Market Action

August 28, 2024

PerpetualDiscounts now yield 6.09%, equivalent to 7.92% interest at the standard equivalency factor of 1.3x. Long corporates yielded 4.83% on 2024-8-23 and since then the closing price of ZLC has changed from 15.45 to 15.35, a decrease of 65bp in price, implying an increase of yields of 5bp (BMO reports a duration of 12.44, but don’t disclose whether this is Macaulay or Modified; I will assume Modified) to 4.88%. Therefore, the pre-tax interest-equivalent spread (in this context, the “Seniority Spread”) has narrowed to 305bp from the 320bp reported August 21.

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 -0.3873 % 2,207.6
FixedFloater 0.00 % 0.00 % 0 0.00 0 -0.3873 % 4,234.1
Floater 10.13 % 10.41 % 32,345 9.13 2 -0.3873 % 2,440.1
OpRet 0.00 % 0.00 % 0 0.00 0 0.3196 % 3,518.3
SplitShare 4.73 % 5.42 % 30,080 1.13 4 0.3196 % 4,201.6
Interest-Bearing 0.00 % 0.00 % 0 0.00 0 0.3196 % 3,278.3
Perpetual-Premium 0.00 % 0.00 % 0 0.00 0 -0.0659 % 2,890.2
Perpetual-Discount 5.95 % 6.09 % 59,600 13.70 31 -0.0659 % 3,151.6
FixedReset Disc 5.44 % 6.82 % 127,660 12.61 60 0.1943 % 2,676.1
Insurance Straight 5.81 % 5.97 % 69,825 13.89 21 -0.2739 % 3,115.2
FloatingReset 8.70 % 8.66 % 26,307 10.69 3 -0.8456 % 2,770.5
FixedReset Prem 6.68 % 5.64 % 226,058 12.10 5 0.1698 % 2,580.8
FixedReset Bank Non 0.00 % 0.00 % 0 0.00 0 0.1943 % 2,735.5
FixedReset Ins Non 5.18 % 6.01 % 103,418 13.88 14 0.3927 % 2,837.8
Performance Highlights
Issue Index Change Notes
GWO.PR.Q Insurance Straight -4.05 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-08-28
Maturity Price : 21.11
Evaluated at bid price : 21.11
Bid-YTW : 6.22 %
BN.PF.B FixedReset Disc -3.14 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-08-28
Maturity Price : 20.95
Evaluated at bid price : 20.95
Bid-YTW : 7.04 %
MFC.PR.Q FixedReset Ins Non -2.41 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-08-28
Maturity Price : 23.00
Evaluated at bid price : 24.30
Bid-YTW : 5.73 %
BN.PF.I FixedReset Disc -1.95 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-08-28
Maturity Price : 22.53
Evaluated at bid price : 23.07
Bid-YTW : 7.21 %
PWF.PR.S Perpetual-Discount -1.79 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-08-28
Maturity Price : 19.77
Evaluated at bid price : 19.77
Bid-YTW : 6.15 %
FFH.PR.K FixedReset Disc -1.57 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-08-28
Maturity Price : 21.56
Evaluated at bid price : 21.95
Bid-YTW : 7.19 %
ENB.PF.C FixedReset Disc -1.27 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-08-28
Maturity Price : 17.82
Evaluated at bid price : 17.82
Bid-YTW : 7.84 %
GWO.PR.M Insurance Straight -1.19 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-08-28
Maturity Price : 23.84
Evaluated at bid price : 24.09
Bid-YTW : 6.12 %
MFC.PR.B Insurance Straight -1.16 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-08-28
Maturity Price : 20.51
Evaluated at bid price : 20.51
Bid-YTW : 5.68 %
GWO.PR.Y Insurance Straight -1.13 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-08-28
Maturity Price : 19.28
Evaluated at bid price : 19.28
Bid-YTW : 5.95 %
CU.PR.I FixedReset Disc -1.12 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-08-28
Maturity Price : 23.32
Evaluated at bid price : 23.80
Bid-YTW : 6.82 %
BIP.PR.F FixedReset Disc -1.08 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-08-28
Maturity Price : 22.23
Evaluated at bid price : 22.85
Bid-YTW : 6.73 %
GWO.PR.L Insurance Straight -1.05 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-08-28
Maturity Price : 23.22
Evaluated at bid price : 23.52
Bid-YTW : 6.11 %
CU.PR.D Perpetual-Discount 1.02 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-08-28
Maturity Price : 20.81
Evaluated at bid price : 20.81
Bid-YTW : 5.93 %
MFC.PR.I FixedReset Ins Non 1.02 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-08-28
Maturity Price : 23.28
Evaluated at bid price : 24.75
Bid-YTW : 5.86 %
NA.PR.G FixedReset Prem 1.05 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-08-28
Maturity Price : 23.54
Evaluated at bid price : 26.07
Bid-YTW : 5.77 %
NA.PR.E FixedReset Disc 1.09 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-08-28
Maturity Price : 23.27
Evaluated at bid price : 24.97
Bid-YTW : 5.58 %
GWO.PR.P Insurance Straight 1.11 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-08-28
Maturity Price : 22.49
Evaluated at bid price : 22.75
Bid-YTW : 6.03 %
ENB.PR.F FixedReset Disc 1.19 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-08-28
Maturity Price : 18.72
Evaluated at bid price : 18.72
Bid-YTW : 7.40 %
PWF.PR.T FixedReset Disc 1.33 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-08-28
Maturity Price : 22.19
Evaluated at bid price : 22.80
Bid-YTW : 5.98 %
MFC.PR.F FixedReset Ins Non 1.67 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-08-28
Maturity Price : 15.80
Evaluated at bid price : 15.80
Bid-YTW : 6.55 %
MFC.PR.M FixedReset Ins Non 1.83 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-08-28
Maturity Price : 21.45
Evaluated at bid price : 21.75
Bid-YTW : 6.10 %
SLF.PR.D Insurance Straight 2.02 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-08-28
Maturity Price : 20.35
Evaluated at bid price : 20.35
Bid-YTW : 5.47 %
PVS.PR.K SplitShare 2.08 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2029-05-31
Maturity Price : 25.00
Evaluated at bid price : 24.00
Bid-YTW : 5.42 %
GWO.PR.T Insurance Straight 2.54 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-08-28
Maturity Price : 21.79
Evaluated at bid price : 21.79
Bid-YTW : 6.02 %
BN.PF.E FixedReset Disc 2.57 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-08-28
Maturity Price : 17.95
Evaluated at bid price : 17.95
Bid-YTW : 7.70 %
SLF.PR.C Insurance Straight 2.64 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-08-28
Maturity Price : 20.25
Evaluated at bid price : 20.25
Bid-YTW : 5.50 %
SLF.PR.H FixedReset Ins Non 5.53 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-08-28
Maturity Price : 18.81
Evaluated at bid price : 18.81
Bid-YTW : 6.44 %
BN.PF.G FixedReset Disc 20.25 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-08-28
Maturity Price : 19.00
Evaluated at bid price : 19.00
Bid-YTW : 7.54 %
Volume Highlights
Issue Index Shares
Traded		 Notes
MFC.PR.L FixedReset Ins Non 102,200 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-08-28
Maturity Price : 22.41
Evaluated at bid price : 23.23
Bid-YTW : 5.69 %
BN.PF.C Perpetual-Discount 100,608 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-08-28
Maturity Price : 20.00
Evaluated at bid price : 20.00
Bid-YTW : 6.18 %
CU.PR.G Perpetual-Discount 50,400 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-08-28
Maturity Price : 19.27
Evaluated at bid price : 19.27
Bid-YTW : 5.88 %
SLF.PR.G FixedReset Ins Non 50,300 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-08-28
Maturity Price : 16.34
Evaluated at bid price : 16.34
Bid-YTW : 6.50 %
ENB.PR.P FixedReset Disc 31,300 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-08-28
Maturity Price : 19.70
Evaluated at bid price : 19.70
Bid-YTW : 7.18 %
BN.PF.H FixedReset Disc 26,600 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-08-28
Maturity Price : 23.79
Evaluated at bid price : 24.21
Bid-YTW : 7.26 %
There were 14 other index-included issues trading in excess of 10,000 shares.
Wide Spread Highlights
Issue Index Quote Data and Yield Notes
ENB.PR.A Perpetual-Discount Quote: 22.76 – 23.75
Spot Rate : 0.9900
Average : 0.6179

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-08-28
Maturity Price : 22.50
Evaluated at bid price : 22.76
Bid-YTW : 6.07 %
GWO.PR.Q Insurance Straight Quote: 21.11 – 22.06
Spot Rate : 0.9500
Average : 0.6357

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-08-28
Maturity Price : 21.11
Evaluated at bid price : 21.11
Bid-YTW : 6.22 %
BN.PF.B FixedReset Disc Quote: 20.95 – 21.85
Spot Rate : 0.9000
Average : 0.6028

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-08-28
Maturity Price : 20.95
Evaluated at bid price : 20.95
Bid-YTW : 7.04 %
IFC.PR.K Insurance Straight Quote: 21.75 – 23.65
Spot Rate : 1.9000
Average : 1.6104

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-08-28
Maturity Price : 21.42
Evaluated at bid price : 21.75
Bid-YTW : 6.13 %
BN.PF.I FixedReset Disc Quote: 23.07 – 24.00
Spot Rate : 0.9300
Average : 0.6887

