Archive for April, 2019

April 30, 2019

Tuesday, April 30th, 2019
HIMIPref™ Preferred Indices
These values reflect the December 2008 revision of the HIMIPref™ Indices

Values are provisional and are finalized monthly
Index Mean
Current
Yield
(at bid)
Median
YTW
Median
Average
Trading
Value
Median
Mod Dur
(YTW)
Issues Day’s Perf. Index Value
Ratchet 0.00 % 0.00 % 0 0.00 0 -0.1625 % 2,088.2
FixedFloater 0.00 % 0.00 % 0 0.00 0 -0.1625 % 3,831.8
Floater 5.63 % 5.98 % 50,232 13.90 3 -0.1625 % 2,208.3
OpRet 0.00 % 0.00 % 0 0.00 0 -0.0298 % 3,282.1
SplitShare 4.88 % 4.84 % 72,432 3.78 8 -0.0298 % 3,919.5
Interest-Bearing 0.00 % 0.00 % 0 0.00 0 -0.0298 % 3,058.2
Perpetual-Premium 5.58 % -7.21 % 95,804 0.09 10 0.0788 % 2,957.6
Perpetual-Discount 5.42 % 5.48 % 77,011 14.64 23 -0.2553 % 3,102.9
FixedReset Disc 5.26 % 5.31 % 182,113 15.02 61 -0.0781 % 2,193.8
Deemed-Retractible 5.22 % 5.79 % 108,311 8.09 27 -0.0914 % 3,079.1
FloatingReset 4.24 % 4.27 % 50,183 2.64 5 -0.1296 % 2,408.9
FixedReset Prem 5.07 % 3.82 % 280,719 2.18 23 -0.0520 % 2,587.7
FixedReset Bank Non 1.98 % 3.91 % 149,334 2.66 3 -0.1628 % 2,640.5
FixedReset Ins Non 5.00 % 6.72 % 101,233 8.24 22 -0.0296 % 2,256.5
Performance Highlights
Issue Index Change Notes
BAM.PR.M Perpetual-Discount -2.16 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-04-30
Maturity Price : 20.40
Evaluated at bid price : 20.40
Bid-YTW : 5.90 %
BAM.PR.T FixedReset Disc -2.01 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-04-30
Maturity Price : 16.05
Evaluated at bid price : 16.05
Bid-YTW : 5.98 %
SLF.PR.G FixedReset Ins Non -1.99 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2030-01-31
Maturity Price : 25.00
Evaluated at bid price : 14.80
Bid-YTW : 8.90 %
CCS.PR.C Deemed-Retractible -1.95 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2030-01-31
Maturity Price : 25.00
Evaluated at bid price : 23.10
Bid-YTW : 6.06 %
BAM.PF.D Perpetual-Discount -1.84 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-04-30
Maturity Price : 21.35
Evaluated at bid price : 21.35
Bid-YTW : 5.81 %
IFC.PR.E Deemed-Retractible -1.73 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2030-01-31
Maturity Price : 25.00
Evaluated at bid price : 23.88
Bid-YTW : 5.86 %
GWO.PR.S Deemed-Retractible -1.38 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2030-01-31
Maturity Price : 25.00
Evaluated at bid price : 24.31
Bid-YTW : 5.68 %
BAM.PR.N Perpetual-Discount -1.25 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-04-30
Maturity Price : 20.55
Evaluated at bid price : 20.55
Bid-YTW : 5.85 %
EML.PR.A FixedReset Ins Non -1.23 % YTW SCENARIO
Maturity Type : Call
Maturity Date : 2021-04-17
Maturity Price : 25.00
Evaluated at bid price : 25.60
Bid-YTW : 4.59 %
BAM.PR.X FixedReset Disc -1.20 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-04-30
Maturity Price : 14.05
Evaluated at bid price : 14.05
Bid-YTW : 5.82 %
BAM.PF.C Perpetual-Discount -1.08 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-04-30
Maturity Price : 21.10
Evaluated at bid price : 21.10
Bid-YTW : 5.82 %
TD.PF.C FixedReset Disc -1.06 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-04-30
Maturity Price : 18.60
Evaluated at bid price : 18.60
Bid-YTW : 5.14 %
TRP.PR.G FixedReset Disc -1.04 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-04-30
Maturity Price : 19.05
Evaluated at bid price : 19.05
Bid-YTW : 5.93 %
BMO.PR.W FixedReset Disc -1.04 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-04-30
Maturity Price : 18.10
Evaluated at bid price : 18.10
Bid-YTW : 5.22 %
NA.PR.E FixedReset Disc 1.06 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-04-30
Maturity Price : 20.06
Evaluated at bid price : 20.06
Bid-YTW : 5.30 %
BMO.PR.D FixedReset Disc 1.18 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-04-30
Maturity Price : 22.02
Evaluated at bid price : 22.40
Bid-YTW : 5.19 %
BMO.PR.T FixedReset Disc 1.28 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-04-30
Maturity Price : 18.29
Evaluated at bid price : 18.29
Bid-YTW : 5.19 %
GWO.PR.T Deemed-Retractible 1.40 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2030-01-31
Maturity Price : 25.00
Evaluated at bid price : 23.90
Bid-YTW : 5.79 %
TD.PF.J FixedReset Disc 2.00 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-04-30
Maturity Price : 21.42
Evaluated at bid price : 21.42
Bid-YTW : 5.11 %
Volume Highlights
Issue Index Shares
Traded
Notes
TD.PF.C FixedReset Disc 97,169 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-04-30
Maturity Price : 18.60
Evaluated at bid price : 18.60
Bid-YTW : 5.14 %
GWO.PR.G Deemed-Retractible 85,200 YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2030-01-31
Maturity Price : 25.00
Evaluated at bid price : 24.15
Bid-YTW : 5.71 %
PWF.PR.L Perpetual-Discount 82,259 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-04-30
Maturity Price : 22.93
Evaluated at bid price : 23.20
Bid-YTW : 5.52 %
BMO.PR.F FixedReset Prem 67,005 YTW SCENARIO
Maturity Type : Call
Maturity Date : 2024-05-25
Maturity Price : 25.00
Evaluated at bid price : 25.30
Bid-YTW : 4.90 %
RY.PR.J FixedReset Disc 65,665 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-04-30
Maturity Price : 20.63
Evaluated at bid price : 20.63
Bid-YTW : 5.17 %
CM.PR.R FixedReset Disc 62,896 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-04-30
Maturity Price : 22.18
Evaluated at bid price : 22.64
Bid-YTW : 5.33 %
There were 36 other index-included issues trading in excess of 10,000 shares.
Wide Spread Highlights
Issue Index Quote Data and Yield Notes
BAM.PF.D Perpetual-Discount Quote: 21.35 – 21.97
Spot Rate : 0.6200
Average : 0.4603

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-04-30
Maturity Price : 21.35
Evaluated at bid price : 21.35
Bid-YTW : 5.81 %

CCS.PR.C Deemed-Retractible Quote: 23.10 – 23.76
Spot Rate : 0.6600
Average : 0.5069

YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2030-01-31
Maturity Price : 25.00
Evaluated at bid price : 23.10
Bid-YTW : 6.06 %

PVS.PR.F SplitShare Quote: 25.03 – 25.38
Spot Rate : 0.3500
Average : 0.2053

YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2024-09-30
Maturity Price : 25.00
Evaluated at bid price : 25.03
Bid-YTW : 4.95 %

