October PrefLetter Released!

October 13th, 2024

The October, 2024, edition of PrefLetter has been released and is now available for purchase as the “Previous edition”. Those who subscribe for a full year receive the “Previous edition” as a bonus.

PrefLetter may now be purchased by all Canadian residents.

Until further notice, the “previous” edition will refer to the October, 2024, issue, while the “next” edition will be the November, 2024, issue scheduled to be prepared as of the close November 8, and emailed to subscribers prior to the market-opening on November 11. Prefletter is intended for long term investors seeking issues to buy-and-hold. At least one recommendation from each of the major preferred share sectors is included and discussed.

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

Note: There have been problems lately with corporate eMail protection systems that substitute “safe” links for the links sent in the eMails; the problem being that the “safe” links do not work and an error is generated by my software. To avoid possible problems and delays, please subscribe through an eMail account that is not “protected” by such software.

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

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

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

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

Note: Assiduous Reader DG informs me:

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

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

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

October 11, 2024

October 11th, 2024
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 0.0427 % 2,143.3
FixedFloater 0.00 % 0.00 % 0 0.00 0 0.0427 % 4,110.9
Floater 9.63 % 10.17 % 35,865 9.42 4 0.0427 % 2,369.1
OpRet 0.00 % 0.00 % 0 0.00 0 -0.0050 % 3,600.2
SplitShare 4.79 % 5.38 % 41,613 1.32 8 -0.0050 % 4,299.4
Interest-Bearing 0.00 % 0.00 % 0 0.00 0 -0.0050 % 3,354.5
Perpetual-Premium 0.00 % 0.00 % 0 0.00 0 -0.1186 % 2,879.2
Perpetual-Discount 5.98 % 6.04 % 50,555 13.86 31 -0.1186 % 3,139.6
FixedReset Disc 5.54 % 6.89 % 121,620 12.51 58 -0.3477 % 2,653.7
Insurance Straight 5.81 % 5.83 % 58,729 14.12 20 -0.5332 % 3,115.1
FloatingReset 8.02 % 8.13 % 27,944 11.26 1 0.0915 % 2,769.4
FixedReset Prem 6.48 % 5.80 % 200,632 13.58 7 -0.2569 % 2,555.3
FixedReset Bank Non 0.00 % 0.00 % 0 0.00 0 -0.3477 % 2,712.7
FixedReset Ins Non 5.22 % 6.20 % 96,550 13.66 14 -0.0789 % 2,812.1
Performance Highlights
Issue Index Change Notes
TD.PF.D FixedReset Disc -13.01 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-10-11
Maturity Price : 20.79
Evaluated at bid price : 20.79
Bid-YTW : 6.83 %
GWO.PR.G Insurance Straight -8.80 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-10-11
Maturity Price : 20.32
Evaluated at bid price : 20.32
Bid-YTW : 6.46 %
TD.PF.E FixedReset Disc -4.24 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-10-11
Maturity Price : 22.12
Evaluated at bid price : 22.79
Bid-YTW : 6.23 %
SLF.PR.C Insurance Straight -3.70 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-10-11
Maturity Price : 19.80
Evaluated at bid price : 19.80
Bid-YTW : 5.67 %
BN.PF.D Perpetual-Discount -2.51 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-10-11
Maturity Price : 19.05
Evaluated at bid price : 19.05
Bid-YTW : 6.50 %
ENB.PF.G FixedReset Disc -1.90 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-10-11
Maturity Price : 17.54
Evaluated at bid price : 17.54
Bid-YTW : 7.94 %
ENB.PF.K FixedReset Disc -1.77 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-10-11
Maturity Price : 22.25
Evaluated at bid price : 22.77
Bid-YTW : 6.89 %
TD.PF.J FixedReset Prem -1.73 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-10-11
Maturity Price : 23.09
Evaluated at bid price : 24.44
Bid-YTW : 5.80 %
ENB.PR.F FixedReset Disc -1.50 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-10-11
Maturity Price : 18.42
Evaluated at bid price : 18.42
Bid-YTW : 7.64 %
CU.PR.I FixedReset Disc -1.39 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-10-11
Maturity Price : 23.68
Evaluated at bid price : 24.16
Bid-YTW : 6.82 %
IFC.PR.G FixedReset Ins Non -1.26 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-10-11
Maturity Price : 22.67
Evaluated at bid price : 23.55
Bid-YTW : 6.03 %
CU.PR.J Perpetual-Discount -1.10 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-10-11
Maturity Price : 19.82
Evaluated at bid price : 19.82
Bid-YTW : 6.08 %
PWF.PR.G Perpetual-Discount -1.03 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-10-11
Maturity Price : 23.69
Evaluated at bid price : 24.00
Bid-YTW : 6.15 %
PWF.PR.E Perpetual-Discount 1.11 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-10-11
Maturity Price : 22.55
Evaluated at bid price : 22.80
Bid-YTW : 6.04 %
ENB.PR.Y FixedReset Disc 1.13 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-10-11
Maturity Price : 17.95
Evaluated at bid price : 17.95
Bid-YTW : 7.60 %
GWO.PR.T Insurance Straight 1.29 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-10-11
Maturity Price : 22.03
Evaluated at bid price : 22.03
Bid-YTW : 5.90 %
CCS.PR.C Insurance Straight 1.38 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-10-11
Maturity Price : 21.75
Evaluated at bid price : 22.00
Bid-YTW : 5.72 %
PWF.PR.T FixedReset Disc 1.60 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-10-11
Maturity Price : 21.81
Evaluated at bid price : 22.20
Bid-YTW : 6.12 %
IFC.PR.C FixedReset Ins Non 1.61 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-10-11
Maturity Price : 20.83
Evaluated at bid price : 20.83
Bid-YTW : 6.50 %
PWF.PR.Z Perpetual-Discount 1.71 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-10-11
Maturity Price : 21.43
Evaluated at bid price : 21.43
Bid-YTW : 6.03 %
GWO.PR.I Insurance Straight 1.78 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-10-11
Maturity Price : 19.49
Evaluated at bid price : 19.49
Bid-YTW : 5.83 %
BN.PF.I FixedReset Disc 2.50 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-10-11
Maturity Price : 22.21
Evaluated at bid price : 22.55
Bid-YTW : 7.37 %
BN.PF.E FixedReset Disc 6.03 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-10-11
Maturity Price : 18.10
Evaluated at bid price : 18.10
Bid-YTW : 7.66 %
Volume Highlights
Issue Index Shares
Traded
Notes
ENB.PF.A FixedReset Disc 110,725 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-10-11
Maturity Price : 19.18
Evaluated at bid price : 19.18
Bid-YTW : 7.48 %
BMO.PR.W FixedReset Disc 44,800 YTW SCENARIO
Maturity Type : Call
Maturity Date : 2024-11-25
Maturity Price : 25.00
Evaluated at bid price : 25.10
Bid-YTW : 4.59 %
GWO.PR.N FixedReset Ins Non 41,600 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-10-11
Maturity Price : 14.65
Evaluated at bid price : 14.65
Bid-YTW : 7.02 %
FFH.PR.C FixedReset Disc 37,713 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-10-11
Maturity Price : 21.52
Evaluated at bid price : 21.85
Bid-YTW : 7.08 %
BN.PR.B Floater 23,460 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-10-11
Maturity Price : 11.24
Evaluated at bid price : 11.24
Bid-YTW : 10.20 %
SLF.PR.E Insurance Straight 20,600 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-10-11
Maturity Price : 20.70
Evaluated at bid price : 20.70
Bid-YTW : 5.48 %
There were 8 other index-included issues trading in excess of 10,000 shares.
Wide Spread Highlights
Issue Index Quote Data and Yield Notes
TD.PF.D FixedReset Disc Quote: 20.79 – 24.16
Spot Rate : 3.3700
Average : 1.8720

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-10-11
Maturity Price : 20.79
Evaluated at bid price : 20.79
Bid-YTW : 6.83 %

GWO.PR.G Insurance Straight Quote: 20.32 – 22.30
Spot Rate : 1.9800
Average : 1.0976

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-10-11
Maturity Price : 20.32
Evaluated at bid price : 20.32
Bid-YTW : 6.46 %

IFC.PR.F Insurance Straight Quote: 22.96 – 24.99
Spot Rate : 2.0300
Average : 1.3321

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-10-11
Maturity Price : 22.68
Evaluated at bid price : 22.96
Bid-YTW : 5.81 %

TD.PF.E FixedReset Disc Quote: 22.79 – 24.10
Spot Rate : 1.3100
Average : 0.8064

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-10-11
Maturity Price : 22.12
Evaluated at bid price : 22.79
Bid-YTW : 6.23 %

CU.PR.J Perpetual-Discount Quote: 19.82 – 20.69
Spot Rate : 0.8700
Average : 0.5662

