November 5, 2024

November 5th, 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 -0.2129 % 2,142.4
FixedFloater 0.00 % 0.00 % 0 0.00 0 -0.2129 % 4,109.1
Floater 8.89 % 9.37 % 34,286 10.02 4 -0.2129 % 2,368.1
OpRet 0.00 % 0.00 % 0 0.00 0 0.0535 % 3,601.4
SplitShare 4.80 % 5.37 % 69,518 2.16 6 0.0535 % 4,300.8
Interest-Bearing 0.00 % 0.00 % 0 0.00 0 0.0535 % 3,355.6
Perpetual-Premium 0.00 % 0.00 % 0 0.00 0 -1.0504 % 2,830.8
Perpetual-Discount 6.08 % 6.15 % 51,004 13.63 31 -1.0504 % 3,086.8
FixedReset Disc 5.59 % 7.10 % 101,103 12.35 58 -0.5425 % 2,644.2
Insurance Straight 5.92 % 6.04 % 67,717 13.80 21 -0.0631 % 3,058.4
FloatingReset 7.73 % 7.53 % 24,796 11.84 2 0.0000 % 2,827.3
FixedReset Prem 6.41 % 5.56 % 189,432 3.73 7 -0.0609 % 2,584.0
FixedReset Bank Non 0.00 % 0.00 % 0 0.00 0 -0.5425 % 2,702.9
FixedReset Ins Non 5.24 % 6.29 % 84,941 13.44 14 -0.1583 % 2,801.2
Performance Highlights
Issue Index Change Notes
CU.PR.G Perpetual-Discount -15.03 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-11-05
Maturity Price : 16.00
Evaluated at bid price : 16.00
Bid-YTW : 7.20 %
PWF.PR.S Perpetual-Discount -14.27 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-11-05
Maturity Price : 17.00
Evaluated at bid price : 17.00
Bid-YTW : 7.13 %
FFH.PR.G FixedReset Disc -10.67 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-11-05
Maturity Price : 15.90
Evaluated at bid price : 15.90
Bid-YTW : 8.64 %
ENB.PR.F FixedReset Disc -5.57 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-11-05
Maturity Price : 17.47
Evaluated at bid price : 17.47
Bid-YTW : 8.17 %
BN.PF.B FixedReset Disc -4.06 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-11-05
Maturity Price : 19.86
Evaluated at bid price : 19.86
Bid-YTW : 7.47 %
FTS.PR.M FixedReset Disc -3.28 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-11-05
Maturity Price : 19.75
Evaluated at bid price : 19.75
Bid-YTW : 7.13 %
BN.PF.G FixedReset Disc -3.26 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-11-05
Maturity Price : 18.67
Evaluated at bid price : 18.67
Bid-YTW : 7.82 %
POW.PR.D Perpetual-Discount -2.34 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-11-05
Maturity Price : 20.03
Evaluated at bid price : 20.03
Bid-YTW : 6.32 %
MFC.PR.B Insurance Straight -1.77 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-11-05
Maturity Price : 19.95
Evaluated at bid price : 19.95
Bid-YTW : 5.92 %
BN.PR.N Perpetual-Discount -1.63 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-11-05
Maturity Price : 18.72
Evaluated at bid price : 18.72
Bid-YTW : 6.44 %
BIP.PR.A FixedReset Disc -1.40 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-11-05
Maturity Price : 21.15
Evaluated at bid price : 21.15
Bid-YTW : 7.77 %
PWF.PR.A Floater -1.31 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-11-05
Maturity Price : 12.85
Evaluated at bid price : 12.85
Bid-YTW : 8.16 %
IFC.PR.C FixedReset Ins Non -1.27 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-11-05
Maturity Price : 20.25
Evaluated at bid price : 20.25
Bid-YTW : 6.77 %
NA.PR.W FixedReset Disc -1.23 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-11-05
Maturity Price : 22.44
Evaluated at bid price : 23.32
Bid-YTW : 5.64 %
CU.PR.F Perpetual-Discount -1.16 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-11-05
Maturity Price : 18.70
Evaluated at bid price : 18.70
Bid-YTW : 6.14 %
BN.PR.X FixedReset Disc -1.15 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-11-05
Maturity Price : 15.42
Evaluated at bid price : 15.42
Bid-YTW : 7.94 %
FFH.PR.K FixedReset Disc -1.12 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-11-05
Maturity Price : 21.59
Evaluated at bid price : 22.00
Bid-YTW : 7.25 %
CU.PR.J Perpetual-Discount -1.01 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-11-05
Maturity Price : 19.70
Evaluated at bid price : 19.70
Bid-YTW : 6.15 %
Volume Highlights
Issue Index Shares
Traded
Notes
NA.PR.S FixedReset Disc 106,700 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-11-05
Maturity Price : 23.15
Evaluated at bid price : 24.87
Bid-YTW : 5.63 %
TD.PF.J FixedReset Prem 50,738 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-11-05
Maturity Price : 23.31
Evaluated at bid price : 25.00
Bid-YTW : 5.72 %
FTS.PR.H FixedReset Disc 39,903 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-11-05
Maturity Price : 15.29
Evaluated at bid price : 15.29
Bid-YTW : 7.28 %
PVS.PR.L SplitShare 34,300 YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2030-06-30
Maturity Price : 25.00
Evaluated at bid price : 25.33
Bid-YTW : 5.37 %
NA.PR.W FixedReset Disc 28,100 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-11-05
Maturity Price : 22.44
Evaluated at bid price : 23.32
Bid-YTW : 5.64 %
GWO.PR.Y Insurance Straight 22,860 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-11-05
Maturity Price : 19.00
Evaluated at bid price : 19.00
Bid-YTW : 6.01 %
There were 6 other index-included issues trading in excess of 10,000 shares.
Wide Spread Highlights
Issue Index Quote Data and Yield Notes
CU.PR.G Perpetual-Discount Quote: 16.00 – 19.20
Spot Rate : 3.2000
Average : 1.9626

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-11-05
Maturity Price : 16.00
Evaluated at bid price : 16.00
Bid-YTW : 7.20 %

FFH.PR.G FixedReset Disc Quote: 15.90 – 18.00
Spot Rate : 2.1000
Average : 1.1715

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-11-05
Maturity Price : 15.90
Evaluated at bid price : 15.90
Bid-YTW : 8.64 %

PWF.PR.S Perpetual-Discount Quote: 17.00 – 20.00
Spot Rate : 3.0000
Average : 2.1115

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-11-05
Maturity Price : 17.00
Evaluated at bid price : 17.00
Bid-YTW : 7.13 %

ENB.PR.F FixedReset Disc Quote: 17.47 – 18.50
Spot Rate : 1.0300
Average : 0.6075

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-11-05
Maturity Price : 17.47
Evaluated at bid price : 17.47
Bid-YTW : 8.17 %

MFC.PR.L FixedReset Ins Non Quote: 23.21 – 24.21
Spot Rate : 1.0000
Average : 0.6697