IFC.PR.E Deemed-Retractible Quote: 23.88 – 24.27
Spot Rate : 0.3900
Average : 0.2627

YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2030-01-31
Maturity Price : 25.00
Evaluated at bid price : 23.88
Bid-YTW : 5.86 %

IAF.PR.B Deemed-Retractible Quote: 21.85 – 22.20
Spot Rate : 0.3500
Average : 0.2365

YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2030-01-31
Maturity Price : 25.00
Evaluated at bid price : 21.85
Bid-YTW : 6.31 %

EIT.PR.B SplitShare Quote: 24.96 – 25.29
Spot Rate : 0.3300
Average : 0.2171

YTW SCENARIO
Maturity Type : Soft Maturity
Maturity Date : 2025-03-14
Maturity Price : 25.00
Evaluated at bid price : 24.96
Bid-YTW : 4.98 %

April 29, 2019

Monday, April 29th, 2019

CPX has acquired a generation facility:

Capital Power Corporation (Capital Power or the Company) (TSX: CPX) announced today that it has entered into an agreement to acquire Goreway Power Station Holdings Inc., which owns the Goreway Power Station, an 875 megawatt (MW) natural gas combined cycle generation facility. Goreway Power Station Holdings Inc. is jointly owned by JERA Co. Inc., and Toyota Tsusho Corporation. The purchase price is $387 million in total cash consideration, subject to working capital and other closing adjustments, and the assumption of $590 million of project level debt (the Acquisition). The Acquisition is expected to close in the second quarter of 2019 and is subject to regulatory approvals and other customary closing conditions.

DBRS comments:

The Acquisition is expected to result in a modest improvement in CPC’s business risk profile by increasing (1) diversification out of the volatile Alberta market, (2) contracted revenues and (3) average contract length. DBRS views CPC’s financing plan for the Acquisition as having a neutral effect on the Company’s financial metrics. Overall, DBRS believes that the Acquisition will have a neutral impact on CPC’s credit assessment if the following occurs: (1) CPC effectively integrates the Facility into its portfolio; (2) the Acquisition is funded as planned at the announced transaction price; (3) the Facility is able to distribute cash to CPC as expected and (4) the project-level debt is non-recourse to CPC. DBRS notes that future material acquisitions by CPC without the issuance of additional common equity could negatively affect its financial metrics, which could result in DBRS taking a negative rating action.

There was a nice little pop in TXPR at the close today, but nothing special in the great scheme of things:

txpr_190429
Click for Big

There were a lot of MOC Imbalances, but very few of them were for more than 100 shares. I have no idea what that might have been about … the only thing that occurs to me is ‘software testing’.

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 -0.3240 % 2,091.6
FixedFloater 0.00 % 0.00 % 0 0.00 0 -0.3240 % 3,838.1
Floater 5.62 % 5.97 % 52,122 13.92 3 -0.3240 % 2,211.9
OpRet 0.00 % 0.00 % 0 0.00 0 0.0050 % 3,283.1
SplitShare 4.88 % 4.84 % 72,422 3.79 8 0.0050 % 3,920.7
Interest-Bearing 0.00 % 0.00 % 0 0.00 0 0.0050 % 3,059.1
Perpetual-Premium 5.59 % -10.56 % 94,754 0.09 10 0.1184 % 2,955.3
Perpetual-Discount 5.40 % 5.47 % 79,507 14.64 23 0.1054 % 3,110.9
FixedReset Disc 5.24 % 5.34 % 179,811 14.98 61 -0.0713 % 2,195.5
Deemed-Retractible 5.22 % 5.76 % 109,680 8.10 27 0.1168 % 3,081.9
FloatingReset 4.23 % 4.36 % 50,754 2.64 5 -0.2586 % 2,412.1
FixedReset Prem 5.07 % 3.76 % 282,622 2.19 23 -0.0254 % 2,589.0
FixedReset Bank Non 1.98 % 3.94 % 139,157 2.66 3 -0.3461 % 2,644.8
FixedReset Ins Non 4.99 % 6.75 % 104,916 8.25 22 -0.2523 % 2,257.2
Performance Highlights
Issue Index Change Notes
IFC.PR.C FixedReset Ins Non -2.87 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2030-01-31
Maturity Price : 25.00
Evaluated at bid price : 18.60
Bid-YTW : 7.56 %
TD.PF.J FixedReset Disc -2.78 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-04-29
Maturity Price : 21.00
Evaluated at bid price : 21.00
Bid-YTW : 5.21 %
IFC.PR.G FixedReset Ins Non -2.34 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2030-01-31
Maturity Price : 25.00
Evaluated at bid price : 20.41
Bid-YTW : 7.01 %
MFC.PR.K FixedReset Ins Non -1.78 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2030-01-31
Maturity Price : 25.00
Evaluated at bid price : 19.35
Bid-YTW : 7.24 %
GWO.PR.T Deemed-Retractible -1.38 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2030-01-31
Maturity Price : 25.00
Evaluated at bid price : 23.57
Bid-YTW : 5.96 %
TRP.PR.F FloatingReset -1.35 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-04-29
Maturity Price : 14.66
Evaluated at bid price : 14.66
Bid-YTW : 6.22 %
BAM.PF.F FixedReset Disc -1.33 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-04-29
Maturity Price : 19.26
Evaluated at bid price : 19.26
Bid-YTW : 5.80 %
MFC.PR.J FixedReset Ins Non -1.14 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2030-01-31
Maturity Price : 25.00
Evaluated at bid price : 20.76
Bid-YTW : 6.75 %
BMO.PR.T FixedReset Disc -1.13 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-04-29
Maturity Price : 18.30
Evaluated at bid price : 18.30
Bid-YTW : 5.28 %
BAM.PF.E FixedReset Disc -1.11 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-04-29
Maturity Price : 17.80
Evaluated at bid price : 17.80
Bid-YTW : 5.85 %
PWF.PR.T FixedReset Disc -1.09 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-04-29
Maturity Price : 19.03
Evaluated at bid price : 19.03
Bid-YTW : 5.18 %
MFC.PR.L FixedReset Ins Non 1.13 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2030-01-31
Maturity Price : 25.00
Evaluated at bid price : 17.86
Bid-YTW : 7.77 %
CCS.PR.C Deemed-Retractible 1.25 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2030-01-31
Maturity Price : 25.00
Evaluated at bid price : 23.56
Bid-YTW : 5.81 %
SLF.PR.B Deemed-Retractible 1.30 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2030-01-31
Maturity Price : 25.00
Evaluated at bid price : 22.65
Bid-YTW : 6.09 %
BIP.PR.A FixedReset Disc 1.62 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-04-29
Maturity Price : 20.65
Evaluated at bid price : 20.65
Bid-YTW : 6.22 %
SLF.PR.G FixedReset Ins Non 1.82 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2030-01-31
Maturity Price : 25.00
Evaluated at bid price : 15.10
Bid-YTW : 8.66 %
IAF.PR.I FixedReset Ins Non 2.13 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2030-01-31
Maturity Price : 25.00
Evaluated at bid price : 22.58
Bid-YTW : 5.81 %
Volume Highlights
Issue Index Shares
Traded
Notes
BMO.PR.F FixedReset Prem 116,709 YTW SCENARIO
Maturity Type : Call
Maturity Date : 2024-05-25
Maturity Price : 25.00
Evaluated at bid price : 25.36
Bid-YTW : 4.84 %
BMO.PR.D FixedReset Disc 77,850 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-04-29
Maturity Price : 22.02
Evaluated at bid price : 22.41
Bid-YTW : 5.27 %
W.PR.M FixedReset Prem 61,745 YTW SCENARIO
Maturity Type : Call
Maturity Date : 2021-10-15
Maturity Price : 25.00
Evaluated at bid price : 25.65
Bid-YTW : 4.19 %
TD.PF.H FixedReset Prem 36,990 YTW SCENARIO
Maturity Type : Call
Maturity Date : 2021-10-31
Maturity Price : 25.00
Evaluated at bid price : 25.70
Bid-YTW : 3.68 %
BMO.PR.S FixedReset Disc 36,158 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-04-29
Maturity Price : 19.10
Evaluated at bid price : 19.10
Bid-YTW : 5.17 %
RY.PR.J FixedReset Disc 33,502 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-04-29
Maturity Price : 20.77
Evaluated at bid price : 20.77
Bid-YTW : 5.13 %
There were 23 other index-included issues trading in excess of 10,000 shares.
Wide Spread Highlights
Issue Index Quote Data and Yield Notes
TD.PF.J FixedReset Disc Quote: 21.00 – 21.90
Spot Rate : 0.9000
Average : 0.5763

