December 6, 2018

December 6th, 2018
rollercoaster_181206
Click for Big

An exhausting day began with the news that China’s getting huffy about the arrest of one of its citizens:

  • •Canada has arrested Meng Wanzhou, the chief financial officer of China’s Huawei Technologies, who now faces extradition to the United States on suspicion she violated U.S. trade sanctions against Iran.
  • •Prime Minister Justin Trudeau said Thursday he knew in advance of the pending arrest. U.S. national security adviser John Bolton told NPR he was also aware of the arrest before it happened.
  • •China has lashed out at Canada for offering no explanation of Ms. Meng’s arrest, and has called for her immediate release.
  • •Canada is preparing for possible Chinese cyberattacks in retaliation for the arrest.

So global equity markets tanked:

Stock markets around world slid on Thursday as the arrest of a top Chinese technology executive cast further shadows on U.S.-China trade relations, while oil prices sank after OPEC delayed an output decision.

The arrest of smartphone maker Huawei Technologies Co. Chief Financial Officer Meng Wanzhou in Canada for extradition to the United States came as Washington and Beijing prepared for talks aimed at resolving a bitter trade spat.

The S&P 500 and Dow industrials ended slightly negative but well above their session lows in volatile trading on Thursday, while some big technology and Internet shares posted gains.

The Dow Jones Industrial Average fell 78.05 points, or 0.31 percent, to 24,949.02, the S&P 500 lost 4.1 points, or 0.15 per cent, to 2,695.96 and the Nasdaq Composite added 29.83 points, or 0.42 per cent, to 7,188.26.

Canada’s main stock index plunged to its lowest level in more than two weeks on Thursday, as oil prices pulled down energy shares, while the Bank of Canada Governor Stephen Poloz predicted that low oil prices would hurt the country’s economic growth.

… and five-year Canada yields (GOC-5) plummeted in a classic flight to safety; they now stand at 2.00%, well below recent peaks in the high two-forties.

Which added up to … an interesting day in the Canadian preferred share market:

TXPR touched a new 52-week low of 609.77, down 2.65% from yesterday’s close, before closing at 627.15, up (yes, up!) 0.12% (on a price basis) on the day. Volume was the third-highest over the last thirty days, beaten only by November 29 and November 27.

CPD touched a new 52-week low of 12.11, down 2.89% before closing at 12.58, up 0.88%. Volume of 568,691 was the highest of the past thirty days, well ahead of second place 448,850 on November 20.

ZPR touched a new 52-week low of 9.80, down 3.45% before closing at 10.19, up 0.39% on the day. Volume of 757,194 was the highest of the past thirty days, well ahead of second place 582,190 reached on November 30.

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 0.0168 % 2,498.2
FixedFloater 0.00 % 0.00 % 0 0.00 0 0.0168 % 4,584.0
Floater 4.65 % 5.03 % 38,285 15.35 4 0.0168 % 2,641.8
OpRet 0.00 % 0.00 % 0 0.00 0 -0.3502 % 3,152.4
SplitShare 4.67 % 5.45 % 85,778 4.62 7 -0.3502 % 3,764.6
Interest-Bearing 0.00 % 0.00 % 0 0.00 0 -0.3502 % 2,937.3
Perpetual-Premium 5.62 % 6.06 % 140,598 13.76 2 -0.2987 % 2,846.3
Perpetual-Discount 5.78 % 5.98 % 71,290 13.87 33 -0.2837 % 2,853.8
FixedReset Disc 5.13 % 5.61 % 190,116 14.55 66 -0.6014 % 2,183.4
Deemed-Retractible 5.55 % 7.74 % 100,290 5.16 27 0.0067 % 2,847.7
FloatingReset 4.11 % 5.20 % 38,176 2.99 7 -0.5835 % 2,477.6
FixedReset Prem 5.20 % 4.57 % 294,090 2.31 14 -0.2608 % 2,487.5
FixedReset Bank Non 3.00 % 4.37 % 130,348 2.95 6 -0.4897 % 2,549.8
FixedReset Ins Non 5.04 % 8.47 % 130,086 5.22 22 -0.7383 % 2,212.7
Performance Highlights
Issue Index Change Notes
IFC.PR.G FixedReset Ins Non -4.74 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-01-31
Maturity Price : 25.00
Evaluated at bid price : 20.72
Bid-YTW : 8.73 %
BAM.PR.R FixedReset Disc -3.83 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2048-12-06
Maturity Price : 16.06
Evaluated at bid price : 16.06
Bid-YTW : 6.46 %
CU.PR.C FixedReset Disc -3.69 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2048-12-06
Maturity Price : 17.50
Evaluated at bid price : 17.50
Bid-YTW : 6.01 %
BAM.PR.T FixedReset Disc -3.49 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2048-12-06
Maturity Price : 16.30
Evaluated at bid price : 16.30
Bid-YTW : 6.42 %
SLF.PR.G FixedReset Ins Non -3.44 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-01-31
Maturity Price : 25.00
Evaluated at bid price : 16.01
Bid-YTW : 11.36 %
SLF.PR.I FixedReset Ins Non -3.26 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-01-31
Maturity Price : 25.00
Evaluated at bid price : 20.17
Bid-YTW : 8.29 %
BAM.PF.B FixedReset Disc -3.13 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2048-12-06
Maturity Price : 18.55
Evaluated at bid price : 18.55
Bid-YTW : 6.33 %
IAG.PR.I FixedReset Ins Non -2.71 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-01-31
Maturity Price : 25.00
Evaluated at bid price : 21.88
Bid-YTW : 7.31 %
SLF.PR.H FixedReset Ins Non -2.69 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-01-31
Maturity Price : 25.00
Evaluated at bid price : 18.10
Bid-YTW : 9.53 %
CM.PR.S FixedReset Disc -2.46 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2048-12-06
Maturity Price : 19.85
Evaluated at bid price : 19.85
Bid-YTW : 5.68 %
BAM.PR.X FixedReset Disc -2.33 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2048-12-06
Maturity Price : 15.53
Evaluated at bid price : 15.53
Bid-YTW : 5.82 %
TD.PF.I FixedReset Disc -2.22 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2048-12-06
Maturity Price : 22.28
Evaluated at bid price : 22.88
Bid-YTW : 5.36 %
SLF.PR.J FloatingReset -2.18 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-01-31
Maturity Price : 25.00
Evaluated at bid price : 16.16
Bid-YTW : 11.13 %
PWF.PR.P FixedReset Disc -2.17 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2048-12-06
Maturity Price : 15.80
Evaluated at bid price : 15.80
Bid-YTW : 5.48 %
EMA.PR.H FixedReset Disc -2.09 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2048-12-06
Maturity Price : 22.30
Evaluated at bid price : 23.01
Bid-YTW : 5.34 %
PWF.PR.Q FloatingReset -1.88 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2048-12-06
Maturity Price : 17.70
Evaluated at bid price : 17.70
Bid-YTW : 4.67 %
BMO.PR.Y FixedReset Disc -1.85 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2048-12-06
Maturity Price : 20.69
Evaluated at bid price : 20.69
Bid-YTW : 5.61 %
NA.PR.E FixedReset Disc -1.78 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2048-12-06
Maturity Price : 19.89
Evaluated at bid price : 19.89
Bid-YTW : 5.81 %
IFC.PR.C FixedReset Ins Non -1.73 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-01-31
Maturity Price : 25.00
Evaluated at bid price : 19.30
Bid-YTW : 9.09 %
TRP.PR.K FixedReset Disc -1.67 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2048-12-06
Maturity Price : 22.96
Evaluated at bid price : 24.11
Bid-YTW : 5.83 %
TRP.PR.G FixedReset Disc -1.65 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2048-12-06
Maturity Price : 19.04
Evaluated at bid price : 19.04
Bid-YTW : 6.36 %
VNR.PR.A FixedReset Disc -1.65 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2048-12-06
Maturity Price : 20.85
Evaluated at bid price : 20.85
Bid-YTW : 5.79 %
HSE.PR.E FixedReset Disc -1.54 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2048-12-06
Maturity Price : 19.80
Evaluated at bid price : 19.80
Bid-YTW : 6.91 %
PWF.PR.E Perpetual-Discount -1.50 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2048-12-06
Maturity Price : 22.67
Evaluated at bid price : 22.91
Bid-YTW : 6.08 %
EMA.PR.F FixedReset Disc -1.48 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2048-12-06
Maturity Price : 18.70
Evaluated at bid price : 18.70
Bid-YTW : 6.19 %
BMO.PR.D FixedReset Disc -1.47 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2048-12-06
Maturity Price : 22.23
Evaluated at bid price : 22.77
Bid-YTW : 5.49 %
BMO.PR.C FixedReset Disc -1.46 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2048-12-06
Maturity Price : 22.75
Evaluated at bid price : 23.65
Bid-YTW : 5.44 %
PWF.PR.A Floater -1.44 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2048-12-06
Maturity Price : 17.75
Evaluated at bid price : 17.75
Bid-YTW : 3.92 %
TD.PF.A FixedReset Disc -1.39 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2048-12-06
Maturity Price : 19.82
Evaluated at bid price : 19.82
Bid-YTW : 5.37 %
PWF.PR.T FixedReset Disc -1.39 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2048-12-06
Maturity Price : 21.35
Evaluated at bid price : 21.35
Bid-YTW : 5.16 %
TRP.PR.E FixedReset Disc -1.35 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2048-12-06
Maturity Price : 17.50
Evaluated at bid price : 17.50
Bid-YTW : 6.27 %
TD.PF.J FixedReset Disc -1.35 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2048-12-06
Maturity Price : 21.66
Evaluated at bid price : 22.00
Bid-YTW : 5.37 %
IFC.PR.A FixedReset Ins Non -1.29 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-01-31
Maturity Price : 25.00
Evaluated at bid price : 16.80
Bid-YTW : 11.18 %
NA.PR.W FixedReset Disc -1.27 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2048-12-06
Maturity Price : 18.68
Evaluated at bid price : 18.68
Bid-YTW : 5.69 %
POW.PR.G Perpetual-Discount -1.20 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2048-12-06
Maturity Price : 23.49
Evaluated at bid price : 23.81
Bid-YTW : 5.97 %
MFC.PR.F FixedReset Ins Non -1.19 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-01-31
Maturity Price : 25.00
Evaluated at bid price : 14.92
Bid-YTW : 12.40 %
BMO.PR.Q FixedReset Bank Non -1.10 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2022-01-31
Maturity Price : 25.00
Evaluated at bid price : 22.40
Bid-YTW : 5.68 %
GWO.PR.N FixedReset Ins Non -1.10 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-01-31
Maturity Price : 25.00
Evaluated at bid price : 15.35
Bid-YTW : 11.89 %
HSE.PR.A FixedReset Disc -1.04 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2048-12-06
Maturity Price : 13.31
Evaluated at bid price : 13.31
Bid-YTW : 6.64 %
CU.PR.G Perpetual-Discount -1.03 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2048-12-06
Maturity Price : 19.25
Evaluated at bid price : 19.25
Bid-YTW : 5.89 %
SLF.PR.C Deemed-Retractible -1.02 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-01-31
Maturity Price : 25.00
Evaluated at bid price : 19.35
Bid-YTW : 9.35 %
CM.PR.O FixedReset Disc -1.01 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2048-12-06
Maturity Price : 19.70
Evaluated at bid price : 19.70
Bid-YTW : 5.51 %
SLF.PR.D Deemed-Retractible 1.03 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-01-31
Maturity Price : 25.00
Evaluated at bid price : 19.70
Bid-YTW : 8.99 %
MFC.PR.R FixedReset Ins Non 1.04 % YTW SCENARIO
Maturity Type : Call
Maturity Date : 2022-03-19
Maturity Price : 25.00
Evaluated at bid price : 24.30
Bid-YTW : 5.78 %
BAM.PR.C Floater 1.09 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2048-12-06
Maturity Price : 13.95
Evaluated at bid price : 13.95
Bid-YTW : 5.03 %
CU.PR.F Perpetual-Discount 1.13 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2048-12-06
Maturity Price : 19.72
Evaluated at bid price : 19.72
Bid-YTW : 5.75 %
CU.PR.I FixedReset Disc 1.26 % YTW SCENARIO
Maturity Type : Call
Maturity Date : 2020-12-01
Maturity Price : 25.00
Evaluated at bid price : 24.96
Bid-YTW : 4.64 %
MFC.PR.Q FixedReset Ins Non 1.28 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-01-31
Maturity Price : 25.00
Evaluated at bid price : 19.75
Bid-YTW : 9.23 %
BIP.PR.E FixedReset Disc 1.35 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2048-12-06
Maturity Price : 21.00
Evaluated at bid price : 21.00
Bid-YTW : 5.97 %
GWO.PR.M Deemed-Retractible 1.84 % YTW SCENARIO
Maturity Type : Call
Maturity Date : 2019-03-31
Maturity Price : 25.00
Evaluated at bid price : 24.95
Bid-YTW : 5.21 %
HSE.PR.C FixedReset Disc 2.48 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2048-12-06
Maturity Price : 19.45
Evaluated at bid price : 19.45
Bid-YTW : 6.53 %
CM.PR.R FixedReset Disc 2.97 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2048-12-06
Maturity Price : 22.67
Evaluated at bid price : 23.55
Bid-YTW : 5.48 %
MFC.PR.J FixedReset Ins Non 3.30 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-01-31
Maturity Price : 25.00
Evaluated at bid price : 21.59
Bid-YTW : 7.39 %
Volume Highlights
Issue Index Shares
Traded
Notes
CM.PR.S FixedReset Disc 270,697 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2048-12-06
Maturity Price : 19.85
Evaluated at bid price : 19.85
Bid-YTW : 5.68 %
BNS.PR.C FloatingReset 188,609 YTW SCENARIO
Maturity Type : Call
Maturity Date : 2019-01-26
Maturity Price : 25.00
Evaluated at bid price : 25.00
Bid-YTW : 0.00 %
TRP.PR.J FixedReset Prem 89,086 YTW SCENARIO
Maturity Type : Call
Maturity Date : 2021-05-31
Maturity Price : 25.00
Evaluated at bid price : 25.15
Bid-YTW : 5.31 %
MFC.PR.F FixedReset Ins Non 57,104 YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-01-31
Maturity Price : 25.00
Evaluated at bid price : 14.92
Bid-YTW : 12.40 %
PVS.PR.D SplitShare 51,120 YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2021-10-08
Maturity Price : 25.00
Evaluated at bid price : 24.15
Bid-YTW : 5.84 %
MFC.PR.M FixedReset Ins Non 40,764 YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-01-31
Maturity Price : 25.00
Evaluated at bid price : 18.59
Bid-YTW : 9.96 %
There were 92 other index-included issues trading in excess of 10,000 shares.
Wide Spread Highlights
Issue Index Quote Data and Yield Notes
HSE.PR.G FixedReset Disc Quote: 20.30 – 23.40
Spot Rate : 3.1000
Average : 1.7656