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-08-28
Maturity Price : 22.53
Evaluated at bid price : 23.07
Bid-YTW : 7.21 %
CU.PR.J Perpetual-Discount Quote: 20.00 – 20.79
Spot Rate : 0.7900
Average : 0.6123

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-08-28
Maturity Price : 20.00
Evaluated at bid price : 20.00
Bid-YTW : 5.98 %
Market Action

August 27, 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 -0.0430 % 2,216.1
FixedFloater 0.00 % 0.00 % 0 0.00 0 -0.0430 % 4,250.5
Floater 10.09 % 10.37 % 77,184 9.16 2 -0.0430 % 2,449.6
OpRet 0.00 % 0.00 % 0 0.00 0 -0.0309 % 3,507.1
SplitShare 4.74 % 5.91 % 29,321 1.14 4 -0.0309 % 4,188.2
Interest-Bearing 0.00 % 0.00 % 0 0.00 0 -0.0309 % 3,267.8
Perpetual-Premium 0.00 % 0.00 % 0 0.00 0 0.4208 % 2,892.1
Perpetual-Discount 5.95 % 6.09 % 59,529 13.73 31 0.4208 % 3,153.7
FixedReset Disc 5.45 % 6.79 % 128,985 12.69 60 -0.1841 % 2,670.9
Insurance Straight 5.80 % 5.94 % 69,254 13.90 21 -0.4727 % 3,123.8
FloatingReset 8.62 % 8.60 % 26,166 10.69 3 0.8528 % 2,794.2
FixedReset Prem 6.69 % 5.64 % 223,097 12.12 5 0.5587 % 2,576.5
FixedReset Bank Non 0.00 % 0.00 % 0 0.00 0 -0.1841 % 2,730.2
FixedReset Ins Non 5.20 % 6.08 % 104,940 13.81 14 0.0410 % 2,826.7
Performance Highlights
Issue Index Change Notes
SLF.PR.H FixedReset Ins Non -7.83 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-08-27
Maturity Price : 18.00
Evaluated at bid price : 18.00
Bid-YTW : 6.79 %
IFC.PR.K Insurance Straight -6.09 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-08-27
Maturity Price : 21.42
Evaluated at bid price : 21.75
Bid-YTW : 6.13 %
BN.PF.E FixedReset Disc -5.25 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-08-27
Maturity Price : 17.50
Evaluated at bid price : 17.50
Bid-YTW : 7.89 %
SLF.PR.C Insurance Straight -4.03 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-08-27
Maturity Price : 20.00
Evaluated at bid price : 20.00
Bid-YTW : 5.66 %
GWO.PR.T Insurance Straight -3.37 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-08-27
Maturity Price : 21.25
Evaluated at bid price : 21.25
Bid-YTW : 6.18 %
BN.PF.J FixedReset Disc -3.09 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-08-27
Maturity Price : 22.71
Evaluated at bid price : 23.55
Bid-YTW : 6.58 %
BN.PR.R FixedReset Disc -1.78 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-08-27
Maturity Price : 16.60
Evaluated at bid price : 16.60
Bid-YTW : 7.63 %
ENB.PR.F FixedReset Disc -1.49 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-08-27
Maturity Price : 18.50
Evaluated at bid price : 18.50
Bid-YTW : 7.49 %
ENB.PR.D FixedReset Disc -1.36 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-08-27
Maturity Price : 18.10
Evaluated at bid price : 18.10
Bid-YTW : 7.46 %
RY.PR.M FixedReset Disc -1.27 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-08-27
Maturity Price : 22.91
Evaluated at bid price : 23.40
Bid-YTW : 5.76 %
BN.PR.T FixedReset Disc -1.18 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-08-27
Maturity Price : 16.75
Evaluated at bid price : 16.75
Bid-YTW : 7.61 %
MFC.PR.I FixedReset Ins Non -1.09 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-08-27
Maturity Price : 23.18
Evaluated at bid price : 24.50
Bid-YTW : 5.93 %
PVS.PR.K SplitShare -1.01 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2029-05-31
Maturity Price : 25.00
Evaluated at bid price : 23.51
Bid-YTW : 5.91 %
FFH.PR.E FixedReset Disc 1.15 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-08-27
Maturity Price : 17.60
Evaluated at bid price : 17.60
Bid-YTW : 7.28 %
TD.PF.I FixedReset Prem 1.29 % YTW SCENARIO
Maturity Type : Call
Maturity Date : 2027-10-31
Maturity Price : 25.00
Evaluated at bid price : 25.85
Bid-YTW : 5.32 %
MFC.PR.L FixedReset Ins Non 1.31 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-08-27
Maturity Price : 22.40
Evaluated at bid price : 23.20
Bid-YTW : 5.70 %
MFC.PR.C Insurance Straight 1.34 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-08-27
Maturity Price : 20.35
Evaluated at bid price : 20.35
Bid-YTW : 5.54 %
SLF.PR.J FloatingReset 1.37 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-08-27
Maturity Price : 16.99
Evaluated at bid price : 16.99
Bid-YTW : 8.60 %
PWF.PR.E Perpetual-Discount 1.53 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-08-27
Maturity Price : 22.24
Evaluated at bid price : 22.51
Bid-YTW : 6.17 %
MFC.PR.K FixedReset Ins Non 1.58 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-08-27
Maturity Price : 23.04
Evaluated at bid price : 24.45
Bid-YTW : 5.53 %
FTS.PR.H FixedReset Disc 1.67 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-08-27
Maturity Price : 15.25
Evaluated at bid price : 15.25
Bid-YTW : 7.05 %
PWF.PR.S Perpetual-Discount 1.67 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-08-27
Maturity Price : 20.13
Evaluated at bid price : 20.13
Bid-YTW : 6.04 %
SLF.PR.E Insurance Straight 2.00 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-08-27
Maturity Price : 20.94
Evaluated at bid price : 20.94
Bid-YTW : 5.47 %
MFC.PR.Q FixedReset Ins Non 2.05 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-08-27
Maturity Price : 23.23
Evaluated at bid price : 24.90
Bid-YTW : 5.57 %
CU.PR.F Perpetual-Discount 2.67 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-08-27
Maturity Price : 19.20
Evaluated at bid price : 19.20
Bid-YTW : 5.90 %
ENB.PF.G FixedReset Disc 4.64 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-08-27
Maturity Price : 17.80
Evaluated at bid price : 17.80
Bid-YTW : 7.70 %
Volume Highlights
Issue Index Shares
Traded		 Notes
MFC.PR.L FixedReset Ins Non 329,000 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-08-27
Maturity Price : 22.40
Evaluated at bid price : 23.20
Bid-YTW : 5.70 %
ENB.PR.D FixedReset Disc 126,000 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-08-27
Maturity Price : 18.10
Evaluated at bid price : 18.10
Bid-YTW : 7.46 %
ENB.PF.E FixedReset Disc 78,500 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-08-27
Maturity Price : 17.91
Evaluated at bid price : 17.91
Bid-YTW : 7.70 %
FTS.PR.M FixedReset Disc 46,700 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-08-27
Maturity Price : 20.35
Evaluated at bid price : 20.35
Bid-YTW : 6.71 %
NA.PR.S FixedReset Disc 41,800 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-08-27
Maturity Price : 23.11
Evaluated at bid price : 24.80
Bid-YTW : 5.61 %
NA.PR.G FixedReset Prem 27,500 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-08-27
Maturity Price : 23.47
Evaluated at bid price : 25.80
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
SLF.PR.H FixedReset Ins Non Quote: 18.00 – 21.00
Spot Rate : 3.0000
Average : 2.0692

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-08-27
Maturity Price : 18.00
Evaluated at bid price : 18.00
Bid-YTW : 6.79 %
IFC.PR.K Insurance Straight Quote: 21.75 – 23.70
Spot Rate : 1.9500
Average : 1.2928

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-08-27
Maturity Price : 21.42
Evaluated at bid price : 21.75
Bid-YTW : 6.13 %
GWO.PR.Y Insurance Straight Quote: 19.50 – 20.75
Spot Rate : 1.2500
Average : 0.7820

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-08-27
Maturity Price : 19.50
Evaluated at bid price : 19.50
Bid-YTW : 5.88 %
BN.PF.E FixedReset Disc Quote: 17.50 – 18.65
Spot Rate : 1.1500
Average : 0.6960

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-08-27
Maturity Price : 17.50
Evaluated at bid price : 17.50
Bid-YTW : 7.89 %
SLF.PR.C Insurance Straight Quote: 20.00 – 21.10
Spot Rate : 1.1000
Average : 0.6477

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-08-27
Maturity Price : 20.00
Evaluated at bid price : 20.00
Bid-YTW : 5.66 %
BN.PF.J FixedReset Disc Quote: 23.55 – 24.84
Spot Rate : 1.2900
Average : 0.8859

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-08-27
Maturity Price : 22.71
Evaluated at bid price : 23.55
Bid-YTW : 6.58 %
Market Action

