Archive for July, 2018

July 31, 2018

Tuesday, July 31st, 2018
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 1.1212 % 3,123.5
FixedFloater 0.00 % 0.00 % 0 0.00 0 1.1212 % 5,731.4
Floater 3.46 % 3.64 % 57,608 18.18 4 1.1212 % 3,303.0
OpRet 0.00 % 0.00 % 0 0.00 0 0.1026 % 3,206.3
SplitShare 4.58 % 4.65 % 50,043 4.87 5 0.1026 % 3,828.9
Interest-Bearing 0.00 % 0.00 % 0 0.00 0 0.1026 % 2,987.5
Perpetual-Premium 5.63 % -15.36 % 60,028 0.09 9 0.0393 % 2,915.3
Perpetual-Discount 5.39 % 5.49 % 54,893 14.63 26 0.0218 % 2,986.3
FixedReset 4.29 % 4.66 % 127,370 3.90 106 -0.1278 % 2,570.2
Deemed-Retractible 5.14 % 6.00 % 59,538 5.43 27 0.0874 % 2,978.9
FloatingReset 3.26 % 3.55 % 32,117 3.34 9 -0.2026 % 2,833.0
Performance Highlights
Issue Index Change Notes
TRP.PR.H FloatingReset -1.68 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2048-07-31
Maturity Price : 17.00
Evaluated at bid price : 17.00
Bid-YTW : 4.02 %
TD.PF.A FixedReset -1.39 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2048-07-31
Maturity Price : 22.92
Evaluated at bid price : 23.40
Bid-YTW : 4.70 %
NA.PR.W FixedReset -1.36 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2048-07-31
Maturity Price : 22.19
Evaluated at bid price : 22.55
Bid-YTW : 4.88 %
BMO.PR.Q FixedReset -1.29 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2022-01-31
Maturity Price : 25.00
Evaluated at bid price : 22.70
Bid-YTW : 4.87 %
BAM.PR.C Floater 1.26 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2048-07-31
Maturity Price : 17.69
Evaluated at bid price : 17.69
Bid-YTW : 3.69 %
BAM.PR.B Floater 1.37 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2048-07-31
Maturity Price : 17.77
Evaluated at bid price : 17.77
Bid-YTW : 3.67 %
BAM.PR.K Floater 1.99 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2048-07-31
Maturity Price : 17.90
Evaluated at bid price : 17.90
Bid-YTW : 3.64 %
Volume Highlights
Issue Index Shares
Traded
Notes
TD.PF.D FixedReset 122,847 YTW SCENARIO
Maturity Type : Call
Maturity Date : 2020-07-31
Maturity Price : 25.00
Evaluated at bid price : 24.62
Bid-YTW : 4.42 %
BMO.PR.R FloatingReset 99,800 YTW SCENARIO
Maturity Type : Call
Maturity Date : 2018-09-24
Maturity Price : 25.00
Evaluated at bid price : 24.96
Bid-YTW : 1.07 %
NA.PR.C FixedReset 78,675 YTW SCENARIO
Maturity Type : Call
Maturity Date : 2022-11-15
Maturity Price : 25.00
Evaluated at bid price : 25.12
Bid-YTW : 4.30 %
BAM.PR.T FixedReset 77,914 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2048-07-31
Maturity Price : 21.17
Evaluated at bid price : 21.17
Bid-YTW : 5.11 %
BMO.PR.C FixedReset 76,200 YTW SCENARIO
Maturity Type : Call
Maturity Date : 2022-05-25
Maturity Price : 25.00
Evaluated at bid price : 25.30
Bid-YTW : 4.09 %
RY.PR.H FixedReset 60,939 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2048-07-31
Maturity Price : 23.06
Evaluated at bid price : 23.60
Bid-YTW : 4.67 %
There were 21 other index-included issues trading in excess of 10,000 shares.
Wide Spread Highlights
Issue Index Quote Data and Yield Notes
BMO.PR.Q FixedReset Quote: 22.70 – 23.04
Spot Rate : 0.3400
Average : 0.2041

YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2022-01-31
Maturity Price : 25.00
Evaluated at bid price : 22.70
Bid-YTW : 4.87 %

NA.PR.W FixedReset Quote: 22.55 – 22.90
Spot Rate : 0.3500
Average : 0.2169

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2048-07-31
Maturity Price : 22.19
Evaluated at bid price : 22.55
Bid-YTW : 4.88 %

TRP.PR.H FloatingReset Quote: 17.00 – 17.45
Spot Rate : 0.4500
Average : 0.3295

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2048-07-31
Maturity Price : 17.00
Evaluated at bid price : 17.00
Bid-YTW : 4.02 %

TD.PF.A FixedReset Quote: 23.40 – 23.75
Spot Rate : 0.3500
Average : 0.2462

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2048-07-31
Maturity Price : 22.92
Evaluated at bid price : 23.40
Bid-YTW : 4.70 %

BAM.PF.B FixedReset Quote: 23.80 – 24.08
Spot Rate : 0.2800
Average : 0.1980

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2048-07-31
Maturity Price : 23.12
Evaluated at bid price : 23.80
Bid-YTW : 5.06 %

BMO.PR.Z Perpetual-Discount Quote: 24.96 – 25.17
Spot Rate : 0.2100
Average : 0.1368

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2048-07-31
Maturity Price : 24.48
Evaluated at bid price : 24.96
Bid-YTW : 4.99 %

July 30, 2018

Monday, July 30th, 2018

Who remembers Jesse Litvak? I last discussed his case on December 23, 2015; basically, he was charged with fraud for acting like a bond salesman. It was one of the more ridiculous persecutions to emerge from the hysterical witch hunt that followed the credit crunch … and now it’s over:

Federal prosecutors moved to dismiss criminal charges against former Jefferies Group LLC managing director Jesse Litvak, whose two convictions for fraud were both overturned by a federal appeals court.

Litvak’s arrest five years ago put traders on notice that they could face criminal prosecution for making misrepresentations to customers while negotiating trades, sending shock waves through Wall Street and leading to the resignations and suspensions of dozens of traders.

The traders argued that they were dealing with sophisticated investors who knew not to accept their every sales pitch as gospel.