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2048-12-06
Maturity Price : 20.30
Evaluated at bid price : 20.30
Bid-YTW : 6.69 %

HSE.PR.E FixedReset Disc Quote: 19.80 – 22.25
Spot Rate : 2.4500
Average : 1.4681

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2048-12-06
Maturity Price : 19.80
Evaluated at bid price : 19.80
Bid-YTW : 6.91 %

MFC.PR.H FixedReset Ins Non Quote: 21.38 – 22.66
Spot Rate : 1.2800
Average : 0.8068

YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-01-31
Maturity Price : 25.00
Evaluated at bid price : 21.38
Bid-YTW : 8.16 %

TD.PF.E FixedReset Disc Quote: 21.80 – 22.92
Spot Rate : 1.1200
Average : 0.7320

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2048-12-06
Maturity Price : 21.45
Evaluated at bid price : 21.80
Bid-YTW : 5.46 %

MFC.PR.I FixedReset Ins Non Quote: 20.66 – 21.67
Spot Rate : 1.0100
Average : 0.6592

YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-01-31
Maturity Price : 25.00
Evaluated at bid price : 20.66
Bid-YTW : 8.18 %

IFC.PR.F Deemed-Retractible Quote: 22.90 – 23.91
Spot Rate : 1.0100
Average : 0.6654

YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-01-31
Maturity Price : 25.00
Evaluated at bid price : 22.90
Bid-YTW : 7.26 %

December 5, 2018

December 5th, 2018
mushroomcloud_181205
Click for Big

The day began with the Bank of Canada rate announcement:

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

The global economic expansion is moderating largely as expected, but signs are emerging that trade conflicts are weighing more heavily on global demand. Recent encouraging developments at the G20 meetings are a reminder that there are upside as well as downside risks around trade policy. Growth in major advanced economies has slowed, although activity in the United States remains above potential.

Oil prices have fallen sharply since the October Monetary Policy Report (MPR), reflecting a combination of geopolitical developments, uncertainty about global growth prospects, and expansion of U.S. shale oil production. Benchmarks for western Canadian oil – both heavy and, more recently, light – have been pulled down even further by transportation constraints and a buildup of inventories. In light of these developments and associated cutbacks in production, activity in Canada’s energy sector will likely be materially weaker than expected.

The Canadian economy as a whole grew in line with the Bank’s projection in the third quarter, although data suggest less momentum going into the fourth quarter. Business investment fell in the third quarter, in large part due to heightened trade uncertainty during the summer. Business investment outside the energy sector is expected to strengthen with the signing of the USMCA, new federal government tax measures, and ongoing capacity constraints. Along with strong foreign demand, this increase in productive capacity should support continued growth in exports.

Household credit and regional housing markets appear to be stabilizing following a significant slowdown in recent quarters. The Bank continues to monitor the impact on both builders and buyers of tighter mortgage rules, regional housing policy changes, and higher interest rates.

Inflation has been evolving as expected and the Bank’s core measures are all tracking 2 per cent, consistent with an economy that has been operating close to its capacity. CPI inflation, at 2.4 per cent in October, is just above target but is expected to ease in coming months by more than the Bank had previously forecast, due to lower gasoline prices. Downward historical revisions by Statistics Canada to GDP, together with recent macroeconomic developments, indicate there may be additional room for non-inflationary growth. The Bank will reassess all of these factors in its new projection for the January MPR.

Weighing all of these developments, Governing Council continues to judge that the policy interest rate will need to rise into a neutral range to achieve the inflation target. The appropriate pace of rate increases will depend on a number of factors. These include the effect of higher interest rates on consumption and housing, and global trade policy developments. The persistence of the oil price shock, the evolution of business investment, and the Bank’s assessment of the economy’s capacity will also factor importantly into our decisions about the future stance of monetary policy.

So they’re still saying that the policy rate will rise, but there is a significant note of caution about how soon it will be. It’s a pity, of course, that the press release does not report the voting results and the reason for any dissents there might be, but Canadian policy makers are not brave enough to take a public stand contrary to consensus. Maybe we need better quality policy makers.

The IAIS has released its November / December 2018 newsletter, which reiterates its intentions regarding ICS 2.0:

In a session moderated by Secretary General Jonathan Dixon, the Chairs of the Policy Development, Macroprudential, and Implementation and Assessment Committees [Elise Liebers, Alberto Corinti and Jose (Pepe) Lopez Hoyo, respectively] provided updates on key IAIS initiatives within their respective areas, including revisions to the ICPs and ComFrame, along with progress in developing ICS Version 2.0, and the holistic framework for systemic risk. These projects are all on track, with delivery slated for year-end 2019.

Assiduous Readers will remember that ICS 2.0 is the critical standard relating to (among many other things) loss absorbency of preferred shares and therefore Deemed Maturities.

Money came into the Canadian bond market, with the Government of Canada 5-year yield (GOC-5) falling 6bp to 2.08%. And so …

… the Canadian preferred share market was hammered big-time today.

TXPR touched a new 52-week low of 626.20 before closing at 626.40, down a stunning 1.47% (on a price basis) on the day. Volume was high in the context of the last thirty days, but nothing spectacular. Not bad for a day when the US was closed though, and all the highly paid Bay Street professionals were doing their Christmas shopping!

CPD closed at a new 52-week low of 12.47, down 1.89% on the day. Volume was above average in the context of the last thirty days, but the lowest this week.

ZPR touched a new 52-week low of 10.145 before closing at 10.15, down a horrific 2.03% on the day. Volume was the third-highest of the past thirty days, exceeded only by November 30 and November 16.

PerpetualDiscounts now yield 5.94% (!), equivalent to 7.72% at the standard equivalency factor of 1.3x. Long corporates now yield about 4.10%, so the pre-tax interest-equivalent spread (in this context, the “Seniority Spread”) is now about 360bp (!), a significant widening from the 350bp reported November 28.