August 26, 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 -0.3002 % 2,217.1
FixedFloater 0.00 % 0.00 % 0 0.00 0 -0.3002 % 4,252.4
Floater 10.09 % 10.36 % 75,592 9.17 2 -0.3002 % 2,450.7
OpRet 0.00 % 0.00 % 0 0.00 0 -0.4106 % 3,508.2
SplitShare 4.74 % 5.66 % 29,357 1.14 4 -0.4106 % 4,189.5
Interest-Bearing 0.00 % 0.00 % 0 0.00 0 -0.4106 % 3,268.8
Perpetual-Premium 0.00 % 0.00 % 0 0.00 0 0.1189 % 2,880.0
Perpetual-Discount 5.98 % 6.12 % 59,965 13.69 31 0.1189 % 3,140.5
FixedReset Disc 5.41 % 6.76 % 134,728 12.68 61 0.2195 % 2,675.8
Insurance Straight 5.77 % 5.94 % 71,459 13.91 21 0.4283 % 3,138.6
FloatingReset 8.70 % 8.72 % 24,538 10.58 3 0.0697 % 2,770.5
FixedReset Prem 6.73 % 5.78 % 225,436 12.09 5 -0.0543 % 2,562.1
FixedReset Bank Non 0.00 % 0.00 % 0 0.00 0 0.2195 % 2,735.2
FixedReset Ins Non 5.20 % 6.09 % 105,718 13.94 14 0.4254 % 2,825.5
Performance Highlights
Issue Index Change Notes
ENB.PF.G FixedReset Disc -3.74 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-08-26
Maturity Price : 17.01
Evaluated at bid price : 17.01
Bid-YTW : 8.04 %
CU.PR.F Perpetual-Discount -2.09 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-08-26
Maturity Price : 18.70
Evaluated at bid price : 18.70
Bid-YTW : 6.05 %
PVS.PR.J SplitShare -1.88 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2028-02-29
Maturity Price : 25.00
Evaluated at bid price : 23.55
Bid-YTW : 6.26 %
NA.PR.G FixedReset Prem -1.53 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-08-26
Maturity Price : 23.47
Evaluated at bid price : 25.80
Bid-YTW : 5.84 %
PWF.PR.E Perpetual-Discount -1.38 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-08-26
Maturity Price : 21.94
Evaluated at bid price : 22.17
Bid-YTW : 6.27 %
BN.PF.I FixedReset Disc -1.05 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-08-26
Maturity Price : 22.78
Evaluated at bid price : 23.50
Bid-YTW : 7.07 %
ENB.PR.T FixedReset Disc 1.04 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-08-26
Maturity Price : 20.44
Evaluated at bid price : 20.44
Bid-YTW : 7.07 %
ENB.PR.N FixedReset Disc 1.06 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-08-26
Maturity Price : 21.63
Evaluated at bid price : 21.94
Bid-YTW : 6.79 %
CU.PR.I FixedReset Disc 1.09 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-08-26
Maturity Price : 23.67
Evaluated at bid price : 24.12
Bid-YTW : 6.72 %
FFH.PR.M FixedReset Disc 1.16 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-08-26
Maturity Price : 23.77
Evaluated at bid price : 24.42
Bid-YTW : 7.12 %
MFC.PR.N FixedReset Ins Non 1.18 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-08-26
Maturity Price : 21.45
Evaluated at bid price : 21.45
Bid-YTW : 6.09 %
CCS.PR.C Insurance Straight 1.25 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-08-26
Maturity Price : 21.11
Evaluated at bid price : 21.11
Bid-YTW : 6.03 %
BN.PF.C Perpetual-Discount 1.27 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-08-26
Maturity Price : 20.00
Evaluated at bid price : 20.00
Bid-YTW : 6.18 %
FFH.PR.G FixedReset Disc 1.51 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-08-26
Maturity Price : 18.18
Evaluated at bid price : 18.18
Bid-YTW : 7.42 %
GWO.PR.M Insurance Straight 1.58 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-08-26
Maturity Price : 24.13
Evaluated at bid price : 24.38
Bid-YTW : 6.05 %
FFH.PR.I FixedReset Disc 1.60 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-08-26
Maturity Price : 19.00
Evaluated at bid price : 19.00
Bid-YTW : 7.44 %
SLF.PR.C Insurance Straight 1.66 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-08-26
Maturity Price : 20.84
Evaluated at bid price : 20.84
Bid-YTW : 5.43 %
PWF.PR.T FixedReset Disc 1.71 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-08-26
Maturity Price : 22.04
Evaluated at bid price : 22.55
Bid-YTW : 6.05 %
BN.PR.R FixedReset Disc 1.81 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-08-26
Maturity Price : 16.90
Evaluated at bid price : 16.90
Bid-YTW : 7.50 %
IFC.PR.A FixedReset Ins Non 1.98 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-08-26
Maturity Price : 19.07
Evaluated at bid price : 19.07
Bid-YTW : 6.31 %
CU.PR.G Perpetual-Discount 3.30 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-08-26
Maturity Price : 19.12
Evaluated at bid price : 19.12
Bid-YTW : 5.92 %
BN.PF.F FixedReset Disc 3.47 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-08-26
Maturity Price : 20.55
Evaluated at bid price : 20.55
Bid-YTW : 7.20 %
Volume Highlights
Issue Index Shares
Traded		 Notes
PWF.PF.A Perpetual-Discount 139,000 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-08-26
Maturity Price : 18.64
Evaluated at bid price : 18.64
Bid-YTW : 6.11 %
FTS.PR.H FixedReset Disc 89,800 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-08-26
Maturity Price : 15.00
Evaluated at bid price : 15.00
Bid-YTW : 7.17 %
ENB.PR.T FixedReset Disc 43,900 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-08-26
Maturity Price : 20.44
Evaluated at bid price : 20.44
Bid-YTW : 7.07 %
MFC.PR.K FixedReset Ins Non 43,800 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-08-26
Maturity Price : 22.88
Evaluated at bid price : 24.07
Bid-YTW : 5.64 %
ENB.PR.P FixedReset Disc 43,500 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-08-26
Maturity Price : 19.71
Evaluated at bid price : 19.71
Bid-YTW : 7.17 %
ENB.PR.Y FixedReset Disc 42,900 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-08-26
Maturity Price : 17.99
Evaluated at bid price : 17.99
Bid-YTW : 7.49 %
There were 8 other index-included issues trading in excess of 10,000 shares.
Wide Spread Highlights
Issue Index Quote Data and Yield Notes
BN.PF.G FixedReset Disc Quote: 15.80 – 19.35
Spot Rate : 3.5500
Average : 2.8042

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-08-26
Maturity Price : 15.80
Evaluated at bid price : 15.80
Bid-YTW : 9.06 %
GWO.PR.G Insurance Straight Quote: 22.25 – 23.60
Spot Rate : 1.3500
Average : 0.9128

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-08-26
Maturity Price : 22.01
Evaluated at bid price : 22.25
Bid-YTW : 5.94 %
BIP.PR.A FixedReset Disc Quote: 21.00 – 23.10
Spot Rate : 2.1000
Average : 1.7038

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-08-26
Maturity Price : 21.00
Evaluated at bid price : 21.00
Bid-YTW : 7.70 %
BN.PF.C Perpetual-Discount Quote: 20.00 – 20.99
Spot Rate : 0.9900
Average : 0.6296

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-08-26
Maturity Price : 20.00
Evaluated at bid price : 20.00
Bid-YTW : 6.18 %
GWO.PR.P Insurance Straight Quote: 22.50 – 23.47
Spot Rate : 0.9700
Average : 0.6925

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-08-26
Maturity Price : 22.22
Evaluated at bid price : 22.50
Bid-YTW : 6.10 %
ENB.PF.G FixedReset Disc Quote: 17.01 – 18.00
Spot Rate : 0.9900
Average : 0.7396

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-08-26
Maturity Price : 17.01
Evaluated at bid price : 17.01
Bid-YTW : 8.04 %
Issue Comments

TA.PR.J To Be Extended

TransAlta Corporation has announced:

that it does not intend to exercise its right to redeem all or any part of the currently outstanding cumulative redeemable rate reset first preferred shares Series G (“Series G Shares”) (TSX: TA.PR.J) on September 30, 2024 (the “Conversion Date”).

As a result, the holders of the Series G Shares will have the right to convert all or any of their Series G Shares into cumulative redeemable floating rate first preferred shares Series H of the Company (“Series H Shares”) on the basis of one Series H Share for each Series G Share on the Conversion Date subject to the terms and conditions of the Series G Shares, including those described in the prospectus supplement dated August 8, 2014 relating to the issuance of the Series G Shares.

The dividend rate applicable to the Series G Shares for the 5-year period from and including September 30, 2024, to but excluding September 30, 2029, and the dividend rate applicable to the Series H Shares for the 3-month period from and including September 30, 2024, to but excluding December 31, 2024, will be determined and announced by the Company by way of a news release on September 3, 2024.

As provided in the terms of the Series G Shares, if TransAlta determines after reviewing all Series G Shares tendered for conversion into Series H Shares that: (i) there would remain outstanding on September 30, 2024, less than 1,000,000 Series G Shares, all remaining Series G Shares shall be converted automatically into Series H Shares on a one-for one basis effective September 30, 2024; or (ii) there would remain outstanding after September 30, 2024, less than 1,000,000 Series H Shares, the holders of Series G Shares shall not be entitled to convert their shares into Series H Shares effective September 30, 2024. There are currently 6,600,000 Series G Shares outstanding.