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 0.6800 % 3,088.8
FixedFloater 0.00 % 0.00 % 0 0.00 0 0.6800 % 5,667.9
Floater 3.50 % 3.72 % 59,957 18.02 4 0.6800 % 3,266.4
OpRet 0.00 % 0.00 % 0 0.00 0 -0.0237 % 3,203.0
SplitShare 4.59 % 4.62 % 52,094 4.88 5 -0.0237 % 3,825.0
Interest-Bearing 0.00 % 0.00 % 0 0.00 0 -0.0237 % 2,984.4
Perpetual-Premium 5.63 % -14.03 % 62,079 0.09 9 0.0349 % 2,914.2
Perpetual-Discount 5.38 % 5.51 % 55,731 14.63 26 0.0608 % 2,985.7
FixedReset 4.28 % 4.60 % 128,271 3.80 106 0.0833 % 2,573.4
Deemed-Retractible 5.14 % 5.96 % 60,426 5.43 27 0.0656 % 2,976.3
FloatingReset 3.25 % 3.51 % 33,332 3.34 9 0.2523 % 2,838.8
Performance Highlights
Issue Index Change Notes
MFC.PR.Q FixedReset -1.47 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-01-31
Maturity Price : 25.00
Evaluated at bid price : 24.80
Bid-YTW : 4.98 %
MFC.PR.K FixedReset 1.09 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-01-31
Maturity Price : 25.00
Evaluated at bid price : 23.24
Bid-YTW : 5.85 %
TD.PF.A FixedReset 1.15 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2048-07-30
Maturity Price : 23.25
Evaluated at bid price : 23.73
Bid-YTW : 4.63 %
IFC.PR.G FixedReset 1.17 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-01-31
Maturity Price : 25.00
Evaluated at bid price : 25.04
Bid-YTW : 5.03 %
TD.PF.B FixedReset 1.24 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2048-07-30
Maturity Price : 23.14
Evaluated at bid price : 23.70
Bid-YTW : 4.67 %
TRP.PR.C FixedReset 1.25 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2048-07-30
Maturity Price : 17.76
Evaluated at bid price : 17.76
Bid-YTW : 5.00 %
PWF.PR.A Floater 1.56 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2048-07-30
Maturity Price : 21.48
Evaluated at bid price : 21.48
Bid-YTW : 3.01 %
TRP.PR.H FloatingReset 1.65 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2048-07-30
Maturity Price : 17.29
Evaluated at bid price : 17.29
Bid-YTW : 3.95 %
Volume Highlights
Issue Index Shares
Traded
Notes
BMO.PR.T FixedReset 48,987 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2048-07-30
Maturity Price : 22.88
Evaluated at bid price : 23.41
Bid-YTW : 4.75 %
PWF.PR.F Perpetual-Discount 43,050 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2048-07-30
Maturity Price : 23.54
Evaluated at bid price : 23.81
Bid-YTW : 5.53 %
CM.PR.P FixedReset 23,300 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2048-07-30
Maturity Price : 22.77
Evaluated at bid price : 23.19
Bid-YTW : 4.72 %
BNS.PR.G FixedReset 21,851 YTW SCENARIO
Maturity Type : Call
Maturity Date : 2021-07-25
Maturity Price : 25.00
Evaluated at bid price : 26.33
Bid-YTW : 3.64 %
TD.PF.C FixedReset 20,111 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2048-07-30
Maturity Price : 23.23
Evaluated at bid price : 23.66
Bid-YTW : 4.64 %
TRP.PR.K FixedReset 18,979 YTW SCENARIO
Maturity Type : Call
Maturity Date : 2022-05-31
Maturity Price : 25.00
Evaluated at bid price : 25.81
Bid-YTW : 4.23 %
There were 5 other index-included issues trading in excess of 10,000 shares.
Wide Spread Highlights
Issue Index Quote Data and Yield Notes
HSE.PR.A FixedReset Quote: 18.03 – 18.67
Spot Rate : 0.6400
Average : 0.3583

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2048-07-30
Maturity Price : 18.03
Evaluated at bid price : 18.03
Bid-YTW : 5.15 %

VNR.PR.A FixedReset Quote: 24.85 – 25.35
Spot Rate : 0.5000
Average : 0.2998

YTW SCENARIO
Maturity Type : Call
Maturity Date : 2022-10-15
Maturity Price : 25.00
Evaluated at bid price : 24.85
Bid-YTW : 4.86 %

IFC.PR.E Deemed-Retractible Quote: 24.14 – 24.53
Spot Rate : 0.3900
Average : 0.2246

YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-01-31
Maturity Price : 25.00
Evaluated at bid price : 24.14
Bid-YTW : 5.96 %

PWF.PR.A Floater Quote: 21.48 – 22.00
Spot Rate : 0.5200
Average : 0.3766

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2048-07-30
Maturity Price : 21.48
Evaluated at bid price : 21.48
Bid-YTW : 3.01 %

MFC.PR.Q FixedReset Quote: 24.80 – 25.13
Spot Rate : 0.3300
Average : 0.2340

YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-01-31
Maturity Price : 25.00
Evaluated at bid price : 24.80
Bid-YTW : 4.98 %

CU.PR.C FixedReset Quote: 22.78 – 23.09
Spot Rate : 0.3100
Average : 0.2200

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2048-07-30
Maturity Price : 22.22
Evaluated at bid price : 22.78
Bid-YTW : 4.80 %