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-04-29
Maturity Price : 21.00
Evaluated at bid price : 21.00
Bid-YTW : 5.21 %

BAM.PF.F FixedReset Disc Quote: 19.26 – 19.93
Spot Rate : 0.6700
Average : 0.4514

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-04-29
Maturity Price : 19.26
Evaluated at bid price : 19.26
Bid-YTW : 5.80 %

HSE.PR.A FixedReset Disc Quote: 12.65 – 13.11
Spot Rate : 0.4600
Average : 0.2844

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-04-29
Maturity Price : 12.65
Evaluated at bid price : 12.65
Bid-YTW : 6.35 %

IFC.PR.C FixedReset Ins Non Quote: 18.60 – 19.00
Spot Rate : 0.4000
Average : 0.2565

YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2030-01-31
Maturity Price : 25.00
Evaluated at bid price : 18.60
Bid-YTW : 7.56 %

GWO.PR.T Deemed-Retractible Quote: 23.57 – 23.98
Spot Rate : 0.4100
Average : 0.2730

YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2030-01-31
Maturity Price : 25.00
Evaluated at bid price : 23.57
Bid-YTW : 5.96 %

IFC.PR.G FixedReset Ins Non Quote: 20.41 – 20.95
Spot Rate : 0.5400
Average : 0.4048

YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2030-01-31
Maturity Price : 25.00
Evaluated at bid price : 20.41
Bid-YTW : 7.01 %

LCS.PR.A Resets to 6.25%

Monday, April 29th, 2019

Brompton Group has announced (on February 28):

Brompton Lifeco Split Corp. (the “Fund”) announces that the distribution rate for the preferred shares (the “Preferred Shares”) for the 5-year term from April 30, 2019 to April 29, 2024 will be $0.625 per preferred share per annum (6.25% on the original issue price of $10) payable quarterly. The Preferred Share distribution rate is based on current market rates for preferred shares with similar terms. The Fund previously announced the extension of the term of the class A shares (the “Class A Shares”) and the Preferred Shares from April 30, 2019 to April 29, 2024. The term extension offers preferred shareholders the opportunity to enjoy preferential cash dividends until April 29, 2024. Since inception in April 2007 to January 31, 2019, the Preferred Share has delivered a 5.6% per annum return. In addition, the Fund intends to maintain the targeted monthly Class A Share distribution rate at $0.075 per Class A Share when the net asset value per unit (consisting of one Class A Share and one Preferred Share) is greater than $15.00, after taking in consideration the payment of the Class A Share distribution.

Over the past 10-year period to January 31, 2019, the Class A share has outperformed the S&P/TSX Composite Index (the “TSX Composite”) by 5.7% per annum (LCS 14.8% per annum, TSX Composite 9.1% per annum). The Preferred share has delivered consistent returns with less volatility and has outperformed the S&P/TSX Preferred Share Index over the past 10-year period by 1.8% per annum. Since inception on April 18, 2007 to January 31, 2019, Class A shareholders have received cash distributions of $5.73 per share. Class A shareholders have the option to benefit by reinvesting their cash distributions in a distribution reinvestment plan (“DRIP”) which is commission free to participants. Class A shareholders can enroll in the DRIP program by contacting their investment advisor.

The Fund invests in a portfolio of common shares of Canada’s four largest publicly-listed life insurance companies, on an approximately equal weight basis: Great-West Lifeco Inc., Industrial Alliance Insurance and Financial Services Inc., Manulife Financial Corporation and Sun Life Financial Inc.

In connection with the extension, shareholders who do not wish to continue their investment in the Fund, may retract their Preferred Shares or Class A Shares on April 29, 2019 pursuant to a special retraction right and receive a retraction price that is calculated in the same way that such price would be calculated if the Fund were to terminate on April 29, 2019. Pursuant to this option, the retraction price may be less than the market price if the security is trading at a premium to net asset value. Notice must be provided to your investment dealer by March 29, 2019 at 5:00 p.m. (Toronto time) in order to exercise this right; however, investment dealers may have earlier deadlines.

LCS.PR.A was added to the HIMIPref™ database in October, 2014, backdated to 2014-5-1, following its term extension and treasury offering earlier in the year. Capital Units dividends were suspended in January 2015, but reinstated in November, 2016. The company announced the five year extension in Marcy, 2018. The issue is tracked by HIMIPref™ but relegated to the Scraps – Splitshares subindex on credit concerns.

April 26, 2019

Friday, April 26th, 2019
HIMIPref™ Preferred Indices
These values reflect the December 2008 revision of the HIMIPref™ Indices

