MAPF Performance : November, 2019

December 8th, 2019

Malachite Aggressive Preferred Fund’s Net Asset Value per Unit as of the close November 29, 2019, was $7.8207. Performance was adversely affected in November, 2019, as the assumption of DeemedRetraction was cancelled in the wake of the IAIS decision included in ICS 2.0. This was probably a major factor in recent underperformance of low-spread Insurance issues, in which the portfolio is overweighted.

On a brighter note, this cancellation of this assumption means that the preferred share universe has become much more homogeneous and I anticipate a higher level of trading in the future.

Returns to November 29, 2019
Period MAPF BMO-CM “50” Preferred Share Index TXPR*
Total Return
CPD – according to Blackrock
One Month +0.40% +1.07% +1.18% N/A
Three Months +3.53% +4.92% +4.76% N/A
One Year -9.34% -2.71% -0.62% -1.27%
Two Years (annualized) -8.28% -4.87% -3.56% N/A
Three Years (annualized) +2.64% +3.31% +3.05% +2.54%
Four Years (annualized) +3.79% +4.17% +3.69% N/A
Five Years (annualized) -1.54% -0.51% -0.85% -1.30%
Six Years (annualized) +0.38% +0.20% +0.19% N/A
Seven Years (annualized) +0.11% +0.36% +0.13% N/A
Eight Years (annualized) +1.59% +1.06% +0.84% N/A
Nine Years (annualized) +1.47% +1.61% +1.22% N/A
Ten Years (annualized) +3.06% +2.64% +2.06% +1.52%
Eleven Years (annualized) +9.04% +5.23% +4.58%  
Twelve Years (annualized) +6.89% +2.75% +2.11%  
Thirteen Years (annualized) +5.92% +2.00%    
Fourteen Years (annualized) +5.97% +2.17%    
Fifteen Years (annualized) +6.00% +2.34%    
Sixteen Years (annualized) +6.54% +2.57%    
Seventeen Years (annualized) +7.82% +2.87%    
Eighteen Years (annualized) +7.27% +2.85%    
MAPF returns assume reinvestment of distributions, and are shown after expenses but before fees.
The full name of the BMO-CM “50” index is the BMO Capital Markets “50” Preferred Share Index. It is calculated without accounting for fees.
“TXPR” is the S&P/TSX Preferred Share Index. It is calculated without accounting for fees, but does assume reinvestment of dividends.
CPD Returns are for the NAV and are after all fees and expenses. Reinvestment of dividends is assumed.
Figures for National Bank Preferred Equity Income Fund (formerly Omega Preferred Equity) (which are after all fees and expenses) for 1-, 3- and 12-months are +%, +% and -%, respectively, according to Globe & Mail / Fundata after all fees & expenses. Three year performance is +%; five year is -; ten year is +%

Figures from Morningstar are no longer conveniently available.

Manulife Preferred Income Class Adv has been terminated by Manulife. The performance of this fund was last reported here in March, 2018.
Figures for Horizons Active Preferred Share ETF (HPR) (which are after all fees and expenses) for 1-, 3- and 12-months are +1.48%, +5.64% & -2.99%, respectively. Three year performance is +2.27%, five-year is -0.42%
Figures for National Bank Preferred Equity Fund (formerly Altamira Preferred Equity Fund) are +%, -% and -% for one-, three- and twelve months, respectively. Three year performance is +%; five-year is -%.

Acccording to the fund’s fact sheet as of June 30, 2016, the fund’s inception date was October 30, 2015. I do not know how they justify this nonsensical statement, but will assume that prior performance is being suppressed in some perfectly legal manner that somebody at National considers ethical.

The last time Altamira Preferred Equity Fund’s performance was reported here was April, 2014; performance under the National Bank banner was first reported here May, 2014.

The figures for the NAV of BMO S&P/TSX Laddered Preferred Share Index ETF (ZPR) is -3.55% for the past twelve months. Two year performance is -5.39%, three year is +2.45%, five year is -2.84%.
Figures for Fiera Canadian Preferred Share Class Cg Series F, (formerly Natixis Canadian Preferred Share Class Series F) (formerly NexGen Canadian Preferred Share Tax Managed Fund) are +%, -% and -% for one-, three- and twelve-months, respectively. Three year performance is -%; five-year is -%
Figures for BMO Preferred Share Fund (advisor series) according to BMO are +1.17%, +4.82% and -5.15% for the past one-, three- and twelve-months, respectively. Three year performance is -0.80%; five-year is -2.98%.
Figures for PowerShares Canadian Preferred Share Index Class, Series F (PPS) are -2.08% for the past twelve months. The three-year figure is +3.16%; five years is -0.46%
Figures for the First Asset Preferred Share Investment Trust (PSF.UN) are no longer available since the fund has merged with First Asset Preferred Share ETF (FPR).

Performance for the fund was last reported here in September, 2016; the first report of unavailability was in October, 2016.

Figures for Lysander-Slater Preferred Share Dividend Fund (Class F) according to the company are +1.46%, +5.77% and -3.66% for the past one, three and twelve months, respectively. Three year performance is +0.72%.
Figures for the Desjardins Canadian Preferred Share Fund A Class (A Class), as reported by the company are +0.99%, +4.33% and -3.68% for the past one, three and twelve months, respectively. Two year is -6.00% and three year performance is +1.13%.

MAPF returns assume reinvestment of dividends, and are shown after expenses but before fees. Past performance is not a guarantee of future performance. You can lose money investing in Malachite Aggressive Preferred Fund or any other fund. For more information, see the fund’s main page. The fund is available either directly from Hymas Investment Management or through a brokerage account at Odlum Brown Limited.

The preferred share market continues to suffer, leaving a lot of room for outsized gains. The Seniority Spread (the interest-equivalent yield on reasonably liquid, investment-grade PerpetualDiscounts less the yield on long term corporate bonds) is extremely elevated (chart end-date 2019-11-08):

pl_191108_body_chart_1)
Click for Big

Note that the Seniority Spread was 370bp on November 27, a widening from the October 30 figure of 355bp. As a good practical example of the spreads between markets, consider that CIU issued a long-term bond in early September yielding 2.963%, about 411bp cheaper than the interest-equivalent figure of 7.07% for CIU.PR.A, which was then yielding about 5.44% as a dividend. Shaw Communications issued 30-year notes at 4.25% interest on December 5, when their FixedResets, SJR.PR.A, were yielding 6.59% dividends.

As has been noted, the increase in the Seniority Spread over the past year has been due not to an increase in yield (drop in prices) of Straight Preferreds over the year, but because the yield of the Straight Preferreds has remained relatively constant while the yield of long-term corporate bonds has dropped dramatically.

… and the relationship between five-year Canada yields and yields on investment-grade FixedResets is also well within what I consider ‘decoupled panic’ territory (chart end-date 2019-11-8):

pl_191108_body_chart_5
Click for Big

In addition, I feel that the yield on five-year Canadas is unsustainably low (it should be the inflation rate plus an increment of … 1%? 1.5%? 2.0%?),and a return to sustainable levels is likely over the medium term.

It seems clear that many market players are, wittingly or not, using FixedResets to speculate on future moves in the Canada 5-Year yield. This is excellent news for those who take market action based on fundamentals and the long term characteristics of the market because nobody can consistently time the markets. The speculators will, over the long run and in aggregate, lose money, handing it over to more sober investors.

It should be noted that I have been unable to explain the very strong performance of Floor issues over the past year relative to their non-Floor counterparts. See the discussions on PrefBlog at LINK, LINK and LINK.

I believe the bear-market outperformance by the Floor issues is a behavioural phenomenon with very little basis in fundamentals. When interest rates in general move, FixedReset prices should not change much (to a first approximation), since in Fixed Income investing it is spreads that are important, not absolute yields. There should be some effect on Floor issues, which should move up slightly in price as yields go down since the ‘option’ to receive the floor rate will become more valuable. Adjustments due to this effect should be fairly small, however – and over the past year issues with a floor, that started the period being expensive, have simply gotten even more expensive, relative to their non-floored counterparts.

And the tricky thing about behavioural models of investing is that they can lose their explanatory power very quickly when an investment fashion shifts, whereas fundamentals will always be effective. Just to give an example from the preferred share market – until the end of 2014, FixedResets were priced relative to each other according to their initial dividend; when the reset of TRP.PR.A shocked a lot of investors, relative pricing became much more dependent upon the Issue Reset Spread, a much more logical and fundamental property.

FixedReset (Discount) performance on the month was +1.45% vs. PerpetualDiscounts of +0.96% in November; the two classes finally decoupled in mid-November, 2018, after months of moving in lockstep, but it still appears to me that yields available on FixedResets are keeping the yields of PerpetualDiscounts up, even though a consistent valuation based on an expectation of declining interest rates would greatly increase the attractiveness of PerpetualDiscounts:

himi_indexperf_191129
Click for Big

Floaters continued to recover, returning +2.83% for November but the figure for the past twelve months remains horrific at -24.80. Look at the long-term performance:

himi_floaterperf_191129
Click for Big

Some Assiduous Readers will be interested to observe that the ‘Quantitative Easing’ decline was not initially as bad as the ‘Credit Crunch’ decline, which took the sector down to the point where the 15-year cumulative total return was negative. I wrote about that at the time. but it became worse in August, 2019! On August 30, 2019 the HIMI Floater Index (total return) value was calculated as 1906.6; the index first surpassed this value on 2003-8-13. Thus, cumulative total return (that is, including dividends) was negative over a period of slightly-over sixteen years.