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 -3.7409 % 2,497.7
FixedFloater 0.00 % 0.00 % 0 0.00 0 -3.7409 % 4,583.3
Floater 4.65 % 5.08 % 37,730 15.28 4 -3.7409 % 2,641.3
OpRet 0.00 % 0.00 % 0 0.00 0 -0.2562 % 3,163.5
SplitShare 4.65 % 5.39 % 84,984 4.63 7 -0.2562 % 3,777.9
Interest-Bearing 0.00 % 0.00 % 0 0.00 0 -0.2562 % 2,947.6
Perpetual-Premium 5.60 % 6.05 % 130,243 13.78 2 -0.0796 % 2,854.8
Perpetual-Discount 5.76 % 5.94 % 72,143 13.91 33 -0.1946 % 2,861.9
FixedReset Disc 5.10 % 5.76 % 189,934 14.28 66 -1.8405 % 2,196.6
Deemed-Retractible 5.55 % 7.77 % 95,057 5.16 27 -0.3129 % 2,847.6
FloatingReset 4.12 % 5.32 % 35,590 2.99 7 -0.5728 % 2,492.2
FixedReset Prem 5.19 % 4.50 % 288,586 2.31 14 -0.4050 % 2,494.0
FixedReset Bank Non 2.98 % 4.19 % 120,707 2.93 6 -0.2546 % 2,562.4
FixedReset Ins Non 5.04 % 8.29 % 127,478 5.18 22 -1.6664 % 2,229.2
Performance Highlights
Issue Index Change Notes
NA.PR.S FixedReset Disc -5.76 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2048-12-05
Maturity Price : 19.48
Evaluated at bid price : 19.48
Bid-YTW : 5.97 %
BAM.PR.K Floater -5.01 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2048-12-05
Maturity Price : 13.83
Evaluated at bid price : 13.83
Bid-YTW : 5.08 %
BAM.PR.C Floater -4.76 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2048-12-05
Maturity Price : 13.80
Evaluated at bid price : 13.80
Bid-YTW : 5.09 %
CM.PR.P FixedReset Disc -4.25 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2048-12-05
Maturity Price : 19.16
Evaluated at bid price : 19.16
Bid-YTW : 5.81 %
MFC.PR.K FixedReset Ins Non -4.23 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-01-31
Maturity Price : 25.00
Evaluated at bid price : 19.26
Bid-YTW : 9.44 %
BAM.PR.Z FixedReset Disc -4.14 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2048-12-05
Maturity Price : 19.90
Evaluated at bid price : 19.90
Bid-YTW : 6.46 %
TRP.PR.D FixedReset Disc -4.12 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2048-12-05
Maturity Price : 17.23
Evaluated at bid price : 17.23
Bid-YTW : 6.75 %
CM.PR.Q FixedReset Disc -4.11 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2048-12-05
Maturity Price : 21.01
Evaluated at bid price : 21.01
Bid-YTW : 5.83 %
MFC.PR.L FixedReset Ins Non -4.07 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-01-31
Maturity Price : 25.00
Evaluated at bid price : 17.92
Bid-YTW : 10.77 %
TD.PF.B FixedReset Disc -3.97 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2048-12-05
Maturity Price : 19.60
Evaluated at bid price : 19.60
Bid-YTW : 5.76 %
BAM.PF.E FixedReset Disc -3.78 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2048-12-05
Maturity Price : 18.60
Evaluated at bid price : 18.60
Bid-YTW : 6.48 %
CM.PR.R FixedReset Disc -3.71 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2048-12-05
Maturity Price : 22.29
Evaluated at bid price : 22.87
Bid-YTW : 5.85 %
TRP.PR.C FixedReset Disc -3.67 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2048-12-05
Maturity Price : 13.63
Evaluated at bid price : 13.63
Bid-YTW : 6.59 %
BAM.PF.A FixedReset Disc -3.57 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2048-12-05
Maturity Price : 20.25
Evaluated at bid price : 20.25
Bid-YTW : 6.42 %
IFC.PR.A FixedReset Ins Non -3.57 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-01-31
Maturity Price : 25.00
Evaluated at bid price : 17.02
Bid-YTW : 10.99 %
BAM.PR.T FixedReset Disc -3.54 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2048-12-05
Maturity Price : 16.89
Evaluated at bid price : 16.89
Bid-YTW : 6.46 %
BAM.PR.B Floater -3.50 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2048-12-05
Maturity Price : 13.80
Evaluated at bid price : 13.80
Bid-YTW : 5.09 %
BAM.PF.B FixedReset Disc -3.43 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2048-12-05
Maturity Price : 19.15
Evaluated at bid price : 19.15
Bid-YTW : 6.42 %
BAM.PF.F FixedReset Disc -3.16 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2048-12-05
Maturity Price : 19.63
Evaluated at bid price : 19.63
Bid-YTW : 6.56 %
BMO.PR.S FixedReset Disc -3.15 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2048-12-05
Maturity Price : 20.00
Evaluated at bid price : 20.00
Bid-YTW : 5.71 %
BAM.PR.R FixedReset Disc -3.08 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2048-12-05
Maturity Price : 16.70
Evaluated at bid price : 16.70
Bid-YTW : 6.50 %
MFC.PR.Q FixedReset Ins Non -2.99 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-01-31
Maturity Price : 25.00
Evaluated at bid price : 19.50
Bid-YTW : 9.54 %
BMO.PR.W FixedReset Disc -2.91 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2048-12-05
Maturity Price : 19.66
Evaluated at bid price : 19.66
Bid-YTW : 5.64 %
MFC.PR.N FixedReset Ins Non -2.81 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-01-31
Maturity Price : 25.00
Evaluated at bid price : 18.35
Bid-YTW : 10.32 %
BMO.PR.Y FixedReset Disc -2.77 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2048-12-05
Maturity Price : 21.08
Evaluated at bid price : 21.08
Bid-YTW : 5.75 %
TD.PF.C FixedReset Disc -2.72 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2048-12-05
Maturity Price : 19.70
Evaluated at bid price : 19.70
Bid-YTW : 5.67 %
NA.PR.W FixedReset Disc -2.67 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2048-12-05
Maturity Price : 18.92
Evaluated at bid price : 18.92
Bid-YTW : 5.91 %
MFC.PR.M FixedReset Ins Non -2.67 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-01-31
Maturity Price : 25.00
Evaluated at bid price : 18.59
Bid-YTW : 10.18 %
HSE.PR.C FixedReset Disc -2.67 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2048-12-05
Maturity Price : 18.98
Evaluated at bid price : 18.98
Bid-YTW : 6.97 %
MFC.PR.F FixedReset Ins Non -2.58 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-01-31
Maturity Price : 25.00
Evaluated at bid price : 15.10
Bid-YTW : 12.33 %
RY.PR.H FixedReset Disc -2.55 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2048-12-05
Maturity Price : 20.22
Evaluated at bid price : 20.22
Bid-YTW : 5.55 %
SLF.PR.G FixedReset Ins Non -2.47 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-01-31
Maturity Price : 25.00
Evaluated at bid price : 16.58
Bid-YTW : 10.90 %
BAM.PF.G FixedReset Disc -2.38 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2048-12-05
Maturity Price : 19.70
Evaluated at bid price : 19.70
Bid-YTW : 6.47 %
TD.PF.A FixedReset Disc -2.33 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2048-12-05
Maturity Price : 20.10
Evaluated at bid price : 20.10
Bid-YTW : 5.57 %
SLF.PR.J FloatingReset -2.31 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-01-31
Maturity Price : 25.00
Evaluated at bid price : 16.52
Bid-YTW : 10.74 %
MFC.PR.J FixedReset Ins Non -2.29 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-01-31
Maturity Price : 25.00
Evaluated at bid price : 20.90
Bid-YTW : 8.27 %
BIP.PR.E FixedReset Disc -2.26 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2048-12-05
Maturity Price : 20.72
Evaluated at bid price : 20.72
Bid-YTW : 6.24 %
TD.PF.D FixedReset Disc -2.16 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2048-12-05
Maturity Price : 21.25
Evaluated at bid price : 21.25
Bid-YTW : 5.79 %
HSE.PR.E FixedReset Disc -2.14 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2048-12-05
Maturity Price : 20.11
Evaluated at bid price : 20.11
Bid-YTW : 7.06 %
PWF.PR.A Floater -2.12 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2048-12-05
Maturity Price : 18.01
Evaluated at bid price : 18.01
Bid-YTW : 3.86 %
BMO.PR.T FixedReset Disc -2.10 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2048-12-05
Maturity Price : 19.58
Evaluated at bid price : 19.58
Bid-YTW : 5.71 %
IFC.PR.C FixedReset Ins Non -2.09 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-01-31
Maturity Price : 25.00
Evaluated at bid price : 19.64
Bid-YTW : 8.88 %
MFC.PR.R FixedReset Ins Non -2.04 % YTW SCENARIO
Maturity Type : Call
Maturity Date : 2022-03-19
Maturity Price : 25.00
Evaluated at bid price : 24.05
Bid-YTW : 6.12 %
RY.PR.Z FixedReset Disc -2.03 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2048-12-05
Maturity Price : 20.24
Evaluated at bid price : 20.24
Bid-YTW : 5.50 %
CM.PR.S FixedReset Disc -1.97 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2048-12-05
Maturity Price : 20.35
Evaluated at bid price : 20.35
Bid-YTW : 5.75 %
NA.PR.C FixedReset Disc -1.96 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2048-12-05
Maturity Price : 22.07
Evaluated at bid price : 22.55
Bid-YTW : 5.98 %
EMA.PR.H FixedReset Disc -1.88 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2048-12-05
Maturity Price : 22.56
Evaluated at bid price : 23.50
Bid-YTW : 5.21 %
TD.PF.E FixedReset Disc -1.85 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2048-12-05
Maturity Price : 21.38
Evaluated at bid price : 21.70
Bid-YTW : 5.73 %
HSE.PR.G FixedReset Disc -1.79 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2048-12-05
Maturity Price : 20.33
Evaluated at bid price : 20.33
Bid-YTW : 6.94 %
TRP.PR.A FixedReset Disc -1.72 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2048-12-05
Maturity Price : 15.39
Evaluated at bid price : 15.39
Bid-YTW : 6.65 %
MFC.PR.I FixedReset Ins Non -1.71 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-01-31
Maturity Price : 25.00
Evaluated at bid price : 20.64
Bid-YTW : 8.29 %
IFC.PR.E Deemed-Retractible -1.70 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-01-31
Maturity Price : 25.00
Evaluated at bid price : 22.02
Bid-YTW : 7.93 %
TRP.PR.B FixedReset Disc -1.61 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2048-12-05
Maturity Price : 12.85
Evaluated at bid price : 12.85
Bid-YTW : 6.57 %
BIP.PR.F FixedReset Disc -1.59 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2048-12-05
Maturity Price : 21.38
Evaluated at bid price : 21.65
Bid-YTW : 5.91 %
RY.PR.S FixedReset Disc -1.54 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2048-12-05
Maturity Price : 21.93
Evaluated at bid price : 22.45
Bid-YTW : 5.21 %
RY.PR.M FixedReset Disc -1.52 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2048-12-05
Maturity Price : 20.80
Evaluated at bid price : 20.80
Bid-YTW : 5.69 %
PVS.PR.D SplitShare -1.49 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2021-10-08
Maturity Price : 25.00
Evaluated at bid price : 24.38
Bid-YTW : 5.47 %
W.PR.K FixedReset Prem -1.46 % YTW SCENARIO
Maturity Type : Call
Maturity Date : 2021-01-15
Maturity Price : 25.00
Evaluated at bid price : 25.01
Bid-YTW : 5.63 %
RY.PR.J FixedReset Disc -1.41 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2048-12-05
Maturity Price : 21.35
Evaluated at bid price : 21.65
Bid-YTW : 5.62 %
EMA.PR.F FixedReset Disc -1.40 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2048-12-05
Maturity Price : 18.98
Evaluated at bid price : 18.98
Bid-YTW : 6.39 %
CM.PR.O FixedReset Disc -1.39 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2048-12-05
Maturity Price : 19.90
Evaluated at bid price : 19.90
Bid-YTW : 5.73 %
TRP.PR.K FixedReset Disc -1.33 % YTW SCENARIO
Maturity Type : Call
Maturity Date : 2022-05-31
Maturity Price : 25.00
Evaluated at bid price : 24.52
Bid-YTW : 5.57 %
BIP.PR.A FixedReset Disc -1.28 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2048-12-05
Maturity Price : 20.00
Evaluated at bid price : 20.00
Bid-YTW : 7.08 %
W.PR.M FixedReset Prem -1.27 % YTW SCENARIO
Maturity Type : Call
Maturity Date : 2021-10-15
Maturity Price : 25.00
Evaluated at bid price : 24.85
Bid-YTW : 5.75 %
CU.PR.D Perpetual-Discount -1.26 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2048-12-05
Maturity Price : 21.20
Evaluated at bid price : 21.20
Bid-YTW : 5.83 %
NA.PR.E FixedReset Disc -1.22 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2048-12-05
Maturity Price : 20.25
Evaluated at bid price : 20.25
Bid-YTW : 5.92 %
GWO.PR.H Deemed-Retractible -1.20 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-01-31
Maturity Price : 25.00
Evaluated at bid price : 20.50
Bid-YTW : 8.66 %
TRP.PR.J FixedReset Prem -1.18 % YTW SCENARIO
Maturity Type : Call
Maturity Date : 2021-05-31
Maturity Price : 25.00
Evaluated at bid price : 25.15
Bid-YTW : 5.30 %
PWF.PR.Q FloatingReset -1.15 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2048-12-05
Maturity Price : 18.04
Evaluated at bid price : 18.04
Bid-YTW : 4.62 %
PWF.PR.Z Perpetual-Discount -1.15 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2048-12-05
Maturity Price : 21.51
Evaluated at bid price : 21.51
Bid-YTW : 6.07 %
SLF.PR.H FixedReset Ins Non -1.12 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-01-31
Maturity Price : 25.00
Evaluated at bid price : 18.60
Bid-YTW : 9.14 %
IAG.PR.G FixedReset Ins Non -1.10 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-01-31
Maturity Price : 25.00
Evaluated at bid price : 20.65
Bid-YTW : 7.89 %
PWF.PR.T FixedReset Disc -1.10 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2048-12-05
Maturity Price : 21.38
Evaluated at bid price : 21.65
Bid-YTW : 5.34 %
BMO.PR.E FixedReset Disc -1.07 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2048-12-05
Maturity Price : 22.31
Evaluated at bid price : 23.05
Bid-YTW : 5.36 %
POW.PR.D Perpetual-Discount -1.07 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2048-12-05
Maturity Price : 21.24
Evaluated at bid price : 21.24
Bid-YTW : 5.99 %
TD.PF.I FixedReset Disc -1.06 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2048-12-05
Maturity Price : 22.57
Evaluated at bid price : 23.40
Bid-YTW : 5.42 %
MFC.PR.B Deemed-Retractible -1.01 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-01-31
Maturity Price : 25.00
Evaluated at bid price : 19.60
Bid-YTW : 9.36 %
GWO.PR.Q Deemed-Retractible -1.01 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-01-31
Maturity Price : 25.00
Evaluated at bid price : 21.60
Bid-YTW : 7.96 %
BAM.PF.I FixedReset Disc -1.00 % YTW SCENARIO
Maturity Type : Call
Maturity Date : 2022-03-31
Maturity Price : 25.00
Evaluated at bid price : 24.70
Bid-YTW : 5.53 %
TRP.PR.F FloatingReset 1.09 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2048-12-05
Maturity Price : 15.72
Evaluated at bid price : 15.72
Bid-YTW : 5.76 %
W.PR.H Perpetual-Discount 1.37 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2048-12-05
Maturity Price : 23.48
Evaluated at bid price : 23.75
Bid-YTW : 5.87 %
Volume Highlights
Issue Index Shares
Traded
Notes
BMO.PR.C FixedReset Disc 78,300 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2048-12-05
Maturity Price : 22.91
Evaluated at bid price : 24.00
Bid-YTW : 5.54 %
RY.PR.W Perpetual-Discount 64,425 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2048-12-05
Maturity Price : 23.67
Evaluated at bid price : 23.94
Bid-YTW : 5.14 %
RY.PR.Z FixedReset Disc 63,500 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2048-12-05
Maturity Price : 20.24
Evaluated at bid price : 20.24
Bid-YTW : 5.50 %
RY.PR.H FixedReset Disc 62,800 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2048-12-05
Maturity Price : 20.22
Evaluated at bid price : 20.22
Bid-YTW : 5.55 %
MFC.PR.O FixedReset Ins Non 53,900 YTW SCENARIO
Maturity Type : Call
Maturity Date : 2021-06-19
Maturity Price : 25.00
Evaluated at bid price : 25.51
Bid-YTW : 4.69 %
BMO.PR.S FixedReset Disc 48,491 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2048-12-05
Maturity Price : 20.00
Evaluated at bid price : 20.00
Bid-YTW : 5.71 %
There were 64 other index-included issues trading in excess of 10,000 shares.
Wide Spread Highlights
Issue Index Quote Data and Yield Notes
TD.PF.B FixedReset Disc Quote: 19.60 – 20.24
Spot Rate : 0.6400
Average : 0.4127

