity Price : 18.86
Evaluated at bid price : 18.86
Bid-YTW : 5.37 %

MFC.PR.R FixedReset Ins Non Quote: 23.75 – 24.19
Spot Rate : 0.4400
Average : 0.2786

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-02-25
Maturity Price : 23.43
Evaluated at bid price : 23.75
Bid-YTW : 5.29 %

MFC.PR.H FixedReset Ins Non Quote: 20.18 – 20.64
Spot Rate : 0.4600
Average : 0.3293

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-02-25
Maturity Price : 20.18
Evaluated at bid price : 20.18
Bid-YTW : 5.40 %

CU.PR.F Perpetual-Discount Quote: 22.00 – 22.33
Spot Rate : 0.3300
Average : 0.2194

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-02-25
Maturity Price : 22.00
Evaluated at bid price : 22.00
Bid-YTW : 5.14 %

TD.PF.K FixedReset Disc Quote: 19.39 – 19.77
Spot Rate : 0.3800
Average : 0.2717

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-02-25
Maturity Price : 19.39
Evaluated at bid price : 19.39
Bid-YTW : 5.22 %

February 24, 2020

Monday, February 24th, 2020
explosion_200224
Click for Big

Sometimes things work! No sooner do I post a comment deprecating market timing than out jumps a coronavirus to punch us in the nose. Try predicting that in advance!:

The S&P 500 index, which had reached a record high as recently as Wednesday, fell 3.4 percent, its worst single-day performance since February 2018. As analysts issued new warnings that the outbreak could drag down economies around the globe, stocks fell enough to wipe out all of the index’s gains for 2020.

It was a turbulent day for stocks worldwide: European markets recorded their worst session since 2016, and major benchmarks in Asia also closed down.

Airline and technology stocks were particularly hard hit on Monday. Delta Air Lines shares fell 6.3 percent and American Airlines slid 8.5 percent, while Apple stock fell 4.8 percent. The tech-heavy Nasdaq composite index dropped 3.7 percent.

The sell-off continued in Asia on Tuesday morning, starting in Japan: The Nikkei 225 fell about 4 percent after the start of trading in Tokyo.

Oil prices dropped, with a barrel of West Texas Intermediate crude slipping nearly 4 percent to roughly $51, a result of the reduced demand from idled factories and restricted travel.

Investors rushed to safety: Gold — viewed as a haven during market tumult — rose to a seven-year high. It’s up nearly 10 percent since the start of 2020.

And money poured into government bonds, pushing down bond yields, which move in the opposite direction of prices. The yield on the 10-year Treasury note fell to 1.37 percent, near the record low closing of 1.36, a level touched back in July 2016. The yield on the 30-year bond is already in record-low territory at 1.83 percent.

TXPR closed at 611.98, down 0.92% on the day. Volume was 2.21-million, above average in the context of the past thirty days but nothing special.

CPD closed at 12.23, down 1.13% on the day. Volume of 133,936 was the highest of the past 30 days, ahead of the second-place February 5.

ZPR closed at 9.85, down 0.71% on the day. Volume of 795,486 was by far the highest of the past 30 days, well ahead of January 24.

Five-year Canada yields were down 8bp to 1.22% today.