July 27, 2018

Friday, July 27th, 2018
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 -1.1029 % 3,068.0
FixedFloater 0.00 % 0.00 % 0 0.00 0 -1.1029 % 5,629.6
Floater 3.52 % 3.72 % 60,420 18.03 4 -1.1029 % 3,244.4
OpRet 0.00 % 0.00 % 0 0.00 0 0.0000 % 3,203.7
SplitShare 4.59 % 4.53 % 54,230 4.89 5 0.0000 % 3,825.9
Interest-Bearing 0.00 % 0.00 % 0 0.00 0 0.0000 % 2,985.1
Perpetual-Premium 5.63 % -14.56 % 63,285 0.09 9 0.0218 % 2,913.2
Perpetual-Discount 5.39 % 5.52 % 57,608 14.64 26 0.0329 % 2,983.9
FixedReset 4.28 % 4.55 % 128,986 3.91 106 0.1025 % 2,571.3
Deemed-Retractible 5.15 % 6.02 % 60,189 5.44 27 0.0422 % 2,974.4
FloatingReset 3.27 % 3.59 % 33,728 3.35 9 -0.1038 % 2,831.6
Performance Highlights
Issue Index Change Notes
PWF.PR.A Floater -1.86 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2048-07-27
Maturity Price : 21.15
Evaluated at bid price : 21.15
Bid-YTW : 3.05 %
BAM.PR.C Floater -1.53 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2048-07-27
Maturity Price : 17.33
Evaluated at bid price : 17.33
Bid-YTW : 3.76 %
IFC.PR.G FixedReset -1.04 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-01-31
Maturity Price : 25.00
Evaluated at bid price : 24.75
Bid-YTW : 5.21 %
Volume Highlights
Issue Index Shares
Traded
Notes
TRP.PR.E FixedReset 298,488 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2048-07-27
Maturity Price : 21.93
Evaluated at bid price : 22.50
Bid-YTW : 4.93 %
RY.PR.J FixedReset 212,680 YTW SCENARIO
Maturity Type : Call
Maturity Date : 2020-05-24
Maturity Price : 25.00
Evaluated at bid price : 24.59
Bid-YTW : 4.40 %
TRP.PR.J FixedReset 161,408 YTW SCENARIO
Maturity Type : Call
Maturity Date : 2021-05-31
Maturity Price : 25.00
Evaluated at bid price : 26.21
Bid-YTW : 4.03 %
BMO.PR.C FixedReset 104,708 YTW SCENARIO
Maturity Type : Call
Maturity Date : 2022-05-25
Maturity Price : 25.00
Evaluated at bid price : 25.52
Bid-YTW : 4.14 %
TRP.PR.K FixedReset 86,732 YTW SCENARIO
Maturity Type : Call
Maturity Date : 2022-05-31
Maturity Price : 25.00
Evaluated at bid price : 25.81
Bid-YTW : 4.22 %
CM.PR.S FixedReset 62,784 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2048-07-27
Maturity Price : 22.75
Evaluated at bid price : 23.86
Bid-YTW : 4.71 %
There were 17 other index-included issues trading in excess of 10,000 shares.
Wide Spread Highlights
Issue Index Quote Data and Yield Notes
EIT.PR.B SplitShare Quote: 25.05 – 26.05
Spot Rate : 1.0000
Average : 0.5799

YTW SCENARIO
Maturity Type : Soft Maturity
Maturity Date : 2025-03-14
Maturity Price : 25.00
Evaluated at bid price : 25.05
Bid-YTW : 4.89 %

BAM.PR.C Floater Quote: 17.33 – 17.79
Spot Rate : 0.4600
Average : 0.3198

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2048-07-27
Maturity Price : 17.33
Evaluated at bid price : 17.33
Bid-YTW : 3.76 %

MFC.PR.I FixedReset Quote: 24.90 – 25.30
Spot Rate : 0.4000
Average : 0.2841

YTW SCENARIO
Maturity Type : Call
Maturity Date : 2022-09-19
Maturity Price : 25.00
Evaluated at bid price : 24.90
Bid-YTW : 4.60 %

SLF.PR.D Deemed-Retractible Quote: 21.45 – 21.73
Spot Rate : 0.2800
Average : 0.1738

YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-01-31
Maturity Price : 25.00
Evaluated at bid price : 21.45
Bid-YTW : 7.33 %

IFC.PR.G FixedReset Quote: 24.75 – 25.00
Spot Rate : 0.2500
Average : 0.1557

YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-01-31
Maturity Price : 25.00
Evaluated at bid price : 24.75
Bid-YTW : 5.21 %

MFC.PR.L FixedReset Quote: 22.95 – 23.25
Spot Rate : 0.3000
Average : 0.2063

YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-01-31
Maturity Price : 25.00
Evaluated at bid price : 22.95
Bid-YTW : 5.86 %

July 26, 2018

Thursday, July 26th, 2018
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 -0.3885 % 3,102.2
FixedFloater 0.00 % 0.00 % 0 0.00 0 -0.3885 % 5,692.4
Floater 3.48 % 3.69 % 60,890 18.08 4 -0.3885 % 3,280.5
OpRet 0.00 % 0.00 % 0 0.00 0 0.1027 % 3,203.7
SplitShare 4.59 % 4.51 % 55,049 4.89 5 0.1027 % 3,825.9
Interest-Bearing 0.00 % 0.00 % 0 0.00 0 0.1027 % 2,985.1
Perpetual-Premium 5.63 % -14.03 % 63,768 0.09 9 0.0481 % 2,912.5
Perpetual-Discount 5.39 % 5.52 % 58,197 14.64 26 0.1021 % 2,982.9
FixedReset 4.29 % 4.59 % 130,321 4.16 106 0.2035 % 2,568.7
Deemed-Retractible 5.15 % 6.00 % 60,631 5.45 27 0.1847 % 2,973.1
FloatingReset 3.27 % 3.61 % 32,190 3.35 9 0.0940 % 2,834.6
Performance Highlights
Issue Index Change Notes
PWF.PR.L Perpetual-Discount -1.04 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2048-07-26
Maturity Price : 22.66
Evaluated at bid price : 22.90
Bid-YTW : 5.59 %
MFC.PR.G FixedReset 1.03 % YTW SCENARIO
Maturity Type : Call
Maturity Date : 2021-12-19
Maturity Price : 25.00
Evaluated at bid price : 24.53
Bid-YTW : 4.64 %
RY.PR.N Perpetual-Discount 1.65 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2048-07-26
Maturity Price : 24.22
Evaluated at bid price : 24.68
Bid-YTW : 4.94 %
Volume Highlights
Issue Index Shares
Traded
Notes
MFC.PR.R FixedReset 110,879 YTW SCENARIO
Maturity Type : Call
Maturity Date : 2022-03-19
Maturity Price : 25.00
Evaluated at bid price : 25.96
Bid-YTW : 3.88 %
TRP.PR.C FixedReset 101,438 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2048-07-26
Maturity Price : 17.60
Evaluated at bid price : 17.60
Bid-YTW : 4.94 %
CU.PR.C FixedReset 74,400 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2048-07-26
Maturity Price : 22.23
Evaluated at bid price : 22.80
Bid-YTW : 4.72 %
TRP.PR.K FixedReset 73,790 YTW SCENARIO
Maturity Type : Call
Maturity Date : 2022-05-31
Maturity Price : 25.00
Evaluated at bid price : 25.60
Bid-YTW : 4.45 %
CU.PR.I FixedReset 61,138 YTW SCENARIO
Maturity Type : Call
Maturity Date : 2020-12-01
Maturity Price : 25.00
Evaluated at bid price : 25.90
Bid-YTW : 3.21 %
GWO.PR.F Deemed-Retractible 41,003 YTW SCENARIO
Maturity Type : Call
Maturity Date : 2018-08-25
Maturity Price : 25.00
Evaluated at bid price : 25.95
Bid-YTW : -31.64 %
There were 14 other index-included issues trading in excess of 10,000 shares.
Wide Spread Highlights
Issue Index Quote Data and Yield Notes
PWF.PR.L Perpetual-Discount Quote: 22.90 – 23.32
Spot Rate : 0.4200
Average : 0.2775