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2048-12-05
Maturity Price : 19.60
Evaluated at bid price : 19.60
Bid-YTW : 5.76 %

BAM.PR.C Floater Quote: 13.80 – 14.56
Spot Rate : 0.7600
Average : 0.5361

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2048-12-05
Maturity Price : 13.80
Evaluated at bid price : 13.80
Bid-YTW : 5.09 %

NA.PR.S FixedReset Disc Quote: 19.48 – 20.02
Spot Rate : 0.5400
Average : 0.3405

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2048-12-05
Maturity Price : 19.48
Evaluated at bid price : 19.48
Bid-YTW : 5.97 %

IFC.PR.E Deemed-Retractible Quote: 22.02 – 22.50
Spot Rate : 0.4800
Average : 0.3112

YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-01-31
Maturity Price : 25.00
Evaluated at bid price : 22.02
Bid-YTW : 7.93 %

EMA.PR.H FixedReset Disc Quote: 23.50 – 24.00
Spot Rate : 0.5000
Average : 0.3345

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2048-12-05
Maturity Price : 22.56
Evaluated at bid price : 23.50
Bid-YTW : 5.21 %

BMO.PR.S FixedReset Disc Quote: 20.00 – 20.49
Spot Rate : 0.4900
Average : 0.3253

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2048-12-05
Maturity Price : 20.00
Evaluated at bid price : 20.00
Bid-YTW : 5.71 %

December 4, 2018

December 4th, 2018
explosion_181204
Click for Big

Broad markets were hammered today, with some help from the Stable Genius:

Stocks fell on Tuesday, after President Trump sowed confusion over the status of a truce in the trade war between the United States and China, while the bond market, often considered a safe haven for investors, sent a stark warning about expectations for an economic slowdown.

The S&P 500 dropped more than 3 percent, with economically sensitive financial and transportation stocks sliding.

The warning from the bond market came through what’s known as the yield curve, the difference between interest rates on short-term United States government bonds, such as two-year notes, and longer term bonds, such as the 10-year Treasury.

The gap between the two-year and 10-year yields has decreased to less than 0.12 percentage points — the lowest it has been since before the financial crisis. Many analysts say it could soon fall below zero, a phenomenon known as an “inversion.”

The Trump administration and Beijing said on Saturday that they had essentially reached an agreement to pause the trade war for 90 days while the two sides try and reach a formal trade deal. The S&P 500-stock index had climbed more than 1 percent on Monday following news of that deal.

But Mr. Trump’s tweet on Tuesday seemed to undercut the promise of that agreement.

trumptradetweet_181204
Click for Big

I’m not entirely happy about reproducing tweets to convey what in any other administration would be a major policy announcement, but nobody cares about my happiness.