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-10-11
Maturity Price : 19.82
Evaluated at bid price : 19.82
Bid-YTW : 6.08 %

SLF.PR.C Insurance Straight Quote: 19.80 – 20.50
Spot Rate : 0.7000
Average : 0.4804

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-10-11
Maturity Price : 19.80
Evaluated at bid price : 19.80
Bid-YTW : 5.67 %

October 10, 2024

October 10th, 2024
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 -0.2554 % 2,142.4
FixedFloater 0.00 % 0.00 % 0 0.00 0 -0.2554 % 4,109.1
Floater 9.63 % 10.18 % 35,935 9.41 4 -0.2554 % 2,368.1
OpRet 0.00 % 0.00 % 0 0.00 0 -0.0450 % 3,600.3
SplitShare 4.79 % 5.15 % 42,200 1.32 8 -0.0450 % 4,299.6
Interest-Bearing 0.00 % 0.00 % 0 0.00 0 -0.0450 % 3,354.7
Perpetual-Premium 0.00 % 0.00 % 0 0.00 0 -0.7674 % 2,882.6
Perpetual-Discount 5.97 % 6.03 % 50,977 13.85 31 -0.7674 % 3,143.3
FixedReset Disc 5.52 % 6.96 % 123,651 12.44 58 -0.4763 % 2,663.0
Insurance Straight 5.78 % 5.82 % 59,256 14.12 20 0.0116 % 3,131.8
FloatingReset 8.18 % 8.29 % 27,762 11.10 1 0.2294 % 2,766.8
FixedReset Prem 6.46 % 5.79 % 207,856 13.52 7 -0.2284 % 2,561.8
FixedReset Bank Non 0.00 % 0.00 % 0 0.00 0 -0.4763 % 2,722.1
FixedReset Ins Non 5.22 % 6.30 % 93,925 13.54 14 -0.4813 % 2,814.3
Performance Highlights
Issue Index Change Notes
BN.PF.E FixedReset Disc -6.72 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-10-10
Maturity Price : 17.07
Evaluated at bid price : 17.07
Bid-YTW : 8.25 %
IFC.PR.A FixedReset Ins Non -4.68 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-10-10
Maturity Price : 18.35
Evaluated at bid price : 18.35
Bid-YTW : 6.64 %
BN.PF.I FixedReset Disc -3.30 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-10-10
Maturity Price : 21.59
Evaluated at bid price : 22.00
Bid-YTW : 7.63 %
GWO.PR.I Insurance Straight -3.28 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-10-10
Maturity Price : 19.15
Evaluated at bid price : 19.15
Bid-YTW : 5.93 %
ENB.PR.Y FixedReset Disc -2.20 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-10-10
Maturity Price : 17.75
Evaluated at bid price : 17.75
Bid-YTW : 7.77 %
PWF.PR.Z Perpetual-Discount -1.87 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-10-10
Maturity Price : 21.07
Evaluated at bid price : 21.07
Bid-YTW : 6.13 %
PWF.PR.T FixedReset Disc -1.64 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-10-10
Maturity Price : 21.56
Evaluated at bid price : 21.85
Bid-YTW : 6.30 %
CU.PR.F Perpetual-Discount -1.63 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-10-10
Maturity Price : 18.70
Evaluated at bid price : 18.70
Bid-YTW : 6.11 %
IFC.PR.C FixedReset Ins Non -1.49 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-10-10
Maturity Price : 20.50
Evaluated at bid price : 20.50
Bid-YTW : 6.69 %
GWO.PR.P Insurance Straight -1.14 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-10-10
Maturity Price : 22.22
Evaluated at bid price : 22.50
Bid-YTW : 6.04 %
PWF.PF.A Perpetual-Discount -1.05 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-10-10
Maturity Price : 19.40
Evaluated at bid price : 19.40
Bid-YTW : 5.82 %
BN.PF.F FixedReset Disc 1.22 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-10-10
Maturity Price : 20.75
Evaluated at bid price : 20.75
Bid-YTW : 7.21 %
MFC.PR.B Insurance Straight 1.51 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-10-10
Maturity Price : 20.20
Evaluated at bid price : 20.20
Bid-YTW : 5.82 %
ENB.PR.F FixedReset Disc 1.52 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-10-10
Maturity Price : 18.70
Evaluated at bid price : 18.70
Bid-YTW : 7.61 %
GWO.PR.T Insurance Straight 2.35 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-10-10
Maturity Price : 21.75
Evaluated at bid price : 21.75
Bid-YTW : 5.98 %
Volume Highlights
Issue Index Shares
Traded
Notes
ENB.PF.C FixedReset Disc 138,210 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-10-10
Maturity Price : 18.38
Evaluated at bid price : 18.38
Bid-YTW : 7.85 %
ENB.PF.A FixedReset Disc 130,054 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-10-10
Maturity Price : 19.16
Evaluated at bid price : 19.16
Bid-YTW : 7.61 %
ENB.PR.P FixedReset Disc 106,910 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-10-10
Maturity Price : 19.70
Evaluated at bid price : 19.70
Bid-YTW : 7.36 %
RY.PR.J FixedReset Disc 86,360 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-10-10
Maturity Price : 23.54
Evaluated at bid price : 24.22
Bid-YTW : 5.95 %
BN.PF.A FixedReset Disc 60,500 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-10-10
Maturity Price : 22.57
Evaluated at bid price : 23.40
Bid-YTW : 6.65 %
BMO.PR.Y FixedReset Disc 56,035 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-10-10
Maturity Price : 23.77
Evaluated at bid price : 24.32
Bid-YTW : 5.84 %
There were 16 other index-included issues trading in excess of 10,000 shares.
Wide Spread Highlights
Issue Index Quote Data and Yield Notes
BN.PF.E FixedReset Disc Quote: 17.07 – 18.30
Spot Rate : 1.2300
Average : 0.7365

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-10-10
Maturity Price : 17.07
Evaluated at bid price : 17.07
Bid-YTW : 8.25 %

BN.PF.I FixedReset Disc Quote: 22.00 – 23.25
Spot Rate : 1.2500
Average : 0.9300

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-10-10
Maturity Price : 21.59
Evaluated at bid price : 22.00
Bid-YTW : 7.63 %

GWO.PR.I Insurance Straight Quote: 19.15 – 19.90
Spot Rate : 0.7500
Average : 0.4323

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-10-10
Maturity Price : 19.15
Evaluated at bid price : 19.15
Bid-YTW : 5.93 %

MIC.PR.A Perpetual-Discount Quote: 20.61 – 21.92
Spot Rate : 1.3100
Average : 1.0313

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-10-10
Maturity Price : 20.61
Evaluated at bid price : 20.61
Bid-YTW : 6.62 %

BN.PF.J FixedReset Disc Quote: 23.00 – 23.70
Spot Rate : 0.7000
Average : 0.4625

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-10-10
Maturity Price : 22.41
Evaluated at bid price : 23.00
Bid-YTW : 6.79 %

CU.PR.F Perpetual-Discount Quote: 18.70 – 19.88
Spot Rate : 1.1800
Average : 0.9434

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-10-10
Maturity Price : 18.70
Evaluated at bid price : 18.70
Bid-YTW : 6.11 %

October 9, 2024

October 9th, 2024

PerpetualDiscounts now yield 6.03%, equivalent to 7.84% interest at the standard equivalency factor of 1.3x. Long corporates yielded 4.77% on 2024-9-20 and since then the closing price of ZLC has changed from 15.51 to 15.22 after going ex-dividend for $0.06 on 9/27, a total return of -1.48%, implying an increase of yields of 12bp (BMO reports a duration of 12.47, but don’t disclose whether this is Macaulay or Modified; I will assume Modified) to 4.89%. Therefore, the pre-tax interest-equivalent spread (in this context, the “Seniority Spread”) has narrowed slightly (and perhaps spuriously) to 295bp from the 300bp reported October 2.