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-11-05
Maturity Price : 22.41
Evaluated at bid price : 23.21
Bid-YTW : 5.85 %

BN.PF.G FixedReset Disc Quote: 18.67 – 19.50
Spot Rate : 0.8300
Average : 0.5298

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-11-05
Maturity Price : 18.67
Evaluated at bid price : 18.67
Bid-YTW : 7.82 %

November 4, 2024

November 4th, 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 0.0000 % 2,147.0
FixedFloater 0.00 % 0.00 % 0 0.00 0 0.0000 % 4,117.9
Floater 8.87 % 9.37 % 34,637 10.03 4 0.0000 % 2,373.2
OpRet 0.00 % 0.00 % 0 0.00 0 -0.1803 % 3,599.4
SplitShare 4.80 % 5.36 % 68,766 3.04 6 -0.1803 % 4,298.5
Interest-Bearing 0.00 % 0.00 % 0 0.00 0 -0.1803 % 3,353.8
Perpetual-Premium 0.00 % 0.00 % 0 0.00 0 0.8305 % 2,860.8
Perpetual-Discount 6.02 % 6.15 % 51,035 13.67 31 0.8305 % 3,119.6
FixedReset Disc 5.53 % 7.02 % 104,905 12.35 58 -0.0598 % 2,658.7
Insurance Straight 5.92 % 6.02 % 67,786 13.80 21 0.1558 % 3,060.4
FloatingReset 7.73 % 7.53 % 25,798 11.85 2 0.1241 % 2,827.3
FixedReset Prem 6.41 % 5.61 % 175,352 3.74 7 0.1607 % 2,585.6
FixedReset Bank Non 0.00 % 0.00 % 0 0.00 0 -0.0598 % 2,717.7
FixedReset Ins Non 5.24 % 6.28 % 85,875 13.46 14 0.3175 % 2,805.7
Performance Highlights
Issue Index Change Notes
FFH.PR.F FloatingReset -1.94 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-11-04
Maturity Price : 17.65
Evaluated at bid price : 17.65
Bid-YTW : 8.28 %
FTS.PR.G FixedReset Disc -1.14 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-11-04
Maturity Price : 21.30
Evaluated at bid price : 21.59
Bid-YTW : 6.41 %
BN.PF.D Perpetual-Discount 1.03 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-11-04
Maturity Price : 19.65
Evaluated at bid price : 19.65
Bid-YTW : 6.33 %
MFC.PR.B Insurance Straight 1.04 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-11-04
Maturity Price : 20.31
Evaluated at bid price : 20.31
Bid-YTW : 5.82 %
IFC.PR.G FixedReset Ins Non 1.06 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-11-04
Maturity Price : 22.85
Evaluated at bid price : 23.90
Bid-YTW : 6.00 %
ENB.PF.K FixedReset Disc 1.14 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-11-04
Maturity Price : 22.49
Evaluated at bid price : 23.15
Bid-YTW : 6.84 %
CU.PR.F Perpetual-Discount 1.18 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-11-04
Maturity Price : 18.92
Evaluated at bid price : 18.92
Bid-YTW : 6.07 %
IFC.PR.C FixedReset Ins Non 1.28 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-11-04
Maturity Price : 20.51
Evaluated at bid price : 20.51
Bid-YTW : 6.68 %
PWF.PR.E Perpetual-Discount 1.36 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-11-04
Maturity Price : 22.14
Evaluated at bid price : 22.42
Bid-YTW : 6.17 %
IFC.PR.A FixedReset Ins Non 1.51 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-11-04
Maturity Price : 18.80
Evaluated at bid price : 18.80
Bid-YTW : 6.47 %
FFH.PR.D FloatingReset 1.79 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-11-04
Maturity Price : 22.46
Evaluated at bid price : 22.70
Bid-YTW : 7.53 %
PWF.PR.L Perpetual-Discount 4.50 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-11-04
Maturity Price : 20.90
Evaluated at bid price : 20.90
Bid-YTW : 6.15 %
PWF.PR.S Perpetual-Discount 19.46 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-11-04
Maturity Price : 19.83
Evaluated at bid price : 19.83
Bid-YTW : 6.10 %
Volume Highlights
Issue Index Shares
Traded
Notes
NA.PR.W FixedReset Disc 225,000 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-11-04
Maturity Price : 22.58
Evaluated at bid price : 23.61
Bid-YTW : 5.57 %
TD.PF.C FixedReset Disc 60,800 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-11-04
Maturity Price : 22.33
Evaluated at bid price : 23.12
Bid-YTW : 5.72 %
ENB.PR.P FixedReset Disc 60,400 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-11-04
Maturity Price : 19.51
Evaluated at bid price : 19.51
Bid-YTW : 7.44 %
CM.PR.P FixedReset Disc 56,500 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-11-04
Maturity Price : 23.58
Evaluated at bid price : 24.52
Bid-YTW : 5.37 %
ENB.PF.A FixedReset Disc 55,600 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-11-04
Maturity Price : 19.03
Evaluated at bid price : 19.03
Bid-YTW : 7.65 %
BMO.PR.E FixedReset Prem 38,600 YTW SCENARIO
Maturity Type : Call
Maturity Date : 2028-11-25
Maturity Price : 25.00
Evaluated at bid price : 26.10
Bid-YTW : 5.53 %
There were 7 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: 20.30 – 22.00
Spot Rate : 1.7000
Average : 1.1522

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-11-04
Maturity Price : 20.30
Evaluated at bid price : 20.30
Bid-YTW : 6.81 %

BIP.PR.E FixedReset Disc Quote: 23.10 – 24.50
Spot Rate : 1.4000
Average : 1.1697

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-11-04
Maturity Price : 22.45
Evaluated at bid price : 23.10
Bid-YTW : 6.79 %

GWO.PR.G Insurance Straight Quote: 21.40 – 22.49
Spot Rate : 1.0900
Average : 0.8992

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-11-04
Maturity Price : 21.40
Evaluated at bid price : 21.40
Bid-YTW : 6.16 %

BN.PR.K Floater Quote: 11.27 – 11.72
Spot Rate : 0.4500
Average : 0.2778

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-11-04
Maturity Price : 11.27
Evaluated at bid price : 11.27
Bid-YTW : 9.44 %

SLF.PR.H FixedReset Ins Non Quote: 18.79 – 19.44
Spot Rate : 0.6500
Average : 0.5264

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-11-04
Maturity Price : 18.79
Evaluated at bid price : 18.79
Bid-YTW : 6.63 %

IFC.PR.K Insurance Straight Quote: 22.05 – 22.70
Spot Rate : 0.6500
Average : 0.5513

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-11-04
Maturity Price : 21.72
Evaluated at bid price : 22.05
Bid-YTW : 6.02 %

MAPF Performance: October, 2024

November 3rd, 2024

Malachite Aggressive Preferred Fund’s Net Asset Value per Unit as of the close October 31, 2024, was $10.1335.

