Archive for June, 2024

MAPF Performance: June, 2024

Sunday, June 30th, 2024

Malachite Aggressive Preferred Fund’s Net Asset Value per Unit as of the close June 28, 2024, was $9.8516 after a dividend distribution of $0.149146.

This quarter’s distribution was boosted a bit by the dividend earned on CM.PR.S, recently added to the fund’s holdings in good size; this issue reset in January, 2023, when GOC-5 was about 3.43%. It’s nice to see a progression towards cash payments of the increase in ‘sustainable yield’ I’ve been forecasting for so long! Such progress will not necessarily be in a straight line: if, for instance, it seems to me that total return projections will improve if I swap out of CM.PR.S into an issue with a lower current dividend but better long term prospects … that’s exactly what I will do. However, with every passing day we get a day closer to the next reset date of all the outstanding issues that currently pay dividends based on resets with very low GOC-5 rates and this particular market feature will vanish … at least until the next market convulsion!

Performance was affected by IFC.PR.C underperforming (-6.25%, following May’s outperformance); CU.PR.C (-4.24%, again following outperformance last month); and FTS.PR.M (-3.13%). These were mitigated, but not outweighed by CM.PR.S (+0.40%) and MFC.PR.B (-0.05%) [small holdings are not considered for individual mention here].

Returns have been wonderful following the lows of the TXPR price index on 2023-10-31, but yields remain elevated well above those available on instruments with similar risk; for instance, Brookfield Renewable Partners L.P. recently noted they are refinancing BEP.PR.O on the “green perpetual subordinated notes” market at 70bp under the presumed reset rate of BEP.PR.O. Most of the refunding activity has been undertaken by the banks, most recently TD.PF.M and TD.PF.B.

FixedResets continue to yield more, in general, than PerpetualDiscounts although the spread has narrowed considerably despite a bounce upwards in May; on June 28, I reported median YTWs of 7.16% and 6.68%, respectively, for these two indices; compare with mean Current Yields of 5.16% and 6.49%, respectively.

The month closed with DBRS announcing an upgrade of ENB to Pfd-2(low), bringing its rating of the company back into alignment with S&P after years of ‘split rating’ status. The upgrade will provide a small tailwind to the return on ENB’s numerous issues, but I do not anticipate any price increase that is either very sharp or very immediate.

Returns to June 28, 2024
Period MAPF TXPR*
Total Return
CPD – according to Blackrock
One Month -1.57% -0.02% N/A
Three Months +4.29% +4.17% N/A
One Year +30.03% +20.75% +19.97%
Two Years (annualized) +8.48% +4.84% N/A
Three Years (annualized) +3.23% +1.14% +0.60%
Four Years (annualized) +17.10% +9.04% N/A
Five Years (annualized) +9.71% +5.57% +4.97%
Six Years (annualized) +4.64% +2.91% N/A
Seven Years (annualized) +5.62% +3.24% N/A
Eight Years (annualized) +8.38% +5.18% N/A
Nine Years (annualized) +5.66% +3.41% N/A
Ten Years (annualized) +4.37% +2.28% +1.77%
Eleven Years (annualized) +4.69% +2.38%  
Twelve Years (annualized) +4.81% +2.39%  
Thirteen Years (annualized) +4.42% +2.51%  
Fourteen Years (annualized) +5.44% +3.13%  
Fifteen Years (annualized) +6.40% +3.55%  
Sixteen Years (annualized) +8.35% +3.34%  
Seventeen Years (annualized) +7.55% +2.75%  
Eighteen Years (annualized) +7.42%    
Nineteen Years (annualized) +7.27%    
Twenty Years (annualized) +7.40%    
Twenty-One Years (annualized) +7.98%    
Twenty-Two Years (annualized) +7.94%    
Twenty-Three Years (annualized) +8.26%    
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.
Figures for NBI Preferred Equity Income Fund, Series F [NBC780] (formerly Omega Preferred Equity) (which are after all fees and expenses) for 1-, 3- and 12-months are +0.54%, +4.16% and +22.86%, respectively, according to National Bank Investments after all fees & expenses. Three year performance is +1.99%; five year is +7.42%; ten year is +4.08%.

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 +0.19%, +4.53% & +25.23%, respectively. Three year performance is +2.47%, five-year is +7.24%, ten year is +3.33%
Figures for NBI Preferred Equity Fund Series F [NBC710] (formerly Altamira Preferred Equity Fund) are +0.00%, +4.49% and +26.64% for one-, three- and twelve months, respectively. Three year performance is +2.85%; five-year is +7.60%; ten-year is +3.48%

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 +23.58% for the past twelve months. Two year performance is +5.79%, three year is +2.26%, five year is +6.85%, ten year is +1.83%

Note that analysis of ZPR shows some doubt as to whether this fund is either "laddered" or an "index fund".

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) according to Morningstar are +0.04%, +1.46% and +16.48% for the past one-, three- and twelve-months, respectively. Three year performance is -1.31%; five-year is +3.37%; ten-year is +0.23%.
Figures for PowerShares Canadian Preferred Share Index Class, Series F (PPS) are no longer available since the fund has been terminated. Performance was last reported for the fund to month-end, March 2023
Figures for the First Asset Preferred Share Investment Trust (PSF.UN) are no longer available since the fund has merged with First Asset Preferred Share ETF (FPR).

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

Figures for Lysander-Slater Preferred Share Dividend Fund (Class F) according to the company are -0.2%, +4.0% and +22.3% for the past one, three and twelve months, respectively. Three year performance is +2.0%, five-year is +6.2%.
Figures for the Desjardins Canadian Preferred Share Fund F Class (F Class), as reported by the company are +0.16%, +4.45% and +20.70% for the past one, three and twelve months, respectively. Two year performance is +5.16%, three-year is +1.19%, five-year is +5.56%
Figures for the RBC Canadian Preferred Share ETF (RPF) are reported by Morningstar as -0.15%, +4.29% and +21.94% for the past one, three and twelve months, respectively. Three-year performance is +0.84%, five-year is +6.11%
Figures for the Dynamic Active Preferred Shares ETF (DXP) are -0.0%, +4.0% and +22.5% for the past one, three and twelve months, respectively. Three-year performance is +3.2%; five-year is +8.3%
Figures for the Purpose Canadian Preferred Share Fund (Class F) are +0.29%, +4.48% and +25.31% for the past one, three and twelve months, respectively. Three-year performance is +2.07%; four-year is +13.91%; five-year is +8.20%; seven-year is +3.51%; ten-year is +4.98%.

The five-year Canada yield increased, with the five-year Canada yield (“GOC-5”) moving from 3.74% at May month-end to 3.41% at June month-end (n.b. – these are the figures used by HIMIPref™, which may lag daily market changes).

The Seniority Spread (between long-term corporate bonds and interest-equivalent PerpetualDiscounts) was 370bp on 2024-6-26 a violent widening from the 315bp on 2024-5-29 (chart end-date 2024-6-14) :

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 584bp (as of 2024-6-28) … (chart end-date 2024-06-14):

…while at the same time the interest-equivalent spread between FixedReset (Discounts) and PerpetualDiscounts has narrowed to -61bp (as of 2024-6-26) from its 2021-7-28 level of +170bp (chart end-date 2024-06-14):

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 either the Pfd-2 or Pfd-3 Group issues.

There is no significant correlation for either the Pfd-2 Group or the Pfd-3 Group for 1-Month performance against term-to-reset:

… and we see similar behaviour for three-month returns vs. Term to Reset, with no correlation 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 of higher 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.

Upwards-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 2024-6-14).

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 1.70% (weighted by shares held).

