BCE.PR.F To Reset At 3.865%; Convert or Hold BCE.PR.F / BCE.PR.E ?

January 18th, 2020

BCE Inc has announced (on 2020-1-16):

2020-notice-of-dividend-rate-series-af
Click for Big

BCE.PR.F is a FixedFloater which was added to the HIMIPref™ database in December 2008, when it was paying 4.40%. It reset in 2010 to 4.541% and after a net conversion to BCE.PR.F the issue pair was about 90% FixedFloater. It reset in 2015 to 3.110% and after a massive conversion the issue pair was about 60% RatchetRate. Notice of Extension/Conversion was published 2019-12-18

BCE.PR.E is a RatchetRate preferred, interconvertible every five years with BCE.PR.F. It was added to the HIMIPref™ database in May, 2012.

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., BCE.PR.F and the RatchetRate BCE.PR.E that will continue to exist if enough holders want it). 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 FixedFloater / RatchetRate Strong Pair graphically by plotting the implied average prime 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_ff_200117
Click for Big

The market seems to be doing a pretty good job of arbitraging this series of issues; the seven BCE issues have an average break-even prime rate of 4.49%, close to the current prime of 3.95% although significantly higher than last week’s figure of 4.15%. There is more variation than might be expected. 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.

If we plug in the current bid price of the BCE.PR.F FixedFloater, we may construct the following table showing consistent prices for its RatchetRate counterpart BCE.PR.E given a variety of Implied Breakeven yields consistent with issues currently trading:

Estimate of RatchetRate BCE.PR.E (received in exchange for BCE.PR.F) Trading Price In Current Conditions
  Assumed RatchetRate
Price if Implied Prime
is equal to
FixedReset Bid Price 5.00% 4.50% 4.00%
BCE.PR.F 16.05 17.15 16.66 16.18

Note that the above table assumes that it will be the price of BCE.PR.E that varies, but the issue will probably continue trading at around 16.00, like the other BCE RatchetRates; it will more likely be the case that the price of BCE.PR.F declines. Everything’s relative!

Based on current market conditions, I suggest that BCE.PR.E will likely trade above the price of their counterparts, BCE.PR.F. Therefore, I recommend that holders of BCE.PR.F convert to BCE.PR.E and I recommend that holders of BCE.PR.E continue to hold the issue. 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 after the conversion and that the relative pricing of the two new pairs will reflect these conditions.

Note that the company deadline to receive notice of conversion is 5:00 p.m. (Eastern time) on January 20, 2020., so there is no time to waste – in fact, internal deadlines at brokerages and other intermediaries has likely passed and people calling in so shortly before the deadline will have to ask for ‘best efforts’ by the brokerage.

NA.PR.W To Reset At 3.839%

January 18th, 2020

National Bank of Canada has announced:

the dividend rates applicable to the Non-Cumulative 5-Year Rate Reset First Preferred Shares, Series 32 (the “Series 32 Preferred Shares”) and the Non-Cumulative Floating Rate First Preferred Shares, Series 33 (the “Series 33 Preferred Shares”).

Holders of Series 32 Preferred Shares, should any remain outstanding after February 15, 2020, 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 the Bank and subject to the provisions of the Bank Act (Canada). The dividend rate for the five-year period commencing on February 16, 2020 and ending on February 15, 2025 will be 3.839%, being equal to the sum of the five-year Government of Canada Bond yield (1.589%) plus 2.25%, as determined in accordance with the terms of the Series 32 Preferred Shares.

Holders of Series 33 Preferred Shares, should any be issued on February 15, 2020, will be entitled to receive floating rate non-cumulative preferential cash dividends on a quarterly basis, as and when declared by the Board of Directors of the Bank and subject to the provisions of the Bank Act (Canada). The dividend rate for the three-month period commencing on February 16, 2020 and ending on May 15, 2020, will be 3.898%, being equal to the sum of the 90-day Government of Canada Treasury Bill yield (1.648%) plus 2.25%, calculated on the basis of actual number of days elapsed in such quarterly floating rate period divided by 365, as determined in accordance with the terms of the Series 33 Preferred Shares.

Holders of the Series 32 Preferred Shares have, subject to certain conditions, the right to convert all or part of their Series 32 Preferred Shares on a one-for-one basis into Series 33 Preferred Shares on February 15, 2020.

Beneficial owners of Series 32 shares who wish to exercise their conversion right should communicate as soon as possible with their broker or other nominee and ensure that they follow their instructions in order to meet the deadline to exercise such right, which is January 31, 2020 at 5:00 p.m. (EST).

NA.PR.W is a FixedReset, 3.90%+225, that commenced trading 2014-10-9 after being announced 2014-9-30. The company announced the extension on 2019-12-19. The issue is tracked by HIMIPref™ and is assigned to the FixedReset (Discount) subindex.

The most logical way to analyze the question of whether or not to convert is through the theory of Preferred Pairs, for which a calculator is available. Briefly, a Strong Pair is defined as a pair of securities that can be interconverted in the future (e.g., NA.PR.W 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_200117
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 +0.61% (ignoring the outlier FTS.PR.H / FTS.PR.I, which resets 2020-6-1) and +1.48% (including all data points, including 3 very high, very suspicious ones), respectively. Whatever might be the result of the next few Bank of Canada overnight rate decisions, I suggest that it is unlikely that the average rate over the next five years will be lower than current – but if you disagree, of course, you may interpret the data any way you like.

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

If we plug in the current bid price of the NA.PR.W 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 NA.PR.W) Trading Price In Current Conditions
  Assumed FloatingReset
Price if Implied Bill
is equal to
FixedReset Bid Price Spread 1.50% 1.00% 0.50%
NA.PR.W 17.15 225bp 17.06 16.57 16.07

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, NA.PR.W. Therefore, it seems likely that I will recommend that holders of NA.PR.W continue to hold the issue and not to convert, but I will wait until it’s closer to the January 31 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.

EMA.PR.F To Reset At 4.202%

January 18th, 2020

Emera Incorporated has announced (on 2020-1-16):

the applicable dividend rates for its Cumulative Rate Reset First Preferred Shares, Series F (the “Series F Shares”) and Cumulative Floating Rate First Preferred Shares, Series G (the “Series G Shares”), in each case, payable if, as and when declared by the Board of Directors of the Company:
  • 4.202% per annum on the Series F Shares ($0.262625 per Series F Share per quarter), being equal to the sum of the Government of Canada bond yield as at January 16, 2020, plus 2.63%, payable quarterly on the 15th of February, May, August and November of each year during the five-year period commencing on February 15, 2020 and ending on (and inclusive of) February 14, 2025; and
  • 4.278% on the Series G Shares for the three-month period commencing on February 15, 2020 and ending on (and inclusive of) May 14, 2020 ($0.263712 per Series G Share for the quarter), being equal to the sum of the three-month Government of Canada treasury bill yield rate as at January 16, 2020, plus 2.63% (calculated on the basis of the actual number of days elapsed during the quarter divided by 365), payable on the 15th of May, 2020. The quarterly floating dividend rate will be reset every quarter.