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 -1.8100 % 2,016.3
FixedFloater 0.00 % 0.00 % 0 0.00 0 -1.8100 % 3,699.7
Floater 6.07 % 6.34 % 48,958 13.33 4 -1.8100 % 2,132.2
OpRet 0.00 % 0.00 % 0 0.00 0 -0.0260 % 3,491.1
SplitShare 4.77 % 3.98 % 43,251 3.69 6 -0.0260 % 4,169.1
Interest-Bearing 0.00 % 0.00 % 0 0.00 0 -0.0260 % 3,252.9
Perpetual-Premium 5.55 % 0.95 % 56,988 0.09 12 -0.2817 % 3,069.0
Perpetual-Discount 5.18 % 5.26 % 67,224 15.04 24 -0.3450 % 3,371.9
FixedReset Disc 5.55 % 5.33 % 175,377 14.83 64 -0.9747 % 2,159.2
Deemed-Retractible 5.10 % 5.19 % 74,302 14.87 27 -0.3020 % 3,283.2
FloatingReset 6.10 % 6.22 % 58,930 13.57 3 -2.4556 % 2,486.2
FixedReset Prem 5.08 % 3.56 % 133,958 1.41 22 -0.1646 % 2,660.4
FixedReset Bank Non 1.93 % 3.47 % 88,353 1.88 3 0.0953 % 2,747.2
FixedReset Ins Non 5.40 % 5.23 % 98,986 14.95 22 -0.8597 % 2,190.1
Performance Highlights
Issue Index Change Notes
SLF.PR.J FloatingReset -4.04 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-02-24
Maturity Price : 12.81
Evaluated at bid price : 12.81
Bid-YTW : 6.01 %
BAM.PR.K Floater -2.81 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-02-24
Maturity Price : 11.06
Evaluated at bid price : 11.06
Bid-YTW : 6.36 %
HSE.PR.A FixedReset Disc -2.71 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-02-24
Maturity Price : 11.15
Evaluated at bid price : 11.15
Bid-YTW : 6.65 %
PWF.PR.Q FloatingReset -2.67 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-02-24
Maturity Price : 13.10
Evaluated at bid price : 13.10
Bid-YTW : 6.22 %
NA.PR.S FixedReset Disc -2.46 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-02-24
Maturity Price : 17.47
Evaluated at bid price : 17.47
Bid-YTW : 5.36 %
PWF.PR.P FixedReset Disc -2.45 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-02-24
Maturity Price : 13.14
Evaluated at bid price : 13.14
Bid-YTW : 5.38 %
BAM.PR.T FixedReset Disc -2.43 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-02-24
Maturity Price : 15.25
Evaluated at bid price : 15.25
Bid-YTW : 5.88 %
BAM.PR.B Floater -2.39 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-02-24
Maturity Price : 11.02
Evaluated at bid price : 11.02
Bid-YTW : 6.38 %
SLF.PR.G FixedReset Ins Non -2.36 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-02-24
Maturity Price : 12.80
Evaluated at bid price : 12.80
Bid-YTW : 5.21 %
RY.PR.J FixedReset Disc -2.26 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-02-24
Maturity Price : 19.05
Evaluated at bid price : 19.05
Bid-YTW : 5.23 %
IFC.PR.A FixedReset Ins Non -2.23 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-02-24
Maturity Price : 14.01
Evaluated at bid price : 14.01
Bid-YTW : 5.48 %
BAM.PR.C Floater -2.20 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-02-24
Maturity Price : 11.10
Evaluated at bid price : 11.10
Bid-YTW : 6.34 %
RY.PR.M FixedReset Disc -2.16 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-02-24
Maturity Price : 18.55
Evaluated at bid price : 18.55
Bid-YTW : 5.20 %
BAM.PR.X FixedReset Disc -2.13 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-02-24
Maturity Price : 12.89
Evaluated at bid price : 12.89
Bid-YTW : 5.88 %
CM.PR.Q FixedReset Disc -2.10 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-02-24
Maturity Price : 18.65
Evaluated at bid price : 18.65
Bid-YTW : 5.42 %
HSE.PR.C FixedReset Disc -1.97 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-02-24
Maturity Price : 17.40
Evaluated at bid price : 17.40
Bid-YTW : 6.53 %
TRP.PR.C FixedReset Disc -1.89 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-02-24
Maturity Price : 11.91
Evaluated at bid price : 11.91
Bid-YTW : 5.81 %
SLF.PR.H FixedReset Ins Non -1.88 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-02-24
Maturity Price : 16.15
Evaluated at bid price : 16.15
Bid-YTW : 5.25 %
BIP.PR.A FixedReset Disc -1.83 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-02-24
Maturity Price : 20.37
Evaluated at bid price : 20.37
Bid-YTW : 5.97 %
NA.PR.E FixedReset Disc -1.79 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-02-24
Maturity Price : 18.61
Evaluated at bid price : 18.61
Bid-YTW : 5.35 %
TD.PF.D FixedReset Disc -1.77 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-02-24
Maturity Price : 19.40
Evaluated at bid price : 19.40
Bid-YTW : 5.21 %
BAM.PR.R FixedReset Disc -1.75 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-02-24
Maturity Price : 15.18
Evaluated at bid price : 15.18
Bid-YTW : 5.83 %
SLF.PR.I FixedReset Ins Non -1.74 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-02-24
Maturity Price : 18.65
Evaluated at bid price : 18.65
Bid-YTW : 5.36 %
MFC.PR.F FixedReset Ins Non -1.68 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-02-24
Maturity Price : 12.35
Evaluated at bid price : 12.35
Bid-YTW : 5.27 %
MFC.PR.L FixedReset Ins Non -1.68 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-02-24
Maturity Price : 16.38
Evaluated at bid price : 16.38
Bid-YTW : 5.32 %
NA.PR.C FixedReset Disc -1.55 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-02-24
Maturity Price : 21.34
Evaluated at bid price : 21.65
Bid-YTW : 5.36 %
TD.PF.B FixedReset Disc -1.54 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-02-24
Maturity Price : 17.27
Evaluated at bid price : 17.27
Bid-YTW : 5.18 %
TD.PF.E FixedReset Disc -1.46 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-02-24
Maturity Price : 19.51
Evaluated at bid price : 19.51
Bid-YTW : 5.28 %
TD.PF.C FixedReset Disc -1.42 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-02-24
Maturity Price : 17.41
Evaluated at bid price : 17.41
Bid-YTW : 5.21 %
BMO.PR.T FixedReset Disc -1.40 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-02-24
Maturity Price : 16.96
Evaluated at bid price : 16.96
Bid-YTW : 5.19 %
IFC.PR.C FixedReset Ins Non -1.39 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-02-24
Maturity Price : 17.75
Evaluated at bid price : 17.75
Bid-YTW : 5.48 %
BMO.PR.W FixedReset Disc -1.37 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-02-24
Maturity Price : 17.26
Evaluated at bid price : 17.26
Bid-YTW : 5.17 %
TD.PF.A FixedReset Disc -1.32 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-02-24
Maturity Price : 17.15
Evaluated at bid price : 17.15
Bid-YTW : 5.18 %
BMO.PR.Y FixedReset Disc -1.32 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-02-24
Maturity Price : 18.75
Evaluated at bid price : 18.75
Bid-YTW : 5.27 %
MFC.PR.Q FixedReset Ins Non -1.30 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-02-24
Maturity Price : 19.17
Evaluated at bid price : 19.17
Bid-YTW : 5.15 %
CM.PR.P FixedReset Disc -1.24 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-02-24
Maturity Price : 16.75
Evaluated at bid price : 16.75
Bid-YTW : 5.42 %
CIU.PR.A Perpetual-Discount -1.22 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-02-24
Maturity Price : 21.69
Evaluated at bid price : 21.94
Bid-YTW : 5.25 %
BAM.PF.B FixedReset Disc -1.20 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-02-24
Maturity Price : 18.09
Evaluated at bid price : 18.09
Bid-YTW : 5.62 %
IFC.PR.G FixedReset Ins Non -1.19 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-02-24
Maturity Price : 19.02
Evaluated at bid price : 19.02
Bid-YTW : 5.34 %
IAF.PR.G FixedReset Ins Non -1.19 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-02-24
Maturity Price : 19.05
Evaluated at bid price : 19.05
Bid-YTW : 5.38 %
MFC.PR.K FixedReset Ins Non -1.18 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-02-24
Maturity Price : 17.68
Evaluated at bid price : 17.68
Bid-YTW : 5.15 %
MFC.PR.N FixedReset Ins Non -1.17 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-02-24
Maturity Price : 16.86
Evaluated at bid price : 16.86
Bid-YTW : 5.23 %
BMO.PR.D FixedReset Disc -1.13 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-02-24
Maturity Price : 21.05
Evaluated at bid price : 21.05
Bid-YTW : 5.25 %
CU.PR.F Perpetual-Discount -1.12 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-02-24
Maturity Price : 22.00
Evaluated at bid price : 22.00
Bid-YTW : 5.14 %
MFC.PR.M FixedReset Ins Non -1.12 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-02-24
Maturity Price : 17.70
Evaluated at bid price : 17.70
Bid-YTW : 5.15 %
TD.PF.J FixedReset Disc -1.09 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-02-24
Maturity Price : 19.93
Evaluated at bid price : 19.93
Bid-YTW : 5.15 %
RY.PR.Z FixedReset Disc -1.08 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-02-24
Maturity Price : 17.39
Evaluated at bid price : 17.39
Bid-YTW : 5.06 %
EMA.PR.F FixedReset Disc -1.07 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-02-24
Maturity Price : 17.65
Evaluated at bid price : 17.65
Bid-YTW : 5.64 %
BAM.PF.F FixedReset Disc -1.06 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-02-24
Maturity Price : 17.72
Evaluated at bid price : 17.72
Bid-YTW : 5.84 %
CM.PR.O FixedReset Disc -1.06 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-02-24
Maturity Price : 16.79
Evaluated at bid price : 16.79
Bid-YTW : 5.40 %
RY.PR.S FixedReset Disc -1.04 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-02-24
Maturity Price : 19.89
Evaluated at bid price : 19.89
Bid-YTW : 4.89 %
Volume Highlights
Issue Index Shares
Traded
Notes
BNS.PR.H FixedReset Prem 60,777 YTW SCENARIO
Maturity Type : Call
Maturity Date : 2022-01-26
Maturity Price : 25.00
Evaluated at bid price : 25.63
Bid-YTW : 3.70 %
BMO.PR.B FixedReset Prem 53,744 YTW SCENARIO
Maturity Type : Call
Maturity Date : 2022-02-25
Maturity Price : 25.00
Evaluated at bid price : 25.70
Bid-YTW : 3.41 %
TD.PF.L FixedReset Disc 33,356 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-02-24
Maturity Price : 22.75
Evaluated at bid price : 23.81
Bid-YTW : 4.87 %
BMO.PR.T FixedReset Disc 32,195 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-02-24
Maturity Price : 16.96
Evaluated at bid price : 16.96
Bid-YTW : 5.19 %
BMO.PR.Q FixedReset Bank Non 31,617 YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2022-01-31
Maturity Price : 25.00
Evaluated at bid price : 24.20
Bid-YTW : 3.68 %
IFC.PR.I Perpetual-Premium 30,957 YTW SCENARIO
Maturity Type : Call
Maturity Date : 2029-03-31
Maturity Price : 25.00
Evaluated at bid price : 25.15
Bid-YTW : 5.36 %
There were 40 other index-included issues trading in excess of 10,000 shares.
Wide Spread Highlights
Issue Index Quote Data and Yield Notes
PWF.PR.P FixedReset Disc Quote: 13.14 – 13.65
Spot Rate : 0.5100
Average : 0.3286