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2048-07-26
Maturity Price : 22.66
Evaluated at bid price : 22.90
Bid-YTW : 5.59 %

MFC.PR.J FixedReset Quote: 24.94 – 25.30
Spot Rate : 0.3600
Average : 0.2621

YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-01-31
Maturity Price : 25.00
Evaluated at bid price : 24.94
Bid-YTW : 4.87 %

MFC.PR.K FixedReset Quote: 22.88 – 23.25
Spot Rate : 0.3700
Average : 0.2846

YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-01-31
Maturity Price : 25.00
Evaluated at bid price : 22.88
Bid-YTW : 6.03 %

TRP.PR.B FixedReset Quote: 16.96 – 17.21
Spot Rate : 0.2500
Average : 0.1707

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2048-07-26
Maturity Price : 16.96
Evaluated at bid price : 16.96
Bid-YTW : 4.85 %

IAG.PR.G FixedReset Quote: 23.87 – 24.16
Spot Rate : 0.2900
Average : 0.2122

YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-01-31
Maturity Price : 25.00
Evaluated at bid price : 23.87
Bid-YTW : 5.13 %

PWF.PR.Q FloatingReset Quote: 21.85 – 22.04
Spot Rate : 0.1900
Average : 0.1231

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2048-07-26
Maturity Price : 21.49
Evaluated at bid price : 21.85
Bid-YTW : 3.44 %

AIM Preferreds Jump Again with New Bid for Other Assets

Thursday, July 26th, 2018

Aimia has received another bid for some of its assets:

Aimia Inc. has received its second hostile bid in as many days − this time for its large stake in Mexico’s leading frequent-flyer program.

The day after Air Canada launched a hostile offer for Aeroplan, the loyalty-rewards program owned by Aimia, Grupo Aeromexico announced its own bid to acquire Aimia’s 49-per-cent stake in PLM Premier for US$180-million, or $235-million.

PLM runs Club Premier, Mexico’s frequent-flyer program, which has partnered with national airline Aeromexico. The airline already controls the majority stake in PLM.

Aimia turned down the offer in a matter of hours, arguing that Aeromexico undervalued the asset.

Aeromexico’s press release highlights the unusual circumstance that Aimia will actually have made some money on its investment:

Grupo Aeromexico (“Aeromexico”) informs that, as a current shareholder of 51.145% of PLM Premier, S.A.P.I. de C.V. (“PLM”), it has made a non-binding proposal for the acquisition of the shares currently held by Aimia Inc (“Aimia”), representing 48.855% on a fully diluted basis, of the outstanding shares of capital stock (the “Stock”) of PLM (the “Proposed Transaction”) for an amount of $180 million US dollars. This amount, including dividends and marketing fees paid to Aimia since its investment, represents an annualized rate of return for Aimia of approximately 18%.

And, as noted in the news story, Aimia scorned the idea:

Aimia Inc. (TSX: AIM), a data-driven marketing and loyalty analytics company, today confirms that it has received a non-binding offer (the “Offer”) from Grupo Aeromexico S.A.B. de C.V. (“Aeromexico”) to acquire for US$180 million Aimia’s 48.855% stake in PLM Premier, S.A.P.I. de C.V. (“PLM”), the owner and operator of Aeromexico’s Club Premier frequent flyer program. Aimia also announces that it has formally notified Aeromexico that the Offer has been rejected.

The Company has promptly rejected the Offer as it believes that its stake in PLM is worth significantly more than the Offer price, which reflected no improvement whatsoever to the terms previously proposed by Aeromexico to Aimia in prior discussions between the parties. By way of reminder, PLM generated Adjusted EBITDA of US$77.4 million in 20171 and the current contract term between PLM and Aeromexico runs to 2030.

All this follows yesterday’s bid for the Aeroplan Canadian operation. I’m not sure why the newspapers persist in calling these ‘hostile bids’. It’s unusual that they’re public, of course, but management and the board have sole discretion regarding what to do, as far as I understand it. Shareholders will not get a vote.

AIM preferreds jumped on the news:

AIM Preferreds Performance
Ticker Description Bid
2018-07-25
Bid
2018-07-26
Change
AIM.PR.A FixedReset
4.50%+375
17.05 19.02 +12%
AIM.PR.B FloatingReset
+375
17.00 19.06 +12%
AIM.PR.C FixedReset
6.25%+420
17.00 19.30 +14%

All three issues are tracked by HIMIPref™ but are relegated to the Scraps index on credit concerns.

Note that the bids are not for the company, just for most of its assets. If successful, the bid will change the balance sheet significantly – and just how good the preferreds will look at that point will be the topic of much speculation and puzzling over the balance sheet.

July 25, 2018

Wednesday, July 25th, 2018

A nice win for Toronto in the tech job sweepstakes:

Toronto has added the most technology jobs in the past five years and has the fourth-best tech talent market in Canada and the U.S., according to a new report released Tuesday.

The report by CBRE Group said Toronto added 82,100 technology-related jobs between 2012 and 2017 to beat out the San Francisco Bay Area for the spot by about 4,270 jobs.

In terms of tech jobs added over the five year period to 2017, Montreal added 22,300, while Vancouver added 16,100 and Ottawa added 9,700.

Ottawa had the highest concentration of tech talent of any of the 50 markets at 11.2% of all jobs, compared to 9.8% for San Francisco and 8.9% for Toronto.