Holders of the Series F Shares have the right, at their option, to convert all or any of their Series F Shares, on a one-for-one basis, into Series G Shares on February 15, 2020 (the “Conversion Date”). On such date, holders who do not exercise their right to convert their Series F Shares into Series G Shares will continue to hold their Series F Shares. The foregoing conversion right is subject to the following:

  • if the Company determines that there would be less than 1,000,000 Series G Shares outstanding on the Conversion Date, then holders of Series F Shares will not be entitled to convert their shares into Series G Shares, and
  • alternatively, if the Company determines that there would remain outstanding less than 1,000,000 Series F Shares on the Conversion Date, then all remaining Series F Shares will automatically be converted into Series G Shares on a one-for-one basis on the Conversion Date.

Beneficial owners of Series F Shares who wish to exercise their conversion right should communicate with their broker or other nominee to obtain instructions for exercising such right during the conversion period, which runs from January 16, 2020 until 5:00 p.m. (EST) on January 31, 2020.

EMA.PR.F is a FixedReset, 4.25%+263, that commenced trading 2014-6-9 after being being announced 2014-5-29. The company announced the extension on 2020-1-7. EMA.PR.F is tracked by HIMIPref™ and assigned to the FixedReset Discount subindex.

The most logical way to analyze the question of whether or not to convert is through the theory of Preferred Pairs, for which a calculator is available. Briefly, a Strong Pair is defined as a pair of securities that can be interconverted in the future (e.g., EMA.PR.F 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_200117
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 +0.61% (ignoring the outlier FTS.PR.H / FTS.PR.I, which resets 2020-6-1) and +1.48% (including all data points, including 3 very high, very suspicious ones), respectively. Whatever might be the result of the next few Bank of Canada overnight rate decisions, I suggest that it is unlikely that the average rate over the next five years will be lower than current – but if you disagree, of course, you may interpret the data any way you like.

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

If we plug in the current bid price of the EMA.PR.F 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 EMA.PR.F) Trading Price In Current Conditions
  Assumed FloatingReset
Price if Implied Bill
is equal to
FixedReset Bid Price Spread 1.50% 1.00% 0.50%
EMA.PR.F 18.20 263bp 18.13 17.64 17.15

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, EMA.PR.F. Therefore, it seems likely that I will recommend that holders of EMA.PR.F continue to hold the issue and not to convert, but I will wait until it’s closer to the January 31 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.

January 17, 2020

January 18th, 2020

Brookfield Office Properties has announced:

it has received approval from the Toronto Stock Exchange (“TSX”) for the renewal of its normal course issuer bid to purchase up to 10% of the public float of each series of the company’s outstanding Class AAA Preference Shares that are listed on the TSX (the “Preferred Shares”). Purchases under the bid will be made through the facilities of the TSX and any alternative Canadian trading systems in compliance with applicable Canadian securities laws. The period of the normal course issuer bid will extend from January 21, 2020 to January 20, 2021, or an earlier date should Brookfield complete its purchases prior to such date. Brookfield will pay the market price at the time of acquisition for any Preferred Shares purchased, but not to exceed the redemption price thereof as stated in the company’s articles. All Preferred Shares acquired by Brookfield under this bid will be cancelled.

Brookfield has not repurchased any Preferred Shares in the past 12 months.

There has been great interest on PrefBlog recently about issuer buy-backs, with Assiduous Reader stusclues doing great things with Google Sheet and Google Finance to track changes … I might do something along those lines myself!

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 -0.0409 % 2,155.1
FixedFloater 0.00 % 0.00 % 0 0.00 0 -0.0409 % 3,954.5
Floater 5.66 % 5.73 % 46,144 14.32 4 -0.0409 % 2,279.0
OpRet 0.00 % 0.00 % 0 0.00 0 0.1373 % 3,442.8
SplitShare 4.78 % 4.40 % 31,963 3.74 6 0.1373 % 4,111.4
Interest-Bearing 0.00 % 0.00 % 0 0.00 0 0.1373 % 3,207.9
Perpetual-Premium 5.58 % -1.86 % 58,205 0.09 11 -0.0610 % 3,059.1
Perpetual-Discount 5.25 % 5.34 % 69,080 14.88 24 0.0430 % 3,308.6
FixedReset Disc 5.39 % 5.59 % 201,542 14.61 64 -0.0033 % 2,215.4
Deemed-Retractible 5.15 % 5.25 % 61,011 14.90 27 -0.1196 % 3,242.1
FloatingReset 5.89 % 5.88 % 73,697 14.10 3 0.0000 % 2,600.2
FixedReset Prem 5.10 % 3.46 % 137,694 1.51 22 -0.1652 % 2,643.2
FixedReset Bank Non 1.93 % 3.60 % 64,516 1.98 3 -0.0408 % 2,740.8
FixedReset Ins Non 5.20 % 5.50 % 131,289 14.65 22 -0.0190 % 2,256.3
Performance Highlights
Issue Index Change Notes
MFC.PR.Q FixedReset Ins Non -1.94 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-01-17
Maturity Price : 19.72
Evaluated at bid price : 19.72
Bid-YTW : 5.48 %
CCS.PR.C Deemed-Retractible -1.65 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-01-17
Maturity Price : 22.96
Evaluated at bid price : 23.23
Bid-YTW : 5.42 %
GWO.PR.N FixedReset Ins Non -1.42 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-01-17
Maturity Price : 13.90
Evaluated at bid price : 13.90
Bid-YTW : 5.22 %
TRP.PR.A FixedReset Disc -1.33 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-01-17
Maturity Price : 14.82
Evaluated at bid price : 14.82
Bid-YTW : 5.99 %
BMO.PR.S FixedReset Disc -1.19 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-01-17
Maturity Price : 18.21
Evaluated at bid price : 18.21
Bid-YTW : 5.47 %
TRP.PR.G FixedReset Disc -1.10 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-01-17
Maturity Price : 18.94
Evaluated at bid price : 18.94
Bid-YTW : 6.08 %
MFC.PR.L FixedReset Ins Non -1.08 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-01-17
Maturity Price : 17.47
Evaluated at bid price : 17.47
Bid-YTW : 5.47 %
IFC.PR.A FixedReset Ins Non 1.09 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-01-17
Maturity Price : 14.87
Evaluated at bid price : 14.87
Bid-YTW : 5.68 %
PWF.PR.P FixedReset Disc 1.23 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-01-17
Maturity Price : 13.95
Evaluated at bid price : 13.95
Bid-YTW : 5.69 %
MFC.PR.M FixedReset Ins Non 1.36 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-01-17
Maturity Price : 18.63
Evaluated at bid price : 18.63
Bid-YTW : 5.33 %
HSE.PR.G FixedReset Disc 1.59 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-01-17
Maturity Price : 19.22
Evaluated at bid price : 19.22
Bid-YTW : 6.74 %
TRP.PR.B FixedReset Disc 2.18 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-01-17
Maturity Price : 12.20
Evaluated at bid price : 12.20
Bid-YTW : 5.96 %
Volume Highlights
Issue Index Shares
Traded
Notes
CU.PR.F Perpetual-Discount 183,753 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-01-17
Maturity Price : 21.80
Evaluated at bid price : 21.80
Bid-YTW : 5.24 %
CU.PR.E Perpetual-Discount 141,655 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-01-17
Maturity Price : 23.24
Evaluated at bid price : 23.70
Bid-YTW : 5.22 %
PWF.PR.I Perpetual-Premium 115,114 YTW SCENARIO
Maturity Type : Call
Maturity Date : 2020-02-16
Maturity Price : 25.00
Evaluated at bid price : 25.10
Bid-YTW : -1.86 %
CM.PR.O FixedReset Disc 74,387 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-01-17
Maturity Price : 17.40
Evaluated at bid price : 17.40
Bid-YTW : 5.59 %
CM.PR.S FixedReset Disc 65,450 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-01-17
Maturity Price : 18.54
Evaluated at bid price : 18.54
Bid-YTW : 5.61 %
TD.PF.B FixedReset Disc 52,679 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-01-17
Maturity Price : 17.60
Evaluated at bid price : 17.60
Bid-YTW : 5.46 %
There were 48 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: 17.62 – 18.17
Spot Rate : 0.5500
Average : 0.3682