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-02-24
Maturity Price : 13.14
Evaluated at bid price : 13.14
Bid-YTW : 5.38 %

BAM.PR.T FixedReset Disc Quote: 15.25 – 15.67
Spot Rate : 0.4200
Average : 0.2509

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-02-24
Maturity Price : 15.25
Evaluated at bid price : 15.25
Bid-YTW : 5.88 %

HSE.PR.C FixedReset Disc Quote: 17.40 – 17.80
Spot Rate : 0.4000
Average : 0.2539

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-02-24
Maturity Price : 17.40
Evaluated at bid price : 17.40
Bid-YTW : 6.53 %

CM.PR.O FixedReset Disc Quote: 16.79 – 17.15
Spot Rate : 0.3600
Average : 0.2176

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-02-24
Maturity Price : 16.79
Evaluated at bid price : 16.79
Bid-YTW : 5.40 %

MFC.PR.Q FixedReset Ins Non Quote: 19.17 – 19.53
Spot Rate : 0.3600
Average : 0.2407

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-02-24
Maturity Price : 19.17
Evaluated at bid price : 19.17
Bid-YTW : 5.15 %

CU.PR.D Perpetual-Discount Quote: 23.61 – 23.98
Spot Rate : 0.3700
Average : 0.2513

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-02-24
Maturity Price : 23.14
Evaluated at bid price : 23.61
Bid-YTW : 5.19 %

MFC.PR.N To Reset At 3.675%

Saturday, February 22nd, 2020

Manulife Financial Corporation has announced (on February 19):

the applicable dividend rates for its Non-cumulative Rate Reset Class 1 Shares Series 19 (the “Series 19 Preferred Shares”) (TSX: MFC.PR.N) and Non-cumulative Floating Rate Class 1 Shares Series 20 (the “Series 20 Preferred Shares”).

With respect to any Series 19 Preferred Shares that remain outstanding after March 19, 2020, holders thereof will be entitled to receive fixed rate non-cumulative preferential cash dividends on a quarterly basis, as and when declared by the Board of Directors of Manulife and subject to the provisions of the Insurance Companies Act (Canada). The dividend rate for the five-year period commencing on March 20, 2020, and ending on March 19, 2025, will be 3.6750% per annum or $0.229688 per share per quarter, being equal to the sum of the five-year Government of Canada bond yield as at February 19, 2020, plus 2.30%, as determined in accordance with the terms of the Series 19 Preferred Shares.

With respect to any Series 20 Preferred Shares that may be issued on March 19, 2020 in connection with the conversion of the Series 19 Preferred Shares into the Series 20 Preferred Shares, holders thereof will be entitled to receive floating rate non-cumulative preferential cash dividends on a quarterly basis, calculated on the basis of actual number of days elapsed in each quarterly floating rate period divided by 365, as and when declared by the Board of Directors of Manulife and subject to the provisions of the Insurance Companies Act (Canada). The dividend rate for the three-month period commencing on March 20, 2020, and ending on June 19, 2020, will be 0.99259% (3.9380% on an annualized basis) or $0.248148 per share, being equal to the sum of the three-month Government of Canada Treasury bill yield as at February 19, 2020, plus 2.30%, as determined in accordance with the terms of the Series 20 Preferred Shares.

Beneficial owners of Series 19 Preferred Shares who wish to exercise their right of conversion should instruct their broker or other nominee to exercise such right before 5:00 p.m. (Toronto time) on March 4, 2020. The news release announcing such conversion right was issued on February 3, 2020 and can be viewed on SEDAR or Manulife’s website. Conversion inquiries should be directed to Manulife’s Registrar and Transfer Agent, AST Trust Company (Canada), at 1‑800‑783‑9495.

The Toronto Stock Exchange (“TSX”) has conditionally approved the listing of the Series 20 Preferred Shares effective upon conversion. Listing of the Series 20 Preferred Shares is subject to Manulife fulfilling all the listing requirements of the TSX and, upon approval, the Series 20 Preferred Shares will be listed on the TSX under the trading symbol “MFC.PR.S”.

MFC.PR.N is a FixedReset, 3.80%+230, that commenced trading 2014-12-3 after being announced 2014-11-26. The company provided notice of extension 2020-2-3. It is tracked by HIMIPref™ and is assigned to the FixedReset – Insurance non-NVCC 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., MFC.PR.N 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_200221
Click for Big

The market has little 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 +0.84% and +1.71% (ignoring the outlier AIM.PR.A / AIM.PR.B, which Exchanges 2020-3-31), 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.

The breakeven rate for the junk pairs has been relatively high recently; I confess I’m not quite sure what to make of it.

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

If we plug in the current bid price of the MFC.PR.N 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 MFC.PR.N) Trading Price In Current Conditions
  Assumed FloatingReset
Price if Implied Bill
is equal to
FixedReset Bid Price Spread 1.50% 1.00% 0.50%
MFC.PR.N 17.30 230bp 17.42 16.93 16.43

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, MFC.PR.N. Therefore, it seems likely that I will recommend that holders of MFC.PR.N continue to hold the issue and not to convert, but I will wait until it’s closer to the March 4 notification deadline before making a final pronouncement. I will note that once the conversion period has passed 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.

ENB.PF.C : No Conversion To FloatingReset

Saturday, February 22nd, 2020

Enbridge Inc. has announced (on February 18):

that none of its outstanding Cumulative Redeemable Preference Shares, Series 11 (Series 11 Shares) will be converted into Cumulative Redeemable Preference Shares, Series 12 of Enbridge (Series 12 Shares) on March 1, 2020.

After taking into account all conversion notices received from holders of its outstanding Series 11 Shares by the February 18, 2020 deadline for the conversion of the Series 11 Shares into Series 12 Shares, less than the 1,000,000 Series 11 Shares required to give effect to conversions into Series 12 Shares were tendered for conversion.

ENB.PF.C is a FixedReset, 4.40%+264, that commenced trading 2014-5-22 after being announced 2014-5-12. ENB.PF.C will reset at 3.938% effective March 1, 2020. I recommended against conversion. The issue is tracked by HIMIPref™ but is relegated to the Scraps – FixedReset – Discount subindex on credit concerns.