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 0.4919 % 2,147.9
FixedFloater 0.00 % 0.00 % 0 0.00 0 0.4919 % 4,119.7
Floater 9.61 % 10.14 % 36,152 9.45 4 0.4919 % 2,374.2
OpRet 0.00 % 0.00 % 0 0.00 0 0.1504 % 3,602.0
SplitShare 4.79 % 5.21 % 42,397 1.33 8 0.1504 % 4,301.5
Interest-Bearing 0.00 % 0.00 % 0 0.00 0 0.1504 % 3,356.2
Perpetual-Premium 0.00 % 0.00 % 0 0.00 0 0.2135 % 2,904.9
Perpetual-Discount 5.92 % 6.03 % 49,758 13.81 31 0.2135 % 3,167.6
FixedReset Disc 5.50 % 6.91 % 122,438 12.49 58 0.0432 % 2,675.8
Insurance Straight 5.78 % 5.85 % 59,296 14.11 20 -0.8802 % 3,131.4
FloatingReset 8.20 % 8.30 % 28,149 11.09 1 0.4608 % 2,760.5
FixedReset Prem 6.45 % 5.79 % 211,058 13.50 7 -0.0557 % 2,567.7
FixedReset Bank Non 0.00 % 0.00 % 0 0.00 0 0.0432 % 2,735.2
FixedReset Ins Non 5.19 % 6.30 % 95,333 13.61 14 0.0888 % 2,828.0
Performance Highlights
Issue Index Change Notes
CCS.PR.C Insurance Straight -3.77 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-10-09
Maturity Price : 21.44
Evaluated at bid price : 21.70
Bid-YTW : 5.80 %
GWO.PR.T Insurance Straight -3.63 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-10-09
Maturity Price : 21.25
Evaluated at bid price : 21.25
Bid-YTW : 6.12 %
GWO.PR.Q Insurance Straight -3.60 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-10-09
Maturity Price : 21.45
Evaluated at bid price : 21.45
Bid-YTW : 6.06 %
MFC.PR.B Insurance Straight -3.54 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-10-09
Maturity Price : 19.90
Evaluated at bid price : 19.90
Bid-YTW : 5.91 %
ENB.PR.F FixedReset Disc -2.38 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-10-09
Maturity Price : 18.42
Evaluated at bid price : 18.42
Bid-YTW : 7.73 %
BN.PR.X FixedReset Disc -1.21 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-10-09
Maturity Price : 16.35
Evaluated at bid price : 16.35
Bid-YTW : 7.48 %
BN.PF.H FixedReset Disc -1.18 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-10-09
Maturity Price : 23.05
Evaluated at bid price : 23.54
Bid-YTW : 7.55 %
CU.PR.G Perpetual-Discount -1.10 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-10-09
Maturity Price : 18.89
Evaluated at bid price : 18.89
Bid-YTW : 6.05 %
BN.PF.I FixedReset Disc -1.09 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-10-09
Maturity Price : 22.34
Evaluated at bid price : 22.75
Bid-YTW : 7.38 %
BN.PF.F FixedReset Disc -1.06 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-10-09
Maturity Price : 20.50
Evaluated at bid price : 20.50
Bid-YTW : 7.29 %
GWO.PR.H Insurance Straight -1.05 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-10-09
Maturity Price : 20.73
Evaluated at bid price : 20.73
Bid-YTW : 5.90 %
IFC.PR.G FixedReset Ins Non -1.04 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-10-09
Maturity Price : 22.84
Evaluated at bid price : 23.90
Bid-YTW : 6.00 %
BN.PR.K Floater 1.25 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-10-09
Maturity Price : 11.30
Evaluated at bid price : 11.30
Bid-YTW : 10.14 %
ENB.PR.A Perpetual-Discount 1.29 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-10-09
Maturity Price : 22.55
Evaluated at bid price : 22.80
Bid-YTW : 6.11 %
POW.PR.C Perpetual-Discount 1.42 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-10-09
Maturity Price : 24.00
Evaluated at bid price : 24.25
Bid-YTW : 6.00 %
TD.PF.E FixedReset Disc 1.44 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-10-09
Maturity Price : 23.48
Evaluated at bid price : 24.00
Bid-YTW : 6.07 %
IFC.PR.C FixedReset Ins Non 1.51 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-10-09
Maturity Price : 20.81
Evaluated at bid price : 20.81
Bid-YTW : 6.59 %
PWF.PR.L Perpetual-Discount 1.93 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-10-09
Maturity Price : 21.39
Evaluated at bid price : 21.66
Bid-YTW : 6.00 %
PWF.PR.E Perpetual-Discount 2.58 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-10-09
Maturity Price : 22.77
Evaluated at bid price : 23.05
Bid-YTW : 6.08 %
PWF.PR.T FixedReset Disc 3.77 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-10-09
Maturity Price : 22.06
Evaluated at bid price : 22.57
Bid-YTW : 6.20 %
Volume Highlights
Issue Index Shares
Traded
Notes
BMO.PR.W FixedReset Disc 323,000 YTW SCENARIO
Maturity Type : Call
Maturity Date : 2024-11-25
Maturity Price : 25.00
Evaluated at bid price : 25.09
Bid-YTW : 4.71 %
PWF.PF.A Perpetual-Discount 113,227 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-10-09
Maturity Price : 19.89
Evaluated at bid price : 19.89
Bid-YTW : 5.77 %
CM.PR.Q FixedReset Disc 102,000 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-10-09
Maturity Price : 23.61
Evaluated at bid price : 24.20
Bid-YTW : 5.93 %
PWF.PR.K Perpetual-Discount 100,330 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-10-09
Maturity Price : 21.20
Evaluated at bid price : 21.20
Bid-YTW : 5.96 %
MFC.PR.Q FixedReset Ins Non 70,000 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-10-09
Maturity Price : 22.89
Evaluated at bid price : 24.01
Bid-YTW : 5.97 %
ENB.PF.A FixedReset Disc 68,044 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-10-09
Maturity Price : 19.20
Evaluated at bid price : 19.20
Bid-YTW : 7.59 %
There were 17 other index-included issues trading in excess of 10,000 shares.
Wide Spread Highlights
Issue Index Quote Data and Yield Notes
CU.PR.H Perpetual-Discount Quote: 21.76 – 23.34
Spot Rate : 1.5800
Average : 1.0682

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-10-09
Maturity Price : 21.50
Evaluated at bid price : 21.76
Bid-YTW : 6.11 %

MFC.PR.B Insurance Straight Quote: 19.90 – 20.66
Spot Rate : 0.7600
Average : 0.4342

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-10-09
Maturity Price : 19.90
Evaluated at bid price : 19.90
Bid-YTW : 5.91 %

IFC.PR.A FixedReset Ins Non Quote: 19.25 – 20.07
Spot Rate : 0.8200
Average : 0.5102

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-10-09
Maturity Price : 19.25
Evaluated at bid price : 19.25
Bid-YTW : 6.33 %

GWO.PR.Q Insurance Straight Quote: 21.45 – 22.18
Spot Rate : 0.7300
Average : 0.4390

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-10-09
Maturity Price : 21.45
Evaluated at bid price : 21.45
Bid-YTW : 6.06 %

GWO.PR.T Insurance Straight Quote: 21.25 – 22.37
Spot Rate : 1.1200
Average : 0.8927

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-10-09
Maturity Price : 21.25
Evaluated at bid price : 21.25
Bid-YTW : 6.12 %

GWO.PR.Y Insurance Straight Quote: 19.40 – 20.00
Spot Rate : 0.6000
Average : 0.3830

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-10-09
Maturity Price : 19.40
Evaluated at bid price : 19.40
Bid-YTW : 5.85 %