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-01-17
Maturity Price : 17.62
Evaluated at bid price : 17.62
Bid-YTW : 5.97 %

IFC.PR.E Deemed-Retractible Quote: 24.40 – 24.89
Spot Rate : 0.4900
Average : 0.3266

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-01-17
Maturity Price : 23.98
Evaluated at bid price : 24.40
Bid-YTW : 5.36 %

MFC.PR.Q FixedReset Ins Non Quote: 19.72 – 20.16
Spot Rate : 0.4400
Average : 0.2819

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-01-17
Maturity Price : 19.72
Evaluated at bid price : 19.72
Bid-YTW : 5.48 %

BAM.PR.K Floater Quote: 12.06 – 12.49
Spot Rate : 0.4300
Average : 0.2725

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-01-17
Maturity Price : 12.06
Evaluated at bid price : 12.06
Bid-YTW : 5.79 %

SLF.PR.G FixedReset Ins Non Quote: 13.70 – 14.09
Spot Rate : 0.3900
Average : 0.2615

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-01-17
Maturity Price : 13.70
Evaluated at bid price : 13.70
Bid-YTW : 5.54 %

IAF.PR.B Deemed-Retractible Quote: 22.08 – 22.46
Spot Rate : 0.3800
Average : 0.2521

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-01-17
Maturity Price : 21.84
Evaluated at bid price : 22.08
Bid-YTW : 5.24 %

January 16, 2020

January 16th, 2020

The Enbridge story continues! After my complaint to the Ontario Energy Board and follow-up letter, I have received a response from the OEB:

The following summarizes my review of your Enbridge Gas complaint.

We confirmed that your natural gas bills have been reverted to regular mail and Enbridge apologized to you for the delay with responding.

Enbridge made a business decision to switch to eBilling and automatically enrolled customers who accessed My Account online services. They are trying to reduce their carbon footprint and keep gas rates low for their customers. While we appreciate how frustrating and time consuming this experience has been, Enbridge assured the OEB they have discontinued switching their customers to eBilling without consent.

The OEB closely monitors these types of complaints and uses them to identify trends, improper practices or procedures; to help us recommend policy, and procedure changes a company should make.

Thank you for bringing this matter to our attention.

… to which I have responded:

Thank you for your note.

I am puzzled as to why you find it necessary to confirm “that your natural gas bills have been reverted to regular mail and Enbridge apologized to you for the delay with responding.” I advised you of this on page 2 of my letter of 2019-12-24 and Enbridge’s confirmation of this was included in my letter of 2020-1-6. This fact is not at issue. I am not complaining about the mere fact of the original unilateral change to my billing preference; my complaint is about being lied to and about the company’s deliberately poor process for reinstatement.

I was actually lied to by a customer service representative when I attempted to follow the company’s instructions for reverting my billing preference; it is entirely possible that this lie was not a mistake but was actually a deliberate policy of the company. Please let me know why this aspect of my complaint (specified on page 1 of my letter of 2019-12-24 and pages 2-3 of my 2020-1-6 letter) has not been addressed.

In fact, your note does not address my complaint at all, which rests on violations of the Ontario Energy Board’s Consumer Charter and Enbridge’s own Conditions of Service, as noted prominently in both my letters. Please advise why my complaint has not been addressed.

I understand from your note that “Enbridge assured the OEB they have discontinued switching their customers to eBilling without consent”, which is of some interest. I would appreciate learning whether this is a formal “Assurance of Voluntary Compliance” as described at https://www.oeb.ca/industry/rules-codes-and-requirements/compliance-and-enforcement-processes or whether this assurance is merely another transient corporate policy.