Calculation of MAPF Sustainable Income Per Unit
Month NAVPU Portfolio
Average
YTW
Leverage
Divisor
Securities
Average
YTW
Capital
Gains
Multiplier
Sustainable
Income
per
current
Unit
June, 2007 9.3114 5.16% 1.03 5.01% 1.3240 0.3524
September 9.1489 5.35% 0.98 5.46% 1.3240 0.3773
December, 2007 9.0070 5.53% 0.942 5.87% 1.3240 0.3993
March, 2008 8.8512 6.17% 1.047 5.89% 1.3240 0.3938
June 8.3419 6.034% 0.952 6.338% 1.3240 $0.3993
September 8.1886 7.108% 0.969 7.335% 1.3240 $0.4537
December, 2008 8.0464 9.24% 1.008 9.166% 1.3240 $0.5571
March 2009 $8.8317 8.60% 0.995 8.802% 1.3240 $0.5872
June 10.9846 7.05% 0.999 7.057% 1.3240 $0.5855
September 12.3462 6.03% 0.998 6.042% 1.3240 $0.5634
December 2009 10.5662 5.74% 0.981 5.851% 1.1141 $0.5549
March 2010 10.2497 6.03% 0.992 6.079% 1.1141 $0.5593
June 10.5770 5.96% 0.996 5.984% 1.1141 $0.5681
September 11.3901 5.43% 0.980 5.540% 1.1141 $0.5664
December 2010 10.7659 5.37% 0.993 5.408% 1.0298 $0.5654
March, 2011 11.0560 6.00% 0.994 5.964% 1.0298 $0.6403
June 11.1194 5.87% 1.018 5.976% 1.0298 $0.6453
September 10.2709 6.10%
Note
1.001 6.106% 1.0298 $0.6090
December, 2011 10.0793 5.63%
Note
1.031 5.805% 1.0000 $0.5851
March, 2012 10.3944 5.13%
Note
0.996 5.109% 1.0000 $0.5310
June 10.2151 5.32%
Note
1.012 5.384% 1.0000 $0.5500
September 10.6703 4.61%
Note
0.997 4.624% 1.0000 $0.4934
December, 2012 10.8307 4.24% 0.989 4.287% 1.0000 $0.4643
March, 2013 10.9033 3.87% 0.996 3.886% 1.0000 $0.4237
June 10.3261 4.81% 0.998 4.80% 1.0000 $0.4957
September 10.0296 5.62% 0.996 5.643% 1.0000 $0.5660
December, 2013 9.8717 6.02% 1.008 5.972% 1.0000 $0.5895
March, 2014 10.2233 5.55% 0.998 5.561% 1.0000 $0.5685
June 10.5877 5.09% 0.998 5.100% 1.0000 $0.5395
September 10.4601 5.28% 0.997 5.296% 1.0000 $0.5540
December, 2014 10.5701 4.83% 1.009 4.787% 1.0000 $0.5060
March, 2015 9.9573 4.99% 1.001 4.985% 1.0000 $0.4964
June, 2015 9.4181 5.55% 1.002 5.539% 1.0000 $0.5217
September 7.8140 6.98% 0.999 6.987% 1.0000 $0.5460
December, 2015 8.1379 6.85% 0.997 6.871% 1.0000 $0.5592
March, 2016 7.4416 7.79% 0.998 7.805% 1.0000 $0.5808
June 7.6704 7.67% 1.011 7.587% 1.0000 $0.5819
September 8.0590 7.35% 0.993 7.402% 1.0000 $0.5965
December, 2016 8.5844 7.24% 0.990 7.313% 1.0000 $0.6278
March, 2017 9.3984 6.26% 0.994 6.298% 1.0000 $0.5919
June 9.5313 6.41% 0.998 6.423% 1.0000 $0.6122
September 9.7129 6.56% 0.998 6.573% 1.0000 $0.6384
December, 2017 10.0566 6.06% 1.004 6.036% 1.0000 $0.6070
March, 2018 10.2701 6.22% 1.007 6.177% 1.0000 $0.6344
June 10.2518 6.22% 0.995 6.251% 1.0000 $0.6408
September 10.2965 6.62% 1.018 6.503% 1.0000 $0.6696
December, 2018 8.6875 7.16% 0.997 7.182% 1.0000 $0.6240
March, 2019 8.4778 7.09% 1.007 7.041% 1.0000 $0.5969
June 8.0896 7.33% 0.996 7.359% 1.0000 $0.5953
September 7.7948 7.96% 0.998 7.976% 1.0000 $0.6217
December, 2019 8.0900 6.03% 0.995 6.060% 1.0000 $0.4903
March 5.5596 7.04% 1.006 6.998% 1.0000 $0.3891
June 6.3568 6.10% 0.9900 6.162% 1.0000 $0.3917
September 7.2852 5.32% 1.00 5.320% 1.0000 $0.3876
December, 2020 8.3947 4.46% 0.999 4.464% 1.0000 $0.3747
March, 2021 9.6473 4.48% 0.996 4.498% 1.0000 $0.4339
June 10.3712 3.92% 0.985 3.980% 1.0000 $0.4127
September 10.7572 4.08% 1.017 4.012% 1.0000 $0.4316
December, 2021 10.7432 4.31% 0.999 4.314% 1.0000 $0.4635
March, 2022 10.5040 5.53% 1.004 5.508% 1.0000 $0.5786
June 9.3115 7.04% 0.993 7.090% 1.0000 $0.6672
September 8.4093 8.10% 0.997 8.124% 1.0000 $0.6916
December, 2022 7.9921 8.47% 0.996 8.504% 1.0000 $0.6796
March, 2023 8.0788 7.90% 0.997 7.924% 1.0000 $0.6401
June 30 8.0197 9.19% 1.003 9.163% 1.0000 $0.7348
September 29 7.9922 9.86% 0.997 9.890% 1.0000 $0.7904
Decenber 29, 2023 8.4715 8.14% 1.002 8.124% 1.0000 $0.6882
March 28,2024 9.5892 7.60% 1.006 7.555% 1.0000 $0.7244
June 28, 2024 9.8516 7.32% 0.999 7.327% 1.0000 $0.7219
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, 2024 3.41% 4.71%

MAPF Portfolio Composition: June, 2024

Sunday, June 30th, 2024

Turnover increased slightly to 14% in June, but remained healthy partly due to continued speculation regarding bank issues.

Sectoral distribution of the MAPF portfolio on June 28, 2024, were:

MAPF Sectoral Analysis 2024-6-28
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 9.4% 6.88% 12.66
Fixed-Reset Discount 49.0% 7.42% 12.36
Insurance – Straight 16.5% 6.19% 13.67
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 9.4% 6.98% 13.21
Scraps – Ratchet 1.2% 11.12% 9.29
Scraps – FixedFloater 0% N/A N/A
Scraps – Floater 0% N/A N/A
Scraps – OpRet 0% N/A N/A
Scraps – SplitShare 3.3% 7.12% 2.80
Scraps – PerpPrem 0% N/A N/A
Scraps – PerpDisc 0% N/A N/A
Scraps – FR Discount 11.0% 8.98% 10.73
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 +0.1% 0.00% 0.00
Total 100% 7.32% 12.14
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 3.41%, a constant 3-Month Bill rate of 4.71% and a constant Canada Prime Rate of 6.95%

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 2024-06-28
DBRS Rating MAPF Weighting
Pfd-1 0
Pfd-1(low) 0
Pfd-2(high) 37.0%
Pfd-2 27.2%
Pfd-2(low) 20.2%
Pfd-3(high) 8.8%
Pfd-3 3.2%
Pfd-3(low) 3.3%
Pfd-4(high) 0.2%
Pfd-4 0%
Pfd-4(low) 0%
Pfd-5(high) 0%
Pfd-5 0%
Cash +0.1%
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 2024-06-28
Average Daily Trading MAPF Weighting
<$50,000 4.1%
$50,000 – $100,000 44.8%
$100,000 – $200,000 19.7%
$200,000 – $300,000 12.2%
>$300,000 19.0%
Cash +0.1%
Totals will not add precisely due to rounding.

The distribution of Issue Reset Spreads is:

Range MAPF Weight
<100bp 0%
100-149bp 1.3%
150-199bp 1.0%
200-249bp 45.8%
250-299bp 19.1%
300-349bp 2.7%
350-399bp 0.6%
400-449bp 0%
450-499bp 0%
500-549bp 0%
550-599bp 0%
>= 600bp 0%
Undefined 29.6%

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 17.2%
1-2 Years 10.6%
2-3 Years 26.2%
3-4 Years 8.9%
4-5 Years 6.6%
5-6 Years 0%
>6 Years 0%
Not Floating Rate 28.4%

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.

ENB Upgraded to Pfd-2(low) by DBRS

Friday, June 28th, 2024

DBRS Limited has announced that it:

upgraded Enbridge Inc.’s (ENB or the Company) Issuer Rating and Senior Unsecured Notes rating both to A (low), Preferred Shares rating to Pfd-2 (low), and Commercial Paper rating to R-1 (low). Morningstar DBRS also confirmed the credit rating of the existing Subordinated Notes (Existing Subordinated Notes) at BBB (low) and assigned a final credit rating of BBB to its Fixed-to-Fixed Rate Subordinated Notes due March 15, 2055, and Fixed-to-Fixed Rate Subordinated Notes due June 27, 2054 (together, the New Subordinated Notes). All trends are Stable. Morningstar DBRS also upgraded Enbridge Energy Partners, L.P.’s (EEP) Senior Unsecured Notes rating to A (low) with a Stable trend based on ENB’s guarantee; EEP in turn guarantees ENB’s Senior Unsecured Notes. ENB also guarantees the Senior Unsecured Notes of Spectra Energy Partners, L.P., which in turn guarantees ENB’s Senior Unsecured Notes. At the same time, Morningstar DBRS has removed the Under Review With Developing Implications (UR-Dev.) status of the credit ratings of ENB and EEP.

KEY CREDIT RATING CONSIDERATIONS
The credit ratings were placed UR-Dev. in September 2023 following the announcement that ENB had entered into definitive agreements (the Acquisition) with Dominion Energy, Inc. to acquire (1) East Ohio Gas Company (EOG); (2) Questar Gas Company (Questar Gas) and its related Wexpro companies (Wexpro, and collectively with Questar Gas, Questar); and (3) Public Service Company of North Carolina, Incorporated (PSNC; collectively, the Local Distribution Companies (LDCs)) for a total purchase price of USD 14.0 billion ($19 billion¿translated at USD/CAD 1.35), including the assumption of approximately USD 4.6 billion in debt. At the time, Morningstar DBRS had noted that the Acquisition should have a positive impact on ENB’s business risk profile, and should the financing plan result in minimal to no impact on the Company’s key credit metrics as of March 31, 2023 (please see Morningstar DBRS’ rating report on the Company dated June 28, 2023, for further details), Morningstar DBRS may consider a positive credit rating action.