October 8, 2024

October 8th, 2024
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 -0.1495 % 2,137.4
FixedFloater 0.00 % 0.00 % 0 0.00 0 -0.1495 % 4,099.5
Floater 9.66 % 10.18 % 36,376 9.42 4 -0.1495 % 2,362.6
OpRet 0.00 % 0.00 % 0 0.00 0 -0.0501 % 3,596.6
SplitShare 4.80 % 5.25 % 44,131 1.33 8 -0.0501 % 4,295.1
Interest-Bearing 0.00 % 0.00 % 0 0.00 0 -0.0501 % 3,351.2
Perpetual-Premium 0.00 % 0.00 % 0 0.00 0 -0.4075 % 2,898.7
Perpetual-Discount 5.94 % 6.03 % 50,218 13.81 31 -0.4075 % 3,160.9
FixedReset Disc 5.50 % 6.93 % 115,028 12.48 58 -0.0781 % 2,674.6
Insurance Straight 5.73 % 5.82 % 59,431 14.17 20 0.4780 % 3,159.2
FloatingReset 8.24 % 8.34 % 28,323 11.05 1 -0.0461 % 2,747.8
FixedReset Prem 6.45 % 5.78 % 209,205 13.50 7 0.0836 % 2,569.1
FixedReset Bank Non 0.00 % 0.00 % 0 0.00 0 -0.0781 % 2,734.0
FixedReset Ins Non 5.20 % 6.31 % 96,661 13.59 14 -0.0615 % 2,825.4
Performance Highlights
Issue Index Change Notes
PWF.PR.E Perpetual-Discount -2.98 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-10-08
Maturity Price : 22.19
Evaluated at bid price : 22.47
Bid-YTW : 6.24 %
ENB.PR.A Perpetual-Discount -2.13 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-10-08
Maturity Price : 22.24
Evaluated at bid price : 22.51
Bid-YTW : 6.19 %
PWF.PR.L Perpetual-Discount -1.98 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-10-08
Maturity Price : 21.25
Evaluated at bid price : 21.25
Bid-YTW : 6.13 %
MIC.PR.A Perpetual-Discount -1.72 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-10-08
Maturity Price : 20.56
Evaluated at bid price : 20.56
Bid-YTW : 6.63 %
FTS.PR.K FixedReset Disc -1.52 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-10-08
Maturity Price : 20.75
Evaluated at bid price : 20.75
Bid-YTW : 6.42 %
CU.PR.H Perpetual-Discount -1.30 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-10-08
Maturity Price : 21.71
Evaluated at bid price : 21.96
Bid-YTW : 6.05 %
ENB.PR.D FixedReset Disc -1.10 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-10-08
Maturity Price : 18.00
Evaluated at bid price : 18.00
Bid-YTW : 7.71 %
MFC.PR.L FixedReset Ins Non -1.08 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-10-08
Maturity Price : 22.29
Evaluated at bid price : 23.00
Bid-YTW : 5.91 %
BN.PR.N Perpetual-Discount -1.04 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-10-08
Maturity Price : 19.00
Evaluated at bid price : 19.00
Bid-YTW : 6.31 %
BN.PF.G FixedReset Disc 1.87 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-10-08
Maturity Price : 19.10
Evaluated at bid price : 19.10
Bid-YTW : 7.65 %
GWO.PR.T Insurance Straight 3.76 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-10-08
Maturity Price : 22.05
Evaluated at bid price : 22.05
Bid-YTW : 5.89 %
IFC.PR.I Insurance Straight 3.79 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-10-08
Maturity Price : 22.83
Evaluated at bid price : 23.25
Bid-YTW : 5.83 %
CCS.PR.C Insurance Straight 3.92 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-10-08
Maturity Price : 22.28
Evaluated at bid price : 22.55
Bid-YTW : 5.57 %
Volume Highlights
Issue Index Shares
Traded
Notes
RY.PR.J FixedReset Disc 93,330 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-10-08
Maturity Price : 23.64
Evaluated at bid price : 24.30
Bid-YTW : 5.93 %
GWO.PR.M Insurance Straight 80,900 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-10-08
Maturity Price : 23.92
Evaluated at bid price : 24.16
Bid-YTW : 6.04 %
ENB.PF.C FixedReset Disc 52,581 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-10-08
Maturity Price : 18.45
Evaluated at bid price : 18.45
Bid-YTW : 7.82 %
CM.PR.P FixedReset Disc 48,500 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-10-08
Maturity Price : 23.21
Evaluated at bid price : 24.12
Bid-YTW : 5.48 %
BMO.PR.W FixedReset Disc 46,780 YTW SCENARIO
Maturity Type : Call
Maturity Date : 2024-11-25
Maturity Price : 25.00
Evaluated at bid price : 25.09
Bid-YTW : 4.61 %
PVS.PR.L SplitShare 41,690 YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2030-06-30
Maturity Price : 25.00
Evaluated at bid price : 25.30
Bid-YTW : 5.31 %
There were 8 other index-included issues trading in excess of 10,000 shares.
Wide Spread Highlights
Issue Index Quote Data and Yield Notes
IFC.PR.F Insurance Straight Quote: 22.96 – 24.99
Spot Rate : 2.0300
Average : 1.1745

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-10-08
Maturity Price : 22.68
Evaluated at bid price : 22.96
Bid-YTW : 5.81 %

PWF.PR.E Perpetual-Discount Quote: 22.47 – 23.29
Spot Rate : 0.8200
Average : 0.5092

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-10-08
Maturity Price : 22.19
Evaluated at bid price : 22.47
Bid-YTW : 6.24 %

PWF.PR.T FixedReset Disc Quote: 21.75 – 23.13
Spot Rate : 1.3800
Average : 1.1008

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-10-08
Maturity Price : 21.48
Evaluated at bid price : 21.75
Bid-YTW : 6.46 %

BN.PR.N Perpetual-Discount Quote: 19.00 – 19.74
Spot Rate : 0.7400
Average : 0.5013

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-10-08
Maturity Price : 19.00
Evaluated at bid price : 19.00
Bid-YTW : 6.31 %

PWF.PR.L Perpetual-Discount Quote: 21.25 – 22.05
Spot Rate : 0.8000
Average : 0.5616

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-10-08
Maturity Price : 21.25
Evaluated at bid price : 21.25
Bid-YTW : 6.13 %

MFC.PR.N FixedReset Ins Non Quote: 21.05 – 21.65
Spot Rate : 0.6000
Average : 0.3964

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-10-08
Maturity Price : 21.05
Evaluated at bid price : 21.05
Bid-YTW : 6.41 %

October 7, 2024

October 7th, 2024
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 -0.2768 % 2,140.6
FixedFloater 0.00 % 0.00 % 0 0.00 0 -0.2768 % 4,105.6
Floater 9.64 % 10.18 % 36,634 9.42 4 -0.2768 % 2,366.1
OpRet 0.00 % 0.00 % 0 0.00 0 -0.2199 % 3,598.4
SplitShare 4.80 % 5.22 % 44,013 1.33 8 -0.2199 % 4,297.2
Interest-Bearing 0.00 % 0.00 % 0 0.00 0 -0.2199 % 3,352.8
Perpetual-Premium 0.00 % 0.00 % 0 0.00 0 -0.2773 % 2,910.5
Perpetual-Discount 5.91 % 6.02 % 49,725 13.85 31 -0.2773 % 3,173.8
FixedReset Disc 5.49 % 6.88 % 117,482 12.48 58 0.0440 % 2,676.7
Insurance Straight 5.76 % 5.81 % 59,743 14.17 20 -0.4437 % 3,144.2
FloatingReset 8.23 % 8.33 % 28,194 11.06 1 1.4012 % 2,749.1
FixedReset Prem 6.45 % 5.80 % 216,504 13.50 7 -0.4163 % 2,567.0
FixedReset Bank Non 0.00 % 0.00 % 0 0.00 0 0.0440 % 2,736.1
FixedReset Ins Non 5.20 % 6.32 % 100,320 13.59 14 -0.0682 % 2,827.2
Performance Highlights
Issue Index Change Notes
IFC.PR.I Insurance Straight -5.25 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-10-07
Maturity Price : 22.07
Evaluated at bid price : 22.40
Bid-YTW : 6.06 %
CCS.PR.C Insurance Straight -5.03 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-10-07
Maturity Price : 21.44
Evaluated at bid price : 21.70
Bid-YTW : 5.79 %
PWF.PR.T FixedReset Disc -4.61 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-10-07
Maturity Price : 21.48
Evaluated at bid price : 21.75
Bid-YTW : 6.45 %
FTS.PR.J Perpetual-Discount -2.38 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-10-07
Maturity Price : 20.50
Evaluated at bid price : 20.50
Bid-YTW : 5.88 %
POW.PR.C Perpetual-Discount -1.97 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-10-07
Maturity Price : 23.61
Evaluated at bid price : 23.88
Bid-YTW : 6.09 %
IFC.PR.C FixedReset Ins Non -1.91 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-10-07
Maturity Price : 20.50
Evaluated at bid price : 20.50
Bid-YTW : 6.69 %
ENB.PF.K FixedReset Disc -1.77 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-10-07
Maturity Price : 22.60
Evaluated at bid price : 23.35
Bid-YTW : 6.77 %
BIP.PR.B FixedReset Disc -1.42 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-10-07
Maturity Price : 23.86
Evaluated at bid price : 24.30
Bid-YTW : 7.70 %
CU.PR.C FixedReset Disc -1.19 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-10-07
Maturity Price : 20.75
Evaluated at bid price : 20.75
Bid-YTW : 6.66 %
POW.PR.D Perpetual-Discount -1.04 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-10-07
Maturity Price : 21.03
Evaluated at bid price : 21.03
Bid-YTW : 5.98 %
PVS.PR.J SplitShare -1.01 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2028-02-29
Maturity Price : 25.00
Evaluated at bid price : 24.40
Bid-YTW : 5.33 %
NA.PR.W FixedReset Disc 1.05 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-10-07
Maturity Price : 22.20
Evaluated at bid price : 22.90
Bid-YTW : 5.77 %
SLF.PR.G FixedReset Ins Non 1.11 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-10-07
Maturity Price : 16.35
Evaluated at bid price : 16.35
Bid-YTW : 6.73 %
FTS.PR.M FixedReset Disc 1.13 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-10-07
Maturity Price : 20.50
Evaluated at bid price : 20.50
Bid-YTW : 6.88 %
CU.PR.H Perpetual-Discount 1.14 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-10-07
Maturity Price : 22.01
Evaluated at bid price : 22.25
Bid-YTW : 5.97 %
ENB.PF.A FixedReset Disc 1.22 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-10-07
Maturity Price : 19.05
Evaluated at bid price : 19.05
Bid-YTW : 7.65 %
FFH.PR.D FloatingReset 1.40 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-10-07
Maturity Price : 21.71
Evaluated at bid price : 21.71
Bid-YTW : 8.33 %
BN.PR.X FixedReset Disc 1.41 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-10-07
Maturity Price : 16.59
Evaluated at bid price : 16.59
Bid-YTW : 7.37 %
GWO.PR.S Insurance Straight 1.53 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-10-07
Maturity Price : 22.24
Evaluated at bid price : 22.51
Bid-YTW : 5.87 %
FTS.PR.K FixedReset Disc 1.69 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-10-07
Maturity Price : 21.07
Evaluated at bid price : 21.07
Bid-YTW : 6.31 %
TD.PF.E FixedReset Disc 3.80 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-10-07
Maturity Price : 23.23
Evaluated at bid price : 23.77
Bid-YTW : 6.13 %
BIP.PR.A FixedReset Disc 4.66 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-10-07
Maturity Price : 21.35
Evaluated at bid price : 21.35
Bid-YTW : 7.69 %
Volume Highlights
Issue Index Shares
Traded
Notes
TD.PF.D FixedReset Disc 178,000 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-10-07
Maturity Price : 23.55
Evaluated at bid price : 24.15
Bid-YTW : 6.00 %
BMO.PR.W FixedReset Disc 118,000 YTW SCENARIO
Maturity Type : Call
Maturity Date : 2024-11-25
Maturity Price : 25.00
Evaluated at bid price : 25.09
Bid-YTW : 4.51 %
RY.PR.J FixedReset Disc 52,600 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-10-07
Maturity Price : 23.68
Evaluated at bid price : 24.33
Bid-YTW : 5.92 %
RY.PR.S FixedReset Prem 48,500 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-10-07
Maturity Price : 23.29
Evaluated at bid price : 25.24
Bid-YTW : 5.52 %
NA.PR.S FixedReset Disc 32,900 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-10-07
Maturity Price : 23.13
Evaluated at bid price : 24.82
Bid-YTW : 5.64 %
PVS.PR.L SplitShare 28,400 YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2030-06-30
Maturity Price : 25.00
Evaluated at bid price : 25.40
Bid-YTW : 5.22 %
There were 15 other index-included issues trading in excess of 10,000 shares.
Wide Spread Highlights
Issue Index Quote Data and Yield Notes
CU.PR.C FixedReset Disc Quote: 20.75 – 22.78
Spot Rate : 2.0300
Average : 1.2774