February 21, 2020

Saturday, February 22nd, 2020
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 0.0647 % 2,053.4
FixedFloater 0.00 % 0.00 % 0 0.00 0 0.0647 % 3,767.9
Floater 5.96 % 6.17 % 49,747 13.57 4 0.0647 % 2,171.5
OpRet 0.00 % 0.00 % 0 0.00 0 0.0195 % 3,492.0
SplitShare 4.77 % 3.91 % 43,855 3.69 6 0.0195 % 4,170.2
Interest-Bearing 0.00 % 0.00 % 0 0.00 0 0.0195 % 3,253.8
Perpetual-Premium 5.54 % -0.71 % 56,046 0.09 12 0.0557 % 3,077.6
Perpetual-Discount 5.16 % 5.16 % 67,238 14.98 24 0.1799 % 3,383.6
FixedReset Disc 5.50 % 5.42 % 177,472 14.75 64 -0.1616 % 2,180.4
Deemed-Retractible 5.08 % 5.17 % 72,891 14.93 27 0.1106 % 3,293.1
FloatingReset 6.01 % 6.10 % 58,364 13.74 3 -0.4598 % 2,548.8
FixedReset Prem 5.07 % 3.38 % 133,718 1.42 22 0.0531 % 2,664.8
FixedReset Bank Non 1.93 % 3.51 % 84,040 1.89 3 -0.2849 % 2,744.6
FixedReset Ins Non 5.31 % 5.39 % 102,285 14.67 22 0.0461 % 2,209.1
Performance Highlights
Issue Index Change Notes
CU.PR.C FixedReset Disc -1.61 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-02-21
Maturity Price : 17.12
Evaluated at bid price : 17.12
Bid-YTW : 5.47 %
BAM.PR.B Floater -1.40 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-02-21
Maturity Price : 11.29
Evaluated at bid price : 11.29
Bid-YTW : 6.22 %
TRP.PR.D FixedReset Disc -1.37 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-02-21
Maturity Price : 16.55
Evaluated at bid price : 16.55
Bid-YTW : 5.80 %
TRP.PR.G FixedReset Disc -1.32 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-02-21
Maturity Price : 18.65
Evaluated at bid price : 18.65
Bid-YTW : 5.81 %
TRP.PR.C FixedReset Disc -1.30 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-02-21
Maturity Price : 12.14
Evaluated at bid price : 12.14
Bid-YTW : 6.01 %
BAM.PF.E FixedReset Disc -1.30 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-02-21
Maturity Price : 16.70
Evaluated at bid price : 16.70
Bid-YTW : 5.99 %
MFC.PR.I FixedReset Ins Non -1.16 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-02-21
Maturity Price : 19.52
Evaluated at bid price : 19.52
Bid-YTW : 5.56 %
BAM.PR.R FixedReset Disc -1.15 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-02-21
Maturity Price : 15.45
Evaluated at bid price : 15.45
Bid-YTW : 5.96 %
TRP.PR.E FixedReset Disc -1.09 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-02-21
Maturity Price : 16.40
Evaluated at bid price : 16.40
Bid-YTW : 5.76 %
MFC.PR.N FixedReset Ins Non 1.05 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-02-21
Maturity Price : 17.30
Evaluated at bid price : 17.30
Bid-YTW : 5.42 %
NA.PR.E FixedReset Disc 1.07 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-02-21
Maturity Price : 18.95
Evaluated at bid price : 18.95
Bid-YTW : 5.42 %
HSE.PR.C FixedReset Disc 1.43 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-02-21
Maturity Price : 17.75
Evaluated at bid price : 17.75
Bid-YTW : 6.55 %
IAF.PR.B Deemed-Retractible 1.51 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-02-21
Maturity Price : 22.66
Evaluated at bid price : 22.90
Bid-YTW : 5.08 %
BAM.PR.K Floater 2.34 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-02-21
Maturity Price : 11.38
Evaluated at bid price : 11.38
Bid-YTW : 6.17 %
EMA.PR.E Perpetual-Discount 2.52 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-02-21
Maturity Price : 22.08
Evaluated at bid price : 22.37
Bid-YTW : 5.04 %
Volume Highlights
Issue Index Shares
Traded
Notes
BNS.PR.Z FixedReset Bank Non 244,200 YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2022-01-31
Maturity Price : 25.00
Evaluated at bid price : 24.52
Bid-YTW : 3.51 %
MFC.PR.C Deemed-Retractible 180,217 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-02-21
Maturity Price : 21.78
Evaluated at bid price : 22.03
Bid-YTW : 5.18 %
BIP.PR.F FixedReset Disc 125,900 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-02-21
Maturity Price : 22.32
Evaluated at bid price : 22.94
Bid-YTW : 5.62 %
IFC.PR.I Perpetual-Premium 86,922 YTW SCENARIO
Maturity Type : Call
Maturity Date : 2029-03-31
Maturity Price : 25.00
Evaluated at bid price : 25.20
Bid-YTW : 5.33 %
BMO.PR.E FixedReset Disc 61,949 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-02-21
Maturity Price : 20.25
Evaluated at bid price : 20.25
Bid-YTW : 5.25 %
TD.PF.A FixedReset Disc 55,009 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-02-21
Maturity Price : 17.38
Evaluated at bid price : 17.38
Bid-YTW : 5.28 %
There were 34 other index-included issues trading in excess of 10,000 shares.
Wide Spread Highlights
Issue Index Quote Data and Yield Notes
MFC.PR.G FixedReset Ins Non Quote: 19.49 – 19.98
Spot Rate : 0.4900
Average : 0.3139

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-02-21
Maturity Price : 19.49
Evaluated at bid price : 19.49
Bid-YTW : 5.54 %

BAM.PF.B FixedReset Disc Quote: 18.31 – 18.75
Spot Rate : 0.4400
Average : 0.2987

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-02-21
Maturity Price : 18.31
Evaluated at bid price : 18.31
Bid-YTW : 5.72 %

MFC.PR.H FixedReset Ins Non Quote: 20.91 – 21.32
Spot Rate : 0.4100
Average : 0.2695

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-02-21
Maturity Price : 20.91
Evaluated at bid price : 20.91
Bid-YTW : 5.46 %

BNS.PR.I FixedReset Disc Quote: 20.05 – 20.36
Spot Rate : 0.3100
Average : 0.2094

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-02-21
Maturity Price : 20.05
Evaluated at bid price : 20.05
Bid-YTW : 5.09 %

TRP.PR.E FixedReset Disc Quote: 16.40 – 16.77
Spot Rate : 0.3700
Average : 0.2712

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-02-21
Maturity Price : 16.40
Evaluated at bid price : 16.40
Bid-YTW : 5.76 %

MFC.PR.I FixedReset Ins Non Quote: 19.52 – 19.80
Spot Rate : 0.2800
Average : 0.1897

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-02-21
Maturity Price : 19.52
Evaluated at bid price : 19.52
Bid-YTW : 5.56 %

New Issue : PVS SplitShare, 4.70%, 7-Year

Friday, February 21st, 2020

Partners Value Split Corp. has announced:

that it has entered into an agreement to sell 6,000,000 Class AA Preferred Shares, Series 10 (the “Series 10 Preferred Shares”) to a syndicate of underwriters led by Scotiabank, BMO Capital Markets, CIBC Capital Markets, RBC Capital Markets and TD Securities Inc. on a bought deal basis.