ENB has made material progress on closing the Acquisition and the associated financing plan. The acquisition of EOG and Questar, which together account for the largest contribution to earnings from the Acquisition, closed in March 2024 and June 2024, respectively, with no material changes in terms and conditions from when the Acquisition was announced. ENB expects the acquisition of PSNC to close in Q3 2024. ENB’s financing plan is also now largely complete with the purchase price of $12.8 billion funded with equity and asset sales totaling approximately $6.2 billion and the issuance of Subordinated Notes for approximately $3.7 billion. Morningstar DBRS expects the balance to be raised from a mix of the recent issuance of the New Subordinated Notes, at-the-market equity issuance program, and/or asset sales.

Morningstar DBRS believes that the collective business risk profile of the utility assets is stronger than the weighted average of ENB’s current investment portfolio. Each LDC is state-regulated and operates under a cost-of-service framework with no exposure to natural gas price risk or volume risk. All three LDCs are allowed timely operating costs and capital expenditure recovery, subject to only modest regulatory lags. Combined, the LDCs provide natural gas distribution services to nearly 3.0 million customers with the strongest base of customers at EOG and Questar, which serve approximately 1.2 million customers each. EOG (rate base $6.0 billion in 2022) is a single-state LDC operating an extensive gas distribution system with more than 40 interconnections across nine interstate gas pipelines. EOG is anticipated to have the potential for a substantial rate base increase driven by modernization efforts. Questar (rate base $3.9 billion in 2022) largely operates in Utah and has a one-of-a-kind agreement with Wexpro that provides up to 65% of Questar’s annual gas supply on a cost-of-service arrangement. PSNC (rate base $2.6 billion in 2022) is a single-state LDC in North Carolina. Both Questar and PSNC are experiencing growth primarily driven by population expansion within their respective service territories.

Morningstar DBRS views the planned acquisition of the regulated gas utility businesses as providing a more stable source of cash flow generation with lower risk compared with ENB’s existing business risk profile. The Acquisition is expected to double the contribution of ENB’s regulated gas distribution businesses to approximately 23% of total adjusted EBITDA (Morningstar DBRS estimate for 2025) from 13% currently. ENB will benefit from greater geographic and regulatory diversification with higher regulatory returns on equity and thicker deemed equity. Finally, ENB will stand to potentially gain from synergies, as the Acquisition would form the largest natural gas distribution utility in North America, by volume, with a rate base exceeding $27 billion serving approximately 7 million customers in Canada and the U.S.

Given the material proceeds from equity and asset sales used in financing the Acquisition, Morningstar DBRS expects the Company’s financial risk profile to remain supportive of the credit ratings. Morningstar DBRS expects the Company will maintain its cash flow-to-debt ratio between 14% and 15% from 2025 onwards, which is likely to be the first full year after close of the Acquisition.

The Existing Subordinated Notes and the New Subordinated Notes rank equally in right of payment until the occurrence of certain bankruptcy and related events at which time the Existing Subordinated Notes would automatically convert into preferred shares. The Existing Subordinated Notes would then rank below the New Subordinated Notes. According to Morningstar DBRS’ Hierarchy Principle, as outlined in the Morningstar DBRS “Credit Ratings Global Policy,” the Existing Subordinated Notes, being subordinate to the New Subordinated Notes in the event of insolvency of the Company, should be rated one notch lower than the New Subordinated Notes (i.e., BBB (low)), hence the confirmation at BBB (low) of the Existing Subordinated Notes, despite the upgrade to the Issuer Rating

CREDIT RATING DRIVERS
A positive credit rating action is unlikely in medium term unless there is a successful resolution of the Line 5 dispute and the Company maintains its consolidated cash flow-to-debt ratio of higher than 17.5%. While unlikely in the medium term, a negative credit rating action could occur if the Company’s consolidated cash flow-to-debt ratio stays consistently less than 12.5%

EARNINGS OUTLOOK
Morningstar expects EBITDA in 2024 and 2025 to grow at around 8% primarily because of the Acquisition and commercially secured projects that are expected to come into service over the next two years.

FINANCIAL OUTLOOK
Morningstar DBRS expects cash flow from operations to also trend higher as a result of higher earnings. While overall debt levels are expected to increase as the Company funds a part of its secured capital program from debt, Morningstar DBRS expects the Company to stay within its target Debt/EBITDA range of 4.5 times (x) to 5.0x.

CREDIT RATING RATIONALE
ENB’s credit ratings are supported by (1) a high level of geographic and product-mix diversification and large scale; (2) low-risk operations that provide stable income and cash flow; and (3) strong natural gas transmission, distribution, and storage businesses, which have been enhanced materially by the Acquisition. The credit ratings are constrained by (1) pipeline competition, volume, and operational risks; (2) structural subordination at ENB; and (3) rising environmental, regulatory, and political risks

Affected issues are (deep breath): ENB.PF.A, ENB.PF.C, ENB.PF.E, ENB.PF.G, ENB.PF.K, ENB.PR.A, ENB.PR.B, ENB.PR.D, ENB.PR.F, ENB.PR.H, ENB.PR.J, ENB.PR.N, ENB.PR.P, ENB.PR.T and ENB.PR.Y.

This is a pretty big deal, for those who care about such things. ENB comprises about 11.5% of ZPR (as of mid-November, 2023) and about 8.4% of CPD (as of mid-March, 2021, according to my notes made during my PrefLetter monitoring. So measured credit quality for the preferred share market has just improved considerably! Enbridge issues have been rated P-2(low) by S&P since June, 2015.

June 28, 2024

Friday, June 28th, 2024

TXPR closed at 599.23, up 1.16% on the day. Volume today was 1.25-million, third-lowest of the past 21 trading days.

CPD closed at 11.82, up 0.60% on the day. Volume was 40,350, lowest of the past 21 trading days.

ZPR closed at 10.175, up 0.54% on the day. Volume was 73,180, third-lowest of the past 21 trading days.

Five-year Canada yields were up to 3.55%.