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 -1.6093 % 2,594.8
FixedFloater 0.00 % 0.00 % 0 0.00 0 -1.6093 % 4,761.4
Floater 4.48 % 4.82 % 39,192 15.74 4 -1.6093 % 2,744.0
OpRet 0.00 % 0.00 % 0 0.00 0 -0.1395 % 3,171.6
SplitShare 4.64 % 5.32 % 86,243 4.63 7 -0.1395 % 3,787.6
Interest-Bearing 0.00 % 0.00 % 0 0.00 0 -0.1395 % 2,955.2
Perpetual-Premium 5.60 % 3.05 % 129,340 0.08 2 -0.3174 % 2,857.1
Perpetual-Discount 5.75 % 5.93 % 72,832 13.94 33 0.2731 % 2,867.5
FixedReset Disc 5.01 % 5.62 % 191,354 14.48 66 -1.8832 % 2,237.7
Deemed-Retractible 5.54 % 7.60 % 90,205 5.17 27 -0.0217 % 2,856.5
FloatingReset 4.10 % 5.17 % 34,815 2.99 7 -1.9866 % 2,506.5
FixedReset Prem 5.17 % 4.39 % 290,205 2.32 14 0.0531 % 2,504.1
FixedReset Bank Non 2.98 % 4.16 % 121,847 2.94 6 0.0000 % 2,568.9
FixedReset Ins Non 4.96 % 8.13 % 125,132 5.22 22 -0.8790 % 2,266.9
Performance Highlights
Issue Index Change Notes
TRP.PR.F FloatingReset -7.16 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2048-12-04
Maturity Price : 15.55
Evaluated at bid price : 15.55
Bid-YTW : 5.82 %
HSE.PR.A FixedReset Disc -6.88 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2048-12-04
Maturity Price : 13.40
Evaluated at bid price : 13.40
Bid-YTW : 6.95 %
TRP.PR.H FloatingReset -6.45 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2048-12-04
Maturity Price : 13.05
Evaluated at bid price : 13.05
Bid-YTW : 5.71 %
TRP.PR.B FixedReset Disc -5.84 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2048-12-04
Maturity Price : 13.06
Evaluated at bid price : 13.06
Bid-YTW : 6.46 %
TRP.PR.E FixedReset Disc -5.34 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2048-12-04
Maturity Price : 17.90
Evaluated at bid price : 17.90
Bid-YTW : 6.44 %
TRP.PR.A FixedReset Disc -5.26 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2048-12-04
Maturity Price : 15.66
Evaluated at bid price : 15.66
Bid-YTW : 6.53 %
TRP.PR.C FixedReset Disc -5.03 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2048-12-04
Maturity Price : 14.15
Evaluated at bid price : 14.15
Bid-YTW : 6.35 %
CU.PR.C FixedReset Disc -4.89 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2048-12-04
Maturity Price : 18.30
Evaluated at bid price : 18.30
Bid-YTW : 6.00 %
EMA.PR.F FixedReset Disc -4.56 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2048-12-04
Maturity Price : 19.25
Evaluated at bid price : 19.25
Bid-YTW : 6.30 %
TRP.PR.D FixedReset Disc -4.41 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2048-12-04
Maturity Price : 17.97
Evaluated at bid price : 17.97
Bid-YTW : 6.46 %
VNR.PR.A FixedReset Disc -4.35 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2048-12-04
Maturity Price : 21.10
Evaluated at bid price : 21.10
Bid-YTW : 5.93 %
BAM.PF.G FixedReset Disc -3.90 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2048-12-04
Maturity Price : 20.18
Evaluated at bid price : 20.18
Bid-YTW : 6.31 %
BIP.PR.D FixedReset Disc -3.85 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2048-12-04
Maturity Price : 21.90
Evaluated at bid price : 22.23
Bid-YTW : 6.51 %
BAM.PF.E FixedReset Disc -3.59 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2048-12-04
Maturity Price : 19.33
Evaluated at bid price : 19.33
Bid-YTW : 6.23 %
BMO.PR.T FixedReset Disc -3.52 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2048-12-04
Maturity Price : 20.00
Evaluated at bid price : 20.00
Bid-YTW : 5.59 %
BAM.PF.B FixedReset Disc -3.50 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2048-12-04
Maturity Price : 19.83
Evaluated at bid price : 19.83
Bid-YTW : 6.20 %
BAM.PR.B Floater -3.38 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2048-12-04
Maturity Price : 14.30
Evaluated at bid price : 14.30
Bid-YTW : 4.91 %
BAM.PF.A FixedReset Disc -3.00 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2048-12-04
Maturity Price : 21.00
Evaluated at bid price : 21.00
Bid-YTW : 6.19 %
TRP.PR.G FixedReset Disc -2.99 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2048-12-04
Maturity Price : 19.45
Evaluated at bid price : 19.45
Bid-YTW : 6.48 %
TD.PF.D FixedReset Disc -2.95 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2048-12-04
Maturity Price : 21.40
Evaluated at bid price : 21.72
Bid-YTW : 5.65 %
NA.PR.W FixedReset Disc -2.80 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2048-12-04
Maturity Price : 19.44
Evaluated at bid price : 19.44
Bid-YTW : 5.75 %
BAM.PF.F FixedReset Disc -2.78 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2048-12-04
Maturity Price : 20.27
Evaluated at bid price : 20.27
Bid-YTW : 6.35 %
BAM.PR.R FixedReset Disc -2.77 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2048-12-04
Maturity Price : 17.23
Evaluated at bid price : 17.23
Bid-YTW : 6.30 %
TD.PF.E FixedReset Disc -2.60 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2048-12-04
Maturity Price : 21.67
Evaluated at bid price : 22.11
Bid-YTW : 5.61 %
BIP.PR.A FixedReset Disc -2.60 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2048-12-04
Maturity Price : 20.26
Evaluated at bid price : 20.26
Bid-YTW : 6.99 %
PWF.PR.P FixedReset Disc -2.41 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2048-12-04
Maturity Price : 16.21
Evaluated at bid price : 16.21
Bid-YTW : 5.65 %
HSE.PR.C FixedReset Disc -2.40 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2048-12-04
Maturity Price : 19.50
Evaluated at bid price : 19.50
Bid-YTW : 6.78 %
NA.PR.E FixedReset Disc -2.38 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2048-12-04
Maturity Price : 20.50
Evaluated at bid price : 20.50
Bid-YTW : 5.84 %
MFC.PR.Q FixedReset Ins Non -2.38 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-01-31
Maturity Price : 25.00
Evaluated at bid price : 20.10
Bid-YTW : 8.93 %
TD.PF.B FixedReset Disc -2.34 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2048-12-04
Maturity Price : 20.41
Evaluated at bid price : 20.41
Bid-YTW : 5.53 %
CM.PR.O FixedReset Disc -2.32 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2048-12-04
Maturity Price : 20.18
Evaluated at bid price : 20.18
Bid-YTW : 5.65 %
GWO.PR.N FixedReset Ins Non -2.27 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-01-31
Maturity Price : 25.00
Evaluated at bid price : 15.52
Bid-YTW : 11.85 %
MFC.PR.N FixedReset Ins Non -2.23 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-01-31
Maturity Price : 25.00
Evaluated at bid price : 18.88
Bid-YTW : 9.75 %
IFC.PR.G FixedReset Ins Non -2.16 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-01-31
Maturity Price : 25.00
Evaluated at bid price : 21.72
Bid-YTW : 7.83 %
MFC.PR.M FixedReset Ins Non -2.15 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-01-31
Maturity Price : 25.00
Evaluated at bid price : 19.10
Bid-YTW : 9.64 %
HSE.PR.E FixedReset Disc -2.14 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2048-12-04
Maturity Price : 20.55
Evaluated at bid price : 20.55
Bid-YTW : 6.90 %
BAM.PR.C Floater -2.09 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2048-12-04
Maturity Price : 14.49
Evaluated at bid price : 14.49
Bid-YTW : 4.84 %
CM.PR.S FixedReset Disc -2.08 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2048-12-04
Maturity Price : 20.76
Evaluated at bid price : 20.76
Bid-YTW : 5.64 %
NA.PR.G FixedReset Disc -1.97 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2048-12-04
Maturity Price : 21.88
Evaluated at bid price : 22.35
Bid-YTW : 5.59 %
RY.PR.M FixedReset Disc -1.90 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2048-12-04
Maturity Price : 21.12
Evaluated at bid price : 21.12
Bid-YTW : 5.60 %
MFC.PR.J FixedReset Ins Non -1.88 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-01-31
Maturity Price : 25.00
Evaluated at bid price : 21.39
Bid-YTW : 7.81 %
EMA.PR.H FixedReset Disc -1.84 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2048-12-04
Maturity Price : 22.78
Evaluated at bid price : 23.95
Bid-YTW : 5.09 %
TD.PF.C FixedReset Disc -1.70 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2048-12-04
Maturity Price : 20.25
Evaluated at bid price : 20.25
Bid-YTW : 5.52 %
MFC.PR.L FixedReset Ins Non -1.68 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-01-31
Maturity Price : 25.00
Evaluated at bid price : 18.68
Bid-YTW : 9.94 %
CU.PR.I FixedReset Disc -1.65 % YTW SCENARIO
Maturity Type : Call
Maturity Date : 2020-12-01
Maturity Price : 25.00
Evaluated at bid price : 24.50
Bid-YTW : 5.62 %
PWF.PR.Q FloatingReset -1.62 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2048-12-04
Maturity Price : 18.25
Evaluated at bid price : 18.25
Bid-YTW : 4.56 %
MFC.PR.H FixedReset Ins Non -1.59 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-01-31
Maturity Price : 25.00
Evaluated at bid price : 21.67
Bid-YTW : 8.13 %
NA.PR.C FixedReset Disc -1.58 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2048-12-04
Maturity Price : 22.35
Evaluated at bid price : 23.00
Bid-YTW : 5.85 %
BNS.PR.I FixedReset Disc -1.39 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2048-12-04
Maturity Price : 22.13
Evaluated at bid price : 22.76
Bid-YTW : 5.22 %
BAM.PR.Z FixedReset Disc -1.28 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2048-12-04
Maturity Price : 20.76
Evaluated at bid price : 20.76
Bid-YTW : 6.19 %
SLF.PR.A Deemed-Retractible -1.22 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-01-31
Maturity Price : 25.00
Evaluated at bid price : 20.17
Bid-YTW : 8.86 %
BMO.PR.S FixedReset Disc -1.20 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2048-12-04
Maturity Price : 20.65
Evaluated at bid price : 20.65
Bid-YTW : 5.53 %
TD.PF.A FixedReset Disc -1.15 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2048-12-04
Maturity Price : 20.58
Evaluated at bid price : 20.58
Bid-YTW : 5.44 %
MFC.PR.F FixedReset Ins Non -1.15 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-01-31
Maturity Price : 25.00
Evaluated at bid price : 15.50
Bid-YTW : 11.83 %
BMO.PR.W FixedReset Disc -1.07 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2048-12-04
Maturity Price : 20.25
Evaluated at bid price : 20.25
Bid-YTW : 5.48 %
MFC.PR.G FixedReset Ins Non -1.06 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-01-31
Maturity Price : 25.00
Evaluated at bid price : 20.51
Bid-YTW : 8.26 %
BAM.PR.M Perpetual-Discount 1.04 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2048-12-04
Maturity Price : 19.45
Evaluated at bid price : 19.45
Bid-YTW : 6.23 %
CU.PR.D Perpetual-Discount 1.08 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2048-12-04
Maturity Price : 21.47
Evaluated at bid price : 21.47
Bid-YTW : 5.75 %
POW.PR.D Perpetual-Discount 1.13 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2048-12-04
Maturity Price : 21.47
Evaluated at bid price : 21.47
Bid-YTW : 5.92 %
Volume Highlights
Issue Index Shares
Traded
Notes
TRP.PR.C FixedReset Disc 89,382 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2048-12-04
Maturity Price : 14.15
Evaluated at bid price : 14.15
Bid-YTW : 6.35 %
RY.PR.Q FixedReset Prem 88,183 YTW SCENARIO
Maturity Type : Call
Maturity Date : 2021-05-24
Maturity Price : 25.00
Evaluated at bid price : 25.77
Bid-YTW : 4.26 %
TD.PF.A FixedReset Disc 79,564 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2048-12-04
Maturity Price : 20.58
Evaluated at bid price : 20.58
Bid-YTW : 5.44 %
PWF.PR.S Perpetual-Discount 63,378 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2048-12-04
Maturity Price : 20.68
Evaluated at bid price : 20.68
Bid-YTW : 5.88 %
CM.PR.Q FixedReset Disc 58,666 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2048-12-04
Maturity Price : 21.54
Evaluated at bid price : 21.91
Bid-YTW : 5.57 %
BMO.PR.Y FixedReset Disc 50,615 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2048-12-04
Maturity Price : 21.37
Evaluated at bid price : 21.68
Bid-YTW : 5.57 %
There were 62 other index-included issues trading in excess of 10,000 shares.
Wide Spread Highlights
Issue Index Quote Data and Yield Notes
TRP.PR.E FixedReset Disc Quote: 17.90 – 18.87
Spot Rate : 0.9700
Average : 0.6080