Quotes were of poor quality on October 31, mainly affecting IFC.PR.C and POW.PR.D.

Performance was affected by these issues and MFC.PR.B (-3.16%) and FTS.PR.M (-2.78%), mitigated by FFH.PR.I (+2.72%), BN.PR.R (+1.03%) and CM.PR.S (+0.65%) [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 7.09% and 6.14%, respectively, for these two indices; compare with mean Current Yields of 5.55% and 6.07%, respectively.

Returns to October 31, 2024
Period MAPF TXPR*
Total Return
CPD – according to Blackrock
One Month -2.22% -1.38% N/A
Three Months +1.66% +1.77% N/A
One Year +40.10% +31.15% +30.24%
Two Years (annualized) +17.34% +10.84% N/A
Three Years (annualized) +2.06% +0.96% +0.42%
Four Years (annualized) +13.84% +7.30% N/A
Five Years (annualized) +11.20% +6.26% +5.66%
Six Years (annualized) +5.86% +3.80% N/A
Seven Years (annualized) +5.34% +3.28% N/A
Eight Years (annualized) +7.91% +4.80% N/A
Nine Years (annualized) +7.79% +4.82% N/A
Ten Years (annualized) +4.75% +2.60% +2.08%
Eleven Years (annualized) +5.18% +2.91%  
Twelve Years (annualized) +4.63% +2.55%  
Thirteen Years (annualized) +5.12% +2.81%  
Fourteen Years (annualized) +4.92% +2.93%  
Fifteen Years (annualized) +5.94% +3.51%  
Sixteen Years (annualized) +9.02% +4.25%  
Seventeen Years (annualized) +8.10% +3.16%  
Eighteen Years (annualized) +7.45%    
Nineteen Years (annualized) +7.39%    
Twenty Years (annualized) +7.34%    
Twenty-One Years (annualized) +7.71%    
Twenty-Two Years (annualized) +8.50%    
Twenty-Three Years (annualized) +8.06%    
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 +%, +% and +%, respectively, according to National Bank Investments after all fees & expenses. Three year performance is +%; five year is +%; ten year is +%.

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 -0.67%, +1.69% & +33.85%, respectively. Three year performance is +1.80%, five-year is +7.99%, ten year is +3.62%
Figures for NBI Preferred Equity Fund Series F [NBC710] (formerly Altamira Preferred Equity Fund) are +%, +% and +% for one-, three- and twelve months, respectively. Three year performance is +%; five-year is +%; ten-year is +%

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 +32.69% for the past twelve months. Two year performance is +11.64%, three year is +1.68%, five year is +7.65%, ten year is +2.19%

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 +%, +% and +% for the past one, three and twelve months, respectively. Three year performance is +%, five-year is +%.
Figures for the Desjardins Canadian Preferred Share Fund F Class (F Class), as reported by the company are +%, +% and +% for the past one, three and twelve months, respectively. Two year performance is +%, three-year is +%, five-year is +%
Figures for the RBC Canadian Preferred Share ETF (RPF) are reported as +%, +% and +% for the past one, three and twelve months, respectively. Three-year performance is +%, five-year is +%
Figures for the Dynamic Active Preferred Shares ETF (DXP) are +%, +% and +% for the past one, three and twelve months, respectively. Three-year performance is +%; five-year is +%
Figures for the Purpose Canadian Preferred Share Fund (Class F) are -0.04%, +2.10% and +30.94% for the past one, three and twelve months, respectively. Three-year performance is +0.85%; four-year is +11.49%; five-year is +8.96%; seven-year is +3.45%; ten-year is +5.43%.
Figures for the TD Active Preferred Share ETF (TPRF) are +%, +% and +% for the past one, three and twelve months, respectively. Two-year performance is +%, three-year is +%; five-year is +%.

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 increased, with the five-year Canada yield (“GOC-5”) moving from 2.74% at September month-end to 3.07% at October month-end.

The Seniority Spread (between long-term corporate bonds and interest-equivalent PerpetualDiscounts) was 305bp on 2024-10-30, very near the 300bp on 2024-10-2 (chart end-date 2024-10-11).

The situation with FixedResets is interesting, with the spread between GOC-5 and the interest-adjusted FixedReset (Discount) rate widening significantly (despite recent narrowing) from its 2021-11-10 low of 344bp to a level of 608bp (as of 2024-10-30) … (chart end-date 2024-10-11):

…while at the same time the interest-equivalent spread between FixedReset (Discounts) and PerpetualDiscounts has narrowed to -116bp (as of 2024-10-30) from its 2021-7-28 level of +170bp (chart end-date 2024-10-11):

There is no significant correlation between the Issue Reset Spread and 1-month performance for discounted FixedResets for either the Pfd-2 or Pfd-3 Group issues.

There is no significant correlation between the Issue Reset Spread and 3-month performance for discounted FixedResets for the Pfd-2 but there is one for Pfd-3 Group (13%).

There is significant correlation for the Pfd-2 Group (24%) but not for the Pfd-3 Group for 1-Month performance against term-to-reset:

… while the three-month returns vs. Term to Reset, shows no correlations for either the Pfd-2 Group or the Pfd-3 Group:

It should be noted that to some extent a dependence (of performance on term-to-reset) can be justified as the nearer-term issues will receive the benefit (adverse effects) of higher (lower) projected dividend rates sooner as a result of higher GOC-5 yields and therefore, perhaps, for longer. Equations for the relationship between correlation slope and change in GOC-5 were derived in the August 2022 PrefLetter.

Upward-sloping correlations of Performance vs. Term are to be expected when GOC-5 declines.

I keep talking about ‘Sustainable Income’ and nowadays it’s far higher than the dividends that are currently being distributed. This is because Sustainable Income is the average yield-to-worst (YTW) of the portfolio when the YTW is calculated to perpetuity (or to redemption, of course, if the yield to redemption is lower), including resets at the current GOC-5 rate. The sharp increase in GOC-5 in the past few years has caused the difference between YTW and Current Yield to skyrocket, but one way or another I expect that these two values will become much closer – slowly at first, but quickening in the fairly near future. We have to wait for the reset date of the MAPF portfolio securities before we see a change in actual cash receipts – and, of course, there is no guarantee whatsoever that the rate used for estimation purposes now will be used for the actual calculation in the future (chart prepared as of 2024-10-11).

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 1.79% (weighted by shares held), although note that the fund holds a sizable position in TRP.PR.E that will not earn a dividend at the new rate until the new year.

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 9.8516 7.32% 0.999 7.327% 1.0000 $0.7219
September 30 10.3641 6.55% 0.990 6.616% 1.0000 $0.6857
October 31,2024 10.1335 7.11% 1.004 7.082% 1.0000 $0.7176
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 2.74% 3.94%
October, 2024 3.07% 3.50%

MAPF Portfolio Composition: October, 2024

November 3rd, 2024

Turnover remained low at 4% in October.