The Series 10 Preferred Shares will be issued at a price of $25.00 per share, for gross proceeds of $150,000,000. The Series 10 Preferred Shares will carry a fixed coupon of 4.70% and will have a final maturity of February 28, 2027. The Series 10 Preferred Shares have a provisional rating of Pfd-2 (low) from DBRS Limited. The net proceeds of the offering will be used to pay a special dividend on the Company’s capital shares.

The Company has granted the underwriters an option, exercisable in whole or part prior to closing, to purchase up to an additional 2,000,000 Series 10 Preferred Shares at the same offering price, which, if exercised, would increase the gross offering size to $200,000,000. Closing of the offering is expected to occur on or about March 2, 2020.

The Company owns a portfolio consisting of 79,740,966 Class A Limited Voting Shares of Brookfield Asset Management Inc. (the “Brookfield Shares”) which is expected to yield quarterly dividends that are sufficient to fund quarterly fixed cumulative preferential dividends for the holders of the Company’s preferred shares and to enable the holders of the Company’s capital shares to participate in any capital appreciation of the Brookfield Shares. Brookfield Asset Management Inc. (“BAM”) is a leading global alternative asset manager with over US$540 billion of assets under management across real estate, infrastructure, renewable power, private equity and credit. BAM owns and operates long-life assets and businesses, many of which form the backbone of the global economy. Utilizing its global reach, access to large-scale capital and operational expertise, BAM offers a range of alternative investment products to investors around the world—including public and private pension plans, endowments and foundations, sovereign wealth funds, financial institutions, insurance companies and private wealth investors. BAM is listed on the New York Stock Exchange and Toronto Stock Exchange under the symbol BAM and BAM.A respectively.

DBRS has assigned a provisional rating of Pfd-2(low) to the issue:

DBRS Limited (DBRS Morningstar) assigned a provisional rating of Pfd-2 (low) to the Class AA Preferred Shares, Series 10 (the Series 10 Preferred Shares) to be issued by Partners Value Split Corp. (the Company) that will rank pari passu with the existing Class AA Preferred Shares, Series 6; the Class AA Preferred Shares, Series 7; the Class AA Preferred Shares, Series 8; and the Class AA Preferred Shares, Series 9 (collectively, the Class AA Preferred Shares).

Following the issuance of the Series 10 Preferred Shares, the downside protection available to the Class AA Preferred Shares is expected to be approximately 89% and the dividend coverage ratio is expected to be approximately 2.1 times (x; based on the Canadian-dollar and U.S.-dollar exchange rate as of February 12, 2020)

The main constraints to the rating are the following:

(1) The downside protection available to holders of the Class AA Preferred Shares depends solely on the market value of the BAM Shares held in the Portfolio, which will fluctuate over time.

(2) There is a lack of diversification, as the Portfolio is entirely made up of BAM Shares.

(3) Changes in the dividend policy of BAM may result in reductions in Class AA Preferred Share dividend coverage.

(4) As BAM declares dividends in U.S. dollars, the Company is exposed to foreign currency risk relating to the Canadian–U.S. exchange rate, specifically the appreciation of the Canadian dollar versus the U.S. dollar. This may have a negative impact on the dividend coverage ratio of the Class AA Preferred Shares, as these dividends are paid in Canadian dollars.

(5) Downside protection available to the Class AA Preferred Shares may be negatively affected by the retraction of the Junior Preferred Shares.

The issue looks well-priced!

Ticker Coupon Quote Yield-to-worst at Bid Modified Duration
PVS.PR.D 1.125 25.33-40 3.55% 1.57
PVS.PR.E 1.375 25.85-92 3.03% 0.68
PVS.PR.F 1.20 25.45-55 4.34% 4.13
PVS.PR.G 1.225 25.45-50 4.54% 5.21
PVS.PR.?
New Issue
1.175 25.00
Issue Price
4.69% 5.97

February 20, 2020

Friday, February 21st, 2020

There was something of a mysterious announcement from DBRS today:

DBRS Limited (DBRS Morningstar) assigned a provisional rating of BBB (low) with a Stable trend to Brookfield Renewable Partners L.P.’s (BEP) up to USD 200 million Class A Preferred Limited Partnership Units (U.S.), Series 17 (the Series 17 Preferred Units).

Series 17 units aren’t mentioned on the company’s website or on Globe Newswire. Is there an announcement planned for the near future?