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 -0.1431 % 2,156.0
FixedFloater 0.00 % 0.00 % 0 0.00 0 -0.1431 % 3,956.1
Floater 5.66 % 5.76 % 47,680 14.26 4 -0.1431 % 2,279.9
OpRet 0.00 % 0.00 % 0 0.00 0 -0.0392 % 3,438.0
SplitShare 4.79 % 4.49 % 33,075 3.74 6 -0.0392 % 4,105.8
Interest-Bearing 0.00 % 0.00 % 0 0.00 0 -0.0392 % 3,203.5
Perpetual-Premium 5.58 % -3.49 % 57,429 0.09 11 0.1149 % 3,061.0
Perpetual-Discount 5.25 % 5.34 % 69,977 14.89 24 0.1362 % 3,307.2
FixedReset Disc 5.39 % 5.57 % 202,664 14.63 64 0.0663 % 2,215.5
Deemed-Retractible 5.14 % 5.24 % 67,575 14.92 27 0.0575 % 3,245.9
FloatingReset 5.89 % 5.88 % 72,624 14.11 3 0.8896 % 2,600.2
FixedReset Prem 5.09 % 3.41 % 138,803 1.52 22 0.0089 % 2,647.6
FixedReset Bank Non 1.93 % 3.61 % 63,485 1.98 3 0.2181 % 2,741.9
FixedReset Ins Non 5.20 % 5.49 % 133,823 14.62 22 0.2263 % 2,256.7
Performance Highlights
Issue Index Change Notes
PWF.PR.A Floater -1.88 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-01-16
Maturity Price : 12.56
Evaluated at bid price : 12.56
Bid-YTW : 5.59 %
TRP.PR.B FixedReset Disc -1.49 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-01-16
Maturity Price : 11.94
Evaluated at bid price : 11.94
Bid-YTW : 6.09 %
HSE.PR.G FixedReset Disc -1.41 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-01-16
Maturity Price : 18.92
Evaluated at bid price : 18.92
Bid-YTW : 6.85 %
RY.PR.M FixedReset Disc -1.07 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-01-16
Maturity Price : 19.42
Evaluated at bid price : 19.42
Bid-YTW : 5.49 %
SLF.PR.J FloatingReset 1.12 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-01-16
Maturity Price : 13.52
Evaluated at bid price : 13.52
Bid-YTW : 5.71 %
IFC.PR.A FixedReset Ins Non 1.31 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-01-16
Maturity Price : 14.71
Evaluated at bid price : 14.71
Bid-YTW : 5.74 %
HSE.PR.A FixedReset Disc 1.35 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-01-16
Maturity Price : 12.04
Evaluated at bid price : 12.04
Bid-YTW : 6.87 %
TRP.PR.E FixedReset Disc 1.45 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-01-16
Maturity Price : 16.75
Evaluated at bid price : 16.75
Bid-YTW : 5.85 %
TRP.PR.F FloatingReset 1.53 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-01-16
Maturity Price : 14.59
Evaluated at bid price : 14.59
Bid-YTW : 6.18 %
TRP.PR.A FixedReset Disc 2.46 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-01-16
Maturity Price : 15.02
Evaluated at bid price : 15.02
Bid-YTW : 5.91 %
Volume Highlights
Issue Index Shares
Traded
Notes
CM.PR.S FixedReset Disc 131,129 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-01-16
Maturity Price : 18.61
Evaluated at bid price : 18.61
Bid-YTW : 5.59 %
TRP.PR.C FixedReset Disc 84,779 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-01-16
Maturity Price : 12.96
Evaluated at bid price : 12.96
Bid-YTW : 6.01 %
CM.PR.O FixedReset Disc 55,189 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-01-16
Maturity Price : 17.44
Evaluated at bid price : 17.44
Bid-YTW : 5.57 %
MFC.PR.Q FixedReset Ins Non 53,878 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-01-16
Maturity Price : 20.11
Evaluated at bid price : 20.11
Bid-YTW : 5.37 %
CM.PR.P FixedReset Disc 48,982 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-01-16
Maturity Price : 17.37
Evaluated at bid price : 17.37
Bid-YTW : 5.56 %
TD.PF.A FixedReset Disc 46,640 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-01-16
Maturity Price : 17.68
Evaluated at bid price : 17.68
Bid-YTW : 5.39 %
There were 27 other index-included issues trading in excess of 10,000 shares.
Wide Spread Highlights
Issue Index Quote Data and Yield Notes
PVS.PR.G SplitShare Quote: 25.75 – 26.17
Spot Rate : 0.4200
Average : 0.2801

YTW SCENARIO
Maturity Type : Option Certainty
Maturity Date : 2026-02-28
Maturity Price : 25.00
Evaluated at bid price : 25.75
Bid-YTW : 4.46 %

HSE.PR.G FixedReset Disc Quote: 18.92 – 19.48
Spot Rate : 0.5600
Average : 0.4218

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-01-16
Maturity Price : 18.92
Evaluated at bid price : 18.92
Bid-YTW : 6.85 %

ELF.PR.H Perpetual-Premium Quote: 25.04 – 25.31
Spot Rate : 0.2700
Average : 0.1629

YTW SCENARIO
Maturity Type : Call
Maturity Date : 2021-04-17
Maturity Price : 25.00
Evaluated at bid price : 25.04
Bid-YTW : 5.38 %

BAM.PF.G FixedReset Disc Quote: 19.10 – 19.38
Spot Rate : 0.2800
Average : 0.1774

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-01-16
Maturity Price : 19.10
Evaluated at bid price : 19.10
Bid-YTW : 5.89 %

PWF.PR.A Floater Quote: 12.56 – 12.85
Spot Rate : 0.2900
Average : 0.2070

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-01-16
Maturity Price : 12.56
Evaluated at bid price : 12.56
Bid-YTW : 5.59 %

MFC.PR.I FixedReset Ins Non Quote: 20.23 – 20.52
Spot Rate : 0.2900
Average : 0.2096

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-01-16
Maturity Price : 20.23
Evaluated at bid price : 20.23
Bid-YTW : 5.57 %

January 15, 2020

January 15th, 2020

PerpetualDiscounts now yield 5.33%, equivalent to 6.93% interest at the standard equivalency factor of 1.3x. Long corporates now yield 3.30%, so the pre-tax interest-equivalent spread (in this context, the “Seniority Spread”) has widened slightly (and perhaps spuriously) to 365bp from the 360bp reported December 18.

HIMIPref™ Preferred Indices
These values reflect the December 2008 revision of the HIMIPref™ Indices