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-10-07
Maturity Price : 20.75
Evaluated at bid price : 20.75
Bid-YTW : 6.66 %

IFC.PR.I Insurance Straight Quote: 22.40 – 23.74
Spot Rate : 1.3400
Average : 0.8281

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-10-07
Maturity Price : 22.07
Evaluated at bid price : 22.40
Bid-YTW : 6.06 %

PWF.PR.T FixedReset Disc Quote: 21.75 – 23.05
Spot Rate : 1.3000
Average : 0.7946

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-10-07
Maturity Price : 21.48
Evaluated at bid price : 21.75
Bid-YTW : 6.45 %

CCS.PR.C Insurance Straight Quote: 21.70 – 22.80
Spot Rate : 1.1000
Average : 0.7609

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-10-07
Maturity Price : 21.44
Evaluated at bid price : 21.70
Bid-YTW : 5.79 %

MFC.PR.F FixedReset Ins Non Quote: 16.20 – 16.97
Spot Rate : 0.7700
Average : 0.4620

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-10-07
Maturity Price : 16.20
Evaluated at bid price : 16.20
Bid-YTW : 6.62 %

BN.PF.J FixedReset Disc Quote: 23.11 – 23.70
Spot Rate : 0.5900
Average : 0.4042

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-10-07
Maturity Price : 22.48
Evaluated at bid price : 23.11
Bid-YTW : 6.75 %

MAPF Performance: September, 2024

October 6th, 2024

Malachite Aggressive Preferred Fund’s Net Asset Value per Unit as of the close September 30, 2024, was $10.3641 after a dividend distribution of $0.154798.

Performance was affected by FFH.PR.I underperforming (-2.08%, following last month’s underperformance), FTS.PR.M (-1.42%) and BN.PR.R (-1.23%, following last month’s underperformance). These were outweighed by outperformance from TRP.PR.E (+1.68%) together with a host of issues held in smaller size [small holdings are not considered for individual mention here].

FixedResets continue to yield more, in general, than PerpetualDiscounts although the spread has narrowed considerably in the past year; on September 30, I reported median YTWs of 6.56% and 5.96%, respectively, for these two indices; compare with mean Current Yields of 5.49% and 5.87%, respectively.

Returns to September 30, 2024
Period MAPF TXPR*
Total Return
CPD – according to Blackrock
One Month +0.57% +0.48% N/A
Three Months +6.77% +5.52% N/A
One Year +37.26% +29.26% +28.37%
Two Years (annualized) +17.23% +11.12% N/A
Three Years (annualized) +3.88% +2.03% +1.49%
Four Years (annualized) +14.64% +7.57% N/A
Five Years (annualized) +11.69% +6.59% +5.99%
Six Years (annualized) +5.53% +3.56% N/A
Seven Years (annualized) +6.19% +3.78% N/A
Eight Years (annualized) +8.42% +5.28% N/A
Nine Years (annualized) +8.48% +5.64% N/A
Ten Years (annualized) +5.06% +2.79% +2.28%
Eleven Years (annualized) +5.47% +3.03%  
Twelve Years (annualized) +4.90% +2.69%  
Thirteen Years (annualized) +5.47% +2.98%  
Fourteen Years (annualized) +5.28% +3.14%  
Fifteen Years (annualized) +5.93% +3.52%  
Sixteen Years (annualized) +8.78% +3.86%  
Seventeen Years (annualized) +8.00% +3.12%  
Eighteen Years (annualized) +7.61%    
Nineteen Years (annualized) +7.52%    
Twenty Years (annualized) +7.50%    
Twenty-One Years (annualized) +7.87%    
Twenty-Two Years (annualized) +8.86%    
Twenty-Three Years (annualized) +8.22%    
MAPF returns assume reinvestment of distributions, and are shown after expenses but before fees.
The BMO Capital Markets “50” Preferred Share Index is no longer being calculated. The final performance report incorporating this venerable index was published as of December, 2020.
“TXPR” is the S&P/TSX Preferred Share Index. It is calculated without accounting for fees, but does assume reinvestment of dividends.
CPD Returns are for the NAV and are after all fees and expenses. Reinvestment of dividends is assumed.
All fund and ETF returns shown below are after all fees and expenses
Figures for NBI Preferred Equity Income Fund, Series F [NBC780] (formerly Omega Preferred Equity) (which are after all fees and expenses) for 1-, 3- and 12-months are +0.84%, +5.79% and +30.96%, respectively, according to National Bank Investments after all fees & expenses. Three year performance is +2.82%; five year is +8.48%; ten year is +4.58%.

Figures from Morningstar are no longer conveniently available.

Manulife Preferred Income Class Adv has been terminated by Manulife. The performance of this fund was last reported here in March, 2018.
Figures for Horizons Active Preferred Share ETF (HPR) (which are after all fees and expenses) for 1-, 3- and 12-months are +0.42%, +4.47% & +31.53%, respectively. Three year performance is +2.89%, five-year is +8.20%, ten year is +3.74%
Figures for NBI Preferred Equity Fund Series F [NBC710] (formerly Altamira Preferred Equity Fund) are +0.33%, +4.56% and +32.49% for one-, three- and twelve months, respectively. Three year performance is +3.32%; five-year is +8.59%; ten-year is +3.90%

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

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

The figures for the NAV of BMO Laddered Preferred Share Index ETF (ZPR) is +30.60% for the past twelve months. Two year performance is +11.72%, three year is +2.84%, five year is +7.82%, ten year is +2.28%

Note that analysis of ZPR shows some doubt as to whether this fund is either "laddered" or an "index fund". However, there was a remarkable improvement in the laddering in the six months following the publication of my analysis.

Figures for Fiera Canadian Preferred Share Class Cg Series F, (formerly Natixis Canadian Preferred Share Class Series F) (formerly NexGen Canadian Preferred Share Tax Managed Fund) are no longer available as the Fund is now the property of Canoe Financial. The last reported performance for the merged fund was May 2020.
Figures for BMO Preferred Share Fund (advisor series) are not available as the fund has been terminated. This is as per an announcement by the bank on 2024-5-28. The last performance report for this awful fund was as of July 31, 2024.
Figures for PowerShares Canadian Preferred Share Index Class, Series F (PPS) are no longer available since the fund has been terminated. Performance was last reported for the fund to month-end, March 2023
Figures for the First Asset Preferred Share Investment Trust (PSF.UN) are no longer available since the fund has merged with First Asset Preferred Share ETF (FPR).