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2048-12-04
Maturity Price : 17.90
Evaluated at bid price : 17.90
Bid-YTW : 6.44 %

TRP.PR.F FloatingReset Quote: 15.55 – 16.50
Spot Rate : 0.9500
Average : 0.6026

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2048-12-04
Maturity Price : 15.55
Evaluated at bid price : 15.55
Bid-YTW : 5.82 %

VNR.PR.A FixedReset Disc Quote: 21.10 – 22.02
Spot Rate : 0.9200
Average : 0.6005

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2048-12-04
Maturity Price : 21.10
Evaluated at bid price : 21.10
Bid-YTW : 5.93 %

TD.PF.D FixedReset Disc Quote: 21.72 – 22.34
Spot Rate : 0.6200
Average : 0.3815

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2048-12-04
Maturity Price : 21.40
Evaluated at bid price : 21.72
Bid-YTW : 5.65 %

TRP.PR.D FixedReset Disc Quote: 17.97 – 18.55
Spot Rate : 0.5800
Average : 0.3496

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2048-12-04
Maturity Price : 17.97
Evaluated at bid price : 17.97
Bid-YTW : 6.46 %

TRP.PR.A FixedReset Disc Quote: 15.66 – 16.35
Spot Rate : 0.6900
Average : 0.4631

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2048-12-04
Maturity Price : 15.66
Evaluated at bid price : 15.66
Bid-YTW : 6.53 %

BIG.PR.D to Mature on Schedule

December 4th, 2018

Timbercreek Asset Management Inc. has announced:

Big 8 Split Inc. (the “Company”) announced today that in connection with the previously announced upcoming maturity of the fund on December 14, 2018, 739,483 Class D Preferred Shares and 739,483 Class D Capital Shares have been tendered for redemption. The redemption price to be paid for the Class D Preferred Shares will be $10.00 per Class D Preferred Share, and the redemption price for the Class D Capital Shares will be $16.56 per Class D Capital Share.

Holders of Class D Capital Shares tendered 140,139 Class D Capital Shares (representing approximately 15.93% of the outstanding Class D Capital Shares), together with a cash amount of $10.00 per Class D Capital Share tendered (together, a “Big 8 Split Unit”), in exchange for the holder’s pro rata share of the Company’s shares of Bank of Montreal, The Bank of Nova Scotia, Canadian Imperial Bank of Commerce, Royal Bank of Canada, The Toronto-Dominion Bank, Great-West Lifeco Inc., Manulife Financial Corporation, and Sun Life Financial Inc.

Payments of cash and delivery of the underlying portfolio shares owing to shareholders as a result of the final redemptions will be made by the Company on December 14, 2018.

The Company was established to generate dividend income for the Class D Preferred Shares while providing holders of the Class D Capital Shares with a leveraged opportunity to participate in capital appreciation from a portfolio of common shares of Bank of Montreal, The Bank of Nova Scotia, Canadian Imperial Bank of Commerce, Royal Bank of Canada, The Toronto-Dominion Bank, Great-West Lifeco Inc., Manulife Financial Corporation, and Sun Life Financial Inc. Information concerning Big 8 Split Inc. is available on our website at www.timbercreek.com/investments/managed-companies/big8-split-inc/overview.

The Class D Capital Shares and Class D Preferred Shares of Big 8 Split are listed on the Toronto Stock Exchange under the symbols BIG.D and BIG.pr.D respectively.

BIG.PR.D has not been tracked by HIMIPref™, as it was too small to allow reasonable expectations of efficient trading.

AQN.PR.A To Reset At 5.162%

December 4th, 2018

Algonquin Power & Utilities Corp. has announced (emphasis added):

the applicable dividend rates for its Cumulative 5-Year Rate Reset Preferred Shares, Series A (the “Series A Preferred Shares”) and Cumulative Floating Rate Preferred Shares, Series B (the “Series B Preferred Shares”).

With respect to any Series A Preferred Shares that remain outstanding after December 31, 2018, holders thereof will be entitled to receive quarterly fixed cumulative preferential cash dividends, if, as and when declared by the board of directors of the Company (the “Board”). The dividend rate for the 5-year period from and including December 31, 2018 to but excluding December 31, 2023 will be 5.162%, being equal to the 5-year Government of Canada bond yield determined as of today plus 2.94%, in accordance with the terms of the Series A Preferred Shares.

With respect to any Series B Preferred Shares that may be issued on December 31, 2018, holders thereof will be entitled to receive quarterly floating rate cumulative preferential cash dividends, if, as and when declared by the Board. The dividend rate for the 3-month floating rate period from and including December 31, 2018 to but excluding March 31, 2019 will be 4.653%, being equal to the 3-month Government of Canada Treasury Bill yield determined as of today plus 2.94%, calculated on the basis of the actual number of days in such quarterly period divided by 365, in accordance with the terms of the Series B Preferred Shares.

Beneficial owners of Series A Preferred Shares who wish to exercise their conversion right should communicate with their broker or other nominee to ensure their instructions are followed so that the registered holder of the Series A Preferred Shares can meet the deadline to exercise such conversion right, which is 5:00 p.m. (EST) on December 17, 2018.

AQN.PR.A is a FixedReset, 4.50%+294, that commenced trading 2012-11-9 after being announced 2012-10-25. The 2018-11-28 notice of extension was reported on PrefBlog. The issue is tracked by HIMIPref™, but relegated to the Scraps – FixedReset Discount index on credit concerns.

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., AQN.PR.A 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).

pairs_fr_181203
Click for Big

The market appears to be becoming relatively more interested in floating rate product; the implied rates until the next interconversion are above the current 3-month bill rate as the averages for investment-grade and junk issues are at +2.03% and +2.18%, 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 AQN.PR.A 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 AQN.PR.A) Trading Price In Current Conditions
  Assumed FloatingReset
Price if Implied Bill
is equal to
FixedReset Bid Price Spread 2.50% 2.00% 1.50%
AQN.PR.A 20.37 294bp 20.64 20.16 19.68

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, AQN.PR.A. Therefore, it seems likely that I will recommend that holders of AQN.PR.A continue to hold the issue and not to convert, but I will wait until it’s closer to the December 17 notification deadline before making a final pronouncement. I will note that once the FloatingResets commence trading (if, in fact, they do) it may be a good trade to swap the FixedReset for the FloatingReset in the market once both elements of each pair are trading and you can – presumably, according to this analysis – 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.

ALA.PR.E To Reset At 5.393%

December 3rd, 2018

AltaGas Ltd. has announced:

reset dividend rates for the currently outstanding Cumulative Redeemable Five-Year Rate Reset Preferred Shares, Series E (the “Series E Shares”) (TSX: ALA.PR.E) and the Cumulative Redeemable Floating Rate Preferred Shares, Series F (the “Series F Shares”).

As previously announced by AltaGas on November 28, 2018, AltaGas does not intend to exercise its right to redeem its Series E Shares on December 31, 2018 (the “Conversion Date”). As a result, subject to certain conditions, the holders of the Series E Shares have the right to convert all or part of their Series E Shares on a one-for-one basis into Series F Shares on the Conversion Date. Holders who do not exercise their right to convert their Series E Shares into Series F Shares will, subject to automatic conversion in certain circumstances, retain their Series E Shares. Holders of Series E Shares should review the prior press release for further details.

With respect to any Series E Shares that remain outstanding after the Conversion Date, holders shall be entitled to receive, as and when declared by the Board of Directors of AltaGas, fixed cumulative preferential cash dividends, payable quarterly. The new annual dividend rate applicable to the Series E Shares for the five-year period commencing on and including December 31, 2018 to, but excluding, December 31, 2023 will be 5.393 percent, being equal to the sum of the five-year Government of Canada bond yield determined as of today plus 3.17 percent.

With respect to any Series F Shares that may be issued on the Conversion Date, holders shall be entitled to receive, as and when declared by the Board of Directors of AltaGas, quarterly floating rate cumulative preferential cash dividends. The dividend rate applicable to the Series F Shares for the three-month floating rate period commencing on and including December 31, 2018 to, but excluding, March 31, 2019 will be 4.88 percent, being equal to the sum of the annual rate of interest for the most recent auction of 90 day Government of Canada treasury bills plus 3.17 percent (the “Floating Quarterly Dividend Rate”). The Floating Quarterly Dividend Rate will be reset every quarter.

ALA.PR.E is a FixedReset, 5.00%+317, that commenced trading 2013-12-13 after being announced 2013-12-4. The 2018-11-28 notice of extension was reported on PrefBlog. The issue is tracked by HIMIPref™ but is relegated to the Scraps – FixedReset Discount subindex due to credit concerns.

It is worth noting the company’s recent announcement of:

the timing of its financial and operational outlook conference call. To align the previously discussed “update call” to review AltaGas’ 2019 outlook, capital plan and update on other strategic and operational items with the start date of the recently announced incoming Chief Executive Officer, Randy Crawford, AltaGas intends to host the conference call on Thursday, December 13, 2018.

This call, which will be led by Randy Crawford and Tim Watson, Executive Vice President and Chief Financial Officer, will discuss AltaGas’ 2019 financial outlook and capital funding plan, with an update on key initiatives including dividend policy.

The question of what changes in dividend policy might be in store has received a certain amount of notice:

AltaGas (TSX:ALA) stock has lost nearly half of its value in the last year. The news of a new CEO coming on board did not trigger any meaningful rally in the stock. The big change in asset mix with a weight toward utility assets in the near term and the fact that the stock’s yield has been pushed up to 13.8% will likely lead to a dividend cut.

In summary, management will be reviewing the payout ratio, and it also seemed to hint that a dividend cut could be coming. For a yield that more closely aligns with that of other utilities, we could be seeing a dividend cut of at least 50% for AltaGas from its current yield of about 13.8% as of writing.

Assiduous Reader PL points out to me:

They have about 60 million preferred shares [52-million as of 2018-2-23 … JH] and over 200 million common [270.5 million (as at October 19, 2018, included in Q3 Report). … JH] The common stock is down so much the dividend is around 15 per cent.

On Dec 13 9 A.M Alta Gas will have a conference call on Financial and Operational Outlook. Pretty sure they will cut the common dividend by at least 50 per cent.

I do not think we will have a Husky situation where they cut the common dividend entirely and that tanked the Husky preferred . Question is have the Alta Gas preferred already been spooked.