Values are provisional and are finalized monthly
Index Mean
Current
Yield
(at bid)
Median
YTW
Median
Average
Trading
Value
Median
Mod Dur
(YTW)
Issues Day’s Perf. Index Value
Ratchet 0.00 % 0.00 % 0 0.00 0 0.1893 % 2,098.4
FixedFloater 0.00 % 0.00 % 0 0.00 0 0.1893 % 3,850.5
Floater 5.60 % 5.95 % 50,097 13.96 3 0.1893 % 2,219.1
OpRet 0.00 % 0.00 % 0 0.00 0 -0.0149 % 3,282.9
SplitShare 4.88 % 4.79 % 73,541 3.79 8 -0.0149 % 3,920.5
Interest-Bearing 0.00 % 0.00 % 0 0.00 0 -0.0149 % 3,058.9
Perpetual-Premium 5.59 % -9.33 % 94,687 0.09 10 0.0908 % 2,951.8
Perpetual-Discount 5.41 % 5.47 % 79,972 14.64 23 0.0490 % 3,107.6
FixedReset Disc 5.24 % 5.40 % 184,599 14.91 61 0.0352 % 2,197.1
Deemed-Retractible 5.22 % 5.78 % 112,016 8.11 27 0.1217 % 3,078.3
FloatingReset 4.22 % 4.38 % 51,485 2.65 5 0.6398 % 2,418.3
FixedReset Prem 5.07 % 3.69 % 284,301 2.20 23 0.0373 % 2,589.7
FixedReset Bank Non 1.97 % 3.97 % 140,544 2.67 3 0.2081 % 2,654.0
FixedReset Ins Non 4.98 % 6.65 % 102,758 8.24 22 0.3329 % 2,262.9
Performance Highlights
Issue Index Change Notes
MFC.PR.F FixedReset Ins Non -1.49 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2030-01-31
Maturity Price : 25.00
Evaluated at bid price : 14.53
Bid-YTW : 9.04 %
BAM.PF.F FixedReset Disc -1.41 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-04-26
Maturity Price : 19.52
Evaluated at bid price : 19.52
Bid-YTW : 5.81 %
TRP.PR.B FixedReset Disc -1.28 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-04-26
Maturity Price : 12.37
Evaluated at bid price : 12.37
Bid-YTW : 5.83 %
NA.PR.W FixedReset Disc -1.19 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-04-26
Maturity Price : 17.39
Evaluated at bid price : 17.39
Bid-YTW : 5.58 %
CM.PR.P FixedReset Disc -1.11 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-04-26
Maturity Price : 17.83
Evaluated at bid price : 17.83
Bid-YTW : 5.44 %
TRP.PR.D FixedReset Disc 1.00 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-04-26
Maturity Price : 17.09
Evaluated at bid price : 17.09
Bid-YTW : 5.89 %
BIP.PR.F FixedReset Disc 1.06 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-04-26
Maturity Price : 21.54
Evaluated at bid price : 21.85
Bid-YTW : 5.89 %
MFC.PR.K FixedReset Ins Non 1.13 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2030-01-31
Maturity Price : 25.00
Evaluated at bid price : 19.70
Bid-YTW : 7.06 %
HSE.PR.E FixedReset Disc 1.13 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-04-26
Maturity Price : 20.53
Evaluated at bid price : 20.53
Bid-YTW : 6.36 %
BIP.PR.D FixedReset Disc 1.27 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-04-26
Maturity Price : 22.57
Evaluated at bid price : 23.20
Bid-YTW : 5.78 %
HSE.PR.G FixedReset Disc 1.30 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-04-26
Maturity Price : 20.26
Evaluated at bid price : 20.26
Bid-YTW : 6.38 %
CCS.PR.C Deemed-Retractible 1.39 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2030-01-31
Maturity Price : 25.00
Evaluated at bid price : 23.27
Bid-YTW : 5.96 %
MFC.PR.Q FixedReset Ins Non 1.42 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2030-01-31
Maturity Price : 25.00
Evaluated at bid price : 20.65
Bid-YTW : 6.82 %
IFC.PR.G FixedReset Ins Non 1.46 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2030-01-31
Maturity Price : 25.00
Evaluated at bid price : 20.90
Bid-YTW : 6.75 %
TRP.PR.A FixedReset Disc 1.76 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-04-26
Maturity Price : 15.06
Evaluated at bid price : 15.06
Bid-YTW : 5.93 %
MFC.PR.M FixedReset Ins Non 1.78 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2030-01-31
Maturity Price : 25.00
Evaluated at bid price : 18.92
Bid-YTW : 7.38 %
MFC.PR.J FixedReset Ins Non 2.09 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2030-01-31
Maturity Price : 25.00
Evaluated at bid price : 21.00
Bid-YTW : 6.65 %
PWF.PR.Q FloatingReset 4.32 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-04-26
Maturity Price : 14.50
Evaluated at bid price : 14.50
Bid-YTW : 5.67 %
Volume Highlights
Issue Index Shares
Traded
Notes
BMO.PR.S FixedReset Disc 114,000 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-04-26
Maturity Price : 19.10
Evaluated at bid price : 19.10
Bid-YTW : 5.26 %
CM.PR.R FixedReset Disc 95,900 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-04-26
Maturity Price : 22.19
Evaluated at bid price : 22.65
Bid-YTW : 5.39 %
BAM.PF.I FixedReset Prem 93,500 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-04-26
Maturity Price : 23.26
Evaluated at bid price : 24.65
Bid-YTW : 5.42 %
BAM.PF.H FixedReset Prem 80,300 YTW SCENARIO
Maturity Type : Call
Maturity Date : 2020-12-31
Maturity Price : 25.00
Evaluated at bid price : 25.50
Bid-YTW : 3.99 %
GWO.PR.S Deemed-Retractible 65,900 YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2030-01-31
Maturity Price : 25.00
Evaluated at bid price : 24.60
Bid-YTW : 5.53 %
CM.PR.T FixedReset Prem 65,400 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-04-26
Maturity Price : 23.28
Evaluated at bid price : 25.36
Bid-YTW : 4.84 %
There were 41 other index-included issues trading in excess of 10,000 shares.
Wide Spread Highlights
Issue Index Quote Data and Yield Notes
IAF.PR.I FixedReset Ins Non Quote: 22.11 – 22.59
Spot Rate : 0.4800
Average : 0.3063

YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2030-01-31
Maturity Price : 25.00
Evaluated at bid price : 22.11
Bid-YTW : 6.11 %

TD.PF.B FixedReset Disc Quote: 18.48 – 18.78
Spot Rate : 0.3000
Average : 0.2085

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-04-26
Maturity Price : 18.48
Evaluated at bid price : 18.48
Bid-YTW : 5.29 %

TD.PF.D FixedReset Disc Quote: 21.21 – 21.52
Spot Rate : 0.3100
Average : 0.2222

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-04-26
Maturity Price : 21.21
Evaluated at bid price : 21.21
Bid-YTW : 5.15 %

SLF.PR.B Deemed-Retractible Quote: 22.36 – 22.75
Spot Rate : 0.3900
Average : 0.3024

YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2030-01-31
Maturity Price : 25.00
Evaluated at bid price : 22.36
Bid-YTW : 6.24 %

MFC.PR.F FixedReset Ins Non Quote: 14.53 – 14.82
Spot Rate : 0.2900
Average : 0.2090

YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2030-01-31
Maturity Price : 25.00
Evaluated at bid price : 14.53
Bid-YTW : 9.04 %

TD.PF.J FixedReset Disc Quote: 21.60 – 21.90
Spot Rate : 0.3000
Average : 0.2214

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-04-26
Maturity Price : 21.31
Evaluated at bid price : 21.60
Bid-YTW : 5.11 %

BMO.PR.S To Reset At 3.852%

Friday, April 26th, 2019

Bank of Montreal has announced:

the applicable dividend rates for its Non-Cumulative 5-Year Rate Reset Class B Preferred Shares, Series 27 (the “Preferred Shares Series 27”) and Non-Cumulative Floating Rate Class B Preferred Shares, Series 28 (the “Preferred Shares Series 28”).

With respect to any Preferred Shares Series 27 that remain outstanding after May 25, 2019, commencing as of such date, holders thereof will be entitled to receive fixed rate non-cumulative preferential cash dividends on a quarterly basis, as and when declared by the Board of Directors of the Bank and subject to the provisions of the Bank Act (Canada). The dividend rate for the five-year period commencing on May 25, 2019, and ending on May 24, 2024, will be 3.852 per cent, being equal to the sum of the five-year Government of Canada bond yield as at April 25, 2019, plus 2.33 per cent, as determined in accordance with the terms of the Preferred Shares Series 27.