The Series G Shares are issued in “book entry only” form and must be purchased or transferred through a participant in the CDS depository service (“CDS Participant”). All rights of holders of Series G Shares must be exercised through CDS or the CDS Participant through which the Series G Shares are held. The deadline for the registered shareholder to provide notice of exercise of the right to convert Series G Shares into Series H Shares is 3:00 p.m. (MST) / 5:00 p.m. (EST) on September 16, 2024. Any notices received after this deadline will not be valid. As such, holders of Series G Shares who wish to exercise their right to convert their shares should contact their broker or other intermediary for more information and it is recommended that this be done well in advance of the deadline in order to provide the broker or other intermediary with time to complete the necessary steps.

If TransAlta does not receive an election notice from a holder of Series G Shares during the time fixed therefore, then the Series G Shares shall be deemed not to have been converted (except in the case of an automatic conversion). Holders of the Series G Shares and the Series H Shares will have the opportunity to convert their shares again on September 30, 2029, and every five years thereafter as long as the shares remain outstanding.

The Toronto Stock Exchange (TSX) has conditionally approved the listing of the Series H Shares effective upon conversion.

Listing of the Series H Shares is subject to TransAlta fulfilling all the listing requirements of the TSX.

TA.PR.J was issued as a FixedReset, 5.30%+380, that commenced trading 2014-8-14 after being announced 2014-8-6. The issue reset at 4.988% effective September 30, 2019. I recommended against conversion and there was no conversion. The issue is tracked by HIMIPref™ and has been assigned to the Scraps index on credit concerns. It continues to be rated P-4(high by S&P but remains at Pfd-3(low) with DBRS.

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

Market Action

August 23, 2024

TXPR closed at 623.29, up 0.76% on the day after setting a new 52-week high. Volume today was 2.29-million, above the median of the past 21 trading days.

CPD closed at 12.415, up 0.85% on the day after setting a new 52-week high. Volume was 56,470, near the median of the past 21 trading days.

ZPR closed at 10.57, up 0.76% on the day after setting a new 52-week high. Volume was 156,150, near the median of the past 21 trading days.

Five-year Canada yields were down to 2.93%.

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 -0.2566 % 2,223.8
FixedFloater 0.00 % 0.00 % 0 0.00 0 -0.2566 % 4,265.2
Floater 10.06 % 10.34 % 32,890 9.19 2 -0.2566 % 2,458.0
OpRet 0.00 % 0.00 % 0 0.00 0 0.4226 % 3,522.7
SplitShare 4.72 % 5.65 % 29,437 1.15 4 0.4226 % 4,206.8
Interest-Bearing 0.00 % 0.00 % 0 0.00 0 0.4226 % 3,282.3
Perpetual-Premium 0.00 % 0.00 % 0 0.00 0 0.5036 % 2,876.6
Perpetual-Discount 5.98 % 6.12 % 58,940 13.69 31 0.5036 % 3,136.8
FixedReset Disc 5.38 % 6.82 % 141,935 12.70 62 0.1518 % 2,669.9
Insurance Straight 5.79 % 5.91 % 66,036 13.94 21 0.8236 % 3,125.2
FloatingReset 8.72 % 8.69 % 25,426 10.61 3 -0.4162 % 2,768.6
FixedReset Prem 6.72 % 5.76 % 233,920 12.07 5 -0.1239 % 2,563.5
FixedReset Bank Non 0.00 % 0.00 % 0 0.00 0 0.1518 % 2,729.2
FixedReset Ins Non 5.22 % 6.21 % 106,183 13.78 14 0.4722 % 2,813.6
Performance Highlights
Issue Index Change Notes
BN.PF.G FixedReset Disc -17.28 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-08-23
Maturity Price : 15.80
Evaluated at bid price : 15.80
Bid-YTW : 9.11 %
MFC.PR.F FixedReset Ins Non -4.62 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-08-23
Maturity Price : 15.50
Evaluated at bid price : 15.50
Bid-YTW : 6.72 %
IFC.PR.A FixedReset Ins Non -2.09 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-08-23
Maturity Price : 18.70
Evaluated at bid price : 18.70
Bid-YTW : 6.48 %
BN.PF.D Perpetual-Discount 1.02 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-08-23
Maturity Price : 19.86
Evaluated at bid price : 19.86
Bid-YTW : 6.28 %
BN.PF.I FixedReset Disc 1.02 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-08-23
Maturity Price : 22.91
Evaluated at bid price : 23.75
Bid-YTW : 7.02 %
BIP.PR.B FixedReset Disc 1.03 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-08-23
Maturity Price : 24.12
Evaluated at bid price : 24.50
Bid-YTW : 7.60 %
ENB.PF.K FixedReset Disc 1.06 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-08-23
Maturity Price : 22.79
Evaluated at bid price : 23.75
Bid-YTW : 6.51 %
FTS.PR.J Perpetual-Discount 1.22 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-08-23
Maturity Price : 20.71
Evaluated at bid price : 20.71
Bid-YTW : 5.77 %
PWF.PR.T FixedReset Disc 1.23 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-08-23
Maturity Price : 21.78
Evaluated at bid price : 22.17
Bid-YTW : 6.19 %
MFC.PR.I FixedReset Ins Non 1.32 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-08-23
Maturity Price : 23.24
Evaluated at bid price : 24.65
Bid-YTW : 5.92 %
ENB.PR.F FixedReset Disc 1.35 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-08-23
Maturity Price : 18.80
Evaluated at bid price : 18.80
Bid-YTW : 7.40 %
BN.PF.B FixedReset Disc 1.45 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-08-23
Maturity Price : 21.34
Evaluated at bid price : 21.63
Bid-YTW : 6.82 %
FFH.PR.E FixedReset Disc 1.57 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-08-23
Maturity Price : 17.50
Evaluated at bid price : 17.50
Bid-YTW : 7.37 %
GWO.PR.I Insurance Straight 1.77 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-08-23
Maturity Price : 19.60
Evaluated at bid price : 19.60
Bid-YTW : 5.84 %
ENB.PR.A Perpetual-Discount 1.83 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-08-23
Maturity Price : 22.60
Evaluated at bid price : 22.85
Bid-YTW : 6.04 %
PVS.PR.J SplitShare 1.91 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2028-02-29
Maturity Price : 25.00
Evaluated at bid price : 24.00
Bid-YTW : 5.65 %
ENB.PF.G FixedReset Disc 2.14 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-08-23
Maturity Price : 17.67
Evaluated at bid price : 17.67
Bid-YTW : 7.80 %
FFH.PR.K FixedReset Disc 2.18 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-08-23
Maturity Price : 22.14
Evaluated at bid price : 22.48
Bid-YTW : 7.05 %
SLF.PR.H FixedReset Ins Non 2.42 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-08-23
Maturity Price : 19.46
Evaluated at bid price : 19.46
Bid-YTW : 6.33 %
GWO.PR.Q Insurance Straight 3.74 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-08-23
Maturity Price : 21.65
Evaluated at bid price : 21.90
Bid-YTW : 5.97 %
PWF.PR.Z Perpetual-Discount 4.43 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-08-23
Maturity Price : 21.20
Evaluated at bid price : 21.20
Bid-YTW : 6.15 %
MFC.PR.L FixedReset Ins Non 5.84 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-08-23
Maturity Price : 22.30
Evaluated at bid price : 23.02
Bid-YTW : 5.78 %
IFC.PR.I Insurance Straight 7.55 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-08-23
Maturity Price : 23.04
Evaluated at bid price : 23.50
Bid-YTW : 5.82 %
Volume Highlights
Issue Index Shares
Traded		 Notes
BN.PF.E FixedReset Disc 82,199 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-08-23
Maturity Price : 18.47
Evaluated at bid price : 18.47
Bid-YTW : 7.52 %
SLF.PR.G FixedReset Ins Non 61,084 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-08-23
Maturity Price : 16.38
Evaluated at bid price : 16.38
Bid-YTW : 6.58 %
ENB.PR.F FixedReset Disc 36,419 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-08-23
Maturity Price : 18.80
Evaluated at bid price : 18.80
Bid-YTW : 7.40 %
POW.PR.G Perpetual-Discount 34,233 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-08-23
Maturity Price : 22.63
Evaluated at bid price : 22.88
Bid-YTW : 6.20 %
TD.PF.D FixedReset Disc 31,515 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-08-23
Maturity Price : 23.27
Evaluated at bid price : 23.84
Bid-YTW : 5.93 %
ENB.PR.T FixedReset Disc 29,426 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-08-23
Maturity Price : 20.23
Evaluated at bid price : 20.23
Bid-YTW : 7.18 %
There were 66 other index-included issues trading in excess of 10,000 shares.
Wide Spread Highlights
Issue Index Quote Data and Yield Notes
BN.PF.G FixedReset Disc Quote: 15.80 – 19.35
Spot Rate : 3.5500
Average : 1.9865

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-08-23
Maturity Price : 15.80
Evaluated at bid price : 15.80
Bid-YTW : 9.11 %
ENB.PF.C FixedReset Disc Quote: 17.99 – 19.61
Spot Rate : 1.6200
Average : 0.9259