The ALA issues have certainly been hammered during the recent downdraft, with the five FixedReset issues tracked down between 21% and 31%:

ala_downdraftperf_181203
Click for Big

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., ALA.PR.E 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).

pairs_fr_181203
Click for Big

The market appears to be becoming relatively more interested in floating rate product; the implied rates until the next interconversion are above the current 3-month bill rate as the averages for investment-grade and junk issues are at +2.03% and +2.18%, 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 ALA.PR.E 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 ALA.PR.E) Trading Price In Current Conditions
  Assumed FloatingReset
Price if Implied Bill
is equal to
FixedReset Bid Price Spread 2.50% 2.00% 1.50%
ALA.PR.E 17.18 317bp 17.43 16.98 16.52

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, ALA.PR.E. Therefore, it seems likely that I will recommend that holders of ALA.PR.E continue to hold the issue and not to convert, but I will wait until it’s closer to the December 17 notification deadline before making a final pronouncement. I will note that once the FloatingResets commence trading (if, in fact, they do) it may be a good trade to swap the FixedReset for the FloatingReset in the market once both elements of each pair are trading and you can – presumably, according to this analysis – 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.

EFN.PR.A To Reset At 6.933%

December 3rd, 2018

Element Fleet Management Corp. has announced (emphasis added):

the applicable dividend rates for its Cumulative 5-Year Rate Reset Preferred Shares, Series A (the “Series A shares”) and Cumulative Floating Rate Preferred Shares, Series B (the “Series B shares”).

With respect to any Series A shares that remain outstanding after December 31, 2018, holders thereof shall be entitled to receive, and the Corporation shall pay thereon, if, as and when declared by the directors of the Corporation, fixed, cumulative, preferential cash dividends payable quarterly. The dividend rate applicable to the Series A shares for the period from and including December 31, 2018 up to, but excluding, December 31, 2023, will be 6.933%, being equal to the sum of the 5-year Government of Canada bond yield determined as of today plus 4.71%, in accordance with the terms of the Series A shares.

With respect to any Series B shares that may be issued on December 31, 2018, holders thereof shall be entitled to receive, and the Corporation shall pay thereon, if, as and when declared by the directors of the Corporation, floating rate, cumulative, preferential cash dividends payable quarterly. The dividend rate applicable to the Series B shares for the period from and including December 31, 2018 up to, but excluding, March 31, 2019, will be 6.444%, being equal to the sum of the 3-month Government of Canada Treasury Bill yield determined as of today plus 4.71%, calculated on the basis of the actual number of days in such quarterly period divided by 365, in accordance with the terms of the Series B shares.

Beneficial owners of Series A shares who wish to exercise their Conversion Privilege should communicate with their broker or other nominee to ensure their instructions are followed so that the registered holder of the Series A shares can meet the deadline to exercise the Conversion Privilege. Such deadline is 5:00 p.m. (EST) on December 17, 2018, as further described in the Corporation’s news release dated November 20, 2018 and in the rights, privileges, restrictions and conditions attaching to the Series A shares, as provided in Article 4 of the Corporation’s restated articles of incorporation dated October 4, 2016.

EFN.PR.A is a FixedReset, 6.60%+471, that was announced 2013-12-9; HIMIPref™ commenced tracking the issue in September 2015 after it received a DBRS rating. The notice of extension dated 2018-11-20 was reported on PrefBlog. The issue is relegated to the Scraps – FixedReset Discount subindex on credit concerns.

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., EFN.PR.A 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).

pairs_fr_181203
Click for Big

The market appears to be becoming relatively more interested in floating rate product; the implied rates until the next interconversion are above the current 3-month bill rate as the averages for investment-grade and junk issues are at +2.03% and +2.18%, 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 EFN.PR.A 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 EFN.PR.A) Trading Price In Current Conditions
  Assumed FloatingReset
Price if Implied Bill
is equal to
FixedReset Bid Price Spread 2.50% 2.00% 1.50%
EFN.PR.A 21.02 471bp 21.27 20.82 20.37

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, EFN.PR.A. Therefore, it seems likely that I will recommend that holders of EFN.PR.A continue to hold the issue and not to convert, but I will wait until it’s closer to the December 17 notification deadline before making a final pronouncement. I will note that once the FloatingResets commence trading (if, in fact, they do) it may be a good trade to swap the FixedReset for the FloatingReset in the market once both elements of each pair are trading and you can – presumably, according to this analysis – 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.

CPX.PR.C to Reset at 5.453%

December 3rd, 2018

Capital Power Corporation has announced (emphasis added):

that it has notified registered shareholders of its Cumulative Rate Reset Preference Shares, Series 3 (Series 3 Shares) (TSX: CPX.PR.C) of the Conversion Privilege and Dividend Rate Notice.

Subject to certain conditions, beginning on December 1, 2018 and ending at 5:00 p.m. (Toronto time) on December 17, 2018, each registered holder of Series 3 Shares will have the right to elect to convert any or all of their Series 3 Shares into an equal number of Cumulative Floating Rate Preference Shares, Series 4 (Series 4 Shares) by delivering an Election Notice to the Corporation.

If Capital Power does not receive an Election Notice from a holder of Series 3 Shares during the time fixed therefor, then the Series 3 Shares shall be deemed not to have been converted (except in the case of an Automatic Conversion, see below). Holders of the Series 3 Shares and the Series 4 Shares will have the opportunity to convert their shares again on December 31, 2023, and every five years thereafter as long as the shares remain outstanding.

Effective December 31, 2018, on December 3, 2018, the Annual Fixed Dividend Rate for the Series 3 Shares was set for the next five-year period at 5.45300%. Effective December 31, 2018, on December 3, 2018, the Floating Quarterly Dividend for the Series 4 Shares was set for the first Quarterly Floating Rate Period (being the period from and including December 31, 2018, to but excluding March 31, 2019) at 1.21882%. The Floating Quarterly Dividend Rate will be reset every quarter.

The Series 3 Shares are issued in “book entry only” form and, as such, the sole registered holder of the Series 3 Shares is CDS Clearing and Depository Services Inc. (CDS). All rights of beneficial holders of Series 3 Shares must be exercised through CDS or the CDS participant through which the Series 3 Shares are held. The deadline for the registered shareholder to provide notice of exercise of the right to convert Series 3 Shares into Series 4 Shares is 3:00 p.m. (MST) / 5:00 p.m. (EST) on December 17, 2018. Any Election Notices received after this deadline will not be valid. As such, beneficial holders of Series 3 Shares who wish to exercise their rights to convert their shares should contact their broker or other intermediary for more information and it is recommended that this be done well in advance of the deadline in order to provide the broker or other intermediary with time to complete the necessary steps.

After December 17, 2018, (i) if Capital Power determines that there would remain outstanding on December 31, 2018, less than 1,000,000 Series 3 Shares, all remaining Series 3 Shares will be automatically converted into Series 4 Shares on a one-for one basis effective December 31, 2018 (an Automatic Conversion); or (ii) if Capital Power determines that there would remain outstanding after December 31, 2018, less than 1,000,000 Series 4 Shares, no Series 3 Shares will be permitted to be converted into Series 4 Shares effective December 31, 2018. There are currently 6,000,000 Series 3 Shares outstanding.

The Toronto Stock Exchange (TSX) has conditionally approved the listing of the Series 4 Shares effective upon conversion. Listing of the Series 4 Shares is subject to the Capital Power fulfilling all the listing requirements of the TSX and upon approval, the Series 4 Shares will be listed on the TSX under the trading symbol CPX.PR.D.

For more information on the terms of, and risks associated with an investment in, the Series 3 Shares and the Series 4 Shares, please see Capital Power’s prospectus supplement dated December 10, 2012 which is available on sedar.com or on Capital Power’s website at capitalpower.com.

CPX.PR.C is a FixedReset, 4.60%+323, that commenced trading 2012-12-18 after being announced 2012-12-6. It is tracked by HIMIPref™ but relegated to the Scraps – FixedReset Discount index on credit concerns.

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., CPX.PR.C and the FloatingReset, CPX.PR.D, 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).

pairs_fr_181203
Click for Big

The market appears to be becoming relatively more interested in floating rate product; the implied rates until the next interconversion are above the current 3-month bill rate as the averages for investment-grade and junk issues are at +2.03% and +2.18%, 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 CPX.PR.C 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 CPX.PR.D (received in exchange for CPX.PR.C) Trading Price In Current Conditions
  Assumed FloatingReset
Price if Implied Bill
is equal to
FixedReset Bid Price Spread 2.50% 2.00% 1.50%
CPX.PR.C 21.15 323bp 21.42 20.94 20.46

Based on current market conditions, I suggest that the FloatingResets, CPX.PR.D, that will result from conversion are likely to trade below the price of their FixedReset counterparts, CPX.PR.C. Therefore, it seems likely that I will recommend that holders of CPX.PR.C continue to hold the issue and not to convert, but I will wait until it’s closer to the December 17 notification deadline before making a final pronouncement. I will note that once the FloatingResets commence trading (if, in fact, they do) it may be a good trade to swap the FixedReset for the FloatingReset in the market once both elements of each pair are trading and you can – presumably, according to this analysis – 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.

BPO.PR.T to Reset at 5.383%

December 3rd, 2018

Brookfield Office Properties has announced (emphasis added):

the reset dividend rate on its Class AAA Preference Shares, Series T (“Series T Shares”) (TSX: BPO.PR.T) …

Series T Shares

If declared, the fixed quarterly dividends on the Series T Shares for the five years commencing January 1, 2019 and ending December 31, 2023 will be paid at an annual rate of 5.383% ($0.336438 per share per quarter).

Holders of Series T Shares have the right, at their option, exercisable not later than 5:00 p.m. (Toronto time) on December 17, 2018, to convert all or part of their Series T Shares, on a one-for-one basis, into Class AAA Preference Shares, Series U (the “Series U Shares”), effective December 31, 2018.

The quarterly floating rate dividends on the Series U Shares have an annual rate, calculated for each quarter, of 3.16% over the annual yield on three-month Government of Canada treasury bills. The actual quarterly dividend rate for the January 1, 2019 to March 31, 2019 dividend period for the Series U Shares will be 1.200820% (4.87% on an annualized basis) and the dividend, if declared, for such dividend period will be $0.300205 per share, payable on March 29, 2019.

Holders of Series T Shares are not required to elect to convert all or any part of their Series T Shares into Series U Shares.

As provided in the share conditions of the Series T Shares, (i) if Brookfield determines that there would be fewer than 1,000,000 Series T Shares outstanding after December 31, 2018, all remaining Series T Shares will be automatically converted into Series U Shares on a one-for-one basis effective December 31, 2018; and (ii) if Brookfield determines that there would be fewer than 1,000,000 Series U Shares outstanding after December 31, 2018, no Series T Shares will be permitted to be converted into Series U Shares. There are currently 10,000,000 Series T Shares outstanding.

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

BPO.PR.T is a FixedReset, 4.60%+316, that commenced trading 2012-9-13 after being announced 2012-9-5. It is tracked by HIMIPref™, but relegated to the Scraps – FixedReset Discount index on credit concerns.