With respect to any Preferred Shares Series 28 that may be issued on May 27, 2019, being the first business day following the conversion date of May 25, 2019, identified in the Preferred Shares Series 27 prospectus, which falls on a Saturday, holders thereof will be entitled to receive floating rate non-cumulative preferential cash dividends on a quarterly basis, calculated on the basis of the actual number of days elapsed in each quarterly floating rate period divided by 365, as and when declared by the Board of Directors of the Bank and subject to the provisions of the Bank Act (Canada). The dividend rate for the three-month period commencing on May 25, 2019, and ending on August 24, 2019, will be 4.002 per cent, being equal to the sum of the three-month Government of Canada Treasury bill yield as at April 25, 2019, plus 2.33 per cent, as determined in accordance with the terms of the Preferred Shares Series 28.

Beneficial owners of Preferred Shares Series 27 who wish to exercise their right of conversion should communicate as soon as possible with their broker or other nominee and ensure that they follow their instructions in order to ensure that they meet the deadline to exercise such right, which is 5:00 p.m. (EDT) on May 10, 2019.

Conversion enquiries should be directed to BMO’s Registrar and Transfer Agent, Computershare Trust Company of Canada, at 1-800-340-5021.

They previously announced:

that it does not intend to exercise its right to redeem the currently outstanding Non-Cumulative 5-Year Rate Reset Class B Preferred Shares, Series 27 of the Bank (the “Preferred Shares Series 27”) on May 25, 2019. As a result, subject to certain conditions, the holders of Preferred Shares Series 27 have the right, at their option, to convert all or part of their Preferred Shares Series 27 on a one-for-one basis into Non-Cumulative Floating Rate Class B Preferred Shares, Series 28 of the Bank (the “Preferred Shares Series 28”) on May 27, 2019. This date is the first business day following the conversion date of May 25, 2019, identified in the Preferred Shares Series 27 prospectus, which falls on a Saturday. Holders who do not exercise their right to convert their Preferred Shares Series 27 into Preferred Shares Series 28 on such date will retain their Preferred Shares Series 27, unless automatically converted in accordance with the conditions below.

The foregoing conversions are subject to the conditions that: (i) if, after May 10, 2019, the Bank determines that there would be less than 1,000,000 Preferred Shares Series 27 outstanding on May 25, 2019, then all remaining Preferred Shares Series 27 will automatically be converted into an equal number of Preferred Shares Series 28 on May 25, 2019; and (ii) alternatively, if the Bank determines that there would be less than 1,000,000 Preferred Shares Series 28 outstanding on May 25, 2019, no Preferred Shares Series 27 will be converted into Preferred Shares Series 28. In either case, the Bank will give written notice to that effect to any registered holders of Preferred Shares Series 27 affected by the preceding minimums on or before May 17, 2019.

The dividend rate applicable to the Preferred Shares Series 27 for the 5-year period commencing on May 25, 2019, and ending on May 24, 2024, and the dividend rate applicable to the Preferred Shares Series 28 for the 3-month period commencing on May 25, 2019, and ending on August 24, 2019, will be determined and announced by way of a news release on April 25, 2019. The Bank will also give written notice of these dividend rates to the registered holders of Preferred Shares Series 27.

Beneficial owners of Preferred Shares Series 27 who, on or after April 25, 2019, wish to exercise their right of conversion should instruct their broker or other nominee to exercise such right before 5:00 p.m. (EDT) on May 10, 2019.

Conversion inquiries should be directed to BMO’s Registrar and Transfer Agent, Computershare Trust Company of Canada, at 1-800-340-5021.

BMO.PR.S is a FixedReset, 4.00%+233, NVCC-compliant issue that commenced trading 2014-4-23 after being announced 2014-4-14. It is tracked by HIMIPref™ and is assigned to the FixedReset-Discount Sub-Index.

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., BMO.PR.S 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).

pair_fr_190425
Click for Big

The market has lost its fleeting enthusiasm for floating rate product; the implied rates until the next interconversion are below the current 3-month bill rate as the averages for investment-grade and junk issues are at +0.69% and +1.39%, 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 BMO.PR.S 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 BMO.PR.S) Trading Price In Current Conditions
  Assumed FloatingReset
Price if Implied Bill
is equal to
FixedReset Bid Price Spread 1.50% 1.00% 0.50%
BMO.PR.S 19.18 233bp 19.16 18.65 18.14

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, BMO.PR.S. Therefore, it seems likely that I will recommend that holders of BMO.PR.S continue to hold the issue and not to convert, but I will wait until it’s closer to the May 10 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.

April 25, 2019

Thursday, April 25th, 2019

Assiduous Reader AB passes on his latest collection of derivative notes based on preferred shares:

…to which I will add

The BMO ‘Principal at Risk’ Notes page is here.

The TD Structured notes page is here. Search for the product class ‘Principal at Risk Notes’ with the keyword ZPR.

So were notes like this responsible for BMO’s buying bout of ZPR at the close today?

zpr_190425
Click for Big

I didn’t look carefully at all the details for all the notes, but I got the impression that a selling commission of 2.5% applied to these notes. Nice work, if you can get it!