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-08-23
Maturity Price : 17.99
Evaluated at bid price : 17.99
Bid-YTW : 7.81 %
GWO.PR.H Insurance Straight Quote: 20.63 – 22.00
Spot Rate : 1.3700
Average : 0.7670

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-08-23
Maturity Price : 20.63
Evaluated at bid price : 20.63
Bid-YTW : 5.98 %
IFC.PR.E Insurance Straight Quote: 22.46 – 23.64
Spot Rate : 1.1800
Average : 0.7235

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-08-23
Maturity Price : 22.18
Evaluated at bid price : 22.46
Bid-YTW : 5.87 %
NA.PR.S FixedReset Disc Quote: 25.10 – 26.10
Spot Rate : 1.0000
Average : 0.5517

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-08-23
Maturity Price : 23.21
Evaluated at bid price : 25.10
Bid-YTW : 5.56 %
MFC.PR.N FixedReset Ins Non Quote: 21.20 – 22.50
Spot Rate : 1.3000
Average : 0.8533

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-08-23
Maturity Price : 21.20
Evaluated at bid price : 21.20
Bid-YTW : 6.21 %
Market Action

August 22, 2024

The C.D. Howe Institute has taken a very ill-advised leap into bond market commentary with its publication Cancel the RRB Cancellation by William B.P. Robson and Alexandre Laurin. The basic thesis is similar to that of all welfare bums: the goal of government financing policy should be to provide interesting products to investors:

The government’s cancellation of the RRB program means that Canadian savers will have less access to a uniquely valuable tool to protect themselves from inflation. The pension funds and other institutions that invest on individual Canadians’ behalf will lose a key tool to help them deliver on their promises.

To their credit, they acknowledge the liquidity problem with RRBs, but their prescription – basically, mirror the nominal market in terms of term diversification, increase issue sizes – has a major hole in it: it ignores the fact that any dummy can eliminate the excess liquidity premium paid on RRBs, instantly, certainly and cheaply by … issuing nominals instead. Bang. Done. Did.

The case for issuing RRBs in the first place rests on a decomposition of nominal yields into three basic parts (there are, of course, lots more influences, but three will suffice for now):

  • Real Yield
  • Inflation Compensation
  • Inflation Compensation Risk (the risk that you’ll be wrong when assessing how much inflation compensation you need)

The presumed attractiveness of RRBs is that by offering certainty on the Inflation Compensation part, the government can capture the Inflation Compensation Risk part and thereby reduce its financing costs. RRBs are not my field, but I don’t believe that this has ever happened with any such programme anywhere – if I’ve got this wrong, let me know in the comments, and let the BoC in on it too, as they’ll be happy to learn something new.

RRBs cost more to issue due to a liquidity premium on yield relative to nominals. Since the Inflation Compensation Risk Premium does not exist, or cannot be captured, or is captured to such a tiny extent that it’s not measurable, there’s no point in issuing RRBs. QED.

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 -0.0428 % 2,229.5
FixedFloater 0.00 % 0.00 % 0 0.00 0 -0.0428 % 4,276.2
Floater 10.03 % 10.29 % 68,958 9.23 2 -0.0428 % 2,464.4
OpRet 0.00 % 0.00 % 0 0.00 0 -1.8018 % 3,507.8
SplitShare 4.74 % 5.60 % 30,638 1.15 4 -1.8018 % 4,189.1
Interest-Bearing 0.00 % 0.00 % 0 0.00 0 -1.8018 % 3,268.5
Perpetual-Premium 0.00 % 0.00 % 0 0.00 0 -0.2579 % 2,862.2
Perpetual-Discount 6.01 % 6.15 % 56,232 13.66 31 -0.2579 % 3,121.0
FixedReset Disc 5.39 % 6.83 % 138,195 12.63 62 0.1203 % 2,665.9
Insurance Straight 5.84 % 5.94 % 65,626 13.91 21 -0.0067 % 3,099.7
FloatingReset 8.68 % 8.63 % 25,445 10.66 3 0.3132 % 2,780.2
FixedReset Prem 6.71 % 5.75 % 232,079 12.07 5 -0.0310 % 2,566.7
FixedReset Bank Non 0.00 % 0.00 % 0 0.00 0 0.1203 % 2,725.1
FixedReset Ins Non 5.25 % 6.24 % 103,724 13.74 14 0.0862 % 2,800.4
Performance Highlights
Issue Index Change Notes
PWF.PR.Z Perpetual-Discount -4.25 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-08-22
Maturity Price : 20.30
Evaluated at bid price : 20.30
Bid-YTW : 6.42 %
MFC.PR.L FixedReset Ins Non -3.33 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-08-22
Maturity Price : 21.46
Evaluated at bid price : 21.75
Bid-YTW : 6.15 %
PVS.PR.J SplitShare -2.76 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2028-02-29
Maturity Price : 25.00
Evaluated at bid price : 23.55
Bid-YTW : 6.24 %
CU.PR.G Perpetual-Discount -2.58 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-08-22
Maturity Price : 18.51
Evaluated at bid price : 18.51
Bid-YTW : 6.11 %
BIP.PR.A FixedReset Disc -2.55 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-08-22
Maturity Price : 21.00
Evaluated at bid price : 21.00
Bid-YTW : 7.74 %
BN.PF.F FixedReset Disc -1.93 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-08-22
Maturity Price : 19.86
Evaluated at bid price : 19.86
Bid-YTW : 7.50 %
PWF.PF.A Perpetual-Discount -1.12 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-08-22
Maturity Price : 18.58
Evaluated at bid price : 18.58
Bid-YTW : 6.13 %
RY.PR.M FixedReset Disc -1.06 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-08-22
Maturity Price : 22.92
Evaluated at bid price : 23.40
Bid-YTW : 5.79 %
MIC.PR.A Perpetual-Discount 1.08 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-08-22
Maturity Price : 20.60
Evaluated at bid price : 20.60
Bid-YTW : 6.68 %
FFH.PR.D FloatingReset 1.14 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-08-22
Maturity Price : 21.83
Evaluated at bid price : 22.10
Bid-YTW : 8.62 %
ENB.PF.C FixedReset Disc 1.35 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-08-22
Maturity Price : 17.99
Evaluated at bid price : 17.99
Bid-YTW : 7.81 %
BN.PR.X FixedReset Disc 1.48 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-08-22
Maturity Price : 17.15
Evaluated at bid price : 17.15
Bid-YTW : 7.09 %
IFC.PR.K Insurance Straight 1.77 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-08-22
Maturity Price : 22.70
Evaluated at bid price : 23.00
Bid-YTW : 5.79 %
BN.PF.H FixedReset Disc 1.84 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-08-22
Maturity Price : 24.01
Evaluated at bid price : 24.40
Bid-YTW : 7.23 %
BIP.PR.E FixedReset Disc 2.17 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-08-22
Maturity Price : 22.65
Evaluated at bid price : 23.50
Bid-YTW : 6.65 %
ENB.PF.G FixedReset Disc 2.43 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-08-22
Maturity Price : 17.30
Evaluated at bid price : 17.30
Bid-YTW : 7.96 %
SLF.PR.H FixedReset Ins Non 5.56 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-08-22
Maturity Price : 19.00
Evaluated at bid price : 19.00
Bid-YTW : 6.48 %
Volume Highlights
Issue Index Shares
Traded		 Notes
ENB.PR.D FixedReset Disc 155,460 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-08-22
Maturity Price : 18.12
Evaluated at bid price : 18.12
Bid-YTW : 7.49 %
TD.PF.C FixedReset Disc 108,900 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-08-22
Maturity Price : 23.15
Evaluated at bid price : 23.96
Bid-YTW : 5.45 %
MFC.PR.I FixedReset Ins Non 95,321 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-08-22
Maturity Price : 23.11
Evaluated at bid price : 24.33
Bid-YTW : 6.00 %
FTS.PR.M FixedReset Disc 55,500 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-08-22
Maturity Price : 20.32
Evaluated at bid price : 20.32
Bid-YTW : 6.76 %
MFC.PR.L FixedReset Ins Non 54,700 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-08-22
Maturity Price : 21.46
Evaluated at bid price : 21.75
Bid-YTW : 6.15 %
TD.PF.A FixedReset Disc 50,700 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-08-22
Maturity Price : 23.21
Evaluated at bid price : 24.26
Bid-YTW : 5.38 %
There were 14 other index-included issues trading in excess of 10,000 shares.
Wide Spread Highlights
Issue Index Quote Data and Yield Notes
BN.PR.T FixedReset Disc Quote: 16.85 – 18.17
Spot Rate : 1.3200
Average : 0.8011

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-08-22
Maturity Price : 16.85
Evaluated at bid price : 16.85
Bid-YTW : 7.60 %
NA.PR.W FixedReset Disc Quote: 22.65 – 23.90
Spot Rate : 1.2500
Average : 0.7372

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-08-22
Maturity Price : 22.05
Evaluated at bid price : 22.65
Bid-YTW : 5.77 %
MFC.PR.L FixedReset Ins Non Quote: 21.75 – 23.01
Spot Rate : 1.2600
Average : 0.8159

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-08-22
Maturity Price : 21.46
Evaluated at bid price : 21.75
Bid-YTW : 6.15 %
PWF.PR.Z Perpetual-Discount Quote: 20.30 – 21.31
Spot Rate : 1.0100
Average : 0.5922

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-08-22
Maturity Price : 20.30
Evaluated at bid price : 20.30
Bid-YTW : 6.42 %
CU.PR.I FixedReset Disc Quote: 23.86 – 24.95
Spot Rate : 1.0900
Average : 0.7631

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-08-22
Maturity Price : 23.39
Evaluated at bid price : 23.86
Bid-YTW : 6.83 %
PVS.PR.J SplitShare Quote: 23.55 – 24.30
Spot Rate : 0.7500
Average : 0.4800

YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2028-02-29
Maturity Price : 25.00
Evaluated at bid price : 23.55
Bid-YTW : 6.24 %
Market Action

August 21, 2024

PerpetualDiscounts now yield 6.14%, equivalent to 7.98% interest at the standard equivalency factor of 1.3x. Long corporates yielded 4.90% on 2024-8-9 and since then the closing price of ZLC has changed from 15.31 to 15.52, an increase of 137bp in price, implying a decrease of yields of 11bp (BMO reports a duration of 12.37, but don’t disclose whether this is Macaulay or Modified; I will assume Modified) to 4.79%. Therefore, the pre-tax interest-equivalent spread (in this context, the “Seniority Spread”) has narrowed slightly (and perhaps spuriously) to 320bp from the 325bp reported August 14.