Sectoral distribution of the MAPF portfolio on October 31, 2024, were:

MAPF Sectoral Analysis 2024-10-31
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 7.5% 6.56% 13.11
Fixed-Reset Discount 54.7% 7.17% 12.51
Insurance – Straight 15.3% 5.85% 14.10
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 8.9% 7.5% 12.41
Scraps – Ratchet 1.2% 10.53% 9.80
Scraps – FixedFloater 0% N/A N/A
Scraps – Floater 0% N/A N/A
Scraps – OpRet 0% N/A N/A
Scraps – SplitShare 2.5% 6.71% 3.93
Scraps – PerpPrem 0% N/A N/A
Scraps – PerpDisc 0% N/A N/A
Scraps – FR Discount 10.3% 8.12% 11.51
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 -0.4% 0.00% 0.00
Total 100% 7.11% 12.49
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 3.07%, a constant 3-Month Bill rate of 3.50% and a constant Canada Prime Rate of 5.95%

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 2024-10-31
DBRS Rating MAPF Weighting
Pfd-1 0
Pfd-1(low) 0
Pfd-2(high) 28.6%
Pfd-2 28.5%
Pfd-2(low) 29.3%
Pfd-3(high) 7.8%
Pfd-3 2.2%
Pfd-3(low) 3.6%
Pfd-4(high) 0.3%
Pfd-4 0%
Pfd-4(low) 0%
Pfd-5(high) 0%
Pfd-5 0%
Cash -0.4%
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 2024-10-31
Average Daily Trading MAPF Weighting
<$50,000 5.6%
$50,000 – $100,000 37.6%
$100,000 – $200,000 21.4%
$200,000 – $300,000 22.2%
>$300,000 13.6%
Cash -0.4%
Totals will not add precisely due to rounding.

The distribution of Issue Reset Spreads is:

Range MAPF Weight
<100bp 0%
100-149bp 1.0%
150-199bp 1.0%
200-249bp 49.3%
250-299bp 21.4%
300-349bp 0.4%
350-399bp 1.9%
400-449bp 0%
450-499bp 0%
500-549bp 0%
550-599bp 0%
>= 600bp 0%
Undefined 25.0%

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 2.2%
0-1 Year 12.2%
1-2 Years 24.8%
2-3 Years 16.5%
3-4 Years 9.4%
4-5 Years 11.0%
5-6 Years 0%
>6 Years 0%
Not Floating Rate 23.8%

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.

LB.PR.H: Trend Now “Stable”, says DBRS

November 1st, 2024

DBRS has announced that it:

downgraded its credit ratings on Laurentian Bank of Canada (LBC or the Bank), including the Bank’s Long-Term Issuer Rating to BBB from BBB (high) and Short-Term Issuer Rating to R-2 (high) from R-1 (low). Morningstar DBRS changed the trends for all credit ratings to Stable from Negative. The Bank’s Intrinsic Assessment (IA) is BBB with a Support Assessment (SA) of SA3. The SA3 designation reflects no expectation of timely external support and results in the Bank’s Long-Term Issuer Rating being equivalent to the IA.

KEY CREDIT RATING CONSIDERATIONS
The credit rating downgrades reflect LBC’s weak earnings performance, which also affects Morningstar DBRS’ view of LBC’s competitive position and franchise strength. Earnings have remained under pressure in the first nine months of 2024 ended July 31, 2024 (9M 2024), and Morningstar DBRS expects continued weakness in earnings in the short to medium term as the new leadership team embarks on its turnaround strategy. Moreover, because of lack of scale, LBC has divested assets under administration to two different entities as part of its strategy to focus on areas of business where it can win and be more competitive. Other aspects of the new strategic plan include revamping its leadership team, simplifying the Capital Markets segment, and accelerating investments to improve operational and technological resiliency. Nevertheless, in Morningstar DBRS’ view, these initiatives could take some time to realize material benefits, considering the Bank’s previous transformations, which yielded less than desired levels of success. The Stable trends reflect Morningstar DBRS’ expectations that LBC’s new leadership will implement the strategic initiatives without operational missteps, while demonstrating a gradual improvement in earnings and franchise strength over time.

Supporting the credit ratings, LBC continues to demonstrate good credit quality with low impairments and loan losses; however, Morningstar DBRS expects asset quality metrics to modestly deteriorate from current levels in F2025 because of elevated debt-servicing costs for borrowers. The Bank’s balance sheet fundamentals remain stable with good levels of liquidity and capital buffers to deal with potential deposit outflows and absorb a stressed level of loan losses.

CREDIT RATING DRIVERS
Over the longer term, Morningstar DBRS would upgrade the credit ratings, if LBC demonstrates a material and sustained improvement in its franchise position and financial performance while maintaining a similar risk profile.

Conversely, additional missteps and/or a failure to execute on the Bank’s strategic initiatives would result in another credit ratings downgrade. In addition, pressure on funding and liquidity or a significant deterioration in asset quality would also result in another credit ratings downgrade.

CREDIT RATING RATIONALE
Franchise Combined Building Block (BB) Assessment: Moderate
LBC is Canada’s eighth-largest Schedule I bank with assets of $47.5 billion as at July 31, 2024. The Bank offers retail services in QuĂ©bec through its branch network as well as commercial lending across Canada and in the U.S. LBC also distributes financial products to brokers and financial advisors across Canada through its wholesale arm, B2B Bank. During its Investor Day on May 31, 2024, LBC unveiled its new strategic plan developed by recently appointed President and Chief Executive Officer (CEO) Éric Provost. The plan lays out a path to profitability-driven growth, which includes improved efficiency in the Personal Banking part of the Personal and Commercial Banking segment through digitalization and simplification as well as a continued focus on commercial lending as the key growth engine. Furthermore, the Bank will be focusing on funding optimization, strengthening core retail deposit gathering, and expanding the Bank’s fixed income and foreign exchange specialization capabilities in its Capital Markets segment. As part of the revamped strategy, LBC has divested its full-service and discount brokerage divisions and equity research businesses, while accelerating investments to improve operational and technological resiliency.

Earnings Combined Building Block (BB) Assessment: Weak
LBC has experienced further earnings deterioration and continues to report weaker profitability relative to its peers, with reported adjusted net income declining by about 21.9% year over year (YOY) to $127.7 million for 9M 2024. Adjusted return on common equity, as reported by the Bank, fell to 6.1% in 9M 2024 from 8.1% for the same period of the prior fiscal year. Lower adjusted net earnings were largely driven by a 3.2% YOY reduction in net interest income on the back of lower commercial loan volumes and a 4.6% YOY increase in noninterest expenses largely reflecting technology costs and a higher provision for credit losses. As a result, the adjusted efficiency ratio, as reported by the Bank, deteriorated by 42 basis points (bps) YOY to 73.4% in 9M 2024, while the reported net interest margin remained stable at 1.8% for the same period. Of note, the Bank reported a net loss of $46.2 million in 9M 2024 (on an unadjusted basis) largely associated with the impairment and restructuring charges of $212.0 million ($166.8 million after income taxes) related to the Bank’s operations and the impairment of the Personal and Commercial Banking segment recorded in Q2 2024.