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 -1.0454 % 2,052.1
FixedFloater 0.00 % 0.00 % 0 0.00 0 -1.0454 % 3,765.5
Floater 5.96 % 6.13 % 49,812 13.63 4 -1.0454 % 2,170.1
OpRet 0.00 % 0.00 % 0 0.00 0 0.0459 % 3,491.3
SplitShare 4.75 % 3.98 % 42,079 3.65 6 0.0459 % 4,169.4
Interest-Bearing 0.00 % 0.00 % 0 0.00 0 0.0459 % 3,253.1
Perpetual-Premium 5.54 % 0.22 % 56,234 0.09 12 0.0459 % 3,075.9
Perpetual-Discount 5.17 % 5.20 % 69,206 14.97 24 -0.1743 % 3,377.5
FixedReset Disc 5.49 % 5.41 % 172,273 14.75 64 0.0008 % 2,184.0
Deemed-Retractible 5.08 % 5.18 % 73,718 14.93 27 0.0461 % 3,289.5
FloatingReset 5.98 % 6.06 % 58,901 13.80 3 0.2183 % 2,560.5
FixedReset Prem 5.07 % 3.40 % 135,089 1.42 22 0.0638 % 2,663.4
FixedReset Bank Non 1.93 % 3.44 % 77,807 1.89 3 -0.0949 % 2,752.4
FixedReset Ins Non 5.31 % 5.39 % 104,531 14.66 22 0.2776 % 2,208.1
Performance Highlights
Issue Index Change Notes
BAM.PR.K Floater -3.72 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-02-20
Maturity Price : 11.12
Evaluated at bid price : 11.12
Bid-YTW : 6.32 %
EMA.PR.E Perpetual-Discount -3.02 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-02-20
Maturity Price : 21.82
Evaluated at bid price : 21.82
Bid-YTW : 5.19 %
TRP.PR.B FixedReset Disc -1.80 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-02-20
Maturity Price : 11.44
Evaluated at bid price : 11.44
Bid-YTW : 5.89 %
BAM.PF.J FixedReset Prem -1.19 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-02-20
Maturity Price : 23.40
Evaluated at bid price : 25.00
Bid-YTW : 4.72 %
EMA.PR.C FixedReset Disc -1.09 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-02-20
Maturity Price : 18.20
Evaluated at bid price : 18.20
Bid-YTW : 5.78 %
HSE.PR.C FixedReset Disc -1.02 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-02-20
Maturity Price : 17.50
Evaluated at bid price : 17.50
Bid-YTW : 6.65 %
EMA.PR.F FixedReset Disc 1.07 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-02-20
Maturity Price : 17.93
Evaluated at bid price : 17.93
Bid-YTW : 5.71 %
BIK.PR.A FixedReset Prem 1.11 % YTW SCENARIO
Maturity Type : Call
Maturity Date : 2024-03-31
Maturity Price : 25.00
Evaluated at bid price : 26.42
Bid-YTW : 4.57 %
TRP.PR.E FixedReset Disc 1.22 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-02-20
Maturity Price : 16.58
Evaluated at bid price : 16.58
Bid-YTW : 5.70 %
MFC.PR.M FixedReset Ins Non 1.80 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-02-20
Maturity Price : 18.10
Evaluated at bid price : 18.10
Bid-YTW : 5.28 %
Volume Highlights
Issue Index Shares
Traded
Notes
TD.PF.E FixedReset Disc 84,967 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-02-20
Maturity Price : 19.85
Evaluated at bid price : 19.85
Bid-YTW : 5.38 %
PVS.PR.D SplitShare 84,500 YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2021-10-08
Maturity Price : 25.00
Evaluated at bid price : 25.33
Bid-YTW : 3.55 %
BNS.PR.Z FixedReset Bank Non 73,625 YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2022-01-31
Maturity Price : 25.00
Evaluated at bid price : 24.51
Bid-YTW : 3.53 %
TD.PF.A FixedReset Disc 69,122 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-02-20
Maturity Price : 17.45
Evaluated at bid price : 17.45
Bid-YTW : 5.25 %
IFC.PR.I Perpetual-Premium 65,240 YTW SCENARIO
Maturity Type : Call
Maturity Date : 2029-03-31
Maturity Price : 25.00
Evaluated at bid price : 25.17
Bid-YTW : 5.34 %
BIP.PR.F FixedReset Disc 59,615 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-02-20
Maturity Price : 22.25
Evaluated at bid price : 22.83
Bid-YTW : 5.64 %
There were 30 other index-included issues trading in excess of 10,000 shares.
Wide Spread Highlights
Issue Index Quote Data and Yield Notes
MFC.PR.K FixedReset Ins Non Quote: 18.15 – 19.00
Spot Rate : 0.8500
Average : 0.4639

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-02-20
Maturity Price : 18.15
Evaluated at bid price : 18.15
Bid-YTW : 5.29 %

MFC.PR.F FixedReset Ins Non Quote: 12.70 – 13.46
Spot Rate : 0.7600
Average : 0.4850

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-02-20
Maturity Price : 12.70
Evaluated at bid price : 12.70
Bid-YTW : 5.49 %

BAM.PF.J FixedReset Prem Quote: 25.00 – 25.40
Spot Rate : 0.4000
Average : 0.2361

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-02-20
Maturity Price : 23.40
Evaluated at bid price : 25.00
Bid-YTW : 4.72 %

BAM.PR.K Floater Quote: 11.12 – 11.61
Spot Rate : 0.4900
Average : 0.3423

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-02-20
Maturity Price : 11.12
Evaluated at bid price : 11.12
Bid-YTW : 6.32 %

CU.PR.G Perpetual-Discount Quote: 22.00 – 22.50
Spot Rate : 0.5000
Average : 0.3562

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-02-20
Maturity Price : 22.00
Evaluated at bid price : 22.00
Bid-YTW : 5.14 %

TRP.PR.B FixedReset Disc Quote: 11.44 – 12.00
Spot Rate : 0.5600
Average : 0.4262

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-02-20
Maturity Price : 11.44
Evaluated at bid price : 11.44
Bid-YTW : 5.89 %

INE.PR.A , INE.PR.C : Off Watch-Negative But Now Outlook-Negative by S&P

Friday, February 21st, 2020

Standard & Poor’s has announced:

  • On Feb. 6, 2020, Innergex Renewable Energy Inc. (Innergex) and Hydro-Quebec announced the formation of a strategic partnership whereby Hydro-Quebec has invested C$661 million in Innergex’s equity through a private placement, and committed to C$500 million in further capital for future co-investments in renewable energy projects globally.
  • We view Hydro-Quebec’s equity investment in Innergex as supportive for the rating. Therefore, we are removing the issuer credit rating (ICR) and preferred share rating from CreditWatch, where they were placed with negative implications on Dec. 23, 2019. At the same time, we are affirming our ‘BBB-‘ ICR on the company and our ‘BB’ global scale and ‘P-3’ Canada scale preferred stock ratings on the company.
  • The negative outlook reflects limited headroom to withstand financial underperformance, increased debt levels, or any other credit-negative events. We believe there is a one-in-three likelihood that leverage could be higher than our base-case forecast.
  • We continue to assess the business risk profile as satisfactory, underpinned by high levels of contractedness and counterparty strength, reasonable asset performance, and good diversity.


While we acknowledge that the equity issuance helps improve Innergex’s credit metrics to an extent that it supports the rating, we believe there is a likelihood that leverage could be higher than our base-case forecast and possibly below the downside trigger given limited headroom, rapid development track record, and aggressive use of corporate debt to fund equity in projects. Our forecast assumptions also incorporate asset-level financing for some of the company’s projects that are currently under construction. This ultimately has a positive impact on holdco debt and our calculated metrics, which could be adversely affected if the financings are delayed or amounts differ from plan. Finally, Hydro-Quebec is committed to co-invest C$500 million with Innergex in suitable renewable projects over the next three years. Details on the deployment of this capital (timing, development versus acquisition, financing, incremental cash flow, etc.) are unknown, but in our view, the risk remains that leverage could be higher than our base-case forecast if Innergex relies heavily on corporate debt to co-fund equity in these investments.

The negative outlook reflects FFO-to-debt of about 23% in 2020, which is at the cusp of the downside trigger. We believe that Innergex will continue with its strategy of funding the equity portion of its development pipeline with corporate debt and will have limited free cash flow to reduce holdco debt given its ambitious growth plans. Therefore, we believe that there is a one-in-three likelihood that leverage could be higher than our base-case forecast.

We could lower the rating if we expect that Innergex will be unable to achieve FFO-to-debt of at least 23% in 2020 and beyond. This would likely occur if the company continues to rely heavily on corporate-level debt financing to support its expansion plans, or if its financial performance falls short of our base-case forecast.

We could revise the outlook to stable if Innergex deleverages at the holdco level and builds a reasonable cushion in its credit metrics. We would look for FFO-to-debt of at least 24%-26% on a sustained basis before revising the outlook.

Affected issues are INE.PR.A and INE.PR.C.

The now-cancelled Watch-Negative was previously reported on PrefBlog.