Ottawa also ranked highest in momentum of talent pools because of a 15.2% tech employment growth for a two-year stretch to the end of 2017, compared with a 10% drop for the two prior years.

San Francisco ranked highest on average wages at more than US$125,000 a year, while Ottawa ranked as the highest Canadian city for wages at US$67,871.

PerpetualDiscounts now yield 5.50%, equivalent to 7.15% interest at the standard equivalency factor of 1.3x. Long corporates now yield about 3.95%, so the pre-tax interest-equivalent spread (in this context, the “Seniority Spread”) is now about 320bp, a sharp narrowing from the 335bp reported July 18.

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

Values are provisional and are finalized monthly
Index Mean
Current
Yield
(at bid)
Median
YTW
Median
Average
Trading
Value
Median
Mod Dur
(YTW)
Issues Day’s Perf. Index Value
Ratchet 0.00 % 0.00 % 0 0.00 0 0.5253 % 3,114.3
FixedFloater 0.00 % 0.00 % 0 0.00 0 0.5253 % 5,714.6
Floater 3.47 % 3.69 % 61,537 18.08 4 0.5253 % 3,293.3
OpRet 0.00 % 0.00 % 0 0.00 0 -0.0158 % 3,200.4
SplitShare 4.59 % 4.66 % 55,863 4.89 5 -0.0158 % 3,822.0
Interest-Bearing 0.00 % 0.00 % 0 0.00 0 -0.0158 % 2,982.1
Perpetual-Premium 5.64 % -12.26 % 61,803 0.09 9 -0.0183 % 2,911.1
Perpetual-Discount 5.40 % 5.50 % 56,633 14.64 26 -0.1676 % 2,979.8
FixedReset 4.30 % 4.62 % 131,041 4.13 106 -0.0494 % 2,563.5
Deemed-Retractible 5.16 % 6.06 % 61,127 5.44 27 -0.1220 % 2,967.6
FloatingReset 3.27 % 3.65 % 32,693 3.35 9 -0.0049 % 2,831.9
Performance Highlights
Issue Index Change Notes
CU.PR.C FixedReset -1.56 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2048-07-25
Maturity Price : 22.14
Evaluated at bid price : 22.65
Bid-YTW : 4.75 %
RY.PR.N Perpetual-Discount -1.34 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2048-07-25
Maturity Price : 23.87
Evaluated at bid price : 24.28
Bid-YTW : 5.02 %
TRP.PR.H FloatingReset -1.11 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2048-07-25
Maturity Price : 17.00
Evaluated at bid price : 17.00
Bid-YTW : 4.03 %
TRP.PR.C FixedReset -1.07 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2048-07-25
Maturity Price : 17.52
Evaluated at bid price : 17.52
Bid-YTW : 4.96 %
TRP.PR.E FixedReset -1.02 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2048-07-25
Maturity Price : 21.84
Evaluated at bid price : 22.35
Bid-YTW : 4.96 %
BAM.PR.K Floater 1.09 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2048-07-25
Maturity Price : 17.65
Evaluated at bid price : 17.65
Bid-YTW : 3.69 %
Volume Highlights
Issue Index Shares
Traded
Notes
TD.PF.D FixedReset 158,269 YTW SCENARIO
Maturity Type : Call
Maturity Date : 2020-07-31
Maturity Price : 25.00
Evaluated at bid price : 24.50
Bid-YTW : 4.64 %
TRP.PR.C FixedReset 76,743 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2048-07-25
Maturity Price : 17.52
Evaluated at bid price : 17.52
Bid-YTW : 4.96 %
TD.PF.C FixedReset 55,743 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2048-07-25
Maturity Price : 22.90
Evaluated at bid price : 23.32
Bid-YTW : 4.62 %
BAM.PR.T FixedReset 50,932 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2048-07-25
Maturity Price : 21.02
Evaluated at bid price : 21.02
Bid-YTW : 5.06 %
IFC.PR.A FixedReset 40,853 YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-01-31
Maturity Price : 25.00
Evaluated at bid price : 19.80
Bid-YTW : 7.70 %
TD.PF.B FixedReset 35,701 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2048-07-25
Maturity Price : 22.90
Evaluated at bid price : 23.45
Bid-YTW : 4.62 %
There were 17 other index-included issues trading in excess of 10,000 shares.
Wide Spread Highlights
Issue Index Quote Data and Yield Notes
MFC.PR.G FixedReset Quote: 24.28 – 24.92
Spot Rate : 0.6400
Average : 0.3884

YTW SCENARIO
Maturity Type : Call
Maturity Date : 2021-12-19
Maturity Price : 25.00
Evaluated at bid price : 24.28
Bid-YTW : 4.97 %

MFC.PR.H FixedReset Quote: 25.33 – 25.86
Spot Rate : 0.5300
Average : 0.3221

YTW SCENARIO
Maturity Type : Call
Maturity Date : 2022-03-19
Maturity Price : 25.00
Evaluated at bid price : 25.33
Bid-YTW : 4.99 %

RY.PR.N Perpetual-Discount Quote: 24.28 – 24.80
Spot Rate : 0.5200
Average : 0.3572

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2048-07-25
Maturity Price : 23.87
Evaluated at bid price : 24.28
Bid-YTW : 5.02 %

TRP.PR.H FloatingReset Quote: 17.00 – 17.50
Spot Rate : 0.5000
Average : 0.3488

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2048-07-25
Maturity Price : 17.00
Evaluated at bid price : 17.00
Bid-YTW : 4.03 %

SLF.PR.H FixedReset Quote: 22.00 – 22.40
Spot Rate : 0.4000
Average : 0.2705

YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-01-31
Maturity Price : 25.00
Evaluated at bid price : 22.00
Bid-YTW : 5.85 %

RY.PR.O Perpetual-Discount Quote: 24.68 – 25.00
Spot Rate : 0.3200
Average : 0.1940

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2048-07-25
Maturity Price : 24.22
Evaluated at bid price : 24.68
Bid-YTW : 4.94 %

AIM Preferreds Skyrocket on Bid for Aeroplan

Wednesday, July 25th, 2018

Air Canada wants Aeroplan back:

Air Canada has made a hostile bid to buy back Aeroplan at a heavily discounted price, 13 years after it spun off the popular Canadian loyalty rewards program.