Values are provisional and are finalized monthly
Index Mean
Current
Yield
(at bid)
Median
YTW
Median
Average
Trading
Value
Median
Mod Dur
(YTW)
Issues Day’s Perf. Index Value
Ratchet 0.00 % 0.00 % 0 0.00 0 0.4104 % 2,159.1
FixedFloater 0.00 % 0.00 % 0 0.00 0 0.4104 % 3,961.8
Floater 5.65 % 5.76 % 48,327 14.26 4 0.4104 % 2,283.2
OpRet 0.00 % 0.00 % 0 0.00 0 0.1440 % 3,439.4
SplitShare 4.79 % 4.49 % 31,999 3.74 6 0.1440 % 4,107.4
Interest-Bearing 0.00 % 0.00 % 0 0.00 0 0.1440 % 3,204.7
Perpetual-Premium 5.58 % -2.25 % 57,821 0.09 11 0.0539 % 3,057.5
Perpetual-Discount 5.26 % 5.33 % 67,351 14.90 24 0.1059 % 3,302.7
FixedReset Disc 5.39 % 5.59 % 195,128 14.63 64 -0.0696 % 2,214.0
Deemed-Retractible 5.14 % 5.24 % 70,148 14.90 27 0.0358 % 3,244.1
FloatingReset 5.94 % 5.88 % 72,349 14.11 3 0.1445 % 2,577.3
FixedReset Prem 5.09 % 3.45 % 139,955 1.52 22 -0.0213 % 2,647.4
FixedReset Bank Non 1.94 % 3.77 % 64,220 1.99 3 -0.1497 % 2,735.9
FixedReset Ins Non 5.21 % 5.52 % 138,746 14.64 22 0.2699 % 2,251.6
Performance Highlights
Issue Index Change Notes
TRP.PR.E FixedReset Disc -1.73 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-01-15
Maturity Price : 16.51
Evaluated at bid price : 16.51
Bid-YTW : 5.94 %
BIP.PR.E FixedReset Disc -1.54 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-01-15
Maturity Price : 22.03
Evaluated at bid price : 22.40
Bid-YTW : 5.61 %
BAM.PR.R FixedReset Disc -1.30 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-01-15
Maturity Price : 15.97
Evaluated at bid price : 15.97
Bid-YTW : 6.06 %
TRP.PR.D FixedReset Disc -1.24 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-01-15
Maturity Price : 16.70
Evaluated at bid price : 16.70
Bid-YTW : 5.97 %
MFC.PR.C Deemed-Retractible -1.06 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-01-15
Maturity Price : 21.47
Evaluated at bid price : 21.47
Bid-YTW : 5.30 %
TRP.PR.A FixedReset Disc -1.01 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-01-15
Maturity Price : 14.66
Evaluated at bid price : 14.66
Bid-YTW : 6.06 %
HSE.PR.A FixedReset Disc -1.00 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-01-15
Maturity Price : 11.88
Evaluated at bid price : 11.88
Bid-YTW : 6.96 %
SLF.PR.I FixedReset Ins Non 1.03 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-01-15
Maturity Price : 19.55
Evaluated at bid price : 19.55
Bid-YTW : 5.53 %
HSE.PR.C FixedReset Disc 1.07 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-01-15
Maturity Price : 17.92
Evaluated at bid price : 17.92
Bid-YTW : 6.67 %
PWF.PR.T FixedReset Disc 1.10 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-01-15
Maturity Price : 18.45
Evaluated at bid price : 18.45
Bid-YTW : 5.49 %
MFC.PR.F FixedReset Ins Non 1.13 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-01-15
Maturity Price : 13.45
Evaluated at bid price : 13.45
Bid-YTW : 5.55 %
BAM.PF.B FixedReset Disc 1.18 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-01-15
Maturity Price : 18.79
Evaluated at bid price : 18.79
Bid-YTW : 5.76 %
SLF.PR.H FixedReset Ins Non 1.50 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-01-15
Maturity Price : 16.95
Evaluated at bid price : 16.95
Bid-YTW : 5.49 %
Volume Highlights
Issue Index Shares
Traded
Notes
PWF.PR.I Perpetual-Premium 125,468 YTW SCENARIO
Maturity Type : Call
Maturity Date : 2020-02-14
Maturity Price : 25.00
Evaluated at bid price : 25.10
Bid-YTW : -2.25 %
RY.PR.J FixedReset Disc 115,100 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-01-15
Maturity Price : 20.27
Evaluated at bid price : 20.27
Bid-YTW : 5.43 %
PWF.PR.T FixedReset Disc 108,570 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-01-15
Maturity Price : 18.45
Evaluated at bid price : 18.45
Bid-YTW : 5.49 %
TRP.PR.C FixedReset Disc 90,948 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-01-15
Maturity Price : 12.98
Evaluated at bid price : 12.98
Bid-YTW : 6.00 %
MFC.PR.Q FixedReset Ins Non 85,200 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-01-15
Maturity Price : 20.18
Evaluated at bid price : 20.18
Bid-YTW : 5.35 %
PWF.PR.Q FloatingReset 70,200 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-01-15
Maturity Price : 13.85
Evaluated at bid price : 13.85
Bid-YTW : 5.88 %
There were 27 other index-included issues trading in excess of 10,000 shares.
Wide Spread Highlights
Issue Index Quote Data and Yield Notes
TRP.PR.G FixedReset Disc Quote: 19.06 – 19.46
Spot Rate : 0.4000
Average : 0.2582

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-01-15
Maturity Price : 19.06
Evaluated at bid price : 19.06
Bid-YTW : 6.04 %

MFC.PR.L FixedReset Ins Non Quote: 17.51 – 17.91
Spot Rate : 0.4000
Average : 0.2903

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-01-15
Maturity Price : 17.51
Evaluated at bid price : 17.51
Bid-YTW : 5.45 %

BAM.PF.A FixedReset Disc Quote: 20.37 – 20.71
Spot Rate : 0.3400
Average : 0.2405

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-01-15
Maturity Price : 20.37
Evaluated at bid price : 20.37
Bid-YTW : 5.74 %

BAM.PF.F FixedReset Disc Quote: 18.86 – 19.17
Spot Rate : 0.3100
Average : 0.2137

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-01-15
Maturity Price : 18.86
Evaluated at bid price : 18.86
Bid-YTW : 5.82 %

BAM.PF.J FixedReset Prem Quote: 24.75 – 25.00
Spot Rate : 0.2500
Average : 0.1632

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-01-15
Maturity Price : 23.30
Evaluated at bid price : 24.75
Bid-YTW : 4.75 %

RY.PR.H FixedReset Disc Quote: 17.97 – 18.17
Spot Rate : 0.2000
Average : 0.1309

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-01-15
Maturity Price : 17.97
Evaluated at bid price : 17.97
Bid-YTW : 5.39 %