Risk Combined Building Block (BB) Assessment: Good
Amounting to $35.1 billion as at Q3 2024, gross loans contracted by 5.1% YOY, largely because of reductions in commercial and nonmortgage personal loans of 7.2% and 20.2%, respectively. The bulk of credit risk lies in the commercial book, which accounted for about 47% of total loans as at Q3 2024 and has concentrations in commercial real estate and inventory financing. The Bank’s asset quality is still good with low impairments and loan losses, although the gross impaired loans ratio increased by 53 bps YOY to 1.1% at the end of Q3 2024, largely because of increased impairments in commercial loans, including commercial mortgages. Morningstar DBRS expects asset quality metrics to further deteriorate from their current levels in F2025 despite the declining interest rate environment. Furthermore, Morningstar DBRS remains cautious that if not managed prudently, the Bank’s continued realignment of the loan portfolio and geographic expansion, as well as potential challenges with the execution of the revamped strategy, could expose LBC to heightened levels of operational and credit risk.

Funding and Liquidity Combined Building Block (BB) Assessment: Good/Moderate
LBC’s overall funding and liquidity position remains stable. The Bank has maintained a good branch-raised deposit base in QuĂ©bec and also funds its operations through broker-sourced deposits. Accounting for about 65% of LBC’s total funding base, total deposits, including capital markets deposits, declined by 11.3% YOY to $23.3 billion in Q3 2024, in line with the contraction in the loan book. The decrease was largely driven by personal deposits, which represented 86% of total deposits as at Q3 2024. Meanwhile, deposits from the broker channel totalled $10.0 billion and accounted for about 43% of total deposits as at Q3 2024. As part of its revamped strategy, the Bank is seeking to attract additional deposits across Canada, especially direct retail deposits through expansion of its digital capabilities, which Morningstar DBRS views positively.

Capitalization Combined Building Block (BB) Assessment: Good/Moderate
LBC’s capital ratios under the standardized approach are above regulatory minimums and provide appropriate buffers to absorb stressed levels of loan losses. Morningstar DBRS would view favourably a larger capital buffer, sufficient to absorb significant losses, especially as the Bank is focused on commercial lending, which may be more susceptible to weakness in the event of a sustained economic downturn. The CET1 capital ratio increased by 110 bps YOY to 10.9% as at Q3 2024, primarily reflecting lower risk-weighted assets on the back of lower loan balances. The Bank reported a leverage ratio of 5.2% in Q3 2024 (compared with 4.8% as at Q3 2023) that was also above the regulatory minimum of 3.0%.

Further details on the Scorecard Indicators and Building Block Assessments can be found at https://www.dbrsmorningstar.com/research/442469.

The issue was downgraded to Pfd-3(low), Trend Negative last December. This downgrade does not affect the level of the rating, but changes the trend to stable.

PPL.PR.G To Reset To 5.953%

November 1st, 2024

Pembina Pipeline Corporation has announced:

that it does not intend to exercise its right to redeem the currently outstanding Cumulative Redeemable Rate Reset Class A Preferred Shares, Series 7 (“Series 7 Shares”) (TSX: PPL.PR.G) on December 1, 2024.

As a result of the decision not to redeem the Series 7 Shares, and subject to certain terms of the Series 7 Shares, the holders of the Series 7 Shares will have the right to elect to convert all or part of their Series 7 Shares on a one-for-one basis into Cumulative Redeemable Floating Rate Class A Preferred Shares, Series 8 of Pembina (“Series 8 Shares”) on December 1, 2024 (the “Conversion Date”). Holders who do not exercise their right to convert their Series 7 Shares into Series 8 Shares will retain their Series 7 Shares.

As provided in the terms of the Series 7 Shares: (i) if Pembina determines that there would remain outstanding immediately following the conversion less than 1,000,000 Series 7 Shares, then all remaining Series 7 Shares will be automatically converted into Series 8 Shares on a one-for-one basis effective as of the Conversion Date; or (ii) if Pembina determines that there would be less than 1,000,000 Series 8 Shares outstanding immediately following the conversion, no Series 7 Shares will be converted into Series 8 Shares on the Conversion Date. There are currently 10,000,000 Series 7 Shares outstanding.

With respect to any Series 7 Shares that remain outstanding after the Conversion Date, holders thereof will be entitled to receive quarterly fixed cumulative preferential cash dividends, if, as and when declared by the Board of Directors of Pembina. The annual dividend rate for the Series 7 Shares for the five-year period from and including December 1, 2024, to, but excluding, December 1, 2029, will be 5.953 percent, being equal to the five-year Government of Canada bond yield of 3.013 percent determined as of today plus 2.94 percent, in accordance with the terms of the Series 7 Shares.

With respect to any Series 8 Shares that may be issued on the Conversion Date, holders thereof will be entitled to receive quarterly floating rate cumulative preferential cash dividends, if, as and when declared by the Board of Directors of Pembina. The annual dividend rate applicable to the Series 8 Shares for the three-month floating rate period from and including December 1, 2024, to, but excluding, March 1, 2025, will be 6.583 percent, being equal to the annual rate of interest for the most recent auction of 90-day Government of Canada treasury bills of 3.643 percent plus 2.94 percent, in accordance with the terms of the Series 8 Shares (the “Floating Quarterly Dividend Rate”). The Floating Quarterly Dividend Rate will be reset on the first day of March, June, September and December in each year.

Beneficial holders of Series 7 Shares who wish to exercise their right of conversion during the conversion period, which runs from November 1, 2024, until 3:00 pm (MT) / 5:00 pm (ET) on November 18, 2024, should communicate as soon as possible with their broker or other intermediary for more information. It is recommended that this be done well in advance of the deadline in order to provide the broker or other intermediary with the time to complete the necessary steps. Any notices received after this deadline will not be valid.

As previously announced, the dividend payable on December 1, 2024, to holders of the Series 7 Shares of record on November 1, 2024, will be $0.273750 per Series 7 Share. Pursuant to the terms of the Series 7 Shares, as December 1, 2024, is not a business day, payment will occur on December 2, 2024. For more information on the terms of the Series 7 Shares and the Series 8 Shares, please see the prospectus supplement dated September 4, 2014, which can be found on SEDAR+ at www.sedarplus.ca.

PPL.PR.G was issued as a FixedReset, 4.50%+294, that commenced trading 2014-9-11 after being announced 2014-9-2. The issue resets to 4.380% effective 2019-12-1 and there was no conversion. It is tracked by HIMIPref™ but relegated to the Scraps index on credit concerns.

Thanks to Assiduous Reader niagara for bringing this to my attention!