It seems clear that Floaters are used, wittingly or otherwise, as a vehicle for speculation on the policy rate and Canada Prime, while FixedResets are being used as a vehicle for speculation on the five-year Canada rate. In support of this idea, I present an Implied Volatility analysis of the TRP series of FixedResets as of November 29, which is comprised of six issues without a Minimum Rate Guarantee and two issues which do have this feature:

impvol_trp_191129
Click for Big

The two issues with floors, TRP.PR.J (+469, minimum 5.50%) and TRP.PR.K (+385, minimum 4.90%) are $2.82 and $4.73 rich, respectively. These are modest decreases from last month, despite the fact that their floor will not become effective unless five-year Canadas dip below 0.81% and 1.05%, respectively. For all the gloom, we’re still above those levels!

Lest this be considered a fluke, I also show results for the BAM series of FixedResets, which includes three issues with dividend floors: BAM.PF.H (+417, Minimum 5.00%); BAM.PF.I (+386, Minimum 4.80%); and BAM.PF.J (+310, Minimum 4.75%); these issues are all rich compared to their non-floor siblings, being 2.01, 3.63 and 5.11 expensive, respectively, wider in aggregate thatn last month’s figures of $2.07, $3.43 and $4.84.

impvol_bam_191129
Click for Big

Relative performance during the month was not correlated with Issue Reset Spreads for either “Pfd-2 Group” or “Pfd-3 Group” issues:

fr_191129_1moperf
Click for Big

… and results over the quarter were similar (Pfd-3 Group correlation was 11%):

fr_191129_3moperf
Click for Big

In both charts the poor performance of the low-spread insurance issues may be observed. These issues are GWO.PR.N (Issue Reset Spread 130bp, 1-Month performance -2.91%); IFC.PR.A (172bp, -1.46%); MFC.PR.F (141bp, -0.69%); and SLF.PR.G (141bp, -0.59%). There are sufficient MFC FixedReset issues to do an Implied Volatility Analysis:

impvol_mfc_191129
Click for Big

If anything, MFC.PR.F now appears to be somewhat cheap to its peers, indicating that if its recent weakness is due to speculators dumping their positions, there is little reason to fear continued relative declines.

As for the future, of course, it’s one thing to say that ‘spreads are unsustainable and so are government yields’ and it’s quite another to forecast just how and when a more economically sustainable environment will take effect. It could be years. The same caution applies for an end to the overpricing of issues with a minimum rate guarantee. There could be a reversal, particularly if Trump’s international trade policies cause a severe recession or even a depression. And, of course, I could be just plain wrong about the sustainability of the current environment.

On the other hand, I will pass on my observation that international interest in the Canadian preferred share market is increasing, as other Floating Rate indices globally are doing much better. Consider, for example the Solactive Australian Bank Senior Floating Rate Bond Index, which “provides exposure to the largest and most liquid floating rate debt securities issued by selected Australian banks. The index is comprised of investment grade floating rate debt securities denominated in AUD and calculated as a Total Return Index” (LINK although the index constituents currently all have a remaining term of less than five years), and the S&P U.S. Floating Rate Preferred Stock Index.

Yields on preferred shares of all stripes are extremely high compared to those available from other investments of similar quality. As I told John Heinzl in an eMail interview in late November, 2018, the best advice I can offer investors remains Shut up and clip your coupons!

I think that a broad, sustainable rally in FixedResets will require higher five-year Canada yields (or a widespread expectation of them) … and although I’m sure this will happen eventually, it would be foolish to speculate on just when it will happen!

Calculation of MAPF Sustainable Income Per Unit
Month NAVPU Portfolio
Average
YTW
Leverage
Divisor
Securities
Average
YTW
Capital
Gains
Multiplier
Sustainable
Income
per
current
Unit
June, 2007 9.3114 5.16% 1.03 5.01% 1.3240 0.3524
September 9.1489 5.35% 0.98 5.46% 1.3240 0.3773
December, 2007 9.0070 5.53% 0.942 5.87% 1.3240 0.3993
March, 2008 8.8512 6.17% 1.047 5.89% 1.3240 0.3938
June 8.3419 6.034% 0.952 6.338% 1.3240 $0.3993
September 8.1886 7.108% 0.969 7.335% 1.3240 $0.4537
December, 2008 8.0464 9.24% 1.008 9.166% 1.3240 $0.5571
March 2009 $8.8317 8.60% 0.995 8.802% 1.3240 $0.5872
June 10.9846 7.05% 0.999 7.057% 1.3240 $0.5855
September 12.3462 6.03% 0.998 6.042% 1.3240 $0.5634
December 2009 10.5662 5.74% 0.981 5.851% 1.1141 $0.5549
March 2010 10.2497 6.03% 0.992 6.079% 1.1141 $0.5593
June 10.5770 5.96% 0.996 5.984% 1.1141 $0.5681
September 11.3901 5.43% 0.980 5.540% 1.1141 $0.5664
December 2010 10.7659 5.37% 0.993 5.408% 1.0298 $0.5654
March, 2011 11.0560 6.00% 0.994 5.964% 1.0298 $0.6403
June 11.1194 5.87% 1.018 5.976% 1.0298 $0.6453
September 10.2709 6.10%
Note
1.001 6.106% 1.0298 $0.6090
December, 2011 10.0793 5.63%
Note
1.031 5.805% 1.0000 $0.5851
March, 2012 10.3944 5.13%
Note
0.996 5.109% 1.0000 $0.5310
June 10.2151 5.32%
Note
1.012 5.384% 1.0000 $0.5500
September 10.6703 4.61%
Note
0.997 4.624% 1.0000 $0.4934
December, 2012 10.8307 4.24% 0.989 4.287% 1.0000 $0.4643
March, 2013 10.9033 3.87% 0.996 3.886% 1.0000 $0.4237
June 10.3261 4.81% 0.998 4.80% 1.0000 $0.4957
September 10.0296 5.62% 0.996 5.643% 1.0000 $0.5660
December, 2013 9.8717 6.02% 1.008 5.972% 1.0000 $0.5895
March, 2014 10.2233 5.55% 0.998 5.561% 1.0000 $0.5685
June 10.5877 5.09% 0.998 5.100% 1.0000 $0.5395
September 10.4601 5.28% 0.997 5.296% 1.0000 $0.5540
December, 2014 10.5701 4.83% 1.009 4.787% 1.0000 $0.5060
March, 2015 9.9573 4.99% 1.001 4.985% 1.0000 $0.4964
June, 2015 9.4181 5.55% 1.002 5.539% 1.0000 $0.5217
September 7.8140 6.98% 0.999 6.987% 1.0000 $0.5460
December, 2015 8.1379 6.85% 0.997 6.871% 1.0000 $0.5592
March, 2016 7.4416 7.79% 0.998 7.805% 1.0000 $0.5808
June 7.6704 7.67% 1.011 7.587% 1.0000 $0.5819
September 8.0590 7.35% 0.993 7.402% 1.0000 $0.5965
December, 2016 8.5844 7.24% 0.990 7.313% 1.0000 $0.6278
March, 2017 9.3984 6.26% 0.994 6.298% 1.0000 $0.5919
June 9.5313 6.41% 0.998 6.423% 1.0000 $0.6122
September 9.7129 6.56% 0.998 6.573% 1.0000 $0.6384
December, 2017 10.0566 6.06% 1.004 6.036% 1.0000 $0.6070
March, 2018 10.2701 6.22% 1.007 6.177% 1.0000 $0.6344
June 10.2518 6.22% 0.995 6.251% 1.0000 $0.6408
September 10.2965 6.62% 1.018 6.503% 1.0000 $0.6696
December, 2018 8.6875 7.16% 0.997 7.182% 1.0000 $0.6240
March, 2019 8.4778 7.09% 1.007 7.041% 1.0000 $0.5969
June 8.0896 7.33% 0.996 7.359% 1.0000 $0.5953
September 7.7948 7.96% 0.998 7.976% 1.0000 $0.6217
November, 2019 7.8207 6.18% 1.004 6.155% 1.0000 $0.4814
NAVPU is shown after quarterly distributions of dividend income and annual distribution of capital gains.
Portfolio YTW includes cash (or margin borrowing), with an assumed interest rate of 0.00%
The Leverage Divisor indicates the level of cash in the account: if the portfolio is 1% in cash, the Leverage Divisor will be 0.99
Securities YTW divides “Portfolio YTW” by the “Leverage Divisor” to show the average YTW on the securities held; this assumes that the cash is invested in (or raised from) all securities held, in proportion to their holdings.
The Capital Gains Multiplier adjusts for the effects of Capital Gains Dividends. On 2009-12-31, there was a capital gains distribution of $1.989262 which is assumed for this purpose to have been reinvested at the final price of $10.5662. Thus, a holder of one unit pre-distribution would have held 1.1883 units post-distribution; the CG Multiplier reflects this to make the time-series comparable. Note that Dividend Distributions are not assumed to be reinvested.
Sustainable Income is the resultant estimate of the fund’s dividend income per current unit, before fees and expenses. Note that a “current unit” includes reinvestment of prior capital gains; a unitholder would have had the calculated sustainable income with only, say, 0.9 units in the past which, with reinvestment of capital gains, would become 1.0 current units.
DeemedRetractibles are comprised of all Straight Perpetuals (both PerpetualDiscount and PerpetualPremium) issued by BMO, BNS, CM, ELF, GWO, HSB, IAG, MFC, NA, RY, SLF and TD, which are not exchangable into common at the option of the company or the regulator (definition refined in May, 2011). These issues are analyzed as if their prospectuses included a requirement to redeem at par on or prior to 2022-1-31 (banks) or the Deemed Maturity date for insurers and insurance holding companies (see below)), in addition to the call schedule explicitly defined. See the Deemed Retractible Review: September 2016 for the rationale behind this analysis.