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

Values are provisional and are finalized monthly
Index Mean
Current
Yield
(at bid)
Median
YTW
Median
Average
Trading
Value
Median
Mod Dur
(YTW)
Issues Day’s Perf. Index Value
Ratchet 0.00 % 0.00 % 0 0.00 0 0.6808 % 2,094.5
FixedFloater 0.00 % 0.00 % 0 0.00 0 0.6808 % 3,843.3
Floater 5.61 % 5.94 % 50,751 13.97 3 0.6808 % 2,214.9
OpRet 0.00 % 0.00 % 0 0.00 0 0.0298 % 3,283.4
SplitShare 4.88 % 4.74 % 72,416 3.80 8 0.0298 % 3,921.1
Interest-Bearing 0.00 % 0.00 % 0 0.00 0 0.0298 % 3,059.4
Perpetual-Premium 5.60 % -9.51 % 93,881 0.09 10 -0.1262 % 2,949.1
Perpetual-Discount 5.41 % 5.48 % 79,348 14.65 23 -0.0151 % 3,106.1
FixedReset Disc 5.24 % 5.38 % 185,172 14.95 61 -0.0780 % 2,196.3
Deemed-Retractible 5.23 % 5.78 % 103,679 8.11 27 -0.0395 % 3,074.6
FloatingReset 4.25 % 4.36 % 52,182 2.66 5 -0.0759 % 2,403.0
FixedReset Prem 5.07 % 3.78 % 280,592 2.20 23 0.0627 % 2,588.7
FixedReset Bank Non 1.97 % 3.85 % 145,148 2.67 3 0.0972 % 2,648.5
FixedReset Ins Non 5.00 % 6.90 % 103,624 8.23 22 0.0959 % 2,255.4
Performance Highlights
Issue Index Change Notes
BAM.PF.G FixedReset Disc -2.27 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-04-25
Maturity Price : 19.35
Evaluated at bid price : 19.35
Bid-YTW : 5.83 %
MFC.PR.L FixedReset Ins Non -1.68 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2030-01-31
Maturity Price : 25.00
Evaluated at bid price : 17.55
Bid-YTW : 8.06 %
BAM.PF.F FixedReset Disc -1.54 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-04-25
Maturity Price : 19.80
Evaluated at bid price : 19.80
Bid-YTW : 5.72 %
MFC.PR.M FixedReset Ins Non -1.22 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2030-01-31
Maturity Price : 25.00
Evaluated at bid price : 18.59
Bid-YTW : 7.59 %
TRP.PR.C FixedReset Disc -1.21 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-04-25
Maturity Price : 13.01
Evaluated at bid price : 13.01
Bid-YTW : 5.93 %
TD.PF.I FixedReset Disc -1.18 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-04-25
Maturity Price : 22.09
Evaluated at bid price : 22.53
Bid-YTW : 5.11 %
CM.PR.S FixedReset Disc -1.17 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-04-25
Maturity Price : 20.25
Evaluated at bid price : 20.25
Bid-YTW : 5.17 %
NA.PR.S FixedReset Disc -1.13 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-04-25
Maturity Price : 18.36
Evaluated at bid price : 18.36
Bid-YTW : 5.49 %
TD.PF.A FixedReset Disc -1.13 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-04-25
Maturity Price : 18.40
Evaluated at bid price : 18.40
Bid-YTW : 5.28 %
GWO.PR.N FixedReset Ins Non 1.03 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2030-01-31
Maturity Price : 25.00
Evaluated at bid price : 14.75
Bid-YTW : 8.79 %
TRP.PR.B FixedReset Disc 1.05 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-04-25
Maturity Price : 12.53
Evaluated at bid price : 12.53
Bid-YTW : 5.75 %
BAM.PR.X FixedReset Disc 1.07 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-04-25
Maturity Price : 14.20
Evaluated at bid price : 14.20
Bid-YTW : 5.85 %
MFC.PR.H FixedReset Ins Non 1.17 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2030-01-31
Maturity Price : 25.00
Evaluated at bid price : 22.47
Bid-YTW : 5.99 %
BAM.PR.K Floater 1.20 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-04-25
Maturity Price : 11.76
Evaluated at bid price : 11.76
Bid-YTW : 5.94 %
RY.PR.J FixedReset Disc 1.37 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-04-25
Maturity Price : 20.77
Evaluated at bid price : 20.77
Bid-YTW : 5.21 %
PWF.PR.K Perpetual-Discount 1.80 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-04-25
Maturity Price : 22.33
Evaluated at bid price : 22.60
Bid-YTW : 5.49 %
TD.PF.C FixedReset Disc 2.41 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-04-25
Maturity Price : 18.67
Evaluated at bid price : 18.67
Bid-YTW : 5.20 %
EMA.PR.F FixedReset Disc 3.04 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-04-25
Maturity Price : 19.30
Evaluated at bid price : 19.30
Bid-YTW : 5.61 %
Volume Highlights
Issue Index Shares
Traded
Notes
CU.PR.D Perpetual-Discount 160,500 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-04-25
Maturity Price : 22.31
Evaluated at bid price : 22.68
Bid-YTW : 5.47 %
BMO.PR.F FixedReset Prem 150,847 YTW SCENARIO
Maturity Type : Call
Maturity Date : 2024-05-25
Maturity Price : 25.00
Evaluated at bid price : 25.35
Bid-YTW : 4.84 %
NA.PR.A FixedReset Prem 83,662 YTW SCENARIO
Maturity Type : Call
Maturity Date : 2021-08-15
Maturity Price : 25.00
Evaluated at bid price : 25.81
Bid-YTW : 3.81 %
PWF.PR.L Perpetual-Discount 80,400 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-04-25
Maturity Price : 22.93
Evaluated at bid price : 23.20
Bid-YTW : 5.51 %
RY.PR.F Deemed-Retractible 65,100 YTW SCENARIO
Maturity Type : Call
Maturity Date : 2019-05-25
Maturity Price : 25.00
Evaluated at bid price : 25.13
Bid-YTW : -6.07 %
GWO.PR.G Deemed-Retractible 48,500 YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2030-01-31
Maturity Price : 25.00
Evaluated at bid price : 24.01
Bid-YTW : 5.78 %
There were 37 other index-included issues trading in excess of 10,000 shares.
Wide Spread Highlights
Issue Index Quote Data and Yield Notes
BMO.PR.W FixedReset Disc Quote: 18.47 – 19.02
Spot Rate : 0.5500
Average : 0.3682

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-04-25
Maturity Price : 18.47
Evaluated at bid price : 18.47
Bid-YTW : 5.29 %

PWF.PR.Q FloatingReset Quote: 13.90 – 14.60
Spot Rate : 0.7000
Average : 0.5759

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-04-25
Maturity Price : 13.90
Evaluated at bid price : 13.90
Bid-YTW : 5.92 %

TRP.PR.A FixedReset Disc Quote: 14.80 – 15.35
Spot Rate : 0.5500
Average : 0.4300

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-04-25
Maturity Price : 14.80
Evaluated at bid price : 14.80
Bid-YTW : 6.04 %

RY.PR.G Deemed-Retractible Quote: 25.15 – 25.42
Spot Rate : 0.2700
Average : 0.1649

YTW SCENARIO
Maturity Type : Call
Maturity Date : 2019-05-25
Maturity Price : 25.00
Evaluated at bid price : 25.15
Bid-YTW : -7.01 %

MFC.PR.B Deemed-Retractible Quote: 21.75 – 22.10
Spot Rate : 0.3500
Average : 0.2524

YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2030-01-31
Maturity Price : 25.00
Evaluated at bid price : 21.75
Bid-YTW : 6.44 %

PWF.PR.E Perpetual-Premium Quote: 24.92 – 25.19
Spot Rate : 0.2700
Average : 0.1741

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-04-25
Maturity Price : 24.66
Evaluated at bid price : 24.92
Bid-YTW : 5.54 %

RY.PR.Z To Reset At 3.70%

Wednesday, April 24th, 2019

Royal Bank of Canada has announced:

the applicable dividend rates for its Non-Viability Contingent Capital (NVCC) Non-Cumulative 5-Year Rate Reset First Preferred Shares, Series AZ (the “Series AZ shares”) and NVCC Non-Cumulative Floating Rate First Preferred Shares, Series BA (the “Series BA shares”).

With respect to any Series AZ shares that remain outstanding after May 24, 2019, holders of the Series AZ shares will be entitled to receive quarterly fixed rate non-cumulative preferential cash dividends, as and when declared by the Board of Directors of Royal Bank of Canada, subject to the provisions of the Bank Act (Canada).

The dividend rate for the 5-year period from and including May 24, 2019 to, but excluding, May 24, 2024 will be 3.70%for Series AZ shares, being equal to the 5-Year Government of Canada bond yield determined as of April 24, 2019 plus 2.21%, as determined in accordance with the terms of the Series AZ shares.

Beneficial owners of Series AZ shares who wish to exercise their conversion rights should instruct their broker or other nominee to exercise such rights on or prior to the deadline for notice of intention to convert, which is 5:00 p.m. (EST) on May 9, 2019.

Inquiries should be directed to Shareholder Relations Officer, Shirley Boudreau, at 416-955-7806.

RY.PR.Z is a NVCC-compliant FixedReset, 4.00%+221, that commenced trading 2014-1-30 after being announced 2014-1-21. The extension was announced 2019-4-12. This issue is tracked by HIMIPref™ and is assigned to the FixedReset-Discount subindex.