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

Figures for Lysander-Slater Preferred Share Dividend Fund (Class F) according to the company are +0.7%, +4.7% and +28.4% for the past one, three and twelve months, respectively. Three year performance is +2.5%, five-year is +7.4%.
Figures for the Desjardins Canadian Preferred Share Fund F Class (F Class), as reported by the company are +0.30%, +5.44% and +29.21% for the past one, three and twelve months, respectively. Two year performance is +11.49%, three-year is +2.03%, five-year is +6.68%
Figures for the RBC Canadian Preferred Share ETF (RPF) are reported as +0.4%, +4.3% and +31.4% for the past one, three and twelve months, respectively. Three-year performance is +1.7%, five-year is +7.2%
Figures for the Dynamic Active Preferred Shares ETF (DXP) are +0.4%, +5.6% and +30.3% for the past one, three and twelve months, respectively. Three-year performance is +4.0%; five-year is +9.5%
Figures for the Purpose Canadian Preferred Share Fund (Class F) are +0.30%, +3.42% and +28.48% for the past one, three and twelve months, respectively. Three-year performance is +1.89%; four-year is +11.23%; five-year is +8.90%; seven-year is +3.68%; ten-year is +5.41%.
Figures for the TD Active Preferred Share ETF (TPRF) are +0.65%, +5.69% and +32.14% for the past one, three and twelve months, respectively. Two-year performance is +12.83%, three-year is +4.06%; five-year is +10.03%.

Note that “The TD ETF may also hold common shares, government and corporate bonds, and other income-producing securities. … The TD ETF may invest in foreign securities to an extent that will vary from time to time but is not typically expected to exceed 5% of its assets at the time that foreign securities are purchased.

The non-preferred share components of the portfolio are relatively minor – as of their year-end 2023 report, they had $1.6-million in Canadian Natural Resources Limited common, $1.8-million in RBC common, $1.6-million in SLF common, and $1.75-million in Fortis common, totalling $6.75-million in a $220-million portfolio.

I take the view that the purpose of this mandate is to destroy, or at least deprecate, comparability. Banks hate comparability.

The five-year Canada yield decreased, with the five-year Canada yield (“GOC-5”) moving from 2.97% at August month-end to 2.74% at September month-end.

I regret that I am behind in my duties this month. More commentary will follow.

I will note that the fund’s current holdings of FixedResets are now paying dividends based on their previous reset at an average GOC-5 rate of 1.69% (weighted by shares held).

Calculation of MAPF Sustainable Income Per Unit
Month NAVPU Portfolio
Average
YTW
Leverage
Divisor
Securities
Average
YTW
Capital
Gains
Multiplier
Sustainable
Income
per
current
Unit
June, 2007 9.3114 5.16% 1.03 5.01% 1.3240 0.3524
September 9.1489 5.35% 0.98 5.46% 1.3240 0.3773
December, 2007 9.0070 5.53% 0.942 5.87% 1.3240 0.3993
March, 2008 8.8512 6.17% 1.047 5.89% 1.3240 0.3938
June 8.3419 6.034% 0.952 6.338% 1.3240 $0.3993
September 8.1886 7.108% 0.969 7.335% 1.3240 $0.4537
December, 2008 8.0464 9.24% 1.008 9.166% 1.3240 $0.5571
March 2009 $8.8317 8.60% 0.995 8.802% 1.3240 $0.5872
June 10.9846 7.05% 0.999 7.057% 1.3240 $0.5855
September 12.3462 6.03% 0.998 6.042% 1.3240 $0.5634
December 2009 10.5662 5.74% 0.981 5.851% 1.1141 $0.5549
March 2010 10.2497 6.03% 0.992 6.079% 1.1141 $0.5593
June 10.5770 5.96% 0.996 5.984% 1.1141 $0.5681
September 11.3901 5.43% 0.980 5.540% 1.1141 $0.5664
December 2010 10.7659 5.37% 0.993 5.408% 1.0298 $0.5654
March, 2011 11.0560 6.00% 0.994 5.964% 1.0298 $0.6403
June 11.1194 5.87% 1.018 5.976% 1.0298 $0.6453
September 10.2709 6.10%
Note
1.001 6.106% 1.0298 $0.6090
December, 2011 10.0793 5.63%
Note
1.031 5.805% 1.0000 $0.5851
March, 2012 10.3944 5.13%
Note
0.996 5.109% 1.0000 $0.5310
June 10.2151 5.32%
Note
1.012 5.384% 1.0000 $0.5500
September 10.6703 4.61%
Note
0.997 4.624% 1.0000 $0.4934
December, 2012 10.8307 4.24% 0.989 4.287% 1.0000 $0.4643
March, 2013 10.9033 3.87% 0.996 3.886% 1.0000 $0.4237
June 10.3261 4.81% 0.998 4.80% 1.0000 $0.4957
September 10.0296 5.62% 0.996 5.643% 1.0000 $0.5660
December, 2013 9.8717 6.02% 1.008 5.972% 1.0000 $0.5895
March, 2014 10.2233 5.55% 0.998 5.561% 1.0000 $0.5685
June 10.5877 5.09% 0.998 5.100% 1.0000 $0.5395
September 10.4601 5.28% 0.997 5.296% 1.0000 $0.5540
December, 2014 10.5701 4.83% 1.009 4.787% 1.0000 $0.5060
March, 2015 9.9573 4.99% 1.001 4.985% 1.0000 $0.4964
June, 2015 9.4181 5.55% 1.002 5.539% 1.0000 $0.5217
September 7.8140 6.98% 0.999 6.987% 1.0000 $0.5460
December, 2015 8.1379 6.85% 0.997 6.871% 1.0000 $0.5592
March, 2016 7.4416 7.79% 0.998 7.805% 1.0000 $0.5808
June 7.6704 7.67% 1.011 7.587% 1.0000 $0.5819
September 8.0590 7.35% 0.993 7.402% 1.0000 $0.5965
December, 2016 8.5844 7.24% 0.990 7.313% 1.0000 $0.6278
March, 2017 9.3984 6.26% 0.994 6.298% 1.0000 $0.5919
June 9.5313 6.41% 0.998 6.423% 1.0000 $0.6122
September 9.7129 6.56% 0.998 6.573% 1.0000 $0.6384
December, 2017 10.0566 6.06% 1.004 6.036% 1.0000 $0.6070
March, 2018 10.2701 6.22% 1.007 6.177% 1.0000 $0.6344
June 10.2518 6.22% 0.995 6.251% 1.0000 $0.6408
September 10.2965 6.62% 1.018 6.503% 1.0000 $0.6696
December, 2018 8.6875 7.16% 0.997 7.182% 1.0000 $0.6240
March, 2019 8.4778 7.09% 1.007 7.041% 1.0000 $0.5969
June 8.0896 7.33% 0.996 7.359% 1.0000 $0.5953
September 7.7948 7.96% 0.998 7.976% 1.0000 $0.6217
December, 2019 8.0900 6.03% 0.995 6.060% 1.0000 $0.4903
March 5.5596 7.04% 1.006 6.998% 1.0000 $0.3891
June 6.3568 6.10% 0.9900 6.162% 1.0000 $0.3917
September 7.2852 5.32% 1.00 5.320% 1.0000 $0.3876
December, 2020 8.3947 4.46% 0.999 4.464% 1.0000 $0.3747
March, 2021 9.6473 4.48% 0.996 4.498% 1.0000 $0.4339
June 10.3712 3.92% 0.985 3.980% 1.0000 $0.4127
September 10.7572 4.08% 1.017 4.012% 1.0000 $0.4316
December, 2021 10.7432 4.31% 0.999 4.314% 1.0000 $0.4635
March, 2022 10.5040 5.53% 1.004 5.508% 1.0000 $0.5786
June 9.3115 7.04% 0.993 7.090% 1.0000 $0.6672
September 8.4093 8.10% 0.997 8.124% 1.0000 $0.6916
December, 2022 7.9921 8.47% 0.996 8.504% 1.0000 $0.6796
March, 2023 8.0788 7.90% 0.997 7.924% 1.0000 $0.6401
June 30 8.0197 9.19% 1.003 9.163% 1.0000 $0.7348
September 29 7.9922 9.86% 0.997 9.890% 1.0000 $0.7904
Decenber 29, 2023 8.4715 8.14% 1.002 8.124% 1.0000 $0.6882
March 28,2024 9.5892 7.60% 1.006 7.555% 1.0000 $0.7244
June 28, 2024 9.8516 7.32% 0.999 7.327% 1.0000 $0.7219
September 30,2024 10.3641 6.55% 0.990 6.616% 1.0000 $0.6857
NAVPU is shown after quarterly distributions of dividend income and annual distribution of capital gains.
Portfolio YTW includes cash (or margin borrowing), with an assumed interest rate of 0.00%
The Leverage Divisor indicates the level of cash in the account: if the portfolio is 1% in cash, the Leverage Divisor will be 0.99
Securities YTW divides “Portfolio YTW” by the “Leverage Divisor” to show the average YTW on the securities held; this assumes that the cash is invested in (or raised from) all securities held, in proportion to their holdings.
The Capital Gains Multiplier adjusts for the effects of Capital Gains Dividends. On 2009-12-31, there was a capital gains distribution of $1.989262 which is assumed for this purpose to have been reinvested at the final price of $10.5662. Thus, a holder of one unit pre-distribution would have held 1.1883 units post-distribution; the CG Multiplier reflects this to make the time-series comparable. Note that Dividend Distributions are not assumed to be reinvested.
Sustainable Income is the resultant estimate of the fund’s dividend income per current unit, before fees and expenses. Note that a “current unit” includes reinvestment of prior capital gains; a unitholder would have had the calculated sustainable income with only, say, 0.9 units in the past which, with reinvestment of capital gains, would become 1.0 current units.
DeemedRetractibles are comprised of all Straight Perpetuals (both PerpetualDiscount and PerpetualPremium) issued by BMO, BNS, CM, ELF, GWO, HSB, IAG, MFC, NA, RY, SLF and TD, which are not exchangable into common at the option of the company or the regulator (definition refined in May, 2011). These issues are analyzed as if their prospectuses included a requirement to redeem at par on or prior to 2022-1-31 (banks) or the Deemed Maturity date for insurers and insurance holding companies (see below)), in addition to the call schedule explicitly defined. See the Deemed Retractible Review: September 2016 for the rationale behind this analysis.