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 -0.4464 % 2,129.4
FixedFloater 0.00 % 0.00 % 0 0.00 0 -0.4464 % 4,084.1
Floater 10.91 % 11.05 % 69,163 8.81 1 -0.4464 % 2,353.7
OpRet 0.00 % 0.00 % 0 0.00 0 -0.1184 % 3,463.4
SplitShare 4.86 % 6.80 % 28,284 1.58 7 -0.1184 % 4,136.1
Interest-Bearing 0.00 % 0.00 % 0 0.00 0 -0.1184 % 3,227.1
Perpetual-Premium 0.00 % 0.00 % 0 0.00 0 0.1590 % 2,653.4
Perpetual-Discount 6.49 % 6.68 % 54,599 12.96 28 0.1590 % 2,893.4
FixedReset Disc 5.16 % 7.16 % 120,240 12.22 49 -0.1369 % 2,586.4
Insurance Straight 6.30 % 6.44 % 58,705 13.32 20 -0.0531 % 2,878.6
FloatingReset 9.30 % 9.38 % 35,981 10.10 3 2.9359 % 2,724.9
FixedReset Prem 6.35 % 6.34 % 242,034 3.98 7 -0.0734 % 2,534.1
FixedReset Bank Non 0.00 % 0.00 % 0 0.00 0 -0.1369 % 2,643.8
FixedReset Ins Non 5.17 % 6.71 % 101,427 13.10 14 0.5578 % 2,749.7
Performance Highlights
Issue Index Change Notes
CM.PR.Q FixedReset Disc -6.65 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-06-28
Maturity Price : 21.62
Evaluated at bid price : 22.02
Bid-YTW : 6.77 %
MFC.PR.F FixedReset Ins Non -2.74 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-06-28
Maturity Price : 16.00
Evaluated at bid price : 16.00
Bid-YTW : 7.03 %
MFC.PR.N FixedReset Ins Non -2.36 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-06-28
Maturity Price : 20.26
Evaluated at bid price : 20.26
Bid-YTW : 6.97 %
PWF.PR.K Perpetual-Discount -2.11 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-06-28
Maturity Price : 18.55
Evaluated at bid price : 18.55
Bid-YTW : 6.81 %
BN.PR.T FixedReset Disc -2.04 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-06-28
Maturity Price : 15.85
Evaluated at bid price : 15.85
Bid-YTW : 8.45 %
GWO.PR.P Insurance Straight -1.68 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-06-28
Maturity Price : 20.50
Evaluated at bid price : 20.50
Bid-YTW : 6.64 %
BN.PF.E FixedReset Disc -1.65 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-06-28
Maturity Price : 17.91
Evaluated at bid price : 17.91
Bid-YTW : 8.18 %
FTS.PR.K FixedReset Disc -1.55 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-06-28
Maturity Price : 19.00
Evaluated at bid price : 19.00
Bid-YTW : 7.30 %
NA.PR.W FixedReset Disc -1.41 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-06-28
Maturity Price : 21.33
Evaluated at bid price : 21.60
Bid-YTW : 6.53 %
PVS.PR.K SplitShare -1.39 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2029-05-31
Maturity Price : 25.00
Evaluated at bid price : 22.68
Bid-YTW : 6.80 %
POW.PR.D Perpetual-Discount -1.32 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-06-28
Maturity Price : 18.75
Evaluated at bid price : 18.75
Bid-YTW : 6.70 %
BN.PR.R FixedReset Disc -1.30 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-06-28
Maturity Price : 16.00
Evaluated at bid price : 16.00
Bid-YTW : 8.36 %
BN.PF.G FixedReset Disc -1.28 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-06-28
Maturity Price : 18.51
Evaluated at bid price : 18.51
Bid-YTW : 8.18 %
GWO.PR.G Insurance Straight -1.20 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-06-28
Maturity Price : 19.76
Evaluated at bid price : 19.76
Bid-YTW : 6.63 %
BMO.PR.T FixedReset Disc -1.17 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-06-28
Maturity Price : 23.42
Evaluated at bid price : 24.50
Bid-YTW : 5.75 %
SLF.PR.D Insurance Straight -1.06 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-06-28
Maturity Price : 18.64
Evaluated at bid price : 18.64
Bid-YTW : 6.01 %
FFH.PR.M FixedReset Disc 1.05 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-06-28
Maturity Price : 23.31
Evaluated at bid price : 23.95
Bid-YTW : 7.60 %
RY.PR.O Perpetual-Discount 1.08 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-06-28
Maturity Price : 23.21
Evaluated at bid price : 23.50
Bid-YTW : 5.26 %
IFC.PR.C FixedReset Ins Non 1.09 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-06-28
Maturity Price : 20.40
Evaluated at bid price : 20.40
Bid-YTW : 6.97 %
MIC.PR.A Perpetual-Discount 1.10 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-06-28
Maturity Price : 19.25
Evaluated at bid price : 19.25
Bid-YTW : 7.07 %
SLF.PR.H FixedReset Ins Non 1.13 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-06-28
Maturity Price : 18.81
Evaluated at bid price : 18.81
Bid-YTW : 6.91 %
MFC.PR.Q FixedReset Ins Non 1.13 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-06-28
Maturity Price : 22.49
Evaluated at bid price : 23.26
Bid-YTW : 6.43 %
BN.PF.I FixedReset Disc 1.21 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-06-28
Maturity Price : 22.24
Evaluated at bid price : 22.65
Bid-YTW : 7.63 %
BIP.PR.F FixedReset Disc 1.22 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-06-28
Maturity Price : 20.75
Evaluated at bid price : 20.75
Bid-YTW : 7.74 %
SLF.PR.G FixedReset Ins Non 1.24 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-06-28
Maturity Price : 17.21
Evaluated at bid price : 17.21
Bid-YTW : 6.73 %
FFH.PR.I FixedReset Disc 1.34 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-06-28
Maturity Price : 18.20
Evaluated at bid price : 18.20
Bid-YTW : 8.17 %
BN.PF.H FixedReset Disc 1.51 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-06-28
Maturity Price : 23.17
Evaluated at bid price : 23.60
Bid-YTW : 7.75 %
MFC.PR.M FixedReset Ins Non 1.65 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-06-28
Maturity Price : 21.55
Evaluated at bid price : 21.55
Bid-YTW : 6.67 %
SLF.PR.E Insurance Straight 2.13 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-06-28
Maturity Price : 19.16
Evaluated at bid price : 19.16
Bid-YTW : 5.91 %
TD.PF.A FixedReset Disc 2.52 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-06-28
Maturity Price : 23.62
Evaluated at bid price : 24.45
Bid-YTW : 5.77 %
PWF.PR.L Perpetual-Discount 2.88 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-06-28
Maturity Price : 19.65
Evaluated at bid price : 19.65
Bid-YTW : 6.62 %
IFC.PR.A FixedReset Ins Non 4.99 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-06-28
Maturity Price : 18.50
Evaluated at bid price : 18.50
Bid-YTW : 6.89 %
SLF.PR.J FloatingReset 8.59 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-06-28
Maturity Price : 17.70
Evaluated at bid price : 17.70
Bid-YTW : 8.73 %
Volume Highlights
Issue Index Shares
Traded
Notes
NA.PR.C FixedReset Prem 24,687 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-06-28
Maturity Price : 23.45
Evaluated at bid price : 25.40
Bid-YTW : 6.82 %
GWO.PR.T Insurance Straight 21,186 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-06-28
Maturity Price : 19.78
Evaluated at bid price : 19.78
Bid-YTW : 6.56 %
RY.PR.S FixedReset Disc 20,085 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-06-28
Maturity Price : 23.12
Evaluated at bid price : 24.80
Bid-YTW : 5.86 %
TD.PF.B FixedReset Disc 19,873 YTW SCENARIO
Maturity Type : Call
Maturity Date : 2024-07-31
Maturity Price : 25.00
Evaluated at bid price : 25.12
Bid-YTW : 4.90 %
RY.PR.H FixedReset Disc 17,360 YTW SCENARIO
Maturity Type : Call
Maturity Date : 2024-08-24
Maturity Price : 25.00
Evaluated at bid price : 25.02
Bid-YTW : 5.38 %
RY.PR.J FixedReset Disc 15,601 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-06-28
Maturity Price : 23.35
Evaluated at bid price : 23.93
Bid-YTW : 6.27 %
There were 9 other index-included issues trading in excess of 10,000 shares.
Wide Spread Highlights
Issue Index Quote Data and Yield Notes
CM.PR.Q FixedReset Disc Quote: 22.02 – 24.00
Spot Rate : 1.9800
Average : 1.1129

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-06-28
Maturity Price : 21.62
Evaluated at bid price : 22.02
Bid-YTW : 6.77 %

IFC.PR.E Insurance Straight Quote: 20.35 – 23.22
Spot Rate : 2.8700
Average : 2.0509

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-06-28
Maturity Price : 20.35
Evaluated at bid price : 20.35
Bid-YTW : 6.44 %

BMO.PR.Y FixedReset Disc Quote: 23.65 – 25.00
Spot Rate : 1.3500
Average : 0.8363

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-06-28
Maturity Price : 23.14
Evaluated at bid price : 23.65
Bid-YTW : 6.25 %

CU.PR.C FixedReset Disc Quote: 19.63 – 21.99
Spot Rate : 2.3600
Average : 1.8495

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-06-28
Maturity Price : 19.63
Evaluated at bid price : 19.63
Bid-YTW : 7.34 %

RY.PR.M FixedReset Disc Quote: 23.20 – 24.50
Spot Rate : 1.3000
Average : 0.9028

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-06-28
Maturity Price : 22.76
Evaluated at bid price : 23.20
Bid-YTW : 6.23 %

FFH.PR.K FixedReset Disc Quote: 20.98 – 21.89
Spot Rate : 0.9100
Average : 0.5571

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-06-28
Maturity Price : 20.98
Evaluated at bid price : 20.98
Bid-YTW : 7.84 %

IAF.PR.B To Be Redeemed

Thursday, June 27th, 2024

Industrial Alliance Insurance and Financial Services Inc. has announced:

that it has sent today to all shareholders of its Non-Cumulative Class A Preferred Shares Series B (TSX: IAF.PR.B) (the “Series B Preferred Shares”) a formal notice and instructions for the redemption of the Series B Preferred Shares outstanding as of today (the “Series B Redemption”). Upon the Series B Redemption scheduled for July 29, 2024, iA Insurance will pay to the holders of the Series B Preferred Shares the redemption price consisting of $25 plus an amount equal to the cash dividend in respect of the third quarter, pro rated to the redemption date. There are 5,000,000 Series B Preferred Shares outstanding as of today.

Separately from the redemption price, the regular second quarter dividend of $0.2875 per Series B Preferred Share will be paid in the usual manner on July 2, 2024 to preferred shareholders of record on May 24, 2024. After the Series B Preferred Shares are redeemed, holders of Series B Preferred Shares will cease to be entitled to distributions of dividends and will not be entitled to exercise any rights as holders other than to receive the redemption price.

This issue was originally issued as IAG.PR.A as a 4.60% Straight Perpetual and commenced trading 2006-2-4, before PrefBlog was invented. The ticker changed to IAF.PR.B on 2019-1-4. This redemption was foreshadowed by the announcement of an LRCN issue by the holding company.