February 19, 2020

Wednesday, February 19th, 2020

How about that Canadian inflation, eh?:

The annual pace of inflation jumped last month to 2.4 per cent, its fastest rate in almost two years, fuelled by higher costs at the gas pump, pricey tomatoes and a rare surge in clothing costs.

Much of the bump came as concerns about events in the Middle East helped pushed gas prices up 11.2 per cent compared with January, 2019, when a global supply glut lowered oil prices.

The average of Canada’s three measures for core inflation, which are considered better gauges of underlying price pressures and closely tracked by the Bank of Canada, was 2.033 per cent compared with 2.067 per cent for December.

Costs grew for fresh vegetables by 5 per cent, which the agency says is largely attributable to a 10.8-per-cent bump in the price of tomatoes stemming from inclement weather in growing regions of the United States and Mexico.

PerpetualDiscounts now yield 5.16%, equivalent to 6.71% interest at the standard equivalency factor of 1.3x. Long corporates now yield 3.10%, so the pre-tax interest-equivalent spread (in this context, the “Seniority Spread”) has narrowed dramatically to 360bp from the 380bp reported February 12.

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 0.1924 % 2,073.8
FixedFloater 0.00 % 0.00 % 0 0.00 0 0.1924 % 3,805.3
Floater 5.90 % 6.08 % 51,781 13.71 4 0.1924 % 2,193.0
OpRet 0.00 % 0.00 % 0 0.00 0 0.1677 % 3,489.7
SplitShare 4.72 % 4.06 % 40,338 4.09 6 0.1677 % 4,167.5
Interest-Bearing 0.00 % 0.00 % 0 0.00 0 0.1677 % 3,251.6
Perpetual-Premium 5.54 % 0.19 % 56,856 0.09 12 0.0295 % 3,074.5
Perpetual-Discount 5.16 % 5.16 % 65,605 15.02 24 0.0070 % 3,383.4
FixedReset Disc 5.49 % 5.42 % 173,941 14.78 64 0.1318 % 2,183.9
Deemed-Retractible 5.09 % 5.19 % 72,451 14.91 27 -0.0231 % 3,288.0
FloatingReset 5.99 % 6.10 % 57,314 13.75 3 0.2675 % 2,554.9
FixedReset Prem 5.07 % 3.39 % 136,601 1.43 22 0.0745 % 2,661.7
FixedReset Bank Non 1.93 % 3.26 % 72,036 1.89 3 -0.0136 % 2,755.0
FixedReset Ins Non 5.33 % 5.39 % 103,347 14.63 22 0.2784 % 2,202.0
Performance Highlights
Issue Index Change Notes
TRP.PR.E FixedReset Disc -1.62 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-02-19
Maturity Price : 16.38
Evaluated at bid price : 16.38
Bid-YTW : 5.77 %
BAM.PR.N Perpetual-Discount -1.14 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-02-19
Maturity Price : 22.17
Evaluated at bid price : 22.45
Bid-YTW : 5.36 %
BAM.PF.F FixedReset Disc -1.05 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-02-19
Maturity Price : 17.96
Evaluated at bid price : 17.96
Bid-YTW : 5.92 %
MFC.PR.J FixedReset Ins Non 1.04 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-02-19
Maturity Price : 19.50
Evaluated at bid price : 19.50
Bid-YTW : 5.39 %
PWF.PR.P FixedReset Disc 1.05 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-02-19
Maturity Price : 13.45
Evaluated at bid price : 13.45
Bid-YTW : 5.53 %
TRP.PR.F FloatingReset 1.12 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-02-19
Maturity Price : 14.39
Evaluated at bid price : 14.39
Bid-YTW : 6.30 %
MFC.PR.H FixedReset Ins Non 1.20 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-02-19
Maturity Price : 21.00
Evaluated at bid price : 21.00
Bid-YTW : 5.44 %
MFC.PR.N FixedReset Ins Non 1.30 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-02-19
Maturity Price : 17.10
Evaluated at bid price : 17.10
Bid-YTW : 5.48 %
Volume Highlights
Issue Index Shares
Traded
Notes
IFC.PR.I Perpetual-Premium 145,998 YTW SCENARIO
Maturity Type : Call
Maturity Date : 2029-03-31
Maturity Price : 25.00
Evaluated at bid price : 25.18
Bid-YTW : 5.34 %
MFC.PR.C Deemed-Retractible 100,855 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-02-19
Maturity Price : 21.75
Evaluated at bid price : 22.00
Bid-YTW : 5.19 %
TD.PF.A FixedReset Disc 46,317 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-02-19
Maturity Price : 17.43
Evaluated at bid price : 17.43
Bid-YTW : 5.26 %
CM.PR.P FixedReset Disc 36,900 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-02-19
Maturity Price : 17.00
Evaluated at bid price : 17.00
Bid-YTW : 5.51 %
RY.PR.S FixedReset Disc 36,350 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-02-19
Maturity Price : 20.06
Evaluated at bid price : 20.06
Bid-YTW : 5.00 %
TRP.PR.C FixedReset Disc 31,400 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-02-19
Maturity Price : 12.30
Evaluated at bid price : 12.30
Bid-YTW : 5.93 %
There were 22 other index-included issues trading in excess of 10,000 shares.
Wide Spread Highlights
Issue Index Quote Data and Yield Notes
GWO.PR.S Deemed-Retractible Quote: 24.97 – 25.75
Spot Rate : 0.7800
Average : 0.5555

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-02-19
Maturity Price : 24.63
Evaluated at bid price : 24.97
Bid-YTW : 5.32 %

SLF.PR.H FixedReset Ins Non Quote: 16.41 – 16.75
Spot Rate : 0.3400
Average : 0.2307

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-02-19
Maturity Price : 16.41
Evaluated at bid price : 16.41
Bid-YTW : 5.39 %

HSE.PR.A FixedReset Disc Quote: 11.56 – 11.95
Spot Rate : 0.3900
Average : 0.2837

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-02-19
Maturity Price : 11.56
Evaluated at bid price : 11.56
Bid-YTW : 6.74 %

MFC.PR.Q FixedReset Ins Non Quote: 19.42 – 19.76
Spot Rate : 0.3400
Average : 0.2461

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-02-19
Maturity Price : 19.42
Evaluated at bid price : 19.42
Bid-YTW : 5.35 %

IFC.PR.G FixedReset Ins Non Quote: 19.20 – 19.44
Spot Rate : 0.2400
Average : 0.1531

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-02-19
Maturity Price : 19.20
Evaluated at bid price : 19.20
Bid-YTW : 5.46 %

MFC.PR.M FixedReset Ins Non Quote: 17.78 – 18.09
Spot Rate : 0.3100
Average : 0.2247

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-02-19
Maturity Price : 17.78
Evaluated at bid price : 17.78
Bid-YTW : 5.38 %

February 18, 2020

Tuesday, February 18th, 2020

This kind of mortgage would make even Toronto real estate look attractive!