The same reasoning is also applied to FixedResets from these issuers, other than explicitly defined NVCC from banks.

In November, 2019, the assumption of DeemedRetraction was cancelled in the wake of the IAIS decision included in ICS 2.0.

The Deemed Maturity date for insurers was set at 2022-1-31 at the commencement of the process in February, 2011. It was extended to 2025-1-31 in April, 2013 and to 2030-1-31 in December, 2018. In November, 2019, the assumption of DeemedRetraction was cancelled in the wake of the IAIS decision included in ICS 2.0.
Yields for September, 2011, to January, 2012, were calculated by imposing a cap of 10% on the yields of YLO issues held, in order to avoid their extremely high calculated yields distorting the calculation and to reflect the uncertainty in the marketplace that these yields will be realized. From February to September 2012, yields on these issues have been set to zero. All YLO issues held were sold in October 2012.

These calculations were performed assuming constant contemporary GOC-5 and 3-Month Bill rates, as follows:

Canada Yields Assumed in Calculations
Month-end GOC-5 3-Month Bill
September, 2015 0.78% 0.40%
December, 2015 0.71% 0.46%
March, 2016 0.70% 0.44%
June 0.57% 0.47%
September 0.58% 0.53%
December, 2016 1.16% 0.47%
March, 2017 1.08% 0.55%
June 1.35% 0.69%
September 1.79% 0.97%
December, 2017 1.83% 1.00%
March, 2018 2.06% 1.08%
June 1.95% 1.22%
September 2.33% 1.55%
December, 2018 1.88% 1.65%
March, 2019 1.46% 1.66%
June 1.34% 1.66%
September 1.41% 1.66%
November, 2019 1.51% 1.67%

The large drop this month in the projected sustainable yield is due to the fact that in November, 2019, the assumption of DeemedRetraction was cancelled in the wake of the IAIS decision included in ICS 2.0.

I will also note that the sustainable yield calculated above is not directly comparable with any yield calculation currently reported by any other preferred share fund as far as I am aware. The Sustainable Yield depends on:
i) Calculating Yield-to-Worst for each instrument and using this yield for reporting purposes;
ii) Using the contemporary value of Five-Year Canadas to estimate dividends after reset for FixedResets. The assumption regarding the five-year Canada rate has become more important as the proportion of low-spread FixedResets in the portfolio has increased.
iii) Making the assumption that deeply discounted NVCC non-compliant issues from both banks and insurers, both Straight and FixedResets will be redeemed at par on their DeemedMaturity date as discussed above.

MFC.PR.M : No Conversion To FloatingReset

December 6th, 2019

Manulife Financial Corporation has announced:

that after having taken into account all election notices received by the December 4, 2019 deadline for conversion of its currently outstanding 14,000,000 Non-cumulative Rate Reset Class 1 Shares Series 17 (the “Series 17 Preferred Shares”) (TSX: MFC.PR.M) into Non-cumulative Floating Rate Class 1 Shares Series 18 of Manulife (the “Series 18 Preferred Shares”), the holders of Series 17 Preferred Shares are not entitled to convert their Series 17 Preferred Shares into Series 18 Preferred Shares. There were 227,435 Series 17 Preferred Shares elected for conversion, which is less than the minimum one million shares required to give effect to conversions into Series 18 Preferred Shares.

As announced by Manulife on November 20, 2019, after December 19, 2019, holders of Series 17 Preferred Shares 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 December 20, 2019, and ending on December 19, 2024, will be 3.8000% per annum or $0.23750 per share per quarter, being equal to the sum of the five-year Government of Canada bond yield as at November 20, 2019, plus 2.36%, as determined in accordance with the terms of the Series 17 Preferred Shares.

Subject to certain conditions described in the prospectus supplement dated August 11, 2014 relating to the issuance of the Series 17 Preferred Shares, Manulife may redeem the Series 17 Preferred Shares, in whole or in part, on December 19, 2024 and on December 19 every five years thereafter.

MFC.PR.M is a FixedReset, 3.90%+236, that commenced trading 2014-8-15 after being announced 2014-8-11. Notice of extension was published 2019-11-8. MFC.PR.M will reset at 3.800% effective December 20, 2019. I recommended against conversion. It is tracked by HIMIPref™ and has been assigned to the FixedReset (Insurance non-NVCC) subindex, but will move shortly to the FixedReset (Discount) subindex as the imposition of NVCC rules for insurers can no longer be considered probable.

December 6, 2019

December 6th, 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 0.0
0
0 -0.0443 % 1,972.3
FixedFloater 0.00 % 0.00 % 0 0.00 0 -0.0443 % 3,619.2
Floater 6.13 % 6.29 % 55,052 13.37 4 -0.0443 % 2,085.7
OpRet 0.00 % 0.00 % 0 0.00 0 -0.0506 % 3,429.0
SplitShare 4.65 % 4.43 % 44,846 3.85 7 -0.0506 % 4,095.0
Interest-Bearing 0.00 % 0.00 % 0 0.00 0 -0.0506 % 3,195.0
Perpetual-Premium 5.54 % -15.65 % 55,592 0.09 10 0.1135 % 3,044.1
Perpetual-Discount 5.29 % 5.41 % 70,783 14.76 25 -0.0706 % 3,263.4
FixedReset Disc 5.64 % 5.75 % 193,111 14
.21
66 -0.0166 % 2,087.6
Deemed-Retractible 5.19 % 5.27 % 76,231 14.93 27 -0.0282 % 3,214.6
FloatingReset 6.28 % 6.46 % 131,329 13.29 2 0.7227 % 2,452.1
FixedReset Prem 5.12 % 3.71 % 152,298 1.55 20 0.0215 % 2,628.5
FixedReset Bank Non 1.95 % 3.96 % 66,836 2.09 3 0.0686 % 2,712.0
FixedReset Ins Non 5.54 % 5.83 % 121,171 14.17 22 -0.2070 % 2,114.4
Performance Highlights
Issue Index Change Notes
SLF.PR.H FixedReset Ins Non -1.84 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-12-06
Maturity Price : 15.46
Evaluated at bid price : 15.46
Bid-YTW : 5.87 %
MFC.PR.M FixedReset Ins Non -1.66 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-12-06
Maturity Price : 17.17
Evaluated at bid price : 17.17
Bid-YTW : 5.70 %
PWF.PR.A Floater -1.43 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-12-06
Maturity Price : 11.69
Evaluated at bid price : 11.69
Bid-YTW : 5.98 %
HSE.PR.A FixedReset Disc -1.31 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-12-06
Maturity Price : 10.56
Evaluated at bid price : 10.56
Bid-YTW : 7.60 %
BAM.PF.B FixedReset Disc -1.22 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-12-06
Maturity Price : 17.80
Evaluated at bid price : 17.80
Bid-YTW : 6.08 %
RY.PR.S FixedReset Disc -1.17 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-12-06
Maturity Price : 18.63
Evaluated at bid price : 18.63
Bid-YTW : 5.60 %
SLF.PR.J FloatingReset -1.02 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-12-06
Maturity Price : 12.62
Evaluated at bid price : 12.62
Bid-YTW : 6.08 %
TRP.PR.B FixedReset Disc 1.33 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-12-06
Maturity Price : 11.45
Evaluated at bid price : 11.45
Bid-YTW : 6.14 %
EMA.PR.C FixedReset Disc 1.49 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-12-06
Maturity Price : 17.71
Evaluated at bid price : 17.71
Bid-YTW : 6.16 %
TRP.PR.F FloatingReset 2.36 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-12-06
Maturity Price : 13.86
Evaluated at bid price : 13.86
Bid-YTW : 6.46 %
Volume Highlights
Issue Index Shares
Traded
Notes
BAM.PR.C Floater 135,400 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-12-06
Maturity Price : 11.09
Evaluated at bid price : 11.09
Bid-YTW : 6.35 %
MFC.PR.M FixedReset Ins Non 81,418 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-12-06
Maturity Price : 17.17
Evaluated at bid price : 17.17
Bid-YTW : 5.70 %
TRP.PR.E FixedReset Disc 76,050 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-12-06
Maturity Price : 15.82
Evaluated at bid price : 15.82
Bid-YTW : 6.18 %
BAM.PF.D Perpetual-Discount 74,850 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-12-06
Maturity Price : 22.07
Evaluated at bid price : 22.41
Bid-YTW : 5.55 %
MFC.PR.B Deemed-Retractible 59,735 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-12-06
Maturity Price : 21.89
Evaluated at bid price : 22.13
Bid-YTW : 5.26 %
NA.PR.W FixedReset Disc 59,600 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-12-06
Maturity Price : 15.89
Evaluated at bid price : 15.89
Bid-YTW : 6.03 %
There were 53 other index-included issues trading in excess of 10,000 shares.
Wide Spread Highlights
Issue Index Quote Data and Yield Notes
BAM.PF.B FixedReset Disc Quote: 17.80 – 18.34
Spot Rate : 0.5400
Average : 0.3434


YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-12-06
Maturity Price : 17.80
Evaluated at bid price : 17.80
Bid-YTW : 6.08 %
HSE.PR.A FixedReset Disc Quote: 10.56 – 11.15
Spot Rate : 0.5900
Average : 0.4211


YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-12-06
Maturity Price : 10.56
Evaluated at bid price : 10.56
Bid-YTW : 7.60 %
BIP.PR.A FixedReset Disc Quote: 20.51 – 21.00
Spot Rate : 0.4900
Average : 0.3565


YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-12-06
Maturity Price : 20.51
Evaluated at bid price : 20.51
Bid-YTW : 6.22 %
PWF.PR.P FixedReset Disc Quote: 12.66 – 13.04
Spot Rate : 0.3800
Average : 0.2774


YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-12-06
Maturity Price : 12.66
Evaluated at bid price : 12.66
Bid-YTW : 6.17 %
PWF.PR.F Perpetual-Discount Quote: 24.26 – 24.64
Spot Rate : 0.3800
Average : 0.2858


YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-12-06
Maturity Price : 24.01
Evaluated at bid price : 24.26
Bid-YTW : 5.47 %
EMA.PR.F FixedReset Disc Quote: 16.71 – 17.00
Spot Rate : 0.2900
Average : 0.2057


YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-12-06
Maturity Price : 16.71
Evaluated at bid price : 16.71
Bid-YTW : 6.31 %

December 5, 2019

December 6th, 2019

I was pleased to see that Atlantic Power ‘fessed up to their error regarding the reset rate for AZP.PR.B. Very impressive! It isn’t “making no errors” that makes you good; errors happen all the time. It’s recognizing, acknowledging and fixing errors that makes you good.