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

June 27, 2024

Thursday, June 27th, 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 0.5386 % 2,138.9
FixedFloater 0.00 % 0.00 % 0 0.00 0 0.5386 % 4,102.4
Floater 10.86 % 10.99 % 69,285 8.85 1 0.5386 % 2,364.2
OpRet 0.00 % 0.00 % 0 0.00 0 0.0000 % 3,467.5
SplitShare 4.85 % 6.50 % 27,813 1.58 7 0.0000 % 4,141.0
Interest-Bearing 0.00 % 0.00 % 0 0.00 0 0.0000 % 3,231.0
Perpetual-Premium 0.00 % 0.00 % 0 0.00 0 0.0923 % 2,649.2
Perpetual-Discount 6.50 % 6.68 % 54,279 13.00 28 0.0923 % 2,888.8
FixedReset Disc 5.16 % 7.18 % 120,846 12.31 49 0.5237 % 2,589.9
Insurance Straight 6.30 % 6.45 % 59,336 13.27 20 0.5440 % 2,880.1
FloatingReset 9.57 % 9.49 % 36,636 10.01 3 -0.9456 % 2,647.1
FixedReset Prem 6.34 % 6.22 % 234,259 2.97 7 -0.0508 % 2,536.0
FixedReset Bank Non 0.00 % 0.00 % 0 0.00 0 0.5237 % 2,647.5
FixedReset Ins Non 5.20 % 6.78 % 100,904 13.06 14 0.7003 % 2,734.4
Performance Highlights
Issue Index Change Notes
SLF.PR.J FloatingReset -4.12 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-06-27
Maturity Price : 16.30
Evaluated at bid price : 16.30
Bid-YTW : 9.49 %
TD.PF.A FixedReset Disc -2.77 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-06-27
Maturity Price : 22.97
Evaluated at bid price : 23.85
Bid-YTW : 5.91 %
GWO.PR.Q Insurance Straight -1.52 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-06-27
Maturity Price : 19.46
Evaluated at bid price : 19.46
Bid-YTW : 6.67 %
RY.PR.N Perpetual-Discount -1.38 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-06-27
Maturity Price : 23.33
Evaluated at bid price : 23.62
Bid-YTW : 5.23 %
RY.PR.O Perpetual-Discount -1.06 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-06-27
Maturity Price : 23.00
Evaluated at bid price : 23.25
Bid-YTW : 5.32 %
CM.PR.P FixedReset Disc -1.00 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-06-27
Maturity Price : 23.04
Evaluated at bid price : 23.76
Bid-YTW : 5.92 %
PWF.PR.P FixedReset Disc 1.02 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-06-27
Maturity Price : 14.90
Evaluated at bid price : 14.90
Bid-YTW : 7.88 %
FTS.PR.G FixedReset Disc 1.05 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-06-27
Maturity Price : 21.22
Evaluated at bid price : 21.22
Bid-YTW : 6.82 %
CM.PR.Q FixedReset Disc 1.06 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-06-27
Maturity Price : 23.27
Evaluated at bid price : 23.80
Bid-YTW : 6.33 %
BN.PF.B FixedReset Disc 1.07 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-06-27
Maturity Price : 19.84
Evaluated at bid price : 19.84
Bid-YTW : 7.72 %
FTS.PR.M FixedReset Disc 1.14 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-06-27
Maturity Price : 19.58
Evaluated at bid price : 19.58
Bid-YTW : 7.53 %
BIP.PR.F FixedReset Disc 1.23 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-06-27
Maturity Price : 20.50
Evaluated at bid price : 20.50
Bid-YTW : 7.83 %
FFH.PR.G FixedReset Disc 1.35 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-06-27
Maturity Price : 17.30
Evaluated at bid price : 17.30
Bid-YTW : 8.25 %
PWF.PR.S Perpetual-Discount 1.36 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-06-27
Maturity Price : 18.65
Evaluated at bid price : 18.65
Bid-YTW : 6.57 %
MFC.PR.C Insurance Straight 1.39 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-06-27
Maturity Price : 18.99
Evaluated at bid price : 18.99
Bid-YTW : 5.98 %
NA.PR.W FixedReset Disc 1.44 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-06-27
Maturity Price : 21.55
Evaluated at bid price : 21.91
Bid-YTW : 6.43 %
BN.PR.R FixedReset Disc 1.50 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-06-27
Maturity Price : 16.21
Evaluated at bid price : 16.21
Bid-YTW : 8.26 %
CU.PR.C FixedReset Disc 1.56 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-06-27
Maturity Price : 19.50
Evaluated at bid price : 19.50
Bid-YTW : 7.38 %
BN.PF.A FixedReset Disc 1.85 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-06-27
Maturity Price : 21.67
Evaluated at bid price : 22.00
Bid-YTW : 7.36 %
BN.PR.M Perpetual-Discount 2.11 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-06-27
Maturity Price : 17.46
Evaluated at bid price : 17.46
Bid-YTW : 6.85 %
IFC.PR.I Insurance Straight 2.18 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-06-27
Maturity Price : 21.65
Evaluated at bid price : 22.00
Bid-YTW : 6.16 %
SLF.PR.G FixedReset Ins Non 2.29 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-06-27
Maturity Price : 17.00
Evaluated at bid price : 17.00
Bid-YTW : 6.81 %
BN.PF.I FixedReset Disc 2.66 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-06-27
Maturity Price : 22.05
Evaluated at bid price : 22.38
Bid-YTW : 7.73 %
MFC.PR.J FixedReset Ins Non 2.93 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-06-27
Maturity Price : 22.46
Evaluated at bid price : 23.16
Bid-YTW : 6.57 %
BN.PF.G FixedReset Disc 3.53 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-06-27
Maturity Price : 18.75
Evaluated at bid price : 18.75
Bid-YTW : 8.07 %
MFC.PR.L FixedReset Ins Non 3.61 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-06-27
Maturity Price : 21.50
Evaluated at bid price : 21.50
Bid-YTW : 6.54 %
BN.PR.X FixedReset Disc 4.76 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-06-27
Maturity Price : 16.50
Evaluated at bid price : 16.50
Bid-YTW : 7.75 %
Volume Highlights
Issue Index Shares
Traded
Notes
TD.PF.C FixedReset Disc 301,293 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-06-27
Maturity Price : 23.21
Evaluated at bid price : 23.93
Bid-YTW : 5.89 %
TD.PF.B FixedReset Disc 75,129 YTW SCENARIO
Maturity Type : Call
Maturity Date : 2024-07-31
Maturity Price : 25.00
Evaluated at bid price : 25.10
Bid-YTW : 5.63 %
FTS.PR.H FixedReset Disc 57,600 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-06-27
Maturity Price : 14.90
Evaluated at bid price : 14.90
Bid-YTW : 7.86 %
TD.PF.A FixedReset Disc 50,450 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-06-27
Maturity Price : 22.97
Evaluated at bid price : 23.85
Bid-YTW : 5.91 %
FFH.PR.D FloatingReset 28,200 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-06-27
Maturity Price : 21.10
Evaluated at bid price : 21.10
Bid-YTW : 9.41 %
PWF.PR.E Perpetual-Discount 22,066 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-06-27
Maturity Price : 20.78
Evaluated at bid price : 20.78
Bid-YTW : 6.75 %
There were 8 other index-included issues trading in excess of 10,000 shares.
Wide Spread Highlights
Issue Index Quote Data and Yield Notes
CU.PR.D Perpetual-Discount Quote: 18.99 – 20.64
Spot Rate : 1.6500
Average : 0.9920

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-06-27
Maturity Price : 18.99
Evaluated at bid price : 18.99
Bid-YTW : 6.54 %

SLF.PR.J FloatingReset Quote: 16.30 – 17.49
Spot Rate : 1.1900
Average : 0.8626

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-06-27
Maturity Price : 16.30
Evaluated at bid price : 16.30
Bid-YTW : 9.49 %

RY.PR.O Perpetual-Discount Quote: 23.25 – 24.35
Spot Rate : 1.1000
Average : 0.7940

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-06-27
Maturity Price : 23.00
Evaluated at bid price : 23.25
Bid-YTW : 5.32 %

TD.PF.A FixedReset Disc Quote: 23.85 – 24.54
Spot Rate : 0.6900
Average : 0.4182

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-06-27
Maturity Price : 22.97
Evaluated at bid price : 23.85
Bid-YTW : 5.91 %

PWF.PR.L Perpetual-Discount Quote: 19.10 – 20.50
Spot Rate : 1.4000
Average : 1.1306

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-06-27
Maturity Price : 19.10
Evaluated at bid price : 19.10
Bid-YTW : 6.82 %

GWO.PR.I Insurance Straight Quote: 17.70 – 18.50
Spot Rate : 0.8000
Average : 0.5788

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-06-27
Maturity Price : 17.70
Evaluated at bid price : 17.70
Bid-YTW : 6.40 %

June 26, 2024

Wednesday, June 26th, 2024

TXPR closed at 589.62, up 0.96% on the day. Volume today was 4.75-million, second-highest of the past 21 trading days.

CPD closed at 11.705, up 0.99% on the day. Volume was 89,520, third-highest of the past 21 trading days.

ZPR closed at 10.115, up 0.75% on the day. Volume was 105,310, well below the median of the past 21 trading days.

Five-year Canada yields were up to 3.56%.

How’s this for a fund?

Quadravest Capital Management Inc. (the “Manager’) is pleased to announce that Quadravest Preferred Split Share ETF (“Preferred ETF”) will commence trading on the Toronto Stock Exchange (the “TSX”) on June 27, 2024 under the symbol PREF. A final prospectus dated June 7, 2024 has been filed with the securities regulatory authorities in each province and territory in Canada.

The investment objectives of Preferred ETF are to provide unitholders with: (a) monthly distributions and (b) the opportunity for capital preservation, primarily through a portfolio of preferred shares of split share corporations.

Preferred ETF will seek to achieve its investment objectives by investing in an actively managed portfolio of split corp. preferred shares offered by Canadian split share corporations listed on a Canadian exchange. The Preferred ETF may also invest in preferred shares of other issuers, exchange-traded funds, other investment funds, equities or income-generating securities, and securities that are convertible into any of the above noted securities provided such investments are consistent with the Preferred ETF’s investment objectives.

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

PerpetualDiscounts now yield 6.72%, equivalent to 8.74% interest at the standard equivalency factor of 1.3x. Long corporates yielded 4.97% on 2024-6-24 and since then the closing price of ZLC has changed from 15.21 to 15.05, a decrease of 106bp in price, implying an increase of yields of 9bp (BMO reports a duration of 12.39, but don’t disclose whether this is Macaulay or Modified; I will assume Modified) to 5.06%. Therefore, the pre-tax interest-equivalent spread (in this context, the “Seniority Spread”) has declined sharply to 370bp from the 390bp reported June 19.