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 0.1284 % 2,230.4
FixedFloater 0.00 % 0.00 % 0 0.00 0 0.1284 % 4,278.0
Floater 10.03 % 10.28 % 71,373 9.24 2 0.1284 % 2,465.4
OpRet 0.00 % 0.00 % 0 0.00 0 0.0405 % 3,572.2
SplitShare 4.66 % 5.63 % 29,745 1.14 4 0.0405 % 4,266.0
Interest-Bearing 0.00 % 0.00 % 0 0.00 0 0.0405 % 3,328.5
Perpetual-Premium 0.00 % 0.00 % 0 0.00 0 0.3648 % 2,869.6
Perpetual-Discount 6.00 % 6.14 % 56,099 13.67 31 0.3648 % 3,129.1
FixedReset Disc 5.40 % 6.84 % 137,542 12.57 62 0.3529 % 2,662.7
Insurance Straight 5.84 % 5.93 % 66,544 13.94 21 0.1248 % 3,099.9
FloatingReset 8.71 % 8.73 % 25,316 10.58 3 0.4719 % 2,771.5
FixedReset Prem 6.71 % 5.75 % 235,674 12.07 5 -0.3165 % 2,567.5
FixedReset Bank Non 0.00 % 0.00 % 0 0.00 0 0.3529 % 2,721.8
FixedReset Ins Non 5.25 % 6.18 % 95,951 13.79 14 0.8314 % 2,797.9
Performance Highlights
Issue Index Change Notes
PWF.PR.P FixedReset Disc -2.40 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-08-21
Maturity Price : 14.66
Evaluated at bid price : 14.66
Bid-YTW : 7.44 %
GWO.PR.Q Insurance Straight -2.27 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-08-21
Maturity Price : 21.11
Evaluated at bid price : 21.11
Bid-YTW : 6.21 %
BIP.PR.E FixedReset Disc -1.92 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-08-21
Maturity Price : 22.37
Evaluated at bid price : 23.00
Bid-YTW : 6.81 %
ENB.PF.G FixedReset Disc -1.52 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-08-21
Maturity Price : 16.89
Evaluated at bid price : 16.89
Bid-YTW : 8.14 %
BN.PF.H FixedReset Disc -1.40 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-08-21
Maturity Price : 23.52
Evaluated at bid price : 23.96
Bid-YTW : 7.36 %
TD.PF.I FixedReset Prem -1.35 % YTW SCENARIO
Maturity Type : Call
Maturity Date : 2027-10-31
Maturity Price : 25.00
Evaluated at bid price : 25.52
Bid-YTW : 5.75 %
CU.PR.D Perpetual-Discount 1.02 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-08-21
Maturity Price : 20.80
Evaluated at bid price : 20.80
Bid-YTW : 5.92 %
FFH.PR.H FloatingReset 1.03 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-08-21
Maturity Price : 18.70
Evaluated at bid price : 18.70
Bid-YTW : 9.41 %
BN.PR.M Perpetual-Discount 1.03 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-08-21
Maturity Price : 19.55
Evaluated at bid price : 19.55
Bid-YTW : 6.18 %
GWO.PR.G Insurance Straight 1.04 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-08-21
Maturity Price : 22.11
Evaluated at bid price : 22.33
Bid-YTW : 5.91 %
FTS.PR.J Perpetual-Discount 1.04 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-08-21
Maturity Price : 20.36
Evaluated at bid price : 20.36
Bid-YTW : 5.86 %
BN.PF.B FixedReset Disc 1.19 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-08-21
Maturity Price : 21.20
Evaluated at bid price : 21.20
Bid-YTW : 6.98 %
MFC.PR.Q FixedReset Ins Non 1.21 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-08-21
Maturity Price : 22.87
Evaluated at bid price : 24.00
Bid-YTW : 5.84 %
CU.PR.G Perpetual-Discount 1.28 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-08-21
Maturity Price : 19.00
Evaluated at bid price : 19.00
Bid-YTW : 5.95 %
PWF.PR.K Perpetual-Discount 1.45 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-08-21
Maturity Price : 20.30
Evaluated at bid price : 20.30
Bid-YTW : 6.17 %
BN.PR.X FixedReset Disc 1.99 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-08-21
Maturity Price : 16.90
Evaluated at bid price : 16.90
Bid-YTW : 7.19 %
BN.PF.A FixedReset Disc 2.03 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-08-21
Maturity Price : 22.90
Evaluated at bid price : 24.13
Bid-YTW : 6.42 %
CM.PR.Q FixedReset Disc 2.37 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-08-21
Maturity Price : 23.23
Evaluated at bid price : 23.80
Bid-YTW : 5.94 %
MFC.PR.F FixedReset Ins Non 2.48 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-08-21
Maturity Price : 16.25
Evaluated at bid price : 16.25
Bid-YTW : 6.42 %
BIP.PR.A FixedReset Disc 2.62 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-08-21
Maturity Price : 21.55
Evaluated at bid price : 21.55
Bid-YTW : 7.54 %
CU.PR.C FixedReset Disc 2.64 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-08-21
Maturity Price : 20.22
Evaluated at bid price : 20.22
Bid-YTW : 6.68 %
BN.PR.Z FixedReset Disc 3.02 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-08-21
Maturity Price : 21.48
Evaluated at bid price : 21.84
Bid-YTW : 6.99 %
BN.PF.G FixedReset Disc 4.09 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-08-21
Maturity Price : 19.10
Evaluated at bid price : 19.10
Bid-YTW : 7.54 %
BN.PF.E FixedReset Disc 5.66 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-08-21
Maturity Price : 18.28
Evaluated at bid price : 18.28
Bid-YTW : 7.60 %
SLF.PR.H FixedReset Ins Non 22.70 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-08-21
Maturity Price : 18.00
Evaluated at bid price : 18.00
Bid-YTW : 6.83 %
Volume Highlights
Issue Index Shares
Traded		 Notes
BMO.PR.T FixedReset Disc 216,194 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-08-21
Maturity Price : 23.91
Evaluated at bid price : 24.97
Bid-YTW : 5.23 %
PWF.PR.S Perpetual-Discount 206,000 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-08-21
Maturity Price : 19.74
Evaluated at bid price : 19.74
Bid-YTW : 6.15 %
MFC.PR.N FixedReset Ins Non 102,500 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-08-21
Maturity Price : 21.28
Evaluated at bid price : 21.28
Bid-YTW : 6.18 %
SLF.PR.G FixedReset Ins Non 101,000 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-08-21
Maturity Price : 16.21
Evaluated at bid price : 16.21
Bid-YTW : 6.65 %
CU.PR.C FixedReset Disc 100,000 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-08-21
Maturity Price : 20.22
Evaluated at bid price : 20.22
Bid-YTW : 6.68 %
RY.PR.J FixedReset Disc 65,500 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-08-21
Maturity Price : 23.33
Evaluated at bid price : 23.97
Bid-YTW : 5.87 %
There were 25 other index-included issues trading in excess of 10,000 shares.
Wide Spread Highlights
Issue Index Quote Data and Yield Notes
BN.PF.H FixedReset Disc Quote: 23.96 – 25.00
Spot Rate : 1.0400
Average : 0.6496

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-08-21
Maturity Price : 23.52
Evaluated at bid price : 23.96
Bid-YTW : 7.36 %
CU.PR.E Perpetual-Discount Quote: 20.79 – 21.75
Spot Rate : 0.9600
Average : 0.5703

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-08-21
Maturity Price : 20.79
Evaluated at bid price : 20.79
Bid-YTW : 5.92 %
MFC.PR.F FixedReset Ins Non Quote: 16.25 – 17.43
Spot Rate : 1.1800
Average : 0.8056

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-08-21
Maturity Price : 16.25
Evaluated at bid price : 16.25
Bid-YTW : 6.42 %
GWO.PR.Q Insurance Straight Quote: 21.11 – 21.98
Spot Rate : 0.8700
Average : 0.5856

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-08-21
Maturity Price : 21.11
Evaluated at bid price : 21.11
Bid-YTW : 6.21 %
BN.PR.Z FixedReset Disc Quote: 21.84 – 22.75
Spot Rate : 0.9100
Average : 0.6638

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-08-21
Maturity Price : 21.48
Evaluated at bid price : 21.84
Bid-YTW : 6.99 %
IFC.PR.C FixedReset Ins Non Quote: 21.10 – 22.50
Spot Rate : 1.4000
Average : 1.1571

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-08-21
Maturity Price : 21.10
Evaluated at bid price : 21.10
Bid-YTW : 6.43 %

Addendum (see comments):

Issue Comments

ENB.PR.Y: 6% Conversion to FloatingReset, ENB.PR.Z

Enbridge Inc. has announced:

that 1,502,775 of its outstanding Cumulative Redeemable Preference Shares, Series 3 (Series 3 Shares) were tendered for conversion, on a one-for-one basis, into Cumulative Redeemable Preference Shares, Series 4 of Enbridge (Series 4 Shares), effective on September 1, 2024. As a result, on September 1, 2024, Enbridge will have 22,497,225 Series 3 Shares and 1,502,775 Series 4 Shares issued and outstanding.