I just wish Husky Energy was as prompt! I have used their online form to contact Investor Relations:

I would appreciate greater detail regarding the reset rate for HSE.PR.C announced December 2, specifically the Government of Canada 5-Year Bond Yield used as the basis for this calculation.

Can you please tell me the effective date and time that the Government of Canada 5-Year Bond Yield was measured for the purpose of this calculation?

Sincerely,

I urge anybody who has a spare minute today to similarly contact the company to ask this question. This is a brief, simple question regarding a matter of fact and while I appreciate that they have a lot going on at the moment, this is my third eMail to them. First be polite, then be annoying, that’s my motto!

Shaw Communications issued 30-Year Notes today:

Shaw Communications Inc. (“Shaw” or the “Corporation”) announced today the terms of an offering of C$800 million of senior notes, comprised of C$500 million principal amount of 3.30% senior notes due 2029 (the “2029 Notes”) and C$300 million principal amount of 4.25% senior notes due 2049 (the “2049 Notes”, and together with the 2029 Notes, the “Notes”).

SJR.PR.A currently yields 6.59% (equivalent to interest of 8.57%) and SJR.PR.B yields 6.89% (equivalent to interest of 8.96%), based on GOC yields of 1.54% and 1.66% respectively. A Straight Perpetual would probably yield a little less, given the current state of the markets, but that’s quite a spread! No wonder that they – and nobody else, either – aren’t issuing new preferreds!

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 0.3779 % 1,973.2
FixedFloater 0.00 % 0.00 % 0 0.00 0 0.3779 % 3,620.8
Floater 6.12 % 6.33 % 50,954 13.31 4 0.3779 % 2,086.7
OpRet 0.00 % 0.00 % 0 0.00 0 0.2198 % 3,430.7
SplitShare 4.65 % 4.45 % 44,031 3.86 7 0.2198 % 4,097.0
Interest-Bearing 0.00 % 0.00 % 0 0.00 0 0.2198 % 3,196.7
Perpetual-Premium 5.55 % -12.88 % 55,946 0.09 10 -0.1837 % 3,040.6
Perpetual-Discount 5.29 % 5.38 % 69,203 14.79 25 0.0517 % 3,265.7
FixedReset Disc 5.64 % 5.74 % 195,234 14.27 66 0.3857 % 2,088.0
Deemed-Retractible 5.18 % 5.26 % 70,573 14.96 27 -0.0141 % 3,215.5
FloatingReset 6.32 % 6.62 % 129,739 13.09 2 1.1932 % 2,434.5
FixedReset Prem 5.12 % 3.70 % 131,535 1.56 20 -0.0507 % 2,627.9
FixedReset Bank Non 1.95 % 3.99 % 62,683 2.09 3 0.2337 % 2,710.1
FixedReset Ins Non 5.53 % 5.80 % 125,460 14.21 22 0.4004 % 2,118.8
Performance Highlights
Issue Index Change Notes
TRP.PR.G FixedReset Disc -1.41 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-12-05
Maturity Price : 17.45
Evaluated at bid price : 17.45
Bid-YTW : 6.45 %
SLF.PR.I FixedReset Ins Non -1.16 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-12-05
Maturity Price : 17.94
Evaluated at bid price : 17.94
Bid-YTW : 5.89 %
CM.PR.Q FixedReset Disc 1.11 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-12-05
Maturity Price : 18.20
Evaluated at bid price : 18.20
Bid-YTW : 5.98 %
SLF.PR.G FixedReset Ins Non 1.18 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-12-05
Maturity Price : 12.90
Evaluated at bid price : 12.90
Bid-YTW : 5.70 %
MFC.PR.R FixedReset Ins Non 1.27 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-12-05
Maturity Price : 23.38
Evaluated at bid price : 24.65
Bid-YTW : 5.33 %
IFC.PR.A FixedReset Ins Non 1.28 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-12-05
Maturity Price : 14.22
Evaluated at bid price : 14.22
Bid-YTW : 5.90 %
GWO.PR.N FixedReset Ins Non 1.32 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-12-05
Maturity Price : 13.01
Evaluated at bid price : 13.01
Bid-YTW : 5.40 %
BAM.PF.E FixedReset Disc 1.35 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-12-05
Maturity Price : 16.57
Evaluated at bid price : 16.57
Bid-YTW : 6.32 %
BAM.PR.X FixedReset Disc 1.39 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-12-05
Maturity Price : 13.10
Evaluated at bid price : 13.10
Bid-YTW : 6.30 %
BAM.PF.G FixedReset Disc 1.40 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-12-05
Maturity Price : 18.05
Evaluated at bid price : 18.05
Bid-YTW : 6.20 %
EMA.PR.C FixedReset Disc 1.45 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-12-05
Maturity Price : 17.45
Evaluated at bid price : 17.45
Bid-YTW : 6.25 %
PWF.PR.P FixedReset Disc 1.59 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-12-05
Maturity Price : 12.75
Evaluated at bid price : 12.75
Bid-YTW : 6.13 %
SLF.PR.H FixedReset Ins Non 1.68 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-12-05
Maturity Price : 15.75
Evaluated at bid price : 15.75
Bid-YTW : 5.76 %
TRP.PR.B FixedReset Disc 1.80 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-12-05
Maturity Price : 11.30
Evaluated at bid price : 11.30
Bid-YTW : 6.22 %
HSE.PR.E FixedReset Disc 1.82 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-12-05
Maturity Price : 17.36
Evaluated at bid price : 17.36
Bid-YTW : 7.38 %
MFC.PR.Q FixedReset Ins Non 1.86 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-12-05
Maturity Price : 18.61
Evaluated at bid price : 18.61
Bid-YTW : 5.69 %
BAM.PF.B FixedReset Disc 1.87 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-12-05
Maturity Price : 18.02
Evaluated at bid price : 18.02
Bid-YTW : 6.01 %
PWF.PR.A Floater 1.98 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-12-05
Maturity Price : 11.86
Evaluated at bid price : 11.86
Bid-YTW : 5.89 %
SLF.PR.J FloatingReset 2.57 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-12-05
Maturity Price : 12.75
Evaluated at bid price : 12.75
Bid-YTW : 6.02 %
Volume Highlights
Issue Index Shares
Traded
Notes
BMO.PR.T FixedReset Disc 127,985 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-12-05
Maturity Price : 16.54
Evaluated at bid price : 16.54
Bid-YTW : 5.70 %
HSE.PR.A FixedReset Disc 116,100 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-12-05
Maturity Price : 10.70
Evaluated at bid price : 10.70
Bid-YTW : 7.50 %
GWO.PR.P Deemed-Retractible 83,810 YTW SCENARIO
Maturity Type : Call
Maturity Date : 2020-01-04
Maturity Price : 25.00
Evaluated at bid price : 25.00
Bid-YTW : 0.72 %
RY.PR.Z FixedReset Disc 75,658 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-12-05
Maturity Price : 16.88
Evaluated at bid price : 16.88
Bid-YTW : 5.58 %
BMO.PR.E FixedReset Disc 64,980 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-12-05
Maturity Price : 19.42
Evaluated at bid price : 19.42
Bid-YTW : 5.67 %
TRP.PR.E FixedReset Disc 62,940 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-12-05
Maturity Price : 15.80
Evaluated at bid price : 15.80
Bid-YTW : 6.18 %
There were 68 other index-included issues trading in excess of 10,000 shares.
Wide Spread Highlights
Issue Index Quote Data and Yield Notes
IAF.PR.G FixedReset Ins Non Quote: 18.35 – 18.83
Spot Rate : 0.4800
Average : 0.3510

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-12-05
Maturity Price : 18.35
Evaluated at bid price : 18.35
Bid-YTW : 5.87 %

IFC.PR.G FixedReset Ins Non Quote: 18.04 – 18.45
Spot Rate : 0.4100
Average : 0.2975

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-12-05
Maturity Price : 18.04
Evaluated at bid price : 18.04
Bid-YTW : 6.05 %

POW.PR.C Perpetual-Premium Quote: 25.60 – 25.89
Spot Rate : 0.2900
Average : 0.1809

YTW SCENARIO
Maturity Type : Call
Maturity Date : 2020-01-04
Maturity Price : 25.00
Evaluated at bid price : 25.60
Bid-YTW : -12.88 %

TRP.PR.G FixedReset Disc Quote: 17.45 – 17.83
Spot Rate : 0.3800
Average : 0.2811

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-12-05
Maturity Price : 17.45
Evaluated at bid price : 17.45
Bid-YTW : 6.45 %

POW.PR.D Perpetual-Discount Quote: 23.09 – 23.35
Spot Rate : 0.2600
Average : 0.1698

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-12-05
Maturity Price : 22.81
Evaluated at bid price : 23.09
Bid-YTW : 5.48 %

PVS.PR.F SplitShare Quote: 25.40 – 25.69
Spot Rate : 0.2900
Average : 0.2055

YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2024-09-30
Maturity Price : 25.00
Evaluated at bid price : 25.40
Bid-YTW : 4.45 %

AZP.PR.B Resets Reset To 5.739%

December 5th, 2019

Atlantic Power Corporation and Atlantic Power Preferred Equity Ltd have announced:

The rate reset for the Series 2 Shares, announced on December 2, 2019, using a fixed dividend rate (the “Fixed Dividend Rate”), was calculated on November 29, 2019 to be 5.67%, representing the sum of the Canadian Government five-year bond yield of 1.49% plus 4.18%.