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 -0.3578 % 2,127.5
FixedFloater 0.00 % 0.00 % 0 0.00 0 -0.3578 % 4,080.4
Floater 10.92 % 11.05 % 67,646 8.82 1 -0.3578 % 2,351.6
OpRet 0.00 % 0.00 % 0 0.00 0 0.1482 % 3,467.5
SplitShare 4.85 % 6.98 % 28,953 1.59 7 0.1482 % 4,141.0
Interest-Bearing 0.00 % 0.00 % 0 0.00 0 0.1482 % 3,231.0
Perpetual-Premium 0.00 % 0.00 % 0 0.00 0 0.5383 % 2,646.7
Perpetual-Discount 6.50 % 6.72 % 55,099 12.95 28 0.5383 % 2,886.1
FixedReset Disc 5.18 % 7.19 % 125,230 12.29 49 1.2605 % 2,576.5
Insurance Straight 6.34 % 6.48 % 59,649 13.27 20 -0.0863 % 2,864.6
FloatingReset 9.48 % 9.45 % 36,588 10.04 3 1.0638 % 2,672.4
FixedReset Prem 6.34 % 6.21 % 236,960 2.97 7 0.4479 % 2,537.3
FixedReset Bank Non 0.00 % 0.00 % 0 0.00 0 1.2605 % 2,633.7
FixedReset Ins Non 5.23 % 6.81 % 101,913 13.05 14 1.6514 % 2,715.4
Performance Highlights
Issue Index Change Notes
IFC.PR.E Insurance Straight -4.24 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-06-26
Maturity Price : 20.35
Evaluated at bid price : 20.35
Bid-YTW : 6.43 %
SLF.PR.E Insurance Straight -2.31 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-06-26
Maturity Price : 18.61
Evaluated at bid price : 18.61
Bid-YTW : 6.09 %
PWF.PR.L Perpetual-Discount -2.01 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-06-26
Maturity Price : 19.05
Evaluated at bid price : 19.05
Bid-YTW : 6.83 %
MFC.PR.C Insurance Straight -1.42 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-06-26
Maturity Price : 18.73
Evaluated at bid price : 18.73
Bid-YTW : 6.06 %
GWO.PR.I Insurance Straight -1.07 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-06-26
Maturity Price : 17.61
Evaluated at bid price : 17.61
Bid-YTW : 6.43 %
TD.PF.B FixedReset Disc 1.01 % YTW SCENARIO
Maturity Type : Call
Maturity Date : 2024-07-31
Maturity Price : 25.00
Evaluated at bid price : 25.10
Bid-YTW : 5.47 %
PWF.PR.F Perpetual-Discount 1.02 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-06-26
Maturity Price : 19.90
Evaluated at bid price : 19.90
Bid-YTW : 6.73 %
FFH.PR.M FixedReset Disc 1.02 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-06-26
Maturity Price : 23.16
Evaluated at bid price : 23.80
Bid-YTW : 7.65 %
CU.PR.C FixedReset Disc 1.05 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-06-26
Maturity Price : 19.20
Evaluated at bid price : 19.20
Bid-YTW : 7.50 %
CM.PR.P FixedReset Disc 1.05 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-06-26
Maturity Price : 23.29
Evaluated at bid price : 24.00
Bid-YTW : 5.86 %
IFC.PR.F Insurance Straight 1.08 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-06-26
Maturity Price : 21.55
Evaluated at bid price : 21.55
Bid-YTW : 6.19 %
GWO.PR.L Insurance Straight 1.21 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-06-26
Maturity Price : 21.44
Evaluated at bid price : 21.70
Bid-YTW : 6.54 %
MFC.PR.K FixedReset Ins Non 1.21 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-06-26
Maturity Price : 22.51
Evaluated at bid price : 23.33
Bid-YTW : 6.26 %
CU.PR.I FixedReset Disc 1.22 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-06-26
Maturity Price : 22.80
Evaluated at bid price : 23.24
Bid-YTW : 7.40 %
CM.PR.Q FixedReset Disc 1.29 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-06-26
Maturity Price : 23.02
Evaluated at bid price : 23.55
Bid-YTW : 6.39 %
TD.PF.C FixedReset Disc 1.36 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-06-26
Maturity Price : 23.19
Evaluated at bid price : 23.90
Bid-YTW : 5.89 %
IFC.PR.G FixedReset Ins Non 1.36 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-06-26
Maturity Price : 21.90
Evaluated at bid price : 22.30
Bid-YTW : 6.73 %
PWF.PR.S Perpetual-Discount 1.38 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-06-26
Maturity Price : 18.40
Evaluated at bid price : 18.40
Bid-YTW : 6.65 %
FFH.PR.H FloatingReset 1.40 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-06-26
Maturity Price : 18.05
Evaluated at bid price : 18.05
Bid-YTW : 10.18 %
NA.PR.W FixedReset Disc 1.41 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-06-26
Maturity Price : 21.33
Evaluated at bid price : 21.60
Bid-YTW : 6.53 %
FFH.PR.I FixedReset Disc 1.41 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-06-26
Maturity Price : 17.96
Evaluated at bid price : 17.96
Bid-YTW : 8.28 %
CCS.PR.C Insurance Straight 1.58 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-06-26
Maturity Price : 19.30
Evaluated at bid price : 19.30
Bid-YTW : 6.52 %
RY.PR.O Perpetual-Discount 1.64 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-06-26
Maturity Price : 23.21
Evaluated at bid price : 23.50
Bid-YTW : 5.26 %
BN.PR.R FixedReset Disc 1.72 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-06-26
Maturity Price : 15.97
Evaluated at bid price : 15.97
Bid-YTW : 8.37 %
PWF.PR.P FixedReset Disc 1.72 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-06-26
Maturity Price : 14.75
Evaluated at bid price : 14.75
Bid-YTW : 7.96 %
RY.PR.M FixedReset Disc 1.76 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-06-26
Maturity Price : 22.67
Evaluated at bid price : 23.10
Bid-YTW : 6.25 %
MFC.PR.M FixedReset Ins Non 1.78 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-06-26
Maturity Price : 21.12
Evaluated at bid price : 21.12
Bid-YTW : 6.81 %
BN.PF.J FixedReset Disc 1.82 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-06-26
Maturity Price : 22.00
Evaluated at bid price : 22.40
Bid-YTW : 7.23 %
BMO.PR.W FixedReset Disc 1.89 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-06-26
Maturity Price : 23.39
Evaluated at bid price : 24.20
Bid-YTW : 5.79 %
NA.PR.S FixedReset Disc 1.93 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-06-26
Maturity Price : 22.69
Evaluated at bid price : 23.80
Bid-YTW : 6.28 %
TD.PF.E FixedReset Disc 1.94 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-06-26
Maturity Price : 23.14
Evaluated at bid price : 23.60
Bid-YTW : 6.41 %
FTS.PR.M FixedReset Disc 2.00 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-06-26
Maturity Price : 19.36
Evaluated at bid price : 19.36
Bid-YTW : 7.61 %
GWO.PR.Q Insurance Straight 2.01 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-06-26
Maturity Price : 19.76
Evaluated at bid price : 19.76
Bid-YTW : 6.56 %
SLF.PR.J FloatingReset 2.04 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-06-26
Maturity Price : 17.00
Evaluated at bid price : 17.00
Bid-YTW : 9.09 %
GWO.PR.N FixedReset Ins Non 2.12 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-06-26
Maturity Price : 14.45
Evaluated at bid price : 14.45
Bid-YTW : 7.60 %
MFC.PR.Q FixedReset Ins Non 2.22 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-06-26
Maturity Price : 22.34
Evaluated at bid price : 23.00
Bid-YTW : 6.50 %
SLF.PR.G FixedReset Ins Non 2.28 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-06-26
Maturity Price : 16.62
Evaluated at bid price : 16.62
Bid-YTW : 6.96 %
POW.PR.C Perpetual-Discount 2.33 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-06-26
Maturity Price : 21.75
Evaluated at bid price : 22.00
Bid-YTW : 6.61 %
MFC.PR.F FixedReset Ins Non 2.49 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-06-26
Maturity Price : 16.47
Evaluated at bid price : 16.47
Bid-YTW : 6.84 %
NA.PR.E FixedReset Disc 2.50 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-06-26
Maturity Price : 22.77
Evaluated at bid price : 23.80
Bid-YTW : 6.30 %
BN.PF.E FixedReset Disc 2.53 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-06-26
Maturity Price : 18.25
Evaluated at bid price : 18.25
Bid-YTW : 8.03 %
FTS.PR.K FixedReset Disc 2.72 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-06-26
Maturity Price : 19.26
Evaluated at bid price : 19.26
Bid-YTW : 7.19 %
RY.PR.N Perpetual-Discount 2.79 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-06-26
Maturity Price : 23.67
Evaluated at bid price : 23.95
Bid-YTW : 5.16 %
BIP.PR.E FixedReset Disc 2.84 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-06-26
Maturity Price : 21.42
Evaluated at bid price : 21.75
Bid-YTW : 7.49 %
FTS.PR.G FixedReset Disc 2.94 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-06-26
Maturity Price : 21.00
Evaluated at bid price : 21.00
Bid-YTW : 6.89 %
FTS.PR.H FixedReset Disc 2.96 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-06-26
Maturity Price : 14.95
Evaluated at bid price : 14.95
Bid-YTW : 7.83 %
IFC.PR.C FixedReset Ins Non 3.08 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-06-26
Maturity Price : 20.10
Evaluated at bid price : 20.10
Bid-YTW : 7.07 %
PWF.PR.T FixedReset Disc 4.13 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-06-26
Maturity Price : 21.45
Evaluated at bid price : 21.45
Bid-YTW : 6.81 %
BN.PF.I FixedReset Disc 4.16 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-06-26
Maturity Price : 21.45
Evaluated at bid price : 21.80
Bid-YTW : 7.92 %
MFC.PR.N FixedReset Ins Non 4.91 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-06-26
Maturity Price : 20.72
Evaluated at bid price : 20.72
Bid-YTW : 6.82 %
BN.PR.T FixedReset Disc 6.64 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-06-26
Maturity Price : 16.05
Evaluated at bid price : 16.05
Bid-YTW : 8.34 %
Volume Highlights
Issue Index Shares
Traded
Notes
RY.PR.H FixedReset Disc 2,820,761 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-06-26
Maturity Price : 24.13
Evaluated at bid price : 24.99
Bid-YTW : 5.67 %
TD.PF.B FixedReset Disc 378,257 YTW SCENARIO
Maturity Type : Call
Maturity Date : 2024-07-31
Maturity Price : 25.00
Evaluated at bid price : 25.10
Bid-YTW : 5.47 %
PWF.PR.G Perpetual-Discount 321,993 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-06-26
Maturity Price : 22.06
Evaluated at bid price : 22.35
Bid-YTW : 6.72 %
TD.PF.C FixedReset Disc 105,942 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-06-26
Maturity Price : 23.19
Evaluated at bid price : 23.90
Bid-YTW : 5.89 %
TD.PF.A FixedReset Disc 96,254 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-06-26
Maturity Price : 23.72
Evaluated at bid price : 24.53
Bid-YTW : 5.75 %
CM.PR.O FixedReset Disc 45,656 YTW SCENARIO
Maturity Type : Call
Maturity Date : 2024-07-31
Maturity Price : 25.00
Evaluated at bid price : 25.10
Bid-YTW : 5.56 %
There were 16 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: 19.20 – 21.99
Spot Rate : 2.7900
Average : 2.1557