The Series 3 Shares will continue to be listed on the Toronto Stock Exchange (TSX) under the symbol ENB.PR.Y. The TSX has conditionally approved the listing of the Series 4 Shares effective upon conversion. The Series 4 Shares will begin trading on the TSX on September 3, 2024, subject to the fulfillment of all the listing requirements of the TSX.

ENB.PR.Y was issued as a FixedReset, 4.00%+238, that commenced trading 2013-6-6 after being announced 2013-5-28. The issue reset at 3.737% effective September 1, 2019. I recommended against conversion and there was no conversion. The issue will reset to 5.288% effective 2024-9-1. ENB.PR.Y is tracked by HIMIPref™ and has been assigned to the FixedReset (Discount) subindex following the DBRS upgrade.

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

Update, 2024-09-03: I note that the FloatingReset has been assigned the ticker symbol ENB.PR.Z

Market Action

August 20, 2024

So, Canadian inflation fell:

Canada’s headline inflation rate is continuing to slow, bringing consumer price growth closer to the Bank of Canada’s 2-per-cent target.

The Consumer Price Index rose at an annual rate of 2.5 per cent in July, down from 2.7 per cent in June, Statistics Canada said Tuesday. It was the lowest inflation rate since March, 2021, and matched analyst expectations.

Statscan said the deceleration was broad-based, with price declines seen for travel tours, cars and electricity. Adjusted for seasonality, consumer prices rose 0.3 per cent in July.

While shelter is a financial headwind for many households, those costs are moderating slightly. They rose at an annual 5.7 per cent in July, down from 6.2 per cent in June. Mortgage interest costs were up 21 per cent from a year ago, although this is slower than peak increases of roughly 30 per cent.

… and the markets are expecting steady cuts in the policy rate:


2024-8-19, ‘Late in day’

Post Inflation Announcement
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 0.2575 % 2,227.6
FixedFloater 0.00 % 0.00 % 0 0.00 0 0.2575 % 4,272.5
Floater 10.04 % 10.30 % 33,845 9.23 2 0.2575 % 2,462.3
OpRet 0.00 % 0.00 % 0 0.00 0 -0.2021 % 3,570.7
SplitShare 4.66 % 5.62 % 29,995 1.14 4 -0.2021 % 4,264.2
Interest-Bearing 0.00 % 0.00 % 0 0.00 0 -0.2021 % 3,327.1
Perpetual-Premium 0.00 % 0.00 % 0 0.00 0 0.0409 % 2,859.1
Perpetual-Discount 6.02 % 6.15 % 54,448 13.66 31 0.0409 % 3,117.7
FixedReset Disc 5.42 % 6.85 % 137,515 12.63 62 -0.0978 % 2,653.3
Insurance Straight 5.85 % 5.97 % 67,491 13.86 21 0.0959 % 3,096.0
FloatingReset 8.75 % 8.75 % 24,805 10.56 3 0.0350 % 2,758.5
FixedReset Prem 6.69 % 5.68 % 236,503 12.06 5 0.4497 % 2,575.7
FixedReset Bank Non 0.00 % 0.00 % 0 0.00 0 -0.0978 % 2,712.2
FixedReset Ins Non 5.29 % 6.22 % 98,318 13.57 14 -1.0805 % 2,774.9
Performance Highlights
Issue Index Change Notes
SLF.PR.H FixedReset Ins Non -24.96 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-08-20
Maturity Price : 14.67
Evaluated at bid price : 14.67
Bid-YTW : 8.32 %
BN.PF.E FixedReset Disc -5.72 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-08-20
Maturity Price : 17.30
Evaluated at bid price : 17.30
Bid-YTW : 8.03 %
BIP.PR.A FixedReset Disc -3.45 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-08-20
Maturity Price : 21.00
Evaluated at bid price : 21.00
Bid-YTW : 7.73 %
CM.PR.Q FixedReset Disc -2.92 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-08-20
Maturity Price : 22.70
Evaluated at bid price : 23.25
Bid-YTW : 6.08 %
CU.PR.C FixedReset Disc -2.81 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-08-20
Maturity Price : 19.70
Evaluated at bid price : 19.70
Bid-YTW : 6.85 %
PWF.PR.K Perpetual-Discount -1.72 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-08-20
Maturity Price : 20.01
Evaluated at bid price : 20.01
Bid-YTW : 6.26 %
BN.PF.B FixedReset Disc -1.50 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-08-20
Maturity Price : 20.95
Evaluated at bid price : 20.95
Bid-YTW : 7.06 %
BN.PR.Z FixedReset Disc -1.40 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-08-20
Maturity Price : 21.20
Evaluated at bid price : 21.20
Bid-YTW : 7.22 %
CU.PR.J Perpetual-Discount -1.23 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-08-20
Maturity Price : 20.00
Evaluated at bid price : 20.00
Bid-YTW : 5.97 %
PWF.PR.Z Perpetual-Discount 1.00 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-08-20
Maturity Price : 21.15
Evaluated at bid price : 21.15
Bid-YTW : 6.16 %
MFC.PR.Q FixedReset Ins Non 1.01 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-08-20
Maturity Price : 22.91
Evaluated at bid price : 24.08
Bid-YTW : 5.93 %
FTS.PR.M FixedReset Disc 1.01 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-08-20
Maturity Price : 20.15
Evaluated at bid price : 20.15
Bid-YTW : 6.81 %
NA.PR.E FixedReset Disc 1.02 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-08-20
Maturity Price : 23.17
Evaluated at bid price : 24.70
Bid-YTW : 5.68 %
BN.PF.H FixedReset Disc 1.04 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-08-20
Maturity Price : 23.89
Evaluated at bid price : 24.30
Bid-YTW : 7.26 %
MFC.PR.M FixedReset Ins Non 1.08 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-08-20
Maturity Price : 21.43
Evaluated at bid price : 21.43
Bid-YTW : 6.32 %
TD.PF.I FixedReset Prem 1.37 % YTW SCENARIO
Maturity Type : Call
Maturity Date : 2027-10-31
Maturity Price : 25.00
Evaluated at bid price : 25.87
Bid-YTW : 5.26 %
BN.PF.I FixedReset Disc 1.42 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-08-20
Maturity Price : 22.85
Evaluated at bid price : 23.63
Bid-YTW : 7.05 %
FTS.PR.K FixedReset Disc 1.45 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-08-20
Maturity Price : 20.02
Evaluated at bid price : 20.02
Bid-YTW : 6.51 %
FTS.PR.H FixedReset Disc 1.58 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-08-20
Maturity Price : 14.98
Evaluated at bid price : 14.98
Bid-YTW : 7.23 %
CU.PR.F Perpetual-Discount 1.66 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-08-20
Maturity Price : 19.01
Evaluated at bid price : 19.01
Bid-YTW : 5.95 %
PWF.PR.P FixedReset Disc 2.04 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-08-20
Maturity Price : 15.02
Evaluated at bid price : 15.02
Bid-YTW : 7.27 %
IFC.PR.A FixedReset Ins Non 2.14 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-08-20
Maturity Price : 19.10
Evaluated at bid price : 19.10
Bid-YTW : 6.34 %
POW.PR.C Perpetual-Discount 2.39 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-08-20
Maturity Price : 23.69
Evaluated at bid price : 23.96
Bid-YTW : 6.13 %
Volume Highlights
Issue Index Shares
Traded		 Notes
ENB.PR.D FixedReset Disc 131,478 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-08-20
Maturity Price : 18.01
Evaluated at bid price : 18.01
Bid-YTW : 7.53 %
TD.PF.I FixedReset Prem 86,892 YTW SCENARIO
Maturity Type : Call
Maturity Date : 2027-10-31
Maturity Price : 25.00
Evaluated at bid price : 25.87
Bid-YTW : 5.26 %
MFC.PR.F FixedReset Ins Non 76,949 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-08-20
Maturity Price : 16.00
Evaluated at bid price : 16.00
Bid-YTW : 6.58 %
ENB.PR.B FixedReset Disc 57,003 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-08-20
Maturity Price : 17.57
Evaluated at bid price : 17.57
Bid-YTW : 7.69 %
MFC.PR.M FixedReset Ins Non 55,400 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-08-20
Maturity Price : 21.43
Evaluated at bid price : 21.43
Bid-YTW : 6.32 %
ENB.PR.F FixedReset Disc 54,672 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-08-20
Maturity Price : 18.49
Evaluated at bid price : 18.49
Bid-YTW : 7.52 %
There were 16 other index-included issues trading in excess of 10,000 shares.
Wide Spread Highlights
Issue Index Quote Data and Yield Notes
SLF.PR.H FixedReset Ins Non Quote: 14.67 – 20.35
Spot Rate : 5.6800
Average : 4.2633