FTS.PR.M To Reset To 5.493%

November 1st, 2024

Fortis Inc. has announced (not as a press release, since they are peculiar, but as a link in a footnote to their table of preference shares:

Fortis Inc. (the “Corporation”) hereby provides notice to the holders of its Cumulative Redeemable Fixed Rate Reset First Preference Shares, Series M of the Corporation (the “Series M Shares”) of the following dividend rates, in each case payable if, as and when declared by the Board of Directors of the Corporation:
i. $0.34331250 per Series M Share, being the fixed dividend rate payable quarterly on the first day of March, June, September and December of each year during the five-year period from and including December 1, 2024 to but excluding December 1, 2029; and
ii. $0.37744521 per share on the Cumulative Redeemable Floating Rate First Preference Shares, Series N of the Corporation (the “Series N Shares”), being the floating dividend rate applicable to the Series N Shares for the 3-month period from and including December 1, 2024 and ending on and including February 28, 2025,

in each case determined in accordance with the corresponding rights, privileges, conditions and restrictions attached to the Series M Shares and Series N Shares, respectively, as a class, as set out in the short form prospectus of the Corporation dated September 11, 2014 relating to the issuance of the Series M Shares.

Beneficial owners of Series M Shares wishing to convert to Series N Shares should communicate with their broker or other nominee to obtain instructions for exercising such right during the conversion period, which runs from November 1, 2024, until 5:00 p.m. (EST) on November 18, 2024.

Inquiries should be directed to Ms. Karen Gosse, Vice President, Finance, Fortis at 709.737.2865.

FTS.PR.M was issued as a FixedReset, 4.10%+248, that commenced trading 2014-9-19 after being announced and supersized 2014-9-3. It reset to 3.913% effective 2019-12-1. Notice of extension was provided wierdly in mid-October, 2024. FTS was upgraded to Pfd-2(low) (from Pfd-3(high)) by DBRS on 2021-5-4. The issue is tracked by HIMIPref™ and is assigned to the FixedResets (Discount) subindex.

ENB.PF.A To Reset To 5.672%

November 1st, 2024

Enbridge Inc. has announced:

that it does not intend to exercise its right to redeem its currently outstanding Cumulative Redeemable Preference Shares, Series 9 (Series 9 Shares) (TSX: ENB.PF.A) on December 1, 2024. As a result, subject to certain conditions, the holders of the Series 9 Shares have the right to convert all or part of their Series 9 Shares on a one-for-one basis into Cumulative Redeemable Preference Shares, Series 10 of Enbridge (Series 10 Shares) on December 1, 2024. Holders who do not exercise their right to convert their Series 9 Shares into Series 10 Shares will retain their Series 9 Shares.

The foregoing conversion right is subject to the conditions that: (i) if Enbridge determines that there would be less than 1,000,000 Series 9 Shares outstanding after December 1, 2024, then all remaining Series 9 Shares will automatically be converted into Series 10 Shares on a one-for-one basis on December 1, 2024; and (ii) alternatively, if Enbridge determines that there would be less than 1,000,000 Series 10 Shares outstanding after December 1, 2024, no Series 9 Shares will be converted into Series 10 Shares. There are currently 11,000,000 Series 9 Shares outstanding.

With respect to any Series 9 Shares that remain outstanding after December 1, 2024, holders thereof will be entitled to receive quarterly fixed cumulative preferential cash dividends, as and when declared by the Board of Directors of Enbridge. The new annual dividend rate applicable to the Series 9 Shares for the five-year period commencing on December 1, 2024 to, but excluding, December 1, 2029 will be 5.672 percent, being equal to the five-year Government of Canada bond yield of 3.012 percent determined as of today plus 2.66 percent in accordance with the terms of the Series 9 Shares.

With respect to any Series 10 Shares that may be issued on December 1, 2024, holders thereof will be entitled to receive quarterly floating rate cumulative preferential cash dividends, as and when declared by the Board of Directors of Enbridge. The dividend rate applicable to the Series 10 Shares for the three-month floating rate period commencing on December 1, 2024 to, but excluding, March 1, 2025 will be 1.55342 percent, based on the annual rate on three month Government of Canada treasury bills for the most recent treasury bills auction of 3.64 percent plus 2.66 percent in accordance with the terms of the Series 10 Shares (the Floating Quarterly Dividend Rate). The Floating Quarterly Dividend Rate will be reset every quarter.

Beneficial holders of Series 9 Shares who wish to exercise their right of conversion during the conversion period, which runs from November 1, 2024 until 5:00 p.m. (EST) on November 18, 2024, should communicate as soon as possible with their broker or other intermediary for more information. It is recommended that this be done well in advance of the deadline in order to provide the broker or other intermediary time to complete the necessary steps. Any notices received after this deadline will not be valid.

ENB.PF.A was issued as a FixedReset, 4.40%+266, that commenced trading 2014-3-13 after being announced 2014-3-4. It reset to 4.097% effective 2019-12-1 and there was no conversion. Enbridge issues were upgraded to Pfd-2(low) by DBRS in June, 2024. ENB.PF.A is tracked by HIMIPref™ and is currently assigned to the FixedReset (Discount) subindex.