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-06-26
Maturity Price : 19.20
Evaluated at bid price : 19.20
Bid-YTW : 7.50 %

RY.PR.M FixedReset Disc Quote: 23.10 – 24.50
Spot Rate : 1.4000
Average : 0.8808

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-06-26
Maturity Price : 22.67
Evaluated at bid price : 23.10
Bid-YTW : 6.25 %

BN.PF.F FixedReset Disc Quote: 19.45 – 20.99
Spot Rate : 1.5400
Average : 1.0782

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-06-26
Maturity Price : 19.45
Evaluated at bid price : 19.45
Bid-YTW : 8.07 %

TD.PF.E FixedReset Disc Quote: 23.60 – 25.00
Spot Rate : 1.4000
Average : 0.9605

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-06-26
Maturity Price : 23.14
Evaluated at bid price : 23.60
Bid-YTW : 6.41 %

FTS.PR.M FixedReset Disc Quote: 19.36 – 20.45
Spot Rate : 1.0900
Average : 0.6585

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-06-26
Maturity Price : 19.36
Evaluated at bid price : 19.36
Bid-YTW : 7.61 %

GWO.PR.R Insurance Straight Quote: 18.53 – 19.88
Spot Rate : 1.3500
Average : 0.9630

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-06-26
Maturity Price : 18.53
Evaluated at bid price : 18.53
Bid-YTW : 6.52 %

TD.PF.M To Be Redeemed

Tuesday, June 25th, 2024

The Toronto-Dominion Bank has announced:

that it will exercise its right to redeem all of its 18,000,000 outstanding Non-Cumulative 5-Year Rate Reset Class A First Preferred Shares, Series 24 (Non-Viability Contingent Capital) (the “Series 24 Shares”) on July 31, 2024 at the price of $25.00 per Series 24 Share for an aggregate total of approximately $450 million. The redemption has been approved by the Office of the Superintendent of Financial Institutions.

On May 23, 2024, TD announced that dividends of $0.31875 per Series 24 Share had been declared. These will be the final dividends on the Series 24 Shares, and will be paid in the usual manner on July 31, 2024 to shareholders of record on July 10, 2024, as previously announced. After July 31, 2024, the Series 24 Shares will cease to be entitled to dividends and the only remaining rights of holders of such shares will be to receive payment of the redemption amount.

Beneficial holders who are not directly the registered holder of Series 24 Shares should contact the financial institution, broker or other intermediary through which they hold these shares to confirm how they will receive their redemption proceeds. Inquiries should be directed to our Registrar and Transfer Agent, TSX Trust Company, at 1-800-387-0825 (or in Toronto 416-682-3860).

TD.PF.M was issued as a FixedReset 5.10%+356, NVCC, that commenced trading 2019-6-4 after being announced 2019-5-24. This redemption was foreshadowed by a large LRCN issue. The issue is tracked by HIMIPref™ and is assigned to the FixedReset (Premium) subindex.

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

TD.PF.B To Be Redeemed

Tuesday, June 25th, 2024

The Toronto-Dominion Bank has announced:

that it will exercise its right to redeem all of its 20,000,000 outstanding Non-Cumulative 5-Year Rate Reset Class A First Preferred Shares, Series 3 (Non-Viability Contingent Capital) (the “Series 3 Shares”) on July 31, 2024 at the price of $25.00 per Series 3 Share for an aggregate total of approximately $500 million. The redemption has been approved by the Office of the Superintendent of Financial Institutions.

On May 23, 2024, TD announced that dividends of $0.2300625 per Series 3 Share had been declared. These will be the final dividends on the Series 3 Shares, and will be paid in the usual manner on July 31, 2024 to shareholders of record on July 10, 2024, as previously announced. After July 31, 2024, the Series 3 Shares will cease to be entitled to dividends and the only remaining rights of holders of such shares will be to receive payment of the redemption amount.

Beneficial holders who are not directly the registered holder of Series 3 Shares should contact the financial institution, broker or other intermediary through which they hold these shares to confirm how they will receive their redemption proceeds. Inquiries should be directed to our Registrar and Transfer Agent, TSX Trust Company, at 1-800-387-0825 (or in Toronto 416-682-3860).

TD.PF.B was issued as a FixedReset 3.80%+227, NVCC-compliant, issue that commenced trading 2014-7-31 after being announced 2014-7-22. TD provided notice of extension on 2019-6-25. The issue reset At 3.681% effective 2019-7-31. I recommended against conversion and there was no conversion. This redemption was foreshadowed by a big LRCN issue. The issue is tracked by HIMIPref™ and is assigned to the FixedReset (Discount) subindex.

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

June 25, 2024

Tuesday, June 25th, 2024

How about that Canadian inflation, eh?

The annual inflation rate rose to 2.9 per cent in May while key measures of core inflation edged up for the first time in five months, Statistics Canada reported Tuesday. It was a significant miss versus Street expectations for an inflation rate of 2.6 per cent – which would have represented a decline from April’s reading of 2.7 per cent.

Markets immediately responded by sending the Canadian dollar higher, while domestic bond yields spiked as traders scaled back bets on the odds of another interest rate cut in July.

According to LSEG data (formerly Eikon), swaps markets are putting 45 per cent odds now on a second rate cut by the Bank of Canada on July 24. They stood at 65 per cent prior to the 830 am ET inflation report. Swaps are pricing in about 72 per cent odds of a rate cut materializing at the September Bank of Canada meeting (there is no meeting in August).

Some 50 basis points of additional easing is now priced into the market by the end of this year, which is modestly less than before this morning’s inflation data.