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

In November, 2019, the assumption of DeemedRetraction for insurance issues was cancelled in the wake of the IAIS decision included in ICS 2.0. This resulted in a large drop in the yield calculated for these issues

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

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

Canada Yields Assumed in Calculations
Month-end GOC-5 3-Month Bill
September, 2015 0.78% 0.40%
December, 2015 0.71% 0.46%
March, 2016 0.70% 0.44%
June 0.57% 0.47%
September 0.58% 0.53%
December, 2016 1.16% 0.47%
March, 2017 1.08% 0.55%
June 1.35% 0.69%
September 1.79% 0.97%
December, 2017 1.83% 1.00%
March, 2018 2.06% 1.08%
June 1.95% 1.22%
September 2.33% 1.55%
December, 2018 1.88% 1.65%
March, 2019 1.46% 1.66%
June 1.34% 1.66%
September 1.41% 1.66%
December, 2019 1.68% 1.68%
March, 2020 0.57% 0.21%
June 0.37% 0.21%
September 0.35% 0.14%
December, 2020 0.42% 0.08%
March, 2021 0.94% 0.09%
June 0.93% 0.13%
September 1.07% 0.13%
December, 2021 1.31% 0.16%
March, 2022 2.44% 0.53%
June 3.24% 2.11%
September 3.45% 3.60%
December, 2022 3.37% 4.35%
March, 2023 2.93% 4.44%
June 3.74% 5.00%
September 4.31% 5.21%
December, 2023 3.21% 5.13%
March, 2024 3.55% 5.06%
June 3.41% 4.71%
September, 2024 2.74% 3.94%

MAPF Portfolio Composition: September 2024

October 6th, 2024

Turnover remained low at 6% in September.

Sectoral distribution of the MAPF portfolio on September 30, 2024, were:

MAPF Sectoral Analysis 2024-9-30
HIMI Indices Sector Weighting YTW ModDur
Ratchet 0% N/A N/A
FixFloat 0% N/A N/A
Floater 0% N/A N/A
OpRet 0% N/A N/A
SplitShare 0% N/A N/A
Interest Rearing 0% N/A N/A
PerpetualPremium 0% N/A N/A
PerpetualDiscount 5.8% 6.31% 13.51
Fixed-Reset Discount 54.0% 6.73% 13.05
Insurance – Straight 17.7% 5.64% 14.46
FloatingReset 0% N/A N/A
FixedReset Premium 0% N/A N/A
FixedReset Bank non-NVCC 0% N/A N/A
FixedReset Insurance non-NVCC 8.2% 6.19% 14.08
Scraps – Ratchet 1.2% 10.64% 9.69
Scraps – FixedFloater 0% N/A N/A
Scraps – Floater 0% N/A N/A
Scraps – OpRet 0% N/A N/A
Scraps – SplitShare 2.3% 7.00% 3.92
Scraps – PerpPrem 0% N/A N/A
Scraps – PerpDisc 0% N/A N/A
Scraps – FR Discount 9.9% 7.65% 11.96
Scraps – Insurance Straight 0% N/A N/A
Scraps – FloatingReset 0% N/A N/A
Scraps – FR Premium 0% N/A N/A
Scraps – Bank non-NVCC 0% N/A N/A
Scraps – Ins non-NVCC 0% N/A N/A
Cash +1.0% 0.00% 0.00
Total 100% 6.55% 12.93
Totals and changes will not add precisely due to rounding. Cash is included in totals with duration and yield both equal to zero.
The various “Scraps” indices include issues with a DBRS rating of Pfd-3(high) or lower and issues with an Average Trading Value (calculated with HIMIPref™ methodology, which is relatively complex) of less than $25,000. The issues considered “Scraps” are subdivided into indices which reflect those of the main indices.
DeemedRetractibles were comprised of all Straight Perpetuals (both PerpetualDiscount and PerpetualPremium) issued by BMO, BNS, CM, ELF, GWO, HSB, IAG, MFC, NA, RY, SLF and TD, which are not exchangable into common at the option of the company or the regulator. These issues are analyzed as if their prospectuses included a requirement to redeem at par on or prior to 2022-1-31 in the case of banks or normally in the case of insurers and insurance holding companies, in addition to the call schedule explicitly defined. See the Deemed Retractible Review: September 2016 for the rationale behind this analysis and IAIS Says No To DeemedRetractions for the recent change in policy with respect to insurers.

Note that the estimate for the time this will become effective for insurers and insurance holding companies was extended by three years in April 2013, due to the delays in OSFI’s providing clarity on the issue and by a further five years in December, 2018; the estimate was eliminated in November. However, the distinctions are being kept because it is useful to distinguish insurance issues from others.

The name of this subindex has been changed to “Insurance Straight” as of November, 2020

Calculations of yield and related attributes of resettable instruments are performed assuming a constant GOC-5 rate of 2.74%, a constant 3-Month Bill rate of 3.94% and a constant Canada Prime Rate of 6.45%

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

Credit distribution is:

MAPF Credit Analysis 2024-09-30
DBRS Rating MAPF Weighting
Pfd-1 0
Pfd-1(low) 0
Pfd-2(high) 30.00%
Pfd-2 26.3%
Pfd-2(low) 29.4%
Pfd-3(high) 7.6%
Pfd-3 1.5%
Pfd-3(low) 4.0%
Pfd-4(high) 0.2%
Pfd-4 0%
Pfd-4(low) 0%
Pfd-5(high) 0%
Pfd-5 0%
Cash 1.0%
Totals will not add precisely due to rounding.
A position held in INE.PR.A is not rated by DBRS nor by S&P, but has been included as “Pfd-4(high)” in the above table on the basis of its last S&P rating of P-4(high) and its BB rating from Fitch. A “BB” rating would normally map to Pfd-3, but the company’s disdain for the two major preferred share agencies makes me nervous.

Liquidity Distribution is:

MAPF Liquidity Analysis 2024-09-30
Average Daily Trading MAPF Weighting
<$50,000 4.4%
$50,000 – $100,000 28.4%
$100,000 – $200,000 34.5%
$200,000 – $300,000 19.5%
>$300,000 12.3%
Cash 1.0%
Totals will not add precisely due to rounding.