This Fixed Dividend Rate announced on December 2, 2019 has been revised based on a calculation as of December 2, 2019 to be 5.739%, representing the sum of the Canadian Government five-year bond yield of 1.559% plus 4.18%.

Such Fixed Dividend Rate will commence with the March 31, 2020 dividend payment to the holders of the Series 2 Shares and continue through the December 31, 2024 dividend payment to the holders of the Series 2 Shares, at which time such Fixed Dividend Rate will again be reset.

The dividend rate for the Series 3 Shares, announced on December 2, 2019, using a floating dividend rate (the “Floating Dividend Rate”), was calculated on November 29, 2019 to be 5.83%, representing the sum of the Canadian Government 90-day Treasury Bill yield (using the three-month average result of 1.65%) plus 4.18%. This Floating Dividend Rate announced on December 2, 2019 remains unchanged. Such Floating Dividend Rate will be effective with the March 31, 2020 dividend payment to the holders of the Series 3 Shares. The Floating Dividend Rate for Series 3 Shares will be reset each quarter.

On December 31, 2019 and again on December 31 of every fifth year thereafter, the holders of Series 2 Shares have the right to convert their Series 2 Shares, on a one-for-one basis, into Series 3 Shares and the holders of Series 3 Shares have the right to convert their Series 3 Shares, on a one-for-one basis, into Series 2 Shares.

Holders of Series 2 Shares or Series 3 Shares who wish to convert such securities into Series 3 Shares or Series 2 Shares, respectively, should contact the financial institution, broker or other intermediary through which they hold the Series 2 Shares or Series 3 Shares to exercise this conversion privilege. Notice of the exercise of the conversion privilege (an “Election Notice”) must be received by Preferred Equity not earlier than December 1, 2019 and not later than 5:00 p.m. (Toronto time) on December 16, 2019.

Automatic Conversion and Restrictions on Conversion

Series 2 Shares

If, after giving effect to all Election Notices, there would remain outstanding less than 1 million Series 2 Shares, then all remaining outstanding Series 2 Shares will automatically convert into Series 3 Shares, on a one-for-one basis on December 31, 2019. Holders of the Series 2 Shares will not be permitted to convert their Series 2 Shares into Series 3 Shares if, after giving effect to all Election Notices, there would be outstanding less than 1 million Series 3 Shares.

Series 3 Shares

If, after giving effect to all Election Notices, there would remain outstanding less than 1 million Series 3 Shares, then all remaining outstanding Series 3 Shares will automatically convert into Series 2 Shares, on a one-for-one basis on December 31, 2019. Holders of the Series 3 Shares will not be permitted to convert their Series 3 Shares into Series 2 Shares if, after giving effect to all Election Notices, there would be outstanding less than 1 million Series 2 Shares.

This announcement cancels and corrects the previously announced reset rate of 5.67%

AZP.PR.B used to be CZP.PR.B, which used to be EPP.PR.B, and throughout these changes was a FixedReset, 7.00%+418, which commenced trading 2009-11-2 after being announced 2009-10-13. You can’t tell your players without a programme! Notice of extension was provided in November, 2014, and it reset to 5.57% effective 2014-12-31. I recommended in favour of conversion and the conversion rate was 42%. The company announced the extension to 2024 on 2019-11-14. An erroneous announcement of a reset to 5.67% was announced 2019-12-2.

AZP.PR.C resulted from the partial conversion of AZP.PR.B and commenced trading 2014-12-31.

I commend Atlantic Power on their swift and straightforward resolution of this problem.

MAPF Portfolio Composition : November, 2019

December 5th, 2019

Turnover remained high at 20% in November; the market was volatile during the month and the IAIS announcement abandoning the drive towards DeemedRetractions also had an effect.

The fund’s trading will probably be higher in the future than has been normal for the past several years, since the extreme segmentation in the marketplace that I have been complaining about for so long is now effectively ended. Low-Reset insurance issues have been considered so cheap relative to their peers that the fund’s holdings were effectively frozen. However, this differentiating factor is no longer considered applicable.

I am no longer making any adjustments for special qualities of insurance issues but note that this policy may change again in the future – a requirement for a Principal Loss Absorbency Mechanism, whereby any security included in Tier 1 Capital will be wiped out prior to a government bail-out, even if technical bankruptcy is avoided, remains good public policy; it is a disgrace that the IAIS has rejected this principle and even worse that OSFI argued strenuously against it. I will continue to read notifications from these two entities with great interest, but while it is within the realm of possibility that ICS 2.0 will be revised following the expiry of the current five-year testing period, I can’t say I have any great confidence in the wisdom of the bureaucrats.

Sectoral distribution of the MAPF portfolio on November 29 was as follows:

MAPF Sectoral Analysis 2019-11-29
HIMI Indices Sector Weighting YTW ModDur
Ratchet 0% N/A N/A
FixFloat 0% N/A N/A
Floater 0.4% 6.32% 13.34
OpRet 0% N/A N/A
SplitShare 0% N/A N/A
Interest Rearing 0% N/A N/A
PerpetualPremium 0% N/A N/A
PerpetualDiscount 0% N/A N/A
Fixed-Reset Discount 37.6% 6.31% 13.50
Deemed-Retractible 0% N/A N/A
FloatingReset 10.54% 6.28% 13.56
FixedReset Premium 0% N/A N/A
FixedReset Bank non-NVCC 0% N/A N/A
FixedReset Insurance non-NVCC 41.7% 5.66% 14.48
Scraps – Ratchet 1.5% 7.29% 13.85
Scraps – FixedFloater 0.8% N/A N/A
Scraps – Floater 0% N/A N/A
Scraps – OpRet 0% N/A N/A
Scraps – SplitShare 0% N/A N/A
Scraps – PerpPrem 0% N/A N/A
Scraps – PerpDisc 0% N/A N/A
Scraps – FR Discount 7.9% 7.49% 11.93
Scraps – DeemedRet 0% N/A N/A
Scraps – FloatingReset 0.8% 8.24% 11.03
Scraps – FR Premium 0% N/A N/A
Scraps – Bank non-NVCC 0% N/A N/A
Scraps – Ins non-NVCC 0% N/A N/A
Cash -0.4% 0.00% 0.00
Total 100% 6.18% 13.83
Totals and changes will not add precisely due to rounding. Cash is included in totals with duration and yield both equal to zero.
The various “Scraps” indices include issues with a DBRS rating of Pfd-3(high) or lower and issues with an Average Trading Value (calculated with HIMIPref™ methodology, which is relatively complex) of less than $25,000. The issues considered “Scraps” are subdivided into indices which reflect those of the main indices.
DeemedRetractibles are comprised of all Straight Perpetuals (both PerpetualDiscount and PerpetualPremium) issued by BMO, BNS, CM, ELF, GWO, HSB, IAG, MFC, NA, RY, SLF and TD, which are not exchangable into common at the option of the company or the regulator. These issues are analyzed as if their prospectuses included a requirement to redeem at par on or prior to 2022-1-31 in the case of banks or normally in the case of insurers and insurance holding companies, in addition to the call schedule explicitly defined. See the Deemed Retractible Review: September 2016 for the rationale behind this analysis and IAIS Says No To DeemedRetractions for the recent change in policy with respect to insurers.

Note that the estimate for the time this will become effective for insurers and insurance holding companies was extended by three years in April 2013, due to the delays in OSFI’s providing clarity on the issue and by a further five years in December, 2018; the estimate was eliminated in November..

Calculations of resettable instruments are performed assuming a constant GOC-5 rate of 1.51% and a constant 3-Month Bill rate of 1.67%

The “total” reflects the un-leveraged total portfolio (i.e., cash is included in the portfolio calculations and is deemed to have a duration and yield of 0.00.). MAPF will often have relatively large cash balances, both credit and debit, to facilitate trading. Figures presented in the table have been rounded to the indicated precision.