Pre-Inflation Announcement

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 1.5441 % 2,135.1
FixedFloater 0.00 % 0.00 % 0 0.00 0 1.5441 % 4,095.1
Floater 10.88 % 11.01 % 65,572 8.85 1 1.5441 % 2,360.0
OpRet 0.00 % 0.00 % 0 0.00 0 -0.0592 % 3,462.4
SplitShare 4.86 % 6.55 % 29,194 1.59 7 -0.0592 % 4,134.9
Interest-Bearing 0.00 % 0.00 % 0 0.00 0 -0.0592 % 3,226.2
Perpetual-Premium 0.00 % 0.00 % 0 0.00 0 -0.0327 % 2,632.5
Perpetual-Discount 6.54 % 6.73 % 53,452 12.91 28 -0.0327 % 2,870.7
FixedReset Disc 5.25 % 7.36 % 125,469 12.20 49 0.4303 % 2,544.4
Insurance Straight 6.33 % 6.50 % 58,088 13.23 20 1.3461 % 2,867.0
FloatingReset 9.58 % 9.45 % 36,906 10.04 3 -0.3056 % 2,644.3
FixedReset Prem 6.37 % 6.38 % 236,950 12.41 7 0.0965 % 2,526.0
FixedReset Bank Non 0.00 % 0.00 % 0 0.00 0 0.4303 % 2,600.9
FixedReset Ins Non 5.32 % 6.93 % 102,795 12.86 14 1.3737 % 2,671.3
Performance Highlights
Issue Index Change Notes
PWF.PR.T FixedReset Disc -4.72 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-06-25
Maturity Price : 20.60
Evaluated at bid price : 20.60
Bid-YTW : 7.09 %
BN.PF.I FixedReset Disc -3.55 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-06-25
Maturity Price : 20.93
Evaluated at bid price : 20.93
Bid-YTW : 8.25 %
BN.PR.M Perpetual-Discount -2.84 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-06-25
Maturity Price : 17.10
Evaluated at bid price : 17.10
Bid-YTW : 7.00 %
BN.PR.T FixedReset Disc -2.65 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-06-25
Maturity Price : 15.05
Evaluated at bid price : 15.05
Bid-YTW : 8.87 %
POW.PR.C Perpetual-Discount -1.83 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-06-25
Maturity Price : 21.50
Evaluated at bid price : 21.50
Bid-YTW : 6.77 %
GWO.PR.Q Insurance Straight -1.73 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-06-25
Maturity Price : 19.37
Evaluated at bid price : 19.37
Bid-YTW : 6.69 %
NA.PR.E FixedReset Disc -1.69 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-06-25
Maturity Price : 22.48
Evaluated at bid price : 23.22
Bid-YTW : 6.47 %
CCS.PR.C Insurance Straight -1.55 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-06-25
Maturity Price : 19.00
Evaluated at bid price : 19.00
Bid-YTW : 6.63 %
PVS.PR.J SplitShare -1.06 % YTW SCENARIO
Maturity Type : Hard Maturity
Maturity Date : 2028-02-29
Maturity Price : 25.00
Evaluated at bid price : 23.35
Bid-YTW : 6.55 %
BIP.PR.F FixedReset Disc 1.01 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-06-25
Maturity Price : 20.10
Evaluated at bid price : 20.10
Bid-YTW : 7.99 %
RY.PR.S FixedReset Disc 1.03 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-06-25
Maturity Price : 23.04
Evaluated at bid price : 24.60
Bid-YTW : 5.91 %
FFH.PR.I FixedReset Disc 1.03 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-06-25
Maturity Price : 17.71
Evaluated at bid price : 17.71
Bid-YTW : 8.39 %
MIC.PR.A Perpetual-Discount 1.06 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-06-25
Maturity Price : 19.00
Evaluated at bid price : 19.00
Bid-YTW : 7.16 %
GWO.PR.N FixedReset Ins Non 1.07 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-06-25
Maturity Price : 14.15
Evaluated at bid price : 14.15
Bid-YTW : 7.76 %
PWF.PR.P FixedReset Disc 1.12 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-06-25
Maturity Price : 14.50
Evaluated at bid price : 14.50
Bid-YTW : 8.08 %
GWO.PR.I Insurance Straight 1.14 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-06-25
Maturity Price : 17.80
Evaluated at bid price : 17.80
Bid-YTW : 6.36 %
CM.PR.P FixedReset Disc 1.15 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-06-25
Maturity Price : 23.04
Evaluated at bid price : 23.75
Bid-YTW : 5.93 %
FFH.PR.K FixedReset Disc 1.18 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-06-25
Maturity Price : 20.65
Evaluated at bid price : 20.65
Bid-YTW : 7.96 %
IFC.PR.F Insurance Straight 1.19 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-06-25
Maturity Price : 21.32
Evaluated at bid price : 21.32
Bid-YTW : 6.26 %
CU.PR.G Perpetual-Discount 1.21 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-06-25
Maturity Price : 17.62
Evaluated at bid price : 17.62
Bid-YTW : 6.47 %
SLF.PR.H FixedReset Ins Non 1.36 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-06-25
Maturity Price : 18.60
Evaluated at bid price : 18.60
Bid-YTW : 6.98 %
BN.PF.F FixedReset Disc 1.42 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-06-25
Maturity Price : 19.30
Evaluated at bid price : 19.30
Bid-YTW : 8.13 %
NA.PR.W FixedReset Disc 1.43 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-06-25
Maturity Price : 21.30
Evaluated at bid price : 21.30
Bid-YTW : 6.63 %
FTS.PR.H FixedReset Disc 1.47 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-06-25
Maturity Price : 14.52
Evaluated at bid price : 14.52
Bid-YTW : 8.06 %
TD.PF.A FixedReset Disc 1.54 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-06-25
Maturity Price : 23.53
Evaluated at bid price : 24.37
Bid-YTW : 5.79 %
BN.PR.B Floater 1.54 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-06-25
Maturity Price : 11.18
Evaluated at bid price : 11.18
Bid-YTW : 11.01 %
MFC.PR.Q FixedReset Ins Non 1.58 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-06-25
Maturity Price : 22.03
Evaluated at bid price : 22.50
Bid-YTW : 6.66 %
FFH.PR.G FixedReset Disc 1.62 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-06-25
Maturity Price : 16.97
Evaluated at bid price : 16.97
Bid-YTW : 8.40 %
MFC.PR.F FixedReset Ins Non 1.64 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-06-25
Maturity Price : 16.07
Evaluated at bid price : 16.07
Bid-YTW : 7.00 %
BIP.PR.E FixedReset Disc 1.68 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-06-25
Maturity Price : 21.15
Evaluated at bid price : 21.15
Bid-YTW : 7.72 %
FTS.PR.K FixedReset Disc 1.74 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-06-25
Maturity Price : 18.75
Evaluated at bid price : 18.75
Bid-YTW : 7.39 %
SLF.PR.E Insurance Straight 1.87 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-06-25
Maturity Price : 19.05
Evaluated at bid price : 19.05
Bid-YTW : 5.94 %
MFC.PR.C Insurance Straight 1.88 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-06-25
Maturity Price : 19.00
Evaluated at bid price : 19.00
Bid-YTW : 5.97 %
BN.PF.E FixedReset Disc 1.89 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-06-25
Maturity Price : 17.80
Evaluated at bid price : 17.80
Bid-YTW : 8.23 %
CU.PR.I FixedReset Disc 1.95 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-06-25
Maturity Price : 22.54
Evaluated at bid price : 22.96
Bid-YTW : 7.49 %
PWF.PR.L Perpetual-Discount 2.21 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-06-25
Maturity Price : 19.44
Evaluated at bid price : 19.44
Bid-YTW : 6.69 %
BN.PR.R FixedReset Disc 2.21 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-06-25
Maturity Price : 15.70
Evaluated at bid price : 15.70
Bid-YTW : 8.51 %
TD.PF.D FixedReset Disc 2.35 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-06-25
Maturity Price : 23.02
Evaluated at bid price : 23.55
Bid-YTW : 6.40 %
TD.PF.E FixedReset Disc 2.89 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-06-25
Maturity Price : 22.70
Evaluated at bid price : 23.15
Bid-YTW : 6.54 %
MFC.PR.I FixedReset Ins Non 4.24 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-06-25
Maturity Price : 22.61
Evaluated at bid price : 23.35
Bid-YTW : 6.67 %
IFC.PR.E Insurance Straight 4.42 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-06-25
Maturity Price : 21.25
Evaluated at bid price : 21.25
Bid-YTW : 6.16 %
MFC.PR.M FixedReset Ins Non 5.81 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-06-25
Maturity Price : 20.75
Evaluated at bid price : 20.75
Bid-YTW : 6.93 %
IFC.PR.I Insurance Straight 20.28 % YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-06-25
Maturity Price : 21.53
Evaluated at bid price : 21.53
Bid-YTW : 6.31 %
Volume Highlights
Issue Index Shares
Traded
Notes
FTS.PR.G FixedReset Disc 86,514 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-06-25
Maturity Price : 20.40
Evaluated at bid price : 20.40
Bid-YTW : 7.10 %
SLF.PR.G FixedReset Ins Non 56,500 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-06-25
Maturity Price : 16.25
Evaluated at bid price : 16.25
Bid-YTW : 7.11 %
TD.PF.B FixedReset Disc 54,380 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-06-25
Maturity Price : 23.73
Evaluated at bid price : 24.85
Bid-YTW : 5.72 %
FTS.PR.H FixedReset Disc 50,417 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-06-25
Maturity Price : 14.52
Evaluated at bid price : 14.52
Bid-YTW : 8.06 %
FTS.PR.K FixedReset Disc 46,089 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-06-25
Maturity Price : 18.75
Evaluated at bid price : 18.75
Bid-YTW : 7.39 %
SLF.PR.H FixedReset Ins Non 29,820 YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-06-25
Maturity Price : 18.60
Evaluated at bid price : 18.60
Bid-YTW : 6.98 %
There were 15 other index-included issues trading in excess of 10,000 shares.
Wide Spread Highlights
Issue Index Quote Data and Yield Notes
IFC.PR.C FixedReset Ins Non Quote: 19.50 – 22.25
Spot Rate : 2.7500
Average : 1.8307

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-06-25
Maturity Price : 19.50
Evaluated at bid price : 19.50
Bid-YTW : 7.27 %

BN.PF.I FixedReset Disc Quote: 20.93 – 22.65
Spot Rate : 1.7200
Average : 1.2104

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-06-25
Maturity Price : 20.93
Evaluated at bid price : 20.93
Bid-YTW : 8.25 %

PWF.PR.T FixedReset Disc Quote: 20.60 – 22.15
Spot Rate : 1.5500
Average : 1.0841

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-06-25
Maturity Price : 20.60
Evaluated at bid price : 20.60
Bid-YTW : 7.09 %

GWO.PR.R Insurance Straight Quote: 18.55 – 19.44
Spot Rate : 0.8900
Average : 0.5386

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-06-25
Maturity Price : 18.55
Evaluated at bid price : 18.55
Bid-YTW : 6.51 %

BN.PR.M Perpetual-Discount Quote: 17.10 – 18.50
Spot Rate : 1.4000
Average : 1.0642

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-06-25
Maturity Price : 17.10
Evaluated at bid price : 17.10
Bid-YTW : 7.00 %

BN.PR.T FixedReset Disc Quote: 15.05 – 15.97
Spot Rate : 0.9200
Average : 0.6275

YTW SCENARIO
Maturity Type : Limit Maturity
Maturity Date : 2054-06-25
Maturity Price : 15.05
Evaluated at bid price : 15.05
Bid-YTW : 8.87 %