November 1, 2024

November 1st, 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 0.2134 % 2,147.0
FixedFloater 0.00 % 0.00 % 0 0.00 0 0.2134 % 4,117.9
Floater 8.87 % 9.36 % 36,031 10.04 4 0.2134 % 2,373.2
OpRet 0.00 % 0.00 % 0 0.00 0 0.0350 % 3,605.9
SplitShare 4.79 % 5.22 % 48,724 1.26 8 0.0350 % 4,306.2
Interest-Bearing 0.00 % 0.00 % 0 0.00 0 0.0350 % 3,359.9
Perpetual-Premium 0.00 % 0.00 % 0 0.00 0 0.0137 % 2,837.3
Perpetual-Discount 6.07 % 6.15 % 51,694 13.65 31 0.0137 % 3,093.9
FixedReset Disc 5.53 % 7.00 % 106,988 12.33 58 0.3625 % 2,660.2
Insurance Straight 5.92 % 6.05 % 68,133 13.82 20 0.1142 % 3,055.6
FloatingReset 7.46 % 7.57 % 25,857 11.81 1 0.0000 % 2,823.8
FixedReset Prem 6.42 % 5.75 % 182,020 3.74 7 -0.0554 % 2,581.4
FixedReset Bank Non 0.00 % 0.00 % 0 0.00 0 0.3625 % 2,719.3
FixedReset Ins Non 5.25 % 6.29 % 89,041 13.46 14 0.7861 % 2,796.8
Performance Highlights
Issue Index Change Notes
PWF.PR.S Perpetual-Discount -17.00 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-11-01
Maturity Price : 16.60
Evaluated at bid price : 16.60
Bid-YTW : 7.29 %
PWF.PR.L Perpetual-Discount -2.91 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-11-01
Maturity Price : 20.00
Evaluated at bid price : 20.00
Bid-YTW : 6.43 %
CU.PR.F Perpetual-Discount -1.53 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-11-01
Maturity Price : 18.70
Evaluated at bid price : 18.70
Bid-YTW : 6.14 %
IFC.PR.G FixedReset Ins Non -1.46 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-11-01
Maturity Price : 22.72
Evaluated at bid price : 23.65
Bid-YTW : 6.08 %
BN.PR.X FixedReset Disc -1.27 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-11-01
Maturity Price : 15.60
Evaluated at bid price : 15.60
Bid-YTW : 7.85 %
BN.PR.T FixedReset Disc -1.20 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-11-01
Maturity Price : 16.50
Evaluated at bid price : 16.50
Bid-YTW : 7.83 %
BIP.PR.A FixedReset Disc -1.12 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-11-01
Maturity Price : 21.27
Evaluated at bid price : 21.27
Bid-YTW : 7.73 %
MFC.PR.B Insurance Straight 1.01 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-11-01
Maturity Price : 20.10
Evaluated at bid price : 20.10
Bid-YTW : 5.87 %
FFH.PR.C FixedReset Disc 1.12 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-11-01
Maturity Price : 21.97
Evaluated at bid price : 22.50
Bid-YTW : 6.96 %
ENB.PF.K FixedReset Disc 1.19 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-11-01
Maturity Price : 22.34
Evaluated at bid price : 22.89
Bid-YTW : 6.93 %
IFC.PR.I Insurance Straight 1.29 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-11-01
Maturity Price : 22.36
Evaluated at bid price : 22.69
Bid-YTW : 6.01 %
BN.PF.C Perpetual-Discount 1.31 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-11-01
Maturity Price : 19.40
Evaluated at bid price : 19.40
Bid-YTW : 6.34 %
ENB.PF.A FixedReset Disc 1.33 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-11-01
Maturity Price : 19.05
Evaluated at bid price : 19.05
Bid-YTW : 7.65 %
BN.PF.I FixedReset Disc 1.37 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-11-01
Maturity Price : 21.96
Evaluated at bid price : 22.20
Bid-YTW : 7.58 %
BN.PR.N Perpetual-Discount 1.50 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-11-01
Maturity Price : 18.90
Evaluated at bid price : 18.90
Bid-YTW : 6.37 %
MFC.PR.F FixedReset Ins Non 3.23 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-11-01
Maturity Price : 16.00
Evaluated at bid price : 16.00
Bid-YTW : 6.69 %
BN.PR.Z FixedReset Disc 3.63 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-11-01
Maturity Price : 20.53
Evaluated at bid price : 20.53
Bid-YTW : 7.48 %
FTS.PR.M FixedReset Disc 4.59 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-11-01
Maturity Price : 20.50
Evaluated at bid price : 20.50
Bid-YTW : 6.88 %
BN.PF.F FixedReset Disc 6.26 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-11-01
Maturity Price : 20.20
Evaluated at bid price : 20.20
Bid-YTW : 7.42 %
POW.PR.D Perpetual-Discount 6.98 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-11-01
Maturity Price : 20.38
Evaluated at bid price : 20.38
Bid-YTW : 6.20 %
IFC.PR.C FixedReset Ins Non 12.50 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-11-01
Maturity Price : 20.25
Evaluated at bid price : 20.25
Bid-YTW : 6.77 %
CU.PR.G Perpetual-Discount 17.56 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-11-01
Maturity Price : 18.81
Evaluated at bid price : 18.81
Bid-YTW : 6.10 %
Volume Highlights
Issue Index Shares
Traded
Notes
BMO.PR.W FixedReset Disc 444,900 YTW SCENARIO
Maturity Type : Call
Maturity Date : 2024-12-25
Maturity Price : 25.00
Evaluated at bid price : 24.94
Bid-YTW : 4.61 %
FTS.PR.H FixedReset Disc 156,200 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-11-01
Maturity Price : 15.26
Evaluated at bid price : 15.26
Bid-YTW : 7.31 %
BN.PR.X FixedReset Disc 74,562 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-11-01
Maturity Price : 15.60
Evaluated at bid price : 15.60
Bid-YTW : 7.85 %
BN.PR.B Floater 28,915 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-11-01
Maturity Price : 11.30
Evaluated at bid price : 11.30
Bid-YTW : 9.40 %
MFC.PR.N FixedReset Ins Non 27,100 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-11-01
Maturity Price : 20.91
Evaluated at bid price : 20.91
Bid-YTW : 6.45 %
BN.PF.E FixedReset Disc 26,348 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-11-01
Maturity Price : 18.00
Evaluated at bid price : 18.00
Bid-YTW : 7.82 %
There were 7 other index-included issues trading in excess of 10,000 shares.
Wide Spread Highlights
Issue Index Quote Data and Yield Notes
PWF.PR.S Perpetual-Discount Quote: 16.60 – 20.23
Spot Rate : 3.6300
Average : 2.1212

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-11-01
Maturity Price : 16.60
Evaluated at bid price : 16.60
Bid-YTW : 7.29 %

PWF.PR.L Perpetual-Discount Quote: 20.00 – 21.95
Spot Rate : 1.9500
Average : 1.3461

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-11-01
Maturity Price : 20.00
Evaluated at bid price : 20.00
Bid-YTW : 6.43 %

BN.PF.D Perpetual-Discount Quote: 19.45 – 20.50
Spot Rate : 1.0500
Average : 0.6126

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-11-01
Maturity Price : 19.45
Evaluated at bid price : 19.45
Bid-YTW : 6.39 %

BIP.PR.E FixedReset Disc Quote: 23.26 – 24.50
Spot Rate : 1.2400
Average : 0.9172

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-11-01
Maturity Price : 22.54
Evaluated at bid price : 23.26
Bid-YTW : 6.74 %

IFC.PR.G FixedReset Ins Non Quote: 23.65 – 24.40
Spot Rate : 0.7500
Average : 0.4856

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-11-01
Maturity Price : 22.72
Evaluated at bid price : 23.65
Bid-YTW : 6.08 %

PWF.PR.E Perpetual-Discount Quote: 22.12 – 23.00
Spot Rate : 0.8800
Average : 0.6320

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-11-01
Maturity Price : 21.88
Evaluated at bid price : 22.12
Bid-YTW : 6.25 %