The most logical way to analyze the question of whether or not to convert is through the theory of Preferred Pairs, for which a calculator is available. Briefly, a Strong Pair is defined as a pair of securities that can be interconverted in the future (e.g., RY.PR.Z 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_190424
Click for Big

The market has lost its fleeting enthusiasm for floating rate product; the implied rates until the next interconversion are below the current 3-month bill rate as the averages for investment-grade and junk issues are at +0.70% and +1.48%, 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 RY.PR.Z 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 RY.PR.Z) Trading Price In Current Conditions
  Assumed FloatingReset
Price if Implied Bill
is equal to
FixedReset Bid Price Spread 1.50% 1.00% 0.50%
RY.PR.Z 18.36 221bp 18.37 17.86 17.36

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, RY.PR.Z. Therefore, it seems likely that I will recommend that holders of RY.PR.Z continue to hold the issue and not to convert, but I will wait until it’s closer to the May 9 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.

NA.PR.S : Convert or Hold?

Wednesday, April 24th, 2019

It will be recalled that NA.PR.S will reset At 4.025% effective May 16, 2019.

NA.PR.S is a NVCC-compliant FixedReset, 4.10%+240, that commenced trading 2014-2-7 after being announced 2014-1-29. It is tracked by HIMIPref™ and assigned to the FixedResets-Discount subindex.

The most logical way to analyze the question of whether or not to convert is through the theory of Preferred Pairs, for which a calculator is available. Briefly, a Strong Pair is defined as a pair of securities that can be interconverted in the future (e.g., NA.PR.S 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_190424
Click for Big

The market appears to have lost its fleeting interest 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 +0.70% and +1.48%, respectively. Whatever might be the result of the next few Bank of Canada overnight rate decisions, I suggest that it is unlikely that the average rate over the next five years will be lower than current – but if you disagree, of course, you may interpret the data any way you like.

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

If we plug in the current bid price of the NA.PR.S FixedReset, we may construct the following table showing consistent prices for its soon-may-be-issued FloatingReset counterpart given a variety of Implied Breakeven yields consistent with issues currently trading:

Estimate of FloatingReset (received in exchange for NA.PR.S) Trading Price In Current Conditions
  Assumed FloatingReset
Price if Implied Bill
is equal to
FixedReset Bid Price Spread 1.50% 1.00% 0.50%
NA.PR.S 18.57 240bp 18.45 17.95 17.45

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, NA.PR.S. Therefore I recommend that holders of NA.PR.S continue to hold the issue and not to convert. I will note that once the FloatingResets commence trading (if, in fact, they do) it may be a good trade to swap 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.

Those who wish to convert anyway are advised that the deadline for notifying the company of such a desire is April 30, 2019 at 5:00 p.m. (EST). Brokers and other intermediaries generally set their internal deadlines a day or two in advance of this date, so if you wish to convert there’s no time to waste! Note that brokers will, in general, try to execute the instruction on a ‘best efforts’ basis if received between the two deadlines, provided that the procrastinating shareholder grovels entertainingly enough.

April 24, 2019

Wednesday, April 24th, 2019

The Bank of Canada rate announcement was today:

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.

Global economic growth has slowed by more than the Bank forecast in its January Monetary Policy Report (MPR). Ongoing uncertainty related to trade conflicts has undermined business sentiment and activity, contributing to a synchronous slowdown across many countries. In response, many central banks have signalled a slower pace of monetary policy normalization. Financial conditions and market sentiment have improved as a result, pushing up prices for oil and other commodities.

Global economic activity is expected to pick up during 2019 and average 3 ¼ per cent over the projection period, supported by accommodative financial conditions and as a number of temporary factors weighing on growth fade. This is roughly in line with the global economy’s potential and a modest downgrade to the Bank’s January projection.

In Canada, growth during the first half of 2019 is now expected to be slower than was anticipated in January. Last year’s oil price decline and ongoing transportation constraints have curbed investment and exports in the energy sector. Investment and exports outside the energy sector, meanwhile, have been negatively affected by trade policy uncertainty and the global slowdown. Weaker-than-anticipated housing and consumption also contributed to slower growth.

The Bank expects growth to pick up, starting in the second quarter of this year. Housing activity is expected to stabilize given continued population gains, the fading effects of past housing policy changes, and improved global financial conditions. Consumption will be underpinned by strong growth in employment income. Outside of the oil and gas sector, investment will be supported by high rates of capacity utilization and exports will expand with strengthening global demand. Meanwhile, the contribution to growth from government spending has been revised down in light of Ontario’s new budget.

Overall, the Bank projects real GDP growth of 1.2 per cent in 2019 and around 2 per cent in 2020 and 2021. This forecast implies a modest widening of the output gap, which will be absorbed over the projection period.

CPI and measures of core inflation are all close to 2 per cent. CPI inflation will likely dip in the third quarter, largely because of the dynamics of gasoline prices, before returning to about 2 per cent by year end. Taking into account the effects of the new carbon pollution charge, as well as modest excess capacity, the Bank expects inflation to remain around 2 per cent through 2020 and 2021.

Given all of these developments, Governing Council judges that an accommodative policy interest rate continues to be warranted. We will continue to evaluate the appropriate degree of monetary policy accommodation as new data arrive. In particular, we are monitoring developments in household spending, oil markets, and global trade policy to gauge the extent to which the factors weighing on growth and the inflation outlook are dissipating.

As usual, there was no reporting of the vote or of dissenting opinions because our illustrious masters do not feel any need for accountability.

The dovish stance hurt the loonie:

The Canadian dollar fell to a nearly four-month low against its broadly stronger U.S. counterpart on Wednesday, as investors raised bets on a Bank of Canada interest rate cut this year after the central bank slashed its economic growth outlook.

Canada’s central bank held its benchmark interest rate steady at 1.75 per cent as expected but removed wording about the need for future rate hikes and lowered its growth forecast for 2019 to 1.2 per cent from 1.7 per cent.

Chances of an interest rate cut by December rose to 65 per cent from 57 per cent before the policy announcement, data from the overnight index swaps market showed.

At 4:03 p.m., the Canadian dollar was trading 0.5 per cent lower at 1.3484 to the greenback, or 74.16 U.S. cents. The currency touched its weakest intraday level since Jan. 3 at 1.3522.

… and the GOC five-year yield dropped 7bp to 1.50%.

PerpetualDiscounts now yield 5.49%, equivalent to 7.14% interest at the standard equivalency factor of 1.3x. Long corporates now yield 3.78%, so the pre-tax interest-equivalent spread (in this context, the “Seniority Spread”) is now about 335bp, a significant widening from the 325bp reported April 17.