Credit distribution is:

MAPF Credit Analysis 2019-11-29
DBRS Rating Weighting
Pfd-1 0
Pfd-1(low) 0
Pfd-2(high) 35.7%
Pfd-2 28.0%
Pfd-2(low) 26.4%
Pfd-3(high) 2.5%
Pfd-3 3.4%
Pfd-3(low) 3.6%
Pfd-4(high) 0%
Pfd-4 0%
Pfd-4(low) 0%
Pfd-5(high) 0.8%
Pfd-5 0.0%
Cash -0.4%
Totals will not add precisely due to rounding.
The fund holds a position in AZP.PR.C, which is rated P-5(high) by S&P and is unrated by DBRS; it is included in the Pfd-5(high) total.
The fund holds a position in EMA.PR.C and EMA.PR.F, which are rated P-2(low) by S&P and is unrated by DBRS; it is included in the Pfd-2(low) total.
A position held in INE.PR.A is not rated by DBRS, but has been included as “Pfd-3” in the above table on the basis of its S&P rating of P-3.

Liquidity Distribution is:

MAPF Liquidity Analysis 2019-11-29
Average Daily Trading Weighting
<$50,000 8.5%
$50,000 – $100,000 45.9%
$100,000 – $200,000 25.3%
$200,000 – $300,000 5.6%
>$300,000 15.1%
Cash -0.4%
Totals will not add precisely due to rounding.

The distribution of Issue Reset Spreads is:

Range MAPF Weight
<100bp 0%
100-149bp 27.9%
150-199bp 19.0%
200-249bp 17.7%
250-299bp 23.8%
300-349bp 1.7%
350-399bp 5.2%
400-449bp 1.9%
450-499bp 0.0%
500-549bp 1.3%
550-599bp 0%
>= 600bp 0%
Undefined 1.5%

Distribution of Floating Rate Start Dates is shown in the table below. This is the date of the next adjustment to the dividend rate, if the issue is currently paying a fixed rate for a limited time; which in practice is successive terms of 5 years. Issues that adjust quarterly are considered “Currently Floating”.

Range MAPF Weight
Currently Floating 13.2%
0-1 Year 16.1%
1-2 Years 26.1%
2-3 Years 9.7%
3-4 Years 28.6%
4-5 Years 6.7%
5-6 Years 0%
>6 Years 0%
Not Floating Rate -0.4%

MAPF is, of course, Malachite Aggressive Preferred Fund, a “unit trust” managed by Hymas Investment Management Inc. Further information and links to performance, audited financials and subscription information are available the fund’s web page. The fund may be purchased either directly from Hymas Investment Management or through a brokerage account at Odlum Brown Limited. A “unit trust” is like a regular mutual fund, but are not sold with a prospectus. This is cheaper, but means subscription is restricted to “accredited investors” (as defined by the Ontario Securities Commission). Fund past performances are not a guarantee of future performance. You can lose money investing in MAPF or any other fund.

A similar portfolio composition analysis has been performed on the Claymore Preferred Share ETF (symbol CPD) (and other funds) as of July 31, 2017, and published in the August, 2017, PrefLetter. It is fair to say:

  • MAPF credit quality is much better
  • MAPF liquidity is lower
  • MAPF Yield is higher
  • Weightings
    • MAPF is much less exposed to Straight Perpetuals
    • Neither portfolio is exposed to Operating Retractibles (there aren’t too many of those any more!)
    • MAPF is equally exposed to SplitShares (that is to say, currently no exposure)
    • MAPF is less exposed to FixFloat / Floater / Ratchet
    • MAPF is significantly higher weighted in FixedResets, with a much greater emphasis on lower-spread and insurance issues

EQB.PR.C Resets To 5.969%; No Conversion To FloatingReset

December 4th, 2019

Equitable Group Inc. has announced (on September 3):

the dividend rates applicable to the non-cumulative redeemable 5-year rate reset Preferred Shares, Series 3 (the “Series 3 Preferred Shares”) and the non-cumulative floating rate Preferred Shares, Series 4 (“Series 4 Preferred Shares”).

Holders of Series 3 Preferred Shares, should any remain outstanding after September 30, 2019 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 Equitable. The dividend rate for the five-year period commencing on September 30, 2019 to, but excluding September 30, 2024 will be 5.969% per annum, or $0.373063 per share per quarter, being equal to the sum of the five-year Government of Canada bond yield determined as of August 30, 2019 plus 4.78%, in accordance with the terms of the Series 3 Preferred Shares.

Holders of Series 4 Preferred Shares, should any be issued on September 30, 2019, will be entitled to receive floating rate non-cumulative preferential cash dividends on a quarterly basis, calculated on the basis of the actual number of days elapsed in each quarterly floating rate period divided by 365, as and when declared by the Board of Directors of Equitable. The dividend rate for the three-month period commencing on September 30, 2019 to, but excluding December 31, 2019 will be 6.418%, or $0.404422 per share, being equal to the sum of the annual rate for the most recent auction of the three-month Government of Canada Treasury Bills plus 4.78% (the “Floating Quarterly Dividend Rate”), in accordance with the terms of the Series 4 Preferred Shares. The Floating Quarterly Dividend Rate will be reset every quarter.

Holders of Series 3 Preferred Shares who wish to retain their Series 3 Preferred Shares do not need to take any further action. Holders of Series 3 Preferred Shares who wish to exercise their right of conversion should communicate as soon as possible with their broker or other nominee to obtain instructions for exercising such right on or prior to the deadline for exercise, which is 5:00 p.m. (Toronto time) on September 13, 2019.

They later announced:

that none of its outstanding 3,000,000 Non-cumulative Redeemable 5-Year Rate Reset Preferred Shares, Series 3 (the “Series 3 Preferred Shares”) will be converted on September 30, 2019 into Non-cumulative Floating Rate Preferred Shares, Series 4 (“Series 4 Preferred Shares”).

After taking into account all election notices received from holders of its outstanding Series 3 Preferred Shares by the September 13, 2019 deadline for conversion into Series 4 Preferred Shares, less than the minimum 800,000 shares required to give effect to the conversions, as per the terms of the Series 3 Preferred Shares described in the prospectus supplement dated July 25, 2014, were tendered for conversion. As a result, no Series 4 Preferred Shares will be issued on September 30, 2019 and holders of Series 3 Preferred Shares will retain their shares.

As previously announced on September 3, 2019, the dividend rate for the Series 3 Preferred Shares for the five-year period from and including September 30, 2019 to but excluding September 30, 2024 will be 5.969% per annum, or $0.373063 per share per quarter.

EQB.PR.C was issued as a FixedReset, 6.35%+478 in the summer of 2014.

As I wrote at the time:

This issue is unrated and will not be tracked by HIMIPref™. This is not because I worship the Credit Rating Agencies and am unable to do anything without them; it is because I feel that a public announcement by the CRAs of imminent downgrades do an admirable job of concentrating the minds of management and the directors on fixing the problem. Such announcements by Hymas Investment Management Inc. or Joe Blogger do not carry the same weight.

Since I don’t track it, it’s easy to overlook changes! Thanks to Assiduous Reader dodoi for bringing this to my attention.

December 4, 2019

December 4th, 2019

There was nothing particularly surprising in the Bank of Canada’s policy rate announcement this morning:

The Bank of Canada today maintained its target for the overnight rate at 1 ¾ percent. The Bank Rate is correspondingly 2 percent and the deposit rate is 1 ½ percent.

The Bank’s October projection for global economic growth appears to be intact. There is nascent evidence that the global economy is stabilizing, with growth still expected to edge higher over the next couple of years. Financial markets have been supported by central bank actions and waning recession concerns, while being buffeted by news on the trade front. Indeed, ongoing trade conflicts and related uncertainty are still weighing on global economic activity, and remain the biggest source of risk to the outlook. In this context, commodity prices and the Canadian dollar have remained relatively stable.

Growth in Canada slowed in the third quarter of 2019 to 1.3 percent, as expected. Consumer spending expanded moderately, underpinned by stronger wage growth. Housing investment was also a source of strength, supported by population growth and low mortgage rates. The Bank continues to monitor the evolution of financial vulnerabilities related to the household sector. As expected, exports contracted, driven by non-energy commodities. However, investment spending unexpectedly showed strong growth, notably in transportation equipment and engineering projects. The Bank will be assessing the extent to which this points to renewed momentum in investment.

CPI inflation in Canada remains at target, and measures of core inflation are around 2 percent, consistent with an economy operating near capacity. Inflation will increase temporarily in the coming months due to year-over-year movements in gasoline prices. The Bank continues to expect inflation to track close to the 2 percent target over the next two years.

Based on developments since October, Governing Council judges it appropriate to maintain the current level of the overnight rate target. Future interest rate decisions will be guided by the Bank’s continuing assessment of the adverse impact of trade conflicts against the sources of resilience in the Canadian economy – notably consumer spending and housing activity. Fiscal policy developments will also figure into the Bank’s updated outlook in January.

David Parkinson of the Globe reminds us that:

The Bank of Canada noted that last week’s third-quarter gross domestic product report, which pegged growth at a modest 1.3-per-cent annualized rate, showed strength in consumer spending, wage growth and housing investment.

But it said it remains concerned about the high household debts that have contributed to that strength. Those have been fed by low borrowing rates, the result of a slump in global bond yields over the summer amid escalating China-U.S. trade hostilities.

Alberta got downgraded:

Alberta’s credit rating has been downgraded by Moody’s, with the agency citing the volatility in the province’s dependence on oil and continued fiscal pressures.

The province’s rating was downgraded to Aa2 stable from Aa1 negative on Tuesday.

The downgrade, the agency states, reflects Moody’s “opinion of a structural weakness in the provincial economy that remains concentrated and dependent on non-renewable resources … and remains pressured by a lack of sufficient pipeline capacity to transport oil efficiently with no near-term expectation of a significant rebound in oil-related investments.”

The agency’s rating stated that continued spending cuts will be needed for the government to balance the budget by its set target of 2022.