October 31, 2024

October 31st, 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 -0.2129 % 2,142.4
FixedFloater 0.00 % 0.00 % 0 0.00 0 -0.2129 % 4,109.1
Floater 8.89 % 9.39 % 36,523 10.01 4 -0.2129 % 2,368.1
OpRet 0.00 % 0.00 % 0 0.00 0 0.1503 % 3,604.7
SplitShare 4.79 % 5.22 % 46,942 1.27 8 0.1503 % 4,304.7
Interest-Bearing 0.00 % 0.00 % 0 0.00 0 0.1503 % 3,358.7
Perpetual-Premium 0.00 % 0.00 % 0 0.00 0 -0.7466 % 2,836.9
Perpetual-Discount 6.07 % 6.14 % 51,690 13.68 31 -0.7466 % 3,093.5
FixedReset Disc 5.55 % 7.09 % 108,572 12.38 58 -0.3383 % 2,650.6
Insurance Straight 5.93 % 6.08 % 69,168 13.76 20 0.0167 % 3,052.1
FloatingReset 7.46 % 7.57 % 26,198 11.81 1 0.0000 % 2,823.8
FixedReset Prem 6.41 % 5.72 % 179,655 3.75 7 -0.0055 % 2,582.9
FixedReset Bank Non 0.00 % 0.00 % 0 0.00 0 -0.3383 % 2,709.5
FixedReset Ins Non 5.29 % 6.29 % 86,020 13.45 14 -0.3708 % 2,775.0
Performance Highlights
Issue Index Change Notes
CU.PR.G Perpetual-Discount -15.97 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-10-31
Maturity Price : 16.00
Evaluated at bid price : 16.00
Bid-YTW : 7.19 %
POW.PR.D Perpetual-Discount -7.97 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-10-31
Maturity Price : 19.05
Evaluated at bid price : 19.05
Bid-YTW : 6.64 %
BN.PF.F FixedReset Disc -7.00 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-10-31
Maturity Price : 19.01
Evaluated at bid price : 19.01
Bid-YTW : 7.88 %
FTS.PR.M FixedReset Disc -4.53 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-10-31
Maturity Price : 19.60
Evaluated at bid price : 19.60
Bid-YTW : 7.20 %
BN.PR.Z FixedReset Disc -4.21 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-10-31
Maturity Price : 19.81
Evaluated at bid price : 19.81
Bid-YTW : 7.76 %
PWF.PR.E Perpetual-Discount -2.04 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-10-31
Maturity Price : 21.88
Evaluated at bid price : 22.12
Bid-YTW : 6.25 %
MFC.PR.N FixedReset Ins Non -1.88 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-10-31
Maturity Price : 20.90
Evaluated at bid price : 20.90
Bid-YTW : 6.46 %
ENB.PF.K FixedReset Disc -1.65 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-10-31
Maturity Price : 22.16
Evaluated at bid price : 22.62
Bid-YTW : 7.02 %
GWO.PR.N FixedReset Ins Non -1.30 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-10-31
Maturity Price : 14.40
Evaluated at bid price : 14.40
Bid-YTW : 7.26 %
BN.PF.A FixedReset Disc -1.26 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-10-31
Maturity Price : 22.21
Evaluated at bid price : 22.77
Bid-YTW : 6.86 %
BN.PR.X FixedReset Disc -1.25 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-10-31
Maturity Price : 15.80
Evaluated at bid price : 15.80
Bid-YTW : 7.75 %
PWF.PR.Z Perpetual-Discount -1.18 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-10-31
Maturity Price : 20.90
Evaluated at bid price : 20.90
Bid-YTW : 6.21 %
GWO.PR.L Insurance Straight -1.07 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-10-31
Maturity Price : 22.77
Evaluated at bid price : 23.05
Bid-YTW : 6.20 %
ENB.PR.F FixedReset Disc -1.02 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-10-31
Maturity Price : 18.44
Evaluated at bid price : 18.44
Bid-YTW : 7.73 %
BN.PR.N Perpetual-Discount -1.01 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-10-31
Maturity Price : 18.62
Evaluated at bid price : 18.62
Bid-YTW : 6.47 %
PVS.PR.K SplitShare 1.05 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2029-05-31
Maturity Price : 25.00
Evaluated at bid price : 25.05
Bid-YTW : 4.59 %
BIP.PR.A FixedReset Disc 1.13 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-10-31
Maturity Price : 21.51
Evaluated at bid price : 21.51
Bid-YTW : 7.64 %
FFH.PR.E FixedReset Disc 1.16 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-10-31
Maturity Price : 17.50
Evaluated at bid price : 17.50
Bid-YTW : 7.47 %
PWF.PR.R Perpetual-Discount 1.35 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-10-31
Maturity Price : 22.22
Evaluated at bid price : 22.50
Bid-YTW : 6.14 %
CU.PR.F Perpetual-Discount 1.55 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-10-31
Maturity Price : 18.99
Evaluated at bid price : 18.99
Bid-YTW : 6.04 %
GWO.PR.G Insurance Straight 3.41 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-10-31
Maturity Price : 21.51
Evaluated at bid price : 21.51
Bid-YTW : 6.13 %
Volume Highlights
Issue Index Shares
Traded
Notes
BN.PR.K Floater 60,800 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-10-31
Maturity Price : 11.27
Evaluated at bid price : 11.27
Bid-YTW : 9.43 %
ENB.PR.Y FixedReset Disc 45,051 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-10-31
Maturity Price : 17.83
Evaluated at bid price : 17.83
Bid-YTW : 7.74 %
GWO.PR.Y Insurance Straight 41,300 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-10-31
Maturity Price : 18.95
Evaluated at bid price : 18.95
Bid-YTW : 6.02 %
BMO.PR.W FixedReset Disc 36,336 YTW SCENARIO
Maturity Type : Call
Maturity Date : 2024-12-25
Maturity Price : 25.00
Evaluated at bid price : 24.92
Bid-YTW : 5.07 %
ENB.PF.C FixedReset Disc 33,244 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-10-31
Maturity Price : 18.07
Evaluated at bid price : 18.07
Bid-YTW : 7.99 %
TD.PF.A FixedReset Disc 27,015 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-10-31
Maturity Price : 22.16
Evaluated at bid price : 22.80
Bid-YTW : 5.83 %
There were 10 other index-included issues trading in excess of 10,000 shares.
Wide Spread Highlights
Issue Index Quote Data and Yield Notes
CU.PR.G Perpetual-Discount Quote: 16.00 – 19.10
Spot Rate : 3.1000
Average : 1.6633

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-10-31
Maturity Price : 16.00
Evaluated at bid price : 16.00
Bid-YTW : 7.19 %

POW.PR.D Perpetual-Discount Quote: 19.05 – 20.91
Spot Rate : 1.8600
Average : 1.2468

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-10-31
Maturity Price : 19.05
Evaluated at bid price : 19.05
Bid-YTW : 6.64 %

BN.PF.F FixedReset Disc Quote: 19.01 – 20.89
Spot Rate : 1.8800
Average : 1.2800

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-10-31
Maturity Price : 19.01
Evaluated at bid price : 19.01
Bid-YTW : 7.88 %

FTS.PR.M FixedReset Disc Quote: 19.60 – 21.04
Spot Rate : 1.4400
Average : 0.8982

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-10-31
Maturity Price : 19.60
Evaluated at bid price : 19.60
Bid-YTW : 7.20 %

BN.PR.Z FixedReset Disc Quote: 19.81 – 21.07
Spot Rate : 1.2600
Average : 0.8345

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-10-31
Maturity Price : 19.81
Evaluated at bid price : 19.81
Bid-YTW : 7.76 %

PVS.PR.K SplitShare Quote: 25.05 – 26.00
Spot Rate : 0.9500
Average : 0.5722

YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2029-05-31
Maturity Price : 25.00
Evaluated at bid price : 25.05
Bid-YTW : 4.59 %