Rather than starting from scratch, the airline and its partners Toronto-Dominion Bank, Canadian Imperial Bank of Commerce and Visa Canada Corp. are now offering to pay $250-million in cash to Aimia for a program that in 2005 had a $2-billion valuation through an initial public offering.

In response to Air Canada’s announcement, Aimia’s stock surged on Wednesday, climbing 36 per cent. Air Canada’s shares had a much more muted reaction, rising 1.4 per cent.

In the the offer announced Wednesday, Air Canada and its partners would assume a $2-billion outstanding liability on Aimia’s books for loyalty points that have not yet been redeemed. Aimia currently has $300-million in cash reserved to cover these liabilities.

Air Canada has set up a Q&A page on their website in addition to the consortium’s press release:

Air Canada, The Toronto-Dominion Bank (“TD”), Canadian Imperial Bank of Commerce (“CIBC”), and Visa Canada Corporation (“Visa”), on behalf of a corporation to be formed, have made a proposal to Aimia Inc. (“Aimia”) to acquire its Aeroplan loyalty business (including approximately $2 billion of Aeroplan points liability at March 31, 2018) for $250 million in cash (the “Proposed Transaction”), representing a total purchase price of approximately $2.25 billion.

The Proposed Transaction, if accepted by Aimia, will ensure value and continuity for their members as well as customers of Air Canada, TD, CIBC and Visa. The proposal implies an estimated market equivalent value of $3.64 per Aimia share, a 52.3% premium to the 30-day VWAP and a 45.6% premium to spot closing price as of July 24, 2018. The market equivalent value is comprised of the Aeroplan loyalty business proposal value of $1.64 per Aimia common share plus non Aeroplan loyalty program net assets valued at $2.00 per common share based on fair market value estimates contained in Mittleman Investment Management’s Q1 2018 investor letter.

Aimia has acknowledged receipt of the proposal:

Aimia Inc. (TSX: AIM), a data-driven marketing and loyalty analytics company, today confirms that it has received a conditional proposal from a consortium (the “Consortium”) consisting of Air Canada, The Toronto-Dominion Bank, Canadian Imperial Bank of Commerce and VISA Canada Corporation to acquire the Aeroplan loyalty program business (the “Proposal”), and acknowledges the press release issued by the Consortium earlier today with respect to the Proposal.

This public Proposal follows prior private engagement and discussions between Aimia and the Consortium. The Board of Directors of Aimia had formed a special committee of independent directors (the “Special Committee”) some time ago in connection with such engagement and discussions and had engaged legal and financial advisors. Further to its ongoing mandate, the Special Committee will consider this Proposal in consultation with its legal and financial advisors to assess whether the Proposal is in the best interests of shareholders and the Company as a whole and will make appropriate recommendations to the Board of Directors.

Given the nature of the Proposal, shareholders of Aimia do not need to and are advised not to take any action with respect to the Proposal at this time. Aimia intends to provide updates if and when necessary in accordance with applicable securities laws.

AIM preferreds jumped on the news:

AIM Preferreds Performance
Ticker Description Bid
2018-07-24
Bid
2018-07-25
Change
AIM.PR.A FixedReset
4.50%+375
11.24 17.05 +52%
AIM.PR.B FloatingReset
+375
11.45 17.00 +48%
AIM.PR.C FixedReset
6.25%+420
12.22 17.00 +39%

All three issues are tracked by HIMIPref™ but are relegated to the Scraps index on credit concerns.

Note that the bid is not for the company, but for the Aeroplan asset. If successful, the bid will change the balance sheet significantly – and just how good the preferreds will look at that point will be the topic of much speculation and puzzling over the balance sheet.

EMA.PR.C : Convert or Hold?

Tuesday, July 24th, 2018

It will be recalled that EMA.PR.C will reset at 4.721% effective August 15.

EMA.PR.C is a FixedReset, 4.10%+265, that commenced trading 2012-6-7 after being announced 2012-5-29. The extension was announced 2018-07-06 and the reset rate was set 2018-07-16. DBRS discontinued coverage of Emera in June, 2016. The preferreds are rated P-2(low) by S&P. It is tracked by HIMIPref™ but relegated to the Scraps 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., EMA.PR.C 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_180724
Click for Big

The market appears to be relatively uninterested in floating rate product; most of the implied rates until the next interconversion are scattered around the current 3-month bill rate and the averages for investment-grade and junk issues are similar, at +1.37% and +1.20%, respectively – slightly below the market rate. Whatever might be the result of the next few Bank of Canada overnight rate decisions, I suggest that it is unlikely that the average rate over the next five years will be lower than current – but if you disagree, of course, you may interpret the data any way you like.

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

If we plug in the current bid price of the EMA.PR.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 (received in exchange for EMA.PR.C) Trading Price In Current Conditions
  Assumed FloatingReset
Price if Implied Bill
is equal to
FixedReset Bid Price Spread 1.75% 1.25% 0.75%
EMA.PR.C 24.05 265bp 23.72 23.22 22.71

Based on current market conditions, I suggest that the FloatingResets that will result from conversion are likely to be cheap and trading below the price of their FixedReset counterparts. Therefore, I recommend that holders of EMA.PR.C continue to hold the issue and not to convert.

If you do wish to convert, note that the deadline for notifying the company is 5:00 p.m. (EDT) on July 31, 2018.. Brokerages and other intermediaries will normally set their internal deadlines a few days prior to this, so if you want to convert don’t waste any time! Such intermediaries may accept instructions after their internal deadline (but prior to the company deadline, of course) if you grovel in a sufficiently entertaining fashion, but this will only be done on a ‘best efforts’ basis.

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.

July 24, 2018

Tuesday, July 24th, 2018

I last mentioned this on 2016-11-30, so here’s an update on increased efficiency at McDonalds:

As minimum wage levels approach or surpass $15 nationwide, restaurant customers expecting to be greeted by a smiling face will instead be welcomed by a glowing LED screen.

As of 2020, self-service ordering kiosks will be implemented at all U.S. McDonald’s locations. Other chains, including fast-casual brands like Panera and casual-dining brands like Chili’s, have already embraced this trend. Some restaurant concepts have even automated the food-preparation process; earlier this year, NBC News profiled “Flippy,” a robot hamburger flipper. Other upcoming concepts include virtual restaurants which eliminate the need for full-service restaurants (and staff) by only offering home delivery.