Denmark’s Jyske Bank offers a minus 0.5 per cent interest mortgage while still making a profit. Customers must make monthly principal payments, but the sum they owe is whittled down month by month by the negative rate over the life of the mortgage. The bank is able to fund the mortgage by selling a bond at minus 0.5 per cent, passing the rate to the customer, and making money on modest mortgage fees.

Soak the rich!

British Columbia’s top income earners will face higher taxes under Finance Minister Carole James’s budget, which maintains an operational surplus just as the pace of the province’s economic growth begins to slow.

The new top marginal tax rate rises to 20.5 per cent from 16.8 per cent, for those with a personal net income of more than $220,000. The change will generate an additional $216-million in revenue annually. The NDP raised the rate from 14.8 per cent in 2017.

When Ernst & Young update their personal tax calculators I’ll update my BC Marginal Tax Rates.

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 0.3432 % 2,069.8
FixedFloater 0.00 % 0.00 % 0 0.00 0 0.3432 % 3,798.0
Floater 5.91 % 6.11 % 53,915 13.67 4 0.3432 % 2,188.8
OpRet 0.00 % 0.00 % 0 0.00 0 0.1615 % 3,483.9
SplitShare 4.72 % 3.99 % 40,329 3.66 6 0.1615 % 4,160.5
Interest-Bearing 0.00 % 0.00 % 0 0.00 0 0.1615 % 3,246.2
Perpetual-Premium 5.56 % 1.12 % 56,803 0.09 11 0.0644 % 3,073.6
Perpetual-Discount 5.16 % 5.18 % 67,478 14.97 24 0.3569 % 3,383.2
FixedReset Disc 5.50 % 5.42 % 195,303 14.74 65 -0.1300 % 2,181.1
Deemed-Retractible 5.08 % 5.18 % 72,285 14.93 27 0.0923 % 3,288.7
FloatingReset 6.01 % 6.07 % 57,287 13.79 3 0.2194 % 2,548.1
FixedReset Prem 5.08 % 3.46 % 138,466 1.43 22 -0.1081 % 2,659.7
FixedReset Bank Non 1.93 % 3.26 % 73,095 1.90 3 -0.0136 % 2,755.4
FixedReset Ins Non 5.34 % 5.45 % 104,495 14.57 22 -0.2558 % 2,195.9
Performance Highlights
Issue Index Change Notes
PWF.PR.P FixedReset Disc -1.77 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-02-18
Maturity Price : 13.31
Evaluated at bid price : 13.31
Bid-YTW : 5.59 %
MFC.PR.L FixedReset Ins Non -1.31 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-02-18
Maturity Price : 16.58
Evaluated at bid price : 16.58
Bid-YTW : 5.53 %
BAM.PR.T FixedReset Disc -1.27 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-02-18
Maturity Price : 15.50
Evaluated at bid price : 15.50
Bid-YTW : 6.00 %
BIP.PR.D FixedReset Disc -1.20 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-02-18
Maturity Price : 22.74
Evaluated at bid price : 23.05
Bid-YTW : 5.65 %
MFC.PR.K FixedReset Ins Non -1.05 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-02-18
Maturity Price : 17.92
Evaluated at bid price : 17.92
Bid-YTW : 5.36 %
MFC.PR.H FixedReset Ins Non -1.05 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-02-18
Maturity Price : 20.75
Evaluated at bid price : 20.75
Bid-YTW : 5.50 %
W.PR.M FixedReset Prem -1.04 % YTW SCENARIO
Maturity Type : Call
Maturity Date : 2021-10-15
Maturity Price : 25.00
Evaluated at bid price : 25.75
Bid-YTW : 3.65 %
BAM.PF.G FixedReset Disc -1.03 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-02-18
Maturity Price : 18.21
Evaluated at bid price : 18.21
Bid-YTW : 5.90 %
BAM.PR.K Floater 1.23 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-02-18
Maturity Price : 11.49
Evaluated at bid price : 11.49
Bid-YTW : 6.11 %
EMA.PR.E Perpetual-Discount 1.35 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-02-18
Maturity Price : 22.17
Evaluated at bid price : 22.50
Bid-YTW : 5.00 %
CU.PR.F Perpetual-Discount 1.92 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-02-18
Maturity Price : 22.08
Evaluated at bid price : 22.34
Bid-YTW : 5.04 %
Volume Highlights
Issue Index Shares
Traded
Notes
IFC.PR.I Perpetual-Premium 743,673 YTW SCENARIO
Maturity Type : Call
Maturity Date : 2029-03-31
Maturity Price : 25.00
Evaluated at bid price : 25.21
Bid-YTW : 5.32 %
TD.PF.L FixedReset Disc 55,600 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-02-18
Maturity Price : 22.79
Evaluated at bid price : 23.90
Bid-YTW : 4.98 %
CU.PR.G Perpetual-Discount 29,900 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-02-18
Maturity Price : 22.00
Evaluated at bid price : 22.27
Bid-YTW : 5.05 %
BIP.PR.D FixedReset Disc 27,800 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-02-18
Maturity Price : 22.74
Evaluated at bid price : 23.05
Bid-YTW : 5.65 %
RY.PR.Z FixedReset Disc 25,502 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-02-18
Maturity Price : 17.55
Evaluated at bid price : 17.55
Bid-YTW : 5.18 %
CM.PR.Q FixedReset Disc 22,801 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-02-18
Maturity Price : 19.15
Evaluated at bid price : 19.15
Bid-YTW : 5.47 %
There were 16 other index-included issues trading in excess of 10,000 shares.
Wide Spread Highlights
Issue Index Quote Data and Yield Notes
SLF.PR.A Deemed-Retractible Quote: 23.11 – 23.46
Spot Rate : 0.3500
Average : 0.2466

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-02-18
Maturity Price : 22.83
Evaluated at bid price : 23.11
Bid-YTW : 5.20 %

EMA.PR.H FixedReset Prem Quote: 25.08 – 25.38
Spot Rate : 0.3000
Average : 0.2124

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-02-18
Maturity Price : 23.34
Evaluated at bid price : 25.08
Bid-YTW : 4.81 %

TRP.PR.G FixedReset Disc Quote: 18.70 – 18.94
Spot Rate : 0.2400
Average : 0.1645

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-02-18
Maturity Price : 18.70
Evaluated at bid price : 18.70
Bid-YTW : 5.79 %

BNS.PR.I FixedReset Disc Quote: 20.11 – 20.39
Spot Rate : 0.2800
Average : 0.2113

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-02-18
Maturity Price : 20.11
Evaluated at bid price : 20.11
Bid-YTW : 5.07 %

GWO.PR.Q Deemed-Retractible Quote: 24.70 – 24.93
Spot Rate : 0.2300
Average : 0.1619

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-02-18
Maturity Price : 24.45
Evaluated at bid price : 24.70
Bid-YTW : 5.28 %

MFC.PR.Q FixedReset Ins Non Quote: 19.34 – 19.55
Spot Rate : 0.2100
Average : 0.1432

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-02-18
Maturity Price : 19.34
Evaluated at bid price : 19.34
Bid-YTW : 5.37 %