It’s kind of a pity that those hard-nosed conservatives in Alberta don’t have some kind of Heritage Savings Trust Fund, eh? But all the oil money got blown on low taxes and high spending.

PerpetualDiscounts now yield 5.39%, equivalent to 7.01% interest at the standard equivalency factor of 1.3x. Long corporates now yield 3.26%, so the pre-tax interest-equivalent spread (in this context, the “Seniority Spread”) has widened slightly (and perhaps spuriously) to 375bp from the 370bp reported November 27.

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 0.1336 % 1,965.8
FixedFloater 0.00 % 0.00 % 0 0.00 0 0.1336 % 3,607.1
Floater 6.15 % 6.33 % 49,843 13.32 4 0.1336 % 2,078.8
OpRet 0.00 % 0.00 % 0 0.00 0 0.0056 % 3,423.2
SplitShare 4.66 % 4.49 % 44,406 3.86 7 0.0056 % 4,088.0
Interest-Bearing 0.00 % 0.00 % 0 0.00 0 0.0056 % 3,189.7
Perpetual-Premium 5.54 % -15.99 % 55,749 0.09 10 0.1291 % 3,046.2
Perpetual-Discount 5.29 % 5.39 % 68,371 14.79 25 0.0310 % 3,264.0
FixedReset Disc 5.66 % 5.75 % 188,204 14.26 66 0.0765 % 2,079.9
Deemed-Retractible 5.18 % 5.28 % 70,119 14.97 27 0.1349 % 3,216.0
FloatingReset 6.40 % 6.61 % 129,270 13.10 2 -0.9909 % 2,405.8
FixedReset Prem 5.11 % 3.71 % 156,808 1.56 20 0.0820 % 2,629.2
FixedReset Bank Non 1.95 % 4.13 % 62,401 2.09 3 0.2342 % 2,703.8
FixedReset Ins Non 5.55 % 5.80 % 126,276 14.17 22 0.3280 % 2,110.4
Performance Highlights
Issue Index Change Notes
TRP.PR.F FloatingReset -1.45 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-12-04
Maturity Price : 13.55
Evaluated at bid price : 13.55
Bid-YTW : 6.61 %
HSE.PR.E FixedReset Disc -1.22 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-12-04
Maturity Price : 17.05
Evaluated at bid price : 17.05
Bid-YTW : 7.52 %
MFC.PR.Q FixedReset Ins Non -1.19 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-12-04
Maturity Price : 18.27
Evaluated at bid price : 18.27
Bid-YTW : 5.80 %
BIP.PR.E FixedReset Disc -1.12 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-12-04
Maturity Price : 21.84
Evaluated at bid price : 22.15
Bid-YTW : 5.64 %
BAM.PF.A FixedReset Disc 1.04 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-12-04
Maturity Price : 19.47
Evaluated at bid price : 19.47
Bid-YTW : 6.01 %
TRP.PR.B FixedReset Disc 1.09 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-12-04
Maturity Price : 11.10
Evaluated at bid price : 11.10
Bid-YTW : 6.34 %
MFC.PR.L FixedReset Ins Non 1.13 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-12-04
Maturity Price : 16.15
Evaluated at bid price : 16.15
Bid-YTW : 5.79 %
TRP.PR.E FixedReset Disc 1.29 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-12-04
Maturity Price : 15.70
Evaluated at bid price : 15.70
Bid-YTW : 6.22 %
SLF.PR.I FixedReset Ins Non 1.40 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-12-04
Maturity Price : 18.15
Evaluated at bid price : 18.15
Bid-YTW : 5.82 %
BIP.PR.A FixedReset Disc 2.54 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-12-04
Maturity Price : 20.20
Evaluated at bid price : 20.20
Bid-YTW : 6.31 %
MFC.PR.M FixedReset Ins Non 3.15 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-12-04
Maturity Price : 17.35
Evaluated at bid price : 17.35
Bid-YTW : 5.64 %
Volume Highlights
Issue Index Shares
Traded
Notes
TRP.PR.D FixedReset Disc 174,176 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-12-04
Maturity Price : 15.75
Evaluated at bid price : 15.75
Bid-YTW : 6.31 %
BMO.PR.E FixedReset Disc 78,200 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-12-04
Maturity Price : 19.34
Evaluated at bid price : 19.34
Bid-YTW : 5.69 %
RY.PR.J FixedReset Disc 65,103 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-12-04
Maturity Price : 18.75
Evaluated at bid price : 18.75
Bid-YTW : 5.74 %
TRP.PR.F FloatingReset 64,220 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-12-04
Maturity Price : 13.55
Evaluated at bid price : 13.55
Bid-YTW : 6.61 %
BIP.PR.D FixedReset Disc 62,660 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-12-04
Maturity Price : 22.46
Evaluated at bid price : 22.90
Bid-YTW : 5.75 %
MFC.PR.I FixedReset Ins Non 60,300 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-12-04
Maturity Price : 18.70
Evaluated at bid price : 18.70
Bid-YTW : 5.90 %
There were 55 other index-included issues trading in excess of 10,000 shares.
Wide Spread Highlights
Issue Index Quote Data and Yield Notes
MFC.PR.Q FixedReset Ins Non Quote: 18.27 – 18.69
Spot Rate : 0.4200
Average : 0.2611

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-12-04
Maturity Price : 18.27
Evaluated at bid price : 18.27
Bid-YTW : 5.80 %

BMO.PR.F FixedReset Disc Quote: 24.05 – 24.40
Spot Rate : 0.3500
Average : 0.2122

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-12-04
Maturity Price : 22.84
Evaluated at bid price : 24.05
Bid-YTW : 5.23 %

BIP.PR.E FixedReset Disc Quote: 22.15 – 22.66
Spot Rate : 0.5100
Average : 0.3837

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-12-04
Maturity Price : 21.84
Evaluated at bid price : 22.15
Bid-YTW : 5.64 %

MFC.PR.O FixedReset Ins Non Quote: 25.61 – 25.94
Spot Rate : 0.3300
Average : 0.2135

YTW SCENARIO
Maturity Type : Call
Maturity Date : 2021-06-19
Maturity Price : 25.00
Evaluated at bid price : 25.61
Bid-YTW : 3.83 %

ELF.PR.H Perpetual-Premium Quote: 25.21 – 25.61
Spot Rate : 0.4000
Average : 0.2894

YTW SCENARIO
Maturity Type : Call
Maturity Date : 2021-04-17
Maturity Price : 25.00
Evaluated at bid price : 25.21
Bid-YTW : 5.43 %

EMA.PR.C FixedReset Disc Quote: 17.20 – 17.63
Spot Rate : 0.4300
Average : 0.3202

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-12-04
Maturity Price : 17.20
Evaluated at bid price : 17.20
Bid-YTW : 6.34 %