January 14, 2020

January 15th, 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 1.2256 % 2,150.2
FixedFloater 0.00 % 0.00 % 0 0.00 0 1.2256 % 3,945.6
Floater 5.67 % 5.81 % 50,180 14.19 4 1.2256 % 2,273.8
OpRet 0.00 % 0.00 % 0 0.00 0 0.0393 % 3,434.5
SplitShare 4.79 % 4.52 % 32,499 3.74 6 0.0393 % 4,101.5
Interest-Bearing 0.00 % 0.00 % 0 0.00 0 0.0393 % 3,200.1
Perpetual-Premium 5.59 % -1.53 % 58,165 0.09 11 0.0503 % 3,055.8
Perpetual-Discount 5.26 % 5.34 % 67,258 14.90 24 0.1636 % 3,299.2
FixedReset Disc 5.39 % 5.56 % 196,192 14.59 64 0.4092 % 2,215.6
Deemed-Retractible 5.15 % 5.24 % 72,919 14.88 27 0.1105 % 3,242.9
FloatingReset 5.95 % 5.90 % 74,861 14.08 3 -0.2881 % 2,573.5
FixedReset Prem 5.09 % 3.51 % 145,704 1.52 22 0.0782 % 2,647.9
FixedReset Bank Non 1.94 % 3.65 % 66,356 1.99 3 0.2456 % 2,740.0
FixedReset Ins Non 5.22 % 5.51 % 140,504 14.65 22 0.4992 % 2,245.5
Performance Highlights
Issue Index Change Notes
BAM.PR.C Floater 1.01 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-01-14
Maturity Price : 12.00
Evaluated at bid price : 12.00
Bid-YTW : 5.81 %
BAM.PR.X FixedReset Disc 1.09 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-01-14
Maturity Price : 13.95
Evaluated at bid price : 13.95
Bid-YTW : 5.99 %
SLF.PR.G FixedReset Ins Non 1.11 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-01-14
Maturity Price : 13.71
Evaluated at bid price : 13.71
Bid-YTW : 5.54 %
TD.PF.K FixedReset Disc 1.11 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-01-14
Maturity Price : 19.99
Evaluated at bid price : 19.99
Bid-YTW : 5.42 %
RY.PR.H FixedReset Disc 1.12 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-01-14
Maturity Price : 18.10
Evaluated at bid price : 18.10
Bid-YTW : 5.35 %
CM.PR.O FixedReset Disc 1.16 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-01-14
Maturity Price : 17.46
Evaluated at bid price : 17.46
Bid-YTW : 5.56 %
TRP.PR.G FixedReset Disc 1.21 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-01-14
Maturity Price : 19.25
Evaluated at bid price : 19.25
Bid-YTW : 5.98 %
MFC.PR.F FixedReset Ins Non 1.22 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-01-14
Maturity Price : 13.30
Evaluated at bid price : 13.30
Bid-YTW : 5.61 %
CU.PR.E Perpetual-Discount 1.24 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-01-14
Maturity Price : 23.24
Evaluated at bid price : 23.71
Bid-YTW : 5.21 %
BAM.PR.B Floater 1.27 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-01-14
Maturity Price : 12.00
Evaluated at bid price : 12.00
Bid-YTW : 5.81 %
IFC.PR.C FixedReset Ins Non 1.33 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-01-14
Maturity Price : 18.25
Evaluated at bid price : 18.25
Bid-YTW : 5.78 %
MFC.PR.I FixedReset Ins Non 1.33 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-01-14
Maturity Price : 20.50
Evaluated at bid price : 20.50
Bid-YTW : 5.49 %
MFC.PR.H FixedReset Ins Non 1.37 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-01-14
Maturity Price : 21.50
Evaluated at bid price : 21.50
Bid-YTW : 5.51 %
BMO.PR.Y FixedReset Disc 1.48 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-01-14
Maturity Price : 19.95
Evaluated at bid price : 19.95
Bid-YTW : 5.48 %
EMA.PR.C FixedReset Disc 1.88 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-01-14
Maturity Price : 18.97
Evaluated at bid price : 18.97
Bid-YTW : 5.86 %
PWF.PR.A Floater 1.91 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-01-14
Maturity Price : 12.80
Evaluated at bid price : 12.80
Bid-YTW : 5.49 %
TRP.PR.C FixedReset Disc 2.13 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-01-14
Maturity Price : 12.95
Evaluated at bid price : 12.95
Bid-YTW : 6.01 %
BAM.PR.R FixedReset Disc 2.21 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-01-14
Maturity Price : 16.18
Evaluated at bid price : 16.18
Bid-YTW : 5.98 %
Volume Highlights
Issue Index Shares
Traded
Notes
HSE.PR.C FixedReset Disc 200,363 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-01-14
Maturity Price : 17.73
Evaluated at bid price : 17.73
Bid-YTW : 6.74 %
HSE.PR.A FixedReset Disc 199,957 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-01-14
Maturity Price : 12.00
Evaluated at bid price : 12.00
Bid-YTW : 6.89 %
CU.PR.H Perpetual-Discount 125,200 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-01-14
Maturity Price : 24.31
Evaluated at bid price : 24.81
Bid-YTW : 5.34 %
IAF.PR.G FixedReset Ins Non 110,700 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-01-14
Maturity Price : 19.30
Evaluated at bid price : 19.30
Bid-YTW : 5.70 %
BAM.PR.B Floater 101,975 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-01-14
Maturity Price : 12.00
Evaluated at bid price : 12.00
Bid-YTW : 5.81 %
NA.PR.E FixedReset Disc 96,916 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-01-14
Maturity Price : 18.85
Evaluated at bid price : 18.85
Bid-YTW : 5.67 %
There were 51 other index-included issues trading in excess of 10,000 shares.
Wide Spread Highlights
Issue Index Quote Data and Yield Notes
SLF.PR.J FloatingReset Quote: 13.37 – 13.70
Spot Rate : 0.3300
Average : 0.2075

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-01-14
Maturity Price : 13.37
Evaluated at bid price : 13.37
Bid-YTW : 5.78 %

RY.PR.N Perpetual-Discount Quote: 24.60 – 24.93
Spot Rate : 0.3300
Average : 0.2414

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-01-14
Maturity Price : 24.12
Evaluated at bid price : 24.60
Bid-YTW : 5.03 %

POW.PR.D Perpetual-Discount Quote: 23.28 – 23.55
Spot Rate : 0.2700
Average : 0.1902

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-01-14
Maturity Price : 23.01
Evaluated at bid price : 23.28
Bid-YTW : 5.39 %

GWO.PR.I Deemed-Retractible Quote: 21.60 – 21.84
Spot Rate : 0.2400
Average : 0.1676

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-01-14
Maturity Price : 21.33
Evaluated at bid price : 21.60
Bid-YTW : 5.24 %

PWF.PR.R Perpetual-Premium Quote: 25.05 – 25.33
Spot Rate : 0.2800
Average : 0.2144

YTW SCENARIO
Maturity Type : Call
Maturity Date : 2021-04-30
Maturity Price : 25.00
Evaluated at bid price : 25.05
Bid-YTW : 5.15 %

TRP.PR.K FixedReset Prem Quote: 25.55 – 25.74
Spot Rate : 0.1900
Average : 0.1303

YTW SCENARIO
Maturity Type : Call
Maturity Date : 2022-05-31
Maturity Price : 25.00
Evaluated at bid price : 25.55
Bid-YTW : 4.21 %

January 13, 2020

January 14th, 2020

The big argument against market timing is chaos theory. But can chaos be mitigated?

Half a century ago, the pioneers of chaos theory discovered that the “butterfly effect” makes long-term prediction impossible. Even the smallest perturbation to a complex system (like the weather, the economy or just about anything else) can touch off a concatenation of events that leads to a dramatically divergent future. Unable to pin down the state of these systems precisely enough to predict how they’ll play out, we live under a veil of uncertainty.