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 -0.4000 % 3,098.0
FixedFloater 0.00 % 0.00 % 0 0.00 0 -0.4000 % 5,684.7
Floater 3.49 % 3.71 % 62,305 18.04 4 -0.4000 % 3,276.1
OpRet 0.00 % 0.00 % 0 0.00 0 0.0000 % 3,200.9
SplitShare 4.59 % 4.45 % 58,166 4.89 5 0.0000 % 3,822.6
Interest-Bearing 0.00 % 0.00 % 0 0.00 0 0.0000 % 2,982.5
Perpetual-Premium 5.63 % -14.65 % 62,543 0.09 9 0.0000 % 2,911.7
Perpetual-Discount 5.38 % 5.50 % 57,139 14.65 26 0.0361 % 2,984.8
FixedReset 4.29 % 4.62 % 131,676 4.16 106 0.0482 % 2,564.7
Deemed-Retractible 5.14 % 6.01 % 61,912 5.45 27 0.1030 % 2,971.2
FloatingReset 3.27 % 3.72 % 34,039 3.35 9 0.0891 % 2,832.0
Performance Highlights
Issue Index Change Notes
BAM.PR.K Floater -1.13 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2048-07-24
Maturity Price : 17.46
Evaluated at bid price : 17.46
Bid-YTW : 3.73 %
BAM.PR.B Floater -1.13 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2048-07-24
Maturity Price : 17.54
Evaluated at bid price : 17.54
Bid-YTW : 3.72 %
Volume Highlights
Issue Index Shares
Traded
Notes
BNS.PR.G FixedReset 99,912 YTW SCENARIO
Maturity Type : Call
Maturity Date : 2021-07-25
Maturity Price : 25.00
Evaluated at bid price : 26.34
Bid-YTW : 3.61 %
TRP.PR.K FixedReset 99,157 YTW SCENARIO
Maturity Type : Call
Maturity Date : 2022-05-31
Maturity Price : 25.00
Evaluated at bid price : 25.66
Bid-YTW : 4.38 %
BNS.PR.H FixedReset 73,758 YTW SCENARIO
Maturity Type : Call
Maturity Date : 2022-01-26
Maturity Price : 25.00
Evaluated at bid price : 26.15
Bid-YTW : 3.45 %
CM.PR.R FixedReset 54,672 YTW SCENARIO
Maturity Type : Call
Maturity Date : 2022-07-31
Maturity Price : 25.00
Evaluated at bid price : 25.22
Bid-YTW : 4.16 %
PWF.PR.Q FloatingReset 53,300 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2048-07-24
Maturity Price : 21.50
Evaluated at bid price : 21.87
Bid-YTW : 3.44 %
PWF.PR.T FixedReset 52,813 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2048-07-24
Maturity Price : 23.47
Evaluated at bid price : 24.21
Bid-YTW : 4.59 %
There were 17 other index-included issues trading in excess of 10,000 shares.
Wide Spread Highlights
Issue Index Quote Data and Yield Notes
MFC.PR.Q FixedReset Quote: 24.80 – 25.10
Spot Rate : 0.3000
Average : 0.2255

YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-01-31
Maturity Price : 25.00
Evaluated at bid price : 24.80
Bid-YTW : 4.94 %

IFC.PR.A FixedReset Quote: 19.70 – 20.00
Spot Rate : 0.3000
Average : 0.2433

YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-01-31
Maturity Price : 25.00
Evaluated at bid price : 19.70
Bid-YTW : 7.79 %

CU.PR.I FixedReset Quote: 25.85 – 26.10
Spot Rate : 0.2500
Average : 0.2034

YTW SCENARIO
Maturity Type : Call
Maturity Date : 2020-12-01
Maturity Price : 25.00
Evaluated at bid price : 25.85
Bid-YTW : 3.29 %

TRP.PR.J FixedReset Quote: 26.09 – 26.29
Spot Rate : 0.2000
Average : 0.1537

YTW SCENARIO
Maturity Type : Call
Maturity Date : 2021-05-31
Maturity Price : 25.00
Evaluated at bid price : 26.09
Bid-YTW : 4.19 %

GWO.PR.Q Deemed-Retractible Quote: 23.79 – 23.95
Spot Rate : 0.1600
Average : 0.1206

YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-01-31
Maturity Price : 25.00
Evaluated at bid price : 23.79
Bid-YTW : 6.16 %

TRP.PR.A FixedReset Quote: 20.21 – 20.50
Spot Rate : 0.2900
Average : 0.2527

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2048-07-24
Maturity Price : 20.21
Evaluated at bid price : 20.21
Bid-YTW : 4.95 %

July 23, 2018

Monday, July 23rd, 2018

Assiduous Readers will remember that I am following the Fortress receivership with great interest and today there was a new development:

Companies affiliated with Fortress Real Developments Inc. misled syndicated mortgage lenders about the value of land earmarked for real estate development projects, putting investors at risk of losing their money if the loans could not be repaid, the RCMP alleged in a search-warrant application filed in court in April.

In the Collier Centre condominium development in Barrie, Ont., the RCMP allege investors were told in 2012 that the “as is” value of the land was $21.9-million, but the RCMP believe the land was worth only about $7-million, according to the application.

Syndicated mortgage lenders provided $16.9-million in financing for the project, believing the amount was fully secured by the value of the land.

The plot thickens!

DBRS has confirmed Enbridge at Pfd-3(high):

DBRS Limited (DBRS) confirmed the Issuer Rating of Enbridge Inc. (ENB or the Company) at BBB (high) and the ratings on the Company’s Medium-Term Notes & Unsecured Debentures at BBB (high), Fixed-to-Floating Subordinated Notes at BBB (low), Cumulative Redeemable Preferred Shares at Pfd-3 (high) and Commercial Paper (CP) at R-2 (high), all with Stable trends.

The confirmations incorporate DBRS’s assessment of ENB’s strong business risk profile, which should benefit over the medium term from its strategic plan to reposition its asset mix to a pure regulated pipeline and utility business model (demonstrated by $7.5 billion of announced non-core asset sales to date) and completion of its current large portfolio of low-risk capital projects, combined with an improving financial risk profile that should benefit from ENB’s more conservative recent funding plan (including the expected $4.0 billion consolidated debt reduction), corporate simplification and the potential for reduced structural subordination at the ENB level over time. The Stable trends incorporate DBRS’s expectation that any incremental investments in new projects would be consistent with maintaining a strong overall business risk profile and medium-term improvement in key credit metrics with the completion of the current large capital expenditure (capex) program.