December 3, 2019

December 4th, 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 -0.5535 % 1,963.2
FixedFloater 0.00 % 0.00 % 0 0.00 0 -0.5535 % 3,602.3
Floater 6.16 % 6.33 % 49,493 13.32 4 -0.5535 % 2,076.0
OpRet 0.00 % 0.00 % 0 0.00 0 -0.0788 % 3,423.0
SplitShare 4.66 % 4.53 % 45,919 3.86 7 -0.0788 % 4,087.8
Interest-Bearing 0.00 % 0.00 % 0 0.00 0 -0.0788 % 3,189.5
Perpetual-Premium 5.55 % -16.17 % 54,987 0.09 10 -0.2264 % 3,042.3
Perpetual-Discount 5.29 % 5.40 % 67,017 14.77 25 -0.2528 % 3,263.0
FixedReset Disc 5.67 % 5.76 % 185,532 14.27 66 -0.7013 % 2,078.4
Deemed-Retractible 5.19 % 5.30 % 70,052 14.97 27 -0.3112 % 3,211.6
FloatingReset 6.34 % 6.51 % 119,643 13.23 2 -0.9811 % 2,429.9
FixedReset Prem 5.12 % 3.66 % 158,504 1.56 20 -0.0839 % 2,627.1
FixedReset Bank Non 1.96 % 4.14 % 60,364 2.09 3 -0.1651 % 2,697.5
FixedReset Ins Non 5.57 % 5.84 % 125,791 14.15 22 -1.0616 % 2,103.5
Performance Highlights
Issue Index Change Notes
BAM.PR.X FixedReset Disc -2.41 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-12-03
Maturity Price : 12.94
Evaluated at bid price : 12.94
Bid-YTW : 6.38 %
MFC.PR.L FixedReset Ins Non -2.38 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-12-03
Maturity Price : 15.97
Evaluated at bid price : 15.97
Bid-YTW : 5.85 %
MFC.PR.G FixedReset Ins Non -2.30 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-12-03
Maturity Price : 18.27
Evaluated at bid price : 18.27
Bid-YTW : 6.01 %
RY.PR.M FixedReset Disc -2.22 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-12-03
Maturity Price : 18.10
Evaluated at bid price : 18.10
Bid-YTW : 5.76 %
HSE.PR.A FixedReset Disc -2.10 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-12-03
Maturity Price : 10.72
Evaluated at bid price : 10.72
Bid-YTW : 7.48 %
SLF.PR.H FixedReset Ins Non -2.08 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-12-03
Maturity Price : 15.51
Evaluated at bid price : 15.51
Bid-YTW : 5.85 %
SLF.PR.I FixedReset Ins Non -2.08 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-12-03
Maturity Price : 17.90
Evaluated at bid price : 17.90
Bid-YTW : 5.90 %
BAM.PF.G FixedReset Disc -2.05 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-12-03
Maturity Price : 17.66
Evaluated at bid price : 17.66
Bid-YTW : 6.34 %
BAM.PF.B FixedReset Disc -2.03 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-12-03
Maturity Price : 17.84
Evaluated at bid price : 17.84
Bid-YTW : 6.07 %
MFC.PR.I FixedReset Ins Non -1.95 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-12-03
Maturity Price : 18.58
Evaluated at bid price : 18.58
Bid-YTW : 5.93 %
BAM.PR.K Floater -1.86 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-12-03
Maturity Price : 11.10
Evaluated at bid price : 11.10
Bid-YTW : 6.35 %
IFC.PR.A FixedReset Ins Non -1.76 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-12-03
Maturity Price : 13.95
Evaluated at bid price : 13.95
Bid-YTW : 6.01 %
NA.PR.E FixedReset Disc -1.59 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-12-03
Maturity Price : 17.96
Evaluated at bid price : 17.96
Bid-YTW : 5.94 %
BAM.PR.Z FixedReset Disc -1.57 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-12-03
Maturity Price : 18.80
Evaluated at bid price : 18.80
Bid-YTW : 6.16 %
BAM.PF.A FixedReset Disc -1.43 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-12-03
Maturity Price : 19.27
Evaluated at bid price : 19.27
Bid-YTW : 6.08 %
HSE.PR.G FixedReset Disc -1.39 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-12-03
Maturity Price : 17.01
Evaluated at bid price : 17.01
Bid-YTW : 7.44 %
SLF.PR.J FloatingReset -1.34 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-12-03
Maturity Price : 12.49
Evaluated at bid price : 12.49
Bid-YTW : 6.15 %
PWF.PR.T FixedReset Disc -1.34 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-12-03
Maturity Price : 17.66
Evaluated at bid price : 17.66
Bid-YTW : 5.72 %
MFC.PR.N FixedReset Ins Non -1.34 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-12-03
Maturity Price : 16.25
Evaluated at bid price : 16.25
Bid-YTW : 5.93 %
SLF.PR.G FixedReset Ins Non -1.32 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-12-03
Maturity Price : 12.68
Evaluated at bid price : 12.68
Bid-YTW : 5.80 %
EMA.PR.C FixedReset Disc -1.31 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-12-03
Maturity Price : 17.33
Evaluated at bid price : 17.33
Bid-YTW : 6.29 %
BMO.PR.Y FixedReset Disc -1.28 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-12-03
Maturity Price : 18.46
Evaluated at bid price : 18.46
Bid-YTW : 5.78 %
TD.PF.D FixedReset Disc -1.25 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-12-03
Maturity Price : 18.96
Evaluated at bid price : 18.96
Bid-YTW : 5.75 %
BAM.PR.T FixedReset Disc -1.24 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-12-03
Maturity Price : 15.11
Evaluated at bid price : 15.11
Bid-YTW : 6.39 %
MFC.PR.J FixedReset Ins Non -1.24 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-12-03
Maturity Price : 18.32
Evaluated at bid price : 18.32
Bid-YTW : 5.84 %
MFC.PR.H FixedReset Ins Non -1.23 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-12-03
Maturity Price : 20.05
Evaluated at bid price : 20.05
Bid-YTW : 5.79 %
MFC.PR.F FixedReset Ins Non -1.22 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-12-03
Maturity Price : 12.15
Evaluated at bid price : 12.15
Bid-YTW : 5.96 %
RY.PR.J FixedReset Disc -1.21 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-12-03
Maturity Price : 18.75
Evaluated at bid price : 18.75
Bid-YTW : 5.74 %
GWO.PR.N FixedReset Ins Non -1.15 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-12-03
Maturity Price : 12.85
Evaluated at bid price : 12.85
Bid-YTW : 5.47 %
BAM.PR.M Perpetual-Discount -1.15 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-12-03
Maturity Price : 21.28
Evaluated at bid price : 21.55
Bid-YTW : 5.60 %
IAF.PR.G FixedReset Ins Non -1.13 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-12-03
Maturity Price : 18.30
Evaluated at bid price : 18.30
Bid-YTW : 5.88 %
CCS.PR.C Deemed-Retractible -1.12 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-12-03
Maturity Price : 23.48
Evaluated at bid price : 23.75
Bid-YTW : 5.25 %
NA.PR.S FixedReset Disc -1.12 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-12-03
Maturity Price : 16.82
Evaluated at bid price : 16.82
Bid-YTW : 5.95 %
BAM.PR.N Perpetual-Discount -1.10 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-12-03
Maturity Price : 21.25
Evaluated at bid price : 21.52
Bid-YTW : 5.61 %
BAM.PF.E FixedReset Disc -1.09 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-12-03
Maturity Price : 16.31
Evaluated at bid price : 16.31
Bid-YTW : 6.42 %
TRP.PR.B FixedReset Disc -1.08 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-12-03
Maturity Price : 10.98
Evaluated at bid price : 10.98
Bid-YTW : 6.40 %
BAM.PR.B Floater -1.07 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-12-03
Maturity Price : 11.13
Evaluated at bid price : 11.13
Bid-YTW : 6.33 %
TD.PF.I FixedReset Disc -1.01 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-12-03
Maturity Price : 20.56
Evaluated at bid price : 20.56
Bid-YTW : 5.59 %
Volume Highlights
Issue Index Shares
Traded
Notes
BAM.PR.C Floater 111,200 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-12-03
Maturity Price : 11.10
Evaluated at bid price : 11.10
Bid-YTW : 6.35 %
HSE.PR.A FixedReset Disc 105,200 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-12-03
Maturity Price : 10.72
Evaluated at bid price : 10.72
Bid-YTW : 7.48 %
BMO.PR.D FixedReset Disc 88,714 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-12-03
Maturity Price : 20.91
Evaluated at bid price : 20.91
Bid-YTW : 5.62 %
EMA.PR.C FixedReset Disc 66,190 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-12-03
Maturity Price : 17.33
Evaluated at bid price : 17.33
Bid-YTW : 6.29 %
BMO.PR.C FixedReset Disc 63,940 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-12-03
Maturity Price : 21.28
Evaluated at bid price : 21.57
Bid-YTW : 5.61 %
BAM.PR.T FixedReset Disc 63,500 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-12-03
Maturity Price : 15.11
Evaluated at bid price : 15.11
Bid-YTW : 6.39 %
There were 68 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: 23.75 – 24.50
Spot Rate : 0.7500
Average : 0.5525

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-12-03
Maturity Price : 23.48
Evaluated at bid price : 23.75
Bid-YTW : 5.25 %

HSE.PR.G FixedReset Disc Quote: 17.01 – 17.66
Spot Rate : 0.6500
Average : 0.4650

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-12-03
Maturity Price : 17.01
Evaluated at bid price : 17.01
Bid-YTW : 7.44 %

HSE.PR.A FixedReset Disc Quote: 10.72 – 11.16
Spot Rate : 0.4400
Average : 0.3064

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-12-03
Maturity Price : 10.72
Evaluated at bid price : 10.72
Bid-YTW : 7.48 %

TD.PF.D FixedReset Disc Quote: 18.96 – 19.29
Spot Rate : 0.3300
Average : 0.2063

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-12-03
Maturity Price : 18.96
Evaluated at bid price : 18.96
Bid-YTW : 5.75 %

GWO.PR.T Deemed-Retractible Quote: 24.16 – 24.55
Spot Rate : 0.3900
Average : 0.2851

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-12-03
Maturity Price : 23.76
Evaluated at bid price : 24.16
Bid-YTW : 5.31 %

GWO.PR.S Deemed-Retractible Quote: 24.35 – 24.60
Spot Rate : 0.2500
Average : 0.1630

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-12-03
Maturity Price : 24.03
Evaluated at bid price : 24.35
Bid-YTW : 5.38 %

Anomalies In Resets for 2019-12-31

December 4th, 2019

There were five resets announced 2019-12-2, as follows:

Ticker Issue
Reset
Spread
Announced
Rate
Implied
GOC-5
Yield
FFH.PR.C 315bp 4.709% 1.559%
TRP.PR.A 192bp 3.479% 1.559%
BPO.PR.A 315bp 4.709% 1.559%
HSE.PR.C 313bp 4.636% 1.506%
AZP.PR.B 418bp 5.67% 1.490%

The first three issues listed are consistent and the implied GOC-5 rate of 1.559% isn’t anything that raises any eyebrows around here … but the bottom two are a puzzle. I believe that all these calculations should be based on the rate at 10:00am December 2 … though it has been shown that prospectuses are imprecise regarding the details.

An inquiry directed to Atlantic Power’s Investor Relations Department elicited a claim that the GOC-5 yield was measured at the close, November 29, and that this was in accordance with the indenture. Well, it may or may not be, but my reading of the prospectus (available on SEDAR, not allowed to link directly of course, which is a disgrace, so the regulators say you have to search for “Atlantic Power Preferred Equity Ltd. Oct 21 2009 17:20:19 ET Final short form prospectus – English PDF 229 K”) suggests the correct time should have been 10am (Toronto time) on 2019-12-2.

An inquiry directed to Husky Energy’s Investor Relations Department has not yet been answered. My thanks to Assiduous Reader PG who brought this to my attention.

Inquiries continue.

Update, 2019-12-4: AZP will issue a press release on December 5, I am told. HSE has not yet responded to my two eMails asking them to specify the date and time as of which the GOC-5 yield was measured … but they’ve got a lot going on right now so I’ll wait another day before sending eMail #3.