But now the robots are here to help.

In a series of results reported in the journals Physical Review Letters and Chaos, scientists have used machine learning — the same computational technique behind recent successes in artificial intelligence — to predict the future evolution of chaotic systems out to stunningly distant horizons. The approach is being lauded by outside experts as groundbreaking and likely to find wide application.

kaos_200113
Click for Big
HIMIPref™ Preferred Indices
These values reflect the December 2008 revision of the HIMIPref™ Indices

Values are provisional and are finalized monthly
Index Mean
Current
Yield
(at bid)
Median
YTW
Median
Average
Trading
Value
Median
Mod Dur
(YTW)
Issues Day’s Perf. Index Value
Ratchet 0.00 % 0.00 % 0 0.00 0 0.6481 % 2,124.2
FixedFloater 0.00 % 0.00 % 0 0.00 0 0.6481 % 3,897.8
Floater 5.74 % 5.87 % 48,573 14.10 4 0.6481 % 2,246.3
OpRet 0.00 % 0.00 % 0 0.00 0 0.0655 % 3,433.1
SplitShare 4.79 % 4.51 % 32,598 3.75 6 0.0655 % 4,099.9
Interest-Bearing 0.00 % 0.00 % 0 0.00 0 0.0655 % 3,198.9
Perpetual-Premium 5.59 % -2.64 % 59,414 0.09 11 0.0539 % 3,054.3
Perpetual-Discount 5.27 % 5.34 % 69,933 14.91 24 -0.0162 % 3,293.8
FixedReset Disc 5.41 % 5.59 % 196,954 14.57 64 0.4018 % 2,206.5
Deemed-Retractible 5.15 % 5.26 % 72,236 14.91 27 0.2481 % 3,239.3
FloatingReset 5.93 % 5.92 % 77,528 14.05 3 0.6768 % 2,581.0
FixedReset Prem 5.09 % 3.50 % 145,258 1.53 22 -0.0107 % 2,645.9
FixedReset Bank Non 1.94 % 3.76 % 63,141 1.99 3 0.0273 % 2,733.3
FixedReset Ins Non 5.25 % 5.57 % 139,494 14.57 22 0.5260 % 2,234.4
Performance Highlights
Issue Index Change Notes
EMA.PR.C FixedReset Disc -1.48 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-01-13
Maturity Price : 18.62
Evaluated at bid price : 18.62
Bid-YTW : 5.97 %
MFC.PR.Q FixedReset Ins Non 1.01 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-01-13
Maturity Price : 19.95
Evaluated at bid price : 19.95
Bid-YTW : 5.41 %
MFC.PR.N FixedReset Ins Non 1.02 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-01-13
Maturity Price : 17.75
Evaluated at bid price : 17.75
Bid-YTW : 5.57 %
TRP.PR.F FloatingReset 1.05 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-01-13
Maturity Price : 14.50
Evaluated at bid price : 14.50
Bid-YTW : 6.22 %
BIP.PR.E FixedReset Disc 1.07 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-01-13
Maturity Price : 22.16
Evaluated at bid price : 22.60
Bid-YTW : 5.56 %
MFC.PR.C Deemed-Retractible 1.08 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-01-13
Maturity Price : 21.33
Evaluated at bid price : 21.60
Bid-YTW : 5.25 %
TRP.PR.D FixedReset Disc 1.08 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-01-13
Maturity Price : 16.90
Evaluated at bid price : 16.90
Bid-YTW : 5.89 %
RY.PR.J FixedReset Disc 1.10 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-01-13
Maturity Price : 20.17
Evaluated at bid price : 20.17
Bid-YTW : 5.46 %
GWO.PR.Q Deemed-Retractible 1.12 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-01-13
Maturity Price : 23.85
Evaluated at bid price : 24.40
Bid-YTW : 5.29 %
TRP.PR.A FixedReset Disc 1.23 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-01-13
Maturity Price : 14.80
Evaluated at bid price : 14.80
Bid-YTW : 6.00 %
MFC.PR.F FixedReset Ins Non 1.23 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-01-13
Maturity Price : 13.14
Evaluated at bid price : 13.14
Bid-YTW : 5.68 %
GWO.PR.N FixedReset Ins Non 1.24 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-01-13
Maturity Price : 13.92
Evaluated at bid price : 13.92
Bid-YTW : 5.21 %
TD.PF.D FixedReset Disc 1.27 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-01-13
Maturity Price : 20.00
Evaluated at bid price : 20.00
Bid-YTW : 5.50 %
TRP.PR.C FixedReset Disc 1.28 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-01-13
Maturity Price : 12.68
Evaluated at bid price : 12.68
Bid-YTW : 6.14 %
IFC.PR.A FixedReset Ins Non 1.38 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-01-13
Maturity Price : 14.65
Evaluated at bid price : 14.65
Bid-YTW : 5.76 %
BAM.PR.X FixedReset Disc 1.47 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-01-13
Maturity Price : 13.80
Evaluated at bid price : 13.80
Bid-YTW : 6.05 %
MFC.PR.M FixedReset Ins Non 1.49 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-01-13
Maturity Price : 18.35
Evaluated at bid price : 18.35
Bid-YTW : 5.40 %
MFC.PR.L FixedReset Ins Non 1.69 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-01-13
Maturity Price : 17.50
Evaluated at bid price : 17.50
Bid-YTW : 5.45 %
HSE.PR.E FixedReset Disc 1.86 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-01-13
Maturity Price : 19.21
Evaluated at bid price : 19.21
Bid-YTW : 6.82 %
HSE.PR.G FixedReset Disc 1.92 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-01-13
Maturity Price : 19.14
Evaluated at bid price : 19.14
Bid-YTW : 6.76 %
Volume Highlights
Issue Index Shares
Traded
Notes
CM.PR.O FixedReset Disc 82,465 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-01-13
Maturity Price : 17.26
Evaluated at bid price : 17.26
Bid-YTW : 5.63 %
BMO.PR.E FixedReset Disc 64,742 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-01-13
Maturity Price : 20.53
Evaluated at bid price : 20.53
Bid-YTW : 5.47 %
BNS.PR.I FixedReset Disc 62,189 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-01-13
Maturity Price : 20.31
Evaluated at bid price : 20.31
Bid-YTW : 5.22 %
MFC.PR.M FixedReset Ins Non 61,905 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-01-13
Maturity Price : 18.35
Evaluated at bid price : 18.35
Bid-YTW : 5.40 %
TD.PF.B FixedReset Disc 61,276 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-01-13
Maturity Price : 17.68
Evaluated at bid price : 17.68
Bid-YTW : 5.43 %
GWO.PR.N FixedReset Ins Non 52,800 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-01-13
Maturity Price : 13.92
Evaluated at bid price : 13.92
Bid-YTW : 5.21 %
There were 23 other index-included issues trading in excess of 10,000 shares.
Wide Spread Highlights
Issue Index Quote Data and Yield Notes
BNS.PR.I FixedReset Disc Quote: 20.31 – 20.84
Spot Rate : 0.5300
Average : 0.3255