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., BPO.PR.T and the FloatingReset, BPO.PR.L, 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).

pairs_fr_181203
Click for Big

The market appears to be becoming relatively more interested in floating rate product; the implied rates until the next interconversion are above the current 3-month bill rate as the averages for investment-grade and junk issues are at +2.03% and +2.18%, 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 BPO.PR.T 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 BPO.PR.L (received in exchange for BPO.PR.T) Trading Price In Current Conditions
  Assumed FloatingReset
Price if Implied Bill
is equal to
FixedReset Bid Price Spread 2.50% 2.00% 1.50%
BPO.PR.T 20.35 316bp 20.61 20.14 19.66

Based on current market conditions, I suggest that the FloatingResets, BPO.PR.L, that will result from conversion are likely to trade below the price of their FixedReset counterparts, BPO.PR.T. Therefore, it seems likely that I will recommend that holders of BPO.PR.T continue to hold the issue and not to convert, but I will wait until it’s closer to the December 17 notification deadline before making a final pronouncement. I will note that once the FloatingResets commence trading (if, in fact, they do) it may be a good trade to swap the FixedReset for the FloatingReset in the market once both elements of each pair are trading and you can – presumably, according to this analysis – 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.

December 3, 2018

December 3rd, 2018

A number of big names from the Fed – Kenechukwu Anadu, Mathias Kruttli, Patrick E. McCabe, Emilio Osambela and Chaehee Shin – have published a working paper titled The Shift From Active to Passive Investing: Potential Risks to Financial Stability?:

The past couple of decades have seen a significant shift in assets from active to passive investment strategies. We examine the potential effects of this shift on financial stability through four different channels: (1) effects on investment funds’ liquidity transformation and redemption risks; (2) passive strategies that amplify market volatility; (3) increases in asset-management industry concentration; and (4) the effects on valuations, volatility, and co-movement of assets that are included in indexes. Overall, the shift from active to passive investment strategies appears to be increasing some types of risk while diminishing others: The shift has probably reduced liquidity transformation risks, although some passive strategies amplify market volatility, and passive-fund growth is increasing asset-management industry concentration. We find mixed evidence that passive investing is contributing to the co-movement of assets. Finally, we use our framework to assess how financial stability risks are likely to evolve if the shift to passive investing continues, noting that some of the repercussions of passive investing ultimately may slow its growth.

The Harvard Law School Forum on Corporate Governance and Financial Regulation has published a summary of the work.

Speaking of the Fed, I learned today that the New York Fed has a webpage titled Measuring the Natural Rate of Interest, which estimates the Natural Rate of Interest in the US as about 0.75% and 0.5% for ‘Advanced Economies’. Canada is estimated at 1.43%.

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 0.8679 % 2,637.3
FixedFloater 0.00 % 0.00 % 0 0.00 0 0.8679 % 4,839.2
Floater 4.41 % 4.74 % 39,947 15.89 4 0.8679 % 2,788.9
OpRet 0.00 % 0.00 % 0 0.00 0 0.2272 % 3,176.0
SplitShare 4.64 % 5.26 % 85,102 4.64 7 0.2272 % 3,792.9
Interest-Bearing 0.00 % 0.00 % 0 0.00 0 0.2272 % 2,959.3
Perpetual-Premium 5.58 % -1.02 % 128,756 0.08 2 0.5786 % 2,866.2
Perpetual-Discount 5.77 % 5.95 % 73,304 13.91 33 0.1077 % 2,859.7
FixedReset Disc 4.91 % 5.53 % 186,234 14.64 66 0.0703 % 2,280.7
Deemed-Retractible 5.53 % 7.60 % 87,744 5.17 27 -0.0234 % 2,857.1
FloatingReset 4.02 % 4.83 % 34,950 3.00 7 0.0504 % 2,557.3
FixedReset Prem 5.17 % 4.37 % 288,966 2.32 14 0.2100 % 2,502.8
FixedReset Bank Non 2.98 % 4.17 % 122,291 2.94 6 0.0551 % 2,568.9
FixedReset Ins Non 4.92 % 7.92 % 125,621 5.22 22 -0.0531 % 2,287.0
Performance Highlights
Issue Index Change Notes
BNS.PR.I FixedReset Disc -2.04 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2048-12-03
Maturity Price : 22.31
Evaluated at bid price : 23.08
Bid-YTW : 5.14 %
HSE.PR.G FixedReset Disc -1.72 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2048-12-03
Maturity Price : 20.59
Evaluated at bid price : 20.59
Bid-YTW : 6.85 %
BIP.PR.A FixedReset Disc -1.70 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2048-12-03
Maturity Price : 20.80
Evaluated at bid price : 20.80
Bid-YTW : 6.81 %
BAM.PR.T FixedReset Disc -1.40 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2048-12-03
Maturity Price : 17.65
Evaluated at bid price : 17.65
Bid-YTW : 6.18 %
ELF.PR.H Perpetual-Discount -1.38 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2048-12-03
Maturity Price : 23.11
Evaluated at bid price : 23.55
Bid-YTW : 5.91 %
GWO.PR.M Deemed-Retractible -1.33 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-01-31
Maturity Price : 25.00
Evaluated at bid price : 24.43
Bid-YTW : 6.21 %
BAM.PR.X FixedReset Disc -1.29 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2048-12-03
Maturity Price : 16.04
Evaluated at bid price : 16.04
Bid-YTW : 5.92 %
TRP.PR.G FixedReset Disc -1.23 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2048-12-03
Maturity Price : 20.05
Evaluated at bid price : 20.05
Bid-YTW : 6.29 %
TRP.PR.F FloatingReset -1.06 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2048-12-03
Maturity Price : 16.75
Evaluated at bid price : 16.75
Bid-YTW : 5.40 %
CGI.PR.D SplitShare -1.01 % YTW SCENARIO
Maturity Type : Soft Maturity
Maturity Date : 2023-06-14
Maturity Price : 25.00
Evaluated at bid price : 24.55
Bid-YTW : 4.18 %
EMA.PR.F FixedReset Disc 1.05 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2048-12-03
Maturity Price : 20.17
Evaluated at bid price : 20.17
Bid-YTW : 6.01 %
PWF.PR.Q FloatingReset 1.09 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2048-12-03
Maturity Price : 18.55
Evaluated at bid price : 18.55
Bid-YTW : 4.49 %
BAM.PR.N Perpetual-Discount 1.09 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2048-12-03
Maturity Price : 19.41
Evaluated at bid price : 19.41
Bid-YTW : 6.24 %
EIT.PR.A SplitShare 1.11 % YTW SCENARIO
Maturity Type : Soft Maturity
Maturity Date : 2024-03-14
Maturity Price : 25.00
Evaluated at bid price : 24.67
Bid-YTW : 5.09 %
PWF.PR.T FixedReset Disc 1.38 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2048-12-03
Maturity Price : 21.71
Evaluated at bid price : 22.11
Bid-YTW : 5.22 %
BAM.PF.B FixedReset Disc 1.43 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2048-12-03
Maturity Price : 20.55
Evaluated at bid price : 20.55
Bid-YTW : 5.98 %
BMO.PR.E FixedReset Disc 1.51 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2048-12-03
Maturity Price : 22.54
Evaluated at bid price : 23.49
Bid-YTW : 5.24 %
TD.PF.E FixedReset Disc 1.52 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2048-12-03
Maturity Price : 22.38
Evaluated at bid price : 22.70
Bid-YTW : 5.47 %
BAM.PR.C Floater 1.65 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2048-12-03
Maturity Price : 14.80
Evaluated at bid price : 14.80
Bid-YTW : 4.74 %
HSE.PR.A FixedReset Disc 1.77 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2048-12-03
Maturity Price : 14.39
Evaluated at bid price : 14.39
Bid-YTW : 6.48 %
BAM.PR.B Floater 2.07 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2048-12-03
Maturity Price : 14.80
Evaluated at bid price : 14.80
Bid-YTW : 4.74 %
Volume Highlights
Issue Index Shares
Traded
Notes
CM.PR.Q FixedReset Disc 523,600 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2048-12-03
Maturity Price : 21.63
Evaluated at bid price : 22.05
Bid-YTW : 5.53 %
BIP.PR.B FixedReset Disc 143,970 YTW SCENARIO
Maturity Type : Call
Maturity Date : 2020-12-31
Maturity Price : 25.00
Evaluated at bid price : 24.80
Bid-YTW : 5.73 %
RY.PR.Z FixedReset Disc 113,816 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2048-12-03
Maturity Price : 20.85
Evaluated at bid price : 20.85
Bid-YTW : 5.33 %
BMO.PR.Y FixedReset Disc 67,538 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2048-12-03
Maturity Price : 21.42
Evaluated at bid price : 21.75
Bid-YTW : 5.55 %
BAM.PF.F FixedReset Disc 58,600 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2048-12-03
Maturity Price : 20.85
Evaluated at bid price : 20.85
Bid-YTW : 6.17 %
TRP.PR.C FixedReset Disc 58,498 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2048-12-03
Maturity Price : 14.90
Evaluated at bid price : 14.90
Bid-YTW : 6.04 %
There were 34 other index-included issues trading in excess of 10,000 shares.
Wide Spread Highlights
Issue Index Quote Data and Yield Notes
CU.PR.E Perpetual-Discount Quote: 21.22 – 21.88
Spot Rate : 0.6600
Average : 0.3829

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2048-12-03
Maturity Price : 21.22
Evaluated at bid price : 21.22
Bid-YTW : 5.82 %

ELF.PR.H Perpetual-Discount Quote: 23.55 – 24.38
Spot Rate : 0.8300
Average : 0.6085

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2048-12-03
Maturity Price : 23.11
Evaluated at bid price : 23.55
Bid-YTW : 5.91 %

GWO.PR.T Deemed-Retractible Quote: 21.98 – 22.55
Spot Rate : 0.5700
Average : 0.4211

YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-01-31
Maturity Price : 25.00
Evaluated at bid price : 21.98
Bid-YTW : 7.61 %

MFC.PR.O FixedReset Ins Non Quote: 25.38 – 25.72
Spot Rate : 0.3400
Average : 0.2134

YTW SCENARIO
Maturity Type : Call
Maturity Date : 2021-06-19
Maturity Price : 25.00
Evaluated at bid price : 25.38
Bid-YTW : 4.89 %

BAM.PF.C Perpetual-Discount Quote: 19.90 – 20.38
Spot Rate : 0.4800
Average : 0.3644

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2048-12-03
Maturity Price : 19.90
Evaluated at bid price : 19.90
Bid-YTW : 6.22 %

CGI.PR.D SplitShare Quote: 24.55 – 24.96
Spot Rate : 0.4100
Average : 0.3088

YTW SCENARIO
Maturity Type : Soft Maturity
Maturity Date : 2023-06-14
Maturity Price : 25.00
Evaluated at bid price : 24.55
Bid-YTW : 4.18 %