The distribution of Issue Reset Spreads is:

Range MAPF Weight
<100bp 0%
100-149bp 2.0%
150-199bp 1.0%
200-249bp 47.9%
250-299bp 19.8%
300-349bp 0.6%
350-399bp 1.7%
400-449bp 0%
450-499bp 0%
500-549bp 0%
550-599bp 0%
>= 600bp 0%
Undefined 26.9%

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

Range MAPF Weight
Currently Floating 2.1%
0-1 Year 19.2%
1-2 Years 23.0%
2-3 Years 16.0%
3-4 Years 9.2%
4-5 Years 4.8%
5-6 Years 0%
>6 Years 0%
Not Floating Rate 25.7%

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

October 4, 2024

October 6th, 2024
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 -0.8370 % 2,146.5
FixedFloater 0.00 % 0.00 % 0 0.00 0 -0.8370 % 4,117.0
Floater 10.03 % 10.16 % 84,446 9.44 2 -0.8370 % 2,372.7
OpRet 0.00 % 0.00 % 0 0.00 0 0.1604 % 3,606.3
SplitShare 4.78 % 5.12 % 113,187 4.17 4 0.1604 % 4,306.7
Interest-Bearing 0.00 % 0.00 % 0 0.00 0 0.1604 % 3,360.2
Perpetual-Premium 0.00 % 0.00 % 0 0.00 0 -0.2264 % 2,918.6
Perpetual-Discount 5.90 % 6.00 % 50,114 13.88 31 -0.2264 % 3,182.6
FixedReset Disc 5.50 % 6.53 % 119,226 12.79 58 0.4647 % 2,675.5
Insurance Straight 5.73 % 5.80 % 61,826 14.23 20 -0.0620 % 3,158.2
FloatingReset 8.23 % 8.37 % 29,269 11.02 2 -0.1057 % 2,711.1
FixedReset Prem 6.43 % 5.51 % 219,280 13.55 7 -0.0666 % 2,577.7
FixedReset Bank Non 0.00 % 0.00 % 0 0.00 0 0.4647 % 2,734.9
FixedReset Ins Non 5.19 % 5.87 % 98,893 14.06 14 0.5524 % 2,829.1
Performance Highlights
Issue Index Change Notes
GWO.PR.T Insurance Straight -4.28 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-10-04
Maturity Price : 21.25
Evaluated at bid price : 21.25
Bid-YTW : 6.11 %
BIP.PR.A FixedReset Disc -4.00 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-10-04
Maturity Price : 20.40
Evaluated at bid price : 20.40
Bid-YTW : 7.63 %
BN.PF.C Perpetual-Discount -1.91 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-10-04
Maturity Price : 19.52
Evaluated at bid price : 19.52
Bid-YTW : 6.27 %
BN.PR.N Perpetual-Discount -1.75 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-10-04
Maturity Price : 19.11
Evaluated at bid price : 19.11
Bid-YTW : 6.27 %
BN.PR.M Perpetual-Discount -1.53 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-10-04
Maturity Price : 19.26
Evaluated at bid price : 19.26
Bid-YTW : 6.22 %
GWO.PR.P Insurance Straight -1.52 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-10-04
Maturity Price : 22.49
Evaluated at bid price : 22.75
Bid-YTW : 5.97 %
GWO.PR.S Insurance Straight -1.29 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-10-04
Maturity Price : 21.94
Evaluated at bid price : 22.17
Bid-YTW : 5.96 %
BN.PF.A FixedReset Disc -1.02 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-10-04
Maturity Price : 22.55
Evaluated at bid price : 23.38
Bid-YTW : 6.35 %
BN.PF.D Perpetual-Discount -1.01 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-10-04
Maturity Price : 19.65
Evaluated at bid price : 19.65
Bid-YTW : 6.29 %
CM.PR.Q FixedReset Disc 1.09 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-10-04
Maturity Price : 23.58
Evaluated at bid price : 24.17
Bid-YTW : 5.58 %
FFH.PR.E FixedReset Disc 1.20 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-10-04
Maturity Price : 16.90
Evaluated at bid price : 16.90
Bid-YTW : 7.22 %
RY.PR.M FixedReset Disc 1.24 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-10-04
Maturity Price : 23.21
Evaluated at bid price : 23.73
Bid-YTW : 5.49 %
CM.PR.P FixedReset Disc 1.26 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-10-04
Maturity Price : 23.20
Evaluated at bid price : 24.10
Bid-YTW : 5.10 %
TD.PF.A FixedReset Disc 1.40 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-10-04
Maturity Price : 22.37
Evaluated at bid price : 23.17
Bid-YTW : 5.40 %
BMO.PR.Y FixedReset Disc 1.67 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-10-04
Maturity Price : 23.82
Evaluated at bid price : 24.35
Bid-YTW : 5.48 %
MIC.PR.A Perpetual-Discount 1.75 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-10-04
Maturity Price : 20.92
Evaluated at bid price : 20.92
Bid-YTW : 6.51 %
TD.PF.D FixedReset Disc 1.85 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-10-04
Maturity Price : 23.63
Evaluated at bid price : 24.21
Bid-YTW : 5.63 %
IFC.PR.C FixedReset Ins Non 1.85 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-10-04
Maturity Price : 20.90
Evaluated at bid price : 20.90
Bid-YTW : 6.19 %
ENB.PF.G FixedReset Disc 1.94 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-10-04
Maturity Price : 17.89
Evaluated at bid price : 17.89
Bid-YTW : 7.43 %
RY.PR.J FixedReset Disc 1.97 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-10-04
Maturity Price : 23.63
Evaluated at bid price : 24.29
Bid-YTW : 5.57 %
TD.PF.C FixedReset Disc 2.49 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-10-04
Maturity Price : 22.29
Evaluated at bid price : 23.06
Bid-YTW : 5.43 %
MFC.PR.M FixedReset Ins Non 3.67 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-10-04
Maturity Price : 21.47
Evaluated at bid price : 21.77
Bid-YTW : 5.87 %
ENB.PF.A FixedReset Disc 4.56 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-10-04
Maturity Price : 18.82
Evaluated at bid price : 18.82
Bid-YTW : 7.26 %
BMO.PR.W FixedReset Disc 4.98 % YTW SCENARIO
Maturity Type : Call
Maturity Date : 2024-11-25
Maturity Price : 25.00
Evaluated at bid price : 25.08
Bid-YTW : 4.54 %
IFC.PR.E Insurance Straight 5.93 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-10-04
Maturity Price : 22.22
Evaluated at bid price : 22.50
Bid-YTW : 5.81 %
Volume Highlights
Issue Index Shares
Traded
Notes
BMO.PR.W FixedReset Disc 108,863 YTW SCENARIO
Maturity Type : Call
Maturity Date : 2024-11-25
Maturity Price : 25.00
Evaluated at bid price : 25.08
Bid-YTW : 4.54 %
ENB.PR.B FixedReset Disc 55,838 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-10-04
Maturity Price : 17.90
Evaluated at bid price : 17.90
Bid-YTW : 7.32 %
MFC.PR.Q FixedReset Ins Non 50,200 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-10-04
Maturity Price : 22.89
Evaluated at bid price : 24.02
Bid-YTW : 5.66 %
PVS.PR.K SplitShare 43,000 YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2029-05-31
Maturity Price : 25.00
Evaluated at bid price : 24.92
Bid-YTW : 4.64 %
MFC.PR.L FixedReset Ins Non 39,600 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-10-04
Maturity Price : 22.46
Evaluated at bid price : 23.30
Bid-YTW : 5.53 %
PVS.PR.L SplitShare 38,200 YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2030-06-30
Maturity Price : 25.00
Evaluated at bid price : 25.36
Bid-YTW : 5.25 %
There were 18 other index-included issues trading in excess of 10,000 shares.
Wide Spread Highlights
Issue Index Quote Data and Yield Notes
GWO.PR.T Insurance Straight Quote: 21.25 – 22.54
Spot Rate : 1.2900
Average : 0.8774

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-10-04
Maturity Price : 21.25
Evaluated at bid price : 21.25
Bid-YTW : 6.11 %

BIP.PR.A FixedReset Disc Quote: 20.40 – 21.40
Spot Rate : 1.0000
Average : 0.6795

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-10-04
Maturity Price : 20.40
Evaluated at bid price : 20.40
Bid-YTW : 7.63 %

TD.PF.E FixedReset Disc Quote: 22.90 – 24.15
Spot Rate : 1.2500
Average : 1.0137

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-10-04
Maturity Price : 22.42
Evaluated at bid price : 22.90
Bid-YTW : 6.00 %

BN.PF.C Perpetual-Discount Quote: 19.52 – 20.10
Spot Rate : 0.5800
Average : 0.3678

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-10-04
Maturity Price : 19.52
Evaluated at bid price : 19.52
Bid-YTW : 6.27 %

NA.PR.S FixedReset Disc Quote: 24.99 – 25.45
Spot Rate : 0.4600
Average : 0.3027

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-10-04
Maturity Price : 23.19
Evaluated at bid price : 24.99
Bid-YTW : 5.43 %

CU.PR.H Perpetual-Discount Quote: 22.00 – 23.00
Spot Rate : 1.0000
Average : 0.8489

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-10-04
Maturity Price : 21.75
Evaluated at bid price : 22.00
Bid-YTW : 6.04 %

eMail Problem FIXED!

October 4th, 2024

I am greatly relieved to announce that my eMail problem has been resolved and things are back to normal.

Correspondents may resume using my regular eMail address, jiHymas@himivest.com