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-08-20
Maturity Price : 14.67
Evaluated at bid price : 14.67
Bid-YTW : 8.32 %
IFC.PR.C FixedReset Ins Non Quote: 21.00 – 22.50
Spot Rate : 1.5000
Average : 0.8907

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-08-20
Maturity Price : 21.00
Evaluated at bid price : 21.00
Bid-YTW : 6.46 %
BIP.PR.A FixedReset Disc Quote: 21.00 – 22.60
Spot Rate : 1.6000
Average : 1.1773

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-08-20
Maturity Price : 21.00
Evaluated at bid price : 21.00
Bid-YTW : 7.73 %
GWO.PR.S Insurance Straight Quote: 21.80 – 22.67
Spot Rate : 0.8700
Average : 0.5030

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-08-20
Maturity Price : 21.54
Evaluated at bid price : 21.80
Bid-YTW : 6.11 %
CM.PR.Q FixedReset Disc Quote: 23.25 – 24.00
Spot Rate : 0.7500
Average : 0.4928

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-08-20
Maturity Price : 22.70
Evaluated at bid price : 23.25
Bid-YTW : 6.08 %
BN.PF.E FixedReset Disc Quote: 17.30 – 18.35
Spot Rate : 1.0500
Average : 0.8211

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-08-20
Maturity Price : 17.30
Evaluated at bid price : 17.30
Bid-YTW : 8.03 %
Market Action

August 19, 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 -0.0858 % 2,221.9
FixedFloater 0.00 % 0.00 % 0 0.00 0 -0.0858 % 4,261.5
Floater 10.06 % 10.29 % 31,340 9.24 2 -0.0858 % 2,455.9
OpRet 0.00 % 0.00 % 0 0.00 0 0.7740 % 3,578.0
SplitShare 4.65 % 5.61 % 29,901 1.15 4 0.7740 % 4,272.9
Interest-Bearing 0.00 % 0.00 % 0 0.00 0 0.7740 % 3,333.9
Perpetual-Premium 0.00 % 0.00 % 0 0.00 0 0.5834 % 2,858.0
Perpetual-Discount 6.02 % 6.15 % 56,612 13.66 31 0.5834 % 3,116.5
FixedReset Disc 5.41 % 6.84 % 136,278 12.57 62 0.4685 % 2,655.9
Insurance Straight 5.85 % 5.99 % 66,268 13.85 21 0.4887 % 3,093.1
FloatingReset 8.75 % 8.74 % 24,676 10.57 3 0.1576 % 2,757.5
FixedReset Prem 6.72 % 5.74 % 233,858 12.07 5 -0.0078 % 2,564.1
FixedReset Bank Non 0.00 % 0.00 % 0 0.00 0 0.4685 % 2,714.9
FixedReset Ins Non 5.24 % 6.25 % 101,508 13.54 14 1.7435 % 2,805.2
Performance Highlights
Issue Index Change Notes
POW.PR.C Perpetual-Discount -1.89 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-08-19
Maturity Price : 23.14
Evaluated at bid price : 23.40
Bid-YTW : 6.28 %
MFC.PR.F FixedReset Ins Non -1.54 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-08-19
Maturity Price : 16.00
Evaluated at bid price : 16.00
Bid-YTW : 6.58 %
TD.PF.I FixedReset Prem -1.20 % YTW SCENARIO
Maturity Type : Call
Maturity Date : 2027-10-31
Maturity Price : 25.00
Evaluated at bid price : 25.52
Bid-YTW : 5.74 %
BN.PF.A FixedReset Disc 1.03 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-08-19
Maturity Price : 22.63
Evaluated at bid price : 23.55
Bid-YTW : 6.60 %
NA.PR.S FixedReset Disc 1.13 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-08-19
Maturity Price : 23.17
Evaluated at bid price : 24.98
Bid-YTW : 5.58 %
BN.PF.J FixedReset Disc 1.19 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-08-19
Maturity Price : 22.81
Evaluated at bid price : 23.75
Bid-YTW : 6.54 %
CCS.PR.C Insurance Straight 1.22 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-08-19
Maturity Price : 20.75
Evaluated at bid price : 20.75
Bid-YTW : 6.13 %
BN.PF.F FixedReset Disc 1.31 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-08-19
Maturity Price : 20.12
Evaluated at bid price : 20.12
Bid-YTW : 7.40 %
CU.PR.G Perpetual-Discount 1.51 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-08-19
Maturity Price : 18.79
Evaluated at bid price : 18.79
Bid-YTW : 6.02 %
BN.PF.G FixedReset Disc 1.65 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-08-19
Maturity Price : 18.50
Evaluated at bid price : 18.50
Bid-YTW : 7.78 %
BN.PR.X FixedReset Disc 1.85 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-08-19
Maturity Price : 16.55
Evaluated at bid price : 16.55
Bid-YTW : 7.34 %
CU.PR.C FixedReset Disc 1.86 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-08-19
Maturity Price : 20.27
Evaluated at bid price : 20.27
Bid-YTW : 6.66 %
ENB.PF.G FixedReset Disc 2.13 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-08-19
Maturity Price : 17.25
Evaluated at bid price : 17.25
Bid-YTW : 7.97 %
PVS.PR.J SplitShare 2.30 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2028-02-29
Maturity Price : 25.00
Evaluated at bid price : 24.50
Bid-YTW : 5.34 %
IFC.PR.K Insurance Straight 4.60 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-08-19
Maturity Price : 22.36
Evaluated at bid price : 22.75
Bid-YTW : 5.85 %
BN.PF.E FixedReset Disc 6.07 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-08-19
Maturity Price : 18.35
Evaluated at bid price : 18.35
Bid-YTW : 7.56 %
CU.PR.J Perpetual-Discount 13.13 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-08-19
Maturity Price : 20.25
Evaluated at bid price : 20.25
Bid-YTW : 5.89 %
SLF.PR.H FixedReset Ins Non 33.27 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-08-19
Maturity Price : 19.55
Evaluated at bid price : 19.55
Bid-YTW : 6.30 %
Volume Highlights
Issue Index Shares
Traded		 Notes
BMO.PR.T FixedReset Disc 457,000 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-08-19
Maturity Price : 23.92
Evaluated at bid price : 24.96
Bid-YTW : 5.23 %
BN.PF.D Perpetual-Discount 114,000 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-08-19
Maturity Price : 19.70
Evaluated at bid price : 19.70
Bid-YTW : 6.33 %
MFC.PR.N FixedReset Ins Non 50,100 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-08-19
Maturity Price : 21.30
Evaluated at bid price : 21.30
Bid-YTW : 6.25 %
GWO.PR.S Insurance Straight 47,200 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-08-19
Maturity Price : 21.59
Evaluated at bid price : 21.85
Bid-YTW : 6.10 %
PWF.PR.H Perpetual-Discount 46,900 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-08-19
Maturity Price : 23.09
Evaluated at bid price : 23.35
Bid-YTW : 6.21 %
GWO.PR.Y Insurance Straight 32,000 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-08-19
Maturity Price : 19.25
Evaluated at bid price : 19.25
Bid-YTW : 5.94 %
There were 15 other index-included issues trading in excess of 10,000 shares.
Wide Spread Highlights
Issue Index Quote Data and Yield Notes
BIK.PR.A FixedReset Prem Quote: 25.50 – 26.50
Spot Rate : 1.0000
Average : 0.6240

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-08-19
Maturity Price : 23.35
Evaluated at bid price : 25.50
Bid-YTW : 7.04 %
PVS.PR.K SplitShare Quote: 24.30 – 25.20
Spot Rate : 0.9000
Average : 0.5289

YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2029-05-31
Maturity Price : 25.00
Evaluated at bid price : 24.30
Bid-YTW : 5.37 %
GWO.PR.N FixedReset Ins Non Quote: 14.20 – 15.65
Spot Rate : 1.4500
Average : 1.1492

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-08-19
Maturity Price : 14.20
Evaluated at bid price : 14.20
Bid-YTW : 7.21 %
IFC.PR.I Insurance Straight Quote: 21.85 – 23.39
Spot Rate : 1.5400
Average : 1.2769

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-08-19
Maturity Price : 21.55
Evaluated at bid price : 21.85
Bid-YTW : 6.27 %
BN.PF.I FixedReset Disc Quote: 23.30 – 23.75
Spot Rate : 0.4500
Average : 0.2885

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-08-19
Maturity Price : 22.67
Evaluated at bid price : 23.30
Bid-YTW : 7.16 %
FTS.PR.M FixedReset Disc Quote: 20.19 – 20.64
Spot Rate : 0.4500
Average : 0.2922

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-08-19
Maturity Price : 20.19
Evaluated at bid price : 20.19
Bid-YTW : 6.90 %