A positive rating action is unlikely without substantial reduction in structural subordination. DBRS expects ENB to meet its key target metrics of 15% funds from operations-to-debt and five times debt-to-EBITDA, likely in late 2018 or early 2019. A negative rating action is not expected over the medium term.

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 -0.2404 % 3,110.5
FixedFloater 0.00 % 0.00 % 0 0.00 0 -0.2404 % 5,707.6
Floater 3.47 % 3.67 % 64,297 18.13 4 -0.2404 % 3,289.3
OpRet 0.00 % 0.00 % 0 0.00 0 0.2216 % 3,200.9
SplitShare 4.59 % 4.42 % 58,174 4.90 5 0.2216 % 3,822.6
Interest-Bearing 0.00 % 0.00 % 0 0.00 0 0.2216 % 2,982.5
Perpetual-Premium 5.63 % -16.14 % 61,712 0.09 9 0.0567 % 2,911.7
Perpetual-Discount 5.38 % 5.50 % 56,089 14.66 26 -0.0066 % 2,983.8
FixedReset 4.29 % 4.65 % 127,869 4.14 106 0.1833 % 2,563.5
Deemed-Retractible 5.14 % 6.01 % 64,129 5.45 27 -0.1636 % 2,968.2
FloatingReset 3.27 % 3.75 % 34,727 3.36 9 0.1189 % 2,829.5
Performance Highlights
Issue Index Change Notes
SLF.PR.I FixedReset -1.47 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-01-31
Maturity Price : 25.00
Evaluated at bid price : 24.19
Bid-YTW : 4.90 %
MFC.PR.N FixedReset 1.02 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-01-31
Maturity Price : 25.00
Evaluated at bid price : 23.75
Bid-YTW : 5.26 %
BAM.PR.X FixedReset 1.02 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2048-07-23
Maturity Price : 18.75
Evaluated at bid price : 18.75
Bid-YTW : 4.92 %
BMO.PR.Y FixedReset 1.19 % YTW SCENARIO
Maturity Type : Call
Maturity Date : 2020-08-25
Maturity Price : 25.00
Evaluated at bid price : 24.70
Bid-YTW : 4.74 %
RY.PR.M FixedReset 1.24 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2048-07-23
Maturity Price : 23.31
Evaluated at bid price : 24.50
Bid-YTW : 4.67 %
MFC.PR.L FixedReset 1.24 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-01-31
Maturity Price : 25.00
Evaluated at bid price : 22.82
Bid-YTW : 5.95 %
NA.PR.G FixedReset 1.37 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2048-07-23
Maturity Price : 23.19
Evaluated at bid price : 25.14
Bid-YTW : 4.82 %
SLF.PR.G FixedReset 1.53 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-01-31
Maturity Price : 25.00
Evaluated at bid price : 19.85
Bid-YTW : 7.19 %
EMA.PR.H FixedReset 2.80 % YTW SCENARIO
Maturity Type : Call
Maturity Date : 2023-08-15
Maturity Price : 25.00
Evaluated at bid price : 25.70
Bid-YTW : 4.46 %
Volume Highlights
Issue Index Shares
Traded
Notes
TRP.PR.K FixedReset 106,825 YTW SCENARIO
Maturity Type : Call
Maturity Date : 2022-05-31
Maturity Price : 25.00
Evaluated at bid price : 25.56
Bid-YTW : 4.49 %
RY.PR.Z FixedReset 90,848 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2048-07-23
Maturity Price : 23.17
Evaluated at bid price : 23.78
Bid-YTW : 4.56 %
TD.PF.C FixedReset 79,653 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2048-07-23
Maturity Price : 22.92
Evaluated at bid price : 23.34
Bid-YTW : 4.61 %
MFC.PR.B Deemed-Retractible 75,456 YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-01-31
Maturity Price : 25.00
Evaluated at bid price : 21.92
Bid-YTW : 7.17 %
TD.PF.I FixedReset 66,044 YTW SCENARIO
Maturity Type : Call
Maturity Date : 2022-10-31
Maturity Price : 25.00
Evaluated at bid price : 25.29
Bid-YTW : 4.20 %
MFC.PR.F FixedReset 62,800 YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-01-31
Maturity Price : 25.00
Evaluated at bid price : 19.15
Bid-YTW : 7.55 %
There were 18 other index-included issues trading in excess of 10,000 shares.
Wide Spread Highlights
Issue Index Quote Data and Yield Notes
IFC.PR.C FixedReset Quote: 23.35 – 23.86
Spot Rate : 0.5100
Average : 0.3499

YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-01-31
Maturity Price : 25.00
Evaluated at bid price : 23.35
Bid-YTW : 5.32 %

BAM.PF.E FixedReset Quote: 23.52 – 23.97
Spot Rate : 0.4500
Average : 0.3024

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2048-07-23
Maturity Price : 23.13
Evaluated at bid price : 23.52
Bid-YTW : 4.95 %

SLF.PR.I FixedReset Quote: 24.19 – 24.50
Spot Rate : 0.3100
Average : 0.1935

YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2025-01-31
Maturity Price : 25.00
Evaluated at bid price : 24.19
Bid-YTW : 4.90 %

PWF.PR.A Floater Quote: 21.60 – 22.00
Spot Rate : 0.4000
Average : 0.3023

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2048-07-23
Maturity Price : 21.33
Evaluated at bid price : 21.60
Bid-YTW : 3.00 %

RY.PR.L FixedReset Quote: 25.23 – 25.50
Spot Rate : 0.2700
Average : 0.1829

YTW SCENARIO
Maturity Type : Call
Maturity Date : 2019-02-24
Maturity Price : 25.00
Evaluated at bid price : 25.23
Bid-YTW : 3.87 %

BAM.PR.R FixedReset Quote: 20.77 – 21.01
Spot Rate : 0.2400
Average : 0.1606

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2048-07-23
Maturity Price : 20.77
Evaluated at bid price : 20.77
Bid-YTW : 5.08 %