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-01-13
Maturity Price : 20.31
Evaluated at bid price : 20.31
Bid-YTW : 5.22 %

CCS.PR.C Deemed-Retractible Quote: 23.24 – 23.93
Spot Rate : 0.6900
Average : 0.5192

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-01-13
Maturity Price : 22.97
Evaluated at bid price : 23.24
Bid-YTW : 5.41 %

EMA.PR.C FixedReset Disc Quote: 18.62 – 19.00
Spot Rate : 0.3800
Average : 0.2699

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-01-13
Maturity Price : 18.62
Evaluated at bid price : 18.62
Bid-YTW : 5.97 %

NA.PR.E FixedReset Disc Quote: 18.75 – 19.08
Spot Rate : 0.3300
Average : 0.2224

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-01-13
Maturity Price : 18.75
Evaluated at bid price : 18.75
Bid-YTW : 5.70 %

BMO.PR.Y FixedReset Disc Quote: 19.66 – 20.11
Spot Rate : 0.4500
Average : 0.3557

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-01-13
Maturity Price : 19.66
Evaluated at bid price : 19.66
Bid-YTW : 5.56 %

TD.PF.M FixedReset Disc Quote: 24.40 – 24.67
Spot Rate : 0.2700
Average : 0.1813

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2050-01-13
Maturity Price : 22.98
Evaluated at bid price : 24.40
Bid-YTW : 5.21 %

January PrefLetter Released!

January 13th, 2020

The January, 200, edition of PrefLetter has been released and is now available for purchase as the “Previous edition”. Those who subscribe for a full year receive the “Previous edition” as a bonus.

PrefLetter may now be purchased by all Canadian residents.

Until further notice, the “Previous Edition” will refer to the January, 2020, issue, while the “Next Edition” will be the February, 2020, issue, scheduled to be prepared as of the close February 14, 2020, and eMailed to subscribers prior to market-opening on February 17.

PrefLetter is intended for long term investors seeking issues to buy-and-hold. At least one recommendation from each of the major preferred share sectors is included and discussed.

Note: My verbosity has grown by such leaps and bounds that it is no longer possible to deliver PrefLetter as an eMail attachment – it’s just too big for my software! Instead, I have sent passwords – click on the link in your eMail and your copy will download.

Note: The PrefLetter website has a Subscriber Download Feature. If you have not received your copy, try it!

Note: PrefLetter eMails sometimes runs afoul of spam filters. If you have not received your copy within fifteen minutes of a release notice such as this one, please double check your (company’s) spam filtering policy and your spam repository – there are some hints in the post Sympatico Spam Filters out of Control. If it’s not there, contact me and I’ll get you your copy … somehow!

Note: There have been scattered complaints regarding inability to open PrefLetter in Acrobat Reader, despite my practice of including myself on the subscription list and immediately checking the copy received. I have had the occasional difficulty reading US Government documents, which I was able to resolve by downloading and installing the latest version of Adobe Reader. Also, note that so far, all complaints have been from users of Yahoo Mail. Try saving it to disk first, before attempting to open it.

Note: There have been other scattered complaints that double-clicking on the links in the “PrefLetter Download” email results in a message that the password has already been used. I have been able to reproduce this problem in my own eMail software … the problem is double-clicking. What happens is the first click opens the link and the second click finds that the password has already been used and refuses to work properly. So the moral of the story is: Don’t be a dick! Single Click!

Note: Assiduous Reader DG informs me:

In case you have any other Apple users: you need to install a free App from the apple store called “FileApp”. It comes with it’s own tutorial and allows you to download and save a PDF file.

However, Assiduous Reader Adrian informs me in the comments to the January 2015 release:

Some nitpicking for DG:
FileApp costs $1.19 in the Apple Store.

But Adrian2 now advises:

Well, as of now, FileApp is free (again?).

CM.PR.P : Convert or Hold?

January 11th, 2020

It will be recalled that CM.PR.P will reset at 3.909% effective January 31, 2020.

CM.PR.P is a FixedReset, 3.75%+224, that commenced trading 2014-12-16 after being announced 2014-12-8. In December, notice of extension was published. CM.PR.P is tracked by HIMIPref™ and is assigned to the FixedReset-Discount subindex.

The most logical way to analyze the question of whether or not to convert is through the theory of Preferred Pairs, for which a calculator is available. Briefly, a Strong Pair is defined as a pair of securities that can be interconverted in the future (e.g. CM.PR.P and the FloatingReset that will arise 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).

pairs_fr_200110
Click for Big

The market appears to have lost its fleeting interest in floating rate product; the implied rates until the next interconversion are below the current 3-month bill rate as the averages for investment-grade and junk issues are at +0.64% and +1.10%, respectively. Whatever might be the result of the next few Bank of Canada overnight rate decisions, I suggest that it is unlikely that the average rate over the next five years will be lower than current – but if you disagree, of course, you may interpret the data any way you like.

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

If we plug in the current bid price of the CM.PR.P 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 CM.PR.P) Trading Price In Current Conditions
  Assumed FloatingReset
Price if Implied Bill
is equal to
FixedReset Bid Price Spread 1.50% 1.00% 0.50%
CM.PR.P 17.30 224bp 17.13 16.64 16.15

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, CM.PR.P. Therefore, I recommend that holders of CM.PR.P continue to hold the issue and not to convert. I will note that once the FloatingResets commence trading (if, in fact, they do) it may be a good trade to swap one issue for the other in the market once both elements of each pair are trading and you can – hopefully – do it with a reasonably good take-out in price, rather than doing it through the company on a 1:1 basis. But that, of course, will depend on the prices at that time and your forecast for the path of policy rates over the next five years. There are no guarantees – my recommendation is based on the assumption that current market conditions with respect to the pairs will continue until the FloatingResets commence trading and that the relative pricing of the two new pairs will reflect these conditions.

Those who wish to convert are advised that the deadline for notifying the company of such a desire is 5:00 p.m. (Eastern Standard Time) on January 16, 2020.. Brokers and other intermediaries generally set their internal deadlines a day or two in advance of this date, so if you wish to convert there’s no time to waste! Note that brokers will, in general, try to execute the instruction on a ‘best efforts’ basis if received between the two deadlines, provided that the procrastinating shareholder grovels entertainingly enough.