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 -0.2174 % 2,080.3
FixedFloater 0.00 % 0.00 % 0 0.00 0 -0.2174 % 3,817.3
Floater 5.65 % 5.97 % 51,561 13.93 3 -0.2174 % 2,199.9
OpRet 0.00 % 0.00 % 0 0.00 0 -0.2081 % 3,282.4
SplitShare 4.88 % 4.69 % 71,829 3.80 8 -0.2081 % 3,919.9
Interest-Bearing 0.00 % 0.00 % 0 0.00 0 -0.2081 % 3,058.5
Perpetual-Premium 5.59 % -11.96 % 90,832 0.09 10 0.0742 % 2,952.9
Perpetual-Discount 5.41 % 5.49 % 80,801 14.61 23 -0.0529 % 3,106.6
FixedReset Disc 5.24 % 5.38 % 184,980 14.93 61 -0.1243 % 2,198.0
Deemed-Retractible 5.23 % 5.81 % 97,161 8.11 27 0.0878 % 3,075.8
FloatingReset 4.25 % 4.36 % 54,326 2.66 5 -0.2486 % 2,404.8
FixedReset Prem 5.07 % 3.80 % 283,293 2.20 23 0.0792 % 2,587.1
FixedReset Bank Non 1.97 % 3.95 % 146,788 2.67 3 0.0278 % 2,646.0
FixedReset Ins Non 5.00 % 6.92 % 103,670 8.24 22 -0.1117 % 2,253.2
Performance Highlights
Issue Index Change Notes
TD.PF.C FixedReset Disc -2.77 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-04-24
Maturity Price : 18.23
Evaluated at bid price : 18.23
Bid-YTW : 5.33 %
BAM.PR.X FixedReset Disc -1.95 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-04-24
Maturity Price : 14.05
Evaluated at bid price : 14.05
Bid-YTW : 5.91 %
PWF.PR.Q FloatingReset -1.82 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-04-24
Maturity Price : 14.02
Evaluated at bid price : 14.02
Bid-YTW : 5.87 %
MFC.PR.F FixedReset Ins Non -1.73 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2030-01-31
Maturity Price : 25.00
Evaluated at bid price : 14.76
Bid-YTW : 8.85 %
RY.PR.J FixedReset Disc -1.31 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-04-24
Maturity Price : 20.49
Evaluated at bid price : 20.49
Bid-YTW : 5.28 %
TRP.PR.G FixedReset Disc -1.30 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-04-24
Maturity Price : 19.05
Evaluated at bid price : 19.05
Bid-YTW : 6.01 %
RY.PR.M FixedReset Disc -1.28 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-04-24
Maturity Price : 20.21
Evaluated at bid price : 20.21
Bid-YTW : 5.18 %
MFC.PR.J FixedReset Ins Non -1.20 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2030-01-31
Maturity Price : 25.00
Evaluated at bid price : 20.54
Bid-YTW : 6.92 %
EIT.PR.A SplitShare -1.12 % YTW SCENARIO
Maturity Type : Soft Maturity
Maturity Date : 2024-03-14
Maturity Price : 25.00
Evaluated at bid price : 24.83
Bid-YTW : 5.11 %
BAM.PR.K Floater -1.02 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-04-24
Maturity Price : 11.62
Evaluated at bid price : 11.62
Bid-YTW : 6.02 %
BAM.PF.I FixedReset Prem 1.02 % YTW SCENARIO
Maturity Type : Call
Maturity Date : 2022-03-31
Maturity Price : 25.00
Evaluated at bid price : 24.70
Bid-YTW : 5.39 %
IFC.PR.G FixedReset Ins Non 1.18 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2030-01-31
Maturity Price : 25.00
Evaluated at bid price : 20.55
Bid-YTW : 6.96 %
NA.PR.S FixedReset Disc 1.20 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-04-24
Maturity Price : 18.57
Evaluated at bid price : 18.57
Bid-YTW : 5.43 %
NA.PR.C FixedReset Disc 1.30 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-04-24
Maturity Price : 22.13
Evaluated at bid price : 22.60
Bid-YTW : 5.44 %
Volume Highlights
Issue Index Shares
Traded
Notes
BMO.PR.F FixedReset Prem 120,855 YTW SCENARIO
Maturity Type : Call
Maturity Date : 2024-05-25
Maturity Price : 25.00
Evaluated at bid price : 25.30
Bid-YTW : 4.88 %
BMO.PR.S FixedReset Disc 102,565 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-04-24
Maturity Price : 19.16
Evaluated at bid price : 19.16
Bid-YTW : 5.24 %
VNR.PR.A FixedReset Prem 80,900 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-04-24
Maturity Price : 23.27
Evaluated at bid price : 24.89
Bid-YTW : 4.41 %
RY.PR.W Perpetual-Discount 78,171 YTW SCENARIO
Maturity Type : Call
Maturity Date : 2019-05-24
Maturity Price : 25.00
Evaluated at bid price : 24.92
Bid-YTW : 3.94 %
SLF.PR.A Deemed-Retractible 66,336 YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2030-01-31
Maturity Price : 25.00
Evaluated at bid price : 22.13
Bid-YTW : 6.31 %
CU.PR.D Perpetual-Discount 48,300 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-04-24
Maturity Price : 22.38
Evaluated at bid price : 22.78
Bid-YTW : 5.44 %
There were 46 other index-included issues trading in excess of 10,000 shares.
Wide Spread Highlights
Issue Index Quote Data and Yield Notes
HSE.PR.E FixedReset Disc Quote: 20.40 – 21.04
Spot Rate : 0.6400
Average : 0.4152

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-04-24
Maturity Price : 20.40
Evaluated at bid price : 20.40
Bid-YTW : 6.39 %

TD.PF.C FixedReset Disc Quote: 18.23 – 18.79
Spot Rate : 0.5600
Average : 0.3695

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-04-24
Maturity Price : 18.23
Evaluated at bid price : 18.23
Bid-YTW : 5.33 %

HSE.PR.G FixedReset Disc Quote: 20.01 – 20.57
Spot Rate : 0.5600
Average : 0.3978

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-04-24
Maturity Price : 20.01
Evaluated at bid price : 20.01
Bid-YTW : 6.45 %

BIP.PR.E FixedReset Disc Quote: 21.81 – 22.35
Spot Rate : 0.5400
Average : 0.3783

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-04-24
Maturity Price : 21.55
Evaluated at bid price : 21.81
Bid-YTW : 5.78 %

EMA.PR.F FixedReset Disc Quote: 18.73 – 19.42
Spot Rate : 0.6900
Average : 0.5328

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-04-24
Maturity Price : 18.73
Evaluated at bid price : 18.73
Bid-YTW : 5.78 %

BMO.PR.Z Perpetual-Discount Quote: 25.01 – 25.40
Spot Rate : 0.3900
Average : 0.2414

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2049-04-24
Maturity Price : 24.54
Evaluated at bid price : 25.01
Bid-YTW : 5.06 %

TRP.PR.D : No Conversion to FloatingReset

Wednesday, April 24th, 2019

TransCanada Corporation has announced (on April 23):

that 725,094 of its 24,000,000 fixed rate Cumulative Redeemable First Preferred Shares, Series 7 (Series 7 Shares) were deposited for conversion on April 30, 2019 on a one-for-one basis into floating rate Cumulative Redeemable First Preferred Shares, Series 8 (Series 8 Shares).

As previously announced in the Company’s news release dated March 15, 2019, the conversions are subject to the conditions that: (i) if TransCanada determines that there would be less than one million Series 7 Shares outstanding after April 30, 2019, then all remaining Series 7 Shares will automatically be converted into Series 8 Shares on a one-for-one basis on April 30, 2019, and (ii) alternatively, if TransCanada determines that there would be less than one million Series 8 Shares outstanding after April 30, 2019, no Series 7 Shares will be converted into Series 8 Shares.

As the total number of Series 7 Shares tendered for conversion did not meet the threshold set out above, no Series 7 Shares will be converted into Series 8 Shares on April 30, 2019.

For more information on the terms of and risks associated with an investment in the Series 7 Shares and the Series 8 Shares, please see the prospectus supplement dated February 25, 2013 which is available on sedar.com or on the TransCanada website.

TRP.PR.D is a FixedReset, 4.00%+238, that commenced trading 2013-3-4 after being announced 2013-2-25. The extension was announced 2019-3-15. The issue will reset at 3.903% effective April 30, 2019. I recommended against conversion. TRP.PR.D is tracked by HIMIPref™ and assigned to the FixedReset (Discount) subindex.